PURSUANT TO EXECUTIVE ORDER N-29-20 ISSUED BY GOVERNOR GAVIN NEWSOM ON MARCH 17, 2020, THE SPECIAL PASADENA FIRE & POLICE RETIREMENT SYSTEM BOARD MEETING FOR FEBRUARY 17, 2021 AT 10:00 A.M. WILL TAKE PLACE SOLELY BY TELECONFERENCE/VIDEOCONFERENCE. TO ACCESS THE MEETING: Livestream of the Board meeting with captioning is available at http://www.pasadenamedia.org and at http://pasadena.granicus.com/MediaPlayer.php?publish_id=9 In order to facilitate public participation at meetings held solely by electronic means, the City will accept public comment in the following manner: 1. Members of the public may submit comments of any length up to two hours prior to the start of the meeting, at the following e-mail address: [email protected]Please be aware that, while these comments will be provided to the members of the body and will become part of the meeting record, they will not be read aloud. Any comment submitted in this fashion will be forwarded to the legislative body prior to the start of the meeting. 2. If assistance is needed by phone, please call the FPRS Office at (626) 744-4320. Public Comment will be limited to items on this Special Meeting Agenda. IF YOU NEED A REASONABLE MODIFICATION OR ACCOMMODATION PURSUANT TO THE AMERICANS WITH DISABILITIES ACT BECAUSE YOU ARE UNABLE TO PARTICIPATE ELECTRONICALLY AS SET FORTH ABOVE, CONTACT THE FPRS OFFICE AS SOON AS POSSIBLE AT (626) 744-4320 OR [email protected].
Transcript
PURSUANT TO EXECUTIVE ORDER N-29-20 ISSUED BY GOVERNOR GAVIN NEWSOM ON MARCH 17, 2020, THE SPECIAL PASADENA FIRE & POLICE
RETIREMENT SYSTEM BOARD MEETING FOR FEBRUARY 17, 2021 AT 10:00 A.M. WILL TAKE PLACE SOLELY BY TELECONFERENCE/VIDEOCONFERENCE.
TO ACCESS THE MEETING:
Livestream of the Board meeting with captioning is available at
http://www.pasadenamedia.org and at http://pasadena.granicus.com/MediaPlayer.php?publish_id=9
In order to facilitate public participation at meetings held solely by electronic means, the City will accept public comment in the following manner:
1. Members of the public may submit comments of any length up to two hours prior to the start of the meeting, at the following e-mail address:
Please be aware that, while these comments will be provided to the members of the body and will become part of the meeting record, they will not be read aloud. Any comment submitted in this fashion will be forwarded to the legislative body prior to the start of the meeting.
2. If assistance is needed by phone, please call the FPRS Office at (626) 744-4320.
Public Comment will be limited to items on this Special Meeting Agenda.
IF YOU NEED A REASONABLE MODIFICATION OR ACCOMMODATION
PURSUANT TO THE AMERICANS WITH DISABILITIES ACT BECAUSE YOU ARE UNABLE TO PARTICIPATE ELECTRONICALLY AS SET FORTH ABOVE, CONTACT THE FPRS OFFICE AS SOON AS POSSIBLE AT
1. Call to Order 2. Public Comment 3. Minutes: November 18, 2020 (Special Meeting) CONSENT CALENDAR 4. Approve the monthly retirement allowance roll of $1,051,655.24 for November
2020, $1,027,968.73 for December 2020 and $1,038,729.41 for January 2021. 5. Approve additions/removals of the following members/beneficiaries to/from the
monthly allowance roll:
NameEffective
Date
Add/
Remove
Pension
Continuance
Pension
Amount
a. A. Possemato 11/8/2020 Remove No $1,290.68
b. P. Possemato 11/8/2020 Remove No $1,290.68
c. A. Dandrea 11/8/2020 Remove No $3,659.33
d. C. Slaton 11/10/2020 Remove No $2,504.83
e. C. Flippen 11/24/2020 Remove No $5,425.10
f. R. Davis 11/26/2020 Remove Yes, 60% $4,171.84
g. D. Davis 11/27/2020 Add No $2,503.10
h. H. Crusberg, Sr. 11/29/2020 Remove Yes, 60% $7,053.55
i. K. Crusberg 11/30/2020 Add No $4,232.13
j. F. Riddle 12/9/2020 Remove No $3,643.31 6. Receive and file the 4th Quarter 2020 Asset Manager Performance Reports from
the following asset managers: a. Atlanta Capital Investment Managers b. Capital Group, American Funds EuroPacific Growth Fund c. Dodge & Cox International Stock Fund d. Dodge & Cox Stock Fund e. Invesco Core Real Estate, USA – LP f. PanAgora Risk Parity Multi-Asset GT g. TCW MetWest Fixed Income Review
h. T. Rowe Price Institutional Large Cap Growth Fund
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CONSENT CALENDAR (continued) 6. Receive and file the 4th Quarter 2020 Asset Manager Performance Reports from
the following asset managers (continued): i. Vanguard Inflation-Protected Securities Fund j Vanguard Growth Index Fund k. Vanguard Short-Term Investment-Grade Fund l. Voya Senior Loan Trust Fund Review 7. Schedule the CalPERS Industrial Disability Retirement hearing application for
Roxanne Haines, Police Officer for the March 17, 2021 regular meeting of the FPRS Board.
8. Schedule the CalPERS Industrial Disability Retirement hearing application for Clinton Harrell, Police Officer for the March 17, 2021 regular meeting of the FPRS Board.
9. Schedule the CalPERS Service Pending Industrial Disability Retirement hearing application for Aceanyer Brown, Battalion Chief for the May 19, 2021 regular meeting of the FPRS Board.
10. Schedule the CalPERS Service Pending Industrial Disability Retirement hearing application for Eduardo Calatayud, III, Police Commander for the May 19, 2021 regular meeting of the FPRS Board.
11. Schedule the CalPERS Service Pending Industrial Disability Retirement hearing application for John Watkins, Police Officer for the May 19, 2021 regular meeting of the FPRS Board.
ACTION ITEMS - The Board may discuss and take action on the following items: 12. Adopt Resolution No. 332 setting the cost of living adjustment at an increase of
2% for all eligible retires and beneficiaries per Charter Section 1509.8 to become effective July 1, 2021, as determined by Bartel Associates, System actuary.
13. Discuss and possibly take action on the following investment reports submitted by Verus Investments: a. Receive and file, November 2020 – January 2021 Withdrawal and
Rebalance Transaction Summary b. Receive and file, 4th Quarter 2020 Investment Performance Review c. Receive and file, January 2021 Performance Update d. Review and approve, February-April 2021 Rebalance and Withdrawal e. Review and approve, Atlanta/Eaton Vance/Morgan Stanley Consent
INFORMATION ITEMS 14. Staff Report a. January 2021 Budget/Expense Report 15. Counsel Report 16. Articles/Newsletters/Conferences COMMENTS FROM BOARD MEMBERS ADJOURN Adjourn in honor of the late Harry Crusberg, Sr. former FPRS Board Chair, Vice Chair and Member for 14 years (197-1981).
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PASADENA FIRE & POLICE RETIREMENT SYSTEM RETIREMENT BOARD - SPECIAL MEETING
Wednesday, November 18, 2020 Teleconference/Videoconference
10:00 a.m.
MINUTES
1. Call to Order
The regular meeting of the Pasadena Fire & Police Retirement Board was called to order by Chair, Mr. Keith Jones, on Wednesday, November 18, 2020 at 10:05 a.m. virtually via a Zoom meeting. Members – Present K. Jones, Chair P. Boyle, Vice Chair J. Brinsley J. Milligan T. Tornek Staff – Present B. Kastner, Administrator/Secretary M. Price, Senior Office Assistant I. Safie, Board Counsel
Others
A. Taylor (Verus Investments) B. Foster (Verus Investments) J. Godsey (MGO) A. Chiang (MGO) M. Howard (City Workers’ Compensation) B. Yates (City Workers’ Compensation) D. Harris, Sr. (Applicant) A. Snitzer (Applicant’s Counsel)
2. Public Comment
None noted. 3. Minutes: Approve the minutes for the special meeting of October 21, 2020.
MOTION by Mr. Milligan, seconded by Mr. Brinsley, to approve the minutes for the
meeting of October 21, 2020. (Motion unanimously carried, 5-0).
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Item: 3 Date: 2/17/21
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CONSENT CALENDAR 4. Approve the monthly retirement allowance roll of $1,056,032.23 for October 2020. 5. Approve removal of the following beneficiaries from the monthly allowance roll:
NameEffective
Date
Add/
Remove
Pension
Continuance
Pension
Amount
a. C. Patterson 10/20/2020 Remove No $2,888.72 6. Receive and file the 3rd Quarter 2020 Asset Manager Performance Reports from the
following asset managers: a. Atlanta Capital Investment Managers b. Capital Group, American Funds EuroPacific Growth Fund c. Dodge & Cox International Stock Fund d. Dodge & Cox Stock Fund e. Invesco Core Real Estate, USA – LP f. PIMCO All Asset Fund g. TCW MetWest Fixed Income Review h. T. Rowe Price Institutional Large Cap Growth Fund i. Vanguard Inflation-Protected Securities Fund j. Vanguard Institutional Index Fund k. Vanguard Short-Term Investment-Grade Fund l. Voya Senior Loan Trust Fund Review
7. Schedule the CalPERS Service Pending Industrial Disability Retirement hearing application for Jonathan Orona, Firefighter II/Paramedic for the February 17, 2021 regular meeting of the FPRS Board.
MOTION by Mr. Tornek, seconded by Mr. Brinsley, to approve items 4-7 on the Consent Calendar. (Motion unanimously carried, 5-0)
CalPERS HEARING 8. CalPERS scheduled hearing on the Service Pending Industrial Disability Retirement
application for Darryl Harris, Sr., Police Officer. The hearing was opened on the CalPERS Service Pending Industrial Disability Retirement application filed by Darryl Harris, Sr., Police Officer. The Board received the Disability Hearing Option form signed by the applicant that requested that the Board close the hearing to the general public, including the discussion of the medical reports submitted in consideration of the Board’s determination. Therefore, the hearing was closed to the public. The following were present at the hearing: Darryl Harris, Sr. (Applicant), Alan Snitzer (Applicant’s counsel), Matthew Howard and Bonnie Yates (City). By order of the Chair, the following exhibits are marked and entered into the record:
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a. CalPERS letter acknowledging receipt of Service Pending Industrial Disability Retirement application, filed by Darryl Harris, Sr., Police Officer dated October 21, 2019.
b. Verification of employment with the City of Pasadena. c. Certification Form signed by the Applicant and City. d. Information report and recommendation from the Human Resources Department
dated March 10, 2020 and the accompanying medical file, including: 1) Disability Hearing Summary Form 2) Industrial Disability Retirement Information Report 3) Notice of Application 4) Essential Functions Job Analysis - Police Officer 5) AME Report, Clive M. Segil, M.D. - 11/11/2019 6) AME Report, Clive M. Segil, M.D. - 12/31/2019
e. Letter from Applicant’s Attorney, Alan B. Snitzer, dated March 9, 2020, and the accompanying medical file, including:
1) AME Report, Jeffrey F. Caren,M.D. - 8/22/2019 2) AME Report, Clive M. Segil, M.D. - 9/10/2019 3) AME Report, Clive M. Segil, M.D. - 12/31/2019 4) PTP Report, Vahe Panossian, M.D. - 2/19/2020 5) PTP Report, Vahe Panossian, M.D. - 9/16/2020
Mr. Snitzer briefly reviewed the Applicant’s memorandum and the most relevant medical reports on the disabling injuries. Mr. Howard noted the City’s concurrence with the medical evidence. There being no testimony or discussion, a MOTION to close the hearing was made by Mr. Milligan, seconded by Mr. Boyle. (Motion unanimously carried, 5-0) MOTION by Mr. Milligan, seconded by Mr. Brinsley, to approve the CalPERS Service Pending Industrial Disability Retirement Application, filed by Darryl Harris, Sr., Police Officer, who has filed a CalPERS Service Pending Industrial Disability Retirement Application, is substantially incapacitated, within the meaning of the Public Employees’ Retirement Law, from the performance of his usual duties in the position of Police Officer effective December 26, 2019, and that such disability is a result of injury or disease arising in the course of his employment as a local safety member, and to instruct the System’s Attorney and the Secretary to prepare the necessary documentation of this Board’s determination and forward same to the CalPERS. (Motion unanimously carried, 5-0)
ACTION ITEMS - The Board may discuss and take action on the following items: 9. Review, discuss and approve the final June 30, 2020 Annual Report and Audited
Financial Statements, as prepared by System Auditor Macias Gini & O’Connell. Engagement Partner James Godsey of Macias Gini & O’Connell (“MGO”) reviewed the reports and significant information in the financial statements and notes. He reported that there were no findings, and that MGO had issued an unmodified opinion on the financial statements. He noted no material changes from the draft reports reviewed
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and approved by the Board at its meeting in October 2020. Mr. Godsey affirms the accuracy of Note 7 after further review. Although MGO was not engaged to provide an opinion on internal controls, if they had discovered any, they would have disclosed them to the Board. No such deficiencies in internal control were found, and MGO believes that adequate checks and balances are in place to maintain control. MOTION by Mr. Tornek, seconded by Mr. Brinsley, to approve the June 30, 2020 Annual Report and Audited Financial Statements. (Motion unanimously carried, 5-0)
10. Discuss and possibly take action on the following investment reports submitted by Verus Investments: a. Receive and file, 3rd Quarter 2020 Investment Performance Review
Ms. Taylor reviewed the research report. Looking forward, Verus anticipates continued slow absolute growth. The net change for the quarter (the combination of net cash flow and net investment change) was $8,418,627, bringing the value of the portfolio to $124,075,872 on September 30, 2020. The fund returned 3.2% net of fees (v. the benchmark of 3.4%) for the quarter, and for the calendar year to date, the fund returned 1.0% net of fees (v. the benchmark of 2.3%). The fund’s cumulative performance for the quarter ranked in the 96th percentile, and ranked in the 70th percentile for the calendar year to date relative to its peer universe (InvestorForce Public DB $50mm-$250mm Gross) due to the lower than average exposure to risky asset classes. MOTION by Mr. Boyle, seconded by Mr. Milligan, to receive and file the 3rd Quarter 2020 Investment Performance Review, as recommended by Verus Investments. (Motion unanimously carried, 5-0)
b. Receive and file, October 2020 Performance Update
The performance update was reviewed reflecting performance without pooled cash. The total fund return for October was -0.9% net of fees (vs. the index of -1.2%), bringing the fiscal year-to-date return for four months to 2.3% net of fees (v. the index of 2.1%). Total market value at the end of October was $123.6 million, including pooled cash with the City. MOTION by Mr. Brinsley, seconded by Mr. Milligan, to receive and file the October 2020 Performance Update, as recommended by Verus Investments. (Motion unanimously carried, 5-0)
c. Receive and file, October 2020 Withdrawal and Rebalance Transaction Summary
Ms. Taylor reviewed the withdrawal of $750,000 for benefits and administration for the month of October 2020. Funds were withdrawn from earnings in the Fund’s domestic equity asset managers T.Rowe and Vanguard. Ms. Taylor also noted the pending November sale of PIMCO All Asset fund and purchase of PanAgora Multi Asset Risk Parity (10% Vol) fund, MetWest Core Plus Bond fund and Vanguard Short-Term Investment-Grade fund.
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MOTION by Mr. Boyle, seconded by Mr. Brinsley, to receive and file the October 2020 transaction summary. (Motion unanimously carried, 5-0)
d. Review and approve, November 2020-January 2021 Withdrawal and Rebalance
Ms. Taylor reviewed the proposed preliminary rebalance and withdrawal of $3.3 million for benefits and administration for the months of November 2020 through January 2021. Funds will be predominantly withdrawn from earnings in the Fund’s domestic equity assets, followed next by international equity and smaller amounts from fixed income asset managers. MOTION by Mr. Boyle, seconded by Mr. Brinsley, to approve the preliminary rebalance and withdrawal of $3,300,000, and processed monthly with equal amounts in November 2020, December 2020 and January 2021 as recommended by Verus Investments. (Motion unanimously carried, 5-0)
e. Receive and file, Liquidity Analysis
Mr. Foster reviewed the liquidity analysis of the fund’s portfolio, focusing on the individual assets and categories of assets held by liquidity. The System’s portfolio is predominantly highly liquid: 85.8% of the assets have daily or weekly liquidity. Such liquidity is sufficient to meet the quarterly withdrawal needs for payment of benefits and administration, and no changes in asset managers or asset classes were recommended. MOTION by Mr. Boyle, seconded by Mr. Brinsley, to receive and file the Liquidity Analysis, as recommended by Verus Investments. (Motion unanimously carried, 5-0)
f. Review and approve, Revised Investment Policy Statement
Ms. Taylor reviewed the changes reflecting the replacement of Liquid Alternatives with Risk Parity and the corresponding change in the index from Consumer Price Index +5% to S&P Risk Parity 10% Target Volatility Index TR USD.
MOTION by Mr. Brinsley, seconded by Mr. Boyle, to receive and approve the revised Investment Policy Statement as presented by Verus Investments. (Motion unanimously carried, 5-0)
INFORMATION ITEMS 11. Staff Report – Ms. Kastner provided a brief update on the budget actuals and provided an update on pending disability retirement hearings.
a. October 2020 Budget/Expense Report - noted.
12. Counsel Report – none noted.
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13. Articles/Newsletters/Conferences – none noted. COMMENTS FROM BOARD MEMBERS Chair Jones acknowledged Board member Mayor Terry Tornek for serving on the Board for the last nine years. ADJOURN
MOTION by Mr. Tornek, seconded by Mr. Boyle, to adjourn the meeting at 11:22 a.m.
Respectfully submitted,
_______________________ ___ ________________________ Bernadette Kastner Keith Jones Secretary to the Board/Administrator Chair, Retirement Board
Details of this meeting are contained on a digital recording of the meeting and will be kept in the archives for two years, per Board policy.
DISTRIBUTION: Board Members Fire & Police Retirees Assn. J. Curtis City Attorney Police Chief M. Howard I. Safie, System Atty Fire Chief B.Yates A. Taylor, Verus Director of Finance A. Snitzer MGO City Controller J. Orona D. Barba
PASADENA FIRE AND POLICE RETIREMENT SYSTEM
MONTHLY ALLOWANCE ROLL - TOTALS
MONTH 2019-2020 2020-2021 Notes
JULY 1,082,722.05 1,072,047.30 a. b. c. d. e. f.
AUGUST 1,081,768.40 1,058,920.95 g. h.
SEPTEMBER 1,069,494.00 1,059,575.81 i.
OCTOBER 1,069,494.00 1,056,032.23 j.
NOVEMBER 1,069,494.00 1,051,655.24 k. l. m. n. o. p. q.
DECEMBER 1,068,891.15 1,027,968.73 r.
JANUARY 1,068,374.33 1,038,729.41
FEBRUARY 1,065,478.40 0.00
MARCH 1,059,291.50 0.00
APRIL 1,057,141.06 0.00
MAY 1,045,748.69 0.00
JUNE 1,040,199.16 0.00
Refund Checks -3,990.12 -6,044.66
Prior Year Accruals Paid 119.36 2,114.35
FY TOTALS 12,774,225.98 7,360,999.36
COLA BENEFITS
INCLUDED ABOVE 6,988,308.05 4,050,625.61
COLA - % Of Total 55% 55%
a. 3% COLA applied to all members and beneficiaries.
b. R. Pursell has an accrual (from FY 2020) of $1,309.72.
g. J. Milazzo, surviving spouse of J. Milazzo passed 8/11/2020. Final payment will be paid to estate.
h. A. Fincke, surviving spouse of W. Fincke passed 8/26/2020. She was not a payee.
i. L. Lorenzetti, surviving spouse of C. Lorenzetti passed 9/7/2020. She was not a payee.
c. N. Woodward has an accrual (from FY 2020) of $804.63.
e. M. Valadez passed 7/16/2020. Final payment issued to estate on 7/31/2020. Refund check from estate
received on 8/20/2020. No survivor, D. Valadez passed 1/22/2020.
d. R. Goldie passed 7/2/2020. Final payment will be paid to estate. No survivor.
k. A. Possemato passed 11/8/2020. Final payment will be paid to estate. No survivor.
j. C. Patterson, surviving spouse of R. Patterson, Jr. passed 10/20/2020. Final payment paid to estate on
11/30/2020.
l. P. Possemato, QDRO of A. Possemato who passed 11/8/2020. Final payment will be paid.
p. R. Davis passed 11/26/2020. Final payment will be paid to estate. D. Davis is the surviving spouse.
r. F. Riddle, surviving spouse of R. Riddle passed 12/9/2020. Final payment will be paid to estate.
f. M. Haywood, surviving spouse of L. Haywood, passed 7/21/2020. Final payment issued to estate on
7/31/2020. Refund check from estate received on 9/16/2020.
o. C. Flippen, surviving spouse of J. Flippen passed 11/24/2020. Final payment was paid to estate on
11/30/2020. Refund check from estate received on 12/17/2020.
n. C. Slaton, surviving spouse of R. Slaton passed 11/10/2020. Final payment was paid to estate on
11/30/2020.
Refund check from estate received on 2/8/2021.
q. H. Crusberg, Sr. passed 11/29/2020. Final payment was paid to estate on 11/30/2020. The estate has a debt
to the System and the System will refund the medical premium which was paid in advance. K. Crusberg is the
surviving spouse.
m. A. Dandrea, surviving spouse of J. Dandrea, passed 11/8/2020. Final payment will be paid to estate.
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Item: 4 Date: 2/17/21
1075 Peachtree Street NE | Suite 2100 | Atlanta | GA | 30309
City of Pasadena Fire and Police Retirement System
Michael Jaje, CFA Investment Specialist & Principal
Five-Year Rolling CAGR of As Reported EarningsRussell 2000® Index by Earnings Stability
Recession
Time period: January 1, 1991 – December 31, 2020. This information is provided for general illustrative purposes only. The High Quality and Low Quality Research portfolios are provided to compare the aggregate earnings stability of all companies in the index with High Quality SPGMI Quality Rankings (B+ or Better) to those with Low Quality SPGMI Quality Rankings (B or Below). The High Quality Research and Low Quality Research portfolios are model portfolios formed and rebalanced monthly by Atlanta Capital. The universe includes all Russell 2000® Index constituents with SPGMI Quality Rankings and prices greater than $1. Five-year historical earnings growth rates are calculated using a market capitalization-weighted methodology. The Russell 2000® Index is an unmanaged index of 2,000 US small-cap stocks. Historical performance of the index and Research portfolios illustrates market trends and does not represent past or future performance of the strategy. The material is based upon information that Atlanta Capital considers to be reliable, however no assurances are provided. The material should not be considered investment advice or a recommendation to invest in a particular strategy. Reproduction or redistribution of this page in any form without express permission from Atlanta Capital is prohibited. Past performance is not a reliable indicator of future results. Sources: FTSE Russell, S&P Global, Wilshire Atlas, Atlanta Capital as of December 31, 2020.
3
High Quality Small Cap Investment Objective April 1, 1992 – December 31, 2020
Our objective is to participate in rising markets, protect capital during declining markets, and outperform over the long-term without the volatility typically associated with small cap investing.
Declining Markets(37 Negative Quarters)Net of Fees
-18.3%
-31.2%
-35%
-30%
-25%
-20%
-15%
-10%59%
*The inception date of the High Quality Small Capitalization Composite is April 1, 1992. For illustrative purposes only. The charts above illustrate the average (annualized) return of the High Quality Small Capitalization Composite during both rising and declining markets since inception. Results for other time periods may differ from the long-term trend shown above. Rising markets are defined as quarters where the return of the Russell 2000® index was positive. Declining markets are defined as quarters where the return of the Russell 2000® index was negative. These positive and negative quarters are separated out from the intervening quarters, cumulated across the period, and annualized. Long-term investment returns include both rising and declining periods. Composite performance is calculated in US dollars and reflects reinvestment of all income and capital gains. Composite performance is shown net of investment advisory fees using a maximum annual investment management fee of 0.80% applied monthly; client results will be reduced by custody fees and other client expenses. Performance during certain periods reflects strong stock market performance that is not typical and may not be repeated. Individual client returns will vary due to fees, client-imposed investment constraints and client inception date. Beta measures the historical sensitivity of portfolio excess returns to movements in the excess return of the market index. Standard Deviation is a measure of absolute volatility of returns. The Russell 2000® index is unmanaged and does not incur management fees or other expenses associated with managed accounts. It is not possible to directly invest in an index. Please see the Composite’s GIPS® compliant presentation at the end of this presentation for important additional information and disclosure. Past performance does not predict future results. Source: eVestment and Atlanta Capital as of December 31, 2020.
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Disciplined Investment ProcessHigh Quality Small Cap Equity
• Generally 60 – 70 holdings
• 5% max position sizes
• 30% absolute sector weights
• 17% 3-year average turnover*
• Russell 2000® Index
Financial Strength
Overlooked &Under-Followed
Innovative Business Model
Exclude companies with:
Focus List150 – 200
• Volatile earnings streams• Short operating histories• High levels of debt• Weak cash flow generation• Low returns on capital
Shareholder-Oriented Management
• Prudent profit taking
• Change in management or business strategy
• Deterioration of financial quality
• Excessive valuation
Step 1Create a ‘Focus List’ of High Quality Companies
Step 2Conduct ‘Onsite’ Fundamental Research
Step 3Construct a Focused Yet
Well-Diversified Portfolio
Step 4Monitor Holdings &Review Focus List
AttractiveValuation
* Turnover based on a single representative clientportfolio and subject to change; individual client results may vary.
Equity Universe of
Companies with Market
Capitalizations within the Range of Russell 2000®
Index
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Annualized PerformanceCity of Pasadena Fire and Police Retirement System
*Performance returns over one year are annualized. The unmanaged benchmark index returns are shown for comparative purposes only and do not reflect the subtraction of any fees or transaction costs. It is not possible to directly invest in an index. Portfolio returns are gross of management fees unless otherwise noted. The deduction of an advisory fee would reduce an investor’s return. Past performance is not indicative of future results. All investments subject to loss. Please refer to the disclosures at the end of this presentation.
Source: ICE Data Services and Atlanta Capital as of December 31, 2020.
Total Returns (%) QTD YTD 1 Yr 3 Yrs* 5 Yrs* 7 Yrs* 10 Yrs*Since
Inception*
High Quality Small Cap 19.59 11.74 11.74 13.03 14.61 12.13 14.28 16.56
Russell 2500™ ~ 2000® (03/01/15)
31.37 19.96 19.96 10.24 13.25 9.85 11.74 14.72
Account Summary
Performance Inception Date: June 30, 2009
Net Investment Contributions: -$6,711,878
Investment Dollars Earned: $12,437,154
Market Value (12/31/20): $5,725,276
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Performance Drivers & DetractorsCity of Pasadena Fire and Police Retirement System
Source: Factset and Atlanta Capital as of December 31, 2020.The above attribution results are based on each day's ending holdings, and linked to generate attribution over longer periods. Cash in the portfolio is included in the analysis. Portfolio returns do not reflect applicable expenses and trading costs, or variations in transaction prices from end of day values. Past performance does not predict future results.
Total Portfolio
vs.
Russell 2000® Index
Top Contributorsto Relative Results
+ Underweight Real Estate, Utilities, and Health Care
+ Overweight Industrials and Technology
+ Positive stock selection in Financials, Materials, Communication Services, and Energy
+ Underweight Energy, Real Estate, Utilities, and Communication Services
+ Overweight Staples, Industrials, and Discretionary
Top Detractorsfrom Relative Results
– Negative stock selection most pronounced in Industrials, Technology, Health Care, Financials, Consumer Discretionary, and Materials
– Underweight Energy
– Overweight Consumer Staples
– Negative stock selection in Consumer Discretionary, Industrials, Technology, Staples, Health Care, and Real Estate
– Underweight Health Care (specifically Biotechnology)
Last 12-Mos. Attribution (%)Last 3-Mos. Attribution (%)
Portfolio Transactions for the QuarterCity of Pasadena Fire and Police Retirement System
New Purchases Sector
Kar Auction Services Inc Industrials Provides used car auction services. Increased focus on all digital auctions as well as increasing scale in dealer-to-dealer services should drive margin and cash flow growth.
Complete Sales Sector
Woodward Inc Industrials Produces instruments and control systems used in aerospace and industrial markets. We sold the position as the company’s market capitalization appreciated to the high end of our range.
Any investment views, opinions/analyses, and forecasts expressed constitute judgments as of the date of this presentation and are subject to change at any time without notice. Future results may differ from forecasts. Source: Atlanta Capital as of December 31, 2020.
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Total PortfolioRussell 2000® Index
Portfolio CharacteristicsCity of Pasadena Fire and Police Retirement System
Sector Exposure
Source: FactSet and Atlanta Capital as of December 31, 2020.
27.8
16.5 15.6 14.18.9 8.5
3.51.2 1.0 0.5 0.0
2.4
15.4 14.1 15.313.1
21.1
3.2 4.2 6.22.1 2.3 3.0
0.005
1015202530354045
Industrials InformationTechnology
Financials ConsumerDiscretionary
Health Care ConsumerStaples
Materials Real Estate Energy CommunicationServices
Utilities Cash
Top Ten Holdings (%)
Choice Hotels Int'l 3.1 Manhattan Associates 3.0 ICU Medical 2.8 Kinsale Capital Group Inc. 2.6 Qualys Inc. 2.5 Dorman Products 2.4 Integra LifeSciences 2.3 Inter Parfums 2.3 Columbia Sportswear 2.2 CoreLogic 2.2
Portfolio Metrics Russell 2000® Index Total Portfolio
# of Holdings 2,042 62
Wtd. Avg. Mkt. Cap (billions) $3.2 $3.8
Historical Earnings Growth 12% 8%
Forecasted Earnings Growth 15% 11%
Return on Equity 0% 13%
P/E (NTM, Excl. Neg. Earn.) 17.6x 22.3x
Dividend Yield 1.0% 0.8%
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Current Portfolio HoldingsCity of Pasadena Fire and Police Retirement System
Source: FactSet and Atlanta Capital as of December 31, 2020. High Quality Small Cap Russell 2000® Index
CASY Casey's General Stores 1.9 CENT Central Garden & Pet Co. 1.3 IPAR Inter Parfums 2.3 JJSF J&J Snack Foods Corp. 2.0 LANC Lancaster Colony Corp. 1.0
Energy (%) 2.1 1.0
DRQ Dril-Quip 1.0
Financials (%) 15.3 15.6
APAM Artisan Partners 1.5 FHN First Horizon National Corp 1.0 HLNE Hamilton Lane Inc Class A 0.8 HLI Houlihan Lokey, Inc. 2.2 KNSL Kinsale Capital Group Inc. 2.6 PNFP Pinnacle Fin'l Partners 1.3 PB Prosperity Bancshares 1.0 RLI RLI Corp. 1.5 SSB South State Corp. 1.5 UMPQ Umpqua Holdings Corp. 1.0 WABC Westamerica Bancorp. 1.3
Health Care (%) 21.1 8.9
EBS Emergent BioSolutions Inc. 1.6 ICUI ICU Medical 2.8 IART Integra LifeSciences 2.3 MLAB Mesa Laboratories Inc. 1.5 PDCO Patterson Companies 0.7
Industrials (%) 15.4 27.8
AAON AAON 1.0 ALG Alamo Group Inc 1.3 BECN Beacon Roofing Supply 2.0 CBZ CBIZ Inc. 1.6 CLGX CoreLogic 2.2 EXPO Exponent 1.8 FWRD Forward Air 1.8 FCN FTI Consulting 2.0 HURN Huron Consulting Group 1.6 KAR Kar Auction Services Inc 0.8 KEX Kirby Corp. 1.5 LSTR Landstar System 1.7 MGRC McGrath RentCorp 1.0 MOG.A Moog 2.0 RAVN Raven Industries 1.0 SSD Simpson Manufacturing Co Inc 1.5 UNF UniFirst Corp. 2.0 ECOL US Ecology 1.0
Communication Services (%) 2.3 0.5
TTGT TechTarget Inc 0.5
Information Technology (%) 14.1 16.5
ACIW ACI Worldwide Inc. 1.8 BLKB Blackbaud 2.0 CASS Cass Information Sys 0.9 ENV Envestnet 2.0 PLUS ePlus 1.3 MANH Manhattan Associates 3.0 NATI National Instruments 1.5 POWI Power Integrations 1.6 QLYS Qualys Inc. 2.5
Investment Outlook & StrategyHigh Quality Small Cap
• In the last 12 months, we have lived through an impeachment, a deadly pandemic, an economic recession, social unrest, record job losses, government stimulus, and a polarizing and contentious election. However, from an investment standpoint, there was really only one major theme that explained equity market performance – Quality.
• In the early days of the pandemic, high quality stocks largely outperformed as equity markets saw steep declines. But after markets bottomed in late March, low quality equities have outperformed as markets experienced a substantially “risk on” cyclical rally.
• While low quality outperformance is a near-term challenge to high quality strategies, we remain committed to investing in higher quality companies with positive earnings, strong balance sheets, and strong levels of profitability.
• During the quarter, we added one new holding and sold one entirely.
• At quarter end, the representative portfolio held 62 stocks representing ten of the eleven economic sectors in the Russell 2000®.
• Relative to the benchmark, the portfolio was overweight Industrials, Staples, Technology, Financials, and Consumer Discretionary.
• The portfolio was underweight Health Care, Real Estate, Communication Services, Energy, and Materials. There are no positions in Utilities.
Investment Outlook
Portfolio Positioning
Any investment views, opinions/analyses, and forecasts expressed constitute judgments as of the date of this presentation and are subject to change at any time without notice. Future results may differ from forecasts. Source: Atlanta Capital as of December 31, 2020.
11
GIPS® Performance Information and DisclosureHigh Quality Small Capitalization CompositeAs of December 31, 2020
1Period 01/01/2020 through 12/31/2020. Past performance does not predict or guarantee future results.2Internal Dispersion and Composite 3-yr Standard Deviation are calculated using Gross of Fee Returns.
Atlanta Capital Management Company, LLC claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS Standards. Atlanta Capital Management has been independently verified for the periods January 1, 1999 through December 31, 2019.
A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm’s policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. The High Quality Small Capitalization Composite has had a performance examination for the periods January 1,1999 through December 31, 2019. The verification and performance examination reports are available upon request.GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.
Firm Definition: Atlanta Capital Management Company, LLC (Atlanta Capital or the Firm) is an SEC-registered investment adviser located in Atlanta, Georgia. The Firm became a majority-owned subsidiary of Eaton Vance Corp. in 2001. Atlanta Capital operates as an independent subsidiary of Eaton Vance and provides professional investment advisory services to a broad range of institutional and individual clients, and sub-advisory investment management to mutual funds and separately managed wrap fee programs. Atlanta Capital includes all discretionary accounts under management in its composites; total firm assets include discretionary and nondiscretionary accounts for which the firm has investment responsibility. Composite Description: The investment objective of this style is to seek long-term capital growth. Accounts in this composite invest in common stocks of companies having market capitalizations within the range of companies comprising the Russell 2000®. Management seeks to invest in quality companies in strong financial condition whose equities are priced below their estimate of fair value. Characteristics of high quality companies include a history of sustained growth in earnings and operating cash flow, high returns on capital, attractive profit margins and leading industry positions. Investments are determined based primarily on fundamental analysis of a company’s financial trends, products and services, and other factors. Financial quality rankings provided by nationally-recognized rating services may be utilized as part of the investment analysis but are not solely relied upon. The portfolios are broadly diversified. All fully discretionary accounts that are managed in this style and do not pay a bundled or SMA wrap fee are eligible for inclusion in the composite. Benchmark: The composite’s benchmark is the Russell 2000® Index, a widely accepted measure of the small-cap segment of the U.S. equity universe. The index includes the smallest 2000 companies in the Russell 3000®. Prior to July 1, 2005, the composite was also compared to the Russell 2000® Value Index as the portfolio construction process produced both core and value characteristics. Our high quality investment philosophy tends to be defensive in nature and does consider valuation metrics, but it is more consistent with the philosophy and process of a core manager than a value manager. As of July 1, 2015, to clarify our process for potential clients, we determined that it was most appropriate to benchmark our performance results against the Russell 2000® Index only. The investment process for this strategy is not limited by the relative weights of a benchmark. Strategy deviations from the benchmark may include but are not limited to such factors as active management, exclusion/inclusion of securities held/not held in the index, over/underweighting specific sectors or securities, limitations in market cap, and/or client constraints. Indexes include the reinvestment of dividends and earnings, are unmanaged, and do not incur management fees, transaction costs or other expenses associated with separately managed accounts. It is not possible to directly invest in an index.
12
*Inception date is April 1, 1992.E7 01.13.21
Annualized Returns (%) for Periods Ending December 31, 2020 Cumulative (%)
Atlanta Capital High Quality Small Capitalization Composite 1 Year 3 Years 5 Years 7 Years 10 Years Since Inception* Since Inception*
Composite Net of Fees 10.93 12.15 13.66 10.67 13.34 12.07 2548.37
Russell 2000® Index 19.96 10.25 13.26 9.34 11.20 9.73 1341.81
Gross and Net Returns: Performance reflects reinvestment of all income and capital gains. Composite returns and market values are reported in U.S. dollars. Gross-of-fees performance returns are presented before management and custodial fees but after all trading expenses. Returns are presented net of withholding taxes. Net-of-fees performance returns are calculated by deducting the highest management fee of 0.80% from the monthly gross-of-fees returns. Other expenses will reduce a client’s returns. The annual fee schedule for this composite is as follows: 0.80% on the first $50 million in assets; 0.70% on the next $50 million in assets; 0.60% on the next $150 million. Actual management fees incurred by clients may vary.
Composite Dispersion: The annual internal composite dispersion is calculated using the asset-weighted standard deviation of annual gross of fee returns of those portfolios that were included in the composite for the entire year. Internal dispersion is shown only for composites that held at least six accounts for the entire year. The three-year annualized standard deviation measures the variability of the composite and the benchmark returns over the preceding 36-month period.
Notes to Composite: The creation date of this composite is July 1992. Effective July 1, 2010, the composite was redefined to include both taxable and tax-exempt institutional accounts. The composite up to that time included only tax-exempt institutional accounts. The change provides increased transparency to prospective clients by reducing the number of separate composites maintained for this strategy. There has been no change in investment objective or management style. Clients or prospective clients should not assume that they will have an investment experience similar to that indicated by past performance results, as shown on the Schedule. Returns may vary based upon differences in account size, timing of transactions and market conditions at the time of investment. Performance during certain time periods reflects the strong stock market performance and/or the strong performance of stocks held during those periods. This performance is not typical and may not be repeated. Investing entails risks and there is always the possibility of loss.
Other Matters: The Firm’s list of composite descriptions and policies for valuing investments, calculating performance and preparing GIPS Reports are available upon request. To request any additional information, please contact the Atlanta Capital Management Performance Department at 404-876-9411 or write to Atlanta Capital Management Company, LLC, 1075 Peachtree Street NE, Suite 2100, Atlanta, Georgia 30309, Attention Performance Department. Past performance does not predict future results.
13
Portfolio Administrative Review
Investment Summary, Holdings and Transactions
14
CITY OF PASADENA FIRE AND POLICE 12/31/20 RETIREMENT SYSTEM
INVESTMENT SUMMARY
TOTAL TOTAL PORT ANNUAL CURRENTCOST MARKET WGHT INCOME YIELD ($) ($) (%) ($) (%)
Advisory Vote to Ratify Named Executive Officers' Compensation
2 For
3 Ratify Deloitte & Touche LLP as Auditors For
CoreLogic, Inc.Meeting Date: 11/17/2020 Record Date: 09/18/2020 Shares Voted: 1,987
Issue VoteProposal Number
Management Proxy (White Card)
Repeal Bylaws Adopted by the Board Without Shareholder Approval Subsequent to July 6, 2020
1 Do Not Vote
Remove Director J. David Chatham2A Do Not Vote
Remove Director Douglas C. Curling2B Do Not Vote
Remove Director John C. Dorman2C Do Not Vote
Remove Director Paul F. Folino2D Do Not Vote
Remove Director Thomas C. O'Brien2E Do Not Vote
Remove Director Pamela H. Patenaude2F Do Not Vote
Remove Director Vikrant Raina2G Do Not Vote
Remove Director J. Michael Shepherd2H Do Not Vote
Remove Director David F. Walker2I Do Not Vote
Elect Director W. Steve Albrecht3A Do Not Vote
Elect Director Martina Lewis Bradford3B Do Not Vote
Elect Director Gail Landis3C Do Not Vote
Elect Director Wendy Lane3D Do Not Vote
Elect Director Ryan McKendrick3E Do Not Vote
Elect Director Katherine "KT" Rabin3F Do Not Vote
Elect Director Sreekanth Ravi3G Do Not Vote
Elect Director Lisa Wardell3H Do Not Vote
Elect Director Henry W. "Jay" Winship3I Do Not Vote
Amend Bylaws to Provide Mechanics for Calling a Special Meeting if No or Less Than a Majority of Directors are in Office Following the Passing of the Director Removal Proposal
4 Do Not Vote
25
CoreLogic, Inc.
Dissident Proxy (Gold Proxy)
Remove Director J. David Chatham1.1 For
Remove Director Douglas C. Curling1.2 Withhold
Remove Director John C. Dorman1.3 Withhold
Remove Director Paul F. Folino1.4 Withhold
Remove Director Thomas C. O'Brien1.5 For
Remove Director Pamela H. Patenaude1.6 Withhold
Remove Director Vikrant Raina1.7 Withhold
Remove Director J. Michael Shepherd1.8 Withhold
Remove Director David F. Walker1.9 For
Elect Director W. Steve Albrecht2.1 For
Elect Director Martina Lewis Bradford2.2 Withhold
Elect Director Gail Landis2.3 Withhold
Elect Director Wendy Lane2.4 For
Elect Director Ryan McKendrick2.5 Withhold
Elect Director Katherine "KT" Rabin2.6 Withhold
Elect Director Sreekanth Ravi2.7 Withhold
Elect Director Lisa Wardell2.8 Withhold
Elect Director Henry W. "Jay" Winship2.9 For
Repeal Bylaws Adopted by the Board Without Shareholder Approval Subsequent to July 6, 2020
3 For
Amend Bylaws to Provide Mechanics for Calling a Special Meeting if No or Less Than a Majority of Directors are in Office
4 Against
26
1OPINION AND ANALYSIS OF KEY ECONOMIC AND INVESTMENT ISSUES
Bill Hackney, CFA
January 11, 2021
The year 2020 is gone but will never be forgotten. Few
years in American history were as jam-packed with so
many nerve-racking events—an impeachment, a pandemic,
widespread social unrest, a severe recession and an
unusually contentious presidential election. Most Americans
will be glad to see 2020 go . . . until, perhaps, they open
their 401(k) statements in the next few days. The major
stock market averages advanced strongly in 2020. So did
most bond prices.
The robust performance of the capital markets last year,
despite all the pain and suff ering, provides a good example
of the investment axiom, “to be a good investor, you need
to be a little bit sadomasochistic.” In other words, usually
the best time to invest is when you and everyone else
are feeling great distress, a.k.a. March 2020 when the
pandemic worsened, the economy shut down, the credit
markets seized up, and stocks plunged over 30% from their
peaks.
An astute investor learns to embrace pain and suff ering but
grow more cautious when the good times roll. A capitalistic,
free market economy—aided by appropriate government
intervention in times of crisis—is an amazingly resilient
Exhibit 1: In the inflationary 1970s, growth in the money supply was “the” economic indicator to watch because it was viewed as a leading indicator of inflation. Gradually, the relationship between the money supply and the economy changed, reducing M2’s usefulness as an indicator. Look at the recent sharp acceleration in money growth. The only way an investor should NOT be concerned about inflation is to believe there’s almost NO relationship between the money supply and the economy. Unlikely in my view.
Sources: Federal Reserve of St. Louis as of December 31, 2020
4OPINION AND ANALYSIS OF KEY ECONOMIC AND INVESTMENT ISSUES
Most 2021 economic trends should show a big
improvement over last year, but the performance
of the capital markets is likely to be much more
lackluster. Inflation, which has been unusually tame in
recent years, could surprise on the upside as the economy
gains steam and the extraordinary amounts of fiscal and
monetary stimulus begin to put pressure on price levels.
See chart at top of page 3. The Federal Reserve seems
committed to maintaining easy money through 2023. This
normally would provide a positive backdrop for equities.
But equity valuations are stretched and a number of
inflation indicators are flashing yellow—M2 growth, rising
copper and precious metal prices, a weaker dollar and
even record high Bitcoin prices. In my view this sets up the
risk of a “market surprise” sometime in 2021, where a bad
inflation reading sparks a jump in bond yields and a decline
in equity valuations. For both the stock and bond markets,
what worked best last year is unlikely to work best this year.
Remember the book of Matthew, Chapter 20, verse 12, “So
the last will be first, and the first will be last.”
This material is presented for informational and illustrative purposes only and should not be construed as investment advice, a recommendation to purchase or sell specific securities, or to adopt any particular investment strategy. The opinions expressed herein are those of the author and do not necessarily reflect the views of other employees at Atlanta Capital Management. Any current investment views and opinions/analyses expressed constitute judgments as of the date of this material and are subject to change at any time without notice. Index and commodity changes are based on price-only percentage change. This material has been prepared on the basis of publicly available information, internally developed data, and other third party sources believed to be reliable. However, no assurances are provided regarding the reliability of such information and Atlanta Capital has not sought to independently verify information taken from public and third party sources. This material may contain statements that are not historical facts, referred to as forward-looking statements. Future results may differ significantly from those stated in forward-looking statements, depending on factors such as changes in securities or financial markets or general economic conditions.
Investing entails risks and there can be no assurance that any forecasts or opinions expressed in this material will be realized. It is not possible to directly invest in an index. Past performance does not predict future results.
Atlanta Capital Management Co., LLC | 1075 Peachtree Street NE, Suite 2100, Atlanta, Georgia 30309 | Tel: 404.876.9411 | atlcap.com
Indicator Rationale September 30, 2020 December 31, 2020
The yield curve:Short- vs. long-term interest rates
When short-term interest rates rise to meet or exceed long-term rates, monetary policy is usually tight enough to eventually cause a recession.
Yield curve has steepened as long rates drift higher
Yield curve has steepened as long rates drift higher
Widening spread between high- and low-qualitybond yields
A widening spread between junk bond yields and Treasuries indicates deteriorating credit market conditions.
Credit spreads have narrowed, but wider than year end
Credit spreads have narrowed, but wider than ayear ago
Rising wage inflation
When wages rise at a 4% annual rate, it is difficult for the Fed to keep core inflation near its 2% goal. So the Fed usually tightens policy aggressively.
Wage pressuresgathering strength
Wage pressuresgathering strength
S&P 500 P/E ratioover 20 times
Price/earnings ratios over 20 times trailing four quarter earnings makes stocks vulnerable to rising interest rates and inflation.
P/E on trailing earningsover 20 times
P/E on trailing earningsover 20 times
Downturn in Leading Economic Index®
The Conference Board’s LEI has peaked and turned down in advance of each recession since 1960. Average lead time is 13 months.
Strong upturn in place Strong upturn in place
Source: Atlanta Capital as of December 31 2020.
Exhibit 2: The indicators continue to signal a moderately positive environment for equities, based primarily on easy money and the early stages of an economic recovery. Following several big changes in the third quarter, no indicator changed its signal during the fourth quarter of 2020. The sharp upswing in stock prices pushed the major market averages further into overvalued territory. Political risks, namely adverse tax legislation, are likely to rise in the months ahead.
Market index returns (net of dividends) Cumulative Average annualFor periods ended December 31, 2020 (%) 3 month YTD 1 year 3 years 5 years 10 years
MSCI All Country World Index (ACWI) 14.68 16.25 16.25 10.06 12.26 9.13
MSCI All Country World Index (ACWI) ex USA 17.01 10.65 10.65 4.88 8.93 4.92
MSCI World Index 13.96 15.90 15.90 10.54 12.19 9.87
MSCI EAFE (Europe, Australasia, Far East) Index 16.05 7.82 7.82 4.28 7.45 5.51
MSCI Emerging Markets Index 19.70 18.31 18.31 6.17 12.81 3.63
Standard & Poor's 500 Composite Index 12.15 18.40 18.40 14.18 15.22 13.88
Market overview
• International stocks surged amid expectations of a broad economic recovery, fueled by the rollout of COVID-19 vaccines and fresh stimulus measures. All markets across Europe posted solid gains despite a second wave of virus infections. In late December, the U.K. government reached a long-awaited Brexit deal with the European Union, helping to remove further market uncertainty. Japanese stocks rose as its economy expanded, and Chinese equities continued to shine on China’s rebound. Overall, the MSCI ACWI ex USA Indexrose 17%.
• All sectors within the MSCI ACWI ex-USA Index advanced. Economically sensitive stocks posted sharp gains. The financials sector surged almost 25%, led by large European banks. The energy sector rose more than 22% with double-digit gains from the world’s largest oil producers. Stocks in the materials and industrial sectors also rallied on hopes on increased demand for industrial metals, chemicals and electrical equipment. Health care stocks lagged, hurt in part by concerns about industry consolidation. Overall, value stocks outpaced growth and small cap stocks.
• Governments around the world continued to combat the virus with massive monetary and fiscal stimulus measures. U.S. lawmakers approved a $900 billion stimulus bill to help offset some of the pandemic’s economic impact. The relief package included $600 direct payments and $300 weekly unemployment subsidies for individuals. The European Central Bank, meanwhile, increased the amount of its pandemic emergency purchase program to €1.85 trillion from €1.35 trillion.
• Among developed markets, European stocks rose 16% amid increasing optimism that widespread vaccinations will result in better-than-expected economic growth by mid- to late 2021. Investors also cheered Brexit negotiators as they hammered out a broad agreement governing the United Kingdom’s new trading relationship with the European Union. U.S. stocks wrapped up the quarter with a 12% gain.
• In foreign exchange markets, the U.S. dollar fell 4% against the euro, 2% against the yen, 6% against British pound sterling and 4% against the Chinese renminbi.
mprice
Typewritten Text
Item: 6-b Date: 2/17/21
EuroPacific Growth Fund
Results
2
Returns (%) Cumulative Average annual
Expense ratioFor periods ended December 31, 2020 3 months YTD 1 year 3 years 5 years 10 years Lifetime
MSCI All Country World Index (ACWI) ex USA** 17.01 10.65 10.65 4.88 8.93 4.92 8.67 —
Morningstar Foreign Large Growth Category Average 14.84 25.48 25.48 11.17 11.95 7.87 8.22 —
Lipper International Funds Average 15.87 12.63 12.63 5.31 8.27 5.61 8.79 —
Fund Inception: April 16, 1984
Figures shown are past results for Classes F-2, F-3 and R-6 shares and are not predictive of results in future periods. Current and future results may be lower or higher than those shown. Prices and returns will vary, so investors may lose money. Returns shown at net asset value (NAV) have all distributions reinvested. Investing for short periods makes losses more likely. For current information and month-end results, visit capitalgroup.com.
*Returns reflect results of the fund‘s current and former benchmark indexes: MSCI All Country World ex USA Index, April 2007–present; MSCI EAFE Index, fund inception–March 2007. Results reflect net dividends.**Results reflect gross dividends through December 31, 2000 and net dividends thereafter.We offer a range of share classes designed to meet the needs of retirement plan sponsors and participants. The different share classes incorporate varying levels of advisor compensation and service provider payments. Because Class R-6 shares do not include any recordkeeping payments, expenses are lower and results are higher. Other share classes that include recordkeeping costs have higher expenses and lower results than Class R-6.Investment results assume all distributions are reinvested and reflect applicable fees and expenses. When applicable, investment results reflect fee waivers and/or expense reimbursements, without which results would have been lower. Please see capitalgroup.com for more information. Certain share classes were offered after the inception dates of some funds. Results for these share classes prior to the dates of first sale are hypothetical based on the results of the original share class of the fund without a sales charge, adjusted for typical estimated expenses. (Inception date: Class F-2, August 1, 2008; Class F-3, January 27, 2017; Class R-6, May 1, 2009.) Results for certain funds with an inception date after the share class inception also include hypothetical returns because those funds' shares sold after the date of first offering. Please see capitalgroup.com for more information on specific expense adjustments and the actual dates of first sale. The expense ratios are as of each fund's prospectus available at the time of publication.Market indexes are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index. There have been periods when the fund has lagged the index.Although our portfolios are compared to their benchmarks, portfolio managers manage them to be consistent with their investment objectives.Investing outside the United States involves risks, such as currency fluctuations, periods of illiquidity and price volatility, as more fully described in the prospectus/Characteristics Statement. These risks may be heightened in connection with investments in developing countries.
EuroPacific Growth Fund
4Q 2020
Investment objective and approach
• The fund's investment objective is to provide long-term growth of capital.
• Invests in attractively valued companies in developed and emerging markets that are positioned to benefit from innovation, global economic growth, increasing consumer demand or a turnaround in business conditions.
Review and attribution
• In a broad market recovery, EuroPacific Growth Fund (EUPAC) delivered positive absolute results along with a quarterly excess return of nearly 300 basis points versus its benchmark.
• EUPAC’s flexible approach toward investing to an objective of long-term growth of capital proved valuable in a market that increased its breadth to favor companies in the financial and energy sectors, a meaningful difference from earlier in 2020.
• Stock selection contributed across a broad range of sectors. Leading the way was selection in the health care sector, despite it having the worst return in the benchmark during the quarter. Wuxi Biologics benefited from attractive contract wins in COVID-19-related areas as well as Chinese coronavirus vaccine development.
• Also contributing to relative results was the fund’s stock selection within the consumer discretionary sector. The leading e-commerce site for Latin America, MercadoLibre, hit new highs reflecting a strong uptick in e-commerce and digital payment services amid the pandemic.
• Finally, having fewer consumer staples companies and more exposure to information technology companies helped the fund relative to the broader market.
• From a regional perspective, stock selection within emerging markets was a contributor in a variety of industries. Overall strength came from Brazilian iron ore producer Vale, Indian banks and China through Wuxi Biologics.
• Among the largest detractors was the fund’s cash position, which finished the quarter at 2.6%. Cash decreased slightly from 4.4% last quarter-end and is now at the lowest level in more than 20 years.
• Stock selection in the energy sector showed weakness due to the fund’s largest holding, Reliance Industries. Both its energy and retail businesses suffered while its telecom subsidiary Jio saw continued strength.
• The fund continues to be managed to an objective of long-term growth of capital — investing wherever the potentially best capital appreciation opportunities lie.
3
EuroPacific Growth Fund
Review and attribution — Year to date
• In the growth-led markets of 2020, EUPAC finished with absolute results greater than 25%, with excess returns verses the benchmark of more than 1,400 bps.
• The fund’s positioning broadly reflects the portfolio managers’ views that the best ideas for capital appreciation continue to be found in traditionally growth-oriented sectors. In a year that the growth components of the index outperformed the value components by a wide margin, that positioning has been a tailwind for EUPAC’s results. At the same time, the fund’s flexibility has allowed it to navigate a broadening of the market to capture some relative value in other sectors.
• Stock selection contributed across nearly all sectors. Leading the way was the consumer discretionary sector, where the leading e-commerce site for Latin America, MercadoLibre, hit new highs reflecting the strong uptick in e-commerce and digital payment services amid the pandemic.
• Health care stocks also contributed to relative results. Wuxi Biologics benefited from attractive contract wins in COVID-19-related areas as well as Chinese coronavirus vaccine development. In addition, Daiichi Sankyo saw continued strength around its promising cancer drug franchise.
• Having fewer financials, real estate and consumer staples positions all helped as these companies generally lagged the broader market.
• From a regional perspective, there were no detractors. Japan stock selection across a number of industries was the largest contributor. Emerging markets was also additive, helped by solid returns in Chinese and Brazilian companies. This strength more than offset the weakness caused by lack of exposure to some Chinese electric vehicle and e-commerce companies where stocks rose significantly.
• The largest detractor was the fund’s position in aerospace, within the industrials sector, due to ongoing weakness in the aerospace and airline industries. Many of these companies rebounded more than 50% in the fourth quarter after news of vaccine success, but this was not enough to overcome the declines from earlier in the year.
• The materials sector was also a detractor on a year-to-date basis due primarily to a lighter relative position as well as selection in chemical companies.
4
EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA — Quarter to date
5
Data as of December 31, 2020, and is preliminary.*Average position for time period; portfolio holdings change.EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA with net dividends reinvested.Source: MSCI. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. Cash may include short-term securities, accrued income and other assets less liabilities as well as currencies. It may also include investments in money market or similar funds, which may be managed by the investment adviser or its affiliates that are not offered to the public.See attribution methodology disclosure for additional information.
Attribution summary (relative)
Largest contributors (%) Portfolioweight*
Active weight
Stockreturn
Relative contribution
MercadoLibre, Inc. 2.33 2.33 54.76 0.74
ISR: Vale S.A. 1.40 1.19 59.48 0.48
Kotak Mahindra Bank Limited 1.26 1.24 58.88 0.44
ISR: Wuxi Biologics (Cayman) Inc. 1.19 1.06 57.38 0.42
ISR: HDFC Bank Limited 1.94 1.94 44.64 0.34
ISR: Petroleo Brasileiro SA Pfd 1.10 0.94 57.49 0.33
Airbus SE 1.38 1.14 50.92 0.32
ASML Holding NV 2.41 1.65 32.31 0.24
PagSeguro Digital Ltd. Class A 0.70 0.70 50.84 0.22
ISR: Just Eat Takeaway.com N.V. 0.55 0.49 0.57 –0.09
Cash 3.86 3.86 0.02 –0.71
EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA — Year to date
Data as of December 31, 2020, and is preliminary.*Average position for time period; portfolio holdings change.EuroPacific Growth Fund vs. MSCI All Country World Index (ACWI) ex USA with net dividends reinvested.Source: MSCI. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. Cash may include short-term securities, accrued income and other assets less liabilities as well as currencies. It may also include investments in money market or similar funds, which may be managed by the investment adviser or its affiliates that are not offered to the public.See attribution methodology disclosure for additional information.
Attribution summary (relative)
Largest contributors (%) Portfolioweight*
Active weight
Stockreturn
Relative contribution
MercadoLibre, Inc. 2.13 2.13 192.90 2.36
Sea Ltd. (Singapore) Sponsored ADR Class A 1.03 1.03 394.90 1.51
ASML Holding NV 2.42 1.71 65.79 0.80
ISR: Wuxi Biologics (Cayman) Inc. 0.66 0.58 202.51 0.73
Amadeus IT Group SA Class A 0.40 0.28 –10.29 –0.22
NIO Inc. Sponsored ADR Class A 0.00 –0.07 1,112.4
4 –0.21
UniCredit S.p.A. 0.46 0.36 –35.97 –0.20
Melrose Industries PLC 0.42 0.38 –23.48 –0.20
Pinduoduo, Inc. Sponsored ADR Class A 0.00 –0.09 369.78 –0.18
Cenovus Energy Inc. 0.21 0.18 –39.20 –0.17
ISR: JD.com, Inc. Class A 0.01 –0.22 149.50 –0.16
6
EuroPacific Growth Fund
Portfolio positioning and outlook
7
• The consumer discretionary, information technology and health care sectors stand out among the fund’s largest exposures relative to the index. E-commerce and luxury goods are a focus in consumer discretionary, while semiconductors and IT services are prominent within the technology sector. The fund’s exposure to the consumer discretionary sector, just off its 10-year high reached in October, was trimmed as many companies had reached elevated valuations.
• The materials sector, off a five-year low in October, was the fund’s biggest sector buy during the quarter with purchases in Brazilian iron ore company Vale. Shares soared on the prospects for a vaccine-assisted global economic recovery, along with a strong rise in iron ore prices.
• Portfolio managers also added to oil and gas companies amid attractive valuations and expectations of a robust economic rebound.
• The industrials sector, previously at a 15-year high, has a heavy emphasis in aerospace and defense companies. With the precipitous decline in Airbus and some airlines this year, the sector weight is approaching a 10-year low. In addition, the fund has a lack of exposure in trading, railroad and construction companies, thereby leaving a relatively light footprint.
• The fund’s weight in Japanese companies was down a bit over the period. Managers trimmed exposure to stocks across several industries where prices reflected full valuations and moved to higher convictions.
• The fund’s weight in European companies is up year over year and was the largest regional purchase in 2020. Managers added to some food delivery, banks and aerospace positions while trimming exposure to stocks across several sectors including health care and technology on a valuation basis.
• Exposure to emerging markets companies ended the period at 31%, up from 28.7% last quarter and remaining slightly lower than the index weighting of 31.2%. Positions within the region are concentrated in just a handful of countries, with the top five capturing nearly all of the fund’s exposure: namely China, India, Brazil, Taiwan and Russia. The companies owned in the region have shown strength with broad industry participation. Over the longer term, security selection in emerging markets has been a regional contributor for the one-year, three-year and five-year periods.
Sector diversification
Data shown reflect the top holdings in each sector.
Cash and equivalents includes short-term securities, accrued income and other assets less liabilities. It may also include investments in money market or similar funds managed by the investment adviser or its affiliates that are not offered to the public.
Index reflects MSCI All Country World Index (ACWI) ex USA. Source: MSCI. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products.
Totals may not reconcile due to rounding.
8
Portfolio (%) Index (%)
12/31/19 12/31/20 12/31/20
Energy 5.5 6 4.3
Reliance Industries 2.6
Petrobras 1.3
Canadian Natural Resources 0.8
Materials 7.3 6.6 8.1
Vale 2.1
Sika 0.9
Shin-Etsu 0.6
Industrials 11.0 8.6 11.6
Airbus 1.5
Safran 0.8
Recruit Holdings 0.7
Consumer discretionary 15.1 17.1 13.8
MercadoLibre 2.3
LVMH Moet Hennessy Louis Vuitton 1.8
Alibaba Group 1.7
Consumer staples 4.6 4.6 8.9
Kweichow Moutai 1.1
Nestlé 0.8
British American Tobacco 0.3
Health care 10.8 13.4 9.6
Daiichi Sankyo 2.1
WuXi Biologics (Cayman) 1.5
Chugai 1.2
Portfolio (%) Index (%)
12/31/19 12/31/20 12/31/20
Financials 15.6 14.4 18.0
AIA Group 2.3
HDFC Bank 2.0
Kotak Mahindra Bank 1.4
Information technology 12.9 16.1 12.7
ASML 2.5
TSMC 2.2
Keyence 1.6
Communication services 5.0 6.6 7.1
SEA 1.6
Tencent 0.9
SoftBank Group 0.8
Utilities 2.9 3.0 3.3
Orsted 1.0
ENN Energy Holdings 0.6
Real estate 1.2 0.8 2.6
Longfor Group 0.2
Ayala Land 0.2
Total equity 92.0 97.3 100.0
Total fixed income 0.1 0.1 —
Total cash & equivalents 7.9 2.6 —
Total assets 100.0 100.0 100.0
EuroPacific Growth Fund
Portfolio (%) Index (%) 12/31/19 12/31/20 12/31/20
Total emerging markets 28.6 31.0 31.2Total equity 92.0 97.3 100.0 Total fixed income 0.1 0.1 —Total cash & equivalents 7.9 2.6 —Total assets 100.0 100.0 100.0
Geographic diversificationEuroPacific Growth Fund
Cash and equivalents includes short-term securities, accrued income and other assets less liabilities. It may also include investments in money market or similar funds managed by the investment adviser or its affiliates that are not offered to the public.
Index reflects MSCI All Country World Index (ACWI) ex USA. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products.
Totals may not reconcile due to rounding.
9
Portfolio (%) Index (%) 12/31/19 12/31/20 12/31/20
Pacific Basin 20.9 20.1 23.1 Japan 14.5 13.7 15.8 Australia 1.3 1.1 4.4 Hong Kong 4.4 3.7 2.0 Singapore 0.6 1.6 0.7 New Zealand 0.1 — 0.2
North America 5.3 7.1 6.3 Canada 3.6 4.0 6.3 United States 1.7 3.1 0.0
Total developed markets 63.4 66.3 68.8
EuroPacific Growth Fund
RankingCurrent
12/31/20Previous12/31/19 Holding Sector Country
Total portfolio (%)
Total index (%)
1 1 Reliance Industries Energy India 2.6 0.3
2 7 ASML Information technology Netherlands 2.5 0.8
3 13 MercadoLibre Consumer discretionary United States 2.3 —
4 5 AIA Group Financials Hong Kong 2.3 0.6
5 9 TSMC Information technology Taiwan 2.2 1.8
6 8 Vale Materials Brazil 2.1 0.2
7 10 Daiichi Sankyo Health care Japan 2.1 0.2
8 3 HDFC Bank Financials India 2.0 —
9 16 LVMH Moet Hennessy Louis Vuitton Consumer discretionary France 1.8 0.7
10 4 Alibaba Group Consumer discretionary China 1.7 1.7
Total companies 1 through 10 21.6 6.3
11 12 Keyence Information technology Japan 1.6 0.4
12 99 SEA Communication services Singapore 1.6 —
13 100 Shopify Information technology Canada 1.6 0.5
14 2 Airbus Industrials France 1.5 0.3
15 186 WuXi Biologics (Cayman) Health care China 1.5 0.2
16 15 Kotak Mahindra Bank Financials India 1.4 0.1
17 44 Petrobras Energy Brazil 1.3 0.2
18 76 Flutter Entertainment Consumer discretionary Ireland 1.3 0.1
19 29 Chugai Health care Japan 1.2 0.1
20 39 Kweichow Moutai Consumer staples China 1.1 0.1
Total companies 1 through 20 35.7 8.3
Index reflects MSCI ACWI ex USA Index with net dividends reinvested. MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products. The information shown does not include cash and cash equivalents. This includes shares of money market or similar funds managed by the investment adviser or its affiliates that are not offered to the public.Totals may not reconcile due to rounding.
Twenty largest equity holdings
10
Equity attribution data was produced using FactSet, a third-party software system, based on prior calendar quarter-end publicly disclosed portfolio(s). Securities in their initial period of acquisition may not be included in this analysis. The analysis includes equity investments only and excludes forward contracts and fixed income investments, if applicable. It does not account for buy and sell transactions that might have occurred during the quarter. As a result, average portfolio weight percentages are approximate and the actual average portfolio weight percentages might be higher or lower. Data elements such as pricing, income, market cap, etc. were provided by FactSet. The index provided for attribution is based on FactSet’s methodology. The index is a broad-based market benchmark and may not be used by Capital Group as the sole comparative index for this portfolio. Capital Group believes the software and information from FactSet to be reliable. However, Capital Group cannot be responsible for inaccuracies, incomplete information or updating of information by FactSet.
Relative contribution measures the impact a security has on the portfolio's excess return (the portfolio return minus the benchmark return). Past results are not indicative of results in future periods.
All of the attribution data contained in the report that display the portfolio weights, benchmark weights and weight differences are average weights over the period. The mnemonic ‘ISR:’ indicates that two or more issues of the same issuer have been rolled up and thus what is presented in the report is the Issuer Level data.
EuroPacific Growth FundAs of December 31, 2020
Attribution methodology notes
ITGEQSX-016-0121O CGD/10219-S79282
Important information
Investors should carefully consider investment objectives, risks, charges and expenses. This and other important information is contained in the fund prospectuses and summary prospectuses, which can be obtained from a financial professional and should be read carefully before investing. Statements attributed to an individual represent the opinions of that individual as of the date published and do not necessarily reflect the opinions of Capital Group or its affiliates. This information is intended to highlight issues and should not be considered advice, an endorsement or a recommendation. All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.
Market indexes are unmanaged and, therefore, have no expenses. Investors cannot invest directly in an index. There have been periods when the fund has lagged the index.
Lipper averages reflect the current composition of all eligible mutual funds (all share classes) within a given category. Lipper categories are dynamic and averages may have few funds, especially over longer periods. To see the number of funds included in the Lipper category for each fund's lifetime, please see the Quarterly Statistical Update, available on our website.
MSCI has not approved, reviewed or produced this report, makes no express or implied warranties or representations and is not liable whatsoever for any data in the report. You may not redistribute the MSCI data or use it as a basis for other indices or investment products.
All Capital Group trademarks mentioned are owned by The Capital Group Companies, Inc., an affiliated company or fund. All other company and product names mentioned are the property of their respective companies.
American Funds Distributors, Inc., member FINRA.
11
Institutional client notice and addendum for retirement plans
Capital Group, its affiliates and representatives (collectively “Capital Group”) engage in sales, marketing and servicing activities as part of our efforts to distribute our services and products (“distribution activities”). Our distribution activities reflect our understanding of the following:
1. The Plan is represented by a “fiduciary” within the meaning of section 3(21)(A) of ERISA with full authority and responsibility for the decision to enter into transactions or service relationships (the “Plan fiduciary”);
2. The Plan fiduciary is responsible for exercising independent judgment in evaluating any transactions or services and is capable of evaluatinginvestment risks independently, both in general and with regard to particular transactions and investment strategies that Capital Group may market to the Plan; and
3. Capital Group is not undertaking to provide impartial investment advice, act as an impartial adviser or provide advice in a fiduciary capacity in connection with its distribution activities, and the parties agree that such activities will not be used as a primary basis for the Plan’s investment decisions.
This Notice does not apply beyond distribution activities. Thus, for example, Capital Group will act as a fiduciary and as an investment manager under ERISA to the extent provided in the terms of a participation or investment management agreement.
12
International Stock FundObjectives The Fund seeks long-term growth of principal and income.
Strategy The Fund invests primarily in a diversified portfolio of equity securities issued by non-U.S. companies from at least three different countries, including emerging market
countries. The Fund is not required to allocate its investments in set percentages in particular countries. The Fund typically invests in medium-to-large well established companies based on standards of the applicable market.
RisksThe Fund is subject to market risk, meaning holdings in the Fund may decline in value for extended periods due to the financial prospects of individual companies or
due to general market and economic conditions. Investing in non-U.S. securities may entail risk due to foreign economic and political developments; this risk may be higher when investing in emerging markets. Please read the prospectus for specific details regarding the Fund’s risk profile.
General InformationNet Asset Value Per Share $43.70Total Net Assets (billions) $40.8Expense Ratio 0.63%2020 Portfolio Turnover Rate 20%30-Day SEC Yield(a) 1.64%Active Share(b) 91%Number of Companies 69Fund Inception 2001No sales charges or distribution fees
Investment Manager: Dodge & Cox, San Francisco. Managed by the International Equity Investment Committee, whose eight members’ average tenure at Dodge & Cox is 23 years.
Ten Largest Equity Holdings (% Market Value)(d) (e) Fund
Samsung Electronics Co., Ltd. (South Korea) 4.8ICICI Bank, Ltd. (India) 3.6BNP Paribas SA (France) 3.3Credit Suisse Group AG (Switzerland) 2.9Sanofi (France) 2.8Novartis AG (Switzerland) 2.8Banco Santander SA (Spain) 2.8GlaxoSmithKline PLC (United Kingdom) 2.7UBS Group AG (Switzerland) 2.7Mitsubishi Electric Corp. (Japan) 2.5
Region Diversification (% Market Value)(d) (g) Fund MSCI EAFE
Europe (excluding United Kingdom) 37.0 48.4United Kingdom 16.4 14.0Asia Pacific (excluding Japan) 15.1 11.7Japan 13.1 25.3United States 5.9 0.0Latin America 4.8 0.0Canada 4.3 0.0Africa 1.8 0.0Middle East 0.0 0.6
Sector Diversification (% Market Value)(d) Fund MSCI EAFE
Median Market Capitalization (billions) $38 $12Weighted Average Market Capitalization (billions) $76 $69Price-to-Earnings Ratio(c) 12.8x 17.5xCountries Represented 22 21Emerging Markets (Brazil, China, India, Mexico, Peru, Russia, South Africa, South Korea)(d)(g) 20.9% 0.0%
Asset Allocation
(a) SEC Yield is an annualization of the Fund’s net investment income for the trailing 30-day period. Dividends paid by the Fund may be higher or lower than implied by the SEC Yield.(b) Active share is a measure of how much an investment portfolio differs from its benchmark index, based on a scale of 0% (complete overlap with the index) to 100% (no overlap). Overlap for each security in the Fund is the lower
of either its percentage weight in the Fund or its percentage weight in the relevant index. Active share is calculated as 100% minus the sum of the overlapping security weights.(c) Price-to-earnings (P/E) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as
market conditions change.(d) Excludes derivatives.(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of Dodge & Cox’s current or future
trading activity.(f) Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables.(g) The Fund may classify a company in a different category than the MSCI EAFE. The Fund generally classifies a company based on its country of incorporation, but may designate a different country in certain circumstances.
Equity Securities: 98.4%
Net Cash& Other:(f) 1.6%
December 31, 2020
TICKER SYMBOL
D ODFX
*Total sector exposure, including the notional exposure of equity total return swaps, is Consumer Discretionary at 13.0% and Communication Services at 4.2% . Portfolio totals may not sum to 100%.
*Total issuer exposure, including notional value of total return swaps, is 2.8% for Naspers, Ltd. (South Africa). Portfolio totals may not sum to 100%.
mprice
Typewritten Text
Item: 6-c Date: 2/17/21
dodgeandcox.com
The Dodge & Cox International Stock Fund had a total return of 24.7% for the fourth quarter of 2020, compared to 16.0% for the MSCI EAFE (Europe, Australasia, Far East) Index. For 2020, the Fund had a total return of 2.1%, compared to 7.8% for the MSCI EAFE.
Investment CommentaryIn 2020, global equity markets were extremely volatile. There was a severe drawdown in the spring as the coronavirus pandemic evolved and a sharp rebound in November amid the promising news that vaccines would be available by year end. This encouraged investors and signaled the potential for both an end to the pandemic-induced economic downturn and a meaningful rebound in 2021. The market reversal in November illustrates the importance of having a long-term view and staying the course with one’s convictions because markets can turn quickly. History shows us that major market moves are episodic and unpredictable. Thus, missing even a few days in the market can make a big difference in your overall returns. In the fourth quarter, the Fund significantly outperformed. While the MSCI EAFE Value Index outperformed the MSCI EAFE Growth Index by 6.1 percentage points during the quarter, value stocks2 still lagged growth stocks for the year. In fact, during 2020, the MSCI EAFE Value was down 2.6%, compared to up 18.3% for the MSCI EAFE Growth, continuing a decade-long period of underperformance by value stocks. The Fund, with its value-oriented portfolio, similarly lagged the overall market for the year. We believe that we are in the early innings of a reversal between value and growth performance. Starting valuations matter, and the MSCI EAFE Value is reasonably valued at 13.0 times forward earnings compared to a lofty 27.0 times forward earnings for the MSCI EAFE Growth.3 This 108% premium for growth stocks is similar to the gap on September 30 and remarkably 3.5 standard deviations above average. The market is pricing in some recovery—earnings estimates are rising and absolute valuations are elevated on depressed earnings. After the fourth quarter rally, few markets are inexpensive relative to their recent history on an absolute basis. However, there are many areas that are inexpensive relative to the overall market, especially Financials, Energy, and Pharmaceuticals. At Dodge & Cox, we weigh a company’s valuation against its long-term fundamentals to discern where investors might be overly pessimistic or optimistic in their outlook. We continually assess relative valuation opportunities to try to optimize the composition of the portfolio on a bottom-up basis. For example, we made substantive changes within the Fund’s Financials holdings during 2020. After adding to the Fund’s holdings throughout the spring, we reduced the Fund’s weighting in continental European Financials, especially in the fourth quarter. During the year, we trimmed UBS Group4 due to its relative outperformance and trimmed and eventually sold Societe Generale. We increased the Fund’s weighting in BNP Paribas and Banco Santander, leading franchises with superior scale, capital generation, and higher attractive risk-adjusted return prospects in our opinion. In addition, we diversified the Fund’s exposure by increasing the Fund’s emerging market bank holdings, where we own strong franchises with attractive growth opportunities. We recently added to Itau Unibanco, ICICI Bank, and Axis Bank, and started a new position in Credicorp, Peru’s largest bank. We have strong conviction in our active investment approach, and we remain optimistic about the long-term outlook for the Fund, especially with valuation disparities in the market as wide as they are today. We encourage our shareholders to take a similar long-term view. Thank you for your continued confidence in Dodge & Cox.
Before investing in any Dodge & Cox Fund, you should carefully consider the Fund’s investment objectives, risks, and charges and expenses. To obtain a Fund’s prospectus and summary prospectus, which contain this and other important information, visit dodgeandcox.com or call 800-621-3979. Please read the prospectus and summary prospectus carefully before investing.
Fourth Quarter Performance ReviewThe Fund outperformed the MSCI EAFE by 8.6 percentage points during the quarter.
Key Contributors to Relative Results European and UK Financials Banco Santander, BNP Paribas, and Barclays were
especially strong performers. Emerging market Financials ICICI Bank, Axis Bank, and Itau Unibanco also performed well.
Strong stock selection in the Fund’s Information Technology sector (up 40% versus up 17% for MSCI EAFE sector) led to relative outperformance. Samsung Electronics was particularly strong.
In Consumer Staples, the Fund’s average underweight position (3% versus 11% for MSCI EAFE sector) and holdings, including not owning Nestle, contributed to performance.
Other contributors include Baidu, Glencore, Ovintiv, and Suncor Energy.
Key Detractors from Relative Results In Health Care, the Fund’s relative underperformance (flat versus up 4% for MSCI
EAFE sector) detracted from results. Notable detractors include Sanofi, GlaxoSmithKline, and Bayer.
Alibaba was an additional key detractor.
2020 Performance ReviewThe Fund underperformed the MSCI EAFE by 5.7 percentage points in 2020.
Key Detractors from Relative Results European and UK holdings Societe Generale, UniCredit, Standard Chartered,
and Banco Santander, were weak performers. Emerging Market holdings Itau Unibanco and ICICI Bank, also lagged.
The Fund’s average overweight in Energy (8% versus 4% for the MSCI EAFE sector) led to underperformance. Suncor Energy, Schlumberger, Petrobras, and Ovintiv fared especially poorly.
The Fund’s holdings within the Communication Services sector, namely Grupo Televisa and Millicom International Cellular, detracted from performance.
The Fund’s stock selection in Health Care detracted from returns. In particular, GlaxoSmithKline and Bayer hindered performance.
Key Contributors to Relative Results The Fund’s Internet and Direct Marketing segment holdings within the Consumer
Discretionary sector, namely JD.com, Naspers, Prosus, and Booking Holdings, led to relative outperformance.
The Fund’s holdings within the Industrials sector led to relative outperformance. Nidec, Schneider Electric, and Johnson Controls International were strong contributors.
The Fund’s strong stock selection in the Information Technology sector, especially Samsung Electronics, boosted relative returns.
Baidu was a strong individual contributor.
12/20 ISF FS
1 The Fund’s total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividends but, unlike Fund returns, do not reflect fees or expenses. The MSCI EAFE (Europe, Australasia, Far East) Index is a broad-based, unmanaged equity market index aggregated from 21 developed market country indices, excluding the United States and Canada. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. All returns are stated in U.S. dollars, unless otherwise noted.
2 Value stocks are the lower valuation portion of the equity market, and growth stocks are the higher valuation portion.
3 Unless otherwise specified, all weightings and characteristics are as of December 31, 2020.4 The use of specific examples does not imply that they are more or less attractive investments than the
portfolio’s other holdings.MSCI EAFE is a service mark of MSCI Barra. S&P 500® is a trademark of S&P Global Inc. For more information about these indices, visit dodgeandcox.com
Average Annual Total Return1
For periods ended December 31, 2020 1 Year 3 Years 5 Years 10 Years
Dodge & Cox International Stock Fund 2.10% 0.93% 6.65% 4.63%
MSCI EAFE Index 7.82 4.28 7.45 5.51
Returns represent past performance and do not guarantee future results. Investment return and share price will fluctuate with market conditions, and investors may have a gain or loss when shares are sold. Fund performance changes over time and currently may be significantly lower than stated above. Performance is updated and published monthly. Visit the Fund’s website at dodgeandcox.com or call 800-621-3979 for current month-end performance figures.
Stock FundObjectives The Fund seeks long-term growth of principal and income. A secondary objective is to achieve a reasonable current income.
Strategy The Fund invests primarily in a diversified portfolio of U.S. equity securities. In selecting investments, the Fund typically invests in companies that, in Dodge & Cox’s
opinion, appear to be temporarily undervalued by the stock market but have a favorable outlook for long-term growth. The Fund focuses on the underlying financial condition and prospects of individual companies, including future earnings, cash flow, and dividends. Various other factors, including financial strength, economic condition, competitive advantage, quality of the business franchise, and the reputation, experience, and competence of a company’s management are weighed against valuation in selecting individual securities.
RisksThe Fund is subject to market risk, meaning holdings in the Fund may decline in value for extended periods due to the financial prospects of individual companies or
due to general market and economic conditions. Please read the prospectus for specific details regarding the Fund’s risk profile.
General InformationNet Asset Value Per Share $192.56Total Net Assets (billions) $70.7Expense Ratio 0.52%2020 Portfolio Turnover Rate 21%30-Day SEC Yield(a) 1.55%Active Share(b) 84%Number of Companies 68Fund Inception 1965No sales charges or distribution fees
Investment Manager: Dodge & Cox, San Francisco. Managed by the U.S. Equity Investment Committee, whose eight members’ average tenure at Dodge & Cox is 23 years.
Ten Largest Equity Holdings (%) (e) Fund
Capital One Financial Corp. 4.3Charles Schwab Corp. 3.9Wells Fargo & Co. 3.7Alphabet, Inc. 3.5Comcast Corp. 3.3HP Inc. 3.1FedEx Corp. 2.9Cigna Corp. 2.9Bank of America Corp. 2.8MetLife, Inc. 2.8
Asset Allocation
(a) SEC Yield is an annualization of the Fund’s net investment income for the trailing 30-day period. Dividends paid by the Fund may be higher or lower than implied by the SEC Yield.(b) Active share is a measure of how much an investment portfolio differs from its benchmark index, based on a scale of 0% (complete overlap with the index) to 100% (no overlap). Overlap for each security in the Fund is the lower
of either its percentage weight in the Fund or its percentage weight in the S&P 500 Index. Active share is calculated as 100% minus the sum of the overlapping security weights.(c) Price-to-earnings (P/E) ratios are calculated using 12-month forward earnings estimates from third-party sources as of the reporting period. Estimates reflect a consensus of sell-side analyst estimates, which may lag as
market conditions change.(d) Foreign securities are U.S. dollar denominated.(e) The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation to buy, sell, or hold any particular security and is not indicative of Dodge & Cox’s current or future
trading activity.(f) Net Cash & Other includes cash, short-term investments, derivatives, receivables, and payables.
Equity Securities: 99.3%
Net Cash& Other:(f) 0.7%
December 31, 2020
TICKER SYMBOL
D OD GX
Portfolio Characteristics Fund S&P 500 Russell 1000 Value
Median Market Capitalization (billions) $41 $26 $12Weighted Average Market Capitalization (billions) $173 $490 $134Price-to-Earnings Ratio(c) 13.7x 23.7x 19.4xForeign Securities not in the S&P 500(d) 7.2% 0.0% 0.0%
Sector Diversification (%) Fund S&P 500 Russell 1000 Value
The Dodge & Cox Stock Fund had a total return of 20.9% for the fourth quarter of 2020, compared to 12.1% for the S&P 500 Index and 16.3% for the Russell 1000 Value Index. For 2020, the Fund had a total return of 7.2%, compared to 18.4% for the S&P 500 and 2.8% for the Russell 1000 Value.
Investment CommentaryThe U.S. equity market was extremely volatile in 2020. During the first quarter, concerns about the coronavirus (COVID-19) pandemic abruptly ended the longest stock market bull run in U.S. history. U.S. equities fell sharply in the first quarter, but from the low point in late March, rebounded strongly for the remainder of the year, due to a combination of depressed valuations, substantial fiscal and monetary stimulus, and a robust recovery in corporate earnings. After the successful development of effective COVID-19 vaccines in the fourth quarter, segments of the markets that had previously lagged (e.g., Energy, Financials, Industrials) outperformed as the U.S. stock market surged to an all-time high in December. This market reversal illustrates the importance of having a long-term view and staying the course with one’s convictions because markets can turn quickly. As a result of the COVID-19 pandemic, the market has bifurcated: businesses that are largely immune to the economic impact of the pandemic (we describe them as “COVID defensive”) and those that have been hit hard by the economic consequences of the pandemic (“COVID cyclical”), largely in the Financials, Energy, Industrials, and Real Estate sectors. In 2020, Energy was the worst-performing sector of the S&P 500 (down 34%), reflecting an unprecedented demand decline due to worldwide stay-at-home orders and the global economic slowdown. Over the past decade, U.S. value stocks2 have underperformed growth stocks by 218 percentage points.The Fund is value-oriented and outperformed the Russell 1000 Value by 38 percentage points,3 but underperformed the broad-based S&P 500. In September 2020, the market started to shift in value’s favor, but it is too soon to know whether this could be the beginning of a major reversal in market leadership. Increasingly, we believe a strong case can be made for investing in value stocks going forward. First, the valuation differential between value and growth stocks remains wide by historical standards, which creates ample opportunities for value-oriented investors like Dodge & Cox. The Fund trades at a significant discount to the broad-based market: 13.7 times forward earnings compared to 23.7 times for the S&P 500.4 Historically, lower starting valuations have produced more attractive long-term returns. Second, we are encouraged by the approval of effective COVID-19 vaccines. The COVID-cyclical areas of the market should continue to recover as more of the population becomes vaccinated. There is also the possibility that U.S. interest rates increase as the economy recovers, which would further benefit many of the Fund’s holdings. Third, history has indicated it is hard to stay a market leader. Several very large, high-valuation technology companies have had a large influence on market returns. We believe many of them are overvalued and face significant challenges, not only in justifying their valuations but also because of mounting competitive and regulatory threats. In addition, they would be disadvantaged by higher interest rates. We have strong conviction in our portfolio positioning. The Fund leans heavily toward COVID-cyclical and value sectors, with notable overweights in Financials and Energy. The portfolio is composed mostly of companies with strong franchises that would benefit from long-term economic growth. We believe patience, persistence, and a long-term investment horizon are essential to investment success. We encourage our shareholders to take a similar long-term view. Thank you for your continued confidence in Dodge & Cox.
Fourth Quarter Performance ReviewThe Fund outperformed the S&P 500 by 8.7 percentage points during the quarter.
Key Contributors to Relative Results In Financials, the Fund’s holdings (up 32% versus up 23% for the S&P 500 sector)
and overweight position both had a positive impact. Charles Schwab and Capital One Financial performed well.
The Fund’s overweight position and holdings in Energy (up 44% versus up 28% for the S&P 500 sector) contributed, notably Occidental Petroleum and Baker Hughes.
The Fund’s Information Technology holdings (up 19%) outpaced the S&P 500 sector (up 12%). Microchip Technology and HP Inc. contributed significantly.
Key Detractors from Relative Results In Health Care, the Fund’s holdings (up 6% versus up 8% for the S&P 500 sector) and
overweight position hurt results. Sanofi and GlaxoSmithKline were weak.
Before investing in any Dodge & Cox Fund, you should carefully consider the Fund’s investment objectives, risks, and charges and expenses. To obtain a Fund’s prospectus and summary prospectus, which contain this and other important information, visit dodgeandcox.com or call 800-621-3979. Please read the prospectus and summary prospectus carefully before investing.
The Fund outperformed the Russell 1000 Value (R1000V) by 4.6 percentage points during the quarter.
Key Contributors to Relative Results Relative returns in the Financials sector (up 32% versus up 26% for the R1000V
sector), combined with a higher average weighting, had a positive impact. Charles Schwab and Capital One Financial were notable contributors.
In Energy, the Fund’s overweight position and holdings (up 44% versus up 28% for the R1000V sector) contributed, notably Occidental Petroleum and Baker Hughes.
Key Detractors from Relative Results Returns from holdings in the Industrials sector (up 14% versus up 20% for the R1000V
sector) hurt results. The Fund’s holdings in Health Care (up 6% versus up 9% for the R1000V sector) and
overweight position in the sector detracted. Sanofi and GlaxoSmithKline lagged.
2020 Performance ReviewThe Fund underperformed the S&P 500 by 11.2 percentage points in 2020.
Key Detractors from Relative Results Relative results were hurt by strong returns from a small group of large internet- and
technology-related companies not held by the Fund. Returns from holdings in the Information Technology sector (up 22% versus up 44%
for the S&P 500 sector) detracted. Hewlett Packard Enterprise was weak. In Energy, the Fund’s overweight position and holdings (down 41% versus down 34%
for the S&P 500 sector) hindered performance. Occidental Petroleum lagged. A higher average weighting and weaker returns from holdings in the Financials sector
(down 7% versus down 2% for the S&P 500 sector) hurt results. Wells Fargo and Bank of America performed poorly.
Key Contributors to Relative Results The Fund’s holdings in Industrials (up 34% versus up 11% for the S&P 500 sector)
had a positive impact. FedEx performed well. The Fund’s lack of exposure to Real Estate and Utilities helped results as these
sectors were weak (down 2% and unchanged, respectively). Microchip Technology and Dell Technologies also contributed.
The Fund outperformed the Russell 1000 Value by 4.4 percentage points in 2020.
Key Contributors to Relative Results In Information Technology, the Fund’s holdings (up 22% versus up 10% for the
R1000V sector) and overweight position had a positive impact. Microchip Technology was strong.
Returns from holdings in the Communication Services sector (up 27% versus up 10% for the R1000V sector). Charter Communications and Alphabet performed well.
The Fund’s holdings in Industrials (up 34% versus up 12% for the R1000V sector) helped results. FedEx was a standout performer.
Key Detractors from Relative Results The Fund’s overweight position and holdings in Energy (down 41% versus down 33%
for the R1000V sector) hurt results, notably Occidental Petroleum and Apache. In Consumer Staples, the Fund’s only holding—Molson Coors—was weak.
12/20 SF FS
1 The Fund’s total returns include the reinvestment of dividend and capital gain distributions, but have not been adjusted for any income taxes payable by shareholders on these distributions or on Fund share redemptions. Index returns include dividends but, unlike Fund returns, do not reflect fees or expenses. The S&P 500 Index is a market capitalization-weighted index of 500 large-capitalization stocks commonly used to represent the U.S. equity market. The Russell 1000® Value Index is composed of those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values.
2 Value stocks are the lower valuation portion of the equity market, and growth stocks are the higher valuation portion.
3 The Russell 1000 Value Index had a total return of 171.3% from December 31, 2010 through December 31, 2020 compared to 389.3% for the Russell 1000 Growth Index and 209.4% for the Stock Fund.
4 Unless otherwise specified, all weightings and characteristics are as of December 31, 2020. S&P 500® is a trademark of S&P Global Inc. Russell 1000® is a trademark of the London Stock Exchange Group plc. For more information about these indices, visit dodgeandcox.com.
Average Annual Total Return1
For periods ended December 31, 2020 1 Year 3 Years 5 Years 10 Years 20 Years
Dodge & Cox Stock Fund 7.16% 7.52% 12.27% 11.96% 8.63%
S&P 500 Index 18.40 14.18 15.22 13.88 7.47
Russell 1000 Value Index 2.80 6.07 9.74 10.50 6.82
Returns represent past performance and do not guarantee future results. Investment return and share price will fluctuate with market conditions, and investors may have a gain or loss when shares are sold. Fund performance changes over time and currently may be significantly lower than stated above. Performance is updated and published monthly. Visit the Fund’s website at dodgeandcox.com or call 800-621-3979 for current month-end performance figures.
The Fund entered the pandemic in a position of strength and continues to successfully navigate thechallenges presented by the resulting economic disruption as we move closer to the “other side” ofthis “journey.” We believe the Fund continues to provide a long-term foundational real estateportfolio with financial flexibility to weather this environment and to take advantage of theopportunities that will inevitably arise. We remain committed to providing frequent and transparentcommunication during this time; please find attached to this Flash Report a supplemental ValuationReport for the fourth quarter.
Performance For the fourth quarter 2020, Invesco Core Real Estate – U.S.A. (“ICRE” or “the Fund”)
generated a total gross return of 1.63%, comprised of 0.86% income and 0.77% appreciation.This compares to a preliminary NFI – ODCE total gross return of 1.29%.
The Fund experienced total gross unlevered property appreciation of 65 bps during the quarter.Appreciation in the Core Industrial, Apartments and Other (Life Science) and Manage-to-Coreportfolios was partially offset by depreciation in the Core Office and Retail portfolios. Pleaserefer to our attached Valuation Report for additional detail.
Operations Core Portfolio occupancy remains strong at 92.5%. Rent collections totaled 94% in the fourth
quarter, with consistency from October through December. Fourth quarter NOI was up approximately 4% from the third quarter, driven by strength in the
Manage-to-Core Industrial portfolio and reduced bad debt write-offs within the Retail portfolio.Transactions During the quarter the Fund closed on 3200 Walnut, a life science asset in Boulder, CO for
$99.0 million. The Fund also acquired a portfolio of two self storage properties in Salem, OR for$22.0 million.
The Fund closed on the sale of an office investment in Palo Alto, CA for $67.0M. At quarter end the Fund had $114.3 million in capital commitments, with an additional $125.0
million in documentation, and $880.9 million in redemption requests. On January 4th, $39.3million was called and $50.0 million was made available for redemption requests; we anticipatecontinuing to provide liquidity towards redemptions based on current market conditions.
29%
19%32%
15%5%
Investment Performance
Gross ReturnsCurrent Quarter 1 Year 3 Year 5 Year 7 Year 10 Year SI 4Q’04
1 See Notes to Performance2 Short-term line of credit balance was $65M as of
12/31/203 Represents the Manage-to-Core Portfolio on a fully
funded basis plus appreciation to date – At current carry values, the Manage-to-Core portfolio is 9.8%
4 Invested as of 12/31/205 Includes reinvested dividends
1 Based on Proforma Gross Market Values, which includes the Manage-to-Core Portfolio on a fully funded basis plus appreciation to date2 Certain MSAs within close proximity to each other are grouped into Areas
Invesco Core Real Estate – U.S.A. Flash Report
Fourth Quarter 2020
Diversification by Property Type 1
19%16%
10%8%
7% 7%6% 5%
3% 3%
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Top Ten MSAs ($ billions) 1, 2
Legend: Apartments Industrial Office Retail Other
PRIVILEGED AND CONFIDENTIAL
Fund Highlights
3200 Walnut Boulder, CO
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Typewritten Text
Item: 6-e Date: 2/17/21
Investment Policy & Performance
William C. Grubbs Jr.Managing Director,Lead Portfolio ManagerInvesco Real Estate101 California Street, Suite 1800San Francisco, CA [email protected]
Michelle L. FossManaging Director,Co-Lead Portfolio ManagerInvesco Real Estate101 California Street, Suite 1800San Francisco, CA [email protected]
Chad ProvostDirector,Associate Portfolio ManagerInvesco Real Estate1166 Avenue of the Americas, 2600New York, NY [email protected]
David Chen Associate Director,Portfolio ManagementInvesco Real Estate101 California Street, Suite 1800San Francisco, CA [email protected]
Fund Operations Investor Relations
Beth WorthySenior Director,Fund OperationsInvesco Real Estate2001 Ross Avenue, Suite 3400Dallas, TX [email protected]
Thomas ThreadgillAssociate Director,Fund Operations Invesco Real Estate2001 Ross Avenue, Suite 3400Dallas, TX [email protected]
Trent HeinerSenior Associate,Fund OperationsInvesco Real Estate2001 Ross Avenue, Suite 3400Dallas, TX [email protected]
Melissa NeckarAssociate Director,Investor Relations SpecialistInvesco Real Estate2001 Ross Avenue, Suite 3400Dallas, TX [email protected]
Notes to Performance
Invesco Core Real Estate – U.S.A.Fourth Quarter 2020
1. Invesco Core Real Estate - U.S.A., L.P. is a core style, open-end real estate fund with a September 30, 2004 inception date. The Fund can alsoinvest up to 15% of gross assets in value added strategies.
2. Information is presented on a preliminary basis and is subject to change.3. Performance is calculated in U.S. dollars. Performance returns are leveraged and calculated on an investment level following the Modified Dietz
methodology.4. Returns include Fund Level operating expenses. The impact of cash balances and any interest earnings are also reflected in the Fund’s returns.5. Returns are shown gross of fees. An investor’s return would be reduced by the amount of the fees which could differ based on the size of their
investment. The highest fee would be 1.0% of NAV assuming a minimum investment of $10 million.6. Operating results of the Fund are presented on a fair value basis of accounting in conformity with U.S. GAAP and are audited annually.7. Real estate investments and debt obligations are valued on a quarterly basis by independent third party valuers.8. In an effort to most accurately reflect the Fund’s geographic and property type exposure and provide information on leverage and other investment
parameters, all Joint Venture investments are reported at the Fund’s ownership percentage.9. Investors in the Fund have the option of reinvesting all or a portion of the quarterly cash distributions made by the Fund.10. UBIT/Transactions: To date, no investments have been made outside of ICRE REIT Holdings. If ICRE REIT Holdings is determined to be a "pension-
held REIT", the Manager does not anticipate that tax-exempt Members will be subject to unrelated business income tax except to the extent theyown more than 10% of the Fund's Units or they have borrowed to make their investment in the Fund. As of the date of this report ICRE REITHoldings is not a “pension-held REIT”.
11. As with all investments there are associated inherent risks. Please obtain and review all financial materials carefully before investing.12. Certain information contained in this report constitutes forward-looking statements, which can be identified by the use of forward-looking
terminology such as “may,” “seek,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” or “believe” or the negativesthereof or other variations thereon or comparable terminology. While we believe that such statements and information are based upon reasonableestimates and assumptions, due to various risks and uncertainties, actual events or results or the actual performance may differ materially fromthose reflected or contemplated in such forward-looking statements.
All material presented is compiled from sources believed to be reliable and current but accuracy cannot be guaranteed. This is not to be construed as anoffer to buy or sell any financial instrument. It is not our intention to state, indicate or imply in any manner that current or past results are indicative offuture profitability or expectations. As with all investments there are associated inherent risks. Please obtain and review all financial material carefullybefore investing. This report may contain confidential and proprietary information for the Fund and Invesco Ltd. Circulation, disclosure or dissemination ofall or any part of this material to any unauthorized persons is prohibited. This report is intended for Fund investors only.
Nest Self Storage Salem, OR
PRIVILEGED AND CONFIDENTIAL
confidential
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The Fund remained well positioned entering the 4th quarter with the Core Portfolio 93.3% leased, minimal leaseexpirations over the next three years, 10+ years of WARLT from the Top 10 tenants, in-place rents averaging 9% belowmarket and the Manage-to-Core Portfolio (“M2C”) materially pre-leased.
Unlike the 2nd Quarter valuations, where write downs were broad based and substantial, and the 3rd Quarter valuations,where early signs of winners began to show green shoots, the 4th quarter was a clear observance of the valuationtailwinds in Industrial, Life Science and Self Storage sectors. Also observed was the relative flattening of valuations in theOffice and Retail Portfolios.
66 of the Fund’s 120 assets were flat or up versus 3rd Quarter, including the entire Industrial and Self Storage Portfolio.The Manage-to-Core Portfolio showed very well this quarter with strong performance from Pacific Commons and theQuad as a result of additional leasing.
SECTORProforma % of GAV
Up Equal Down
TOTAL APARTMENT 28.0% 13 1 16 Garden Apts. 4.7% 4 0 0 Low Rise Apts. 3.6% 3 0 1 Mid Rise Apts. 8.4% 3 1 7 High Rise Apts. 11.7% 3 0 8TOTAL INDUSTRIAL 19.0% 19 1 0 Large Bay (on average) 13.3% 10 1 0 Small Bay (on average) 6.2% 9 0 0TOTAL OFFICE 32.0% 12 1 16 Urban (non-CBD) 9.9% 6 0 3 Central Business District 14.9% 4 1 5 Office w/ Ground Floor Retail 3.5% 1 0 2 Sub.Bus.Dis. & Suburban 4.1% 1 0 6TOTAL RETAIL 15.0% 5 1 20 Grocery (Anchor Dominant) 2.0% 0 0 5 Grocery (Shop Space Dominant) 4.1% 1 0 6 High Street / Neighborhood 8.8% 4 1 10TOTAL SELF STORAGE 2.0% 8 1 0TOTAL OTHER 2.0% 2 2 2CORE PORTFOLIO 89.0% 46 4 52MANAGE-TO-CORE PORTFOLIO 11.0% 13 3 2TOTAL PORTFOLIO 100.0% 59 7 54
What went well… The Industrial sector had an all-star Q4 with 19 of
20 assets showing net appreciation. Life Science, which is concentrated in the
Cambridge Quad portfolio, saw continued strength. Self Storage rebounded strongly in Q4, making up
almost all the losses experienced in Q2. Garden Apartments returned to positive
performance since Q1 with a 2.6% return in Q4,making it the 3rd best performer behind Industrialand Life Science.
What was a challenge… Suburban Office incurred further write downs in Q4
where continued headwinds from increasedconcessions, reduced rent growth and flat marketrents weigh on valuations.
Prop I in San Francisco: This proposition, passed inNovember, increases the transfer tax for real estatetransactions over $25m from 3.0% to 6.0%. Thisadditional cost of sale was incorporated in the Q4valuations and led to $16m of write downs for theportfolio in Q4 2020.
PRIVILEGED AND CONFIDENTIAL
Total Portfolio Overview
The table above provides a breakdown of assets written up and down by sector, subtype and portfolio(s). (1) GAV includes pending acquisitions and fully funded development (2) Includes Life Science, SoHo House & Parking.
January 15, 2021
(2)
What Went Well / What’s a Challenge (1)
Valuation Report
Invesco Core Real Estate – U.S.A.Fourth Quarter 2020
* Includes Life Science, SoHo House & Parking.
confidential
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The Industrial sector performed very well in the 4th quarter ascontinued macro tailwinds buoyed the sector. The Small BayPortfolio was the top performer as rental rates climb and theshorter duration leases were able to capture the new rate. TheIndustrial sector was up $99m and returns in the CorePortfolio ranged from 0.0% to +7.0%.
IndustrialThe Apartment sector was up slightly v. the 3rd quarter anddriven by the Garden and Low-Rise subtype. It’s worth notingthe High-Rise subtype would have been flat v. the 3rd quarter ifnot for the recognition of Prop I at 33 Tehama. TheApartment sector was up $22m and returns in the CorePortfolio ranged from down -2.2% to +5.8%.
Apartments
A majority of the Urban and CBD Office sector was mostly flatbased on property fundamentals while San Francisco Prop Icreated a valuation headwind and suburban product made upthe bottom three performers. The Office sector was down$33m and returns in the Core Portfolio ranged from -15.0%to 4.8%.
OfficeThe Retail sector valuations have flattened v. the 3rd quarter;19 of the 24 Core Portfolio valuations had a value change ofbetween -1.0 and +1.0 percent. As can be seen below, thegrocer dominant grocery anchored centers still outperform theinline dominant. The Retail sector was down $12m andreturns in the Core Portfolio ranged from -3.3% to +3.6%.
Retail
PRIVILEGED AND CONFIDENTIAL
Valuation Report
Invesco Core Real Estate – U.S.A.Fourth Quarter 2020
January 15, 2021
* Includes Life Science, SoHo House & Parking.
confidential
confidential
PRIVILEGED AND CONFIDENTIAL
Valuation Report
Invesco Core Real Estate – U.S.A.Fourth Quarter 2020
January 15, 2021
* Includes Life Science, SoHo House & Parking.
* Includes Life Science, SoHo House & Parking.
Industrial: Since Q1, Industrial is up 3.8% and a small trend emerging is a resurgence in performance from the smallerbay product that tends to have short relative lease term lengths v. the larger bay product; as such, smaller bay assetsare capturing the market rent increase sooner in the cash flows and the resulting increase in value is the derivative.
Apartments: Since Q1, Apartments are down 4.4% with nearly all the net decline occurring in Q2. The trend emergingwithin the subtypes is the rebound of Garden and Low-Rise Apartments spurred on by resident demand for low densityproduct and the availability of attractive capital market financing for this profile. Mid- and High-Rise product, which aremore affected by the urban headwinds than the physical attributes, are showing signs of stabilizing valuations.
Office: Since Q1, Office is down 6.1% made up of -4.2% in Q2, -1.3% in Q3 and -0.7% in Q4. Despite modestdepreciation for the sector in Q4, most office properties had flat valuations quarter over quarter.
Retail: Prior to Q1, the Fund had incurred ~8.0%+ in write downs within the Retail portfolio. Since Q1, the Fund hasincurred further write downs of -9.2%. As seen in the above chart, -6.9% in Q2, -1.7% in Q3 and -0.6% in Q4; showingmoderation. Valuations remain primarily a function of market rents and expected rent growth, which have pulled backmaterially in the High Street (“Experiential”) portfolio and within the inline stores in the grocery anchored portfolio.
2nd, 3rd & 4th Quarter Valuation Results by Subtype and Sector
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Invesco Core Real Estate - U.S.A., L.P.
Pasadena Fire & Police Retirement System
Statement of Net Asset Value
Rollforward of quarterly investment activity:
FQE 12/31/20 FQE 03/31/20FQE 06/30/20FQE 09/30/20
Beginning Net Asset Value 11,116,901 11,175,291 11,717,296 11,555,358$ $ $ $
Dividend Reinvestments 74,229 75,57263,87562,727
Net Income/(Loss) 96,179 92,404 93,654 106,405
Realized Gain/(Loss) on Investments (18,541) (10,274) (2)12,935
Unrealized Gain/(Loss) on Investments 69,644 (85,675) (598,086) 72,577
Unrealized Gain/(Loss) on Debt 3,482 (19,706) (9,485) 11,168
Pasadena Fire & Police Retirement System Contact Information
1
Major Market Indices
Market Review
Q4 2020 Market Commentary
Global equities gained in Q4 with a return of +14.7% as measured by the MSCI All Country World Index(ACWI). Global equities continued to rally following a sharp decline in Q1, making this the third consecutivequarter of outperformance. In the fourth quarter, we saw cyclical sectors recover helped by vaccine newsand U.S. election results. Value stocks rose, outpacing growth stocks and small caps outperformed largecaps.
From a sector perspective, as measured by the MSCI ACWI, top performers consisted of Energy (+24.3%),Financials (+24.2%), and Materials (+18.4%). Bottom performing sectors consisted of Health Care (+7.5%),Consumer Staples (+7.6%), and Real Estate (+9.1%). From a factor perspective, investors favored small capsand stocks with strong value-based metrics. Investors shunned high momentum and growth-based stocks.
U.S. Treasuries underperformed other developed market government debt during the quarter as longer-term yields rose back to levels last observed in March and prices declined. The FTSE U.S. Treasury Indexdeclined by -0.8%, while the FTSE World Government Bond ex-U.S. (Hedged) Index gained +0.7%. U.S.investment grade credit was a top performing segment of the bond market as spreads tightenedthroughout Q4 and demand persisted. The Bloomberg Barclays U.S. Credit Index was up +2.8% for thequarter and gained a notable +9.4% for the year. Inflation-linked bonds also had a meaningful positivereturn in Q4 as the Bloomberg Barclays World Govt ILB (Hedged) Index ended the period with a gain of+1.8%.
Lastly, commodities posted their best quarterly return of the year, although the positive gains were notenough to overcome the steep losses incurred by the onset of coronavirus pandemic earlier in the year. Themore heavily Energy-weighted S&P Goldman Sachs Commodity Index (GSCI) gained +14.5% in Q4, while themore balanced Bloomberg Commodity Index (BCOM) increased by +10.2%. The annual returns for the GSCIand BCOM were still down -24.0% and -3.5%, respectively.
Three Months Year to Date One YearIndexThreeYearsOne Month
FiveYears
S&P 500 Index 12.15 18.40 18.40 14.18 15.223.84
Russell 2000 Index 31.37 19.96 19.96 10.25 13.268.65
Russell 3000 Index 14.68 20.89 20.89 14.49 15.434.50
MSCI World Index 13.96 15.90 15.90 10.54 12.194.24
MSCI EAFE Index 16.05 7.82 7.82 4.28 7.454.65
MSCI Emerging Markets Index 19.70 18.31 18.31 6.17 12.817.35
Bloomberg Barclays U.S. Aggregate Bond Index 0.67 7.51 7.51 5.34 4.440.14
ICE BofAML US 3-Month Treasury Bill Index 0.03 0.67 0.67 1.61 1.200.01
FTSE World Government Bond Index 2.77 10.11 10.11 4.96 4.781.36
Pasadena Fire & Police Retirement System MARKET REVIEW
2
Pasadena Fire & Police Retirement System MARKET REVIEW
October
Global equities detracted in October amid concerns over the resurgence of coronavirus cases throughoutthe world and its potential impact on the global economy. U.S. equities declined due to the continuedstalemate in stimulus negotiations between Speaker Nancy Pelosi and Treasury Secretary Steven Mnuchin.Newly reinstated social distancing measures across the U.S. from an uptick in COVID-19 infections alsohindered the performance of riskier assets. As the presidential election neared, investors also braced forthe possibility of a contested election in which a winner would not be known for some time. A rise incoronavirus cases throughout Europe led to new mitigation measures by local governments as Franceimposed new curfews and Germany announced new limits for private gatherings in hotspot areas. Positiveeconomic data from China helped emerging market equities rise during the month. Chinese imports rose by+13.2% on a year-over-year basis in September, much greater than expectations, indicating an improvementin domestic consumption in the region.
Bonds delivered mixed results in October as global equities declined. U.S. Treasuries were the laggard as theyield on the benchmark U.S. 10-year note rose by 19 basis points, the largest one month increase in justover two years. Treasuries sold off despite a significant rise in coronavirus case in the U.S. and Europe ascertain economic data came in better than expected. The record rebound in U.S. Q3 GDP, lower joblessclaims and Q3 earnings beating expectations helped to push yields up towards the end of the month asprices declined. Across the Atlantic, the bid for safer assets was greater as several countries began toreimpose lockdowns and other stricter measures to combat the pandemic’s surge.
Commodities were also mixed for the month. In terms of the main commodity sectors, Energy and Livestocklagged, while Industrial Metals and Agriculture gained. The risk-off sentiment boosted demand for the U.S.dollar towards the end of the month, which appreciated against the other major currencies. Thestrengthening of the U.S. dollar was a headwind for commodity prices in general as commodity contractsare typically priced in U.S. dollars.
November
Global equities gained sharply in November. Positive news on a potential coronavirus vaccine fromcompanies such as Pfizer, BioNTech, and Moderna helped propel global equities to new highs. Thepromising vaccine news acted as a catalyst for a shift into recently battered down value stocks at theexpense of growth and momentum stocks. European equities vaulted higher on the promising coronavirusvaccine news coupled with reports that the spread of coronavirus appeared to be slowing in the regiontowards the end of the month as announced by the World Health Organization. Emerging market equitiesfinished the month up, led by the strong performance within Energy, Materials, and Financials from thepromising vaccine news. Turkish President Erdogan replaced his central bank governor after the Turkish Lirahit record lows.
The bond market was generally positive in November despite a record setting month for equities. Whileequities were boosted by the news of effective vaccines and the removal of political uncertainty with theBiden administration officially starting the transition, the surge in coronavirus cases kept up the demand forsafer assets.
Commodity prices rose in November following a couple of down months. Each of the main commodity
3
Pasadena Fire & Police Retirement System MARKET REVIEW
Commodity prices rose in November following a couple of down months. Each of the main commoditysectors, with the exception of Precious Metals, posted gains. Energy commodities, in particular, ralliedconsiderably as the news of effective vaccines boosted the prospects of an increase in global oilconsumption. The price of WTI crude oil rose over +25% to end the month at $45.20 per barrel.
December
Global equities gained in December amidst the rollout of Covd-19 vaccines and positive U.S. fiscal stimulusnews. U.S. equities climbed helped by President Donald Trump signing a $900B coronavirus relief bill. TheS&P 500 Index finished the month up +3.8%. European equities also gained for the month. Europeanmarkets applauded the U.K.-European trade accord, finalizing a deal for the U.K. to leave the E.U. Afterseven years of talks, the E.U. and China agreed to an investment treaty giving each improved access toselect markets. Emerging Market equities gained +7.4% during the month.
Prices for U.S. Treasuries declined in December as yields rose back to levels last seen in March, just as thecoronavirus pandemic began to upend financial markets. The yield on the benchmark 10-year U.S. Treasurynote rose by 9 basis points during the month to end a volatile year at 0.93%. Better than expected jobsnumbers, the passage of the next round of fiscal stimulus and good news abroad with the U.K. and E.U.reaching a Brexit trade deal contributed to some of the selling in Treasuries.
Commodities continued their broad-based rally into December. Several contracts across the commoditycomplex had high double digit returns for the month including silver (+16.9%), gasoline (+13.9%), and corn(+13.6%). While the GSCI and BCOM were both still negative for the year, they ended a very difficult 2020on a high note gaining +5.9% and +4.9%, in December respectively.
4
The base currency for this account is the U.S. Dollar.
The Risk Parity Multi-Asset Fund seeks generally to deliver total return via capital appreciation and income with avolatility target of up to 12% per annum.
Portfolio Objective:
Portfolio Performance
Portfolio returns are shown gross of fees.Past performance is not a guarantee of future results. Periods longer than one year are annualized.
Performance inception:November 16,
Pasadena Fire & Police Retirement System PORTFOLIO RETURNS
5
ASSETS
INVESTMENTS
6,000,000.00Cost
332,208.94Unrealized Appreciation-Invest
6,332,208.94INVESTMENTS SUBTOTAL
6,332,208.94TOTAL ASSETS
Net Assets 6,332,208.94
Pasadena Fire & Police Retirement System
Risk Parity Multi-Asset
STATEMENT OF NET ASSETSDecember 31, 2020
6
Information shown in .USD
6,134,406.79Net Assets -- Beginning of Period
RECEIPTS:
INVESTMENT INCOME:
197,802.15UNREALIZED GAIN/LOSS-INVESTMENT
197,802.15TOTAL RECEIPTS:
6,332,208.94Net Assets -- End of Period
Pasadena Fire & Police Retirement System STATEMENT OF CHANGE IN NET ASSETS
7
Description Sedol Base PriceUnrealized
Gain/Loss BaseShares/ Par
Value % of TotalBase
Market Value Base Cost
U.S. Dollar 1.000000
6,332,208.9422.33283,577 332,208.93Risk Parity Multi Asset GT 100.00%6,000,000.01
Total U.S. Dollar : 100.00% 6,332,208.94 332,208.93 100.00%6,000,000.01
TOTAL:332,208.936,332,208.94 6,000,000.01
Detailed holdings information available on request.
Pasadena Fire & Police Retirement System HOLDINGS
8
There were no open futures contracts this period.
Pasadena Fire & Police Retirement System OPEN FUTURES CONTRACTS
9
There were no transactions during this period.
Pasadena Fire & Police Retirement System TRANSACTIONS
10
The opinions expressed in this article represent the current, good faith views of the author(s) at the time ofpublication, are provided for limited purposes, are not definitive investment advice, and should not be relied on assuch. The information presented in this article has been developed internally and/or obtained from sourcesbelieved to be reliable; however, PanAgora does not guarantee the accuracy, adequacy or completeness of suchinformation. Predictions, opinions, and other information contained in this article are subject to changecontinually and without notice of any kind and may no longer be true after the date indicated. Past performanceis not a guarantee of future results. As with any investment there is a potential for profit as well as the possibilityof loss.
Any forward-looking statements speak only as of the date they are made, and PanAgora assumes no duty to anddoes not undertake to update forward-looking statements. Forward-looking statements are subject to numerousassumptions, risks and uncertainties, which change over time. Actual results could differ materially from thoseanticipated in forward-looking statements.
This material is directed exclusively at investment professionals. Any investments to which this material relatesare available only to or will be engaged in only with investment professionals.
Pasadena Fire & Police Retirement System DISCLAIMERS
December 31, 2020Portfolio Performance is Gross of FeesPast Performance is not a guarantee of future resultsContribution to Return is based on security performance excluding cash
PanAgora accounts may have exposure to some or all of the markets and asset classes discussed herein. Source: PanAgoraFixed Income positions are expressed in 10-year zero coupon duration equivalents
Trade Secrets are considered by PanAgora to be confidential, and are not subject to disclosure under any federal or state freedom of information law or regulation. A “Trade Secret” is generally regarded as:1. information used in a company's business that is not known or available to the public,2. information the provides the company with an economic advantage over its competitors in the marketplace3. information that the company actively protects from disclosure through reasonable efforts to maintain its status as a "secret".
The information provided is only available to those who PanAgora has deemed appropriate to receive this material, and is not available to the public. PanAgora believes that information pertaining its proprietary investmentstrategies, processes, and holdings are commercially valuable and a result of PanAgora’s exhaustive research. As the recipient of this material, you agree not to disclose information provided to any third parties, or to anyemployees, representatives, consultants, or agents, except those who have a need to know with respect to an investment, or prospective investment, with PanAgora.
DISCLOSURES
89
Executive SummaryBase Currency: US Dollar
Portfolio Characteristics
Total Rate of Return (%)
Sector Allocation Highlights
0.3
4 1.1
6
9.1
6
6.2
3
5.1
5
4.8
3
6.1
4
0.3
1 1.0
7
8.7
9
5.8
7
4.8
0
4.4
9
5.8
0
0.1
4
0.6
7
7.5
1
5.3
4
4.4
4
3.8
4
5.0
9
December Latest 3-Months 1 Year 3 Years 5 Years 10 Years Annualized S.I.
Core Fixed Income (Account #: SMS650)Benchmark: Bloomberg Barclays Aggregate
Inception Date: 07/24/2000- Trade date basis- Returns are annualized for periods greater than one year.
1
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Item: 6-g Date: 2/17/21
Duration BreakdownQuality Breakdown
Maturity BreakdownBase Currency: US Dollar
Characteristics Summary
IndexPortfolio
Yield to Worst 1.26% 1.12%
Spread Duration 3.95 yrs 3.84 yrs
Effective Duration 5.66 yrs 6.22 yrs
Duration Difference -0.56 yrs
Average Maturity 7.88 yrs 8.18 yrs
Average Credit Quality AA AA+
Average Coupon 2.16% 2.76%
Current Yield 2.06% 2.52%
Average Convexity 0.00 yrs 0.34 yrs
Index
Market Value %
PortfolioMarket Value Portfolio Index
Duration %
-939,7120 - 1 Years -2.95% 0.46% 0.22% 0.07%
9,969,5811 -3 Years 31.25% 23.27% 8.79% 6.27%
10,178,4223 -5 Years 31.91% 33.28% 17.64% 16.30%
4,748,6695 -7 Years 14.89% 13.46% 9.81% 11.30%
2,488,7467 - 10 Years 7.80% 9.73% 10.27% 12.05%
1,526,44010 - 20 Years 4.79% 5.60% 7.35% 11.40%
3,926,10920+ Years 12.31% 14.19% 45.92% 42.62%
TOTAL 31,898,256 100%100% 100% 100%
Index
Market Value %
PortfolioMarket Value Portfolio Index
Duration %
793,693< 0 Yrs 2.49% 1.30% -0.20% -0.11%
2,525,5460 - 1 Yrs 7.92% 4.33% 0.79% 0.29%
9,386,8721 - 2 Yrs 29.43% 13.07% 9.43% 3.21%
2,177,4362 - 3 Yrs 6.83% 19.70% 2.83% 7.77%
8,972,3913 - 5 Yrs 28.13% 24.00% 21.86% 15.16%
961,4465 - 7 Yrs 3.01% 11.18% 3.33% 10.91%
2,125,9397 - 10 Yrs 6.66% 7.42% 9.40% 9.87%
4,954,93410+ Yrs 15.53% 19.01% 52.57% 52.91%
TOTAL 31,898,256 100%100% 100% 100%
Index
Market Value %
PortfolioMarket Value Portfolio Index
Duration %
22,609,303AAA 70.88% 69.83% 61.33% 57.75%
1,391,311AA 4.36% 3.36% 7.96% 4.59%
2,081,695A 6.53% 12.02% 7.59% 16.61%
4,594,117BBB 14.40% 14.79% 20.11% 21.06%
633,078BB 1.98% 0.00% 2.95% 0.00%
474,700B 1.49% 0.00% 0.05% 0.00%
114,052CCC & Below 0.36% 0.00% 0.01% 0.00%
0Not Rated 0.00% 0.00% 0.00% 0.00%
TOTAL 31,898,256 100%100% 100% 100%
Pasadena Fire and Police Retirement System
Core Fixed Income (Account #: SMS650)
As of 12/31/2020
Benchmark: Bloomberg Barclays Aggregate
All market values include accrued interestAll securities unrated by NRSROs will defer to the manager determined rating where applicable and permitted 2
Metropolitan West Asset Management, LLC, TCW Asset Management Company LLC, and TCW Investment Management Company LLC are wholly owned subsidiaries of TheTCW Group Inc. (“TCW”).
This statement was prepared as a private communication to clients regarding an account with TCW, and is not intended for public circulation. Clients may authorize TCW inwriting to distribute this statement to their consultants or other agents. TCW manages a number of separate strategies, and the holdings in each separate strategy may differdepending on the portfolio manager’s views or analysis with respect to a particular company, security or the economy.
As part of the respective investment process, some TCW equity strategies have a defined range or maximum number of securities for the portfolio. The number of securitiesreflected in this statement may be over or under the range or maximum number due to open orders.
Nothing in this statement constitutes investment, legal, accounting, or tax advice, or a representation that any investment strategy is suitable or appropriate to therecipient’s individual circumstances. This statement is not to be relied upon for investment decisions by the client, or as a substitute for the exercise of independentjudgment by its recipient.
This statement is provided to its recipient as an indication of the holdings of the client’s account as of the date the statement was generated. This statement should not berelied upon to make investment decisions with respect to holdings of the portfolio. TCW may in fact be currently recommending the purchase of a security or the sale of asecurity regardless of any statement made in this document about that security and whether it is held in the client portfolio.
Important Information Regarding Risk FactorsInvestment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or marketconditions or other unanticipated factors. The price and value of any of the securities or financial instruments mentioned in this statement are subject to variability and canfall as well as rise. Past performance is no guarantee of future results.
Important Information Regarding Client ResponsibilitiesClients are requested to carefully review all portfolio holdings and strategies and to promptly inform TCW of any potential or perceived policy or guideline inconsistencies. Inparticular, TCW understands that guideline enabling language is subject to a measure of interpretation and TCW strongly encourages clients to express any contrastinginterpretation as soon as practical. Due to changing industry standards and the wide variety of interpretations to which a client guideline may be subjected, there can be noassurance that TCW’s interpretation will conform to that of clients or their consultants. TCW Client Services can be reached by calling (213) 244-0810, or [email protected].
Clients are also requested to notify TCW of any updates to Client’s organization, such as (but not limited to) adding affiliates (including broker dealer affiliates), issuingadditional securities, name changes, mergers or other alterations to Client’s legal structure.
Important Information Regarding This Report
The manager has the discretion to assign a security to a country other than its Bloomberg Country of Risk in the event that (i) the relevant index has assigned the security tothat country and/or (ii) the largest share of its income and/or assets is generated or located in that country.
Large-Cap Growth Fund - I Class 1As of December 31, 2020
Not for use with Individual Investors. 1
MARKET COMMENTARYU.S. stocks posted gains in December, with most indexes hitting all-time highs at various stages ofthe month. As measured by various Russell indexes, growth stocks surpassed value stocks acrossall market capitalizations, albeit by a very narrow margin in mid-caps. Within the S&P 500 Index,sector performance was broadly positive. Financials and information technology outperformedwhile utilities and industrials and business services lagged.
The rollout of the first highly effective vaccines against the coronavirus bolstered sentimentthroughout December. By the end of the month, the FDA issued emergency use authorization forthe Pfizer/BioNTech vaccine and Moderna's similar mRNA vaccine. Sentiment appeared to waverat times, however, as hospitalizations reached new highs in early December and daily U.S. deathsfrom the virus crossed 3,000 for the first time. After months of uncertainty, investors also welcomeda USD 900 billion pandemic-related fiscal relief package as part of a larger spending bill that fundsthe federal government through the end of September 2021. The month's economic data arguablyprovided evidence that the recovery was in danger of faltering without further support. Early in themonth, weekly jobless claims jumped to their highest level since September, while the CommerceDepartment reported that retail sales and household incomes contracted 1.1% in November.
Rapid progress with a first wave of new vaccines is clearly the most positive sign for the year ahead.As the pandemic hopefully recedes and economies reopen, a broader economic recovery is likelyto benefit many of the sectors that were most damaged by the virus. While a rapid economicrecovery could also bring an accelerated earnings recovery, this might not translate into strongequity returns, with much of the recovery already priced into the markets. Going forward, investorswill need to seek out companies that appear well positioned to emerge from the pandemic withlasting competitive advantages, while avoiding firms that face longer-term secular challenges.
FUND INFORMATION
Symbol TRLGX 1
CUSIP 45775L408 2
Inception Date of Fund October 31, 2001 3
Benchmark Russell 1000 GrowthIndex 4
Expense Information (as of themost recent Prospectus) 0.56% 5
Fiscal Year End December 31 6
12B-1 Fee – 7
Portfolio Manager:Taymour Tamaddon
Managed Fund Since:2017
Joined Firm:2004
INVESTMENT OBJECTIVEThe fund seeks to provide long-term capital appreciationthrough investments in common stocks of growthcompanies.
PERFORMANCE(NAV, total return) Annualized
OneMonth
ThreeMonths
OneYear
ThreeYears
FiveYears
TenYears
FifteenYears
Large-Cap Growth Fund - I Class 4.37% 13.05% 39.56% 23.22% 21.54% 18.18% 13.26%
Russell 1000 Growth Index 4.60 11.39 38.49 22.99 21.00 17.21 12.54
Performance data quoted represents past performance and is not a reliable indicator of future performance. Investment return and principal value willfluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higherthan the performance data quoted. To obtain the most recent month-end performance, visit troweprice.com. Consider the investment objectives, risks,and charges and expenses carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, call1-800-638-7780 or visit troweprice.com. Read it carefully. The Fund’s total return figures reflect the reinvestment of dividends and capital gains, if any.¹ The Institutional Large-Cap Growth Fund changed its name to Large-Cap Growth Fund and designated all outstanding shares as I Class as of May 1, 2020.Performance shown prior to May 1, 2020, reflects the performance of the fund while it was structured as the T. Rowe Price Institutional Large-Cap Growth Fund.The Fund is subject to the volatility inherent in common stock investing, and its share price may fluctuate more than a Fund investing in income-oriented stocks.The fund(s) may have other share classes available that offer different investment minimums and fees. See the prospectus for details. For Sourcing Information,please see Additional Disclosures.
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Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 2
RISK RETURN CHARACTERISTICS(Five Years ended December 31, 2020)
Active Share*(as of
12/31/20)
AnnualizedStd.
Deviation Alpha Beta R-SquaredInformation
RatioSharpeRatio
TrackingError
Large-Cap Growth Fund - I Class 57.8% 16.77% 0.50% 1.00 0.93 0.12 1.20 4.37%
Russell 1000 Growth Index – 16.16 0.00 1.00 1.00 0.00 1.22 0.00
*Active Share is a snapshot in time as of the indicated date.Past performance is not a reliable indicator of future performance. Figures are calculated using monthly data and are net of fees.
Past performance is not a reliable indicator of future performance. Numbers may not total due to rounding; all other numbers are percentages. Analysisrepresents the total performance of the portfolio as calculated by the FactSet attribution model and is inclusive of other assets that will not receive a classificationassignment in the detailed structure shown. Returns will not match official T. Rowe Price performance because FactSet uses different exchange rate sources anddoes not capture intra-day trading. Performance for each security is obtained in the local currency and, if necessary, is converted using an exchange ratedetermined by an independent third party. Figures are shown with gross dividends reinvested. Sources: Financial data and analytics provider FactSet. Copyright2021 FactSet. All Rights Reserved. MSCI/S&P GICS Sectors; Analysis by T. Rowe Price Associates, Inc. T. Rowe Price uses the current MSCI/S&P Global IndustryClassification Standard (GICS) for sector and industry reporting. T. Rowe Price will adhere to all updates to GICS for prospective reporting. Figures are shown grossof fees. Returns would be lower as a result of the deduction of such fees. Performance returns are in USD. For Sourcing Information, please see AdditionalDisclosures.
SECTOR ATTRIBUTION DATA VS. RUSSELL 1000 GROWTH INDEX(12 months ended December 31, 2020)
Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 4
Definitions
Active Share is a holdings based measure of active management representing the percentage of a portfolio’s holdings that differ from those in its benchmark.Compared to tracking error, which measures the standard deviation of the difference in a manager’s returns versus the Benchmark returns, Active Share allowsinvestors to get a clearer understanding of what a manager is doing to drive performance, rather than drawing conclusions from observed returns. The greater thedifference between the asset composition of a product and its benchmark, the greater the active share is.
Large-Cap Growth Fund - I Class 1As of December 31, 2020
Not for use with Individual Investors. 1
PERFORMANCE(NAV, total return) Annualized
ThreeMonths
OneYear
ThreeYears
FiveYears
TenYears
FifteenYears
Large-Cap Growth Fund - I Class 13.05% 39.56% 23.22% 21.54% 18.18% 13.26%
Russell 1000 Growth Index 11.39 38.49 22.99 21.00 17.21 12.54
PORTFOLIO HIGHLIGHTS
The portfolio generated solid returns and outperformed the Russell 1000Growth Index during the three-month period ended December 31, 2020. Relative performance drivers:p Stock choices in the communication services sector added the most to
relative returns.p Stock selection in the health care sector also boosted relative results.p Conversely, stock selection in the consumer discretionary sector hurt
relative performance. Additional highlights:p A broad shift toward digital solutions has accelerated as people are having
to stay at home and thus need to work, learn, and entertain themselves viatechnological means.
p Given the current environment, we continue to emphasize secular growthcompanies with strong competitive positions in large addressable marketsthat support multiyear growth horizons.
FUND INFORMATION
Symbol TRLGX 1
CUSIP 45775L408 2
Inception Date of Fund October 31, 2001 3
Benchmark Russell 1000 GrowthIndex 4
Expense Information (as of themost recent Prospectus) 0.56% 5
Large-Cap Growth Fund - I Class Oct 31 2001 -1.40% 17.55% 44.44% 8.72% 10.08% 2.85% 37.82% 4.32% 28.49% 39.56%
Russell 1000 Growth Index 2.64 15.26 33.48 13.05 5.67 7.08 30.21 -1.51 36.39 38.49
Performance data quoted represents past performance and is not a reliable indicator of future performance. Investment return and principal value willfluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higherthan the performance data quoted. To obtain the most recent month-end performance, visit troweprice.com. Consider the investment objectives, risks,and charges and expenses carefully before investing. For a prospectus or, if available, a summary prospectus containing this and other information, call1-800-638-7780 or visit troweprice.com. Read it carefully. The Fund’s total return figures reflect the reinvestment of dividends and capital gains, if any.¹ The Institutional Large-Cap Growth Fund changed its name to Large-Cap Growth Fund and designated all outstanding shares as I Class as of May 1, 2020.Performance shown prior to May 1, 2020, reflects the performance of the fund while it was structured as the T. Rowe Price Institutional Large-Cap Growth Fund.The Fund is subject to the volatility inherent in common stock investing, and its share price may fluctuate more than a Fund investing in income-oriented stocks.The fund(s) may have other share classes available that offer different investment minimums and fees. See the prospectus for details. For Sourcing Information,please see Additional Disclosures.
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Item: 6-h2 Date: 2/17/21
Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 2
PERFORMANCE REVIEWVaccine Rollout Helps Stocks Close Out Strong YearU.S. stocks recorded solid gains in the quarter as theannouncement and rollout of highly effective coronavirus vaccinesboosted sentiment and raised hopes for a recovery ofbeaten-down segments of the economy, such as travel and leisure.The toll of the pandemic worsened considerably, however,weighing on consumers and perhaps restraining the market'sgains. Retail sales and household incomes fell sharply inNovember, while household spending contracted for the first timesince April. Investors took the economic slowdown largely instride, seemingly because it made further fiscal relief more likely.Indeed, on December 21, Congress finally passed a USD 900billion stimulus bill, which included support for small businessesand extended unemployment benefits, along with direct paymentsto individuals.
Communication Services Names Drove RelativeOutperformanceSeveral entertainment companies jumped higher following news ofvaccine approvals, which appeared to give investors a boost ofconfidence for a return to normalcy. Select names also benefitedfrom impressive earnings reports.p Shares of social media firm Snap Inc. soared after
management reported earnings that showed bothbetter-than-expected revenue growth and impressive usergrowth. Overall, the company said it added 11 million newusers to its Snapchat app and also onboarded a recordnumber of new advertisers to its platform. With a recentlyreorganized sales force and investments in technology drivinguser engagement, we believe Snap is well positioned to rampmonetization efforts and drive earnings growth over time.
p Shares of Spotify Technology generated strong returns duringthe quarter due to accelerating subscription trends, particularlyin North America. Better-than-expected advertising revenuefrom the company's podcast segment also aided results.Overall, we appreciate the company's scale, which we believegives it an advantage when negotiating revenue-sharingagreements. In our view, growing traction of Spotify'sadvertising, podcasts, and artist promotion could supportfurther margin expansion.
Stock Picks in Health Care Boosted Relative ReturnsOverall, the health care sector performed relatively well asinvestors seemed hopeful that the probability of increases in healthcare regulations had dropped following the November elections.Select names also benefited from vaccination approval optimism.p Cigna shares rallied on strong quarterly revenues and
earnings, as well as news that it would sell its disability and lifeinsurance business, which could be accretive to 2021earnings.
p HCA Healthcare shares were driven higher due toencouraging news regarding the development of coronavirusvaccines, which could benefit the company as electivesurgeries return and people make up for missed procedures.Led by an excellent management team with a strategiclong-term capital deployment strategy, we believe HCA'sstrong execution, investment in its facilities, and attractivegeographic mix will drive earnings growth over the long term.
A Lack of Exposure to Real Estate Aided RelativePerformanceReal estate stocks continued to deliver below-market returns amidrapidly worsening operating fundamentals as occupancy rates and
rents fell across different markets and property types. Decreasedmobility rates related to the pandemic further contributed to thesell-off. We maintain no exposure to the sector, where attractivegrowth opportunities are difficult to find.
Stock Choices in Consumer Discretionary Hurt RelativeReturnsOur positioning within the sector detracted from relative resultsduring the period, due largely to idiosyncratic issues.p The portfolio's lack of exposure to electric car manufacturer
Tesla hurt relative results as the company saw its share pricerise considerably during the quarter, due in large part to retailinterest in the stock.
p Shares of Alibaba Group Holding fell during the quarter asChina's clampdown on internet and fintech giants weighed oninvestor sentiment, leading to a sharp sell-off in tech names.Despite these recent issues, fundamentals are strengthening,and we continue to believe the stock could generatesignificant returns in the long term with its asset-light platform,which is both scalable and cash flow generative.
Stock Selection in Information Technology Weighed onRelative ResultsWith lofty multiples in various industries across the sector,investors were quick to penalize companies for events that mightimpair their ability to grow into those valuations.p Shares of Salesforce.com declined following the
announcement of the company's acquisition of Slack, anenterprise communications company. While the deal camewith a significant price tag and will likely be dilutive to earningsand margins in the near term, we believe the acquisition isstrategically sensible. Slack's highly regarded technology isbecoming increasingly important in the enterprisecollaboration space, and it could also provide technologicalimprovements to Salesforce.com's cloud services. Overall, welike Salesforce.com as it boasts a highly recurring subscriptionbusiness model that is well positioned to benefit from seculartailwinds as enterprises migrate to the cloud.
p Shares of Splunk dropped after the company announcedunderwhelming quarterly earnings that were below estimates.Management attributed the earnings miss to a delay in sizabledeals being signed as enterprises have been reevaluating theirtechnology budgets amid the pandemic. Overall, we continueto like the company over the long term as we appreciatemanagement's efforts to improve the company's pricingmodel, a move that should start to address customers'concerns that increasing data consumption could lead to ahuge leap in costs.
PORTFOLIO POSITIONING AND ACTIVITYOverall, we think broad-based valuations are not extreme, but incertain areas they have reached expensive levels. As such, wehave evolved the portfolio in aggregate but also on astock-by-stock basis through the crisis. This led us to reduce manyof the better performers during the coronavirus pandemic,specifically where valuations had expanded to create risk. We tookprofits in many cases and reinvested in high-quality stocks,especially in areas where we have identified product- andinnovation-driven cycles that should see accelerating economicreturns.
Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 3
Information TechnologyDisruptive business models and technologies within the sectorcontinue to present compelling investment opportunities. Seculardemand for public cloud computing services continues to be agrowth driver in the segment. We also continue to favorcompanies driven by the convergence of communications andcomputing, including internet software companies, and those thatwill benefit from broad global tailwinds in digital payments.p We purchased shares of Global Payments, a U.S.-centric
merchant acquirer and leading provider of cloud andenterprise applications to help businesses simplify operationsand offer customer-friendly payment solutions. We seepotential for intermediate-term earnings growth, driven bystronger revenues from technology products and synergiesfrom recent acquisitions.
p We moderated the portfolio's position in Fidelity NationalInformation Services due to near-term concerns about theimpact that ongoing social distancing measures are expectedto have on the company's payment volumes and revenues. Wecontinue to like the company over the longer term, however, aswe believe Fidelity National Information Services could drivedurable earnings growth by executing deal-related synergiesand deleveraging its balance sheet.
Consumer DiscretionaryWe have a sizable position in consumer discretionary names aswe are optimistic about stock-specific opportunities within thesector. We favor businesses benefiting from the secular shift ofconsumer spending to online products and services. We thinkindustries such as physical retail and traditional media aresecularly challenged and will continue to emphasize companieswithin the sector that we think are on the right side of change anddisruption.p We bought shares of Alibaba Group Holding at the end of the
quarter as we felt the company was trading at an attractivevaluation in the wake of China's clampdown on internet andfintech firms. Over the long term, we believe that the companycould benefit from its asset-light business model, which wethink is scalable, self-enhancing, and highly cash flowgenerative.
p We trimmed the portfolio's position in Carvana on strengthduring the quarter. Carvana operates the leading online retailplatform for direct-to-consumer sales of used cars. In our view,the company's digital focus and distribution network improvethe car-buying experience for consumers while creating thepotential for superior profitability at scale. We also believeCarvana should be able to grow its revenue at a rapid pace asthe company takes share in this fragmented market.
Communication ServicesWithin the communication services sector, we are focused oncompanies that are benefiting from the shift of advertisingspending to digital and social media channels. We also favorwireless communication services firms with strongcompany-specific growth prospects and competitive advantagesor differentiated business models.p We added shares of internet platform provider Sea as both its
gaming and e-commerce businesses are experiencingaccelerating revenue growth due to pandemic-relatedtailwinds, which have reinforced a shift toward digitalization.Overall, we feel Sea's platform is well positioned to gain marketshare in Southeast Asia's high-margin online gaming market,with additional growth supported by an underappreciatedconsumer-to-consumer e-commerce marketplace.
p We sold shares of Snap Inc. on relative strength as the socialmedia company performed exceptionally well during thequarter. Overall, we continue to like the company and believe itis well positioned to ramp monetization efforts and driveearnings growth over time.
Health CareWe remain focused on finding opportunities in the health caresector that can take advantage of lasting trends such as managedcare industry consolidation, innovations in medical equipment, androbotic technology. In therapeutics, our emphasis is on selectcompanies that have strong fundamentals and the potential tobring additional new drugs to market in areas with large, unmetclinical needs.p We added to the portfolio's holdings in Cigna during the
quarter. We think the threat of "Medicare for All" is essentiallyoff the table; therefore, we remain constructive on themanaged care space and believe Cigna's merger with ExpressScripts presents attractive synergies that could help unlockshareholder value for the combined entity.
p We trimmed Anthem on strength after the health insuranceprovider reported above-forecast quarterly revenues andearnings and raised its fiscal guidance for 2021. Overall, wecontinue to like the company as we expect it will benefit from asecular reduction in costs, with the transition of its pharmacymanagement business to CVS from Express Scripts potentiallysaving the company approximately USD 4 billion annually.
MANAGER'S OUTLOOKRapid progress with a first wave of new vaccines is clearly the mostpositive sign for the year ahead. As the pandemic hopefully recedesand economies reopen, a broader economic recovery is likely tobenefit many of the sectors that were most damaged by the virus.Going forward, it will be critical to seek out companies that appearwell positioned to emerge from the pandemic with lasting competitiveadvantages, while avoiding firms that face longer-term secularchallenges. In such an environment, skilled stock selection backed bystrong fundamental research resources could be especially critical. We expect volatility to continue in this uncertain environment;therefore, we intend to opportunistically add to high-convictionnames. As always, our focus is on owning high-quality growthcompanies with a competitive advantage in their respective markets,especially companies that generate strong free cash flow and haveseasoned management teams. We search for companies that havethe potential to generate double-digit earnings growth over time byparticipating in expanding markets, taking market share, orimproving profitability faster than sales. We believe these companiesare best equipped to navigate and thrive in the current environment. As always, we maintain a disciplined adherence to our rigorousprocess, which is rooted in bottom-up, fundamental research. Inaddition to uncovering underappreciated idiosyncratic stories, thisapproach also helps prepare us to take advantage of the market'stendency to overshoot on both the downside and the upside.Potential market overreactions often provide opportunities to trimpositions into strength and add to our highest-conviction ideas onweakness.
Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 4
QUARTERLY ATTRIBUTIONSECTOR ATTRIBUTION DATA VS. RUSSELL 1000 GROWTH INDEX(3 months ended December 31, 2020)
Net contribution is calculated versus a specific benchmark. It is the difference between the security’s absolute contribution to the portfolio and the security’sabsolute contribution to the benchmark. This reflects the amount the security has impacted relative return.Past performance is not a reliable indicator of future performance. Numbers may not total due to rounding; all other numbers are percentages. Analysisrepresents the total performance of the portfolio as calculated by the FactSet attribution model and is inclusive of other assets that will not receive a classificationassignment in the detailed structure shown. Returns will not match official T. Rowe Price performance because FactSet uses different exchange rate sources anddoes not capture intra-day trading. Performance for each security is obtained in the local currency and, if necessary, is converted using an exchange ratedetermined by an independent third party. Figures are shown with gross dividends reinvested. Sources: Financial data and analytics provider FactSet. Copyright2021 FactSet. All Rights Reserved. MSCI/S&P GICS Sectors; Analysis by T. Rowe Price Associates, Inc. T. Rowe Price uses the current MSCI/S&P Global IndustryClassification Standard (GICS) for sector and industry reporting. T. Rowe Price will adhere to all updates to GICS for prospective reporting. Figures are showngross of fees. Returns would be lower as a result of the deduction of such fees. Performance returns are in USD. For Sourcing Information, please see AdditionalDisclosures.
Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 5
12-MONTH ATTRIBUTIONSECTOR ATTRIBUTION DATA VS. RUSSELL 1000 GROWTH INDEX(12 months ended December 31, 2020)
Past performance is not a reliable indicator of future performance. Numbers may not total due to rounding; all other numbers are percentages. Analysisrepresents the total performance of the portfolio as calculated by the FactSet attribution model and is inclusive of other assets that will not receive a classificationassignment in the detailed structure shown. Returns will not match official T. Rowe Price performance because FactSet uses different exchange rate sources anddoes not capture intra-day trading. Performance for each security is obtained in the local currency and, if necessary, is converted using an exchange ratedetermined by an independent third party. Figures are shown with gross dividends reinvested. Sources: Financial data and analytics provider FactSet. Copyright2021 FactSet. All Rights Reserved. MSCI/S&P GICS Sectors; Analysis by T. Rowe Price Associates, Inc. T. Rowe Price uses the current MSCI/S&P Global IndustryClassification Standard (GICS) for sector and industry reporting. T. Rowe Price will adhere to all updates to GICS for prospective reporting. Figures are showngross of fees. Returns would be lower as a result of the deduction of such fees. Performance returns are in USD. For Sourcing Information, please see AdditionalDisclosures.
TOP 5 RELATIVE CONTRIBUTORS VS. RUSSELL 1000GROWTH INDEX(12 months ended December 31, 2020)
TOP 5 RELATIVE DETRACTORS VS. RUSSELL 1000GROWTH INDEX(12 months ended December 31, 2020)
Security % of Equities
NetContribution(Basis Points) Security % of Equities
NetContribution(Basis Points)
Snap, Inc. 2.5% 261 Apple Inc. 4.5% -422
Carvana Co. 0.8 192 Tesla, Inc. 0.0 -337
Amazon.Com, Inc. 9.5 154 Boeing Company 0.0 -182
Spotify Technology Sa 1.6 127 Nvidia Corporation 0.0 -120
Alphabet Inc. 7.6 103 Adobe Incorporated 0.0 -57
Net contribution is calculated versus a specific benchmark. It is the difference between the security’s absolute contribution to the portfolio and the security’sabsolute contribution to the benchmark. This reflects the amount the security has impacted relative return.
Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 6
For Sourcing Information, please see Additional Disclosures.
PORTFOLIO POSITIONING
SECTOR DIVERSIFICATION – CHANGES OVER TIME
-10%
0%
10%
20%
30%
40%
50%Fund - Prior Year (12/31/19)
Fund - Prior Quarter (9/30/20)
Fund - Current Quarter (12/31/20)
Russell 1000 Growth Index - Current Quarter (12/31/20) Info Tech Comm
SvcsConsDisc
HealthCare
Indust &Bus Svcs
Financials Utilities Real Es-tate
Materials Energy ConsStpls
LARGEST PURCHASES LARGEST SALES
Issuer Sector
% of FundCurrentQuarter
12/31/20
% of FundPrior
Quarter9/30/20 Issuer Sector
% of FundCurrentQuarter
12/31/20
% of FundPrior
Quarter9/30/20
Global Payments 3.6% 3.0% Snap 2.5% 1.6%
Cigna 2.1 1.9 PayPal Holdings 2.1 2.2
Alibaba Group Holding 1.9 2.5 Intuitive Surgical 1.8 1.9
Splunk 1.2 1.3 Dollar General 1.2 1.5
Avantor 0.7 0.6 NextEra Energy 0.9 1.1
Nike 0.7 0.7 Carvana 0.8 1.0
Centene 0.6 0.5 Fidelity National InformationServices
0.6 1.0
RingCentral (N) 0.4 0.0 Anthem 0.4 0.5
Sea (N) 0.3 0.0 Slack Technologies 0.2 0.3
XP 0.2 0.2 Sempra Energy (E) 0.0 0.4
(N) New Position(E) Eliminated
Large-Cap Growth Fund - I Class As of December 31, 2020
Not for use with Individual Investors. 7
For Sourcing Information, please see Additional Disclosures.
HOLDINGSTOP 10 ISSUERS
Issuer Industry % of Fund% of Russell 1000
Growth Index
Amazon.com Internet & Direct Marketing Retail 9.5% 7.5%
Microsoft Software 7.8 9.1
Alphabet Interactive Media & Services 7.6 4.4
Facebook Interactive Media & Services 5.7 3.6
Apple Technology Hardware, Storage & Peripherals 4.5 11.6
Visa IT Services 3.9 2.0
Global Payments IT Services 3.6 0.0
Snap Interactive Media & Services 2.5 0.0
Intuit Software 2.4 0.5
Cigna Health Care Providers & Svcs 2.1 0.1
TOP 5 OVER/UNDERWEIGHT POSITIONS VS. RUSSELL 1000 GROWTH INDEX
Issuer Industry % of Fund
% of Rus-sell 1000
Growth In-dex Over/Underweight
Global Payments IT Services 3.6% 0.0% 3.6%
Alphabet Interactive Media & Services 7.6 4.4 3.2
Snap Interactive Media & Services 2.5 0.0 2.5
Facebook Interactive Media & Services 5.7 3.6 2.1
Cigna Health Care Providers & Svcs 2.1 0.1 2.0
Apple Technology Hardware, Storage & Peripherals 4.5 11.6 -7.2
Tesla Automobiles 0.0 2.9 -2.9
MasterCard IT Services 0.0 1.7 -1.7
NVIDIA Semicons & Semicon Equip 0.0 1.7 -1.7
Adobe Software 0.0 1.3 -1.3
Portfolio Manager:Taymour Tamaddon
Managed Fund Since:2017
Joined Firm:2004
PORTFOLIO MANAGEMENT
Large-Cap Growth Fund - I Class As of December 31, 2020
Vanguard Inflation-Protected Securities Fund seeks to provide investors inflation protection and income consistent with investment in inflation-indexed securities.
Benchmark
BloomBarc US Trsy Inflat Prtcd Idx
Growth of a $10,000 investment : January 31, 2011— December 31, 2020
$14,428 Fund as of 12/31/20
$14,504 Benchmark as of 12/31/20
Annual returns
BloomBarc US Trsy Inflat Prtcd Idx: Includes the inflation-indexed securities within the Bloomberg Barclays U.S. Treasury Bond Index, which represents U.S. Treasury obligations with maturities of more than 1 year. The fund held a subscription period from June 5, 2000 (the effective date of the fund) to June 29, 2000, during which time all assets were held directly or indirectly in money market instruments. Performance measurement began June 29, 2000.
F1190 122020
Investment strategy
The fund invests at least 80% of its assets in inflation-indexed bonds issued by the U.S. government, its agencies and instrumentalities, and corporations. The fund may invest in bonds of any maturity; however, its dollar-weighted average maturity is expected to be in a range of 7 to 20 years. At a minimum, all bonds purchased by the fund will be rated “investment grade” or, if unrated, will be considered by the advisor to be investment grade.
For the most up-to-date fund data, please scan the QR code below.
Total returns Quarter Year to date One year Three years Five years Ten years
Fund 1.70% 11.05% 11.05% 5.81% 5.00% 3.73%
Benchmark 1.62% 10.99% 10.99% 5.92% 5.08% 3.81%
The performance data shown represent past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate, so investors’ shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance . Figures for periods of less than one year are cumulative returns. All other figures represent average annual returns. Performance figures include the reinvestment of all dividends and any capital gains distributions. All returns are net of expenses.
Connect with Vanguard ® > vanguard.com Plain talk about risk An investment in the fund could lose money over short or even long periods. You should expect the fund’s share price and total return to fluctuate within a wide range, like the fluctuations of the overall bond market. The fund’s performance could be hurt by: Income fluctuations: The fund’s quarterly income distributions are likely to fluctuate considerably more than the income distributions of a typical bond fund. Income fluctuations associated with changes in interest rates are expected to be low; however, income fluctuations associated with changes in inflation are expected to be high. Overall, investors can expect income fluctuations to be high for the fund. Interest rate risk: The chance that bond prices will decline because of rising interest rates. Although inflation-indexed bonds seek to provide inflation protection, their prices may decline when interest rates rise and vice versa. Because the fund’s dollar-weighted average maturity is expected to be in the range of 7 to 20 years, interest rate risk is expected to be moderate to high for the fund. Manager risk: The chance that poor security selection will cause the fund to underperform relevant benchmarks or other funds with a similar investment objective. Derivatives risk: The chance that investments in derivatives may involve risks different from, and possibly greater than, those of investments in the underlying securities, assets, or market indexes. Note on frequent trading restrictions Frequent trading policies may apply to those funds offered as investment options within your plan. Please log on to vanguard.com for your employer plans or contact Participant Services at 800-523-1188 for additional information. †Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). ”NR” is used to classify securities for which a rating is not available. NR securities may include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under ”U.S. Government.” Credit-quality ratings for each issue are obtained from Barclays using ratings derived from Moody’s Investors Service (Moody’s), Fitch Ratings (Fitch), and Standard & Poor’s (S&P). When ratings from all three agencies are available, the median rating is used. When ratings are available from two of the agencies, the lower rating is used. When one rating is available, that rating is used. While U.S. Treasury or government agency securities provide substantial protection against credit risk, they do not protect investors against price changes due to changing interest rates. Unlike stocks and bonds, U.S. Treasury bills are guaranteed as to the timely payment of principal and interest. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS® is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (”BISL”) (collectively, ”Bloomberg”), or Bloomberg’s licensors own all proprietary rights in the Bloomberg Barclays Indices. The products are not sponsored, endorsed, issued, sold or promoted by “Bloomberg or Barclays”. Bloomberg and Barclays make no representation or warranty, express or implied, to the owners or purchasers of the products or any member of the public regarding the advisability of investing in securities generally or in the products particularly or the ability of the Bloomberg Barclays Indices to track general bond market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the products with respect to any person or entity. Bloomberg’s only relationship to Vanguard and the products are the licensing of the Bloomberg Barclays Indices which are determined, composed and calculated by BISL without regard to Vanguard or the products or any owners or purchasers of the products. Bloomberg has no obligation to take the needs of the products or the owners of the products into consideration in determining, composing or calculating the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the products to be issued. Neither Bloomberg nor Barclays has any obligation or liability in connection with the administration, marketing or trading of the products. For more information about Vanguard funds or to obtain a prospectus, see below for which situation is right for you .If you receive your retirement plan statement from Vanguard or log on to Vanguard’s website to view your plan, visit vanguard.com or call 800-523-1188 .If you receive your retirement plan statement from a service provider other than Vanguard or log on to a recordkeeper’s website that is not Vanguard to view your plan, please call 855-402-2646 .Visit vanguard.com to obtain a prospectus or, if available, a summary prospectus . Investment objectives, risks, charges, expenses, and other important information about a fund are contained in the prospectus; read and consider it carefully before investing . Financial advisor clients: For more information about Vanguard funds, contact your financial advisor to obtain a prospectus.
Investment Products: Not FDIC Insured • No Bank Guarantee • May Lose Value
Vanguard Institutional Index Fund seeks to track the performance of a benchmark index that measures the investment return of large-capitalization stocks.
Benchmark
S&P 500 Index
Growth of a $10,000 investment : January 31, 2011— December 31, 2020
$35,766 Fund as of 12/31/20
$35,850 Benchmark as of 12/31/20
Annual returns
S&P 500 Index: A widely used barometer of U.S. stock market performance; as a market-weighted index of leading companies in leading industries, it is dominated by large-capitalization companies.
F0094 122020
Investment strategy
The fund employs an indexing investment approach designed to track the performance of the Standard & Poor’s 500 Index, which is dominated by the stocks of large U.S. companies. The fund attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the index.
For the most up-to-date fund data, please scan the QR code below.
The performance data shown represent past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate, so investors’ shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance . Figures for periods of less than one year are cumulative returns. All other figures represent average annual returns. Performance figures include the reinvestment of all dividends and any capital gains distributions. All returns are net of expenses.
Connect with Vanguard ® > vanguard.com Plain talk about risk An investment in the fund could lose money over short or even long periods. You should expect the fund’s share price and total return to fluctuate within a wide range, like the fluctuations of the overall stock market. The fund’s performance could be hurt by: Stock market risk: The chance that stock prices overall will decline. Stock markets tend to move in cycles, with periods of rising stock prices and periods of falling stock prices. The fund’s target index may, at times, become focused in stocks of a particular sector, category, or group of companies. Because the fund seeks to track its target index, the fund may underperform the overall stock market. Investment style risk: The chance that returns from large-capitalization stocks will trail returns from the overall stock market. Large-cap stocks tend to go through cycles of doing better—or worse—than other segments of the stock market or the stock market in general. These periods have, in the past, lasted for as long as several years. Note on frequent trading restrictions Frequent trading policies may apply to those funds offered as investment options within your plan. Please log on to vanguard.com for your employer plans or contact Participant Services at 800-523-1188 for additional information. The index is a product of S&P Dow Jones Indices LLC (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P® and S&P 500® are trademarks of S&P; and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Vanguard. Vanguard product(s) are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the index. For more information about Vanguard funds or to obtain a prospectus, see below for which situation is right for you .If you receive your retirement plan statement from Vanguard or log on to Vanguard’s website to view your plan, visit vanguard.com or call 800-523-1188 .If you receive your retirement plan statement from a service provider other than Vanguard or log on to a recordkeeper’s website that is not Vanguard to view your plan, please call 855-402-2646 .Visit vanguard.com to obtain a prospectus or, if available, a summary prospectus . Investment objectives, risks, charges, expenses, and other important information about a fund are contained in the prospectus; read and consider it carefully before investing . Financial advisor clients: For more information about Vanguard funds, contact your financial advisor to obtain a prospectus.
Investment Products: Not FDIC Insured • No Bank Guarantee • May Lose Value
Information Tech 27.6% Health Care 13.5 Consumer Discretionary 12.7 Communication Services 10.8 Financials 10.4 Industrials 8.4
Consumer Staples 6.5 Utilities 2.8 Materials 2.6 Real Estate 2.4 Energy 2.3 Other 0.0
Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.
Ten largest holdings *
1 Apple Inc.
2 Microsoft Corp.
3 Amazon.com Inc.
4 Alphabet Inc.
5 Facebook Inc.
6 Tesla Inc.
7 Berkshire Hathaway Inc.
8 Johnson & Johnson
9 JPMorgan Chase & Co.
10 Visa Inc.
Top 10 as % of total net assets 28.6%
* The holdings listed exclude any temporary cash investments and equity index products.
Vanguard Short-Term Investment-Grade Fund seeks to provide current income while maintaining limited price volatility.
Benchmark
BloomBarc US 1-5 Year Credit Index
Growth of a $10,000 investment : January 31, 2011— December 31, 2020
$13,095 Fund as of 12/31/20
$13,407 Benchmark as of 12/31/20
Annual returns
BloomBarc US 1-5 Year Credit Index: Includes investment-grade (rated Baa3 or above by Moody’s) corporate and international dollar-denominated bonds with maturities of 1 to 5 years.
F0858 122020
Investment strategy
The fund invests in a variety of high-quality and medium-quality fixed income securities, at least 80% of which will be short- and intermediate-term investment-grade securities. High-quality fixed income securities are those rated the equivalent of A3 or better by Moody’s Investors Service, Inc., or another independent rating agency; medium-quality fixed income securities are those rated the equivalent of Baa1, Baa2, or Baa3 by Moody’s or another independent rating agency. (Investment-grade fixed income securities are those rated the equivalent of Baa3 and above by Moody’s.) The fund is expected to maintain a dollar-weighted average maturity of 1 to 4 years.
For the most up-to-date fund data, please scan the QR code below.
Total returns Quarter Year to date One year Three years Five years Ten years
Fund 0.98% 5.28% 5.28% 4.03% 3.41% 2.79%
Benchmark 0.95% 5.19% 5.19% 4.27% 3.54% 3.04%
The performance data shown represent past performance, which is not a guarantee of future results. Investment returns and principal value will fluctuate, so investors’ shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance . Figures for periods of less than one year are cumulative returns. All other figures represent average annual returns. Performance figures include the reinvestment of all dividends and any capital gains distributions. All returns are net of expenses.
Connect with Vanguard ® > vanguard.com Plain talk about risk The fund is designed for investors with a low tolerance for risk; however, the fund’s performance could be hurt by: Income risk: The chance that the fund’s income will decline because of falling interest rates. Interest rate risk: The chance that bond prices will decline because of rising interest rates. Interest rate risk should be low for the fund because it invests primarily in short-term bonds, whose prices are much less sensitive to interest rate changes than are the prices of longer term bonds. Credit risk: The chance that a bond issuer will fail to pay interest or principal in a timely manner or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. Credit risk should be low to moderate for the fund because it invests primarily in bonds that are considered high- and medium-quality. Call risk: The chance that during periods of falling interest rates, issuers of callable bonds may call (redeem) securities with higher coupon rates or interest rates before their maturity dates. The fund would then lose any price appreciation above the bond’s call price and would be forced to reinvest the unanticipated proceeds at lower interest rates, resulting in a decline in the fund’s income. Extension risk: The chance that during periods of rising interest rates, certain debt obligations will be paid off substantially more slowly than originally anticipated, and the value of those securities may fall. Extension risk is generally low for short-term bond funds. Liquidity risk: The chance that the fund may not be able to sell a security in a timely manner at a desired price. Liquidity risk is generally low for short-term bond funds. Manager risk: The chance that poor security selection will cause the fund to underperform relevant benchmarks or other funds with a similar investment objective. †Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). ”NR” is used to classify securities for which a rating is not available. NR securities may include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for Vanguard funds, trusts, and accounts. NR may also include derivatives and derivatives offsets. U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under ”U.S. Government”. Credit-quality ratings for each issue are obtained from Moody’s and S&P, and the higher rating for each issue is used. BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS® is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (”BISL”) (collectively, ”Bloomberg”), or Bloomberg’s licensors own all proprietary rights in the Bloomberg Barclays Indices. The products are not sponsored, endorsed, issued, sold or promoted by “Bloomberg or Barclays”. Bloomberg and Barclays make no representation or warranty, express or implied, to the owners or purchasers of the products or any member of the public regarding the advisability of investing in securities generally or in the products particularly or the ability of the Bloomberg Barclays Indices to track general bond market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the products with respect to any person or entity. Bloomberg’s only relationship to Vanguard and the products are the licensing of the Bloomberg Barclays Indices which are determined, composed and calculated by BISL without regard to Vanguard or the products or any owners or purchasers of the products. Bloomberg has no obligation to take the needs of the products or the owners of the products into consideration in determining, composing or calculating the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the products to be issued. Neither Bloomberg nor Barclays has any obligation or liability in connection with the administration, marketing or trading of the products. For more information about Vanguard funds or to obtain a prospectus, see below for which situation is right for you .If you receive your retirement plan statement from Vanguard or log on to Vanguard’s website to view your plan, visit vanguard.com or call 800-523-1188 .If you receive your retirement plan statement from a service provider other than Vanguard or log on to a recordkeeper’s website that is not Vanguard to view your plan, please call 855-402-2646 .Visit vanguard.com to obtain a prospectus or, if available, a summary prospectus . Investment objectives, risks, charges, expenses, and other important information about a fund are contained in the prospectus; read and consider it carefully before investing . Financial advisor clients: For more information about Vanguard funds, contact your financial advisor to obtain a prospectus.
Investment Products: Not FDIC Insured • No Bank Guarantee • May Lose Value
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Global stock markets ended a tumultuous 2020 on an upbeat note, rallying on expectations for synchronous, regional recoveries in 2021. The major U.S.
market indexes posted solid gains for the monthly, quarterly and annual periods ended December 31, 2020. For the quarter, the NASDAQ Composite rose
15.41%, the S&P 500 index gained 12.01% and the Dow Jones Industrial Average increased by 10.73%. Gauged by market capitalization, small- and mid-
cap stocks outperformed large caps, though all posted strong gains for the quarter. Non-U.S. markets, as measured by the MSCI EAFE index, gained
16.05%; the MSCI Emerging Markets index returned 19.70%.
Fixed income assets generally delivered positive returns for the quarter: the Bloomberg Barclays (BB) Global Aggregate Bond index gained 3.28% and the
BB U.S. Aggregate Bond index gained 0.67%. Corporate credit markets also fared well: the BB U.S. Credit index rose 2.79% and the BB U.S. High Yield
index gained 6.45%. U.S. Treasury securities were weaker: the BB U.S. Treasury 1-5 Year index eked out a 0.01% return and the Bloomberg Barclays
U.S. Treasury 20+ Year index returned -3.02%.
Despite historically weak, choppy economic data and unsettling, pandemic-related headlines, risk assets have pushed higher on investor confidence that
the future will be better than the present. With two Covid-19 vaccines in distribution and a new round of fiscal stimulus about to be deployed, we believe
the U.S. economy is primed to accelerate in 2021. In our view, there is a clear bridge (vaccine) to post-Covid normalcy and abutments (fiscal stimulus and
prolonged, accommodative monetary policy) that should keep the recovery on track and absorb unexpected jolts along with way.
4
Investment Policy
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Mandate Senior Loan
The investment management agreement between Voya Investment Management and Pasadena Fire and Police
Ret. System was effective June 27, 2014.
Inception
Actively managed, ultra-short duration floating-rate income strategy that invests primarily in privately syndicated,
Supported by an over 50-person dedicated investment team, our investment process focuses on fundamental credit analysis, relative value assessment and high levels of diversification. We conduct top-down analysis to target
industries with strong operating momentum or improving credit conditions, while avoiding those sectors prone to the clustering of defaults. The other major component of our process, specific borrower selection, is based on
fundamental bottom-up credit analysis that includes independent credit research, in-depth collateral review and relative value analysis.
Process
$6,524,045.41 as of December 31, 2020 Account Balance
5
Performance Analysis - Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Portfolio Review
For the quarter, the Voya Senior Loan Collective Trust (the “Trust”) underperformed the S&P/LSTA Leveraged Loan index (the “index”) by 50
basis points (bp), primarily due to selection in single-B-rated loans and selection and underweight to CCC-rated loans. By industry, relative
performance was negatively impacted by selection and overweight to electronics and electrical, selection in business equipment and services
and selection in automotive. At an issuer level, notable detractors included an overweight to Solarwinds Holdings, Inc., which traded down
following the news of a security breach within its software, while other laggards stemmed from an underweight to Cineworld, the avoidance of
American Airlines and Audio Visual Services Corp. and owning a non-benchmark position in 24 Hour Fitness Worldwide, Inc., spread across
three different loan facilities.
In contrast, partially offsetting contributors included selection within the Trust’s few defaulted loans, an underweight to BBB-rated loans, selection
in BB-rated loans and selection within the non-rated category. Relative performance was also boosted by selection in the retailers (except food
and drug), followed by selection and overweight to nonferrous metals and minerals sectors and an underweight to utilities. Notable issuer-level
contributors were mainly stressed credits that benefited from the improved vaccine and recovery-related outlook, such as Fitness International,
Llc. and Diamond Sports Group, Llc., while Covia Holdings Corporation (formerly known as Unimin Corporation) and Tailored Brands (formerly
known as Men’s Wearhouse) exited bankruptcy during the month.
The Trust did not experience any defaults during the quarter, as compared to two for the index. The index’s trailing-12-month default rate by
principal amount closed out the year at 3.83%. The Trust’s default experience continues to compare very favorably relative to index, as its
trailing-12-month default rate closed out the period at just 1.77%. Default activity has slowed notably within the loan market since the uptick of
6
Performance Analysis - Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
bankruptcies experienced in the earlier part of the year, but is expected to remain elevated in 2021, as the lingering effects of COVID-19 make
their way into the remaining pockets of credits under substantial stress.
Diversification measures remain robust with 36 industries and 333 individual issuers represented.
Current Strategy and Outlook
Improving outlooks on vaccine efficacy, election outcomes and a partial recovery in economic activity all contributed to increased risk-taking in
broad capital markets during the fourth quarter. The combined impact of these factors resulted in stronger valuations across the board, and
capped off a positive finish to a tumultuous 2020. The U.S. loan market, as represented by the index, posted a gain of 3.81% for 4Q20, bringing
the full-year return to 3.12% for the asset class. Trading levels were materially higher relative to third quarter, as evidenced by more than a 300
bp gain in the average index bid price. While the rally was beneficial to all rating cohorts, stronger appetite for risk underpinned performance in
riskier credits, particularly in CCC-rated loans, which returned 9.21% for the period. The highly volatile rating category, disproportionately
exposed to COVID-linked issuers, was boosted by a strong technical tailwind stemming from positive vaccine headlines. Single-B-rated loans
also performed in strong fashion with a return of 3.78%, while BB-rated loans lagged at 2.75%. On a full-year basis, CCC-, single-B- and BB-
rated loans posted returns of 4.35%, 3.80% and 0.75%, respectively.
Market technical factors closed out 2020 in relatively good standing, largely a byproduct of a rebound in collateralized loan obligation (CLO)
creation and resilient loan supply. Starting with supply, total institutional loan issuance was $80.7 billion for the quarter, an improvement of about
$6 billion from the previous quarter. Loans backing mergers and acquisitions (M&A) and leveraged buyout (LBO)-related activity drove the
7
Performance Analysis - Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
uptick, expanding by roughly 49% from 3Q20 levels. Much of this activity was on pause during the early shocks of the pandemic but slowly
reappeared in the latter half of the year. Other notable drivers included dividend recaps, which amounted to $17.5 billion for the quarter. On the
other side of the technical ledger, investor demand was buoyed by increased CLO formation and a notable reduction in loan mutual fund
redemption activity. Roughly $30.8 billion of new vehicles were issued in the CLO market, pushing the 2020 figure to $92.1 billion, a figure on the
high side of even pre-COVID estimates. Retail funds saw a solid inflow of about $727 million in December but were slightly negative in aggerate
for the quarter ($151 million).
While not without risks, the main theme going into 2021 is a supportive macro and credit backdrop driven by recovery of output lost to the
pandemic and, most specifically, the retracement of corporate earnings. COVID-19 and its variants will remain a challenge, but with a lessening
impact driven by what we cautiously hope will be an effective global vaccine rollout. Beyond the pandemic, the policy actions of the new
administration could have material implications on many political and regulatory fronts; we do not believe certain markets are valuing a
reasonable downside case. Nonetheless, we expect fundamentals will continue to improve on the back of a macro rebound and related GDP
growth, and a return to more normal activity, supported by vaccine dissemination and continued fiscal and monetary support.
8
Performance Summary
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Quarter 1 Year 3 Year Since Inception* 5 Year
Portfolio Gross (%) 3.31 1.45 3.53 3.74 4.54
Portfolio Net (%) 3.18 0.95 3.02 3.23 4.02
Benchmark (%) 3.81 3.12 4.01 3.73 5.24
Relative to Gross (%) -0.50 -1.67 -0.49 0.00 -0.70
Calendar Year Returns 2020 2019 2018 2017 2016 2015
Portfolio Gross (%) 1.45 8.50 0.81 3.67 8.52 1.39
Portfolio Net (%) 0.95 7.98 0.31 3.16 7.98 0.88
Benchmark (%) 3.12 8.64 0.44 4.12 10.16 -0.69
Quarter Ending December 31, 2020
*Performance inception date is 7/01/2014. Benchmark: S&P/LSTA Leveraged Loan Index
Performance returns for time periods greater than 1 year are annualized. Past performance does not guarantee future results.
Investors cannot invest directly in an index. See Explanatory Notes Section for footnotes and disclosures.
9
Portfolio Characteristics Quarter Ending December 31, 2020
Characteristics Portfolio
Number of Industries 36
Average per Industry $54,909,471
Average per Industry as a % of AUM 2.78%
Number of Issuers 333
Average per Issuer $5,936,159
Average per Issuer as a % of AUM 0.30%
Weighted Average Spread 3.57%
Weighted Average Maturity Years 4.68
Weighted Average Market Price 97.95%
Leverage for Investment Purposes Percent 0.00%
Weighted Average Days To Reset 0
Weighted Average Coupon 4.06%
Weighted Average Quality B
Discount Yield To 3 yr Call 4.79%
Total AUM ($ Millions) 1976.74
% of Loans Denominated in USD 100.00%
Weighted Average Rating Factor 2551.00
See Explanatory Notes Section for footnotes and disclosures.
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Portfolio holdings characteristics are subject to change and may not be representative of current holdings and characteristics.
Spread Distribution (LIBOR + bps)
10
Portfolio Characteristics Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
See Explanatory Notes Section for footnotes and disclosures.
Loans by Country % of MV
United States 87.6%
United Kingdom 6.1%
Canada 2.1%
Netherlands 1.1%
Luxembourg 0.6%
Isle of Man 0.5%
New Zealand 0.5%
Germany 0.5%
France 0.3%
Switzerland 0.3%
Israel 0.2%
Australia 0.2%
Asset Breakdown (%) Portfolio
Senior Loans 98.0%
- First Lien 98.8%
- Second Lien 1.2%
- Secured 100.0%
- Unsecured 0.0%
Fixed Rate Notes/Bonds 0.0%
Structured Products 0.0%
Cash & Other Net Assets* 2.0% *These weightings reflect "other net assets." "Other net assets" include cash, payable, receivables and all other assets and liabilities on the
Ratings Distribution (Senior Secured Ratings)
11
Asset Allocation Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
See Explanatory Notes Section for footnotes and disclosures.
Allocations may not add to 100% due to rounding.
*Industry allocation is tracked using S&P Industries.
12
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Business Highlights - Quarter Ending December 31, 2020
Voya In The News Thought Leadership
Notable Mentions:
Voya Investment Management Named A Top Place To Work
Pensions & Investments recently released its ranking of the Best Places to Work 2020. Voya Investment Management was ranked #3 and continues a five-year run in the ranking.
Voya IM acquires G2 technology to boost equity investment business
Voya Investment Management (IM) has acquired the technology of G Squared Capital (G2) to boost its equity investment business.
Voya IM will also hire the founding team of G2, which includes Dr Gareth Shepherd, Gabriel Andraos and Yana Kramer, to form the new Equity Machine Intelligence (EMI) group within Voya IM’s Quantitative Equities business.
Voya Investment Management mentions can be found here: https://institutional.voya.com/news
2021 Capital Market Assumptions Voya’s 2021 Capital Market Assumptions are a key input into our strategic asset allocation process for multi-asset portfolios.
Global Debt Explodes: 2021 Fixed Income Outlook Enjoy today's cyclical bounce, prepare for tomorrow's structural risk.
Commercial Real Estate Outlook: The Gap Between Winners and Losers Widens Going forward, being nimble and remaining selective will be critical to identifying attractive new opportunities.
Uncertainty Ahead: Election Season and Rising COVID-19 Cases We continue to believe that risk-assets are worth the discomfort of uncertainty
If you would like to receive any of our thought leadership, please contact your client service representative or visit our website: www.voyainvestments.com
Personnel Update
Additions
Gabriel Andraos- SVP, Co-Head of Equity Machine
Intelligence, Research & Development
Gareth Shepherd- SVP, Co-Head of Equity Machine
Intelligence, Portfolio Manager
Yana Kramer- VP, Equity Machine Intelligence, CPM
Departures
Daniel Norman- SMD, Group Head, Senior Loan
13
Appendix
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Save-A-Lot LX187261 New Money Term $33,447 0.00% 3/07/2024 7.00 B- 100.13 Food/Drug Retailers
$17,703,383 0.91%
Forest Products
LABL, Inc (fka Multi-Color or W/S Packaging) LX180857 Term Loan B $2,451,089 0.13% 7/01/2026 4.50 B 100.29 Forest Products
$2,451,089 0.13%
Health Care
BAUSCH HEALTH AMERICAS, INC LX173606 Term B $14,563,333 0.75% 6/02/2025 3.00 BB 99.73 Health Care
PPD, Inc. LX172432 Term B $12,100,288 0.62% 8/18/2022 2.50 BB- 100.04 Health Care
Ortho-Clinical Diagnostics, Inc. LX173721 Term B $10,584,448 0.55% 6/30/2025 3.25 B- 98.78 Health Care
Envision Healthcare Corporation LX175867 Term B $8,602,066 0.44% 10/11/2025 3.75 CCC 83.96 Health Care
Select Medical Corporation LX159955 Incremental Term Loan B $8,114,408 0.42% 3/06/2025 2.50 BB- 99.44 Health Care
ExamWorks Group, Inc. LX159615 Upsized 1L Term Loan $8,015,967 0.41% 7/27/2023 3.25 B 100.11 Health Care
LifePoint Health, Inc. LX176702 Upsized Term B $7,122,191 0.37% 11/16/2025 3.75 B 99.82 Health Care
28
Holdings Report Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Voya Senior Loan Trust
Issuer LoanX ID Industry (S&P) Tranche Market Value % Portfolio Maturity Spread %
S&P
Rating Price
Health Care
Multiplan, Inc LX152711 First lien term loan $7,024,410 0.36% 6/07/2023 2.75 B+ 99.76 Health Care
Change Healthcare, Inc. LX159695 Term B $6,919,560 0.36% 3/01/2024 2.50 B+ 99.67 Health Care
PCI Pharma Services LX189979 TLB $6,636,550 0.34% 9/25/2027 3.75 B- 100.25 Health Care
Albany Molecular Research, Inc. LX167440 First lien term loan $5,946,824 0.31% 8/30/2024 3.25 B- 100.48 Health Care
Aspen Dental Management, Inc. LX191215 B1 $5,088,956 0.26% 12/20/2027 4.00 B 100.28 Health Care
GoodRx LX176164 Incremental Term Loan $5,076,943 0.26% 10/10/2025 2.75 BB- 99.42 Health Care
Tecomet LX169359 2020 Upsized B $5,042,759 0.26% 5/01/2024 3.50 B 98.50 Health Care
Global Medical Response, Inc. (fka Air Medical Group Holdings, Inc.) LX189951 Incremental Extended Term Loan B (Oct $4,940,160 0.25% 10/02/2025 4.75 B 99.60 Health Care
Agiliti Health, Inc LX176339 Incremental Term Loan B $4,844,157 0.25% 1/06/2026 3.00 B+ 99.38 Health Care
WCG LX184508 Upsized Term B $4,728,230 0.24% 1/08/2027 4.00 B 100.44 Health Care
National Mentor (fka Civitas Solutions) LX178223 Upsized Term Loan B $4,438,882 0.23% 3/08/2026 4.25 B 100.11 Health Care
PetVet Care Centers LX170763 First Lien Term Loan $4,333,674 0.22% 2/14/2025 2.75 B 98.06 Health Care
Dental Corporation of Canada Inc. LX173658 Upsized Incremental First Lien Term Loan $4,155,320 0.21% 6/06/2025 3.75 B- 98.53 Health Care
ATI Physical Therapy LX152458 Upsized First Lien Term Loan $3,846,975 0.20% 5/10/2023 3.50 B- 98.25 Health Care
Medical Solutions LX165179 Term Loan B $3,807,430 0.20% 6/14/2024 4.50 B 99.50 Health Care
Acadia LX172092 TLB-4 $3,291,908 0.17% 2/16/2023 2.50 BB- 99.81 Health Care
Pathway Vet Alliance LX187281 First Lien Term Loan $3,012,762 0.16% 3/31/2027 4.00 B 100.15 Health Care
Surgery Center Holdings, Inc. LX165294 Upsized Term B $2,989,013 0.15% 9/02/2024 3.25 B- 98.56 Health Care
Press Ganey LX181488 Initial Term Loan $2,966,240 0.15% 7/25/2026 3.50 B 99.13 Health Care
BrightSpring Health Services (fka PharMerica Corporation) LX190093 Incremental Term Loan $2,852,673 0.15% 3/05/2026 3.75 B 100.09 Health Care
Inovalon Holdings, Inc. LX185573 Repriced Term Loan B $2,844,063 0.15% 4/02/2025 3.00 B+ 99.79 Health Care
29
Holdings Report Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Voya Senior Loan Trust
Issuer LoanX ID Industry (S&P) Tranche Market Value % Portfolio Maturity Spread %
S&P
Rating Price
Health Care
LifeScan Global Corp LX173565 1L Term Loan $2,798,042 0.14% 10/01/2024 6.00 B 95.53 Health Care
MW Life Sciences LX189904 TLB $2,793,488 0.14% 10/01/2027 4.50 B- 100.13 Health Care
athenahealth, Inc. LX178382 First Lien Term Loan $2,754,584 0.14% 2/11/2026 4.50 B 100.17 Health Care
Air Methods LX162655 Term Loan B $2,324,302 0.12% 4/22/2024 3.50 B 96.83 Health Care
U.S. Anesthesia Partners LX165390 Upsized TLB $2,301,879 0.12% 6/24/2024 3.00 B 98.08 Health Care
Unified Women’s Healthcare, LP LX191335 Term B $1,865,325 0.10% 12/20/2027 4.25 B- 99.75 Health Care
RxBenefits, Inc. LX191299 Term B $1,860,338 0.10% 12/20/2020 5.25 B- 99.75 Health Care
Cano Health LX191011 Funded Term B $1,366,384 0.07% 12/20/2027 4.75 B- 99.71 Health Care
AccentCare, Inc. LX191328 Incremental 1st Lien Term Loan $1,134,238 0.06% 6/20/2026 5.00 B- 100.38 Health Care
PetVet Care Centers LX183714 Incremental Term Loan B-3 $1,002,462 0.05% 2/14/2025 4.25 B 100.50 Health Care
PointClickCare LX191337 1L Term Loan $900,000 0.05% 12/15/2027 3.00 B+ 100.00 Health Care
Cano Health LX191012 DD Term B $498,161 0.03% 12/20/2027 4.75 B- 99.71 Health Care
Pathway Vet Alliance LX187298 First Lien Term Loan - DD $246,085 0.01% 3/31/2027 4.00 B 100.15 Health Care
National Mentor (fka Civitas Solutions) LX178379 Upsized LC Term Loan $202,620 0.01% 3/09/2026 4.25 B 100.11 Health Care
$185,938,099 9.60%
Home Furnishings
ADT fka Protection One, Inc. LX182764 1st Lien Term Loan B $5,686,950 0.29% 9/23/2026 3.25 BB- 100.35 Home Furnishings
$5,686,950 0.29%
Industrial Equipment
Alliance Laundry Systems LLC LX190032 Term Loan B $7,565,229 0.39% 10/01/2027 3.50 B 100.14 Industrial Equipment
30
Holdings Report Quarter Ending December 31, 2020
Pasadena Fire and Police Ret. System Senior Loan
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Voya Senior Loan Trust
Issuer LoanX ID Industry (S&P) Tranche Market Value % Portfolio Maturity Spread %
S&P
Rating Price
Industrial Equipment
APi Group, Inc. LX182629 1st Lien Term Loan $6,941,710 0.36% 10/01/2026 2.50 BB- 99.81 Industrial Equipment
Filtration Group Corporation LX172395 First Lien Term Loan $6,936,675 0.36% 3/31/2025 3.00 B 99.19 Industrial Equipment
Thyssenkrupp Elevator LX188876 USD TL B $4,898,533 0.25% 7/30/2027 4.25 B 100.59 Industrial Equipment
Howden LX182628 Term Loan B $4,298,039 0.22% 9/30/2026 5.25 B- 100.25 Industrial Equipment
CPM Holdings, Inc. LX176453 First Lien Term Loan $3,332,036 0.17% 11/17/2025 3.75 CCC+ 97.42 Industrial Equipment
Kenan Advantage Group, Inc. LX146807 Upsized USD Term loan B $3,166,372 0.16% 7/29/2022 3.00 B- 98.50 Industrial Equipment
Kenan Advantage Group, Inc. LX146975 Term Loan Canada Borrower $752,963 0.04% 7/29/2022 3.00 B- 98.50 Industrial Equipment
$37,891,557 1.96%
Leisure Goods/Activities/Movies
Alterra Mountain Company (fka Intrawest) LX166114 New Upsized TLB $6,305,483 0.33% 7/31/2024 2.75 B 98.70 Leisure Goods/Activities/Movies
SRAM, LLC LX173003 Upsized First Lien Term Loan $5,356,616 0.28% 3/15/2024 2.75 BB- 100.13 Leisure Goods/Activities/Movies
Sabre Industries LX179373 First Lien Term Loan $3,208,529 0.17% 4/15/2026 3.50 BB- 99.75 Utilities
Heritage Power, LLC LX181091 Term Loan B $2,065,883 0.11% 7/30/2026 6.00 B+ 94.84 Utilities
Longview Power, LLC LX187961 Exit term loan $519,915 0.03% 7/30/2025 10.00 D 99.50 Utilities
$9,140,742 0.47%
$1,937,482,458 100.00% Total Loans
Total Market Value $1,937,482,458
Coupon reflects a calculation of the loan spread plus 3-month LIBOR, and does not necessarily reflect the actual changing underlying LIBOR contracts for the
loan.
The holdings displayed represent the holdings of the entire commingled fund and do not represent individual client ownership.
37
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Explanatory Notes
The information contained in this document has been prepared solely for informational purposes and is not an offer or invitation to buy or sell any
security or to participate in any trading activity. This document is intended only for professional investors and describes a strategy only. Some
material shown is compiled from third party sources thought to be reliable, but accuracy and completeness cannot be guaranteed. Any opinions
expressed herein reflect our judgment at this date and are subject to change without notice. Neither Voya Investment Management nor any other
company or unit belonging to Voya Financial, nor any of its officers, directors, or employees accept any liability or responsibility in respect to the
information or any recommendations expressed herein. No liability is accepted for any losses sustained by readers as a result of using this
publication or basing decisions on it. The value of your investments may rise or fall. Past performance is not indicative of future results.
Investments involve risk. The primary risks of investing in market based securities include, but are not limited to, credit risk (the risk that a borrower
may default in the payment of interest and/or principal on its loans), interest rate risk (the risk that the yield on an investment will rise and fall in
response to changes in market rates of interest), and market risk (the risk that the value of an investment will rise or fall in response to general
economic conditions and events). Exposure to financial, market, prepayment, credit and interest rate risks. The value of an investment is not
guaranteed and will fluctuate. Higher yielding bonds are subject to greater volatility and credit risk. A strategy may invest in securities guaranteed
by the U.S. Government as to timely payments of interest and principal, butt the strategy itself is not insured or guaranteed. Bonds have fixed
principal and return if held to maturity, but may fluctuate in the interim. Generally, when interest rates rise, bond prices fall. Bonds with longer
maturities tend to be more sensitive to changes in interest rates. In addition to the general risks of investing in fixed income securities, investing in
foreign securities poses special risks, including currency fluctuation, economic and political risks not found in investments that are solely
domestic. Risks of foreign investing are generally intensified for investments in emerging markets
The account information presented in this report is based on the records and information provided by Voya Investment Management. The results
may be preliminary and unreconciled and are subject to change. Voya Investment Management does not guarantee the accuracy of the
information contained in this portfolio accounting report. The report is for informational purposes only and should not be relied upon or construed to
be final. Clients are advised to refer to their custodial statements and confirmations for trade and holdings information.
Footnotes
Market Value
The ending balance shown on the Investment Policy page may differ from the total market value on the Portfolio Holdings Report due to cash flow
posted at close of business on the last day of the quarter.
38
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Explanatory Notes
Portfolio Characteristics
The portfolio specific characteristics (such as Average Duration, Average Yield, etc.) are based on the total portfolio market value including cash
and derivatives, as provided by our valuation provider (BNY Mellon) and security characteristics provided by BlackRock Solutions which utilizes a
different pricing hierarchy (Barclays).BNY Mellon prices combined with Barclays analytics will result in different portfolio averages than are
reported. Portfolio and Benchmark averages (Duration, Yield to Maturity, Convexity and Average Life) are reported directly from BlackRock
Solutions using Blackrock models and assumptions. As such, the Benchmark Analytics provided above may be different from Barclays. Top ten
credit exposures include cash.
Ratings
The portfolio’s average quality rating is calculated as a market value-weighted average of the rating assigned to all positions, including derivative
securities, but
excluding non-rated securities held within the portfolio measured and reported as of the date of this report. The "Effective Rating" is determined as
follows: Voya IM seeks individual security ratings from three credit rating agencies that are registered with the SEC as nationally recognized
statistical rating organizations -- typically
Moody's, S&P and Fitch. If ratings are available from all three agencies, the security will be assigned the median rating. If ratings are available
from only two of the agencies, the lower of the ratings will be used.If a rating is available from only one agency, then that rating will be used. If
ratings are not available from any of the three agencies, then we may either assign the security an internal rating or mark it as "N/R" (not
rated). AAA is the highest (best) Effective Rating, and D is the lowest (worst) Effective Rating. When an Effective Rating is reported for a group of
securities (such as for an asset class or the overall portfolio), it is calculated as a market value-weighted average of the Effective Rating assigned
to each component security (excluding securities without an Effective Rating). Please note that Voya does not endorse or affirm the Effective
Ratings or any agency ratings.
39
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Explanatory Notes
Ratings Cont.
Furthermore, credit rating agencies disclaim all warranties and liability for their ratings, which (a) should be viewed as their opinions and not as
statements of fact or recommendations as to suitability or to purchase, hold, or sell a security and (b) are not guaranteed as being accurate, timely
or available. For derivative securities, swap contracts are rated on the basis of the underlying security, however, futures contracts are treated as a
combination of Treasury securities and cash positions, they have no net impact to the average quality rating in the portfolio. Measures pertaining to
average credit quality may change over time and illustrations presented in the client report are for informational purposes only. Individual client
investment guidelines may have different rules and the foregoing presentation is not meant to represent a compliance certification of the portfolio’s
overall credit quality.
This report may contain information obtained from third parties, including ratings from credit ratings agencies. Reproduction and distribution of
third party content in any form is prohibited except with the prior written permission of the related third party. Third party content providers do not
guarantee the accuracy, completeness, timeliness or availability of any information, including ratings, and are not responsible for any errors or
omissions (negligent or otherwise), regardless of the cause, or for the result obtained from the use of such content. THIRD PARTY CONTENT
PROVIDERS GIVE NO EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. THIRD PARTY CONTENT PROVIDERS SHALL NOT BE LIABLE
FOR ANY DIRECT, INDIRECT, INCIDENTAL, EXEMPLARY, COMPENSATORY, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES,
COSTS, EXPENSES, LEGAL FREES, OR LOSSES (INCLUDING LOST INCOME OR PROFITS AND OPPORTUNITY COSTS OR LOSSES
CAUSED BY NEGLIGENCE) IN CONNECTION WITH ANY USE OF THEIR CONTENT, INCLUDING RATINGS. Credit agency ratings are
statement of opinions and are not statements of fact or recommendations to purchase, hold or sell securities. They do not address the suitability of
securities or the suitability of securities for investment purposes, and should not be relied on as investment advice.
40
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Explanatory Notes
Bond Sector Comparisons
Sector weights are based on total portfolio market value, which includes security market values (including accrued income), plus cash, cash
equivalents and derivatives (variation margin for Futures, and Market Value of Swaps).
With the exception of the Treasury, ABS, and CMBS Sectors, the following sector groupings apply:
Treasury and Cash includes Cash/Cash equivalents which includes trade receivables/payables (which may be net positive or
negative), TBA liabilities, accrued income on securities that have been sold pending settlement (accrued income is otherwise
reflected in the other sectors), and in Sector Weights, also includes variation margin for futures (which may be positive or negative).
Government Related sector is comprised of Agency, Local Government, Sovereign and Supranational securities.
Corporate sector is comprised of Financial Institutions, Industrial and Utility securities.
Agency Mortgages sector contains Fannie Mae (FNMA), Freddie Mac (FHLMC), and Government National Mortgage Association
(GNMA).
Securitized sector is comprised of ABS, CMBS, and Agency and Non-Agency Mortgage Backed Securities.
Other sector is comprised of Convertibles, Common and Preferred Stocks and Municipal Bonds.
"Derivatives“ (if applicable) includes forwards, options and swaps (see Appendix – Portfolio Holdings Derivatives for details) and
futures.
Performance Disclosures
Performance is calculated on a time-weighted total return basis. Performance quoted is past performance, is no guarantee of future results and
assumes that dividends and distributions are reinvested. Current performance may be lower or higher. Investment value will fluctuate, and shares,
when redeemed, may be worth more or less than original cost.
Net returns are reflective of trading costs, management fees, and other administrative fees. Gross returns are net of trading costs, but do not reflect
the deduction of management, operating and admin fees. The returns for the Benchmark Indexes are time-weighted total return performance
results.
41
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Explanatory Notes
Performance Disclosures Cont.
For Bloomberg Barclay Indices the source is: Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg
Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its
affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg
Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any
information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by
law, neither shall have any liability or responsibility for injury or damages arising in connection therewith. Notwithstanding the foregoing, solely to
the extent Licensee publishes Insubstantial Portions of Derivative Indices in accordance with the paragraph above, in addition to the disclaimer
required above, each such publication of Insubstantial Portions of the Derivative Indices shall include a statement that the Derivative Index is not
sponsored or endorsed by BISL, but is calculated and published with the consent of BISL.
Performance Attribution
Attribution results for sub-portfolio components, as provided by Blackrock Solutions Systems, are calculated on a daily basis. These daily results
are then geometrically compounded using a smoothing algorithm (Frongello Linking Algorithm) to produce results for “Month to Date” , “Quarter To
Date” and “Year To Date” time periods. However, the use of this smoothing process, as well as rounding effects, may create immaterial differences
to total portfolio returns reported to the client for “Month To Date” , “Quarter To Date” and “Year To Date” time periods. Additional details of these
calculations are available upon request. Total attribution may not add or match portfolio returns due to rounding. Total attribution may not add or
match portfolio returns due to rounding.
Holdings
Cash and Cash Equivalents include trade receivables/payables (which may be net positive or negative), accrued income, cash collateral, variation
margin (which may be positive or negative), and TBA liabilities. The current market value of foreign currency as well as derivative holdings is (a)
included in the net cash/cash equivalent line at the end of the Portfolio Holdings Report and (b) reflected in the “other” sector in the Bond Sector
Comparisons page.
All derivative holdings (including notional amounts) are listed, as applicable. The market value of all derivatives other than futures (and only the
variation margin for futures) is (a) included in the net cash/cash equivalent line at the end of the Portfolio Holdings Report and (b) reflected in the
“other” sector in the Bond Sector Comparisons page.
42
Pasadena Fire and Police Ret. System
For financial professional or qualified institutional investor use only. Not for inspection by, distribution or quotation to, the general public.
Explanatory Notes
Holdings Cont.
The individual holdings and their respective valuations, (pricing and accruals) illustrated in this report are provided by IM’s operations servicer,
Bank of New York Mellon. Individual Security and Portfolio Level attributes illustrations are provided by BlackRock Solutions which utilizes a
different pricing hierarchy (Barclays) in the deriving of analytics such as; Duration, Yield to Maturity, Convexity, and Average Life. Please refer to
the Explanatory Notes Section of your quarterly performance report for the valuation hierarchy as provided by Bank of New York Mellon, as well as
other important disclosures.
Notes
A To-Be-Announced (“TBA”) security represents a “forward purchase” of a potential mortgage pool of similar characteristics such as coupon, yield
and par value to be announced by a broker bundling “like” mortgages. The cash segregated as collateral for these forward purchases, in an
amount equal to the purchase price to be paid, may be invested in “liquid assets, such as cash, U.S. Government securities or other appropriate
high grade debt obligations” in a “segregated account” as described in Release 10666 of the SEC. Voya reports these within “Portfolio Holdings”.
The valuation of this collateral is independent of the valuation of the TBA liability and may rise or fall, based on interest rates and market
conditions.
FAS 157 Tier levels
FASB 157 establishes a framework for measuring fair value in Generally Accepted Accounting Principles. Under FAS, “fair value” is the price that
would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
FASB 157 identifies a fair value hierarchy to rank the reliability of inputs used in a valuation approach. The first – and highest – level (Level 1)
refers to quoted prices for identical assets or liabilities in an active market. When those prices are not available, the second – or middle – level
(Level 2) will base fair value estimates on observable inputs that a market participant would use. If observable inputs are not available, the third –
and lowest – level (Level 3) will require the use of unobservable inputs. Source: Valuation Research Corporation
Voya Investment Management employs the following criteria for the tier selection under the FAS 157 Rule:
Level 2 is identified as any security for which we have received a price through one of our pricing vendors (currently IDC, Pricing Direct, and Markit
Partners). We identify as Level 3 any security (including mortgage-related securities) for which only a broker quote is available for valuation, as
opposed to prices sourced from pricing vendors. Under our current policy, Level 1 is reserved for U.S. Treasury securities.
Effective January 1, 2013 , all Subprime assets that are priced by an external vendors are now classified as Tier 2. Prior to this time, Voya
Investment Management was categorizing subprime external vendor priced securities as Tier 3 since December 2008.
California Public Employees’ Retirement System Disability and Survivor Benefits Division P.O. Box 2796, Sacramento, CA 95812-2796 | Fax: (916) 795-1280 888 CalPERS (or 888-225-7377) | TTY: (877) 249-7442 | www.calpers.ca.gov
Page 1 of 4
October 15, 2020
City of Pasadena CalPERS ID: XXXXXXXXXX 100 N Garfield Ave Rm S135 Pasadena, CA 91101-1726
Re: Roxanne C Haines Occupation: Police Officer
Dear Personnel Officer,
Roxanne C Haines has filed an application for industrial disability retirement based upon her orthopedic (back, bilateral knee) condition. Your agency needs to make a determination of the member's disability in accordance with Government Code sections 21154 and 21156. You must make your determination within six months of this request unless the local safety member waives the requirements of this provision (Government Code section 21157).
All documentation submitted by your agency must be signed by the governing body or its lawful delegate (i.e., City Manager, Chief Administrative Officer, County Executive, or other comparable individual). If the governing body chooses to delegate the responsibility of making a determination, a certified copy of the delegation order of this authority, approved and signed by the governing body, must accompany the finding by such delegate in each instance. For Public Agency and Schools Reference Guide – Benefits Procedures and sample resolutions, please refer to the following link for further information:
If any of the following separation reasons or circumstances apply, your agency must forward all relevant personnel documents and medical records to CalPERS and obtain CalPERS’ determination that the member is eligible to apply for disability retirement before your agency starts the process:
• Disciplinary process was underway prior to the member’s separation from employment.• The member was terminated for cause.• The member resigned in lieu of termination.• The member signed an agreement to waive his or her reinstatement rights as part of a
legal settlement (i.e., Employment Reinstatement Waiver).• The member has been convicted of or is being investigated for a work-related felony.
• The member has been convicted of or is being investigated for a work-related felony.
Your determination shall be made on the basis of competent medical opinion. You shall not use disability retirement as a substitute for the disciplinary process (Government Code section 21156(2)). If the disciplinary process occurred before the member's separation from employment, you are required to forward all relevant personnel documents to CalPERS for determination of the member's eligibility for disability retirement before you start the process of adjudication.
Under the California Public Employees' Retirement Law, disability is defined as the incapacity from the performance of duty in public services for permanent or extended and uncertain duration of twelve consecutive months or longer, as determined on the basis of competent medical opinion. Disability is not necessarily an inability to perform every function of a given position. Rather, the courts have concluded that the test in any case is whether the employee can substantially perform his or her usual duties. Difficulty in performing certain tasks alone is not enough to support a finding of disability. It is the inability to perform the essential functions of the actual and present job duties that determines whether the member is substantially incapacitated for the performance of his or her job duties. A CalPERS disability retirement must be based upon an actual and present (not prospective) inability to substantially perform the member's actual and usual job duties. Furthermore, prophylactic restrictions are not a basis for a disability retirement. If a disability is not currently present but just may occur in the future, the member is presently ineligible for a Cal PERS disability retirement.
Disputed questions regarding the industrial relationship of the disabling injury to the member's work will be resolved by the Workers' Compensation Appeals Board (WCAB). In the event there is no dispute, such a finding can be made by the employer. A Workers' Compensation Award is not sufficient evidence that a local safety member is disabled for retirement purposes. There must be a specific finding under Government Code section 21166, by the employer, with respect to the disability for which the member will be retired.
If it is determined that the member is not disabled from the performance of his or her duties, a Resolution to that effect must be filed with CalPERS. Please refer to sample Resolution No. 1 in the Public Agency and School Reference Guide - Benefits Procedures.
If the member is found to be disabled, Cal PERS will require the following documentation:
1. A statement from the employer certifying that the determination was made based on competent medical opin ion and the disability is expected to fulfill at least one of the following statements:
a) Is permanent b) Will last at least twelve consecutive months from the date of an application for benefits c) Will result in death.
2. A statement certifying the determination was not used as a substitute for the disciplinary process. If any of the above-mentioned circumstances are met, a statement must also be
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included that confirms all relevant personnel documents were forwarded to CalPERS and Cal PERS' determination that the member is eligible to apply for disability retirement was obtained prior to starting the process of medical determination.
3. A finding indicating the member has been found to be substantially incapacitated from the performance of the usual duties of his or her position .
4. A statement confirming whether or not the member has filed a Workers' Compensation claim(s) for his or her disabling condition(s). If so, a statement is required as to whether the claim(s) is accepted.
5. A finding by the employer as to whether or not the causation of the disability was industrial:
a) In the case of an ongoing dispute about the causation of the disability, the employer must provide a revised determination resolution along with a copy of the Workers' Compensation Appeals Board (WCAB) findings resolving the question of industrial causation.
b) A member must have a minimum of five years of service credit to qualify for nonindustrial disability retirement. If a member does not meet the minimum service requirements for disability retirement, the member may still qualify by re-depositing previously withdrawn contributions or contributing an amount for service rendered prior to membership with Cal PERS. Generally, time during which the member is absent from state service by reason of injury or illness, which is determined within one-year after the end of such absence to be job-related, shall be considered as time spent in state service for the purpose of qualification for retirement and death benefits.
6. A statement by the employer documenting the member's last day on payroll. The retirement effective date must be established in accordance with Gov. Code sections 21163 and 21164. Please refer to the on line Public Agency & School Reference Guide.
7. A statement by the employer as to whether there is, or is not, a possibility of third-party liability present (meaning whether the member's disability was caused by negligence or an intentional act of a party other than the employer).
If a person (other than the employer) caused an injury that results in certain Cal PERS benefits being paid, then Cal PERS has the right to recover up to one-half of the total retirement benefit costs payable due to this injury from the responsible party (G.C. section 20250).
The employer should also advise Cal PERS if it is aware that the member is pursuing a claim (other than a Workers' Compensation claim) against any person or entity for the same injuries that also entitle the member to a disability retirement from Cal PERS.
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8. A statement from the employer identifying the disabling condition(s) and body part(s) involved: i.e., orthopedic (right knee), psychological, cardiovascular, internal (kidney), neurological (leg).
9. If Advance Disability Pension Payments (ADPP) have been or will be paid to the member, the employer must include the monthly amount and the beginning date. The employer must also provide the address to which the reimbursement check should be mailed .
It is the employer's responsibility to report to Cal PERS the amount of ADPP paid to a member. If an employer fails to notify Cal PERS of ADPP or if the member service
retires, the local agency and the employee shall arrange for repayment. CalPERS will not reimburse the employer in these situations.
Thank you for your assistance. Your cooperation is appreciated.
We are here to assist you. If you have any questions, please visit our website at www.calpers.ca.gov, or you may call us toll free at 888 CalPERS (888-225-7377).
Sincerely,
Sophia Trinh Associate Governmental Program Analyst Disability Retirement Section
Enclosures: LS - 1st Letter to Member Authorization to Disclose Protected Health Information
cc: Clinton James Harrell
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Your determination shall be made on the basis of competent medical opinion. You shall not use disability retirement as a substitute for the disciplinary process (Government Code section 21156(2)). If the disciplinary process occurred before the member’s separation from employment, you are required to forward all relevant personnel documents to CalPERS for determination of the member’s eligibility for disability retirement before you start the process of adjudication. Under the California Public Employees' Retirement Law, disability is defined as the incapacity from the performance of duty in public services for permanent or extended and uncertain duration of twelve consecutive months or longer, as determined on the basis of competent medical opinion. Disability is not necessarily an inability to perform every function of a given position. Rather, the courts have concluded that the test in any case is whether the employee can substantially perform his or her usual duties. Difficulty in performing certain tasks alone is not enough to support a finding of disability. It is the inability to perform the essential functions of the actual and present job duties that determines whether the member is substantially incapacitated for the performance of his or her job duties. A CalPERS disability retirement must be based upon an actual and present (not prospective) inability to substantially perform the member's actual and usual job duties. Furthermore, prophylactic restrictions are not a basis for a disability retirement. If a disability is not currently present but just may occur in the future, the member is presently ineligible for a CalPERS disability retirement. Disputed questions regarding the industrial relationship of the disabling injury to the member's work will be resolved by the Workers' Compensation Appeals Board (WCAB). In the event there is no dispute, such a finding can be made by the employer. A Workers' Compensation Award is not sufficient evidence that a local safety member is disabled for retirement purposes. There must be a specific finding under Government Code section 21166, by the employer, with respect to the disability for which the member will be retired. If it is determined that the member is not disabled from the performance of his or her duties, a Resolution to that effect must be filed with CalPERS. Please refer to sample Resolution No. 1 in the Public Agency and School Reference Guide - Benefits Procedures. If the member is found to be disabled, CalPERS will require the following documentation:
1. A statement from the employer certifying that the determination was made based on competent medical opinion and the disability is expected to fulfill at least one of the following statements:
a) Is permanent b) Will last at least twelve consecutive months from the date of an application for benefits c) Will result in death.
2. A statement certifying the determination was not used as a substitute for the disciplinary
process. If any of the above-mentioned circumstances are met, a statement must also be included that confirms all relevant personnel documents were forwarded to CalPERS and
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CalPERS’ determination that the member is eligible to apply for disability retirement was obtained prior to starting the process of medical determination.
3. A finding indicating the member has been found to be substantially incapacitated from
the performance of the usual duties of his or her position.
4. A statement confirming whether or not the member has filed a Workers’ Compensation claim(s) for his or her disabling condition(s). If so, a statement is required as to whether the claim(s) is accepted.
5. A finding by the employer as to whether or not the causation of the disability was
industrial:
a) In the case of an ongoing dispute about the causation of the disability, the employer must provide a revised determination resolution along with a copy of the Workers’ Compensation Appeals Board (WCAB) findings resolving the question of industrial causation.
b) A member must have a minimum of five years of service credit to qualify for non-
industrial disability retirement. If a member does not meet the minimum service requirements for disability retirement, the member may still qualify by re-depositing previously withdrawn contributions or contributing an amount for service rendered prior to membership with CalPERS. Generally, time during which the member is absent from state service by reason of injury or illness, which is determined within one-year after the end of such absence to be job-related, shall be considered as time spent in state service for the purpose of qualification for retirement and death benefits.
6. A statement by the employer documenting the member’s last day on payroll. The
retirement effective date must be established in accordance with Gov. Code sections 21163 and 21164. Please refer to the online Public Agency & School Reference Guide.
7. A statement by the employer as to whether there is, or is not, a possibility of third-party
liability present (meaning whether the member's disability was caused by negligence or an intentional act of a party other than the employer).
If a person (other than the employer) caused an injury that results in certain CalPERS benefits being paid, then CalPERS has the right to recover up to one-half of the total retirement benefit costs payable due to this injury from the responsible party (G.C. section 20250). The employer should also advise CalPERS if it is aware that the member is pursuing a claim (other than a Workers' Compensation claim) against any person or entity for the same injuries that also entitle the member to a disability retirement from CalPERS.
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8. A statement from the employer identifying the disabling condition(s) and body part(s) involved: i.e., orthopedic (right knee), psychological, cardiovascular, internal (kidney), neurological (leg).
9. If Advance Disability Pension Payments (ADPP) have been or will be paid to the member, the employer must include the monthly amount and the beginning date. The employer must also provide the address to which the reimbursement check should be mailed.
It is the employer’s responsibility to report to CalPERS the amount of ADPP paid to a member. If an employer fails to notify CalPERS of ADPP or if the member service retires, the local agency and the employee shall arrange for repayment. CalPERS will not reimburse the employer in these situations.
Thank you for your assistance. Your cooperation is appreciated. We are here to assist you. If you have any questions, please visit our website at www.calpers.ca.gov, or you may call us toll free at 888 CalPERS (888-225-7377). Sincerely, Marie Michel Staff Services Analyst Disability Retirement Section Enclosures: LS - 1st Letter to Member Authorization to Disclose Protected Health Information cc: Roxanne C Haines
~l~CalPERS California Public Employees' Retirement System Disability and Survivor Benefits Division P.O. Box 2796, Sacramento, CA 95812-2796 I Fax: (916) 795-1280 888 CalPERS (or 888-225-7377) I TTY: (877) 249-7442 I www.calpers.ca.gov
March 20, 2020
City of Pasadena 100 N Garfield Ave Rm 5135 Pasadena, CA 91101-1726
Re: Aceanyer Brown Occupation: Battalion Chief
Dear Personnel Officer,
CalPERS ID: 5117897632
Aceanyer Brown has filed an application for service pending industrial disability retirement based upon his Orthopedic (back), Cardiovascular (high blood pressure), Oncology (prostate cancer), Audiological (hearing loss) and Pulmonology (sleep apnea) conditions. Your agency needs to make a determination of the member's disability in accordance with Government Code sections 2.1154 and 21156. You must make your determination within six moriths of this request unless the local safety member waives the requirements of this provision {Government Code section 21157).
All such documentation submitted by your agency must be signed by the governing body or its lawful delegate (i.e., City Manager, Chief Administrative Officer, County Executive, or other comparable individual). If the governing body chooses to delegate the responsibility of making a determination, a certified copy, which is approved and signed by the governing body, of the delegation order of this authority must accompany the finding by such delegate in each instance. For Public Agency and Schools Reference Guide - Benefits Procedures and sample resolutions, please refer to the following link for further information:
However, in any of the following circumstances, your agency must forward all relevant personnel documents and medical records to CalPERS and obtain CalPERS' determination that the member is eligible to apply for disability retirement before your agency starts the process:
• Disciplinary process underway prior to the member's separation from employment. • The member was terminated for cause. • The member resigned in lieu of termination. • The member signed an agreement to waive his or her reinstatement right as part of a legal
settlement (i.e., Employment Reinstatement Waiver). • The member has been convicted of or is being investigated for a work-related felony.
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Item: 9 Date: 2/17/21
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Your determination shall be on the basis of competent medical opinion. You shall not use disability retirement as a substitute for the disciplinary process (Government Code section 21156(2)). If the disciplinary process occurred before the member's separation from employment, you are required to forward all relevant personnel documents to Cal PERS for determination of the member's eligibility for disability retirement before you start the process of adjudication.
Under the California Public Employees' Retirement Law, disability means the incapacity of a member from the performance of duty in public services for permanent or extended and uncertain duration of twelve consecutive months or longer, as determined on the basis of competent medical opinion. Disability is not necessarily an inability to perform every function of a given position. Rather, the courts have concluded that the test in any case is whether the employee can substantially perform his or her usual duties. Difficulty in performing certain tasks alone is not enough to support a finding of disability. It is the inability to perform the essential functions of the actual and present job duties that determines whether the member is substantially incapacitated for the performance of his or her job duties. A Cal PERS disability retirement must be based upon an actual and present (not prospective) inability to substantially perform the member's actual and usual job duties. Furthermore, prophylactic restrictions are not a basis for a disability retirement. If a disability is not currently present but just may occur in the future, the member is presently ineligible for a Cal PERS disability retirement.
Disputed questions regarding the industrial relationship of the disabling injury to the member's work will be resolved by the Workers' Compensation Appeals Board (WCAB). In the event there is .no dispute, such a finding can be made by the employer. A Workers' Compensation Award is not sufficient evidence that a local safety member is disabled for retirement purposes. There must be a specific finding under Government Code section 21166, by the employer, with respect to the disability for which the member will be retired.
If it is determined that the member is not disabled from the performance of his or her duties, a Resolution to that effect must be filed with CalPERS. Please refer to sample Resolution No. 1 in the Public Agency and School Reference Guide - Benefits Procedures.
If the member is found to be disabled, Cal PERS will require the following documentation:
1. A statement certifying under penalty of perjury that the determination was made based on competent medical opinion.
2. A statement certifying under penalty of perjury that the determination was not used as a substitute for the disciplinary process. If any of the above mentioned circumstances is met, a statement must also be included that confirms that all relevant personnel documents were forwarded to Cal PERS and Cal PERS' determination that the member is eligible to apply for disability retirement was obtained prior to starting the process of determination.
3. A finding indicating the member has been found to be substantially incapacitated from the performance of the usual duties of his or her position.
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4. A statement confirming whether or not the member had filed a Workers' Compensation claim(s) for his or her disabling condition(s). If so, a statement is required as to whether the claim(s) was accepted.
5. A finding by the employer as to whether or not the causation of the disability was industrial.
a) In case of a dispute about the causation of the disability, the employer must provide a copy of the Findings and Award by the Workers' Compensation Appeals Board (WCAB) resolving the question of industrial causation.
b) A member must have a minimum of five years of credited service to qualify for nonindustrial disability retirement. If a member does not meet the minimum service requirements for disability retirement, the member may still qualify by re-depositing previously withdrawn contributions or contributing an amount for service rendered prior to membership with CalPERS. Generally, time during which the member is absent from state service by reason of injury or illness, which is determined within one-year after the end of such absence to be job-related, shall be considered as time spent in state service for the purpose of qualification for retirement and death benefits.
6. A statement by the employer documenting the member's last day on payroll. In case of a dispute regarding the effective date of the member's retirement, a request must be filed with the WCAB for finding of fact to determine the date the member's condition became permanent and stationary. The employer must provide a copy of the Finding of Fact and that date then becomes the effective date:of member's retirement (Government Code section 2H64).
7. A statement by the employer as to whether there is, or is not, a possibility of third-party liability present (meaning whether the member's disability was caused by negligence or an intentional act of a party other than the employer).
If a person (other than the employer) caused an injury that results in certain Cal PERS benefits being paid, then Cal PERS has the right to recover up to one-half of the total retirement benefit costs payable due to this injury from the responsible party (G.C. section 20250).
The employer should also advise CalPERS if it is aware that the member is pursuing a claim (other than a Workers' Compensation claim) against any person or entity for the same injuries that also entitle the member to a disability retirement from CalPERS.
8. A statement from the employer identifying the disabling condition(s) and body part(s) involved: i.e., orthopedic (right knee), psychological, cardiovascular, internal (kidney), neurological (leg) or other.
9. A statement from the employer that there is competent medical opinion certifying the disability is expected to
a) be permanent or b) last at least twelve consecutive months from the date of an application for benefits or c) will result in death.
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10. If Advance Disability Pension Payments (ADPP) have been or will be paid to the member, the employer must include the monthly amount and the beginning date. The employer must also provide the address to which the reimbursement check should be mailed.
It is the employer's responsibility to report to Cal PERS the amount of ADPP paid to a member. If an employer fails to notify Cal PERS of ADPP or if the member service retires, the local agency and the employee shall arrange for repayment. CalPERS will not reimburse the employer in these situations.
Thank you for your assistance. Your cooperatio.n is appreciated.
We are here to assist you. If you have any questions, please visit our website at www.calpers.ca.gov, or you may call us toll free at 888 Cal PERS (888-225-7377).
Sincerely,
Marie Michel Staff Services Analyst Disability Retirement Section
Enclosures: LS - 1st Letter to Member Authorization to Disclose Protected Health Information
cc: Aceanyer Brown
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California Public Employees’ Retirement System Disability and Survivor Benefits Division P.O. Box 2796, Sacramento, CA 95812-2796 | Fax: (916) 795-1280 888 CalPERS (or 888-225-7377) | TTY: (877) 249-7442 | www.calpers.ca.gov
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July 2, 2020 City of Pasadena CalPERS ID: 2976146047 100 N Garfield Ave Rm S135 Pasadena, CA 91101-1726 Re: Eduardo Calatayud III Occupation: Police Commander Dear Personnel Officer, Eduardo Calatayud III has filed an application for service pending industrial disability retirement based upon his orthopedic (haglund’s deformity, left insertional Achilles tendinitis, posterior calcaneal calcification) condition. Your agency needs to make a determination of the member's disability in accordance with Government Code sections 21154 and 21156. You must make your determination within six months of this request unless the local safety member waives the requirements of this provision (Government Code section 21157). All documentation submitted by your agency must be signed by the governing body or its lawful delegate (i.e., City Manager, Chief Administrative Officer, County Executive, or other comparable individual). If the governing body chooses to delegate the responsibility of making a determination, a certified copy of the delegation order of this authority, approved and signed by the governing body, must accompany the finding by such delegate in each instance. For Public Agency and Schools Reference Guide – Benefits Procedures and sample resolutions, please refer to the following link for further information:
If any of the following separation reasons or circumstances apply, your agency must forward all relevant personnel documents and medical records to CalPERS and obtain CalPERS’ determination that the member is eligible to apply for disability retirement before your agency starts the process:
• Disciplinary process was underway prior to the member’s separation from employment. • The member was terminated for cause. • The member resigned in lieu of termination. • The member signed an agreement to waive his or her reinstatement rights as part of a legal
settlement (i.e., Employment Reinstatement Waiver). • The member has been convicted of or is being investigated for a work-related felony.
Your determination shall be made on the basis of competent medical opinion. You shall not use disability retirement as a substitute for the disciplinary process (Government Code section 21156(2)). If the disciplinary process occurred before the member’s separation from employment, you are required to forward all relevant personnel documents to CalPERS for determination of the member’s eligibility for disability retirement before you start the process of adjudication. Under the California Public Employees' Retirement Law, disability is defined as the incapacity from the performance of duty in public services for permanent or extended and uncertain duration of twelve consecutive months or longer, as determined on the basis of competent medical opinion. Disability is not necessarily an inability to perform every function of a given position. Rather, the courts have concluded that the test in any case is whether the employee can substantially perform his or her usual duties. Difficulty in performing certain tasks alone is not enough to support a finding of disability. It is the inability to perform the essential functions of the actual and present job duties that determines whether the member is substantially incapacitated for the performance of his or her job duties. A CalPERS disability retirement must be based upon an actual and present (not prospective) inability to substantially perform the member's actual and usual job duties. Furthermore, prophylactic restrictions are not a basis for a disability retirement. If a disability is not currently present but just may occur in the future, the member is presently ineligible for a CalPERS disability retirement. Disputed questions regarding the industrial relationship of the disabling injury to the member's work will be resolved by the Workers' Compensation Appeals Board (WCAB). In the event there is no dispute, such a finding can be made by the employer. A Workers' Compensation Award is not sufficient evidence that a local safety member is disabled for retirement purposes. There must be a specific finding under Government Code section 21166, by the employer, with respect to the disability for which the member will be retired. If it is determined that the member is not disabled from the performance of his or her duties, a Resolution to that effect must be filed with CalPERS. Please refer to sample Resolution No. 1 in the Public Agency and School Reference Guide - Benefits Procedures. If the member is found to be disabled, CalPERS will require the following documentation:
1. A statement from the employer certifying that the determination was made based on competent medical opinion and the disability is expected to fulfill at least one of the following statements:
a) Is permanent b) Will last at least twelve consecutive months from the date of an application for benefits c) Will result in death.
2. A statement certifying the determination was not used as a substitute for the disciplinary
process. If any of the above-mentioned circumstances are met, a statement must also be included that confirms all relevant personnel documents were forwarded to CalPERS and CalPERS’ determination that the member is eligible to apply for disability retirement was obtained prior to starting the process of medical determination.
Page 3 of 4
3. A finding indicating the member has been found to be substantially incapacitated from the performance of the usual duties of his or her position.
4. A statement confirming whether or not the member has filed a Workers’ Compensation claim(s)
for his or her disabling condition(s). If so, a statement is required as to whether the claim(s) is accepted.
5. A finding by the employer as to whether or not the causation of the disability was industrial:
a) In the case of an ongoing dispute about the causation of the disability, the employer must
provide a revised determination resolution along with a copy of the Workers’ Compensation Appeals Board (WCAB) findings resolving the question of industrial causation.
b) A member must have a minimum of five years of service credit to qualify for non-industrial
disability retirement. If a member does not meet the minimum service requirements for disability retirement, the member may still qualify by re-depositing previously withdrawn contributions or contributing an amount for service rendered prior to membership with CalPERS. Generally, time during which the member is absent from state service by reason of injury or illness, which is determined within one-year after the end of such absence to be job-related, shall be considered as time spent in state service for the purpose of qualification for retirement and death benefits.
6. A statement by the employer documenting the member’s last day on payroll. The retirement
effective date must be established in accordance with Gov. Code sections 21163 and 21164. Please refer to the online Public Agency & School Reference Guide.
7. A statement by the employer as to whether there is, or is not, a possibility of third-party liability
present (meaning whether the member's disability was caused by negligence or an intentional act of a party other than the employer).
If a person (other than the employer) caused an injury that results in certain CalPERS benefits being paid, then CalPERS has the right to recover up to one-half of the total retirement benefit costs payable due to this injury from the responsible party (G.C. section 20250). The employer should also advise CalPERS if it is aware that the member is pursuing a claim (other than a Workers' Compensation claim) against any person or entity for the same injuries that also entitle the member to a disability retirement from CalPERS.
8. A statement from the employer identifying the disabling condition(s) and body part(s) involved: i.e., orthopedic (right knee), psychological, cardiovascular, internal (kidney), neurological (leg).
9. If Advance Disability Pension Payments (ADPP) have been or will be paid to the member, the employer must include the monthly amount and the beginning date. The employer must also provide the address to which the reimbursement check should be mailed.
Page 4 of 4
It is the employer’s responsibility to report to CalPERS the amount of ADPP paid to a member. If an employer fails to notify CalPERS of ADPP or if the member service retires, the local agency and the employee shall arrange for repayment. CalPERS will not reimburse the employer in these situations.
Thank you for your assistance. Your cooperation is appreciated. We are here to assist you. If you have any questions, please visit our website at www.calpers.ca.gov, or you may call us toll free at 888 CalPERS (888-225-7377). Sincerely, Marie Michel Staff Services Analyst Disability Retirement Section Enclosures: LS - 1st Letter to Member Authorization to Disclose Protected Health Information cc: Eduardo Calatayud III
411 Borel Avenue, Suite 620 San Mateo, California 94402 main: 650/377-1600 web: www.bartel-associates.com
January 13, 2021 Bernadette Kastner FPRS Administrator/Board Secretary Pasadena Fire and Police Retirement System 100 North Garfield Ave, Room N204 Pasadena, CA 91101-1726 Re: Pasadena Fire and Police Retirement System - 2021 Cost-of-Living Adjustment Dear Ms. Kastner: Article XV, Section 1509.8 of the City Charter specifies that pension benefits under the Pasadena Fire and Police Retirement System be adjusted each July 1st “to approximate the nearest one percent of the percentage of annual increase or decrease in the cost of living as of January 1 of that year as shown by the then current Bureau of Labor Statistics Consumers Price Index for the Los Angeles-Long Beach Metropolitan Area.” It is our understanding that the Retirement Board currently determines the annual cost of living adjustment for July 1st by comparing the average annual Consumer Price Index for All Urban Consumers (CPI-U) for the Los Angeles-Long Beach-Anaheim area (Base Period 1982-84=100) as published by the Bureau of Labor Statistics for the calendar year immediately preceding the July 1st to that of the second preceding calendar year. Using this methodology, the benefit adjustment for payments commencing July 1, 2021 is +2%. This is determined by calculating the increase or decrease in the average annual CPI-U for 2020 (278.567) as compared to the average annual CPI-U for 2019 (274.114) and rounding to the nearest one percent. (The 2021 COLA calculation is 278.567/274.114 - 1 = 1.62%, which is 2% when rounded to the nearest 1%.) Please let us know if you have any questions. Sincerely,
Matthew Childs Actuarial Analyst c: Joseph R. D’Onofrio, Bartel Associates, LLC O:\Clients\PasadenaFPRS\Projects\Pension\2021\COLA\BA PasadenaFPRS 21-01-13 Pension 21-06-30 COLA.doc
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Item: 12-a Date: 2/17/21
RESOLUTION NUMBER 332
MOTION by __________ that the following resolution be adopted:
WHEREAS, Article XV, Section 1509.8 of the City Charter requires that pension
benefits under the Pasadena Fire and Police Retirement System (“System”) be adjusted
each July 1st as specified therein; and
WHEREAS, the annual cost of living adjustment for each July 1st is determined by
comparing the average annual CPI for All Urban Consumers for the Los Angeles-Long
Beach-Anaheim area (Base Period 1982-84=100) as published by the Bureau of Labor
Statistics for the calendar year immediately preceding the July 1st to that of the 2nd
preceding calendar year; and
WHEREAS, using the foregoing methodology, the System’s actuary, Bartel
Associates, LLC, has informed the System that the benefit adjustment for payments
commencing July 1, 2021 should be +2%.
NOW, THEREFORE, BE IT RESOLVED, that the Retirement Board of the System
hereby determines that the benefit adjustment for payments commencing July 1, 2021,
computed in accordance with the formula set forth in Article XVI, Section 1509.8 of the City
Charter, shall be +2%; and
BE IT FURTHER RESOLVED, that those eligible retired members and beneficiaries
shall receive a +2% cost of living adjustment to their retirement benefits payable under the
System effective July 1, 2021; and
BE IT FURTHER RESOLVED, that the Secretary to the Retirement Board shall take
all necessary steps to implement this determination and resolution of the Retirement
Board.
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Item: 12-b Date: 2/17/21
Motion duly seconded and carried by the following votes:
AYES:
NOES:
ABSENT:
Adopted by the Retirement Board at the special meeting of February 17, 2021.
_______________________________
Keith Jones Chair, Retirement Board _______________________________ Bernadette Kastner Administrator/Secretary to the Board
Transaction summary
February 17, 2021PFPRS 1
Date Transaction Type Fund(s) Sold Fund(s) Purchased Amount ($)
January 25, 2021 pooled cash funding
1. Dodge & Cox Stock fund$275,000
2. Dodge & Cox International Stock fund$585,000
3. American Funds EuroPacific Growth fund$165,000
4. Atlanta Capital Management fund$75,000
Pooled Cash 1,100,000$
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Item: 13-a Date: 2/17/21
PERIOD ENDING: DECEMBER 31, 2020
Investment Performance Review for
Pasadena Fire & Police Retirement System
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Item: 13-b Date: 2/17/21
VERUSINVESTMENTS.COM
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Table of Contents
Investment Landscape TAB I
Investment Performance Review
TAB II
1ST QUARTER 2021Investment Landscape
Recent Verus research
1st Quarter 2021Investment Landscape 2
IS PAINLESS DIVERSIFICATION DEAD?Interest rates have collapsed in developed economies in past years, and more recently at home in the United States, which has greatly dampened investors’ performance outlook for diversified portfolios. These events have led many investors to question the traditional role of fixed income. In this Topic of Interest white paper, we outline some issues that investors must come to terms with, and we begin to unpick ways of thinking about diversification and preservation of capital in the new market environment.
QUANTIFYING ESG IN PORTFOLIO CONSTRUCTIONEnvironmental, social, and governance (ESG) investing is a wide‐ranging field that encompasses many different approaches. Investors are integrating ESG into the creation of their policies, investment beliefs, strategic asset allocations, manager selection decisions, and much more. ESG ratings and scores allow investors to understand and compare the ESG profile of companies and managers. ESG screens can serve as an effective tool for investors to identify exposures that may conflict with their institutional values.
AGREEING ON ESGThis paper sheds light on the difficulty institutional investors face as they embark on their journey toward implementing a thoughtful ESG policy that fits their specific organization and is designed to help them cut through the clutter by providing a detailed, practical “soup‐to‐nuts” methodology to determine the best policy for their organization.
INTEGRATING ESG INTO ACTIVE PORTFOLIOS In this paper, we address how environmental, social, and governance (ESG) considerations are integrated into our manager research process. We address Verus’ approach to ESG issues when advising clients and link that to what ESG due diligence looks like in researching investment managers. Next, we consider the spectrum of ESG integration as defined by the primary objective of the product. Finally, we address the challenges that ESG considerations pose for hedge fund managers and private equity general partners.
Annual research
Learn about the 2020 market movements and how these shifts have affected our long‐term outlook.
2021 CAPITAL MARKET ASSUMPTIONS
Up and coming event
For the third consecutive year, Verus is inviting qualified managers to participate in one‐on‐one meetings with its senior staff during its 3rd Emerging and Diverse Manager Diligence Days. ― March 16‐18― March 22― March 24― March 26
EMERGING & DIVERSE MANAGERSDILIGENCE DAYS
Sound thinking
An outline of various topics that an investor might want to add to their agenda for the coming year.
FINDING COMFORT IN AN UNCOMFORTABLE WORLD
Table of contentsVERUSINVESTMENTS.COM
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3
Economic environment 6
Fixed income rates & credit 21
Equity 26
Other assets 36
Appendix 38
4th quarter summaryTHE ECONOMIC CLIMATE
— Real GDP grew at a ‐2.8% rate year‐over‐year in the third quarter (+33.4% quarterly annualized rate) as the U.S. economy recovered much of the economic activity lost in the second quarter. p. 11
— Joe Biden was elected President of the United States. The market seemed to interpret a Biden win as a mild positive for risk assets, on the expectation of larger economic stimulus. Democrats also took both seats in the Georgia run‐off election, completing the party’s “Blue Wave”. p. 7
— Several new, more‐infectious strains of COVID‐19 emerged and spread around the world, though experts remain confident in the efficacy of the currently‐approved arsenal of vaccines. p. 7
PORTFOLIO IMPACTS
— Emerging market equities (+19.7%) outperformed U.S. (+12.1%) and international developed equities (+16.0%) once again in Q4. Latin American equities showed significant outperformance (+34.8%), after years of lagging behind other emerging markets. p. 32
— The U.S. 10‐year TIPS breakeven inflation rate headed notably higher over the quarter, from 1.6% in September to 2.0% in December. Although U.S. inflation is lower than pre‐pandemic levels, market pricing for inflation is the highest since 2018. p. 12
1st Quarter 2021Investment Landscape
THE INVESTMENT CLIMATE
— Congress passed an omnibus spending bill, including $900 billion earmarked for COVID‐19 relief. Key features of the package included a re‐up of the Paycheck Protection Program, $600 stimulus checks for most individuals, and $300 per week in additional unemployment benefits over a 10‐week period. p. 11
— According to FactSet, S&P 500 Q4 earnings are expected to be down ‐8.8%. This estimate improved from the ‐12.7% drop expected on September 30th. For full year 2020, analysts are expecting a ‐13.3% earnings decline. p. 26
ASSET ALLOCATION ISSUES
—U.S. equities delivered +12.1% during the quarter, ending the year at an all‐time‐high. The S&P 500 was one of the strongest equity markets in 2020, up +18.4% despite an earnings recession and considerable uncertainty. p. 28
—Weakness in the U.S. dollar remained a theme in Q4, and the Bloomberg Dollar Spot Index fell to a two and a half year low. Analysts attributed some of the weakness in the US dollar to lower relative real yields in the U.S. p. 37
—Within the U.S. market, a sizable rotation occurred in Q4 as certain sectors that had been beaten‐down during the pandemic performed strongly. Rising energy prices boosted the Energy sector, while higher interest rates improved the outlook for Financials. p. 28
4
A more neutral risk positioning may be warranted in the current environment
There seems to be a high degree of uncertainty regarding the future market path
What drove the market in Q4?
1st Quarter 2021Investment Landscape
S&P 500 INDEX
MOST RECENT FISCAL STIMULUS PACKAGE ALLOCATIONS (BILLIONS)
5
Source: Standard & Poor’s, Bloomberg, as of 12/31/20
Source: Bloomberg, as of 1/13/21, or most recent release
Source: U.S. House of Representatives, as of 12/21/20
GLOBAL VACCINATION CAMPAIGN
“Congress agrees to $900 billion Covid stimulus deal after months of failed negotiations”U.S. TOTAL PUBLIC DEBT OUTSTANDING (TRILLIONS)
Jul Aug Sep Oct Nov Dec$26.5 $26.7 $26.9 $27.1 $27.4 $27.7
Article Source: CNBC, December 20th, 2020
“Powell says stock prices are not necessarily high considering the low level of interest rates”TEN‐YEAR U.S. REAL YIELD (NOMINAL YIELD MINUS BREAKEVEN INFLATION)
Jul Aug Sep Oct Nov Dec‐1.03% ‐1.10% ‐0.95% ‐0.83% ‐0.95% ‐1.07%
Article Source: CNBC, December 16th, 2020
“Dollar’s Slump Propels Global Peers Toward Multi‐Year Peaks”
BLOOMBERG DOLLAR SPOT INDEX
Jul Aug Sep Oct Nov Dec1179 1161 1177 1172 1145 1120
Article Source: Bloomberg, November 29th, 2020
“The Mass Distribution of Covid‐19 Vaccines Is Under Way. ‘Everything Has to Come Together.’”COVID‐19 U.S. HOSPITALIZATION RATE
U.S. economics summary— Real GDP grew at a ‐2.8% rate year‐
over‐year in the third quarter (+33.4% quarterly annualized rate) as the U.S. economy recovered much of the economic activity lost in the second quarter.
— The Atlanta Fed’s forecast for fourth quarter growth was 7.4% quarter‐over‐quarter, as of January 15th, suggesting further economy expansion.
— Joe Biden was elected President of the United States in November. Jon Ossoff and Raphael Warnock both won in the Georgia Senate runoff elections in January, which ensured democratic control of both the White House and the Senate with V.P.‐elect Kamala Harris as the swing vote. The wins completed the democratic “Blue Wave” many have associated with extensive fiscal support. Slim democratic majorities in both chambers of Congress, however, may constrain Biden’s policy scope.
— After impressive employment gains in Q3, the recovery appeared to be stalling in recent months. Unemployment fell from 7.8% in September to 6.7% in December.
— Consumer sentiment remained stubbornly low, despite broad recoveries in consumer spending, auto sales, and the housing market.
— Home sales activity continued to grow at an extremely fast pace in the fourth quarter, as record‐low interest rates and the work‐from‐home environment fueled demand. Existing home sales were 25.8% higher than one‐year prior.
— Several new, more‐infectious strains of COVID‐19 emerged and spread around the world, though experts remain confident in the efficacy of the currently‐approved arsenal of vaccines. The global vaccination campaign began in December, and 44 million doses have been distributed so far.
1st Quarter 2021Investment Landscape 7
Most Recent 12 Months Prior
GDP (YoY) (2.8%)9/30/20
2.1%9/30/19
Inflation(CPI YoY, Core)
1.6%12/31/20
2.3%12/31/19
Expected Inflation (5yr‐5yr forward)
2.0%12/31/20
1.8%12/31/19
Fed Funds Target Range
0% – 0.25%12/31/20
1.50% – 1.75%12/31/19
10‐Year Rate 0.9%12/31/20
1.9%12/31/19
U‐3 Unemployment 6.7%12/31/20
3.5%12/31/19
U‐6 Unemployment 11.7%12/31/20
6.7%12/31/19
COVID-19 update
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 1/14/21 Source: Duke Global Health Innovation Center, as of 1/8/21; possible population coverage includes confirmed and potential doses committed to – it is possible not all vaccines will be approved.
8
SEVEN‐DAY AVERAGE DAILY DEATHS PER 100,000 IN POPULATION VACCINE COVERAGE BY COUNTRY
SEVEN‐DAY AVERAGE DAILY CASE GROWTH – EUROPE AND THE U.K. COVID‐19 INPATIENTS BY U.S. STATE (%)
THE GAP BETWEEN DISTRIBUTED AND ADMINISTERED VACCINE DOSES
Administration issues in the U.S.
1st Quarter 2021Investment Landscape
As of January 15th, roughly 13 million doses had been administered nationwide, accounting for roughly 42% of all doses distributed
President Biden is aiming to achieve 100 million vaccine dose administrations in his first 100 days in office
Source: Bloomberg, as of 1/15/21
10
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
‐
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
North Dakota
West V
irginia
South Da
kota
Distric
t of C
olum
bia
Conn
ectic
utTe
xas
Louisia
naUtah
New
Mexico
Michigan
Kentucky
Maine
Colorado
Mon
tana
New
Ham
pshire
Wisc
onsin
Indian
aNew
Jersey
Oklah
oma
Rhod
e Island
Verm
ont
Iowa
Tenn
essee
Florida
Neb
raska
Illinois
New
York
Orego
nPe
nnsylvan
iaWyo
ming
South Ca
rolin
aMiss
issippi
Arizon
aDe
laware
Ohio
Arkansas
Nevad
aKa
nsas
Massachusetts
Minne
sota
Marylan
dAlaska
Miss
ouri
Washing
ton
North Carolina
Geo
rgia
Idah
oVirginia
Hawaii
California
Alab
ama
Prop
ortio
n of distrib
uted
doses adm
inistered
Doses
Distributed but not administered [L] Administered [L] Percentage of shots used [R]
GDP growthReal GDP grew at a ‐2.8% rate year‐over‐year in the third quarter (+33.4% quarterly annualized rate) as the U.S. economy recovered much of the economic activity lost during the depths of the pandemic. Personal consumption expenditures expanded at a quarterly annualized pace of ‐25.4%. Growth was broad‐based, and included strong private investment, exports, and inventory builds.
Not only was this bounce‐back a product of pent‐up demand released by the economic reopening, it was also the result of a coordinated and historic stimulus effort by the U.S.
government. After the Federal Reserve took interest rates to zero and flooded the markets with liquidity, Congress passed an omnibus spending bill, including $900 billion earmarked for COVID‐19 relief. Key features of the package included a re‐up of the Paycheck Protection Program, $600 stimulus checks for most individuals, and $300 per week in additional unemployment benefits over a 10‐week period.
The Atlanta Fed’s forecast for Q4 growth was 7.4% on a quarter‐over‐quarter annualized basis (‐1.7% year‐over‐year) as of January 15th, suggesting further economic recovery.
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 9/30/20 Source: BEA, annualized quarterly rate, as of 9/30/20
Consumption Investment Government Exports Imports Inventories
U.S. REAL GDP GROWTH (YOY) U.S. GDP GROWTH ATTRIBUTION
Headline inflation stayed relatively stable during Q4, at 1.4% year‐over‐year in December. Energy prices have acted as a drag on inflation, with gasoline (‐15.2%) and fuel oil (‐20.0%) showing the largest moves. Food (+3.9%), as well as used cars & trucks (+10.0%), had a lifting effect on inflation during the year. Inflation excluding volatile food and energy prices increased 1.6%.
The U.S. 10‐year TIPS breakeven inflation rate headed notably higher over the quarter, from 1.6% in September to
2.0% in December. Although U.S. inflation is lower than pre‐pandemic levels, market pricing for inflation is the highest since 2018.
Consumer inflation expectations, as indicated by the University of Michigan survey, proved volatile throughout the year. After starting 2020 at an expected 2.3% rate of inflation, expectations fell to 2.1% in April before spiking to 3.2% in May. Expectations fell in the fourth quarter and settled at 2.5% in December.
U.S. CPI (YOY) CONSUMER INFLATION EXPECTATIONS BREAKEVEN INFLATION RATES
Inflation
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 12/31/20 Source: University of Michigan, as of 12/31/20 Source: Bloomberg, as of 12/31/20
U.S. UNEMPLOYMENT LABOR PARTICIPATION RATE UNEMPLOYMENT DECOMPOSITION BY DURATION
Labor marketAfter impressive employment gains in Q3, the recovery appeared to be stalling in recent months. Unemployment fell from 7.8% in September to 6.7% in December—a small improvement compared to previous months. Additionally, while the current unemployment rate does not seem exceptionally weak from a historical perspective, this metric masks the fact that the U.S. labor force participation rate also fell during COVID‐19. In simpler terms, since the pandemic, roughly 3% of workers are now unemployed and seeking work, and an additional 2% of workers are now unemployed and not seeking work.
During an economic recession, it is important to understand the portion of newly unemployed workers who seek to quickly rejoin the workforce (cyclical unemployment), relative to the portion of workers who lose their jobs and end up more permanently out of work due to lack of opportunities or discouragement (structural unemployment). As shown in the chart below, a growing share of unemployed workers have remained out of work since the onset of the economic recession.
1st Quarter 2021Investment Landscape
The U.S. employment recovery appears to be stalling
Source: FRED, as of 12/31/20 Source: FRED, as of 12/31/20 Source: BLS, as of 12/31/20
13
0%
4%
8%
12%
16%
20%
24%
28%
Jun‐05 May‐08 Apr‐11 Mar‐14 Feb‐17 Jan‐20
U3 U6
‐1%
1%
3%
5%
7%
9%
11%
13%
15%
Dec‐19 Mar‐20 Jun‐20 Sep‐20 Dec‐20
Less than 5 weeks 5‐14 weeks 15‐26 weeks 27 weeks and over
60
62
64
Dec‐19 Jun‐20 Dec‐20
U-3 unemployment rates relative to peaks
1st Quarter 2021Investment Landscape
The Covid-19 recession features a historically-abrupt loss and subsequent rebound in broad unemployment
While employment in many sectors bounced back in Q4, jobs in the leisure and hospitality sector dipped as the impact of state lockdowns began to show up in the payrolls data
Despite the broad gains in the 4th quarter, nonfarm payrolls shrunk in every sector over the full calendar year
Source: BLS, as of 12/31/20 – or most recent release
Education and health servicesManufacturingConstructionRetail trade
Transportation and warehousingProfessional and business services
U.S. retail sales have shown a surprising recovery after falling ‐20% year‐over‐year in April. Retail sales, after adjusting for inflation, increased 1.6% in December. Spending patterns have shown resiliency despite the economic slowdown. Automobile and home sale activity, for example, has recovered to previous levels.
However, recent spending patterns have been vastly affected by unprecedented government stimulus. Because this expansion was far from a “natural” recovery, it will be worth watching how consumption trends change as the various economic stimulus programs end. This effect may already be apparent as retail sales growth slowed from 4.6% in September to 1.6% in December.
According to anonymized cellular phone data collected by Google for COVID‐19 public health research, Americans began returning to their daily routines through late spring and summer, as activity began moving back to normalcy. However, these improvements plateaued across certain types of activities such as workplace travel, retail & recreation, and transit station usage, and this activity has slowed down once again. Continued weak activity, or even a further slowdown due to renewed government restrictions, could cast doubt on the U.S. economic recovery.
REAL RETAIL SALES GROWTH (YOY) AUTO SALES GOOGLE U.S. ACTIVITY TRACKER
The consumer
1st Quarter 2021Investment Landscape
Source: FRED, as of 12/31/20 Source: Federal Reserve, as of 11/30/20 Source: Google anonymized U.S. citizen mobility, as of 12/31/20
Consumer sentiment remained stubbornly low during the fourth quarter, despite broad recoveries in consumer spending, auto sales, and the housing market.
The Bloomberg Consumer Comfort Index attempts to gauge Americans’ views on the economy, their personal financial situation, and buying conditions. The index fell from 49.3 to 44.6 during the quarter. The University of Michigan Consumer Sentiment Survey attempts to gauge attitudes about the business climate, personal finances, and spending conditions. The index was flat at 80.7 in Q4—down from a
cycle high of 101.0 in February.
The NFIB Small Business Optimism Index exhibited a sharp decline to 95.9 in Q4, bringing the index back towards pandemic lows. The survey suggested that most business owners expect deteriorating conditions over the next six months. The survey also showed that concerns exist regarding government‐mandated business closures due to COVID‐19, and that the new U.S. administration may be less friendly toward the business community.
CONSUMER COMFORT CONSUMER SENTIMENT SMALL BUSINESS OPTIMISM
Sentiment
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 12/31/20 Source: University of Michigan, as of 12/31/20 Source: NFIB, as of 12/31/20
U.S. HOME SALES (YOY) 30‐YEAR FIXED MORTGAGE RATE (AVERAGE) HOUSING AFFORDABILITY INDEX
Housing Home sales activity continued to grow at an extremely fast pace in the fourth quarter, as record‐low interest rates and the work‐from‐home environment fueled demand. It remains to be seen the degree to which business work‐from‐home policies become permanent, post‐pandemic. The direction of these trends may have a far‐reaching impact on home sales as workers seek more space for home offices, and perhaps also feel greater freedom to move outside of major urban areas. Existing home sales were 25.8% higher than one‐year prior, an overall rate of growth not experienced in over a decade.
Despite a gradual bounce‐back of U.S. Treasury interest rates,
the 30‐year U.S. Fixed Mortgage Rate has continued to move lower. The direction of mortgage rates from here will likely have a material impact on home prices.
It is important to note that the overall cost of owning a home is a combination of home prices and borrowing rates (among many other variables, of course). While the price of a new home in the U.S. is, on average, higher than ever before, record‐low interest rates have compensated for higher prices. As suggested by the Housing Affordability Index, the overall cost of owning a home today is below‐average, historically speaking.
1st Quarter 2021Investment Landscape
Source: FRED, as of 11/30/20 Source: FRED, as of 12/31/20 Source: National Association of Realtors, as of 9/30/20
18
(50) (40) (30) (20) (10)
‐ 10 20 30 40 50
1999 2004 2009 2014 2019
Growth (%
)
US New One Family Houses SoldUS Existing Homes Sales YoY SA
3.0
4.0
Jul‐19 Dec‐19 May‐20
70
90
110
130
150
170
190
210
230
Sep‐90 Sep‐95 Sep‐00 Sep‐05 Sep‐10 Oct‐15 Sep‐20
Housing Affordability Composite Index
0
5
10
15
20
1980 1990 2000 2010 2020
30yr Fixed
Mortgage Ra
te
2
3
4
May‐19 May‐20
2.67%
More affordable
Less affordable
International economics summary— Economic growth in Q3, although
negative on a year‐over‐year basis, painted an optimistic picture of the recovery. Consumers and businesses around the world have attempted to continue on, despite recent lockdowns, restrictions, and safety concerns. GDP growth figures have improved markedly from the depths of Q2. Most economies have recovered more than half of lost activity experienced during the prior quarter.
— European Union leaders agreed on a historic €1.8 trillion budget‐and‐recovery plan for 2021‐2027, paving the way for a €750‐billion pandemic relief package which will be financed by joint debt issuance.
— U.K. and E.U. officials reached an official trade deal at the 11th hour before the December 31st, 2020 conclusion of the transition period following Britain’s official cutting of ties with the E.U. last January. The
agreement marked the beginning of a new chapter in the history of British relations with Europe.
— Governments have taken different approaches to supporting workers, and while many approaches have had similar economic effects, they have often had drastically different impacts on official unemployment figures. We believe official unemployment figures are of limited value in this environment—more in‐depth analysis is likely required.
— The pandemic placed downward pressure on inflation. Since then, inflation levels have generally remained muted in developed markets while recovering moderately in emerging economies. China appears to be an outlier, as inflation has recently dipped below zero. This move was fueled by falling pork prices, which had been moving higher in recent years and pushing up inflation.
1st Quarter 2021Investment Landscape 19
AreaGDP
(Real, YoY)Inflation (CPI, YoY) Unemployment
United States (2.8%)9/30/20
1.4%12/31/20
6.7%12/31/20
Eurozone (4.3%)9/30/20
(0.3%)12/31/20
8.3%11/30/20
Japan (5.7%)9/30/20
(1.3%)12/31/20
2.8%11/30/20
BRICS Nations
1.9%9/30/20
1.5%12/31/20
5.1%12/31/20
Brazil (3.9%)9/30/20
4.5%12/31/20
14.3%10/31/20
Russia (3.4%)9/30/20
4.9%12/31/20
6.1%11/30/20
India (7.5%)9/30/20
4.6%12/31/20
9.1%12/31/20
China 2.3%12/31/20
0.2%12/31/20
4.2%12/31/20
NOTE: India lacks reliable government unemployment data. Unemployment rate shown above is estimated from the Centre for Monitoring Indian Economy
‐18%‐15%‐12%‐9%‐6%‐3%0%3%6%9%
12%
Sep‐03 Sep‐06 Sep‐09 Sep‐12 Sep‐15 Sep‐18
U.S. Japan Eurozone BRICS
‐3%
0%
3%
6%
9%
Nov‐05 Nov‐08 Nov‐11 Nov‐14 Nov‐17 Nov‐20U.S. Japan ChinaU.K. Eurozone
REAL GDP GROWTH (YOY) INFLATION (CPI YOY) UNEMPLOYMENT
International economicsEconomic growth in Q3, although negative on a year‐over‐year basis, painted an optimistic picture of the recovery. Consumers and businesses around the world have attempted to continue on, despite recent lockdowns, restrictions, and safety concerns. GDP growth figures have improved markedly from the depths of Q2. Most economies have recovered more than half of lost activity seen during the prior quarter. The direction of recovery was similar across the emerging markets, and these economies have maintained their growth “premium” over developed markets throughout the crisis.
Unemployment in the Eurozone has fallen slightly to 8.3%
from a high of 8.7% in July. Governments around the world have taken different approaches to supporting workers. One approach, as taken by the U.S., was to provide greater financial support to workers who had lost their jobs. Another approach, such as that taken by the UK, was for government to effectively pay workers’ wages to keep them on payroll. These approaches, which may be very similar in overall economic effect, can appear drastically different in the official rate of unemployment statistics (shown below). In short, official unemployment figures may be of limited value in this environment—more in‐depth analysis is required.
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 9/30/20 Source: Bloomberg, as of 12/31/20 – or most recent release Source: Bloomberg, as of 12/31/20 – or most recent release
Interest rate environment— Longer‐dated U.S. Treasury yields
moved upward in the fourth quarter, with the U.S. 10‐year rising above 1.0% to begin 2021. Higher interest rates may place pressure on equity valuations if this trend continues. The yield of shorter‐dated bonds and cash has not moved and is expected to stay near zero.
— Ten‐year breakeven inflation rates rallied from 1.6% to 2.0% in Q4, likely propelled higher by expectations that Biden’s fiscal approach paired with vaccine rollouts will result in higher longer‐term growth and inflation. The rise in priced inflation outpaced the rise in nominal Treasury yields, leading the 10‐year U.S. real yield to decline from ‐0.95% to ‐1.07%, near record lows.
— Officials at the Federal Reserve remained committed to a $120 billion monthly pace of bond purchases until there is “substantial progress” toward employment and
inflation objectives. Fed Chair Powell left the door open to adjusting the pace of those purchases as necessary, and stated that the Fed would “let the world know…well in advance of active consideration of beginning a gradual taper of asset purchases.”
— The European Central Bank expanded the size of its Pandemic Emergency Purchase Program (PEPP) by €500 billion, bringing the new total to €1.85 trillion. The ECB also extended the horizon for purchases under PEPP to March 2022, and the timeline for reinvestment of maturing PEPP assets to the end of 2023.
— Joe Biden nominated Janet Yellen, Jerome Powell’s predecessor, as U.S. Treasury Secretary. Throughout the pandemic, central bankers have been calling for further coordination of fiscal and monetary action, and Yellen’s nomination could represent the next step down that path.
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 12/31/20
22
Area Short Term (3M) 10‐Year
United States 0.06% 0.91%
Germany (0.83%) (0.57%)
France (0.77%) (0.34%)
Spain (0.83%) 0.04%
Italy (0.65%) 0.54%
Greece (0.38%) 0.62%
U.K. (0.06%) 0.20%
Japan (0.12%) 0.02%
Australia 0.02% 0.97%
China 2.28% 3.14%
Brazil 2.00% 6.91%
Russia 3.54% 6.01%
Yield environment
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 12/31/20
23
YIELD CURVE CHANGES OVER LAST FIVE YEARS IMPLIED CHANGES OVER NEXT YEAR
U.S. YIELD CURVE GLOBAL GOVERNMENT YIELD CURVES
‐1%
0%
1%
2%
3%
4%
5%
1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 20y 30YUS Treasury Curve 12/31/20 US Treasury Curve 12/31/19 US Treasury Curve 12/31/18US Treasury Curve 12/31/17 US Treasury Curve 12/31/10
‐1%
0%
1%
2%
1M3M6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30YUnited States Curve 12/31/2020 Japan Curve 12/31/2020Canada Curve 12/31/2020 Germany Curve 12/31/2020UK Curve 12/31/2020 France Curve 12/31/2020Italy Curve 12/31/2020 Australia Curve 12/31/2020
‐3%
‐2%
‐1%
0%
1%
1M3M6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30YUS Treasury Japan Treasury Canada TreasuryGermany Treasury UK Treasury France TreasuryItaly Treasury Australia Treasury
‐0.2%
‐0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
1M 3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30Y
Yield Ch
ange
US Treasury UK Treasury Japan TreasuryGermany Treasury Canada Treasury France TreasuryItaly Treasury Australia Treasury
0%
5%
10%
15%
20%
25%
Dec‐01 Dec‐05 Dec‐09 Dec‐13 Dec‐17
Barclays Long US Corp. Barclays US Agg.Barclays US HY Bloomberg US HY EnergyIG Energy
200
500
800
1100
1400
1700
2000
2300
Dec‐14 May‐16 Sep‐17 Feb‐19 Jun‐20Bloomberg US HY Energy USD HY ConsDisc. OASUSD HY Financials Snr OAS USD HY Comm. OASUSD HY Comm. OAS USD HY Materials OASUSD HY Technology OAS USD HY Industrial OASUSD HY HealthCare OAS USD HY ConsStaple OAS
Market
Credit Spread (OAS)
12/31/20 12/31/19
Long U.S. Corp 1.4% 1.4%
U.S. Inv Grade Corp 1.0% 0.9%
U.S. High Yield 3.6% 3.7%
U.S. Bank Loans* 4.6% 4.4%
SPREADS HIGH YIELD SECTOR SPREADS (BPS)
Credit environmentAfter four quarters of exceptional volatility, credit market spreads ended 2020 roughly in line with where they started. Both investment grade and below investment grade assets experienced positive performance, driven in part by increased investor demand for yield but mainly by the unprecedented Fed action in March which led rates to all‐time lows. For the calendar year, investment grade credit returned 9.4%, outperforming high yield (+7.1%), and banks loans (+2.8%). The effects of COVID market disruptions created wide dispersion among sectors as metals/mining, freight, and food/drug retail outperformed while energy and domestic telecom underperformed.
In the fourth quarter, high yield bonds returned 6.5%, outperforming bank loans (+3.6%) and investment grade credit (+2.8%). Positive vaccine news and conclusion of the presidential election led to strong risk‐on sentiment during the quarter, driving longer duration and lower quality bonds to outperform within U.S. credit. In addition, credit spreads continued to tighten, with high yield spreads tightening 157 bps to 360 bps and investment grade spreads falling 40 bps to finish the year at 92 bps.
1st Quarter 2021Investment Landscape
Source: Barclays, Bloomberg, as of 12/31/20 Source: Bloomberg, as of 12/31/20 Source: Barclays, Credit Suisse, Bloomberg, as of 12/31/20*Discount margin (4‐year life)
24
U.S. HY 3.6%
U.S. HY Energy 5.6%
U.S. Agg 1.3%
0%
5%
10%
15%
20%
25%
Jan‐06 Jan‐09 Jan‐12 Jan‐15 Jan‐18
Default (%)
U.S. High Yield U.S. High Yield ex‐Energy
HY DEFAULT RATE (ROLLING 1‐YEAR) U.S. HY SECTOR DEFAULTS (LAST 12 MONTHS) U.S. ISSUANCE ($ BILLIONS)
Default & issuance
1st Quarter 2021Investment Landscape
Source: BofA Merrill Lynch, as of 12/31/20 Source: BofA Merrill Lynch, as of 12/31/20 – par weighted Source: BofA Merrill Lynch, as of 12/31/20
25
A total of 88 companies defaulted in 2020, representing $130 billion. This activity was led by the energy, telecom, and retail sectors. The $130 billion in defaults in 2020 ranked second only to the $185 billion experienced in 2009.
The par weighted U.S. high yield default rate increased 0.4% during the quarter to 6.2%—well above the long‐term average of 3.0‐3.5%. If the energy sector is excluded (which showed an annual default rate of 20.5%), the high yield default rate came in at a more modest 4.5%. During the fourth quarter, the leveraged loan default rate came in at 4.0%—moderately above the long‐term average of 3.0%.
High yield bond issuance fell from the record levels posted in Q2 and Q3 but remained elevated in Q4. Total issuance for 2020 was the highest on record at $511 billion, outpacing 2013’s historical peak of $378 billion.
Investment grade issuance for 2020 totaled $1.8 trillion, which was 40% higher than the prior record achieved in 2017. The fourth quarter was the slowest of the year with $215 billion in new issues—a level that was in line with the four‐year average
0% 5% 10% 15% 20% 25%
CableGaming
Packaging/PaperUtilitiesServices
ChemicalsTechnology
Food ProducersCapital Goods
FinancialsReal EstateHealthcare
MediaTravelMetals
TransportationAutosRetail
TelecomsEnergy
0
100
200
300
400
500
600
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
$ Billion
U.S. Bank Loan Issuance U.S. HY Issuance
Equity
1st Quarter 2021Investment Landscape 26
Equity environmentQTD TOTAL RETURN 1 YEAR TOTAL RETURN
(unhedged) (hedged) (unhedged) (hedged)
US Large Cap (S&P 500)
12.1% 18.4%
US Small Cap (Russell 2000)
31.4% 20.0%
US Large Value(Russell 1000 Value)
16.3% 2.8%
US Large Growth(Russell 1000 Growth)
11.4% 38.5%
International Large(MSCI EAFE)
16.0% 11.9% 7.8% 2.5%
Eurozone (Euro Stoxx 50)
16.2% 12.2% 5.5% (1.2%)
U.K. (FTSE 100)
17.2% 11.4% (8.9%) (10.2%)
Japan (NIKKEI 225)
21.1% 18.8% 24.2% 19.4%
Emerging Markets(MSCI Emerging Markets)
19.7% 16.0% 18.3% 19.6%
1st Quarter 2021Investment Landscape
Source: Russell Investments, MSCI, STOXX, FTSE, Nikkei, as of 12/31/20
—U.S. equities delivered +12.1% during the quarter, ending the year at an all‐time‐high. The S&P 500 was one of the strongest equity markets in 2020, up +18.4% despite an earnings recession and considerable economic uncertainty.
— Emerging market equities (MSCI EM +19.7%) once again outperformed U.S. (S&P 500 +12.1%) and international developed equities (MSCI EAFE +16.0%) in Q4. Latin American equities showed significant outperformance during the quarter (MSCI Latin America +34.8%), after years of lagging behind other emerging markets.
— According to FactSet, S&P 500 Q4 earnings are expected to be down ‐8.8%. This estimate improved materially from the ‐12.7% drop expected on September 30th. Analysts are expecting a ‐13.3% earnings decline for full‐year 2020.
— The Cboe VIX Index remained rangebound in the fourth quarter, ending the year at 22.8. Priced volatility is moderately elevated relative to the longer‐term average of 19.
—Weakness in the U.S. dollar relative to both emerging market and developed market currencies remained a theme during the fourth quarter, as the Bloomberg Dollar Spot Index fell to a two and a half year low. Analysts attributed some of the weakness in the greenback to lower relative real yields in the United States, as nominal Treasury yields picked up.
—Within the index, a sizable rotation occurred in Q4 as certain sectors that had been beaten‐down during the pandemic performed strongly. Rising energy prices boosted the Energy sector, while higher interest rates on the longer end of the yield curve improved the outlook for Financials.
27
S&P 500 INDEX DIVIDEND YIELD VS BOND YIELD Q4 SECTOR PERFORMANCE
Domestic equityU.S. equities delivered +12.1% during the quarter, ending the year at an all‐time‐high. The S&P 500 was one of the strongest equity markets in 2020, up +18.4% despite an earnings recession and considerable economic uncertainty.
Within the index, a sizable rotation occurred in Q4 as certain sectors that had been beaten‐down during the pandemic performed strongly. Rising energy prices boosted the Energy sector, while higher interest rates improved the outlook for Financials. It remains to be seen whether certain consumer habits displayed during the pandemic (online shopping and heightened social media usage, for example) begin reverting to previous levels as the world moves back to normalcy or if
instead, these new habits become more permanent in nature. The answer to this question has important implications for future intra‐sector performance.
As equities move higher, it is difficult not to notice a disconnect between the US. market and the economy. We believe this rally is the result of a confluence of forces. Ultra‐low interest rates, extremely accommodative monetary and fiscal policy, plus the implicit guarantee that further economic weakness will be met with more support and stimulus, seems to be creating a new type of “Goldilocks market” that harkens back to the post‐Global Financial Crisis market expansion.
1st Quarter 2021Investment Landscape
Source: Standard & Poor’s, as of 12/31/20 Source: Standard & Poor’s, as of 12/31/20 Source: Standard & Poor’s, as of 12/31/20
28
0
2
4
2017 2018 2019
0
2
4
6
8
10
12
14
16
18
1984 1989 1994 1999 2004 2009 2014 2019
US 10 Yr Yield S&P 500 Dividend Yield
4.9%
6.4%
6.5%8.0%
8.0%
11.8%
12.1%
13.8%
14.5%
15.7%
23.2%
27.8%
0% 5% 10% 15% 20% 25% 30% 35%
Real Estate
Consumer Staples
Utilities
Health Care
Consumer Discretionary
Information Technology
S&P 500
Telecom
Materials
Industrials
Financials
Energy
2,200
2,400
2,600
2,800
3,000
3,200
3,400
3,600
3,800
Dec‐17 Dec‐18 Dec‐19 Dec‐20
‐20
‐15
‐10
‐5
0
5
10
15
20
Jan‐10 Jan‐12 Jan‐14 Jan‐16 Jan‐18
Return Differen
ce (%
)
R3000 Value minus R3000 Growth
SMALL CAP VS LARGE CAP (YOY) VALUE VS GROWTH (YOY) Q4 SECTOR PERFORMANCE
Domestic equity size & styleU.S. value stocks beat growth stocks during the fourth quarter (Russell 1000 Value +16.3%, Russell 1000 Growth +11.4%), reversing an extended run of value underperformance. The moderate bounce in value stock performance appeared to be partly driven by sector movements. Energy, Financials, and Materials sectors tend to contain an outsized number of value stocks. These sectors were among the top performers in Q4. Small cap stocks delivered sizable outperformance over large cap stocks (Russell 2000 +31.4%, Russell 1000 +13.7%).
A variety of risks seem to be boiling up around large U.S. technology companies. Given the significant market role that
these businesses play, along with their growth rather than value characteristics, this regulatory risk could have implications for 2021. First, it is easy to argue that firms such as Google, Amazon, and Facebook have exercised some degree of monopoly power (the FTC recently sued Facebook for alleged illegal monopolistic conduct, and numerous other investigations abound). Further anti‐trust actions are likely to come. Second, in recent years there has been a degree of bipartisan consensus that social media companies are doing a poor job of moderating content (though each political party has very different ideas as to the appropriate solution). These risks, which rest perhaps solely on the shoulders of “growth stocks”, will be worth watching in 2021.
1st Quarter 2021Investment Landscape
Sector performance has fueled dramatic negative performance of the value premium
Source: FTSE, as of 12/31/20 Source: FTSE, as of 12/31/20 Source: Standard & Poor’s, as of 12/31/20
Factor portfolios in 2020After a quiet October, factor results significantly diverged in November as investors strongly reacted to positive COVID‐19 vaccine news. Anticipating a path toward post‐pandemic normalcy, investors rotated into stocks with higher betas and higher volatility (long/short, sector‐neutral, S&P 500 Index quintiles). Small‐cap stocks also performed well while the value factor modestly gained ground, mostly due to strong results from stocks with attractive price‐to‐book ratios. Investors funded this rotation by selling large‐cap and high‐quality positions. Poor price momentum results were further evidence of the strength of the move.
Equity factors had a very difficult year in 2020 and subsequently trailed the equity market by a very wide margin. Quality factors provided some protection during the periods of market turmoil. However other market neutral risk premia strategies did not enjoy consistent recoveries, particularly as market preferences quickly reversed back and forth during the pandemic.
1st Quarter 2021Investment Landscape
Source: J.P. Morgan, as of 12/31/20; Equity Factor Composite represents the performance of a 10‐factor model designed as a simple proxy Source: J.P. Morgan, as of 12/31/20 for quant performance. The factors are combined so that the long and short portfolios contain the most‐ and least‐attractive quant stocks.
International equities delivered exceptional performance in the fourth quarter, as most global markets have now fully recovered from the March drawdown. The MSCI EAFE Index (+16.0%) outperformed the S&P 500 Index (+12.1%) while lagging the MSCI Emerging Markets Index (+19.7). Continuing U.S. dollar weakness was a notable theme, boosting international equity performance by 5% over the past year.
The recent depreciation of the U.S. dollar has acted as a tailwind to many unhedged international investments. The MSCI EAFE Index unhedged returned 16.0% in Q4, compared
to 11.9% if currency had been hedged. The three largest currency exposures embedded in the MSCI EAFE Index—the euro (32%), the yen (26%), and the pound sterling (13%)—appreciated +4.3%, +2.2%, and +5.7% relative to the U.S. dollar during the quarter, respectively.
European equities (+17.2%) outperformed Hong Kong (+15.5%) and Japanese (+15.3%) equities in Q4, supported by strong performance in Austria (+47.3%) and Spain (+27.7%). In Oceania, Australia posted solid returns (+22.9%), which were bolstered by a firmer Australian dollar.
EFFECT OF CURRENCY (1‐YEAR ROLLING)INTERNATIONAL DEVELOPED EQUITIES Q4 2020 PERFORMANCE (ALL IN USD)
International developed equity
1st Quarter 2021Investment Landscape
Source: MSCI, as of 12/31/20 Source: MSCI, as of 12/31/20 Source: MSCI, Bloomberg, as of 12/31/20
31
Tighter U.S. dollar liquidity
Dollar funding pressures easing
‐20%
‐15%
‐10%
‐5%
0%
5%
10%
15%
20%
25%
30%
Jun‐09 Jun‐11 Jun‐13 May‐15 May‐17 May‐19
MSCI EAFE MSCI ACWI ex USA MSCI EM
0%
10%
20%
30%
40%
50%
Austria
Spain
Australia
Italy
Portug
alFran
ceIsrael
Sing
apore
Norway
Nethe
rland
sBe
lgium
U.K.
Hon
g Ko
ngJapa
nSw
eden
Denm
ark
Cana
daNew
Zealand U.S.
Ireland
German
yFinlan
dSw
itzerland
EMERGING MARKET EQUITY INFLATION (YOY) MSCI EM INDEX EMBEDDED CURRENCY
Emerging market equityEmerging market equities (MSCI EM +19.7%) outperformed U.S. (S&P 500 +12.1%) and international developed equities (MSCI EAFE +16.0%) once again in Q4. Latin American equities showed significant outperformance during the quarter (MSCI Latin America +34.8%), after years of lagging behind other emerging markets.
The pandemic placed downward pressure on inflation earlier in 2020. Since then, the rate of price movement has recovered in many markets. China appears to be an outlier, as inflation recently dipped below zero. This move was fueled by falling pork prices, which had been moving higher
in recent years and causing above‐average levels of inflation.
Emerging market currencies sold off significantly during the beginning of the year as investors bid up safe‐haven currencies, including the U.S. dollar, amid unprecedented economic and market uncertainty. Since March, however, the embedded currency portfolio of the MSCI Emerging Markets Index began to recover significantly and ended the year nearly on par with where it had started. Continued appreciation of emerging market currencies could provide tailwinds for unhedged U.S. investors in the asset class.
1st Quarter 2021Investment Landscape
Source: MSCI, as of 12/31/20 Source: Bloomberg, as of 12/31/20 or most recent data Source: Bloomberg, as of 12/31/20
32
EM expected to accelerate while DM expected to slow
IMF Forecasts
‐30%
‐10%
10%
Sep‐18 Sep‐19
200
400
800
1600
Dec‐95 Dec‐00 Dec‐05 Dec‐10 Dec‐15 Dec‐20
Log Scale
MSCI Emerging Markets
‐2
2
6
10
14
18
2009 2010 2012 2013 2014 2016 2017 2019 2020
Infla
tion (%
)
Brazil CPI YoY China CPI Russia CPI YoY
Indexed 3/31/20 = 100
92
93
94
95
96
97
98
99
100
101
Dec‐19 Feb‐20 Apr‐20 Jun‐20 Aug‐20 Oct‐20 Dec‐20
Particularly during the last two months of the year, valuations shot higher alongside equity prices as markets digested news that several COVID‐19 vaccine candidates proved more effective than anticipated. Today, price‐to‐earnings multiples appear stretched relative to long‐term averages.
Markets have shown a remarkable ability to look past the pandemic‐related disruptions and focus on the light at the end of the tunnel. Some in the industry have viewed the exceptional performance of U.S. equities in 2020 as the “check” that fundamentals will need to “cash” next year, and that if sales and earnings do not recover at the strong pace
they are expected (+8.2%/+22.6%), there could be room for a correction.
On a trailing‐earnings basis, international developed equities appear most expensive as the second series of lockdowns which swept over the continent toward the end of the year have severely impacted earnings. The question in Europe, however, is largely the same one we are grappling with in the U.S.: are earnings temporarily depressed and ripe for a quick rebound next year, or are the earnings streams impaired and equity prices less justified?
Source: MSCI, 12m forward P/E, as of 12/31/20 Source: Bloomberg, as of 12/31/20 Source: Bloomberg, MSCI as of 12/31/20 ‐ trailing P/E
33
VALUATION METRICS (3‐MONTH AVERAGE)
*projected
4.0
28.624.1
1.6 3.51.7
41.1
9.8
2.5 2.41.9
22.8 21.8
2.14.4
05
1015202530354045
P/B P/E P/FCF DividendYield (%)
EarningsYield (%)
United States EAFE Emerging Markets
5
10
15
20
25
Dec‐05 Dec‐10 Dec‐15 Dec‐20
U.S. EAFE EM
$90 $100 $110 $120 $130 $140 $150 $160 $170 $180
Dec‐10 Dec‐12 Dec‐14 Dec‐16 Dec‐18 Dec‐20
S&P 500 Index
The Cboe VIX Index remained rangebound in the fourth quarter, ending the year at 22.8. Priced volatility is moderately elevated relative to the longer‐term average of 19.
The U.S. equity market exhibited surprisingly high volatility in 2020 relative to other global markets. The domestic market has typically been a lowest risk market. In recent years, this relationship has flipped, with U.S. stocks showing higher volatility than developed market stocks, and nearly on par with emerging market equities.
Since implied and realized volatility spiked in the first quarter, options‐implied volatility has receded significantly, back toward more normal levels. As equity markets climbed to new highs in the final few months of the year, the U.S. implied volatility curve began to steepen. During the fourth quarter, the implied volatility of deeply out‐of‐the‐money puts was little changed, while the implied volatility of deeply out‐of‐the‐money call options declined to more‐average levels. The steepening of the implied volatility curve likely demonstrates the market’s marginal preference for downside protection over upside participation at current price levels.
U.S. IMPLIED VOLATILITY (VIX) REALIZED VOLATILITY 1‐MONTH U.S. IMPLIED VOLATILITY CURVE
Equity volatility
1st Quarter 2021Investment Landscape
Source: Cboe, as of 12/31/20 Source: Standard & Poor’s, MSCI, as of 12/31/20 Source: Bloomberg, as of 12/31/20
S&P 500 Russell 2000 MSCI EAFE MSCI EAFE Small MSCI Emerging Markets MSCI ACWI
Long-term equity performance
1st Quarter 2021Investment Landscape
Source: Morningstar, as of 12/31/20
35
Other assets
1st Quarter 2021Investment Landscape 36
Weakness in the U.S. dollar relative to both emerging market and developed market currencies remained a theme in the fourth quarter, as the Bloomberg Dollar Spot Index fell to a two and a half year low. Analysts attributed some of the weakness of the greenback to lower relative real yields in the United States, as nominal Treasury yields rose less than inflation expectations. Many in the industry have made calls for a continuation of dollar weakness into 2021. If that weakness were to materialize, it would supply significant tailwinds for unhedged U.S. investors in non‐U.S. equities. We continue to believe that unhedged currency exposure results in uncompensated risk, which is a suboptimal approach for many investors.
The onshore Chinese renminbi rallied significantly over the fourth quarter. The strength has been primarily credited to the apparently‐blistering pace of China’s recovery from pandemic‐related disruptions, which has fueled capital inflows from offshore investors. Looking ahead, the election of Joe Biden has been viewed largely as constructive for the yuan, as the expectation remains that Biden’s stance on China will be less confrontational than his predecessor’s, reducing trade tensions. On the other hand, the rising value of the yuan may make China’s exports less‐affordable for Europeans still recovering from the pandemic. This dynamic has stoked speculation that the People’s Bank of China might soon step in to cool the rally.
BLOOMBERG DOLLAR SPOT INDEX USD CURRENCY LEVEL & SUBSEQUENT RETURN USD/CNY CROSS RATE
Currency
1st Quarter 2021Investment Landscape
Source: Bloomberg, as of 12/31/20 Source: Federal Reserve, as of 12/31/20 Source: Bloomberg, as of 12/31/20
37
‐6%
‐4%
‐2%
0%
2%
4%
6%
60
80
100
120
140
Dec‐74 Dec‐84 Dec‐94 Dec‐04 Dec‐14US Major Currency Index (real)Average Currency Index ValueSubsequent 10 Year Return
850
900
950
1000
1050
1100
1150
1200
1250
1300
Dec‐04 Dec‐08 Dec‐12 Dec‐16 Dec‐20
¥6.0
¥6.2
¥6.4
¥6.6
¥6.8
¥7.0
¥7.2
Dec‐10 Dec‐12 Dec‐14 Dec‐16 Dec‐18 Dec‐20
Onshore renminbi strengthening relative to the U.S. dollar
Appendix
1st Quarter 2021Investment Landscape 38
Periodic table of returns
Investment Landscape
Source Data: Morningstar, Inc., Hedge Fund Research, Inc. (HFR), National Council of Real Estate Investment Fiduciaries (NCREIF). Indices used: Russell 1000, Russell 1000 Value, Russell 1000 Growth, Russell 2000, Russell 2000 Value, Russell 2000 Growth, MSCI EAFE, MSCI EM, BBgBarc US Aggregate, T‐Bill 90 Day, Bloomberg Commodity, NCREIF Property, HFRI FOF, MSCI ACWI, BBgBarc Global Bond. NCREIF Property Index performance data as of 9/30/20.
39
Large Cap Equity Small Cap Growth Commodities
Large Cap Value International Equity Real Estate
Large Cap Growth Emerging Markets Equity Hedge Funds of Funds
Small Cap Equity US Bonds 60% MSCI ACWI/40% BBgBarc Global Bond
*Only publicly traded asset performance is shown here. Performance of private assets is typically released with a 3‐ to 6‐month delay.Source: Morningstar, as of 12/31/20 Source: Morningstar, as of 12/31/20
40
TEN YEARS ENDING DECEMBER
1st Quarter 2021
‐7.9%
‐3.1%
2.8%
4.1%
4.6%
7.1%
7.5%
7.8%
8.0%
9.4%
18.3%
18.4%
20.0%
34.6%
38.5%
‐40% ‐20% 0% 20% 40% 60%
Wilshire US REIT
Bloomberg Commodity
Russell 1000 Value
BBgBarc US Agency Interm
Russell 2000 Value
BBgBarc US Corp. High Yield
BBgBarc US Agg Bond
MSCI EAFE
BBgBarc US Treasury
BBgBarc US Credit
MSCI EM
S&P 500
Russell 2000
Russell 2000 Growth
Russell 1000 Growth
‐6.5%
2.1%
3.3%
3.6%
3.8%
5.4%
5.5%
6.8%
8.7%
10.5%
11.2%
12.7%
13.5%
13.9%
17.2%
‐10% ‐5% 0% 5% 10% 15% 20% 25%
Bloomberg Commodity
BBgBarc US Agency Interm
BBgBarc US Treasury
MSCI EM
BBgBarc US Agg Bond
BBgBarc US Credit
MSCI EAFE
BBgBarc US Corp. High Yield
Russell 2000 Value
Russell 1000 Value
Russell 2000
Wilshire US REIT
Russell 2000 Growth
S&P 500
Russell 1000 Growth
Q4 2020
S&P 500 sector returns
Investment Landscape
Source: Morningstar, as of 12/31/20 Source: Morningstar, as of 12/31/20
41
ONE YEAR ENDING DECEMBER
1st Quarter 2021
4.9%
6.4%
6.5%
8.0%
8.0%
11.8%
12.1%
13.8%
14.5%
15.7%
23.2%
27.8%
0% 5% 10% 15% 20% 25% 30% 35%
Real Estate
Consumer Staples
Utilities
Health Care
Consumer Discretionary
Information Technology
S&P 500
Telecom
Materials
Industrials
Financials
Energy
‐33.7%
‐2.2%
‐1.7%
0.5%
10.7%
11.1%
13.4%
18.4%
20.7%
23.6%
33.3%
43.9%
‐40% ‐20% 0% 20% 40% 60%
Energy
Real Estate
Financials
Utilities
Consumer Staples
Industrials
Health Care
S&P 500
Materials
Telecom
Consumer Discretionary
Information Technology
Private equity vs. public performance
Sources: Thomson Reuters Cambridge Universe’s PME Module: U.S. Private Equity Funds sub asset classes as of September 30, 2020. Public Market Equivalent returns resulted from “Total Direct’s” identical cash flows invested into and distributed from respective traditional asset comparable.
42
Direct private equity fund investments outperformed comparable public equites across most time periods
Investment Landscape1st Quarter 2021
As of 9/30/2020
DIRECT PRIVATE EQUITY FUND INVESTMENTS
0%
5%
10%
15%
20%
1 Year 3 Year 5 Year 10 Year 20 Year
VC/Gr Buyouts Debt/SS Total Direct Russell 3000 Barclays Agg.
2.7%2.8% ‐0.1% ‐0.1%
1.6%
Private equity vs. liquid real assets performance
Sources: Thomson Reuters C|A PME: Global Natural Resources (vintage 1999 and later, inception of MSCI World Natural Resources benchmark) and Global Infrastructure (vintage 2002 and later, inception of S&P Infrastructure benchmark) universes as of September 30, 2020. Public Market Equivalent returns resulted from identical cash flows invested into and distributed from respective liquid real assets universes.
43
Natural resource funds outperformed the MSCI World Natural Resources benchmark across all time periods
Infrastructure funds outperformed the S&P Infra. Index across all periods
Investment Landscape1st Quarter 2021
As of 9/30/2020GLOBAL NATURAL RESOURCES FUNDS
GLOBAL INFRASTRUCTURE FUNDS
‐30%
‐20%
‐10%
0%
1 Year 3 Year 5 Year 10 YearGlobal Natural Resources MSCI World Natural Resources
4.4%0.8%9.2% 4.7%
‐15%
‐5%
5%
15%
1 Year 3 Year 5 Year 10 Year
Global Infrastructure S&P Infrastructure
10.1% 4.9%7.1%20.0%
Private vs. liquid & core real estate performance
44
U.S. private real estate funds outperformed the Wilshire U.S. REIT Index across most time periods
U.S. private real estate funds outperformed the NCREIF Property Index over all time periods, aside from the past year
Sources: Thomson Reuters C|A PME: U.S. Real Estate universes as of September 30, 2020. Public Market Equivalent returns resulted from identical cash flows invested into and distributed from respective liquid real estate universes.
Investment Landscape1st Quarter 2021
As of 9/30/2020U.S. PRIVATE REAL ESTATE FUNDS VS. LIQUID UNIVERSE
U.S. PRIVATE REAL ESTATE FUNDS VS. CORE FUNDS
‐5%
0%
5%
10%
15%
1 Year 3 Year 5 Year 10 Year 20 Year
U.S. Real Estate NCREIF Property Index
0.6% 0.8% 0.4%
1.9%
‐3.8%
‐20%
‐10%
0%
10%
20%
1 Year 3 Year 5 Year 10 Year 20 Year
U.S. Real Estate Wilshire US REIT
6.0% 3.4% ‐1.4%2.4%
17.7%
Detailed index returns
Investment Landscape
Source: Morningstar, HFRI, as of 12/31/20
451st Quarter 2021
DOMESTIC EQUITY FIXED INCOMEMonth QTD YTD 1 Year 3 Year 5 Year 10 Year Month QTD YTD 1 Year 3 Year 5 Year 10 Year
MSCI Euro 4.0 17.2 6.6 6.6 3.1 7.0 5.0 Euro 2.3 4.3 9.0 9.0 0.6 2.4 (0.9)
MSCI EM Asia 7.1 18.9 28.4 28.4 9.0 14.4 6.6 Pound Sterling 2.4 5.7 3.2 3.2 0.3 (1.5) (1.3)
MSCI EM Latin American 11.9 34.8 (13.8) (13.8) (1.8) 8.9 (3.4) Yen 1.0 2.2 5.3 5.3 2.9 3.1 (2.4)
Definitions
1st Quarter 2021Investment Landscape 46
Bloomberg US Weekly Consumer Comfort Index ‐ tracks the public’s economic attitudes each week, providing a high‐frequency read on consumer sentiment. The index, based on cell and landline telephone interviews with a random, representative national sample of U.S. adults, tracks Americans' ratings of the national economy, their personal finances and the buying climate on a weekly basis, with views of the economy’s direction measured separately each month. (www.langerresearch.com)
University of Michigan Consumer Sentiment Index ‐ A survey of consumer attitudes concerning both the present situation as well as expectations regarding economic conditions conducted by the University of Michigan. For the preliminary release approximately three hundred consumers are surveyed while five hundred are interviewed for the final figure. The level of consumer sentiment is related to the strength of consumer spending. (www.Bloomberg.com)
NFIB Small Business Outlook ‐ Small Business Economic Trends (SBET) is a monthly assessment of the U.S. small‐business economy and its near‐term prospects. Its data are collected through mail surveys to random samples of the National Federal of Independent Business (NFIB) membership. The survey contains three broad question types: recent performance, near‐term forecasts, and demographics. The topics addressed include: outlook, sales, earnings, employment, employee compensation, investment, inventories, credit conditions, and single most important problem. (http://www.nfib‐sbet.org/about/)
NAHB Housing Market Index – the housing market index is a weighted average of separate diffusion induces for three key single‐family indices: market conditions for the sale of new homes at the present time, market conditions for the sale of new homes in the next six months, and the traffic of prospective buyers of new homes. The first two series are rated on a scale of Good, Fair, and Poor and the last is rated on a scale of High/Very High, Average, and Low/Very Low. A diffusion index is calculated for each series by applying the formula “(Good‐Poor + 100)/2” to the present and future sales series and “(High/Very High‐Low/Very Low + 100)/2” to the traffic series. Each resulting index is then seasonally adjusted and weighted to produce the HMI. Based on this calculation, the HMI can range between 0 and 100.
Notices & disclosuresPast performance is no guarantee of future results. This report or presentation is provided for informational purposes only and is directed to institutional clients and eligible institutional counterparties only and should not be relied upon by retail investors. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security or pursue a particular investment vehicle or any trading strategy. The opinions and information expressed are current as of the date provided or cited only and are subject to change without notice. This information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. Verus Advisory Inc. expressly disclaim any and all implied warranties or originality, accuracy, completeness, non‐infringement, merchantability and fitness for a particular purpose. This report or presentation cannot be used by the recipient for advertising or sales promotion purposes.
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Pasadena Fire & Police Retirement SystemInvestment Performance Review
Period Ending: December 31, 2020
Portfolio Reconciliation
Last ThreeMonths Fiscal Year-To-Date
_
Beginning Market Value $124,075,872 $115,657,245
Contributions $13,914,402 $30,921,009
Withdrawals -$16,899,648 -$29,288,403
Net Cash Flow -$4,085,246 $532,606
Net Investment Change $11,948,195 $15,748,970
Ending Market Value $131,938,820 $131,938,820
Net Change $7,862,948 $16,281,576_
Contributions and withdrawals may include intra-account transfers between managers/funds. Portfolio Reconciliation does not include Pooled Cash.
Total FundPortfolio Reconciliation Period Ending: December 31, 2020
Pasadena Fire & Police Retirement System 1
Does not include Pooled Cash. Invesco Core Real Estate ending market value includes dividend payable. First American Treasury funded 12/1/2015. Vanguard Short-Term Investment Grade funded 3/27/2017. Vanguard Growth Index Insliquidated 5/29/2018. Vanguard Institutional Index Ins and T. Rowe Price Instl Large Cap Growth funded 5/30/2018. PanAgora Risk Parity funded 11/16/2020.
BeginningMarket Value Contributions Withdrawals Net Investment
ChangeEnding
Market Value_
Vanguard Institutional Index Ins $10,407,915 $0 -$565,000 $1,221,702 $11,064,617T. Rowe Price Large-Cap Growth Fund - I Class $5,303,580 $0 -$285,000 $669,297 $5,687,877Dodge & Cox Stock $5,061,232 $0 -$225,000 $1,045,611 $5,881,842Atlanta Capital Management Company $5,007,388 $0 -$260,015 $977,907 $5,725,279Dodge & Cox Intl Stock $11,988,432 $0 -$650,000 $2,926,093 $14,264,525American Funds Europacific Growth R6 $12,676,068 $0 -$975,000 $2,479,655 $14,180,723Metropolitan West Core Plus Fixed Income $31,220,189 $351,467 -$79,764 $374,284 $31,866,176Voya Senior Loan Fund $6,322,596 $0 $0 $201,449 $6,524,045Vanguard Short-Term Investment Grade Inst $12,426,033 $83,000 $0 $123,010 $12,632,043Vanguard Inflation-Protected Securities Inst $6,301,869 $0 $0 $107,271 $6,409,140Invesco Core Real Estate $11,207,648 $0 $0 $154,220 $11,361,868PanAgora Risk Parity Multi-Asset -- $6,000,000 $0 $332,209 $6,332,209PIMCO All Asset Ins $6,144,452 $0 -$6,379,935 $235,483 --First American Treasury Obligation Z $8,468 $9,329,935 -$9,329,935 $6 $8,474Total $124,075,872 $15,764,402 -$18,749,648 $10,848,195 $131,938,820
XXXXX
Total FundCash Flow by Manager Period Ending: December 31, 2020
Pasadena Fire & Police Retirement System 2
Pasadena Fire & Police Retirement System 3
Total FundAsset Allocation vs. Policy Period Ending: December 31, 2020
CurrentBalance
CurrentAllocation Policy Difference Policy Range Within IPS
Policy Index as of 6/01/2019: 8% S&P 500, 4% Russell 1000 Value, 4% Russell 1000 Growth, 4% Russell 2000, 20% MSCI EAFE, 25% BBgBarc US Aggregate, 5% BBgBarc US TIPS, 5% S&P/LSTA Leveraged Loan, 10% BBgBarc US Credit1-5 Year, 10% NCREIF-ODCE NR, 5% CPI+5%. On 7/1/2019 the NCREIF-ODCE Index in the policy index changed from gross to net. CPI LOCAL (LA) included Los Angeles-Riverside-Orange County until 12/31/2017. Effective 1/1/2018 dueto geographical revisions, CPI LOCAL (LA) includes Los Angeles-Long Beach-Anaheim. FY: 6/30.
Market Value % ofPortfolio 3 Mo Fiscal
YTD 1 Yr 3 Yrs 5 Yrs Fiscal2020
Fiscal2019
Fiscal2018
Fiscal2017
Fiscal2016
_
Total Fund 131,938,820 100.0 8.8 12.3 9.8 6.9 7.9 2.8 5.5 5.6 10.7 0.4Policy Index 7.5 11.2 10.0 7.2 7.7 3.7 5.9 5.8 8.9 1.8
Total FundExecutive Summary (Net of Fees) Period Ending: December 31, 2020
Total MarketValue
% ofPortfolio
DomesticEquity Large
Cap Core
DomesticEquity LargeCap Growth
DomesticEquity Large
Cap Value
DomesticEquity Small
Cap Core
InternationalEquity
DomesticFixed
IncomeCore
DomesticFixed
IncomeBank Loans
DomesticFixed
IncomeShort Term
DomesticFixed
Income RealReturn
Real Estate AlternativeInvestment
Cash andEquivalents
_
Total Domestic Equity Vanguard Institutional Index Ins $11,064,617 8.4% $11,064,617T. Rowe Price Large-Cap Growth Fund - I Class $5,687,877 4.3% $5,687,877Dodge & Cox Stock $5,881,842 4.5% $5,881,842Atlanta Capital Management Company $5,725,279 4.3% $5,725,279
Total International Equity Dodge & Cox Intl Stock $14,264,525 10.8% $14,264,525American Funds Europacific Growth R6 $14,180,723 10.7% $14,180,723
Total Domestic Fixed Metropolitan West Core Plus Fixed Income $31,866,176 24.2% $31,866,176Voya Senior Loan Fund $6,524,045 4.9% $6,524,045Vanguard Short-Term Investment Grade Inst $12,632,043 9.6% $12,632,043Vanguard Inflation-Protected Securities Inst $6,409,140 4.9% $6,409,140
Total Real Estate Invesco Core Real Estate $11,361,868 8.6% $11,361,868
Total Alternatives PanAgora Risk Parity Multi-Asset $6,332,209 4.8% $6,332,209
Cash First American Treasury Obligation Z $8,474 0.0% $8,474
Invesco Core Real Estate market value includes dividend payable. Total Fund does not include Pooled Cash.
Pasadena Fire & Police Retirement System 5
Total FundAsset Allocation by Account Period Ending: December 31, 2020
TotalMarketValue
% ofPortfolio
DomesticEquity
Large CapCore
DomesticEquity
Large CapGrowth
DomesticEquity
Large CapValue
DomesticEquity
Small CapCore
International Equity
DomesticFixed
IncomeCore
DomesticFixed
IncomeBank Loans
DomesticFixed
IncomeShort Term
DomesticFixed
IncomeReal Return
Real Estate AlternativeInvestment
Cash andEquivalents
_
Total Fund Total Domestic Equity
Vanguard Institutional Index Ins $11,064,617 8.3% $11,064,617T. Rowe Price Large-Cap Growth Fund - I Class $5,687,877 4.3% $5,687,877Dodge & Cox Stock $5,881,842 4.4% $5,881,842Atlanta Capital Management Company $5,725,279 4.3% $5,725,279
Total International Equity Dodge & Cox Intl Stock $14,264,525 10.7% $14,264,525American Funds Europacific Growth R6 $14,180,723 10.6% $14,180,723
Total Domestic Fixed Metropolitan West Core Plus Fixed Income $31,866,176 23.9% $31,866,176Voya Senior Loan Fund $6,524,045 4.9% $6,524,045Vanguard Short-Term Investment Grade Inst $12,632,043 9.5% $12,632,043Vanguard Inflation-Protected Securities Inst $6,409,140 4.8% $6,409,140
Total Real Estate Invesco Core Real Estate $11,361,868 8.5% $11,361,868
Total Alternatives PanAgora Risk Parity Multi-Asset $6,332,209 4.8% $6,332,209
Cash First American Treasury Obligation Z $8,474 0.0% $8,474
Dodge & Cox Stock Inception: 8/31/2000. Vanguard Growth Index Ins and Atlanta Capital Management Company Inception: 6/30/2009. Dodge & Cox separate account performance shown prior to 6/19/2009. Effective 3/1/2015 Atlanta SMIDCap strategy changed to Atlanta Small Cap Core strategy. Vanguard Growth Index Ins liquidated 5/29/2018. Vanguard Institutional Index Ins and T. Rowe Price Instl Large Cap Growth funded 5/30/2018.
Total Domestic EquityPerformance Summary (Net of Fees) Period Ending: December 31, 2020
Total AlternativesPerformance Summary (Net of Fees) Period Ending: December 31, 2020
Name Asset Class Identifier Fee Schedule Market Value Estimated FeeValue Estimated Fee
Vanguard Institutional Index Ins Domestic Equity VINIX 0.04% of Assets $11,064,617 $3,873 0.04%T. Rowe Price Large-Cap Growth Fund - I Class Domestic Equity TRLGX 0.56% of Assets $5,687,877 $31,852 0.56%Dodge & Cox Stock Domestic Equity DODGX 0.52% of Assets $5,881,842 $30,586 0.52%
Atlanta Capital Management Company Domestic Equity0.80% of First 50.0 Mil,0.70% of Next 105.0 Mil,0.60% of Next 255.0 Mil
$5,725,279 $45,802 0.80%
Dodge & Cox Intl Stock International Equity DODFX 0.63% of Assets $14,264,525 $89,867 0.63%American Funds Europacific Growth R6 International Equity RERGX 0.46% of Assets $14,180,723 $65,231 0.46%
Metropolitan West Core Plus Fixed Income Domestic Fixed Income0.35% of First 25.0 Mil,0.25% of Next 75.0 Mil,0.20% of Next 100.0 Mil
$31,866,176 $104,665 0.33%
Voya Senior Loan Fund Domestic Fixed Income 0.45% of Assets $6,524,045 $29,358 0.45%Vanguard Short-Term Investment Grade Inst Domestic Fixed Income VFSIX 0.07% of Assets $12,632,043 $8,842 0.07%Vanguard Inflation-Protected Securities Inst Domestic Fixed Income VIPIX 0.07% of Assets $6,409,140 $4,486 0.07%Invesco Core Real Estate Real Estate 1.10% of Assets $11,361,868 $124,981 1.10%PanAgora Risk Parity Multi-Asset Alternatives 0.35% of Assets $6,332,209 $22,163 0.35%First American Treasury Obligation Z Cash and Equivalents FUZXX 0.18% of Assets $8,474 $15 0.18%Total $131,938,820 $561,721 0.43%
XXXXX
Does not include Pooled Cash. Invesco Core Real Estate market value includes dividend payable. First American Treasury Obligation expense ratio is discounted to fund's actual yield when below 20 bps. Mutual fund fees shown are sourcedfrom Morningstar and are as of the most current prospectus.
Total FundInvestment Fund Fee Analysis Period Ending: December 31, 2020
Pasadena Fire & Police Retirement System 17
Pasadena Fire & Police Retirement System 18
Total FundAsset Allocation History Period Ending: December 31, 2020
Pasadena Fire & Police Retirement System 19
Total FundPeer Universe Comparison: Cumulative Performance (Gross of Fees) Period Ending: December 31, 2020
Total FundPeer Universe Comparison: Consecutive Periods (Gross of Fees) Period Ending: December 31, 2020
Pasadena Fire & Police Retirement System 20
Pasadena Fire & Police Retirement System 21
Total FundPeer Universe Comparison: Asset Allocation Period Ending: December 31, 2020
Pasadena Fire & Police Retirement System 22
Data Sources & Methodology Period Ending: December 31, 2020
Glossary
Allocation Effect: An attribution effect that describes the amount attributable to the managers' asset allocation decisions, relative to the benchmark.
Alpha: The excess return of a portfolio after adjusting for market risk. This excess return is attributable to the selection skill of the portfolio manager. Alpha is calculated as: Portfolio Return ‐ [Risk‐free Rate + Portfolio Beta x (Market Return ‐ Risk‐free Rate)].
Benchmark R‐squared: Measures how well the Benchmark return series fits the manager's return series. The higher the Benchmark R‐squared, the more appropriate the benchmark is for the manager. Beta: A measure of systematic, or market risk; the part of risk in a portfolio or security that is attributable to general market movements. Beta is calculated by dividing the covariance of a security by the variance of the market.
Book‐to‐Market: The ratio of book value per share to market price per share. Growth managers typically have low book‐to‐market ratios while value managers typically have high book‐to‐market ratios.
Capture Ratio: A statistical measure of an investment manager's overall performance in up or down markets. The capture ratio is used to evaluate how well an investment manager performed relative to an
index during periods when that index has risen (up market) or fallen (down market). The capture ratio is calculated by dividing the manager's returns by the returns of the index during the up/down market,
and multiplying that factor by 100.
Correlation: A measure of the relative movement of returns of one security or asset class relative to another over time. A correlation of 1 means the returns of two securities move in lock step, a correlation of ‐1 means the returns of two securities move in the exact opposite direction over time. Correlation is used as a measure to help maximize the benefits of diversification when constructing an investment
portfolio.
Excess Return: A measure of the difference in appreciation or depreciation in the price of an investment compared to its benchmark, over a given time period. This is usually expressed as a percentage and may be annualized over a number of years or represent a single period.
Information Ratio: A measure of a manager's ability to earn excess return without incurring additional risk. Information ratio is calculated as: excess return divided by tracking error.
Interaction Effect: An attribution effect that describes the portion of active management that is contributable to the cross interaction between the allocation and selection effect. This can also be explained as an effect that cannot be easily traced to a source.
Portfolio Turnover: The percentage of a portfolio that is sold and replaced (turned over) during a given time period. Low portfolio turnover is indicative of a buy and hold strategy while high portfolio turnover implies a more active form of management.
Price‐to‐Earnings Ratio (P/E): Also called the earnings multiplier, it is calculated by dividing the price of a company's stock into earnings per share. Growth managers typically hold stocks with high price‐to‐earnings ratios whereas value managers hold stocks with low price‐to‐earnings ratios.
R‐Squared: Also called the coefficient of determination, it measures the amount of variation in one variable explained by variations in another, i.e., the goodness of fit to a benchmark. In the case of investments, the term is used to explain the amount of variation in a security or portfolio explained by movements in the market or the portfolio's benchmark.
Selection Effect: An attribution effect that describes the amount attributable to the managers' stock selection decisions, relative to the benchmark.
Sharpe Ratio: A measure of portfolio efficiency. The Sharpe Ratio indicates excess portfolio return for each unit of risk associated with achieving the excess return. The higher the Sharpe Ratio, the more efficient the portfolio. Sharpe ratio is calculated as: Portfolio Excess Return / Portfolio Standard Deviation.
Sortino Ratio: Measures the risk‐adjusted return of an investment, portfolio, or strategy. It is a modification of the Sharpe Ratio, but penalizes only those returns falling below a specified benchmark. The Sortino Ratio uses downside deviation in the denominator rather than standard deviation, like the Sharpe Ratio.
Standard Deviation: A measure of volatility, or risk, inherent in a security or portfolio. The standard deviation of a series is a measure of the extent to which observations in the series differ from the arithmetic mean of the series. For example, if a security has an average annual rate of return of 10% and a standard deviation of 5%, then two‐thirds of the time, one would expect to receive an annual rate of return between 5% and 15%.
Style Analysis: A return based analysis designed to identify combinations of passive investments to closely replicate the performance of funds
Style Map: A specialized form or scatter plot chart typically used to show where a Manager lies in relation to a set of style indices on a two‐dimensional plane. This is simply a way of viewing the asset loadings in a different context. The coordinates are calculated by rescaling the asset loadings to range from ‐1 to 1 on each axis and are dependent on the Style Indices comprising the Map.
Disclaimer
This report contains confidential and proprietary information and is subject to the terms and conditions of the Consulting Agreement. It is being provided for use solely by the customer. The report may not be sold or otherwise provided, in whole or in part, to any other person or entity without written permission from Verus Advisory, Inc., (hereinafter Verus) or as required by law or any regulatory authority. The information presented does not constitute a recommendation by Verus and cannot be used for advertising or sales promotion purposes. This does not constitute an offer or a solicitation of an offer to buy or sell securities, commodities or any other financial instruments or products.
The information presented has been prepared using data from third party sources that Verus believes to be reliable. While Verus exercised reasonable professional care in preparing the report, it cannot guarantee the accuracy of the information provided by third party sources. Therefore, Verus makes no representations or warranties as to the accuracy of the information presented. Verus takes no responsibility or liability (including damages) for any error, omission, or inaccuracy in the data supplied by any third party. Nothing contained herein is, or should be relied on as a promise, representation, or guarantee as to future performance or a particular outcome. Even with portfolio diversification, asset allocation, and a long‐term approach, investing involves risk of loss that the investor should be prepared to bear.
The information presented may be deemed to contain forward‐looking information. Examples of forward looking information include, but are not limited to, (a) projections of or statements regarding return on investment, future earnings, interest income, other income, growth prospects, capital structure and other financial terms, (b) statements of plans or objectives of management, (c) statements of future economic performance, and (d) statements of assumptions, such as economic conditions underlying other statements. Such forward‐looking information can be identified by the use of forward looking terminology such as believes, expects, may, will, should, anticipates, or the negative of any of the foregoing or other variations thereon comparable terminology, or by discussion of strategy. No assurance can be given that the future results described by the forward‐looking information will be achieved. Such statements are subject to risks, uncertainties, and other factors which could cause the actual results to differ materially from future results expressed or implied by such forward looking information. The findings, rankings, and opinions expressed herein are the intellectual property of Verus and are subject to change without notice. The information presented does not claim to be all‐inclusive, nor does it contain all information that clients may desire for their purposes. The information presented should be read in conjunction with any other material provided by Verus, investment managers, and custodians.
Verus will make every reasonable effort to obtain and include accurate market values. However, if managers or custodians are unable to provide the reporting period's market values prior to the report issuance, Verus may use the last reported market value or make estimates based on the manager's stated or estimated returns and other information available at the time. These estimates may differ materially from the actual value. Hedge fund market values presented in this report are provided by the fund manager or custodian. Market values presented for private equity investments reflect the last reported NAV by the custodian or manager net of capital calls and distributions as of the end of the reporting period. These values are estimates and may differ materially from the investments actual value. Private equity managers report performance using an internal rate of return (IRR), which differs from the time‐weighted rate of return (TWRR) calculation done by Verus. It is inappropriate to compare IRR and TWRR to each other. IRR figures reported in the illiquid alternative pages are provided by the respective managers, and Verus has not made any attempts to verify these returns. Until a partnership is liquidated (typically over 10‐12 years), the IRR is only an interim estimated return. The actual IRR performance of any LP is not known until the final liquidation.
Verus receives universe data from InvMetrics, eVestment Alliance, and Morningstar. We believe this data to be robust and appropriate for peer comparison. Nevertheless, these universes may not be comprehensive of all peer investors/managers but rather of the investors/managers that comprise that database. The resulting universe composition is not static and will change over time. Returns are annualized when they cover more than one year. Investment managers may revise their data after report distribution. Verus will make the appropriate correction to the client account but may or may not disclose the change to the client based on the materiality of the change.
Policy Index as of 11/1/2020: 8% S&P 500, 4% Russell 1000 Value, 4% Russell 1000 Growth, 4% Russell 2000, 20% MSCI ACWI ex USA, 25% BBgBarc US Aggregate, 5% BBgBarc US TIPS, 10% BBgBarc US 1-5 Yr Credit, 5% S&P/LSTALeveraged Loan, 10% NCREIF-ODCE, 5% S&P Risk Parity 10% Target Volatility Index. On 7/1/2019 NCREIF-ODCE Index in the policy index changed from gross to net. FY: 6/30. Pooled Cash not included in Total Fund calculation. CPILOCAL (LA) included Los Angeles-Riverside-Orange County until 12/31/2017. Effective 1/1/2018 due to geographical revisions, CPI LOCAL (LA) includes Los Angeles-Long Beach-Anaheim. Effective 3/1/2015 Atlanta SMID Cap strategychanged to Atlanta Small Cap Core strategy. Vanguard Growth Index Ins liquidated 5/29/2018. T. Rowe Price Instl Large Cap Growth Ins and Vanguard Institutional Index Ins funded 5/30/2018. Vanguard Short-Term Investment Grade Admchanged share classes to Vanguard Short-Term Investment Grade Inst on 5/27/2020. Vanguard Inflation-Protected Securities Adm changed share classes to Vanguard Inflation-Protected Securities Inst on 5/27/2020. PIMCO All Asset Insliquidated 11/9/2020. PanAgora Risk Parity Multi-Asset funded 11/10/2020. All data is preliminary.
Market Value % ofPortfolio 1 Mo Fiscal
YTD 1 Yr_
Total Fund 130,387,254 100.0 -0.4 11.9 9.8Policy Index 0.0 11.2 9.7Total Domestic Equity 27,945,178 21.4 -0.2 23.7 18.7
S&P 500 -1.0 20.9 17.2Vanguard Institutional Index Ins 10,952,793 8.4 -1.0 20.9 17.2
S&P 500 -1.0 20.9 17.2T. Rowe Price Large-Cap Growth Fund - I Class 5,739,915 4.4 0.9 27.2 37.7
Pasadena Fire & Police Retirement SystemExecutive Summary - Preliminary (Net of Fees) Period Ending: January 31, 2021
Pasadena Fire & Police Retirement System 1
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Item: 13-c Date: 2/17/21
Policy Index as of 11/1/2020: 8% S&P 500, 4% Russell 1000 Value, 4% Russell 1000 Growth, 4% Russell 2000, 20% MSCI ACWI ex USA, 25% BBgBarc US Aggregate, 5% BBgBarc US TIPS, 10% BBgBarc US 1-5 Yr Credit, 5% S&P/LSTALeveraged Loan, 10% NCREIF-ODCE, 5% S&P Risk Parity 10% Target Volatility Index. On 7/1/2019 NCREIF-ODCE Index in the policy index changed from gross to net. FY: 6/30. Pooled Cash not included in Total Fund calculation. CPILOCAL (LA) included Los Angeles-Riverside-Orange County until 12/31/2017. Effective 1/1/2018 due to geographical revisions, CPI LOCAL (LA) includes Los Angeles-Long Beach-Anaheim. Effective 3/1/2015 Atlanta SMID Cap strategychanged to Atlanta Small Cap Core strategy. Vanguard Growth Index Ins liquidated 5/29/2018. T. Rowe Price Instl Large Cap Growth Ins and Vanguard Institutional Index Ins funded 5/30/2018. Vanguard Short-Term Investment Grade Admchanged share classes to Vanguard Short-Term Investment Grade Inst on 5/27/2020. Vanguard Inflation-Protected Securities Adm changed share classes to Vanguard Inflation-Protected Securities Inst on 5/27/2020. PIMCO All Asset Insliquidated 11/9/2020. PanAgora Risk Parity Multi-Asset funded 11/10/2020. Invesco Real Estate and PanAgora market values as of 12/31/2020. All data is preliminary.
Pasadena Fire & Police Retirement SystemExecutive Summary - Preliminary (Net of Fees) Period Ending: January 31, 2021
Pasadena Fire & Police Retirement SystemExecutive Summary with Pooled Cash - Preliminary Period Ending: January 31, 2021
Pasadena Fire & Police Retirement System 3
TotalMarketValue
% ofPortfolio
DomesticEquity
Large CapCore
DomesticEquity
Large CapGrowth
DomesticEquity
Large CapValue
DomesticEquity
Small CapCore
International Equity
DomesticFixed
IncomeCore
DomesticFixed
IncomeBank Loans
DomesticFixed
IncomeShort Term
DomesticFixed
IncomeReal Return
Real Estate AlternativeInvestment
Cash andEquivalents
_
Total Fund Total Domestic Equity
Vanguard Institutional Index Ins $10,952,793 8.3% $10,952,793T. Rowe Price Large-Cap Growth Fund - I Class $5,739,915 4.4% $5,739,915Dodge & Cox Stock $5,606,039 4.3% $5,606,039Atlanta Capital Management Company $5,646,431 4.3% $5,646,431
Total International Equity Dodge & Cox Intl Stock $13,600,977 10.3% $13,600,977American Funds Europacific Growth R6 $13,804,931 10.5% $13,804,931
Total Domestic Fixed Metropolitan West Core Plus Fixed Income $31,668,733 24.0% $31,668,733Voya Senior Loan Fund $6,588,362 5.0% $6,588,362Vanguard Short-Term Investment Grade Inst $12,639,612 9.6% $12,639,612Vanguard Inflation-Protected Securities Inst $6,436,909 4.9% $6,436,909
Total Real Estate Invesco Core Real Estate $11,361,868 8.6% $11,361,868
Total Alternatives PanAgora Risk Parity Multi-Asset $6,332,209 4.8% $6,332,209
Cash First American Treasury Obligation Z $8,475 0.0% $8,475
1 Including negative cash from mortgage TBD forward contracts2 As of 12/31/2020
Pasadena Fire and Police Retirement PlanFebruary 5, 2021
February Recommendation
1075 Peachtree Street NE Suite 2100 Atlanta, GA 30309
Tel: 404.876.9411 Fax: 404.872.1672 ATLCAP.COM
December 16, 2020 Bernadette Kastner Dear City of Pasadena Fire and Police Retirement System: We are writing to follow up on the announcement that Atlanta Capital Management Co., LLC (Atlanta Capital)’s parent company, Eaton Vance Corp. has entered into a definitive merger agreement under which Morgan Stanley will acquire Eaton Vance Corp., and its subsidiaries, including Atlanta Capital. The transaction is expected to close in the second quarter of 2021, subject to customary closing conditions. While our parent company will change, the investment process guiding your mandate and the professionals who have acted as stewards of your assets will not change as a result of the transaction. Further, the brand associated with your product will not change as a result of the transaction. At the same time, we believe that providing access to the additional resources of a world-class organization like Morgan Stanley will be additive to our investment teams in the ongoing management of your assets. Required Action To ensure we can continue to manage your portfolio(s) without interruption after the closing of the transaction, we are requesting your consent to the deemed assignment of your investment advisory agreement(s) resulting from the change of control of Atlanta Capital, as required under applicable law and your investment advisory agreement.
To consent, please complete and have an authorized party sign the enclosed consent form and return it to Atlanta Capital as soon as possible to ensure that we can continue to manage your portfolio(s) without interruption after the closing of the transaction.
We look forward to continuing our partnership with you and look forward to enhancing our relationship by bringing together the investment capabilities, distribution and client service resources, brands and cultures of Atlanta Capital and Morgan Stanley. Sincerely,
R. Kelly Williams President and COO
mprice
Typewritten Text
Item: 13-e Date: 2/17/21
Consent Form Requires a signature from an authorized signer for the following plan(s): City of Pasadena Fire and Police Retirement System
Sign in this box if you consent: Please sign this box if you agree to the deemed assignment of your investment advisory agreement(s) as a result of the transaction as described in the letter enclosing this form. Client:
Client (if needed):
Signature: __________________________
Signature: __________________________
Name: __________________________
Name: __________________________
Title: __________________________
Title: __________________________
Date: __________________________
Date: __________________________
Sign in this box if you object: Please sign this box if you object to the deemed assignment of your investment advisory agreement(s) as a result of the transaction as described in the letter enclosing this form. Client:
Client (if needed):
Signature: __________________________
Signature: __________________________
Name: __________________________
Name: __________________________
Title: __________________________
Title: __________________________
Date: __________________________
Date: __________________________
Please e-mail or fax this signed form to: Email: [email protected] Fax: (404) 872-1672 Mailing Address if needed: ATTN: Atlanta Capital Institutional Consents – c/o James Stafford Atlanta Capital Management Co., LLC 1075 Peachtree Street NE, Suite 2100 Atlanta, GA 30309 ID: A00101852
