vkparis reports 5000735 092019 coverpage portland 1 1905135 · 9/30/2019 · capital markets...

Santa Barbara County Employees' Retirement System

Period Ended: September 30, 2019

Monthly Investment Performance Analysis

Quarterly Investment Performance Analysis

Typically available by the 15th business day following month end

Typically available 30-45 calendar days following quarter end

Overview of RVK Performance Reports

Frequency

Analytics Included

Capital Markets Review (abbreviated)

Capital Markets Review (with full asset class detail)

Monthly Portfolio Highlights or Executive Summary

Manager Monitoring/Investment Manager Updates/Watch List

Asset Allocation vs. Target Allocation

Total Fund Asset Allocation & Ranks vs. Peers

Asset Allocation By Manager and Schedule of Investable Assets

Plan Asset Overview

Work Plan

Trailing Performance

Trailing & Fiscal Year Performance (including ranks)

Total Fund IDP Attribution

Composite Profile Pages (including ranks)

Investment Manager Profile Pages (including ranks)

Terminated Managers Trailing Performance

Fee Schedule for Public Investment Managers

Underlying Indices of SBCERS Policy Index

1 Capital Markets Review Page 42 Total Fund Page 113 Composite Profiles 44 Investment Manager Profiles Page 485 Addendum & Glossary Page 68

Capital Markets Review As of September 30, 2019

Economic Indicators Sep-19 Jun-19 Sep-18 Sep-16 20 Yr1.90 ▼ 2.40 2.18 0.29 1.841.35 ▼ 1.54 2.03 1.49 1.851.52 ▼ 1.70 2.14 1.61 2.031.7 ▲ 1.6 2.3 1.5 2.23.5 ▼ 3.7 3.7 5.0 5.92.0 ▼ 2.3 3.1 1.6 2.2

47.8 ▼ 51.7 59.5 51.3 52.893.25 ▲ 90.86 90.11 89.93 86.1254.1 ▼ 58.5 73.3 48.2 61.5

1,472 ▲ 1,410 1,191 1,316 920Market Performance (%) CYTD 1 Yr 5 Yr 10 Yr

20.55 4.25 10.84 13.2414.18 -8.89 8.19 11.1912.80 -1.34 3.27 4.9012.05 -5.93 6.02 7.455.90 -2.02 2.33 3.378.52 10.30 3.38 3.751.81 2.38 0.98 0.543.77 5.60 9.35 10.86

26.96 18.42 10.26 13.035.21 0.01 1.95 2.673.13 -6.57 -7.18 -4.32

QTD1.70

-2.40-1.07-0.44-4.252.270.561.317.80

-0.90-1.84

ICE BofAML 3 Mo US T-BillNCREIF ODCE (Gross)FTSE NAREIT Eq REIT (TR)HFRI FOF CompBloomberg Cmdty (TR)

Real GDP YoY (%)

USD Total Wtd IdxWTI Crude Oil per Barrel ($)Gold Spot per Oz ($)

S&P 500 (Cap Wtd)

PMI - Manufacturing

Unemployment Rate (%)

Federal Funds Rate (%)Breakeven Infl. - 5 Yr (%)Breakeven Infl. - 10 Yr (%)CPI YoY (Headline) (%)

Key Economic Indicators

Treasury Yield Curve (%)

Key Economic IndicatorsFinancial markets experienced bouts of volatility during Q3 as dominant market themes from the past few quarters persisted. Market participants noted that investor sentiment continued to be significantly influenced by signs of global economic weakness, geopolitical concerns largely stemming from ongoing tariffs and trade wars, and expectations for central bank policy actions. Specifically, trade tensions were cited by the International Monetary Fund as a key reason for recently lowering its estimate for global growth in 2019 from 3.2% down to 3.0%. The US equity market ended the quarter higher, while economic headwinds and conflict escalations outside the US led international equity markets lower. Yields on fixed income assets declined as growth and inflation expectations weakened. The 10-year Treasury yield reached near record lows, and the Treasury yield curve experienced continued inversion between multiple maturity points. Global central bank policy also captured investor attention during the period. The Federal Reserve took steps to mitigate developing concerns of weakening inflation and growth expectations, primarily by cutting policy rates by 0.25% at the September FOMC meeting.

Third Quarter Economic Environment

UnemploymentRate (%)

Since 1948

CPI Year-over-Year (% change)

Since 1914

US Govt Debt (% of GDP)Since 1940

VIX Index(Volatility)Since 1990

Consumer ConfidenceSince 1967

Russell 2000MSCI EAFE (Net)MSCI EAFE SC (Net)MSCI Emg Mkts (Net)Bloomberg US Agg Bond

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

3M 6M 1Y 2Y 5Y 7Y 10Y 20Y 30Y

Sep-19 Jun-19 Sep-18 Sep-17 Sep-16

0

2

4

6

8

10

12

20

40

60

80

100

120

0

10

20

30

40

50

60

70

20

40

60

80

100

120

140

160

-20-15-10-505

1015202530

1.7

Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service.

US Equity Review As of September 30, 2019

Broad MarketUS markets saw varied results during Q3 amid ongoing economic growth concerns, uncertainty surrounding US-China trade negotiations, and political risks spurred by the recently announced impeachment proceedings. The month of September was positive for most indexes, as key economic fundamentals continued to be reported at better than expected levels.

Market CapLarge-cap stocks were the only size segment to experience positive returns across all styles, with the S&P 500 Index returning 1.7%. Conversely, small-cap markets saw negative returns across all styles, with the Russell 2000 Index returning -2.4%.

Style and SectorDespite positive performance across large-cap indexes, active management generally struggled in this segment during the quarter. In addition, core and value-tilted managers performed relatively better than growth managers.

Style and Capitalization Market Performance (%)

S&P 500 Index Sector Performance (%)

Third Quarter Review

Valuations

US Large-Cap Equity

R1000 12M P/ESince 1995

US Large-Cap Growth Equity

R1000G 12M P/ESince 1995

US Large-Cap Value Equity

R1000V 12M P/ESince 1995

US Small-Cap Equity

R2000 12M P/ESince 1995

US Large-Cap Equity

Shiller S&P 10Y P/ESince 1900

-15.98

-9.63

-8.24

-8.89

3.19

3.71

4.00

3.87

4.13

2.92

4.25

-5.45

-4.17

-0.57

-2.40

0.48

1.49

1.36

1.42

1.78

1.16

1.70

-25 -15 -5 5 15

R Micro CapR 2000 Growth

R 2000 ValueR 2000

R Mid CapR 1000 Growth

R 1000 ValueR 1000

R Top 200R 3000

S&P 500 QTD

1 Yr

27.10

5.69

2.70

8.59

1.39

-3.57

24.74

3.92

-19.21

16.85

2.36

9.33

2.22

-0.12

3.34

0.99

-2.25

7.71

2.01

-6.30

6.11

0.51

-30 -15 0 15 30

UtilitiesComm Services

Materials

Information TechIndustrials

Health Care

Real EstateFinancials

Energy

Cons Staples

Cons Discretion QTD

1 Yr

0

5

10

15

20

25

30

35

10

15

20

25

30

20

40

60

80

100

10

15

20

25

10

20

30

40

50

Valuation data courtesy of Bloomberg Professional Service and Robert J. Shiller, Irrational Exuberance, Second Edition.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.

Non-US Equity Review As of September 30, 2019

Developed IntlEquity

MSCI EAFE12M P/E

Since 1995

Intl EquityMSCI ACW x US

12M P/ESince 1995

MSCI Style and Capitalization Market Performance (%)

MSCI Region Performance (%)

EmergingMarkets Equity

MSCI EM12M P/E

Since 1995

Developed Intl Growth Equity

MSCI EAFE Grth12M P/E

Since 1995

Developed Intl Value Equity

MSCI EAFE Val12M P/E

Since 1995


Valuations

Developed MarketsDeveloped international equity markets finished Q3 in negative territory, in contrast to the US market. Japan provided the highest positive returns, as second quarter growth figures announced in August revealed that it had grown at an annualized rate of 1.8%, which easily beat estimates. On the other hand, weakness in manufacturing drove the Purchasing Managers Index in Europe to its lowest level since 2013.

Emerging MarketsEmerging markets fared worse than developed markets during the quarter. Returns continue to be driven by trade tensions between the US and China, and market trends reversed numerous times in reaction to new tariff announcements and indications of short-term postponement.

Market Cap & StyleDuring the quarter, value stocks continued to underperform growth stocks, and small-cap stocks outperformed their larger counterparts, in both the developed international markets and emerging markets.

-2.02

-2.17

-0.75

-5.93

2.21

-4.92

-1.34

-1.23

-4.25

0.23

-1.80

-0.44

-0.45

-1.74

-1.07

-1.80

-10 -5 0 5

Emg Mkts

Pacific

Europe

EAFE SC

EAFE Growth

EAFE Value

EAFE

ACW Ex US QTD

1 Yr

-2.02

2.96

-4.69

3.01

-12.49

-2.88

0.02

-4.25

0.45

3.13

-5.20

-3.73

-2.49

-1.55

-20 -15 -10 -5 0 5 10

Emg Mkts

Canada

Japan

Pacific ex Japan

Middle East

United Kingdom

Europe Ex UK QTD1 Yr

0

20

40

60

80

100

0

10

20

30

40

0

10

20

30

40

50

60

0

10

20

30

40

50

0

10

20

30

40

50

Valuation data courtesy of Bloomberg Professional Service.P/E metrics shown represent the 5th through 95th percentiles to minimize the effect of outliers.All returns are shown net of foreign taxes on dividends.

Fixed Income Review As of September 30, 2019

Fixed Income Performance (%)Broad MarketBonds registered another strong quarter, with the Bloomberg US Aggregate Bond Index returning 2.3% for Q3. US Treasury yields fell across the curve, most notably in the longer-dated maturities. Concerns for economic growth increased investor focus on the behavior between shorter- and longer-term maturities along the Treasury yield curve. The spread between 2- and 10-year US Treasury maturities ended August 27th in negative territory.

Credit MarketUS investment-grade corporate spreads were volatile over the quarter, yet they ended exactly where they began. With assistance from the decline in Treasury rates, the Bloomberg US Corporate Index returned 3.1%.

Emerging Market Debt Hard currency emerging market debt continued to add to the gains experienced during Q1 and Q2 of 2019. Country specific risks heavily impacted certain pockets of the asset class in Q3, however the hard currency JPM EMBI Global Diversified Index still generated positive returns of 1.5%.


Valuations

US Aggregate Bonds

Bloomberg US Agg SpreadsSince 2000

US Corporate Bonds

Bloomberg US Corp Spreads

Since 1989

US CreditBonds

Bloomberg US Credit Spreads

Since 2000

US Treasury Bonds10-Yr US Treasury

YieldsSince 1953

US High-Yield Bonds

Bloomberg US Corp:HY Spreads

Since 2000

10.13

10.74

8.13

7.60

3.11

6.36

5.42

7.80

7.99

13.00

10.40

7.13

10.48

10.30

-0.79

1.34

0.85

0.71

0.92

1.33

0.92

1.37

1.74

3.05

1.89

1.35

2.40

2.27

-5 0 5 10 15 20

JPM GBI-EM Glbl Dvf'd (USD)(Unhedged)

JPM Emg Mkts Bond Global

FTSE Wrld Gov't Bond

Bloomberg Global Agg Bond

CS Leveraged Loan

Bloomberg US Corp Hi Yld

Bloomberg US ABS

Bloomberg US MBS

Bloomberg US Agcy

Bloomberg US Corp Credit

Bloomberg US CMBS Inv Grade

Bloomberg US Trsy US TIPS

Bloomberg US Trsy

Bloomberg US Agg QTD

1 Yr

0

2

4

6

8

10

12

14

0.00.10.20.30.40.50.60.70.80.91.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

0123456789

10

Valuation data courtesy of Bloomberg Professional Service.Valuations shown represent the 5th through 95th percentiles to minimize the effect of outliers.

Alternatives Review As of September 30, 2019

General Market - Diversified Inflation Strategies (DIS)Most DIS managers posted positive absolute returns during Q3. Performance ranged widely amongst managers RVK tracks and was once again bifurcated with the stronger performing managers generally having significantly larger allocations to REITs and, to a lesser extent, global listed infrastructure. Both of those asset classes saw positive returns during Q3 and have seen strong returns so far in 2019.

General Market - Real EstateCore private real estate returned 1.3% during Q3, as reported by the NCREIF-ODCE Index, with the total gross return comprised of 1.1% income and 0.3% price appreciation. While the income component remained in-line with historical levels, price appreciation increased by 26 basis points from the prior quarter. Investors in publicly traded real estate significantly outperformed their private market counterparts, returning 7.2% during the quarter, as measured by the FTSE/NAREIT All REITs Index.

General Market - Hedge FundsFollowing the industry’s best first half performance since 2009, hedge funds produced lackluster returns during Q3, albeit with considerable dispersion across strategies. The Fund of Hedge Funds (“FoHF”) strategies RVK follows closely produced returns between 0% and -1% during the quarter with year-to-date returns ranging from 3.0% to 8.0%.

General Market - Global Tactical Asset Allocation (GTAA)GTAA managers posted mixed and wide-ranging returns during Q3—both on an absolute basis and relative to a blend of 60% US equity and 40% US fixed income. Managers that saw positive returns, both on an absolute basis and relative to peers, generally held higher dedicated allocations to large-cap US equity markets. Other strategies that performed well against peers included managers with more idiosyncratic positions within international developed or emerging market currency, credit, and interest rates.

Third Quarter Review - Absolute Return

HFRI Hedge Fund Performance (%)

Third Quarter Review - Real Assets

Real Asset Performance (%)

6.38

4.33

-0.50

1.96

4.31

-2.83

0.04

-1.36

2.74

0.01

1.36

1.09

-0.88

0.13

1.77

-1.71

0.50

-1.29

0.98

-0.90

-5 0 5 10

Credit Arb

Merger Arb

Event Driven

Relative Value

Macro

Distressed

Mkt Neutral Eq

Equity Hedge

Conv Arbitrage

HFRI FOF QTD

1 Yr

7.13

-8.13

-10.98

-6.57

18.42

6.24

5.60

1.35

-5.02

-6.02

-1.84

7.80

1.41

1.31

-20 -10 0 10 20 30

Bloomberg US Trsy: US TIPS

Alerian MLP

S&P Glbl Nat. Res. (TR)

Bloomberg Cmdty (TR)

FTSE NAREIT Eq REITs (TR)

NCREIF Property

NCREIF ODCE (Gross) QTD

1 Yr

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD

Best34.00 35.03 39.38 8.44 78.51 27.94 22.49 20.00 38.82 30.14 15.02 21.31 37.28 8.35 26.96

26.19 32.18 16.23 5.24 58.21 26.85 15.99 18.23 32.39 19.31 9.59 17.13 33.01 1.87 20.93

21.39 26.34 15.97 2.06 46.78 22.04 13.56 18.06 29.30 13.69 3.20 11.96 25.03 0.01 20.55

21.36 19.31 11.63 -2.35 31.78 18.88 8.29 17.32 22.78 12.50 1.38 11.77 21.83 -1.26 14.18

13.54 18.37 11.17 -10.01 28.01 16.83 7.84 16.35 13.94 5.97 0.55 11.19 14.65 -2.08 12.80

12.17 16.32 10.25 -21.37 27.17 16.36 4.98 16.00 8.96 4.89 0.05 8.77 10.71 -4.02 12.05

7.49 15.79 6.97 -26.16 26.46 15.12 2.11 15.81 7.44 3.64 -0.27 8.52 7.77 -4.38 11.41

5.34 11.86 6.60 -33.79 18.91 15.06 0.10 10.94 2.47 3.37 -0.81 6.67 7.62 -4.62 8.52

4.91 10.39 5.49 -35.65 11.47 10.16 -4.18 8.78 0.07 2.45 -1.44 4.68 7.50 -4.68 7.58

4.55 4.85 5.00 -37.00 11.41 7.75 -5.72 6.98 -2.02 0.04 -3.30 2.65 5.23 -11.01 5.90

3.07 4.34 1.87 -37.74 5.93 6.54 -12.14 4.79 -2.60 -2.19 -4.41 2.18 3.54 -11.25 5.21

2.84 2.72 1.45 -43.38 1.92 6.31 -13.32 4.21 -8.61 -4.90 -4.47 1.00 3.01 -13.79 3.77

2.74 2.07 -1.57 -47.01 0.21 5.70 -15.94 0.11 -8.83 -4.95 -14.92 0.51 1.70 -14.58 3.13

Worst2.43 0.49 -15.70 -53.33 -29.76 0.13 -18.42 -1.06 -9.52 -17.01 -24.66 0.33 0.86 -17.89 1.81

S&P 500 -US Large

Cap

R 2000 -US Small

Cap

MSCI EAFE(Net) - Int'l

Dev.

MSCI EAFESC (Net) -

Int'l SC

MSCI EM(Net) - Int'lEmg Mkts

BloombrgUS Agg

Bond - FI

BloombrgUS Corp Hi

Yield - FI

BloombrgUS Trsy US

TIPS - FI

BloombrgUS Gov

Credit Lng- FI

NCREIFODCE

(Gross) -Real Estate

FTSENAREIT Eq

REITsIndex (TR)

HFRI FOFCompIndex -

ARS

BloombrgCmdty (TR)- Commod.

ICEBofAML 3Mo T-Bill -

Cash Equiv

Annual Asset Class Performance As of September 30, 2019

NCREIF ODCE (Gross) performance is reported quarterly; performance is shown N/A in interim-quarter months.

All performance referenced is net of fees. Total Fund performance excludes 130 RHR and Treasury Cash. RVKInc.com

Portland · Boise · New York · Chicago

Total Fund Summary The Total Fund market value was $3.20 billion as of September 30, 2019, an increase of approximately $21.4 million from the previous quarter. The Total Fund returned 1.02% for the third quarter, net of fees, and ranked in the 13th percentile among the Public Plans $1B-$5B peer group. The Total Fund underperformed the Policy Benchmark by 6 basis points and outperformed the Dynamic Policy Benchmark 2 basis points. All asset classes were within their respective target ranges as of September 30, 2019.

Contributors to Total Fund Performance Private Equity, Core Fixed Income, and Real Estate had the highest absolute performance during the quarter, returning 4.02%, 2.54%, and 2.45%, respectively. Performance versus the Policy Benchmark was aided by Real Estate, US Equity, and Real Return’s strong relative performance, which beat their benchmarks by 168, 52, and 38 basis points, respectively. Performance versus the Dynamic Policy Benchmark was positively impacted by individual manager relative outperformance, including First Eagle, Nuveen, and ORG, which beat their benchmarks by 197, 180, and 168 basis points, respectively.

Detractors from Total Fund Performance Emerging Market Equity, Developed Market Equity, and Non-Core Fixed Income had the lowest absolute performance during the quarter, returning -5.95%, -0.75%, and -0.24%, respectively.

Performance versus the Policy Benchmark was hurt by the weak relative performance of Emerging Market Equity, Non-Core Fixed Income, and Private Equity, which lagged their benchmarks by 170, 112, and 85 basis points, respectively.

Performance versus the Dynamic Policy Benchmark was negatively impacted by individual manager underperformance, including Copper Rock, Dimensional Small Cap, and Hotchkis & Wiley, which lagged their benchmarks by 331, 273, and 181 basis points, respectively.

Q3 2019 Executive Summary

As of September 30, 2019

Significant Events (Yes/No)

Last Meeting with Board of

Retirement

Last Meeting with RVK

Last RVK On-Site at Manager Office Comments

BNY Mellon HEDI No April 2019 April 2019BNY Mellon R1000 Index - NL No April 2019 April 2019Dimensional U.S. Small Cap Value No January 2016 October 2019 April 2018RHJ Small Cap Opportunities No April 2016 October 2019 October 2019

First Eagle International Value Equity No July 2019 May 2018

PanAgora Dynamic International Equity Yes November 2018 June 2017The firm announced the departure of Oleg Nusinzon on October 9th. He was

a member of the investment team and his role will be assumed by the remaining team members.

Artisan Non-U.S. Growth No September 2019 May 2018

Copper Rock International Small Cap Yes November 2018 November 2017

Matt Shumway, Senior Analyst, was let go in August. The termination stemmed from struggles across the board (research to idea generation).

Steven Pomper who was opportunistically hired in April will assume coverage.

DFA Emg Mkts Value;I (DFEVX) No October 2019 April 2018RBC Emerging Markets Equity No June 2016 June 2019 February 2019

BNY Mellon US Aggregate Bond - NL NoGarcia Hamilton Core Fixed Income No June 2017 July 2019 June 2016PGIM Core Plus Fixed Income No March 2018 June 2019 June 2019

Stone Harbor Emerging Market Debt Blend No March 2019 April 2016Hotchkis & Wiley High Yield No April 2019 July 2016Beach Point Leveraged Loan No August 2019 August 2019AG Direct Lending Fund III, LP No July 2018 August 2019 August 2019THL Direct Lending Fund IV, LLC No October 2019 October 2019

BNY Mellon TIPS No

Cohen & Steers Real Assets Fund Yes July 2017 October 2019 May 2019

Kate Morris, an analyst on the Global Infrastructure and Midstream Energy team, left Cohen & Steers in July. Jon Cheigh, Executive Vice President and

Head of Global Real Estate, has been named Chief Investment Officer of Cohen & Steers, effective October 30, 2019.

Nuveen Real Asset Income Fund No July 2017 February 2019 November 2018Private Natural Resources No August 2019 - -Private Infrastructure No August 2019 - -

Hamilton Lane No August 2019 - -

ORG No August 2019 - -

U.S. Equity

Developed Market Non-U.S. Equity

Emerging Market Equity

Santa Barbara County Employees' Retirement SystemManager Monitoring

Real Estate

Real Return

Private Equity

Core Fixed Income

Non-Core Fixed Income

Santa Barbara County Employees’ Retirement System As of September 30, 2019 Manager Monitoring

INVESTMENT MANAGER UPDATES

PanAgora Dynamic International Equity (SA) The firm announced the departure of Oleg Nusinzon on October 9th. He was a member of the investment team and his role will be assumed the remaining team members. Opinion: Since the senior leadership of the team remains in place, RVK does not recommend taking any action. Copper Rock International Small Cap (CF) Matt Shumway, Senior Analyst, was let go in August. The termination stemmed from struggles across the board (research to idea generation). Steven Pomper who was opportunistically hired in April will assume coverage. Opinion: Since this was a termination that stemmed from performance issues, RVK currently has no concerns. Cohen & Steers Real Assets Fund (CIT) Kate Morris, an analyst on the Global Infrastructure and Midstream Energy team, left Cohen & Steers in July. Jon Cheigh, Executive Vice President and Head of Global Real Estate, has been named Chief Investment Officer of Cohen & Steers, effective October 30, 2019. Opinion: RVK currently has no concerns and does not recommend taking any action at this time.

Santa Barbara County Employees' Retirement SystemWatch List


2019Q1

2019Q2

2019Q3

2019Q1

2019Q2

2019Q3 A B C D E F G H I J Explanation

Dimensional U.S. Small Cap Value (CF) 4/1/2005 Russell 2000 Value Index U.S. Small Cap Value

Equity

RHJ Small Cap Opportunities (SA) 6/1/2016 N/A (Insufficient

Performance History)N/A (Insufficient

Performance History) Russell 2000 Growth Index U.S. Small Cap Growth Equity

First Eagle International Value Equity (SA) 6/1/2014 MSCI EAFE Index (USD) (Net) EAFE Value

PanAgora Dynamic International Equity (SA) 5/1/2009 MSCI EAFE Index (USD) (Net) EAFE Core

Artisan Non-U.S. Growth (SA) 2/1/2014 MSCI EAFE Index (USD) (Net) EAFE Growth

Copper Rock International Small Cap (CF)

3/1/2013 MSCI EAFE Sm Cap Index (USD) (Net)

International SMID Cap Equity

DFA Emg Mkts Value;I (DFEVX) 5/1/2013 MSCI Emg Mkts Index (USD) (Net) Emerging Markets

Equity

RBC Emerging Markets Equity (CF) 9/1/2016 N/A (Insufficient


Performance History) MSCI Emg Mkts Index (USD) (Net) Emerging Markets Equity

A.B.C.D.E.F.G.H.I.J.

Dev

elop

ed M

arke

tno

n-U

.S. E

quity

Emer

ging

M

arke

ts

Equi

tyU

.S. E

quity

InvestmentManager

AssetClass

InceptionDate Peer GroupBenchmark

Test 1: If the Manager's rolling, five-year return (net of fees) falls below the rolling, five-year benchmark return for

three (3) consecutive quarters.

Test 2: If the Manager's rolling, five-year return (net of fees) for three (3)

consecutive quarters ranks in the bottom third of the General

Consultant's peer group universe.

Watch List Status

indicatesfailed test

indicatesfailed test Watch List Status

Qualitative Factor(s) Resulting inWatch List Addition

Qualitative Factors Resulting in Watch List Additions:

Violation of investment guidelinesDeviation from stated investment style or shifts in the firm’s philosophy or process Turnover of one or more key personnelChange in firm ownership or structure

Any other issue or situation of which the General Investment Consultant and/or Board become aware that is deemed material

Significant loss of clients and/or assets under managementSignificant and persistent lack of responsiveness to client requestsThe initiation of significant litigation or regulatory actionFailure to disclose significant information, including potential conflicts of interestChronic violations of this Investment Policy Statement

Santa Barbara County Employees' Retirement SystemWatch List


2019Q1

2019Q2

2019Q3

2019Q1

2019Q2

2019Q3 A B C D E F G H I J Explanation

Garcia Hamilton Core Fixed Income (SA) 9/1/2017 N/A (Insufficient


Performance History) Bloomberg US Agg Bond Index U.S. Broad Market Core Fixed Income

PGIM Core Plus Fixed Income (CF) 6/1/2018 N/A (Insufficient


Performance History) Bloomberg US Agg Bond Index U.S. Broad Market Core+ Fixed Income

Stone Harbor Emerging Market Debt Blend (CIT) 8/1/2012 On Watch (2018 Q1) On Watch (2018 Q1) Stone Harbor Blended Benchmark Emerging Markets Debt

Hotchkis & Wiley High Yield (SA) 12/1/2013 Bloomberg US Corp: Hi Yld Index U.S. High Yield Bonds

Beach Point Leveraged Loan (CF) 10/1/2012 CS Lvg'd Loan Index U.S. Bank Loans

Cohen & Steers Real Assets Fund (CIT) 9/1/2017 N/A (Insufficient

Performance History)N/A (No Comparable

Universe)Cohen & Steers Real Assets

Custom Index N/A

Nuveen Real Asset Income Fund (SA) 9/1/2017 N/A (Insufficient

Performance History)N/A (No Comparable

Universe) Nuveen Real Asset Blend Index N/A

A.B.C.D.E.F.G.H.I.J.

Qualitative Factors Resulting in Watch List Additions:

Violation of investment guidelines

Rea

lR

etur

nC

ore

Fixe

d In

com

eN

on-C

ore

Fixe

d In

com

e

Benchmark

Qualitative Factor(s) Resulting inWatch List Addition Peer Group

Test 1: If the Manager's rolling, five-year return (net of fees) falls below the rolling, five-year benchmark return for

three (3) consecutive quarters.

Test 2: If the Manager's rolling, five-year return (net of fees) for three (3)

consecutive quarters ranks in the bottom third of the General

Consultant's peer group universe.

indicatesfailed test Watch List StatusAsset

ClassInvestment

ManagerInception

Date

indicatesfailed test Watch List Status

Deviation from stated investment style or shifts in the firm’s philosophy or process Turnover of one or more key personnelChange in firm ownership or structureSignificant loss of clients and/or assets under managementSignificant and persistent lack of responsiveness to client requestsThe initiation of significant litigation or regulatory actionFailure to disclose significant information, including potential conflicts of interestChronic violations of this Investment Policy StatementAny other issue or situation of which the General Investment Consultant and/or Board become aware that is deemed material

Schedule of Investable Assets Ex Treasury Cash

Market Value($)

Allocation(%)

BNY Mellon HEDI (SA) 281,473,279 8.79BNY Mellon R1000 Index - NL (CF) 316,600,952 9.89Dimensional U.S. Small Cap Value (CF) 28,840,684 0.90RHJ Small Cap Opportunities (SA) 27,614,593 0.86First Eagle International Value Equity (SA) 94,948,755 2.97PanAgora Dynamic International Equity (SA) 95,623,906 2.99Artisan Non-U.S. Growth (SA) 107,857,901 3.37Copper Rock International Small Cap (CF) 50,570,654 1.58DFA Emg Mkts Value;I (DFEVX) 113,184,507 3.53RBC Emerging Markets Equity (CF) 128,034,062 4.00BNY Mellon US Aggregate Bond - NL (CF) 50,038,324 1.56Garcia Hamilton Core Fixed Income (SA) 249,561,930 7.79PGIM Core Plus Fixed Income (CF) 194,392,869 6.07Stone Harbor Emerging Market Debt Blend (CIT) 105,786,000 3.30Hotchkis & Wiley High Yield (SA) 73,219,875 2.29Beach Point Leveraged Loan (CF) 93,917,457 2.93AG Direct Lending Fund III, LP 12,694,117 0.40THL Direct Lending Fund IV, LLC 10,227,944 0.32BNY Mellon TIPS - NL (CF) 94,641,388 2.96Cohen & Steers Real Assets Fund (CIT) 144,586,310 4.52Nuveen Real Asset Income Fund (SA) 148,350,724 4.63Natural Resources Private Composite 29,922,956 0.93Infrastructure Private Composite 119,561,575 3.73ORG Real Estate 290,175,152 9.06130 Robin Hill Rd 6,876,283 0.21Private Equity Composite 310,523,346 9.70Transition Account 3,752,430 0.12Cash Composite 18,858,012 0.59

September 30, 2019 : $3,201,853,523

Periods Ending BeginningMarket Value ($)

NetCash Flow ($) Gain/Loss ($) Ending

Market Value ($) % Return Unit Value

FYTD 3,169,183,621 -5,098,098 32,444,863 3,196,530,386 1.02 101.02

Santa Barbara County Employees' Retirement SystemAsset Allocation By Manager and Schedule of Investable Assets


Performance shown is net of fees and provided by BNY Mellon. Allocations shown may not sum up to 100% exactly due to rounding. Schedule of Investable Assets excludes Treasury Cash. The fiscal year ends 06/30. The cash account contains $10 of settlement fees gained from Lord Abbett, which was liquidated in 2013.

Market Value($)

Allocation(%)

LowerRange

(%)Target

(%)UpperRange

(%)Total Fund Composite 3,201,853,523 100.0 - 100.0 -U.S. Equity Composite 654,529,508 20.4 15.0 19.0 23.0Dev'd Mkt. Non-U.S. Equity Composite 349,003,833 10.9 8.0 11.0 14.0Emerging Mkt. Equity Composite 241,218,569 7.5 4.0 7.0 10.0Core Fixed Income Composite 494,000,256 15.4 14.0 17.0 20.0Non-Core Fixed Income Composite 295,845,432 9.2 8.0 11.0 14.0Real Return Composite 537,065,209 16.8 8.0 15.0 22.0Real Estate Composite 290,180,644 9.1 5.0 10.0 15.0Private Equity Composite 310,523,346 9.7 5.0 10.0 15.0Cash Composite 18,858,012 0.6 0.0 0.0 2.0Transition Account 3,752,430 0.1 0.0 0.0 0.0

Santa Barbara County Employees' Retirement SystemAsset Allocation vs Target Allocation


Allocations shown may not sum up to 100% exactly due to rounding. Market value for the Transition Account represents residual assets from portfolio restructuring.

FYTDFY

2019FY

2018FY

2017FY

2016FY

2015FY

2014FY

2013FY

2012FY

2011FY

2010Since Incep.

3,201,853,523 1.02 7.76 7.80 10.49 1.37 0.42 15.25 8.10 1.99 22.01 14.37 8.22

Performance shown is net of fees and is annualized for periods greater than one year. The fiscal year for Santa Barbara County Employees' Retirement System ends 06/30. Inception date for the Total Fund is 01/01/1987. Total Fund performance excludes 130 RHR and Treasury Cash.

Total Fund

Plan Asset OverviewAs of September 30, 2019

Total Fund Value(January 1987 - September 2019)

Market Value($)

Performance (%)

Santa Barbara County Employees' Retirement System

0

0.5

1

1.5

2

2.5

3

Bill

ions

($)

Plan Sponsor TF Asset AllocationAl

loca

tion

(%)

US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate CashTotal Fund Composite 20.44 (68) 18.43 (43) 21.48 (39) 3.30 (61) 26.47 (28) 9.28 (32) 0.59 (96)

Median 24.77 17.36 19.70 4.04 17.01 6.65 1.57

Population 56 57 53 19 37 20 24

Santa Barbara County Employees' Retirement SystemAll Public Plans $1B-$5BPlan Sponsor TF Asset Allocation


Parentheses contain percentile ranks. International Fixed Income consists of Stone Harbor Emerging Market Debt Blend (CIT). US Fixed Income includes the Transition Account.

Trailing Performance

QTD CYTD 1Year

3Years

5Years

7Years

10Years 2018 2017

Total Fund Composite 1.02 (13) 11.38 (41) 6.33 (1) 7.97 (27) 5.99 (45) 6.73 (71) 7.52 (61) -1.87 (9) 15.39 (47)SBCERS Policy Benchmark 1.08 (12) 9.92 (76) 5.90 (5) 7.92 (28) 6.37 (26) 7.22 (54) 7.64 (55) -0.09 (4) 14.31 (67)SBCERS Dynamic Policy Benchmark 1.00 (14) 10.69 (59) 5.13 (9) 7.76 (33) 5.76 (53) 6.66 (73) N/A -2.55 (23) 15.68 (40)

Median 0.38 10.84 3.35 7.24 5.81 7.25 7.75 -4.13 15.01

Population 47 47 47 47 46 46 43 40 14

Fiscal Year Performance

-5.00

3.00

11.00

19.00

25.00

FYTD FY2019

FY2018

FY2017

FY2016

FY2015

FY2014

FY2013

FY2012

Total Fund Composite 1.02 (13) 7.76 (1) 7.80 (55) 10.49 (70) 1.37 (9) 0.42 (99) 15.25 (74) 8.10 (N/A) 1.99 (N/A)SBCERS Policy Benchmark 1.08 (12) 7.29 (7) 7.77 (55) 11.47 (60) 2.28 (2) 0.97 (88) 15.72 (59) 9.21 (N/A) 1.06 (N/A)SBCERS Dynamic Policy Benchmark 1.00 (14) 6.35 (22) 7.92 (46) 11.58 (59) 0.65 (37) 0.01 (100) 16.50 (53) 7.84 (N/A) N/A

Median 0.38 5.47 7.85 12.27 -0.17 2.26 16.82 N/A N/A

Population 47 27 14 14 13 11 11 8 7

Santa Barbara County Employees' Retirement SystemAll Public Plans $1B-$5B


Plan Sponsor Peer Group Analysis

Performance shown is net of fees. Parentheses contain percentile ranks. The fiscal year ends 06/30. Total Fund performance excludes 130 RHR and Treasury Cash.

5 Yrs Rolling Percentile Ranking0.00

25.00

50.00

75.00

100.0012/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Total Period 5-25Count

25-MedianCount

Median-75Count

75-95Count

Total Fund Composite 40 0 (0%) 7 (18%) 22 (55%) 11 (28%)SBCERS Policy Benchmark 40 1 (3%) 4 (10%) 16 (40%) 19 (48%)

Santa Barbara County Employees' Retirement SystemAll Public Plans $1B-$5BRolling Percentile Ranking

20 Quarters Rolling Periods As of September 30, 2019

Ranks shown are based on net of fees performance. Total Fund performance excludes 130 RHR and Treasury Cash.

Performance Attribution

SAA: 1.10% TAA: -0.09 % SS: -0.01 % MS: 0.02%

Santa Barbara County Employees' Retirement SystemTotal Fund Attribution - IDP

Quarter To Date Ending September 30, 2019

Performance shown is net of fees. Calculation is based on monthly periodicity. The Custom Real Return Benchmark is designated as the primary benchmark for the Real Return Composite in the Total Fund Attribution – IDP reports. See Glossary for additional information regarding the Total Fund Attribution - IDP calculation. Total Fund performance excludes 130 RHR and Treasury Cash.

Performance Attribution

SAA: 6.02% TAA: -0.72 % SS: -0.15 % MS: 1.18%

Santa Barbara County Employees' Retirement SystemTotal Fund Attribution - IDP

1 Year Ending September 30, 2019

Performance shown is net of fees. Calculation is based on monthly periodicity. The Custom Real Return Benchmark is designated as the primary benchmark for the Real Return Composite in the Total Fund Attribution – IDP reports. See Glossary for additional information regarding the Total Fund Attribution - IDP calculation. Total Fund performance excludes 130 RHR and Treasury Cash.

AllocationMarket

Value ($) %

Performance (%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

SinceIncep.

InceptionDate

Total Fund Composite 3,201,853,523 100.00 1.02 1.02 11.37 6.32 7.97 5.99 6.73 7.52 8.22 01/01/1987

Total Fund Composite ex 130 RHR 3,194,977,240 99.79 1.02 1.02 11.38 6.33 7.97 5.99 6.73 7.52 8.22 01/01/1987SBCERS Policy Benchmark 1.08 1.08 9.92 5.90 7.92 6.37 7.22 7.64 N/A

Difference -0.06 -0.06 1.46 0.43 0.05 -0.38 -0.49 -0.12 N/ASBCERS Dynamic Policy Benchmark 1.00 1.00 10.69 5.13 7.76 5.76 6.66 N/A N/A

Difference 0.02 0.02 0.69 1.20 0.21 0.23 0.07 N/A N/A

U.S. Equity Composite 654,529,508 20.44 1.68 1.68 20.94 4.98 13.62 10.52 12.90 12.67 10.62 01/01/1987Russell 3000 Index 1.16 1.16 20.09 2.92 12.83 10.44 13.00 13.08 10.33

Difference 0.52 0.52 0.85 2.06 0.79 0.08 -0.10 -0.41 0.29

Dev'd Mkt. Non-U.S. Equity Composite 349,003,833 10.90 -0.75 -0.75 13.79 0.36 5.89 4.17 6.90 N/A 7.72 07/01/2012MSCI EAFE Index (USD) (Net) -1.07 -1.07 12.80 -1.34 6.48 3.27 6.12 4.90 6.89

Difference 0.32 0.32 0.99 1.70 -0.59 0.90 0.78 N/A 0.83

Emerging Mkt. Equity Composite 241,218,569 7.53 -5.95 -5.95 3.76 -1.83 5.84 2.39 2.54 N/A 3.40 07/01/2012MSCI Emg Mkts Index (USD) (Net) -4.25 -4.25 5.90 -2.02 5.97 2.33 2.41 3.37 3.39

Difference -1.70 -1.70 -2.14 0.19 -0.13 0.06 0.13 N/A 0.01

Core Fixed Income Composite 494,000,256 15.43 2.54 2.54 8.89 10.34 N/A N/A N/A N/A 5.09 07/01/2017Bloomberg US Agg Bond Index 2.27 2.27 8.52 10.30 2.92 3.38 2.72 3.75 4.28

Difference 0.27 0.27 0.37 0.04 N/A N/A N/A N/A 0.81

Non-Core Fixed Income Composite 295,845,432 9.24 -0.24 -0.24 7.57 4.40 N/A N/A N/A N/A 2.45 07/01/2017Custom Non-Core Fixed Income Benchmark 0.88 0.88 9.35 6.77 4.95 4.26 4.23 6.05 4.49

Difference -1.12 -1.12 -1.78 -2.37 N/A N/A N/A N/A -2.04

Real Return Composite 537,065,209 16.77 1.61 1.61 11.08 7.39 N/A N/A N/A N/A 5.25 07/01/2017Consumer Price Index+4% 1.23 1.23 5.25 5.78 6.16 5.59 5.56 5.81 6.20

Difference 0.38 0.38 5.83 1.61 N/A N/A N/A N/A -0.95Custom Real Return Benchmark 1.32 1.32 10.71 6.74 N/A N/A N/A N/A 5.93

Difference 0.29 0.29 0.37 0.65 N/A N/A N/A N/A -0.68

Real Estate Composite 290,180,644 9.06 2.45 2.45 6.60 8.50 10.18 11.12 11.12 9.98 6.22 04/01/2006NCREIF ODCE Index (AWA) (Net) (1 Qtr Lag) 0.77 0.77 3.53 5.46 6.61 8.76 9.51 8.87 5.87

Difference 1.68 1.68 3.07 3.04 3.57 2.36 1.61 1.11 0.35

Private Equity Composite 310,523,346 9.70 4.02 4.02 8.59 16.53 16.20 12.17 14.18 14.25 9.43 06/01/2006Russell 3000+3% Index (1 Qtr Lag) 4.87 4.87 4.02 12.25 17.44 13.50 17.21 18.11 11.89

Difference -0.85 -0.85 4.57 4.28 -1.24 -1.33 -3.03 -3.86 -2.46

Santa Barbara County Employees' Retirement SystemAsset Allocation & Performance - Net of Fees


Performance shown is net of fees and provided by BNY Mellon. Performance is annualized for periods greater than one year. Total Fund performance excludes Treasury Cash. Indices show N/A for since inception returns when the fund contains more history than the corresponding benchmark. The fiscal year ends 06/30.

AllocationMarket

Value ($) %

Performance (%)

FYTD FY2019

FY2018

FY2017

FY2016

FY2015

FY2014

FY2013

FY2012

FY2011

Total Fund Composite 3,201,853,523 100.00 1.02 7.74 7.80 10.49 1.37 0.42 15.25 8.10 1.99 22.01

Total Fund Composite ex 130 RHR 3,194,977,240 99.79 1.02 7.76 7.80 10.49 1.37 0.42 15.25 8.10 1.99 22.01SBCERS Policy Benchmark 1.08 7.29 7.77 11.47 2.28 0.97 15.72 9.21 1.06 20.07

Difference -0.06 0.47 0.03 -0.98 -0.91 -0.55 -0.47 -1.11 0.93 1.94SBCERS Dynamic Policy Benchmark 1.00 6.35 7.92 11.58 0.65 0.01 16.50 7.84 N/A N/A

Difference 0.02 1.41 -0.12 -1.09 0.72 0.41 -1.25 0.26 N/A N/A

U.S. Equity Composite 654,529,508 20.44 1.68 11.05 15.53 14.82 3.22 6.31 25.01 19.58 0.95 32.69Russell 3000 Index 1.16 8.98 14.78 18.51 2.14 7.29 25.22 21.46 3.84 32.37

Difference 0.52 2.07 0.75 -3.69 1.08 -0.98 -0.21 -1.88 -2.89 0.32

Dev'd Mkt. Non-U.S. Equity Composite 349,003,833 10.90 -0.75 1.78 6.23 16.86 -6.62 -0.92 23.53 19.66 N/A N/AMSCI EAFE Index (USD) (Net) -1.07 1.08 6.84 20.27 -10.16 -4.22 23.57 18.62 -13.83 30.36

Difference 0.32 0.70 -0.61 -3.41 3.54 3.30 -0.04 1.04 N/A N/A

Emerging Mkt. Equity Composite 241,218,569 7.53 -5.95 5.80 5.86 22.55 -9.97 -6.02 12.12 4.09 N/A N/AMSCI Emg Mkts Index (USD) (Net) -4.25 1.21 8.20 23.75 -12.05 -5.12 14.31 2.87 -15.94 27.80

Difference -1.70 4.59 -2.34 -1.20 2.08 -0.90 -2.19 1.22 N/A N/A

Core Fixed Income Composite 494,000,256 15.43 2.54 7.62 1.34 N/A N/A N/A N/A N/A N/A N/ABloomberg US Agg Bond Index 2.27 7.87 -0.40 -0.31 6.00 1.86 4.37 -0.69 7.47 3.90

Difference 0.27 -0.25 1.74 N/A N/A N/A N/A N/A N/A N/A

Non-Core Fixed Income Composite 295,845,432 9.24 -0.24 5.47 0.37 N/A N/A N/A N/A N/A N/A N/ACustom Non-Core Fixed Income Benchmark 0.88 7.44 1.85 8.86 2.75 -1.98 8.51 6.22 4.87 13.59

Difference -1.12 -1.97 -1.48 N/A N/A N/A N/A N/A N/A N/A

Real Return Composite 537,065,209 16.77 1.61 6.27 3.90 N/A N/A N/A N/A N/A N/A N/AConsumer Price Index+4% 1.23 5.71 6.99 5.70 5.04 4.13 6.15 5.82 5.73 7.70

Difference 0.38 0.56 -3.09 N/A N/A N/A N/A N/A N/A N/ACustom Real Return Benchmark 1.32 5.21 6.80 N/A N/A N/A N/A N/A N/A N/A

Difference 0.29 1.06 -2.90 N/A N/A N/A N/A N/A N/A N/A

Real Estate Composite 290,180,644 9.06 2.45 9.50 12.27 9.20 13.75 10.31 12.26 10.37 10.20 18.21NCREIF ODCE Index (AWA) (Net) (1 Qtr Lag) 0.77 6.55 7.11 7.36 12.62 12.40 12.74 9.68 13.59 19.01

Difference 1.68 2.95 5.16 1.84 1.13 -2.09 -0.48 0.69 -3.39 -0.80

Private Equity Composite 310,523,346 9.70 4.02 13.64 15.69 18.96 4.69 11.12 20.27 12.21 9.29 20.14Russell 3000+3% Index (1 Qtr Lag) 4.87 12.03 17.23 21.61 2.65 15.74 26.29 18.00 10.40 20.93

Difference -0.85 1.61 -1.54 -2.65 2.04 -4.62 -6.02 -5.79 -1.11 -0.79

Santa Barbara County Employees' Retirement SystemAsset Allocation & Performance - Fiscal Year


Performance shown is net of fees and provided by BNY Mellon. Total Fund performance excludes Treasury Cash. Indices show N/A for since inception returns when the fund contains more history than the corresponding benchmark. The fiscal year ends 06/30.

AllocationMarket

Value ($) %

Performance (%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

SinceIncep.

InceptionDate

U.S. Equity Composite 654,529,508 20.44 1.68 1.68 20.94 4.98 13.62 10.52 12.90 12.67 10.62 01/01/1987Russell 3000 Index 1.16 1.16 20.09 2.92 12.83 10.44 13.00 13.08 10.33

Difference 0.52 0.52 0.85 2.06 0.79 0.08 -0.10 -0.41 0.29

BNY Mellon HEDI (SA) 281,473,279 8.79 2.91 2.91 24.27 11.24 15.94 N/A N/A N/A 4.92 05/01/2019Russell 1000 Index 1.42 1.42 20.53 3.87 13.19 10.62 13.21 13.23 1.62

Difference 1.49 1.49 3.74 7.37 2.75 N/A N/A N/A 3.30IM U.S. Large Cap Core Equity (MF) Median 1.46 1.46 19.49 3.21 12.26 9.41 12.00 11.90 1.55

Rank 11 11 5 2 3 N/A N/A N/A 5

BNY Mellon R1000 Index - NL (CF) 316,600,952 9.89 1.41 1.41 20.56 3.88 13.28 10.69 13.24 N/A 1.64 05/01/2019Russell 1000 Index 1.42 1.42 20.53 3.87 13.19 10.62 13.21 13.23 1.62

Difference -0.01 -0.01 0.03 0.01 0.09 0.07 0.03 N/A 0.02IM U.S. Large Cap Core Equity (MF) Median 1.46 1.46 19.49 3.21 12.26 9.41 12.00 11.90 1.55

Rank 54 54 35 43 27 18 14 N/A 46

Dimensional U.S. Small Cap Value (CF) 28,840,684 0.90 -1.22 -1.22 8.94 -13.00 4.43 5.16 9.17 10.49 7.33 04/01/2005Russell 2000 Val Index -0.57 -0.57 12.82 -8.24 6.54 7.17 9.35 10.06 6.87

Difference -0.65 -0.65 -3.88 -4.76 -2.11 -2.01 -0.18 0.43 0.46IM U.S. Small Cap Value Equity (MF) Median 0.31 0.31 11.36 -9.87 5.09 4.99 8.10 9.14 6.55

Rank 80 80 83 78 63 46 24 17 18

RHJ Small Cap Opportunities (SA) 27,614,593 0.86 -4.67 -4.67 7.60 -16.38 9.99 N/A N/A N/A 11.08 06/01/2016Russell 2000 Grth Index -4.17 -4.17 15.34 -9.63 9.79 9.08 11.43 12.25 11.54

Difference -0.50 -0.50 -7.74 -6.75 0.20 N/A N/A N/A -0.46IM U.S. Small Cap Growth Equity (MF) Median -5.12 -5.12 7.15 -15.03 9.13 7.76 8.57 11.30 11.00

Rank 49 49 40 51 35 N/A N/A N/A 50

Dev'd Mkt. Non-U.S. Equity Composite 349,003,833 10.90 -0.75 -0.75 13.79 0.36 5.89 4.17 6.90 N/A 7.72 07/01/2012MSCI EAFE Index (USD) (Net) -1.07 -1.07 12.80 -1.34 6.48 3.27 6.12 4.90 6.89

Difference 0.32 0.32 0.99 1.70 -0.59 0.90 0.78 N/A 0.83

First Eagle International Value Equity (SA) 94,948,755 2.97 0.90 0.90 13.15 5.13 4.19 4.30 N/A N/A 3.49 06/01/2014MSCI EAFE Index (USD) (Net) -1.07 -1.07 12.80 -1.34 6.48 3.27 6.12 4.90 2.08

Difference 1.97 1.97 0.35 6.47 -2.29 1.03 N/A N/A 1.41IM EAFE Value (MF) Median -1.50 -1.50 8.80 -6.26 3.60 1.02 4.16 3.28 -0.01

Rank 1 1 4 1 31 2 N/A N/A 2






AllocationMarket

Value ($) %

Performance (%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

SinceIncep.

InceptionDate

PanAgora Dynamic International Equity (SA) 95,623,906 2.99 -1.94 -1.94 8.60 -5.34 4.57 3.57 6.46 5.89 8.49 05/01/2009MSCI EAFE Index (USD) (Net) -1.07 -1.07 12.80 -1.34 6.48 3.27 6.12 4.90 7.60

Difference -0.87 -0.87 -4.20 -4.00 -1.91 0.30 0.34 0.99 0.89IM EAFE Core (MF) Median -1.15 -1.15 12.51 -2.09 5.66 2.87 5.49 4.49 7.13

Rank 80 80 95 86 69 27 13 11 13

Artisan Non-U.S. Growth (SA) 107,857,901 3.37 0.34 0.34 20.15 6.48 9.33 4.66 N/A N/A 5.09 02/01/2014MSCI EAFE Index (USD) (Net) -1.07 -1.07 12.80 -1.34 6.48 3.27 6.12 4.90 3.38

Difference 1.41 1.41 7.35 7.82 2.85 1.39 N/A N/A 1.71IM EAFE Growth (MF) Median -1.35 -1.35 17.39 -0.52 6.75 4.16 6.46 5.92 3.95

Rank 15 15 16 7 15 32 N/A N/A 30

Copper Rock International Small Cap (CF) 50,570,654 1.58 -3.75 -3.75 12.44 -8.28 1.91 2.91 N/A N/A 5.02 03/01/2013MSCI EAFE Sm Cap Index (USD) (Net) -0.44 -0.44 12.05 -5.93 5.94 6.02 8.63 7.45 7.23

Difference -3.31 -3.31 0.39 -2.35 -4.03 -3.11 N/A N/A -2.21IM International SMID Cap Equity (MF) Median -1.99 -1.99 11.28 -7.15 4.73 4.07 6.79 7.07 5.72

Rank 87 87 36 65 88 75 N/A N/A 66

Emerging Mkt. Equity Composite 241,218,569 7.53 -5.95 -5.95 3.76 -1.83 5.84 2.39 2.54 N/A 3.40 07/01/2012MSCI Emg Mkts Index (USD) (Net) -4.25 -4.25 5.90 -2.02 5.97 2.33 2.41 3.37 3.39

Difference -1.70 -1.70 -2.14 0.19 -0.13 0.06 0.13 N/A 0.01

DFA Emg Mkts Value;I (DFEVX) 113,184,507 3.53 -6.98 -6.98 -0.02 -7.21 5.32 1.47 N/A N/A 0.86 05/01/2013MSCI Emg Mkts Index (USD) (Net) -4.25 -4.25 5.90 -2.02 5.97 2.33 2.41 3.37 1.91

Difference -2.73 -2.73 -5.92 -5.19 -0.65 -0.86 N/A N/A -1.05IM Emerging Markets Equity (MF) Median -3.48 -3.48 8.54 0.29 5.24 2.03 2.52 3.27 1.69

Rank 96 96 97 97 49 60 N/A N/A 70

RBC Emerging Markets Equity (CF) 128,034,062 4.00 -5.02 -5.02 7.34 3.48 6.32 N/A N/A N/A 6.76 09/01/2016MSCI Emg Mkts Index (USD) (Net) -4.25 -4.25 5.90 -2.02 5.97 2.33 2.41 3.37 6.25

Difference -0.77 -0.77 1.44 5.50 0.35 N/A N/A N/A 0.51IM Emerging Markets Equity (MF) Median -3.48 -3.48 8.54 0.29 5.24 2.03 2.52 3.27 5.57

Rank 82 82 60 27 33 N/A N/A N/A 32




AllocationMarket

Value ($) %

Performance (%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

SinceIncep.

InceptionDate

Core Fixed Income Composite 494,000,256 15.43 2.54 2.54 8.89 10.34 N/A N/A N/A N/A 5.09 07/01/2017Bloomberg US Agg Bond Index 2.27 2.27 8.52 10.30 2.92 3.38 2.72 3.75 4.28


BNY Mellon US Aggregate Bond - NL (CF) 50,038,324 1.56 2.25 2.25 N/A N/A N/A N/A N/A N/A 5.37 05/01/2019Bloomberg US Agg Bond Index 2.27 2.27 8.52 10.30 2.92 3.38 2.72 3.75 5.39

Difference -0.02 -0.02 N/A N/A N/A N/A N/A N/A -0.02IM U.S. Broad Market Core Fixed Income (MF) Median 2.16 2.16 8.68 9.81 2.86 3.11 2.61 3.90 5.17

Rank 37 37 N/A N/A N/A N/A N/A N/A 30

Garcia Hamilton Core Fixed Income (SA) 249,561,930 7.79 2.46 2.46 7.56 9.04 N/A N/A N/A N/A 4.23 09/01/2017Bloomberg US Agg Bond Index 2.27 2.27 8.52 10.30 2.92 3.38 2.72 3.75 3.96

Difference 0.19 0.19 -0.96 -1.26 N/A N/A N/A N/A 0.27IM U.S. Broad Market Core Fixed Income (MF) Median 2.16 2.16 8.68 9.81 2.86 3.11 2.61 3.90 3.71

Rank 9 9 86 80 N/A N/A N/A N/A 13

PGIM Core Plus Fixed Income (CF) 194,392,869 6.07 2.71 2.71 10.87 12.09 N/A N/A N/A N/A 9.15 06/01/2018Bloomberg US Agg Bond Index 2.27 2.27 8.52 10.30 2.92 3.38 2.72 3.75 7.54

Difference 0.44 0.44 2.35 1.79 N/A N/A N/A N/A 1.61IM U.S. Broad Market Core+ Fixed Income (MF) Median 2.08 2.08 8.91 9.71 3.29 3.40 3.00 4.44 7.31

Rank 5 5 5 3 N/A N/A N/A N/A 3

Non-Core Fixed Income Composite 295,845,432 9.24 -0.24 -0.24 7.57 4.40 N/A N/A N/A N/A 2.45 07/01/2017Custom Non-Core Fixed Income Benchmark 0.88 0.88 9.35 6.77 4.95 4.26 4.23 6.05 4.49

Difference -1.12 -1.12 -1.78 -2.37 N/A N/A N/A N/A -2.04

Stone Harbor Emerging Market Debt Blend (CIT) 105,786,000 3.30 -0.73 -0.73 9.72 8.59 2.57 1.99 0.75 N/A 1.08 08/01/2012Stone Harbor Blended Benchmark 0.38 0.38 10.21 10.81 3.94 3.14 2.28 4.68 2.59

Difference -1.11 -1.11 -0.49 -2.22 -1.37 -1.15 -1.53 N/A -1.51IM Emerging Markets Debt (MF) Median 0.21 0.21 10.21 9.40 3.69 3.85 2.96 5.44 3.28

Rank 72 72 60 67 87 82 84 N/A 85

Hotchkis & Wiley High Yield (SA) 73,219,875 2.29 -0.48 -0.48 7.81 1.94 4.52 3.70 N/A N/A 3.93 12/01/2013Bloomberg US Corp Hi Yld Index 1.33 1.33 11.41 6.36 6.07 5.37 5.88 7.94 5.30

Difference -1.81 -1.81 -3.60 -4.42 -1.55 -1.67 N/A N/A -1.37IM U.S. High Yield Bonds (MF) Median 1.24 1.24 10.78 5.34 5.16 4.15 4.87 6.83 4.14

Rank 97 97 87 97 73 70 N/A N/A 59




AllocationMarket

Value ($) %

Performance (%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

SinceIncep.

InceptionDate

Beach Point Leveraged Loan (CF) 93,917,457 2.93 1.34 1.34 6.89 3.47 3.34 3.57 4.13 N/A 4.13 10/01/2012CS Lvg'd Loan Index 0.92 0.92 6.39 3.11 4.68 4.11 4.38 5.38 4.38

Difference 0.42 0.42 0.50 0.36 -1.34 -0.54 -0.25 N/A -0.25IM U.S. Bank Loans (MF) Median 0.81 0.81 6.11 2.23 3.70 3.21 3.36 4.44 3.36

Rank 7 7 16 8 69 31 10 N/A 10

AG Direct Lending Fund III, LP 12,694,117 0.40 N/A N/A N/A N/A N/A N/A N/A N/A N/A 10/01/2018

THL Direct Lending Fund IV, LLC 10,227,944 0.32 N/A N/A N/A N/A N/A N/A 05/01/2019

Real Return Composite 537,065,209 16.77 1.61 1.61 11.08 7.39 N/A N/A N/A N/A 5.25 07/01/2017Consumer Price Index+4% 1.23 1.23 5.25 5.78 6.16 5.59 5.56 5.81 6.20

Difference 0.38 0.38 5.83 1.61 N/A N/A N/A N/A -0.95Custom Real Return Benchmark 1.32 1.32 10.71 6.74 N/A N/A N/A N/A 5.93

Difference 0.29 0.29 0.37 0.65 N/A N/A N/A N/A -0.68

Public Real Return Composite 387,580,678 12.10

BNY Mellon TIPS - NL (CF) 94,641,388 2.96 1.34 1.34 7.58 7.10 2.21 2.44 N/A N/A 3.90 05/01/2019Bloomberg US Trsy US TIPS Index 1.35 1.35 7.58 7.13 2.21 2.45 1.06 3.46 3.90

Difference -0.01 -0.01 0.00 -0.03 0.00 -0.01 N/A N/A 0.00IM U.S. TIPS (MF) Median 0.80 0.80 6.80 5.71 1.76 1.73 0.56 2.78 2.79

Rank 19 19 23 10 19 10 N/A N/A 12

Cohen & Steers Real Assets Fund (CIT) 144,586,310 4.52 0.79 0.79 13.18 4.68 N/A N/A N/A N/A 3.68 09/01/2017Cohen & Steers Real Assets Custom Index 0.55 0.55 11.98 3.94 3.88 1.41 0.90 N/A 3.46


Nuveen Real Asset Income Fund (SA) 148,350,724 4.63 3.87 3.87 19.50 13.37 N/A N/A N/A N/A 6.67 09/01/2017Nuveen Real Asset Income Blend Index 2.07 2.07 16.64 10.86 6.04 5.64 6.66 N/A 5.00





AllocationMarket

Value ($) %

Performance (%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

SinceIncep.

InceptionDate

Private Real Return Composite 149,484,531 4.67

Natural Resources Private Composite 29,922,956 0.93 0.27 0.27 2.09 3.28 5.88 5.35 N/A N/A 4.64 10/01/2013Consumer Price Index+4% (1 Qtr Lag) 1.76 1.76 4.50 5.71 6.13 5.51 5.65 5.80 5.62

Difference -1.49 -1.49 -2.41 -2.43 -0.25 -0.16 N/A N/A -0.98

Infrastructure Private Composite 119,561,575 3.73 0.36 0.36 2.71 5.46 11.12 -3.65 N/A N/A -10.84 01/01/2014Consumer Price Index+4% 1.23 1.23 5.25 5.78 6.16 5.59 5.56 5.81 5.77

Difference -0.87 -0.87 -2.54 -0.32 4.96 -9.24 N/A N/A -16.61

Real Estate Composite 290,180,644 9.06 2.45 2.45 6.60 8.50 10.18 11.12 11.12 9.98 6.22 04/01/2006NCREIF ODCE Index (AWA) (Net) (1 Qtr Lag) 0.77 0.77 3.53 5.46 6.61 8.76 9.51 8.87 5.87

Difference 1.68 1.68 3.07 3.04 3.57 2.36 1.61 1.11 0.35

ORG Real Estate 290,175,152 9.06 2.45 2.45 6.60 8.50 10.43 11.08 11.27 9.97 6.22 04/01/2006NCREIF ODCE Index (AWA) (Net) (1 Qtr Lag) 0.77 0.77 3.53 5.46 6.61 8.76 9.51 8.87 5.87

Difference 1.68 1.68 3.07 3.04 3.82 2.32 1.76 1.10 0.35

Private Equity Composite 310,523,346 9.70 4.02 4.02 8.59 16.53 16.20 12.17 14.18 14.25 9.43 06/01/2006Russell 3000+3% Index (1 Qtr Lag) 4.87 4.87 4.02 12.25 17.44 13.50 17.21 18.11 11.89

Difference -0.85 -0.85 4.57 4.28 -1.24 -1.33 -3.03 -3.86 -2.46


Plan Sponsor Scattergram - 5 Years Up/Down Markets - 5 Years

Plan Sponsor Peer Group Analysis - Multi Statistics (Beta vs. S&P 500)

Return StandardDeviation

Total Fund Composite 5.99 5.50SBCERS Policy Benchmark 6.37 5.54Median 5.81 6.48

5Years

5Years

5Years

5Years

5Years

Total Fund Composite 5.50 (89) 0.91 (18) 5.01 (45) 3.15 (92) 0.42 (87)SBCERS Policy Benchmark 5.54 (87) 0.97 (14) 5.37 (35) 3.03 (93) 0.39 (91)

Median 6.48 0.78 4.88 4.07 0.51

Population 46 46 46 46 46

Santa Barbara County Employees' Retirement SystemTotal Fund Composite vs. All Public Plans $1B-$5B


Performance shown is net of fees. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Total Fund performance excludes 130 RHR and Treasury Cash.

Plan Sponsor Scattergram - 10 Years Up/Down Markets - 10 Years

Plan Sponsor Peer Group Analysis - Multi Statistics (Beta vs. S&P 500)


Total Fund Composite 7.52 6.99SBCERS Policy Benchmark 7.64 6.85Median 7.75 7.39

10Years

10Years

10Years

10Years

10Years

Total Fund Composite 6.99 (67) 1.00 (48) 6.98 (63) 4.00 (74) 0.51 (71)SBCERS Policy Benchmark 6.85 (72) 1.03 (36) 7.08 (57) 3.86 (81) 0.49 (79)

Median 7.39 0.99 7.29 4.39 0.55

Population 43 43 43 43 43

Santa Barbara County Employees' Retirement SystemTotal Fund Composite vs. All Public Plans $1B-$5B


Performance shown is net of fees. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Total Fund performance excludes 130 RHR and Treasury Cash.

Ret

urn

(%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

U.S. Equity Composite 1.70 (26) 1.70 (26) 21.02 (32) 5.09 (21) 13.79 (27) 10.73 (33) 13.10 (37) 12.89 (49)Russell 3000 Index 1.16 (38) 1.16 (38) 20.09 (41) 2.92 (35) 12.83 (37) 10.44 (38) 13.00 (39) 13.08 (45)

5th Percentile 3.50 3.50 27.59 10.55 18.37 14.45 15.96 15.911st Quartile 1.71 1.71 21.96 4.26 14.07 11.35 13.69 14.01Median 0.52 0.52 18.74 0.26 11.31 9.44 12.45 12.833rd Quartile -1.47 -1.47 15.37 -5.14 8.56 7.53 10.98 11.6695th Percentile -5.76 -5.76 8.75 -12.72 4.09 4.06 7.62 9.52

Population 1,961 1,961 1,957 1,954 1,906 1,833 1,729 1,567

Santa Barbara County Employees' Retirement SystemU.S. Equity Composite vs. IM U.S. Equity (SA+CF)Peer Group Analysis


Performance shown is gross of fees. Parentheses contain percentile ranks.

Peer Group Scattergram - 10 Years Up/Down Markets - 10 Years

Peer Group Analysis - Multi Statistics


U.S. Equity Composite 12.89 12.93Russell 3000 Index 13.08 13.08Median 12.83 14.65

-4.00

0.004.00

8.0012.00

16.00

TrackingError

-0.94

-0.55-0.16

0.230.62

1.01

InfoRatio

4.00

6.008.00

10.0012.00

14.00

DownsideRisk

65.00

80.00

95.00

110.00

125.00

Up MktCapture

50.00

100.00

150.00

200.00

Down MktCapture

10Years

10Years

10Years

10Years

10Years

10Years

U.S. Equity Composite 0.98 (29) 1.48 (96) -0.13 (68) 7.77 (75) 98.72 (67) 99.18 (63)Russell 3000 Index 0.98 (29) 0.00 (100) N/A 7.93 (69) 100.00 (60) 100.00 (61)

Median 0.87 5.27 0.00 8.85 102.28 106.22

Population 1,567 1,567 1,567 1,567 1,567 1,567

Santa Barbara County Employees' Retirement SystemU.S. Equity Composite vs. IM U.S. Equity (SA+CF)


Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks.

Top Ten Equity HoldingsPortfolioWeight

(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)Microsoft Corp 3.56 3.58 -0.02 4.14Apple Inc 3.17 3.44 -0.27 13.59Amazon.com Inc 1.80 2.44 -0.64 -8.33Berkshire Hathaway Inc 1.49 1.38 0.11 -2.42Alphabet Inc 1.35 1.24 0.11 12.78Alphabet Inc 1.32 1.26 0.06 12.78Johnson & Johnson 1.30 1.17 0.13 -6.42Facebook Inc 1.29 1.45 -0.16 -7.73Procter & Gamble Co (The) 1.15 1.05 0.10 14.17Visa Inc 1.10 1.02 0.08 -0.75

% of Portfolio 17.53 18.03 -0.50

Portfolio CharacteristicsPortfolio Benchmark

Wtd. Avg. Mkt. Cap ($M) 199,232 209,668Median Mkt. Cap ($M) 3,124 1,604Price/Earnings Ratio 21.01 20.43Price/Book Ratio 3.55 3.355 Yr. EPS Growth Rate (%) 14.76 15.73Current Yield (%) 1.76 1.90Beta (5 Years, Monthly) 0.93 1.00Number of Securities 1,928 3,005

Distribution of Market Capitalization (%)

Santa Barbara County Employees' Retirement SystemU.S. Equity Composite vs. Russell 3000 IndexPortfolio Characteristics


Alphabet's Class A and Class C shares are both recognized as "Alphabet Inc."

Ret

urn

(%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

Dev'd Mkt. Non-U.S. Equity Composite -0.61 (34) -0.61 (34) 14.32 (38) 0.98 (23) 6.48 (44) 4.75 (34) 7.43 (33) N/AMSCI EAFE Index (USD) (Net) -1.07 (52) -1.07 (52) 12.80 (56) -1.34 (39) 6.48 (44) 3.27 (67) 6.12 (74) 4.90 (87)

5th Percentile 0.57 0.57 19.50 5.36 10.51 7.90 9.64 8.541st Quartile -0.34 -0.34 15.56 0.61 7.70 5.14 7.68 7.35Median -1.01 -1.01 13.09 -2.30 6.16 3.91 6.75 6.313rd Quartile -1.88 -1.88 10.30 -4.82 5.23 2.91 6.09 5.4695th Percentile -2.68 -2.68 8.11 -7.87 3.53 1.81 4.90 4.11

Population 135 135 135 135 133 131 126 119

Santa Barbara County Employees' Retirement SystemDev'd Mkt. Non-U.S. Equity Composite vs. IM All EAFE (SA+CF)Peer Group Analysis






Dev'd Mkt. Non-U.S. Equity Composite 4.75 10.62MSCI EAFE Index (USD) (Net) 3.27 11.07Median 3.91 11.76

5Years

5Years

5Years

5Years

5Years

5Years

Dev'd Mkt. Non-U.S. Equity Composite 0.40 (26) 1.91 (95) 0.73 (18) 6.93 (82) 103.64 (57) 86.02 (76)MSCI EAFE Index (USD) (Net) 0.26 (65) 0.00 (100) N/A 7.63 (61) 100.00 (75) 100.00 (44)

Median 0.31 3.04 0.23 7.97 106.68 98.19

Population 131 131 131 131 131 131

Santa Barbara County Employees' Retirement SystemDev'd Mkt. Non-U.S. Equity Composite vs. IM All EAFE (SA+CF)




(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)Nestle SA, Cham Und Vevey 2.68 2.41 0.27 4.79SPDR Gold Trust 2.57 0.00 2.57 4.26Linde Plc 2.30 0.00 2.30 -3.00Deutsche Boerse AG Frankfurt 2.26 0.22 2.04 10.45Wirecard AG 1.63 0.14 1.49 -5.02L'Air Liquide SA 1.39 0.44 0.95 1.70AIA Group Ltd 1.34 0.83 0.51 -12.08Airbus SE 1.33 0.55 0.78 -8.39Aon plc 1.06 0.00 1.06 0.53Deutsche Post AG 0.94 0.24 0.70 1.61

% of Portfolio 17.50 4.83 12.67


Wtd. Avg. Mkt. Cap ($M) 58,435 63,391Median Mkt. Cap ($M) 10,365 10,159Price/Earnings Ratio 16.47 15.24Price/Book Ratio 2.56 2.305 Yr. EPS Growth Rate (%) 12.22 7.44Current Yield (%) 2.73 3.52Beta (5 Years, Monthly) 0.87 1.00Number of Securities 428 923


Santa Barbara County Employees' Retirement SystemDev'd Mkt. Non-U.S. Equity Composite vs. MSCI EAFE Index (USD) (Net)Portfolio Characteristics


Ret

urn

(%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

Emerging Mkt. Equity Composite -5.95 (92) -5.95 (92) 3.76 (85) -1.83 (70) 5.85 (54) 2.52 (62) 2.72 (78) N/AMSCI Emg Mkts Index (USD) (Net) -4.25 (66) -4.25 (66) 5.90 (66) -2.02 (72) 5.97 (50) 2.33 (66) 2.41 (82) 3.37 (88)

5th Percentile -0.50 -0.50 17.14 10.66 10.01 6.51 6.88 7.271st Quartile -2.17 -2.17 11.93 3.62 8.02 4.37 5.14 6.05Median -3.62 -3.62 8.26 0.07 5.97 3.09 4.00 4.833rd Quartile -4.57 -4.57 5.12 -2.65 4.47 1.95 2.97 3.9095th Percentile -6.51 -6.51 1.64 -5.91 2.26 -0.33 1.52 2.88

Population 248 248 247 247 242 217 175 113

Santa Barbara County Employees' Retirement SystemEmerging Mkt. Equity Composite vs. IM Emerging Markets Equity (SA+CF)Peer Group Analysis






Emerging Mkt. Equity Composite 2.52 12.93MSCI Emg Mkts Index (USD) (Net) 2.33 14.08Median 3.09 14.42

5Years

5Years

5Years

5Years

5Years

5Years

Emerging Mkt. Equity Composite 0.18 (61) 2.55 (91) 0.00 (66) 8.92 (82) 91.44 (78) 88.31 (82)MSCI Emg Mkts Index (USD) (Net) 0.17 (66) 0.00 (100) N/A 9.96 (38) 100.00 (64) 100.00 (37)

Median 0.21 4.16 0.18 9.69 104.02 96.84

Population 217 217 217 217 217 217

Santa Barbara County Employees' Retirement SystemEmerging Mkt. Equity Composite vs. IM Emerging Markets Equity (SA+CF)




(%)

BenchmarkWeight

(%)

ActiveWeight

(%)

QuarterlyReturn

(%)AIA Group Ltd 2.58 0.00 2.58 -12.08Naspers Ltd 2.36 1.24 1.12 -5.86Taiwan Semiconductor Mfg 2.24 4.03 -1.79 14.45Ping An Insurance Group 2.20 1.20 1.00 -3.49Housing Development Fin Corp Ltd 2.19 0.86 1.33 -11.35Tata Consultancy Services Ltd 2.18 0.50 1.68 -7.83Unilever PLC 2.14 0.00 2.14 -2.57Reliance Industries Ltd 1.84 1.00 0.84 4.29Antofagasta PLC 1.74 0.00 1.74 -5.48Fomento Economico Mex. SAB de CV 1.72 0.33 1.39 -5.34

% of Portfolio 21.19 9.16 12.03


Wtd. Avg. Mkt. Cap ($M) 43,719 79,064Median Mkt. Cap ($M) 337 5,158Price/Earnings Ratio 11.72 12.70Price/Book Ratio 1.99 2.325 Yr. EPS Growth Rate (%) 8.65 11.62Current Yield (%) 2.88 3.01Beta (5 Years, Monthly) 0.90 1.00Number of Securities 2,514 1,202


Santa Barbara County Employees' Retirement SystemEmerging Mkt. Equity Composite vs. MSCI Emg Mkts Index (USD) (Net)Portfolio Characteristics


Ret

urn

(%)

QTD FYTD CYTD 1Year

3Years

5Years

7Years

10Years

Fixed Income Composite 1.54 (35) 1.54 (35) 8.58 (50) 8.35 (39) 3.38 (62) 3.29 (53) 2.92 (54) 4.61 (44)Bloomberg US Unv Bond Index 2.12 (24) 2.12 (24) 8.80 (48) 10.07 (17) 3.23 (62) 3.62 (48) 3.06 (54) 4.14 (54)

5th Percentile 3.11 3.11 12.93 11.91 6.96 6.24 6.97 8.181st Quartile 1.95 1.95 10.77 9.28 5.37 4.87 4.97 5.63Median 1.24 1.24 8.48 7.46 3.93 3.40 3.42 4.303rd Quartile 0.44 0.44 6.38 4.51 2.23 2.20 1.70 3.0195th Percentile -2.24 -2.24 2.09 0.48 1.22 1.14 0.59 2.12

Population 192 192 192 192 188 173 150 104

Santa Barbara County Employees' Retirement SystemFixed Income Composite vs. IM Global Fixed Income (SA+CF)Peer Group Analysis




Avg. Maturity 7.99 7.92Avg. Quality A1 Aa1/Aa2Convexity 0.82 0.30Coupon Rate (%) 3.42 3.20Current Yield (%) 3.25 N/AEffective Duration 5.40 5.78Spread Duration 2.49 6.04Yield To Maturity (%) 2.72 2.27Yield To Worst (%) 2.64 2.26

Sector Distribution (%)

Santa Barbara County Employees' Retirement SystemCore Fixed Income Composite vs. Bloomberg US Agg Bond IndexPortfolio Characteristics


Allocation to "Other" consists of equity and swaps.


Avg. Maturity 7.61 6.74Avg. Quality Ba3 Ba3Coupon Rate (%) 6.41 6.14Current Yield (%) 6.23 N/AModified Duration 3.42 N/AYield To Maturity (%) 6.47 5.88


Santa Barbara County Employees' Retirement SystemNon-Core Fixed Income Composite vs. Custom Non-Core Fixed Income BenchmarkPortfolio Characteristics


Allocation to "Other" consists of Common Stock, Convertible Bonds, and Preferreds. Please see the Addendum for custom index definitions. Non-Core Fixed Income Composite portfolio characteristics and sector distribution exclude AG Direct Lending Fund III, LP and THL Direct Lending Fund IV, LLC.

Asset ClassCommitment

($)Paid In

Capital ($)Distributions

($)Valuation

($)Fund

IRR (%)Index

IRR (%)Fund

MultipleVintageFund NameAG Direct Lending Fund III, LP 2018 Private Credit - Direct Lending 25,000,000 9,750,000 155,044 10,194,117 N/M N/M 1.06

THL Credit Direct Lending Fund IV 2018 Private Credit - Direct Lending 20,000,000 9,752,487 0 10,013,816 N/M N/M 1.03

PIMCO Private Income Fund OnshoreFeeder LLC

2019 Private Credit - Direct Lending 20,000,000 0 0 0 N/M N/M*

Santa Barbara County Employees' Retirement System As of June 30, 2019Alternative Investment Private Credit Fund Performance Listing

Certain valuations (marked with a '*') are preliminary estimates of valuation as of the date of reporting and reflect the estimated impact of subsequent net cash contributions/distributions. These figures may be used in calculationscontained in this report. Index IRR represents the dollar-weighted returns calculated using the CS Lvg'd Loan Index assuming an index investment with the same cash flow timing. IRRs are shown only for investments with one yearor more of cash flows and for which an accurate IRR could be calculated. Applicable IRRs are marked with 'N/M' for not material. Fund IRR is the annualized since-inception net internal rate for the indicated fund or composite. FundMultiple is the since inception sum of distributions and valuation divided by paid in capital.

1.0465,000,000 19,502,487 155,044 20,207,933


Peer Group Analysis - Multi Statistics - 3 Years (Excess Return vs. Risk Free)

Sector Weights (%)

Performance

Portfolio Characteristics and Dist. of Market Cap (%)

QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 2.91 11.30 16.04 N/A N/A N/A -0.05 23.27 11.40 N/A N/ABenchmark 1.42 3.87 13.19 10.62 13.21 13.23 -4.78 21.69 12.05 0.92 13.24

Difference 1.49 7.43 2.85 N/A N/A N/A 4.73 1.58 -0.65 N/A N/APeer Group Median 1.58 3.38 12.56 10.29 13.16 13.08 -5.20 21.83 10.52 1.43 13.42

Rank 18 6 6 N/A N/A N/A 6 32 42 N/A N/APopulation 200 200 195 188 177 162 264 290 311 327 349


Manager 16.04 11.43Benchmark 13.19 12.45Median 12.56 12.34

Manager 14.02 (7) 2.97 (51) 0.79 (5) 1.30 (4) 6.69 (87)Benchmark 11.67 (35) 0.00 (100) N/A 0.96 (39) 8.15 (48)

Median 11.10 2.99 -0.19 0.91 8.07

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 209,794 224,128Median Mkt. Cap ($M) 26,072 10,023Price/Earnings Ratio 22.72 20.62Price/Book Ratio 4.21 3.455 Yr. EPS Growth Rate (%) 13.71 15.93Current Yield (%) 1.67 1.93Beta (3 Years, Monthly) 0.87 1.00Number of Securities 225 1,002Active Share 47.10 N/A

BNY Mellon HEDI (SA)

IM U.S. Large Cap Core Equity (SA+CF)


Peer Group:Benchmark: Russell 1000 IndexManager:

Performance shown is gross of fees and client specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Performance prior to 04/11/2019 is represented by Rhumbline HEDI (SA).



Sector Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 1.41 3.89 13.18 10.62 13.21 13.23 -4.77 21.68 12.04 0.93 13.24Benchmark 1.42 3.87 13.19 10.62 13.21 13.23 -4.78 21.69 12.05 0.92 13.24

Difference -0.01 0.02 -0.01 0.00 0.00 0.00 0.01 -0.01 -0.01 0.01 0.00Peer Group Median 1.58 3.38 12.56 10.29 13.16 13.08 -5.20 21.83 10.52 1.43 13.42

Rank 59 46 36 41 48 43 43 53 32 57 53Population 200 200 195 188 177 162 264 290 311 327 349



2.00

4.00

6.00

8.00

10.00

12.00

DownsideRisk


Median 12.79 2.87 -0.06 0.99 7.82

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 224,170 224,128Median Mkt. Cap ($M) 10,023 10,023Price/Earnings Ratio 20.61 20.62Price/Book Ratio 3.45 3.455 Yr. EPS Growth Rate (%) 15.94 15.93Current Yield (%) 1.93 1.93Beta (5 Years, Monthly) 1.00 1.00Number of Securities 1,001 1,002Active Share 0.25 N/A

BNY Mellon R1000 Index - NL (CF)

IM U.S. Large Cap Core Equity (SA+CF)


Peer Group:Benchmark: Russell 1000 IndexManager:

Performance shown is gross of fees and product specific. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks.



Sector Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -1.10 -12.57 4.95 5.68 9.72 11.19 -14.84 7.68 29.11 -6.06 5.04Benchmark -0.57 -8.24 6.54 7.17 9.35 10.06 -12.86 7.84 31.74 -7.47 4.22

Difference -0.53 -4.33 -1.59 -1.49 0.37 1.13 -1.98 -0.16 -2.63 1.41 0.82Peer Group Median -0.20 -6.34 7.17 7.64 10.97 11.72 -14.26 11.56 26.14 -4.29 5.71

Rank 70 89 85 82 75 71 56 77 29 70 57Population 187 186 182 180 173 158 215 225 232 242 253



6.00

8.00

10.00

12.00

14.00

DownsideRisk


Median 12.04 4.61 0.35 0.72 10.43

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 2,099 2,010Median Mkt. Cap ($M) 599 650Price/Earnings Ratio 12.68 14.01Price/Book Ratio 1.40 1.595 Yr. EPS Growth Rate (%) 8.30 9.48Current Yield (%) 1.77 2.23Beta (5 Years, Monthly) 1.06 1.00Number of Securities 968 1,402Active Share 59.14 N/A

DFA US Sm Cap Val Tr (CF)

IM U.S. Small Cap Value Equity (SA+CF)


Peer Group:Benchmark: Russell 2000 Val IndexManager:

Performance shown is gross of fees and product specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.



Sector Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -4.47 -15.65 10.90 N/A N/A N/A -6.24 28.77 N/A N/A N/ABenchmark -4.17 -9.63 9.79 9.08 11.43 12.25 -9.31 22.17 11.32 -1.38 5.60

Difference -0.30 -6.02 1.11 N/A N/A N/A 3.07 6.60 N/A N/A N/APeer Group Median -4.15 -6.07 13.63 11.27 13.35 14.01 -4.27 23.71 11.40 -0.75 4.32

Rank 55 95 73 N/A N/A N/A 62 24 N/A N/A N/APopulation 143 143 139 134 130 123 176 179 187 205 215



8.00

10.00

12.00

14.00

DownsideRisk


Median 12.70 5.22 0.63 0.74 11.27

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 3,444 2,456Median Mkt. Cap ($M) 1,845 857Price/Earnings Ratio 21.82 24.82Price/Book Ratio 3.64 3.875 Yr. EPS Growth Rate (%) 20.18 13.73Current Yield (%) 0.65 0.78Beta (3 Years, Monthly) 0.94 1.00Number of Securities 68 1,164Active Share 94.02 N/A

RHJ Small Cap Opportunities (SA)

IM U.S. Small Cap Growth Equity (SA+CF)


Peer Group:Benchmark: Russell 2000 Grth IndexManager:

Performance shown is gross of fees and client specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.



Region Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 1.08 5.92 4.92 5.05 N/A N/A -9.17 15.42 6.37 2.87 N/ABenchmark -1.07 -1.34 6.48 3.27 6.12 4.90 -13.79 25.03 1.00 -0.81 -4.90

Difference 2.15 7.26 -1.56 1.78 N/A N/A 4.62 -9.61 5.37 3.68 N/APeer Group Median -1.18 -4.74 5.52 2.99 6.29 5.84 -15.76 24.17 3.15 -1.05 -4.30

Rank 3 1 66 18 N/A N/A 5 100 16 22 N/APopulation 47 47 47 46 44 43 59 61 65 76 77



4.00

6.00

8.00

10.00

12.00

DownsideRisk


Median 2.83 3.51 -0.05 0.22 8.38

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 40,694 63,391Median Mkt. Cap ($M) 15,275 10,159Price/Earnings Ratio 15.45 15.24Price/Book Ratio 1.89 2.305 Yr. EPS Growth Rate (%) 4.60 7.44Current Yield (%) 2.68 3.52Beta (5 Years, Monthly) 0.61 1.00Number of Securities 100 923Active Share 88.64 N/A

First Eagle International Value Equity (SA)

IM EAFE Value (SA+CF)


Peer Group:Benchmark: MSCI EAFE Index (USD) (Net)Manager:




Region Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -1.85 -5.02 4.94 3.92 6.82 6.24 -15.30 24.20 3.31 4.81 -4.05Benchmark -1.07 -1.34 6.48 3.27 6.12 4.90 -13.79 25.03 1.00 -0.81 -4.90

Difference -0.78 -3.68 -1.54 0.65 0.70 1.34 -1.51 -0.83 2.31 5.62 0.85Peer Group Median -0.92 -1.99 6.25 3.95 7.07 6.33 -14.53 25.86 0.80 1.24 -3.92

Rank 76 86 81 51 59 59 71 77 17 15 53Population 71 71 69 68 65 59 91 99 103 107 104



7.44

8.23

9.02

9.81

10.60

11.39

DownsideRisk


Median 6.75 2.89 0.50 0.46 9.52


PanAgora Dynamic International Equity (SA)

IM EAFE Core (SA+CF)






Region Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 0.51 7.21 10.05 5.42 N/A N/A -9.79 32.63 -8.50 -2.80 N/ABenchmark -1.07 -1.34 6.48 3.27 6.12 4.90 -13.79 25.03 1.00 -0.81 -4.90

Difference 1.58 8.55 3.57 2.15 N/A N/A 4.00 7.60 -9.50 -1.99 N/APeer Group Median -1.56 -1.50 7.01 4.76 6.75 6.76 -14.12 29.30 -0.04 2.58 -4.90

Rank 16 1 16 34 N/A N/A 16 19 99 93 N/APopulation 35 35 35 35 34 33 41 43 47 53 53



6.40

7.35

8.30

9.25

10.20

11.15

DownsideRisk


Median 4.45 3.65 0.40 0.35 8.32


Artisan Non-U.S. Growth (SA)

IM EAFE Growth (SA+CF)






Region Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -3.53 -7.41 2.87 3.91 7.54 N/A -22.11 32.81 -7.19 10.61 1.69Benchmark -0.44 -5.93 5.94 6.02 8.63 7.45 -17.89 33.01 2.18 9.59 -4.95

Difference -3.09 -1.48 -3.07 -2.11 -1.09 N/A -4.22 -0.20 -9.37 1.02 6.64Peer Group Median -1.75 -6.55 6.38 5.95 8.60 8.79 -18.70 34.89 1.13 10.04 -3.38

Rank 92 58 87 83 77 N/A 81 70 100 46 11Population 103 100 94 78 70 56 115 120 117 118 110



5.41

6.24

7.07

7.90

8.73

9.56

DownsideRisk

Manager 7.31 (76) 3.78 (49) -0.27 (79) 0.60 (77) 7.92 (31)Benchmark 8.32 (48) 0.00 (100) N/A 0.69 (47) 7.46 (58)

Median 8.26 3.73 -0.02 0.68 7.59

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 3,364 2,583Median Mkt. Cap ($M) 3,122 983Price/Earnings Ratio 16.63 14.82Price/Book Ratio 2.48 2.135 Yr. EPS Growth Rate (%) 18.46 10.10Current Yield (%) 2.23 2.87Beta (5 Years, Monthly) 0.98 1.00Number of Securities 79 2,337Active Share 93.22 N/A

Copper Rock Int'l Sm Cap (CF)

IM International Small Cap Equity (SA+CF)


Peer Group:Benchmark: MSCI EAFE Sm Cap Index (USD) (Net)Manager:




Region Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -6.98 -7.21 5.26 1.43 1.74 2.21 -11.93 33.76 19.84 -18.77 -4.41Benchmark -4.25 -2.02 5.97 2.33 2.41 3.37 -14.58 37.28 11.19 -14.92 -2.19

Difference -2.73 -5.19 -0.71 -0.90 -0.67 -1.16 2.65 -3.52 8.65 -3.85 -2.22Peer Group Median -3.48 0.29 5.24 2.03 2.52 3.27 -16.40 35.37 8.35 -13.66 -2.92

Rank 96 97 50 61 72 79 12 59 6 88 69Population 886 846 712 580 418 253 843 813 750 656 724



8.00

10.00

12.00

14.00

DownsideRisk


Median 4.19 4.84 -0.01 0.25 11.39

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 27,154 79,064Median Mkt. Cap ($M) 326 5,158Price/Earnings Ratio 9.74 12.70Price/Book Ratio 1.45 2.325 Yr. EPS Growth Rate (%) 6.82 11.62Current Yield (%) 3.58 3.01Beta (5 Years, Monthly) 1.03 1.00Number of Securities 2,475 1,202Active Share 72.76 N/A

DFA Emg Mkts Value;I (DFEVX)

IM Emerging Markets Equity (MF)


Peer Group:Benchmark: MSCI Emg Mkts Index (USD) (Net)Manager:

Performance shown is net of fees and product specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.



Region Weights (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -4.86 4.15 7.04 N/A N/A N/A -9.52 35.55 5.77 N/A N/ABenchmark -4.25 -2.02 5.97 2.33 2.41 3.37 -14.58 37.28 11.19 -14.92 -2.19

Difference -0.61 6.17 1.07 N/A N/A N/A 5.06 -1.73 -5.42 N/A N/APeer Group Median -3.62 0.07 5.97 3.09 4.00 4.83 -15.24 36.81 10.32 -12.64 -0.09

Rank 82 23 36 N/A N/A N/A 9 58 77 N/A N/APopulation 248 247 242 217 175 113 303 321 333 338 332



6.02

6.95

7.88

8.81

9.74

10.67

DownsideRisk


Median 5.27 4.23 0.01 0.39 8.84

Portfolio BenchmarkWtd. Avg. Mkt. Cap ($M) 58,363 79,064Median Mkt. Cap ($M) 16,872 5,158Price/Earnings Ratio 14.47 12.70Price/Book Ratio 2.46 2.325 Yr. EPS Growth Rate (%) 10.32 11.62Current Yield (%) 2.26 3.01Beta (3 Years, Monthly) 0.88 1.00Number of Securities 50 1,202Active Share 85.41 N/A

RBC GAM Emg Mkts Equity (CF)

IM Emerging Markets Equity (SA+CF)


Peer Group:Benchmark: MSCI Emg Mkts Index (USD) (Net)Manager:





Performance

Portfolio Characteristics

QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 2.25 10.27 2.89 3.34 2.68 3.71 0.00 3.53 2.58 0.50 6.06Benchmark 2.27 10.30 2.92 3.38 2.72 3.75 0.01 3.54 2.65 0.55 5.97

Difference -0.02 -0.03 -0.03 -0.04 -0.04 -0.04 -0.01 -0.01 -0.07 -0.05 0.09Peer Group Median 2.33 10.47 3.35 3.72 3.13 4.34 0.07 4.06 3.12 0.83 6.17

Rank 79 74 92 94 95 95 62 86 83 79 60Population 118 118 116 112 107 103 148 155 163 168 182



1.20

1.40

1.60

1.80

2.00

DownsideRisk


Median 3.76 0.64 0.85 1.29 1.51

Portfolio BenchmarkEffective Duration 5.77 5.78Spread Duration 6.03 6.04Avg. Maturity 7.89 7.92Avg. Quality Aa1/Aa2 Aa1/Aa2Yield To Maturity (%) 2.26 2.27Coupon Rate (%) 3.19 3.20Current Yield (%) 2.95 N/AHoldings Count 5,040 10,904

BNY Mellon US Aggregate Bond - NL (CF)

IM U.S. Broad Market Core Fixed Income (SA+CF)


Peer Group:Benchmark: Bloomberg US Agg Bond IndexManager:





Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 2.50 9.21 3.27 3.79 3.64 4.94 1.00 3.83 3.16 0.83 8.01Benchmark 2.27 10.30 2.92 3.38 2.72 3.75 0.01 3.54 2.65 0.55 5.97

Difference 0.23 -1.09 0.35 0.41 0.92 1.19 0.99 0.29 0.51 0.28 2.04Peer Group Median 2.33 10.47 3.35 3.72 3.13 4.34 0.07 4.06 3.12 0.83 6.17

Rank 13 95 59 45 13 15 7 63 49 50 4Population 118 118 116 112 107 103 148 155 163 168 182




Median 3.76 0.64 0.85 1.29 1.51

Portfolio BenchmarkEffective Duration 4.58 5.78Spread Duration 0.52 6.04Avg. Maturity 8.10 7.92Avg. Quality Aa3 Aa1/Aa2Yield To Maturity (%) 2.50 2.27Coupon Rate (%) 3.12 3.20Current Yield (%) 2.89 N/AHoldings Count 33 10,904

Garcia Hamilton Core Fixed Income (SA)

IM U.S. Broad Market Core Fixed Income (SA+CF)



Performance shown is gross of fees and product specific prior to client inception. Calculation is based on monthly periodicity. Parentheses contain percentile ranks.




Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 2.80 12.39 4.89 5.12 4.57 6.08 -0.11 6.91 6.06 0.21 7.39Benchmark 2.27 10.30 2.92 3.38 2.72 3.75 0.01 3.54 2.65 0.55 5.97

Difference 0.53 2.09 1.97 1.74 1.85 2.33 -0.12 3.37 3.41 -0.34 1.42Peer Group Median 2.34 10.40 3.89 3.95 3.64 5.20 -0.36 4.82 4.67 0.31 6.19

Rank 4 3 10 7 12 18 41 11 26 54 12Population 124 124 121 121 118 107 159 165 169 175 182




Median 4.59 1.47 0.83 1.46 1.51

Portfolio BenchmarkEffective Duration 6.35 5.78Spread Duration 4.12 6.04Avg. Maturity 7.87 7.92Avg. Quality A2 Aa1/Aa2Yield To Maturity (%) 3.11 2.27Coupon Rate (%) 3.87 3.20Current Yield (%) 3.78 N/AHoldings Count 2,250 10,904

PGIM Core Plus Bond Qual (CF)

IM U.S. Broad Market Core+ Fixed Income (SA+CF)



Performance shown is gross of fees and product specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Allocation to "Other" consists of equity and swaps.




Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -0.60 9.17 2.89 2.18 0.88 N/A -8.50 13.82 11.08 -7.78 -2.51Benchmark 0.38 10.81 3.94 3.14 2.28 4.68 -4.89 12.50 10.12 -7.13 0.48

Difference -0.98 -1.64 -1.05 -0.96 -1.40 N/A -3.61 1.32 0.96 -0.65 -2.99Peer Group Median -0.57 10.34 4.24 4.03 3.22 6.48 -5.35 12.43 11.09 -2.67 1.52

Rank 52 70 85 70 74 N/A 91 35 51 70 70Population 106 106 102 96 83 56 152 159 168 174 175



2.00

4.00

6.00

8.00

10.00

DownsideRisk


Median 2.95 3.73 0.28 0.40 4.80

Portfolio BenchmarkEffective Duration 6.33 6.19Spread Duration 6.24 3.40Avg. Maturity 11.00 9.57Avg. Quality Baa3 Ba1Yield To Maturity (%) 6.13 5.11Coupon Rate (%) 6.22 6.04Current Yield (%) 6.16 5.55Holdings Count 492 2,472

Stone Harbor Emerging Market Debt Blend (CIT)

IM Emerging Markets Debt (SA+CF)


Peer Group:Benchmark: Stone Harbor Blended BenchmarkManager:





Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager -0.36 2.43 5.02 4.19 N/A N/A -3.08 8.22 17.25 -5.60 1.49Benchmark 1.33 6.36 6.07 5.37 5.88 7.94 -2.08 7.50 17.13 -4.47 2.45

Difference -1.69 -3.93 -1.05 -1.18 N/A N/A -1.00 0.72 0.12 -1.13 -0.96Peer Group Median 1.39 6.37 6.11 5.25 5.87 7.87 -1.69 7.52 14.09 -2.11 2.61

Rank 93 92 88 87 N/A N/A 86 27 17 88 74Population 149 148 141 132 117 98 185 192 200 205 209



0.30

1.15

2.00

2.85

3.70

4.55

DownsideRisk


Median 4.25 1.53 -0.11 0.93 2.57

Portfolio BenchmarkEffective Duration 3.32 3.07Spread Duration N/A 3.09Avg. Maturity 5.81 5.78Avg. Quality B1 B1/B2Yield To Maturity (%) 7.31 6.26Coupon Rate (%) 6.43 6.35Current Yield (%) 6.74 N/AHoldings Count N/A 1,890

Hotchkis & Wiley High Yield (SA)

IM U.S. High Yield Bonds (SA+CF)


Peer Group:Benchmark: Bloomberg US Corp Hi Yld IndexManager:

Performance shown is gross of fees and client specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Allocation to "Other" consists of Preferreds, Convertible Bonds, and Common Stock.



Quality Distribution (%)

Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 1.59 4.21 4.09 4.37 4.95 6.64 0.64 3.32 6.55 3.42 3.25Benchmark 0.92 3.11 4.68 4.11 4.38 5.38 1.14 4.25 9.88 -0.38 2.06

Difference 0.67 1.10 -0.59 0.26 0.57 1.26 -0.50 -0.93 -3.33 3.80 1.19Peer Group Median 1.16 3.62 4.67 4.24 4.45 5.54 0.80 4.46 9.52 0.65 2.00

Rank 19 19 92 35 5 1 66 95 99 2 5Population 45 45 43 43 38 28 63 65 66 69 72




Median 4.92 0.84 0.20 1.51 1.91

Portfolio BenchmarkEffective Duration N/A N/ASpread Duration N/A N/AAvg. Maturity 5.20 4.86Avg. Quality B2 Ba2Yield To Maturity (%) 6.20 6.28Coupon Rate (%) 6.60 5.75Current Yield (%) 5.90 6.01Holdings Count 118 1,684

Beach Point Leveraged Loan (CF)

IM U.S. Bank Loans (SA+CF)


Peer Group:Benchmark: CS Lvg'd Loan IndexManager:





Performance


QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 1.34 7.13 2.22 2.46 1.07 3.50 -1.26 3.09 4.74 -1.41 3.59Benchmark 1.35 7.13 2.21 2.45 1.06 3.46 -1.26 3.01 4.68 -1.44 3.64

Difference -0.01 0.00 0.01 0.01 0.01 0.04 0.00 0.08 0.06 0.03 -0.05Peer Group Median 1.30 7.09 2.25 2.48 1.09 3.51 -1.22 3.10 4.66 -1.40 3.60

Rank 43 34 69 63 62 55 56 54 43 53 52Population 25 25 25 25 22 21 33 34 36 37 42



1.38

1.75

2.12

2.49

2.86

3.23

DownsideRisk


Median 3.02 0.62 0.29 0.69 2.74

Portfolio BenchmarkEffective Duration 7.85 4.86Spread Duration N/A 4.86Avg. Maturity 8.38 8.38Avg. Quality Aaa/Aaa AaaYield To Maturity (%) 1.87 1.88Coupon Rate (%) 0.75 0.75Current Yield (%) 0.72 N/AHoldings Count 40 40

BNY Mellon TIPS - NL (CF)

IM U.S. TIPS (SA+CF)


Peer Group:Benchmark: Bloomberg US Trsy US TIPS IndexManager:

Performance shown is gross of fees and product specific. Calculation is based on monthly periodicity. Parentheses contain percentile ranks. Performance prior to 05/2019 is represented by BNY Mellon TIPS - SL (CF).

Historical Asset Allocation - 3 Years

Performance

Historical Statistics - 3 Years Actual Correlation - 3 Years

Asset Allocation vs. Benchmark

QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 0.88 4.74 3.28 N/A N/A N/A -8.05 6.56 N/A N/A N/ABenchmark 0.58 4.04 3.97 1.51 1.05 N/A -7.48 9.82 11.90 -13.27 -0.20

Difference 0.30 0.70 -0.69 N/A N/A N/A -0.57 -3.26 N/A N/A N/A

Manager BenchmarkS&P 500

Index(Cap Wtd)

BloombergUS Agg

Bond IndexStandard Deviation 7.28 7.36 12.01 3.30Sharpe Ratio 0.27 0.36 0.98 0.44Downside Risk 4.53 4.54 8.05 1.88Excess Return 1.96 2.64 11.84 1.41

ActualCorrelation

Cohen & Steers Real Assets Custom Index 0.99S&P 500 Index (Cap Wtd) 0.78Russell 2000 Index 0.65MSCI EAFE Index (USD) (Net) 0.78MSCI Emg Mkts Index (USD) (Net) 0.69Bloomberg US Agg Bond Index 0.14Bloomberg US Trsy US TIPS Index 0.29Wilshire US REIT Index 0.71HFRI FOF Comp Index 0.80Bloomberg Cmdty Index (TR) 0.82ICE BofAML 3 Mo US T-Bill Index 0.11Cons Price Index (Unadjusted) 0.09

As of September 30, 2019Benchmark:Manager: Cohen & Steers Real Assets Class B (CIT)

Cohen & Steers Real Assets Custom Index

Performance shown is net of fees and product specific. Calculation is based on monthly periodicity. Primary Real Return strategies and asset classes are represented by the colored shades. Allocation to Equity - Natural Resources includes infrastructure. Allocation to "Other" includes gold and cash equivalents. Please see the Addendum for custom index definitions.

Historical Asset Allocation - 7 Years

Performance

Historical Statistics - 7 Years Actual Correlation - 7 Years

Asset Allocation

QTD 1Year

3Years

5Years

7Years

10Years 2018 2017 2016 2015 2014

Manager 3.87 13.81 7.52 7.49 8.83 N/A -5.41 13.35 10.82 -2.02 16.76Benchmark 2.07 10.86 6.04 5.64 6.66 N/A -6.59 13.26 8.34 -3.69 11.12

Difference 1.80 2.95 1.48 1.85 2.17 N/A 1.18 0.09 2.48 1.67 5.64

Manager BenchmarkS&P 500

Index (CapWtd)

BloombergUS Agg

Bond IndexStandard Deviation 6.92 7.02 11.04 3.00Sharpe Ratio 1.16 0.85 1.12 0.68Downside Risk 3.72 4.03 6.64 1.71Excess Return 8.01 5.99 12.40 2.01

ActualCorrelation

Benchmark 0.97S&P 500 Index (Cap Wtd) 0.63Russell 2000 Index 0.49MSCI EAFE Index (USD) (Net) 0.71MSCI Emg Mkts Index (USD) (Net) 0.70Bloomberg US Agg Bond Index 0.51Bloomberg US Trsy US TIPS Index 0.60Wilshire US REIT Index 0.77HFRI FOF Comp Index 0.59Bloomberg Cmdty Index (TR) 0.33ICE BofAML 3 Mo US T-Bill Index 0.06Cons Price Index (Unadjusted) 0.11

Nuveen Real Asset Income Fund (SA) As of September 30, 2019Benchmark: Nuveen Real Asset Income Blend IndexManager:

Performance shown is gross of fees and product specific prior to client inception. Calculation is based on monthly periodicity. Primary Real Return strategies and asset classes are represented by the colored shades and are denoted by categories 1 through 5. Historical asset allocation prior to client inception is represented by Nuveen Real Asset Inc;I (NRIIX). Please see the Addendum for custom index definitions.

Performance Related CommentsRVK, Inc. began monitoring the assets of the Santa Barbara County Employees' Retirement System in 06/2016. Prior historical data was provided by the previous investment consultant.Inception dates shown represent the first full month following initial funding.Performance is annualized for periods greater than one year.Total Fund performance excludes Treasury Cash.Performance shown is provided by BNY Mellon.AG Direct Lending Fund III, LP received its initial capital call in 10/2018.THL Direct Lending Fund IV, LLC received its initial capital call in 05/2019.Historical performance prior to 04/11/2019 for BNY Mellon HEDI (SA), BNY Mellon R1000 Index - NL (CF), and BNYMellon TIPS - NL (CF) is represented by RhumbLine HEDI (SA), SSgA Russell 1000 Index - NL (CF), and BlackRock TIPS (CF), respectively.

Custom Index CommentsRVK began calculating the SBCERS Policy Benchmark on 04/01/2016. Historical performance was provided be theprevious consultant. The passive Policy Benchmark currently consists of 19% Russell 3000 Index, 11% MSCI EAFEIndex (USD) (Net), 7% MSCI Emg Mkts Index (USD) (Net), 17% Bloomberg US Agg Bond Index, 11% Custom Non-Core Fixed Income Benchmark, 15% Consumer Price Index+4%, 10% NCREIF ODCE Index (AWA) (Net) (Monthly) (1Qtr Lag), and 10% Russell 3000 Index+3% (1 Qtr Lag).The active SBCERS Dynamic Policy Benchmark is calculated monthly using beginning of month manager weightsapplied to each corresponding primary benchmark return.The passive Custom Non-Core Fixed Income Benchmark currently consists of 33.3% Bloomberg US Corp Hi YldIndex, 33.3% Stone Harbor Blended Benchmark, and 33.3% CS Lvg'd Loan Index.The passive Stone Harbor Blended Benchmark currently consists of 50% JPM GBI-EM Gbl Dvf'd Index (USD) (TR)(Unhedged), 40% JPM Emg Mkts Bond Glb Dvf'd Index (TR), and 10% JPM CEMBI Brd Dvf'd Index.The active Custom Real Return Benchmark is calculated monthly using beginning of month manager weights withinthe Real Return Composite applied to each corresponding primary benchmark return.The passive Cohen & Steers Real Assets Custom Index is a custom benchmark created by the manager andcurrently consists of 27.5% FTSE EPRA/NAREIT Dvld Index (USD) (Net), 27.5% Bloomberg Cmdty Index (TR), 15%S&P Gbl Natural Res Sect Index (TR), 15% DJ Brookfield Gbl Infrastructure Index, 10% ICE BofAML 1-3 Yr US CorpIndex, and 5% Gold Spot Per Ounce Index. Prior to 9/30/2013 benchmark consisted of 30% FTSE EPRA/NAREIT DvldIndex (USD) (Net), 30% Bloomberg Cmdty Index (TR), 20% S&P Gbl Natural Res Sect Index (TR), 12.5% ICE BofAML1-3 Yr Corp Index, and 7.5% Gold Spot Per Ounce Index.The passive Nuveen Real Asset Income Blend Index is a custom benchmark created by the manager and currentlyconsists of 28% S&P Gbl Infrastructure Index, 21% FTSE EPRA/NAREIT Dvl'd Index (USD) (Net), 18% Wells FargoHybrid & Preferred Securities REIT Index, 15% Bloomberg Global Capital Securities Index and 18% Bloomberg USCorp Hi Yld Index.

Santa Barbara County Employees' Retirement SystemAddendum


Fee ScheduleMarket Value

As of09/30/2019

($)

EstimatedAnnual Fee

($)

EstimatedAnnual Fee

(%)

Total Fund Composite - Public Assets 2,432,100,094 8,225,183 0.34

U.S. Equity CompositeBNY Mellon HEDI (SA) 0.02 % of Assets 281,473,279 56,295 0.02

BNY Mellon R1000 Index - NL (CF) 0.01 % of Assets 316,600,952 31,660 0.01

Dimensional U.S. Small Cap Value (CF) 0.50 % of Assets 28,840,684 144,203 0.50

RHJ Small Cap Opportunities (SA) 0.85 % of Assets 27,614,593 234,724 0.85

Dev'd Mkt. Non-U.S. Equity CompositeFirst Eagle International Value Equity (SA) 0.75 % of Assets 94,948,755 712,116 0.75

PanAgora Dynamic International Equity (SA) 0.33 % of First $100 M0.30 % of Next $100 M0.25 % Thereafter

95,623,906 315,559 0.33

Artisan Non-U.S. Growth (SA) 0.80 % of First $50 M0.60 % Thereafter

107,857,901 747,147 0.69

Copper Rock International Small Cap (CF) 0.64 % of Assets 50,570,654 322,388 0.64

Emerging Mkt. Equity CompositeDFA Emg Mkts Value;I (DFEVX) 0.54 % of Assets 113,184,507 611,196 0.54

RBC Emerging Markets Equity (CF) 0.50 % of Assets 128,034,062 640,170 0.50

Core Fixed Income CompositeBNY Mellon US Aggregate Bond - NL (CF) 0.01 % of Assets 50,038,324 5,004 0.01

Garcia Hamilton Core Fixed Income (SA) 0.30 % of First $10 M0.25 % Thereafter

249,561,930 628,905 0.25

PGIM Core Plus Fixed Income (CF) 0.26 % of Assets 194,392,869 505,421 0.26

Non-Core Fixed Income CompositeStone Harbor Emerging Market Debt Blend (CIT) 0.40 % of First $75 M

0.35 % Thereafter105,786,000 407,751 0.39

Hotchkis & Wiley High Yield (SA) 0.50 % of First $50 M0.45 % of Next $50 M0.40 % Thereafter

73,219,875 354,489 0.48

Beach Point Leveraged Loan (CF) 0.50 % of Assets 93,917,457 469,587 0.50

Santa Barbara County Employees' Retirement SystemFee Schedule for Public Investment Managers


Santa Barbara County Employees' Retirement SystemFee Schedule for Public Investment Managers


Fee ScheduleMarket Value

As of09/30/2019

($)

EstimatedAnnual Fee

($)

EstimatedAnnual Fee

(%)

Public Real Return CompositeBNY Mellon TIPS - NL (CF) 0.01 % of Assets 94,641,388 9,464 0.01

Cohen & Steers Real Assets Fund (CIT) 0.65 % of Assets 144,586,310 939,811 0.65

Nuveen Real Asset Income Fund (SA) 0.80 % of First $50 M0.75 % of Next $50 M0.65 % Thereafter

148,350,724 1,089,280 0.73

Mutual Fund fees are sourced from Morningstar and/or the investment manager.The Investment Manager Fee for Copper Rock International Small Cap (CF) is 0.6375% of all assets.

Santa Barbara County Employees' Retirement SystemAddendumUnderlying Indices of SBCERS Policy Index


Time Period Composition Time Period Composition Time Period45.0% Russell 3000 Index 21.0% Russell 3000 Index 23.0%20.0% MSCI EAFE 2.0% HFRI Composite 9.0%28.5% Lehman Aggregate 9.0% MSCI EAFE 10.0%4.5% SB World Gov Bond 10.0% MSCI Emerging Markets 1.0%2.0% CG 3-Month U.S. T-Bill 1.0% MSCI Frontier Markets 10.0%

10.0% Barclays Capital Aggregate 4.0%49.0% Russell 3000 Index 4.0% JPM GBI Global ex. U.S. 3.0%19.0% MSCI AC Wld ex U.S. 3.0% JPM GBI - Emerging Global Diversified 7.0%27.0% Lehman Universal 7.0% Barclays Capital U.S. Tips 4.0%4.0% DJ Wilshire REIT Full Cap 4.0% Barclays High Yield 2.0%1.0% CG 3-Month U.S. T-Bill 2.0% CSFB Leveraged Loan Index 3.0%

3.0% Dow Jones-UBS Commodity Index 2.0%48.0% Russell 3000 Index 2.0% S&P Global Large Mid Comm and NR 3.0%19.0% MSCI ACWI ex U.S. 3.0% CPI+4% Lagged 2.0%26.0% Lehman Universal 2.0% Dow Jones Brookfield Glabal Infra. 2.0%2.0% Russell 3000+3% 2.0% CPI+4% Lagged 7.0%4.0% NCREIF / T-Bill+3% (50/50) 7.0% Russell 3000+3% Lagged 6.0%1.0% CG 3-Month U.S. T-Bill 6.0% NCREIF ODCE Lagged 2.0%

2.0% NAREIT Equity REITs Lagged 0.0%47.0% Russell 3000 Index 0.0% 90 Day T-Bills18.0% MSCI ACWI ex U.S.25.0% BC U.S. Universal 23.0% Russell 3000 Index 19.0%4.0% Russell 3000+3% Index 9.0% MSCI EAFE 11.0%5.0% NCREIF / T-Bill+3% (50/50) 10.0% MSCI Emerging Markets 7.0%1.0% CG 3-Month U.S. T-Bill 1.0% MSCI Frontier Markets 17.0%

10.0% Barclays Capital Aggregate 11.0%37.0% Russell 3000 Index 4.0% JPM GBI Global ex. U.S. 15.0%18.0% MSCI ACWI ex U.S. 3.0% JPM GBI - Emerging Global Diversified 10.0%32.0% BC U.S. Universal 7.0% Barclays Capital U.S. Tips 10.0%4.0% T-Bill Lag 1 Qtr Lag 4.0% Barclays High Yield4.0% NCREIF Index Lag 1 QTR 2.0% CSFB Leveraged Loan Index3.0% Russell 3000 Lag 1 QTR 3.0% Dow Jones-UBS Commodity Index2.0% CG 3-Month U.S. T-Bill 2.0% S&P Global Large Mid Comm and NR

3.0% CPI+4% Lagged37.0% Russell 3000 Index (includes 2% Covered Calls) 2.0% Dow Jones Brookfield Glabal Infra.18.0% MSCI ACW ex U.S. 2.0% CPI+4% Lagged32.0% BC U.S. Universal 7.0% Russell 3000+3% Lagged4.0% T-Bill Lag 1 QTR (Real Return) 6.0% NCREIF ODCE Lagged4.0% NCREIF Index Lag 1 QTR 2.0% NAREIT Equity REITs Lagged3.0% Russell 3000 Lag 1 QTR (Private Equity) 0.0% 90 Day T-Bills2.0% CG 3-Month U.S. Bill

37.0% Russell 3000 Index (includes 2% Covered Calls) 18.0% MSCI ACW ex U.S.30.0% BC U.S. Universal4.0% T-Bill Lag 1 QTR (Real Return)4.0% NCREIF Index Lag 1 QTR5.0% Russell 3000 Lag 1 QTR (Private Equity)2.0% CG 3-Month U.S. Bill

RVK, Inc. began calculating performance for the SBCERS Policy Index in 06/2016. Prior performance data was provided by the previous investment consultant.

04/01/2016-06/30/2017

01/01/2007-12/31/2008

Russell 3000 IndexMSCI EAFE Index (USD) (Net)

MSCI Emerging Markets Index (USD) (Net)MSCI Frontier Markets Index (USD) (Net)

Bloomberg US Aggregate Bond Index

06/01/2012-04/30/2013

01/01/2009-02/28/2009

11/01/1999-12/31/2001

01/01/2002-12/31/2006

FTSE NAREIT All Equity REITs Total Return Index (1 Qtr Lag)ICE BofA Merrill Lynch 3 Month US Treasury Bill Index

Russell 3000 Index+3% (1 Qtr Lag)NCREIF ODCE Index (AWA) (Net) (1 Qtr Lag)

Composition

S&P Glbl Lg Mid Cap Commodity & Resources Index (USD) (Gross)Consumer Price Index+4% (1 Qtr Lag)

Dow Jones Brookfield Global Infrastructure Composite Index (Net)Consumer Price Index+4%

Bloomberg US Corporate: High Yield Index

Stone Harbor Blended BenchmarkBloomberg US Treasury: US TIPS Index

JP Morgan Global Government Bond Excluding US Index

Credit Suisse Leveraged Loan IndexBloomberg Commodity Index (Total Return)

Consumer Price Index+4%

Russell 3000 Index+3% (1 Qtr Lag)NCREIF ODCE Index (AWA) (Net) (1 Qtr Lag)

07/01/2017-Present

03/01/2011-05/31/2012

05/01/2013-03/31/2016

03/01/2009-06/30/2010

07/01/2010-02/28/2011

Russell 3000 IndexMSCI EAFE Index (USD) (Net)

MSCI Emerging Markets Index (USD) (Net)Bloomberg US Aggregate Bond Index

Custom Non-Core Fixed Income Benchmark

Santa Barbara County Employees' Retirement SystemWork Plan


Action Item Anticipated Presentation Status Comments

PIMCO Income Fund Recommendation April 2019Board Meeting Completed Board approved a $20M investment with PIMCO.

Q1 Performance Report May 2019Board Meeting Completed

Strategic Plan June 2019 Completed

Private Lending Education June 2019 Completed

Q2 Performance Report September 2019Board Meeting Completed

Asset/Liability Study September 2019 Completed

Asset Allocation Study October 2019 Completed

Emerging Market Debt RFP December 2019 In Progress Finalist to present at December Board Meeting.

Q3 Performance Report December 2019Board Meeting In Progress

Rebalancing Education TBD In Progress

The following work plan outlines RVK's proposed action items for Santa Barbara County Employees' Retirement System. The proposed timing for future meetings is intended to correspond with anticipated meeting dates for the Board.

QTD CYTD 1Year

3Years

5Years

7Years

10Years

Analytic U.S. Low Volatility Equity Composite 3.65 23.38 13.41 11.33 10.71 12.16 13.95Russell 1000 Index 1.42 20.53 3.87 13.19 10.62 13.21 13.23

Difference 2.23 2.85 9.54 -1.86 0.09 -1.05 0.72IM U.S. Large Cap Core Equity (SA+CF) Median 1.58 19.91 3.38 12.56 10.29 13.16 13.08

Rank 10 13 4 73 40 75 19

London Company Income Equity Composite 2.11 18.83 6.90 11.36 9.55 12.33 13.64Russell 1000 Index 1.42 20.53 3.87 13.19 10.62 13.21 13.23

Difference 0.69 -1.70 3.03 -1.83 -1.07 -0.88 0.41IM U.S. Large Cap Core Equity (SA+CF) Median 1.58 19.91 3.38 12.56 10.29 13.16 13.08

Rank 33 60 21 72 64 72 24

RBC Mid Cap Value Composite -0.67 18.06 -3.01 2.89 3.93 9.23 10.57Russell Mid Cap Val Index 1.22 19.47 1.60 7.82 7.55 11.63 12.29

Difference -1.89 -1.41 -4.61 -4.93 -3.62 -2.40 -1.72IM U.S. Mid Cap Value Equity (SA+CF) Median 1.27 19.43 0.47 9.17 7.69 12.05 12.32

Rank 85 67 81 100 99 99 96

Artisan U.S. Mid-Cap Growth Composite -3.50 30.06 6.47 14.05 11.12 13.46 14.91Russell Mid Cap Grth Index -0.67 25.23 5.20 14.50 11.12 13.80 14.08

Difference -2.83 4.83 1.27 -0.45 0.00 -0.34 0.83IM U.S. Mid Cap Growth Equity (SA+CF) Median -0.76 24.41 4.48 14.73 11.40 13.45 14.06

Rank 78 15 37 56 57 50 28

State Street MSCI Wrld Ex US Index NL (CF) -0.88 13.92 -0.56 6.89 3.45 6.16 5.15MSCI Wrld Ex US Index (USD) (Gross) -0.85 14.13 -0.40 7.04 3.59 6.29 5.29

Difference -0.03 -0.21 -0.16 -0.15 -0.14 -0.13 -0.14IM EAFE Core (SA+CF) Median -0.92 13.68 -1.99 6.25 3.95 7.07 6.33

Rank 49 46 30 38 61 82 84

BlackRock MSCI Emg Mkts Index (CF) -4.26 5.79 -2.11 5.89 2.25 2.34 3.28MSCI Emg Mkts Index (USD) (Gross) -4.11 6.23 -1.63 6.37 2.71 2.79 3.73

Difference -0.15 -0.44 -0.48 -0.48 -0.46 -0.45 -0.45IM Emerging Markets Equity (SA+CF) Median -3.62 8.26 0.07 5.97 3.09 4.00 4.83

Rank 67 67 73 53 69 84 90

Santa Barbara County Employees' Retirement SystemComparative Performance


Performance shown is gross of fees and product specific. Performance is annualized for periods greater than one year.



QTD CYTD 1Year

3Years

5Years

7Years

10Years

Aberdeen Frontier Markets Equity (CF) -0.39 2.02 -6.40 -3.01 -4.87 1.02 5.10MSCI Frontier Mkts Index (USD) (Gross) -1.04 10.97 6.18 5.28 -1.14 3.28 3.71

Difference 0.65 -8.95 -12.58 -8.29 -3.73 -2.26 1.39IM Emerging Markets Equity (SA+CF) Median -3.62 8.26 0.07 5.97 3.09 4.00 4.83

Rank 5 94 97 100 100 98 44

Schroder STW Core Fixed Income Composite 2.37 9.62 10.99 3.72 3.83 3.07 4.22Bloomberg US Agg Bond Index 2.27 8.52 10.30 2.92 3.38 2.72 3.75

Difference 0.10 1.10 0.69 0.80 0.45 0.35 0.47IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.33 8.99 10.47 3.35 3.72 3.13 4.34

Rank 43 14 21 19 42 59 60

Guggenheim Core Plus Fixed Income Composite 1.87 5.87 6.69 4.38 4.89 5.43 7.38Bloomberg US Agg Bond Index 2.27 8.52 10.30 2.92 3.38 2.72 3.75

Difference -0.40 -2.65 -3.61 1.46 1.51 2.71 3.63IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 2.34 9.50 10.40 3.89 3.95 3.64 5.20

Rank 77 100 97 22 11 4 2

Reams Core Plus Fixed Income Composite 2.32 8.63 11.52 3.55 3.87 3.25 4.96Bloomberg US Agg Bond Index 2.27 8.52 10.30 2.92 3.38 2.72 3.75

Difference 0.05 0.11 1.22 0.63 0.49 0.53 1.21IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 2.34 9.50 10.40 3.89 3.95 3.64 5.20

Rank 53 87 7 72 61 81 64

BlackRock Gbl Agg ex USD Idx NL (Hedged) (CF) 2.74 8.65 10.68 3.99 4.55 4.43 4.35Bloomberg Gbl Agg Ex Index (USD) (Hedged) 2.83 8.78 10.84 4.12 4.64 4.53 4.44

Difference -0.09 -0.13 -0.16 -0.13 -0.09 -0.10 -0.09IM International Fixed Income (SA+CF) Median -0.37 8.88 9.60 3.94 3.30 2.76 4.83

Rank 5 53 30 47 40 34 56

Brandywine International Fixed Income (CF) -2.72 1.18 -0.99 0.55 0.07 0.82 2.87FTSE Non-US Wrld Gov't Bond Index -0.11 5.39 6.78 0.60 1.28 -0.06 1.15

Difference -2.61 -4.21 -7.77 -0.05 -1.21 0.88 1.72IM International Fixed Income (SA+CF) Median -0.37 8.88 9.60 3.94 3.30 2.76 4.83

Rank 92 96 96 96 93 74 71

Mount Lucas Commodity Long/Neutral (CF) -1.68 -6.12 -11.51 -6.51 -4.88 -5.22 -2.67Bloomberg Cmdty Index (TR) -1.84 3.13 -6.57 -1.50 -7.18 -8.15 -4.32

Difference 0.16 -9.25 -4.94 -5.01 2.30 2.93 1.65




QTD CYTD 1Year

3Years

5Years

7Years

10Years

BlackRock Dow Jones UBS Commodities Index (CF) -1.84 3.18 -6.52 -1.40 -7.13 -8.09 -4.24Bloomberg Cmdty Index (TR) -1.84 3.13 -6.57 -1.50 -7.18 -8.15 -4.32

Difference 0.00 0.05 0.05 0.10 0.05 0.06 0.08

State Street Glb LargeMidCap Natural Resources Stock Idx NL (CF) -5.96 7.42 -6.11 6.69 0.08 -0.31 N/AS&P Gbl Lg Mid Cap Cmdty & Res Index (USD) (Gross) -5.90 7.77 -5.83 6.81 0.20 -0.18 2.08

Difference -0.06 -0.35 -0.28 -0.12 -0.12 -0.13 N/A

RARE Infrastructure Global Value (CF) 0.59 18.60 11.93 7.93 5.34 7.71 9.28DJ Brookfield Gbl Infrastructure Comp Idx 1.68 22.84 13.72 6.57 3.94 7.78 10.84

Difference -1.09 -4.24 -1.79 1.36 1.40 -0.07 -1.56The Aberdeen Global High Income (CF) was discontinued in 11/2016.


Glossary Active Return - The difference between the investment manager/composite performance relative to the performance of an appropriate market benchmark. Active Share - Measures the degree to which the holdings of a fund differ from the holdings of the benchmark. Active share is calculated by taking the sum of the absolute value of the differences of the weight of each holding in the fund versus the weight of each holding in the benchmark and dividing by two. Alpha - A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by beta. It is a measure of the portfolio's historical performance not explained by movements of the market or a portfolio's non-systematic return. Alpha Ratio - A measure of a portfolio's non-systematic return per unit of downside risk. It is measured by dividing the alpha of a portfolio by the downside risk. The non-systematic return is a measure of a portfolio's historical performance not explained by movements of the market. Average Quality - Bond quality ratings are reported using the investment managers' and the index providers' preferred rating agency. Average Quality for managers unable to provide this statistic is instead provided by Morningstar; if unavailable on Morningstar, it has been estimated using a credit quality distribution provided by the manager. There are two primary rating agencies in the US. Moody's assigns ratings on a system that employs up to four symbols (consisting of letters and numbers) such as, Aaa, Aa2, etc., with Aaa being the highest or safest rating. Standard & Poor's (S&P) employs a system that uses + and - along with letters such as AAA, AA+, etc. The two rating agencies' systems are summarized below:

S&P

Moody’s Explanation S&P Moody’s Explanation

Higher Credit Quality – Investment Grade Lower Credit Quality – Below Investment Grade AAA Aaa Prime/Highest credit quality BB+ Ba1 Speculative/Low credit quality AA+ Aa1 High credit quality BB Ba2 AA Aa2 BB- Ba3 AA- Aa3 B+ B1 Highly speculative A+ A1 Upper-medium credit quality B B2 A A2 B- B3 A- A3 CCC+ Caa1 Substantial credit/default risk BBB+ Baa1 Lower-medium credit quality CCC Caa2 Extremely speculative BBB Baa2 CCC- Caa3 BBB- Baa3 CC Ca Vulnerable to default C Ca D C In default

Benchmark Effect - The difference between the blended return of each respective managers’ benchmark within a composite and the composite’s benchmark return. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk. Box Plots - A graphical representation of the distribution of observations. From top to bottom, the four boxes represent the spread between the maximum value and the minimum value in each quartile. A quartile represents the values that divide the observations into four quarters (i.e., 1st quartile, 2nd quartile, 3rd quartile, and 4th quartile). The median observation is where the 2nd quartile and 3rd quartile meet. Buy and Hold Attribution - At the beginning of the time period under analysis, the manager and benchmark portfolios are broken down into segments (i.e., styles, sectors, countries, and regions) based on the desired type of attribution. The formula assumes zero turn-over to the manager and benchmark portfolios throughout the period and calculates the segment returns ("buy and hold returns") to arrive at performance attribution. Due to portfolio turnover, buy and hold attribution may not accurately represent quarterly performance relative to the benchmark. Country, region, sector, and style allocations are as of the date one quarter prior to the reporting date, and the returns shown are for those segments throughout the quarter reported. Due to disclosure guidelines set by each investment manager, equity characteristics shown are as of the most recent date available. The following is the methodology for segment classification:

Sector - Attribution is calculated using the Global Industry Classification Standard (GICS) which is a detailed and comprehensive structure for sector and industry analysis. Stocks are classified by their primary sector, as defined by S&P Capital IQ data. Country/Region - Attribution is calculated using the Morgan Stanley Capital International (MSCI) region standards. Stocks are classified by their domicile country/region, as defined by S&P Capital IQ data. Style - Stocks are classified into the following style boxes: large/mid/small vs. growth/neutral/value. Stocks are classified along large/mid/small categories at the time of the Russell index rebalancing, using the index market cap boundaries as cutoff points. Stocks are classified along growth/neutral/value categories at the time of the Russell index rebalancing, using the price/book ratio as supplied by S&P Capital IQ. Stocks in the Russell 3000 Index portfolio are sorted by price/book ratio; names with the highest price/book ratio that make up 1/3 of the total market capitalization are assigned to the growth category, names that make up the subsequent 1/3 of the total market capitalization are assigned to the neutral category, while the balance of the names are assigned to the value category.

Portfolio Characteristics and Buy and Hold Attribution reports utilize product-specific data for all mutual funds and commingled funds. Capital Markets Review -

Breakeven Inflation - Measures the expected inflation rate at each stated maturity by taking the difference between the real yield of the inflation-linked maturity curve and the yield of the closest nominal Treasury maturity. Consumer Confidence - Measures domestic consumer confidence as defined by the degree of optimism on the state of the economy that consumers express through saving and spending. Consumer Price Index (CPI) - Measures the change in the price level of consumer goods and services. Federal Funds Rate - The interest rate at which a depository institution lends funds maintained at the Federal Reserve to another depository institution overnight. It is one of the most influential interest rates in the US economy, since it affects monetary and financial conditions, which in turn have a bearing on key aspects of the broad economy including employment, growth and inflation. Option-Adjusted Spread - Measures the flat spread of an index or bond to the Treasury yield curve after removing the effect of any embedded options.

Glossary

Purchasing Managers Index (PMI) - Measures economic activity by surveying purchasing managers on a monthly basis as to whether business conditions have improved, worsened, or stayed the same. Real Gross Domestic Product (Real GDP) - An inflation-adjusted measure that reflects the value of all goods and services produced by an economy in a given year. US Dollar Total Weighted Index - Measures the value of the US Dollar relative to a basket of other world currencies. It is calculated as the weighted geometric mean of the dollar's value versus the EUR, GBP, CAD, SEK, CHF, and JPY. Unemployment Rate - The percentage of the total labor force that is unemployed but actively seeking employment. VIX - Measures the implied volatility of S&P 500 Index options by looking at the market's expectation of the S&P 500 Index volatility over the next 30 day period. Commonly referred to as the "fear index" or the "fear gauge."

Cash Flow Effect – The composite’s active return minus the sum of each managers’ active return minus the benchmark effect. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance. Convexity - A measure of the shape of the curve that describes the relationship between bond prices and bond yields. Correlation - A statistical measure of the relationship between asset class returns. A value of 1.00 is a perfect correlation; that is, the asset classes always move in the same direction. A value of -1.00 indicates a perfect negative correlation, in which the asset classes always move in opposite directions of each other. A value of 0 indicates there is no relationship between the direction of returns of the two asset classes. Correlation calculations only consider the direction of changes relative to two variables and not the magnitude of those changes. Coupon Rate - The percentage rate of interest paid on a bond or fixed income security; it is typically paid twice per year. Current Yield - The annual income of a security divided by the security's current price. Down Market Capture - Down market by definition is negative benchmark return and down market capture represents the ratio in % terms of the average portfolios return over the benchmark during the down market period. The lower the value of the down market capture the better the product's performance. Downside Risk - A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative monthly returns. The higher the factor, the riskier the product. Earnings Per Share - It is backward looking, calculated using the one year current EPS divided by the one year EPS five years ago. Effective Duration - The approximate percentage change in a bond's price for a 100 basis point change in yield. Excess Return vs. Market - Average of the monthly arithmetic difference between the manager's return and the benchmark return over a specified time period, shown on an annualized basis. Excess Return vs. Risk Free - Average of the monthly arithmetic difference between the manager's return and the risk-free return (i.e., ICE BofAML 3 Mo US T-Bill Index unless specified otherwise) over a specified time period, shown on an annualized basis. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Expense Ratios - Morningstar is the source for mutual fund expense ratios. Gain/Loss - The net increase or decrease in the market value of a portfolio excluding its Net Cash Flow for a given period. Indices - All indices and related information are considered intellectual property and are licensed by each index provider. The indices may not be copied, used or distributed without the index provider's prior written approval. Index providers make no warranties and bear no liability with respect to the indices, any related data, their quality, accuracy, suitability and/or completeness. Information Ratio - Measured by dividing the active rate of return by the tracking error. The higher the information ratio, the more value-added contribution by the manager. Liability Driven Investing (LDI) - A method to optimally structure asset investments relative to liabilities. The change in liabilities is estimated by the Ryan Labs Generic PPA Index of appropriate duration for that Plan. This benchmark is based on generic data and is therefore an approximation. RVK is not an actuarial firm, and does not have actuarial expertise.

Estimated Funded Status - The estimated ratio of a Plan's assets relative to its future liabilities. This is calculated by dividing the Plan's asset market value by the estimated present value of its liabilities. The higher the estimated funded status, the better the Plan's ability to cover its projected benefit obligations. An estimated funded status of 100% indicates a Plan that is fully funded. Estimated PV of Liabilities - An estimate of a Plan's future liabilities in present value terms. The beginning of the period liability is provided by the Plan's actuary. The period-end present value liability estimate provided in this report is derived by applying the estimated percentage change generated using the Ryan Labs Generic PPA Index with duration similar to that reported on the most recent actuarial valuation report. Duration of Liabilities - The sensitivity of the value of a Plan's liabilities to changes in interest rates, as calculated by the Plan's actuary. Duration of Assets - The dollar-weighted average duration of all the individual Plan assets. Estimated Plan Hedge Ratio - The estimate of how well a Plan's investment portfolio is hedged against changes in interest rates - a primary driver of funded status movements. This is calculated by dividing the dollar-weighted values of both the Plan asset duration by the liability duration and multiplying by the estimated funded status. An estimated plan hedge ratio of zero indicates that the Plan's liabilities have not been hedged, whereas a value of one indicates fully hedged.

Modified Duration - The approximate percentage change in a bond's price for a 100 basis point change in yield, assuming the bonds’ expected cash flows do not change.

Glossary Mutual Fund Performance - Whenever possible, manager performance is extended for any share class that does not have 10 years of history. Using Morningstar’s methodology, a single ticker within the same fund family (often the oldest share class) is chosen to append historical performance. Net Cash Flow - The sum, in dollars, of a portfolio's contributions and withdrawals. This includes all management fees and expenses only when performance shown is gross of fees. Peer Groups -

Plan Sponsor Peer Groups - RVK utilizes the Mellon Analytical Solutions Trust Universe along with the Investment Metrics Plan Sponsor Universe. The combined Mellon Analytical Solutions Trust Universe and Investment Metrics Plan Sponsor Universe is used for comparison of total fund composite results and utilizes actual client performance compiled from consultant and custodian data. The Plan Sponsor Peer Group database includes performance and other quantitative data for over 2,100 plans which include corporate, endowment, foundation, public, and Taft Hartley plans. Plan Sponsor Peer Groups are gross of fees. Investment Manager Peer Groups - RVK utilizes Investment Metrics’ Peer Groups for investment manager peer comparison and ranking. The Investment Metrics Peer Group database includes performance and other quantitative data for over 840 investment management firms and 29,000 investments products, across more than 160 standard peer groups. Mutual Fund Peer Groups are net of fees.

Percentile Rankings - Percentile rank compares an individual fund's performance with those of other funds within a defined peer group of managers possessing a similar investment style. Percentile rank identifies the percentage of a fund's peer group that has a higher return (or other comparative measurement) than the fund being ranked. Conversely, 100 minus the individual fund's ranking will identify the percentage of funds within the peer group that have a lower return than the fund being ranked. 1 - Highest Statistical Value 100 - Lowest Statistical Value Example: American Funds AMCP;R-4 (RAFEX) is ranked in the 4th percentile within the IM US Equity Large-Cap Growth Funds (MF) Peer Group for the Sharpe Ratio. Within the IM US Equity Large-Cap Growth Funds peer group, 4% of the other funds performed better than American Funds AMCP;R-4 (RAFEX), while 96% of the funds performed worse. Performance Methodology - RVK calculates performance for investment managers and composites using different methodologies.

Investment Managers - Performance is calculated for interim periods between all large external cash flows for a given month and geometrically linked to calculate period returns. An external cash flow is defined as cash, securities, or assets that enter or exit a portfolio. RVK defines a "large cash flow" as a net aggregate cash flow of ≥10% of the beginning-period portfolio market value or any cash flow that causes RVK calculated performance to deviate from manager/custodian reported performance in excess of 5 basis points for a given month. Composites - The Modified Dietz methodology is utilized to calculate asset class, sub-asset class, and total fund composite performance. The Modified Dietz method calculates a time-weighted total rate of return that considers the timing of external cash flows; however, it does not utilize interim period performance to mitigate the impact of significant cash in- and outflows to the composite.

RVK calculates performance beginning with the first full month following inception. Since inception performance may vary from manager reported performance due to RVK using the first full month of returns as the inception date. Performance for both managers and composites is annualized for periods greater than one year. Portfolio Characteristics - Due to disclosure guidelines set by each investment manager, portfolio characteristics shown are as of the most recent date available. Price to Earnings Ratio - The ratio of a company’s share price to its per-share earnings Private Equity Quartile Ranks - Private Equity quartile ranks are generated using vintage year peer group data provided by Thomson Reuters, and are based on each fund’s annualized, since inception internal rate of return (IRR). Three Private Equity peer groups are available via Thomson Reuters: Buyout, Venture, and All Private Equity. Ranks are available quarterly, at a one-quarter lag. Return - Compounded rate of return for the period. % Return - The time-weighted rate of return of a portfolio for a given period. R-Squared - The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Squared means a higher correlation of the portfolio's performance to the appropriate benchmark. Risk Free Benchmark – ICE BofAML 3 Mo US T-Bill Index unless specified otherwise.

Glossary RVK Liquidity Rating - A qualitative method for determining the relative amount of liquidity in a portfolio. The characteristics considered when determining relative liquidity include trading volume, gates for redemption, leverage, nature of transactions, and pricing mechanisms. The RVK Liquidity Rating is calculated using beginning of month investment weights applied to each corresponding asset class liquidity rating.

Asset Class RVK Liquidity Rating Asset Class RVK Liquidity Rating

Liquid Investments Less Liquid Investments

T-Bills and Treasurys 100 Fixed Income Plus Sector 50 Cash Equivalents 98 Bank Loans 50 TIPS 95 Stable Value (Plan Sponsor Directed) 50 US Large Cap Equity 95 Absolute Return Strategies 35 Diversified Real Return 93 Stable Value (Participant Directed) 91 Non-US Large Cap Equity 90 Not Liquid Investments Global Tactical Asset Allocation 88 Core Real Estate 25 US Small Cap Equity 85 Core Plus Real Estate 15 REITS 85 Non-Core Real Estate 5 Non-US Small Cap Equity 85 Private Equity Funds of Funds 5 Emerging Markets Equity 85 Core Fixed Income 85 Core Plus Fixed Income 80

Sector Allocation - Negative fixed income sector allocation reflects manager’s use of derivatives, short selling, or interest rate swaps. Sharpe Ratio - Represents the excess rate of return over the risk-free return (i.e., ICE BofAML 3 Mo US T-Bill Index unless specified otherwise), divided by the standard deviation of the excess return to the risk free asset. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance. Simple Alpha - The difference between the manager's return and the benchmark's return. Spread Duration - The approximate percentage change in a bond's price for a 100 basis point change in its spread over a Treasury of the same maturity. Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified time period. Time Period Abbreviations - QTD - Quarter-to-Date. CYTD - Calendar Year-to-Date. FYTD - Fiscal Year-to-Date. YOY - Year Over Year. Thematic Classification - Represents dedicated manager allocations; as such, thematic allocations are approximations. RVK categorizes the following asset classes as Alpha, Capital Appreciation, Capital Preservation, and Inflation: Alpha Capital Appreciation Capital Preservation Inflation Absolute Return Strategies Public Equity Core Fixed Income TIPS Currency Overlay Private Equity CMBS Fixed Income Bank Loans Preferred Securities Asset Backed Fixed Income Core Real Estate High Yield Domestic Core Plus Fixed Income Real Return Convertible Fixed Income Mortgage Backed Fixed Income Inflation Hedges TALF Funds International Developed Fixed Income REITS Distressed Debt Cash Equivalents Commodities Emerging Market Fixed Income Stable Value Value Added Real Estate Opportunistic Real Estate Total Fund Attribution – The Investment Decision Process (IDP) model provides an approach to evaluating investment performance that applies to all asset classes and investment styles. The IDP model is based on a top-down hierarchy framework of investment decisions, with each decision contributing to the overall profit or loss. The IDP approach starts from the strategic asset allocation and follows the flow of the investments down to the manager’s skill.

Strategic Asset Allocation (SAA) – The percentage return gained or lost from the long-term strategic asset allocation decision, the most significant determinant of long-term performance. SAA is the product of the target asset allocation multiplied by the corresponding benchmark returns. Tactical Asset Allocation (TAA) – The percentage return gained or lost from not having been precisely allocated at the target asset allocation mix, whether by deviations that are tactical in nature or a by-product of moving towards the target mix. TAA is the product of the actual asset allocation multiplied by the broad asset class benchmarks, less the SAA. Style Selection (SS) – The percentage return gained or lost from intentional style biases within each asset class (e.g. value rather than core or overweight to emerging markets relative to benchmark). SS is the product of the actual manager allocation within each asset class multiplied by their specific benchmark, less TAA. Manager’s Skill (MS) – The percentage return gained or lost from manager value added relative to their specific benchmark. MS is the product of the actual manager allocation multiplied by their achieved excess return.

Total Fund Beta - Total Fund Beta is calculated using the S&P 500 as the benchmark. It represents a measure of the sensitivity of the total fund to movements in the S&P 500 and is a measure of the Total Fund's non-diversifiable or systematic risk. Tracking Error - A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark.

Glossary Treynor Ratio - Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Treynor ratio represents the excess rate of return over the risk-free rate (i.e., ICE BofAML 3 Mo US T-Bill Index unless specified otherwise) divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better historical risk-adjusted performance. Unit Value - The dollar value of a portfolio, assuming an initial nominal investment of $100, growing at the compounded rate of %Return for a given period. Up Market Capture - Up market by definition is positive benchmark return and up market capture represents the ratio in % terms of the average portfolios return over the benchmark during the up market period. The higher the value of the up market capture the better the product's performance. Yield to Maturity - The rate of return achieved on a bond or other fixed income security assuming the security is bought and held to maturity and that the coupon interest paid over the life of the bond will be reinvested at the same rate of return. The 30-Day SEC Yield is similar to the Yield to Maturity and is reported for mutual funds. Yield to Worst - The bond yield calculated by using the worst possible yield taking into consideration all call, put, and optional sink dates.

Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and

may include information and data from some or all of the following sources: client staff; custodian banks;

investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers;

index providers; as well as other third-party sources as directed by the client or as we believe

necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the

information or data, but makes no warranties and disclaims responsibility for the accuracy or

completeness of information or data provided or methodologies employed by any external

source. This document is provided for the client’s internal use only and does not

constitute a recommendation by RVK or an offer of, or a solicitation for, any

particular security and it is not intended to convey any guarantees as to

the future performance of the investment products, asset classes,

or capital markets.

vkparis reports 5000735 092019 coverpage portland 1 1905135 · 9/30/2019 · capital markets...

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