HomeMy WebLinkAbout2017-05-25-RB-rpt (Investment) EVALUATIONFUND
Lexington
Retirement
Meeting ri I
Confidentiality: This evaluation is prepared by Mekela Investment Group,Inc.for the exelustve use of the Town of Lexington Retirement System. This evaluation is not to be used for arty other purpose
or by any parties other than the Retirement System,its Board Members,employees,agents,attorneys,and/or consultants, No other parties are authorized to review or utilize the information contained
herein without expressed written consent.
M E K E T A I N V E S T M E N T G R O U P
BOSTON CHICAGO MIAMI PORTLAND SAN DIEGO LONDON
MASSACHUSETTS ILLINOIS FLORIDA OREGON CALIFORNIA UNITED KINGDOM
www mcketagroup com
Town of Lexington Retirement System
MM NMI 1!'1 M 11� I 111
•
The material contained in this report is confidential and may not be reproduced, disclosed, or distributed, in whole or
in part, to any person or entity other than the intended recipient. The data are provided for informational purposes
only, may not be complete, and cannot be relied upon for any purpose other than for discussion.
Meketa Investment Group has prepared this report on the basis of sources believed to be reliable. The data are
based on matters as they are known as of the date of preparation of the report, and not as of any future date, and
will not be updated or otherwise revised to reflect information that subsequently becomes available.
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Memmt Group
Page 2 of 35
Town of Lexington Retirement System
1. Interim Update as of April 30, 2017
2. Portfolio Reviews as of March 31, 2017
3. Disclaimer, Glossary and Notes
........ ..,,,__....................--- ------., . ................... __
Prepared by Yekda Invealmed Group
Page 3 of 35
Interim
As of April 30, 2017
Page 4 of 35
Town of Lexington Retirement System
MENEM MEEMM;
Allocation by Manager Level Allocation by Security Level
InjernabDria
Real Estate Hedge ErnergKV Pmaffi Intematanal
6,3% Hgh Funs Dea Debt Developed Bonds
Fixed Income Hedge Funds Hard Yield 96% 01% 72% t 0%
13,9% 9.6%
Grade Assets Bonds
Cash Bonds ,,,,........�-"",,,�". RealEsfabe
Global Tactical 1 5% 37% 3%
Asset Cash
Allocation 4 8%
11,8%
Intema Mal
Developed Equt
Global,11%uity 20,4%
TIPS r
[bmeshc EquE}r
Domesstic 0.3% 36 6%
Equity Bank Loans htentabonal
Intemational 35,4% 17% EmergirgEqutty
Equity 6.3%
14,4%
n,n.r . m,,,,,, —.��,
Pmpared by M•keta Investment C—p
Page 5 of 35
Town of Lexington Retirement System
Actual Asset Allocations
Domestic
Market Percent Intl Intl Inv, High 110 Int"ll
Value of Domestic Dev Emg Grade Yield Bank Dev Emg Private Real Hard Hedge
Fund Name (mm) System Equity _ Equity Equity Bonds TIPS Bonds yLoans...Bonds Deht Debt Estate Assets Funds Currency
Fidelity Contralund $20.0 13% 90% 9% 1% _ ,m, ,W •� - 6 .-
HadiordCap Appreciation S59 4% 75% 20% 4% W _ -
FiduciaryLargeCap $5.0 3% 79% 21% 0% -
Rhumbline Russell 1000Index $16.1 12% 100% 0% 0% -
Kayne Anderson Rudnick SMID Cap Care $5.9 4% 94% 4% 3% -
Acadian SITI 11% 2% 91% 7% - m u 0%
Wellington Enduring Assets ',. $10,9 7% 36% 61% 3% _ .,, m .� _. _ m 5%
Matthews $5.2 3% 3% 7% 90%
Wellington Opportunistic $13.4 9% 16% 26% 20% 5% 4% 1% 4% 12% 0% - <1% 9%
William Blair Global Allocation $4.9 3% 2% 19% 4% 5% - 4% - d% 4% 66%
Beacon $0.5 0% [ - - - _ _ _ _ _ _ 100% _ _
PRIT Core Real Estate $9.3 6% - - _ _ _ 1 _ _
PRIT Hedge Fund 514.9 10% _ _ _ w _ - - - 100%
Monroe $55 4% 100% _ _ _ '',.
White Oak Summit Fund $2.3 1%  _ _ _ _ 100% - - - .
Golub $34 2% [ - - - - - - - - !; 100% - - - -
Loomis Credit Asset Fund $10.3 7% -- •- 46% 25% 21% 1% - - _ _ _ ',. 7%
Cash $2.3 2% [ 7 7100%
............
Total 5155.0 100% 37% 20% 6X 4%........... ..,?X, 1% <1% 7% 6% <1% 10%, ,,. 5%
MPrepared by Meketa Investment Group
Page 6 of 35
Town of Lexington Retirement System
Actual Asset Target Target PRIT Asset
Allocation Allocation Range Allocation'
N (%) N N
Total Retirement System NA NA NA NA
Public Equity 63 65 NA 45
Domestic Equity 37 35 20-50 20
International Developed Equity 20 20 10-30 18
International Emerging Equity 6 10 0-20 8
Portfolio Completion NA NA NA 1
Absolute Return(Hedge Funds) 10 10 5-15 9
Pfivate Equity NA NA NA f f
Core Fixed Income 5 5 0-20 12
Domestic Investment Grade 4 NA NA -
Inlemational Developed Bond 1 NA NA
TIPS <1 NA NA
Value-Add Fixed Income 11 10 0-25 8
High Yield Bond 2 NA NA
Bank Loans 2 NA NA
International Emerging Bond <1 NA NA
Private Senior Loans 7 NA NA
Real Assets 6 10 0-20 13
Real Estate 6 NA 3-7 9
Timber/Natural Resources NA NA NA 4
Hard Assets <1 NA NA -
Cash 5 0 <10 1
sR(Ti P a
91cwCis as�R�B€iN30 2ptd
M .....Pmpdby Uskda InesUnml Group
Page 7 of 35
Town of Lexington Retirement System
As of April 30,2017
Current Current
Balance Allocation
Global Equity $10,946„778 7%
US Equity $54,813,695 35%
International Equity $22,340,278 14%
Fixed Income $21„472,201 14%
Real Estate $9,774,823 6%
Hedge Funds $14,926,910 10%
Tactical Asset Allocation $18,304,459 12%
Cash $2,328,364 2%
Total $154,967,508 100%
MPrepared by Mekefa Investment Group
Page 8 of 35
Town of Lexington Retirement System
it '111111
1!Somalia
NMI
• s�
As of April 30,2017
Market Value °%of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return
IS) Portfolio N N N N N M I since
Total Retirement System 154,967,508 10010 1,6 7.5 13.8 6.8 8.2 4.5 5.7 Jan-99
Consumer Pri Index 0.3 1.3 Z2 1.0 1.2 1.7 2.2 Jan-99
60%MSCI ACWI140°%Barclays GlobalAggregate 1A 6.3 8.0 3.1 5.6 3.9 4.8 Jan-99
PRIT Core Fund 1.3 6.2 11.6 6.7 9.0 5.1 7.0 Jan-99
Total Equity 88,160,751 56.9 2.2 1015 16.2 8.7 11.7 5.3 6.4 Jan•01
MSCI ACWI IMI Net USD 1,6 8.5 15.4 5.4 9.1 4.0 5.3 Jan-01
PRIT Global Equity 2.1 9.6 16.5 5.9 - - - Jan-01
Domestic Equity Assets 54,873,695 35.4 1.7 9,5 17.1 9.6 13.1 7.0 6.6 Jan-01
Russell3000 1.1 6.9 18.6 10.1 13.6 7.2 6.1 Jan-01
S&P500 LO 7.2 17.9 10.5 13.7 7.2 5.8 Jan-01
PRIT Domestic Equity i,i 6.5 18.6 9.8 13.4 5.9 5.8 Jan-01
International Equity Assets 22,340,278 14.4 3.6 13.6 17.7 7.1 8.6 2.1 5.4 Jan-01
MSCI ACM ex USA IN 2.3 10.4 12.6 1,2 5,4 1,4 5.1 Jan-01
Global Equity Assets 10,946,778 7.1 119 9.3 8.2 5.5 - 9.6 Juni
MSCI ACM IN Net iJSD 1,6 8.5 15.4 5.4 9.1 4.0 114 Jun-12
PRIT Global Equity 2,1 96 16,5 5.9 - 11,9 Jun-12
Global Tactical Asset Allocation Assets 18.304,459 11.8 1.5 6.6 12.2 4.4 4.2 4.3 6,3 Dec-04
CistoniBenchmark 1.3 6.1 100 ill 6.7 4,0 5.0 Dec-04
PRI'7 Hedge Fund fail 1,0 3,3 9,6 3,1 5.6 3.0 4.4 Dec-04
Fixed Income Assets 21,472,201 13.9 ill 3.0 8.5 4.6 5.2 6.2 6.3 Jan-Ot
BBgBarc US Universal TR 0.8 1.9 2.1 3,0 2.8 4,5 5.1 Jan-01
PRIT Core Fixed Income 1 i 2.4 0.3 5.2 4.0 5.0 5.5 Jan-01
PRIT Public Value-Added Fixed Income i,l 41 8.6 2.7 14 5.2 - Jan-01
Absolute Return Assets 14,926,910 9.6 1.0 3.3 9.7 3.1 - 4.3 Oct-13
Ill Fund of Funds Composite Index 9..7 3.1 6.4 2.2 3.4 1.1 29 Ocl-13
Real Estate Assets 9,774,823 6.3 0.5 2.5 1.7 7.8 6.3 -7.5 Oct•07
PRIT Real Estate 05 2.6 76 102 10.5 6.2 5.9 Octi
Cash 2,328,364 1.5
M � �Prepared by Maketa InvsUn•nt Group
Page 9 of 35
Town of Lexington Retirement System
III Elf,if �I Ili I M
As of April 30,2017
IN
e a
Market Value %of %of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Since
(S) Portfolio Sector (%) N N N N N N
Total Rdrewnt System 154,967,509 100.0 - 1.6 7.5 13,8 6.8 81 4.5 5.1 Jan-99
Consumer Pdce Index 03 1.3 2.2 10 1,2 1.7 2.2 Jan-99
60%MSCI ACIM/409A Barclays GlobalAggregate 1,4 6.3 80 3..1 5.6 3.9 4,8 Jan-99
PRIT Core Fund 1,3 6.2 11.6 6.7 9.0 5.1 TO Jan-99
Total Equity 88,160,751 56.9 56.9 2.2 10.5 16.2 8.7 11.7 5.3 6.4 Jan-01
MSCI ACM IMI Net USO 16 85 15.4 5.4 9.1 4.0 5.3 Jan-01
PRIT Global Equity 2.1 96 16.5 5.9 - -- Jan-01
Domestic Equity Assets 54,873,695 35A 62.2 1.7 9.5 17.1 9.6 13.1 7.0 6.6 Jan-01
Russel13000 11 6.9 18.6 10.1 13.6 7,2 6A Jan-01
S&P 500 1.0 7.2 17.9 10.5 13.7 7.2 5.8 Jan-01
PRIT Domesfic Equtyy 1.1 6.5 18.6 9.8 13.4 5.9 5.8 Jan-01
Fidelity Contrafund(net) 20,014,090 12.9 36.5 2.8 13.2 18.6 11.4 13.1 8.7 11,1 May-94
Russell1000 1.1 7.1 1&0 10,2 13.6 7.3 9,7 May-94
S&P 500 10 7.2 17.9 10.5 13.7 72 9.6 May94
Hartford Capital Appreciation(net) 5.660,852 3.8 10,7 1.2 9.5 16.1 7.8 13.5 6.3 7.6 Dec-05
S&P 500 1.0 7.2 17„9 10,5 13.7 7.2 8.1 Dec-05
RhumbLine Russell 1000Index 18,073„531 11.7 32.9 1.1 7.1 18.1 10.2 - - 12.4 Jun-13
Russell1000 1.1 7.1 18.0 10.2 13.6 7.3 IN Jun-13
Fiduciary Large Cap(net) 4,992.696 3.2 9.1 0.9 6.4 15.2 8.9 - - 13.9 Jun-12
S&P 500 1.0 7.2 17.9 10.5 13.7 7.2 15.4 Jun-12
S&P 500 Value -0.1 3.2 16.1 8.4 12.9 5.3 14.8 Jun-12
Kayne Anderson SMID Cap Core(net) 5,932,526 3.8 10.0
Russell2500
Prepared by Makeu InvesUnent Group
Page 10 of 35
Town of Lexington Retirement System
•
As of April 30,2017
Markel Value %of %of 1 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Return Since
(S) Portfolio Sector N N N N N N (%)
International Equity Assets 22,340,278 14.4 25.3 3.6 13.6 17.7 7.1 9.6 2.1 5.4 Jan-01
MSCI ACWI ex USA IMI 2.3 10.4 12.6 1.2 5.4 1.4 5.1 Jan-01
Ma0hem Pacific Tiger Fund(net) 5,203,034 3A 23,3 2.8 16.0 14,6 7.6 7.8 - 9.9 Sep09
MSCI AC Asia Pacific ex Japan 1.6 14.6 20.1 3.8 5.0 4.2 6.9 Sep-09
Acadian Non-U.S.All-Cap Equity(net) 17,137,244 1111 76Y 3.8 12.9 18.4 3.9 9.6 0.0 4.3 Au05
MSCI EAFE 2.5 10.0 11.3 0.9 6.8 0.9 4.5 Aug-05
Global Equity Assets 10,946,778 7.1 12,4 1.9 9.3 82 5.5 - 9.6 Jun42
MSG ACW11Mf Net USD 16 8.5 15 4 5.4 9.1 4.0 11.4 Jun-12
PRIT Global Equdy 2.1 9.6 165 5.9 - - 11.9 Jun-12
Wellington Enduring Assets(net) 10.946,778 7.1 100.0 1,9 9.3 8.2 5.5 - - 9.6 Jun•12
MSCI ACWI IMI Net USD 1.6 8.5 15.4 5.4 9.1 4.0 11.4 Jun-12
PRIT Global Equity 2.1 9.6 16.5 5.9 - - 11.9 Jun-12
Global Tactical Asset Allocation Assets 18,304,459 114 11.8 1,5 6.6 12.2 4.4 42 4.3 6.3 Dec-04
Custom Benchmark 1.3 6.1 10.0 4.5 6.7 4.0 5.0 Dec-04
PRIT Hedge Fund(net) 1.0 3.3 9.6 3.1 5.6 3.0 4.4 Dec-04
Wellington Opportunistic Investment Allocation 13,444,490 8.7 714 1.9 7.9 15.5 5.9 7.4 5.8 7.5 Dec-04
Custom Benchmark 1.3 6.f 10.0 4,5 6.7 4 0 5.0 Dec-04
William Blair Global Allocation 4,859.969 3.1 26,6 03 13 3.9 - - 1.3 Sep-15
Custom Benchmark 1.3 6A 10.0 4.5 6.7 4.0 8.0 Sep-15
Fixed Income Assets 21,472,201 13w9 13.9 1.1 3.0 8.5 4.6 5.2 6.2 1.3 Jan-01
BBgBan;US Universal TR 0.8 1.9 2.1 3.0 2.8 4.5 5.1 J81,01
PRIT Core Fixed Income 1,1 2.4 0.3 52 4 0 5.0 5.5 Jan-of
PRIT Public Value-Added Fixed Income 1.1 4.6 8.6 2.7 3.4 5.2 Jan-01
M � Prepared by Mokela InvrcMenl Group
Page 11 of 35
Town of Lexington Retirement System
As of April 30,2017
Market Value %of %of I Mao YTD I Yr 3 Yrs 5 Yrs 10 Yrs Retum Since
($) Portfolio Sector N N N N N N N
Loomis Credit Asset Fund 10,325.332 6.7 48.1 1.1 3.0 8,5 4.6 5.9 - 7.4 Nov-09
Custom Benchmark 09 25 6.6 4.0 4,8 - 6-3 Nov-09
Monroe Capital Senior Secured Direct Loan Fund 5.466,179 3.5 25.5
Golub Capital Partners 9,LP. 3.430,000 2.2 16.0
White Oak Summit Fund,l-R 2,250,690 1.5 10.5
Absolute Return Assets 14,926,910 9.6 9A 1.0 3.3 9.7 3A - - 4.3 Oct-113
HFRI Fund of Funds Composdo Index 0.7 34 6.4 22 34 11 2.9 Oc1-13
PRIT Hedge Fund(net) 14,926,910 9,6 100.0 1'0 3.3 97 31 - - 4.3 Oct.13
HFRI Fund of Funds Composite Index 0,7 3.1 6.4 2.2 34 I'l 2.9 Oct-13
Real Estate Assets 9,774,823 613 64 0.5 2.5 t? 7.8 C3 - -7.5 Oct-07
PRIT-Realftlate 05 2.6 7.6 102 105 6,2 5.9 OcW7
Beacon Fund V(net) 478,2411 0.3 4.9
PRIT Core Real Estate(net) 9,296,582 6.0 95.1 U 2.6 - - - - 4,8 Jul-16
PRIrReatEstate 0.5 U 7.6 10.2 10.5 6.2 4.9 Jul-18
rAsh 2,328,364 14 1.5
State Street Bank STIF 2,328,364 U IND
PrWamd by Mekda Inveshowl Group
Page 12 of 35
rl
Portfolio
As of March s
2017
Page 13 of 35
Town of Lexington Retirement System
fir 1
•- • •
As of March 31,2017
Ticker FCNTX r
Morningstar Category Large Growth 30,0
Average Markel Cap(Smm) 98,969.14 250
Net Assets(Smm) 78,127.31 0, u'r x
%Assets in Top 10 Holdings 36.22 15 a 1�y
50 r2s
Total Number of Holdings 343 1 11 r
5
m 10.1 93 1e17 lli7
Manager Name William DanoH a 10.0 etl r
Manager Tenure 27 50
00
Expense Ratio 0.68%
Closed to New Investors No Qi 17 1 Year"' 3 Years 5 Years 1 ears linception
5/1194
Fidelity Contrarund ; ,Russell 10Ga
�V r� q�� V�I����Q�i��i����i�������t.��I �I � • I 1 �� � � ° 1 1 ° � 1 1
1 r,' FACEBOOK INC A 6.7% BASIC MATERIALS ° 2.9%
Portfolio Russell BERKSHIRE HATHAWAY INC A 5A! COMMUNICATION SERVICES 1A%
1000
AMAZON.COM INC 4.5% CONSUMER CYCLICAL 17.0%
Average Market Cap(Billions) 98.97 137.69
APPLE INC 3.7% CONSUMER DEFENSIVE 3.5%r
Price To Earnings 24.03 23.72
ALPHABET INC A 3.6% ENERGY 2.2%
Price To Book 3.39 4.36
ALPHABET INC C 3.2% FINANCIAL SERVICES 21.1%
Return On Equity 18.91 17.89
MICROSOFT CORP 2.5% HEALTHCARE 8.0%
Dividend Yield 0.94% 1.96%
WELLS FARGO&CO 2.4% INDUSTRIALS 5.3%
Beta(3 Year) 0.90 1.00
UNITEDHEALTH GROUP INC 2.4% REAL ESTATE 0.0%
R-Squared(3 Year) 0.85 1.00
VISA INC CLASS A 2.3% TECHNOLOGY 35.8%
UTILITIES 0.0%
Prepared by Makata Investment Group
® Page 14 of 35
Town of Lexington Retirement System
Elm! EMNEM,
As of March 31,2017
mp. rijilr ..
Ticker HCAYX t
Morningstar Category Large Blend 30 p_
Average Market Cap(Smm) 43,962.01 25.0
Net Assets(Smm) 834.55
E 20,0>;.
%Assets in Top 10 Holdings 18,58 = rtta 17
0 150 138
Total Number of Holdings 272 o N0 4
Manager Name Saul J.Pannell 10.0'- 83 61 6 a 18 75 80
Manager Tenure 21 5,0
Expense Ratio 0.75%
00� IL
Closed to New Investors No P �
Q1-17 1 Year ears 5 Years 10 Years Ince lion
12/1/05
011Yln'li1 Hartford Capital Appreciation S&P 500
BRISTOL-MYERS SOUIBB BASIC MATERIALS 3.2vi's
Portfolio S&P 500 COMPANY 2.9%
COMMUNICATION SERVICES 0.9%
Average Market Cap(Billions) 43.96 151.40 BANK OF AMERICA 2.3% CONSUMER CYCLICAL 17.0%
CORPORATION
Price To Earnings 18.15 23.73 CONSUMER DEFENSIVE 4.4%
FIDELITY INSTL GOVT 0057 2 3°�.
Price To Book 2.33 4.42 FIDELITY INSTL GOVT 0057 ENERGY 1.9%
Return On Equity 16.23 18.81 CHUBB LTD 2A% FINANCIAL SERVICES 20.8%
Dividend Yield 1.55% 2.02% FACEBOOK INC A 1.8% HEALTHCARE 13.7%
Beta(3 Year) 1.11 1.00 NETFLIX INC 1.6% INDUSTRIALS 9.9%
RSquared(3 Year) 0.92 1.00 ALPHABET INC C 1.5% REAL ESTATE 2.3%
JPMORGAN CHASE&CO 1.5% TECHNOLOGY 18.3%
ALIBABA GROUP HOLDING LTD 13% UTILITIES 1.4%
ADR
Prepared by Meksta Investment Group
® Page 15 of 35
Town of Lexington Retirement System
As of March 31,2017
IIIIIIIIIIIIIIIIIIn IIII rm u a M:Name RhumbLine Russell 1000 Index II�I�
Account Structure Commingled Fund Portfolio Index Portfolio Index
InveslmentSlyle Passive 01.17 01-17 04-16 04-16
Inception Date 6101f13
A=nt Type US Equity Weighted Avg.Market Cap. 136.63 137.69 124.50 125A6
Benchmark Russell 1000 ($B)
Universe eA US Large Cap Equity Net Median Market Cap($B) 8.83 8.81 833 8,31
PfERatio 24.56 23,72 23.29 2743
Yield 1,97 1.96 2.04 2.03
EPS G -5 Yrs. 9,83 9.0B 8.52 8.25
QM 1 Yr 3 Yus wr to yrs Return
Price,to k 4.98 4.36 4.48 4.13
(%} r Beta(holdings; estic) 1.01 Lai 1.02 1.02
nhw.brine nussaW 1000 Ireka en 17.5 teD - ... 124 .S[w03
f'dtaNsea tCxd3 60 r14 Ae-0 U3 7,6, 12�r A-13
momommmmEnergy 623 6.30 7.21 7.28
Materials 3.24 3.28 3.22 3.25
Industrials 10.27 10.39 10.42 10.51
t Consumer Discretionary 12.62 12.76 12.36 12,46
APPLE 345% Consumer Staples 8.70 8,79 8,70 8.77
MICROSOFT 2181k HeaAh Care 13.25 13,39 12.97 13.07
Financials 14.47 14.62 14.98 15.11
AMAZON.COM 1.51% Information Technology 21.20 21.41 20.02 20.17
JOHNSON&JOHNSON 1. % Telecommunication 2.28 2.30 2.57 259
EXXON MOBIL 1,6055 Services
Utilities 3,07 3,11 3.07 3.10
JP MORGAN CHASE&CO. 1.40% Real Estate 3.61 3,65 3,64 3.68
FACEBOOK CLASS A 1,40%
BERKSHIRE HATHAWAY'B' 1.38%
GENERAL ELECTRIC 1.20%
AT&T 1.12%
Total 16.
MPrepared by Meketa Investment Group
Page 16 of 35
Town of Lexington Retirement System
As of March 31„2017
15111 e
Ticker FMIHX I
Morningstar Category Large Blend 300,
Average Markel Cap(Smm) 58,913„19 25.0,°
Net Assets($mm) 4,552.32
20.0, ti e
%Assets in Top 10 Holdings 41.07 181 154
Total Number of Holdings 3D a 15.0 14 p
`a 104
Manager Name Patrick y.English ' 100, 87
¢ 55 61
Manager Tenure 15 5.01
Expense Ratio 0.84%
0.01 ..,
Closed to New Investors Nod 1 Year 3 Years n
611M
Ia
ON Fiduciary Large Cap S&P 50o
1 1 1 allr
COMCAST CORP CLASS A 5.0% SASIG MATERIALS 3.0%
Portfolio S&P 500 BERKSHIRE HATHAWAY INC B 4 9% COMMUNICATION SERVICES 8.1%
Average Market Cap(Billions) 58.91 151.40 UNITEDHEALTH GROUP INC 4.3% CONSUMER CYCLICAL 13.0%
Price To Earnings 19.87 23.73 HONEYWELL INTERNATIONAL 4
INC .3 a CONSUMER DEFENSIVE 10.4%
Price To Book 3,00 4,42 ENERGY 5.0%
Return On Equity 22.92 18.81 ACCENTURE PLC A 3.8% FINANCIAL SERVICES 17.1%
Dividend Yield 1.80% 2.02% DOLLAR GENERAL CORP 3.8% HEALTHCARE 8.0%
Beta(3 Year) 0.92 1,00 JPMORGAN CHASE&CO 3.8% INDUSTRIALS 14.4%
R-Squared(3 Year) 0.89 1,00 AMERISOURCEBERGEN CORP 3.7% REAL ESTATE 0.0%
EBAY INC 3.7% TECHNOLOGY 15.0%
UNILEVER PLC ADR 3.6% UTILITIES 0 0%
Page 17 of 35 Prepared by Meketa Investment Group
Torn of Lexington Retirement System
IN
As of March 31,2017
.,. ,..�. . I. • . 1... IMMM
EMENEENEE=
Ticker MIPTX
Morningstar Category Pacifir/Asia ex-Japan Stk 30.0
Average Market Cap(Smm) 13,147,33 25.0
NetAssels(Smm) 4,211,67
Assets m Top 10 Holdings 26.76 E 200
Total Number of Holdings 69
150 I28 ale 125 .
o �;U
Manager Name Sharal ShroN 100 t 9 68
Manager Tenure 9 5.0 6
Expense Ratio 0.89% �>
00. ........._ M.
Closed to New Investors No Q1-1'7 1I Year 3Years "" Inception
911109
OY1P7dy11 Matthews Pacific Tiger Fund MSCI AC Asia Pacific ex Japan
i iIIY ��1VI11� IXuJ���'fl u,g,�� I,Y� r, 1 •• • 1 . . 1
III' ��,i Id�I,il I�` i1►�(: P1��`'i�� �l �l!� Jaen'
• 1 Y CENTRAL PATTANA PCL SHS• 31% BASIC MATERIALS 1.61.
MSCI AC FOREIGN REGISTERED
COMMUNICATION SERVICES 4.1%
Portfolio Asia Pacific TATA POWER CO LTD 2.9%®
ex Japan CONSUMER CYCLICAL 11.7%
Average Market Cap(Billions) 13.15 51.31 BAIDUDASH HOLDING LTD 2'9% CONSUMER DEFENSIVE 20.4%
Price To Earnings 16.79 18.76 KOTA INCHIN 2.7% ENERGY 0.0%
Price To Book 2.24 2.37 OTAK MAINDRA BANK LTD 2. °6 FINANCIAL SERVICES 16.3%
VIETNAM DAIRY PRODUCTS 2.7% HEALTHCARE 8.0%
Return On Equity 17.85 15.27 JSC
Dividend Yield 2.09% 2.91% DONGBU INSURANCE CO LTD 2.5% INDUSTRIALS 5.1%
Beta(3 Year) 0.83 1.00 NAVER CORP 2.51A REAL ESTATE 7.0%
RSquared(3 Year) 0.84 1.00 DELTA ELECTRONICS INC 2.3% TECHNOLOGY 17.4%
PRESIDENT CHAIN STORE UTILITIES 6.2%
CORP 2.3%
Prepared by Meketa Investment Group
Page 18 of 35
Town of Lexington Retirement System
As of March 31,2017
MENNIMEMMIMMENNEM
Account Name Acadian Non-U.S,All-Cap Equity ENIMESSEEMEM
Account Structure Commingled Fund Portfolio Index Ponfollo Index
Investment Style Active 01-17 QI-17 04-16 04-16
Inception Date 8101105 11115,
Accoull international Weighted Avg.Market Cap, 21.49 5236 2Z02 50.62
Benchmark MSCIEAFE ($B)
Universe eA EAFE All Cap Core Net Median Market Cap($B) 0.91 9.38 L29 8,59
PIE Ratio 20.16 21.23 20.05 21,28
Yield 2.68 3.01 263 107
EPS Groarth-5 Ym. 736 3.51 6.20 5,17
Pace to Book 2.79 239 2,73 Z42
QTD 1Yr 3Ym 5Yrs 10YES Ralmm Since
N N N 1%) N N Bata(holdings;domestic) 0.99 1,05 1.04 1.05
Al Noo U.& aP aquitr V 15.9 29 0.S 0.2 4,0 Atig-05
USUEARE 72 f17 0.5 so 11 43 All 05 U! mom=
all 9.41 5.01 10.11 5A7
Materials 12.10 7.95 11.74 7.92
Industrials 16.25 14.31 16,98 14.03
Consumer Discretionary 13.56 12.19 12.94 I2.53
ROYAL DUTCH SHELL A 2.58% Consumer Staples 3.51 11,40 3,65 11.14
ADS ACTIV.CONSTPLY SERV, 1.6894
Health Care 10,62 10.73 11.63 10,64
Financials 14.01 21,30 14.79 21.16
PEUGEOT 1i64% Information Technology 14.10 5.70 13.24 5.49
STMICROELECTRONICS(PAR) 1.62% Telecommunication 0.14 4.35 0.14 L51
SWISS LIFE HOLDING 1,57% Sendow
Utilities 3.11 3,36 1.87 3.38
CANADIAN IMP.BK.COM. 1,4 Real Estate 1115 169 3,62 3,73
ROYAL BANK OF CANADA 1.48%
SAMSUNG ELECTRONICS 1,44%
LONZA GROUP 1.43%
HOCHIIEF 1.39%
TOW 1111435%
MPmp.,.dbyMkd11Aree&tffi0rdGl
=Z Page 19 of 35
Town of Lexington Retirement System
As of March 31,2017
Account Name Wellington Enduring Assets 011miminimmm
AccounlStructure Commingled Fund Portfolio Portfolio
Investment Style Active 01-17 Q4-16
Inception Date 6101112
AccounlType Global Equity Weighted Avg,Market Cap. 35.40 31.69
Benchmark MSCI ACWI IMI Not USID ($B)
Universe eA Global Equity Unhedged Gross Median Market Cap($B) 20.81 18.99
PIE Ratio 19.93 21.24
Yield 122 3,34
EPS Growth®5 Yrs. 6,31 04
Price to B oo k 2.35 2.70
QTD 1Yr 3Yrs 5Ym 10Ym Rerurn Since
(%) PA) (%) N N N Beta(holdings:domestic) 0.72 0.67
weengm Endurmq Amw 7.3 6.5 5.8 — — 9.4 Jo 12
USCIAMMMefUSD 68 ?54 61 &5 4.2 P1.2 jw 12
Energy 8.37 9A2
Materials 0.00 00
Industrials 11,01 11,73
Consumer Discreharrary 4.51 6JO
CASH-USD 15.30% Consumer Smples 0,00 0.00
Health Care 0,00 0,00
UGI 6'08% I'mancrals 0,00 0,00
NEXTERA ENERGY 4.08% Information Technology 0,00 0.00
IBEROROLA 3,82% Teleouremunication Sendoes 6.16 7.07
TRANSCANADA 3,61% Utilities 47.96 53.09
NTT DOCOMO INC 152% Real Estate 6.69 7.27
AMERICAN TOWER 3,44%
AVANGRID ORD SHS 3.34%
EQUITY LIFESTYLE PROPS. 125%
ENN ENERGY HOLDINGS 3,20%
Total 48.64%
MPrepared by Mehra Inwntnent Group
Z= Page 20 of 35
Town of Lexington Retirement System
As of March 31,2017
Account Name Wellington Opportunistic Investment Allocation
Account Structure Commingled Fund Emimomm
Investment Style Active Portfolio Portfolio
inception Date 12101104 01-17 04-16
Account Type Global Opportunistic
Benchmark Custom Benchmark Yield to Maturity 4J04 &91
Universe eA Global TAA Gross Average Duration 6.85 6.46
AverageQuality A BBB
MINEENOMMMMENNEEM Weighted Average Maturity 1722 16.81
QW lyir 3yus 5ym 10yra Peturn FAnce
N N N N N N
WeIngton OppartanicUr WwAmM AbOW -0 16.2 52 U 5.9 7.4 De,-04 MiNiMENESEEM
cmtm sewitmark 41 s8 4.4 64 a2 r.s DeC64
Portfolio Portfolio
Ql-17 0416
A a,,US' 2 3,95
p. UK 11.67
11.69
Europe 4"' 51.62
amud
M S
OEM' U �!!! Uret.d Kingdom
3.11
&56
Pacific Benin E.J."r 287 7..58
WeENWR oppammhtic InvN%ment Japan &42 7.67
ANo,;-tom- 653% affr% 1.05 Emerging Markets 18.77 1635
Cu b. 6-35% 7.26% 1.00 0.0f, offier 4.58 2.58
MPrepared by moketa Investment Cavp
Page 21 of 35
Town of Lexington Retirement System
INIINSiilfi I III
p ry��g pp pppp As of March 31,2017
IIIIIIIIIIIIIIIII '' t°' IIIIIIIIIIIIIIIIIIIIIIII r °
R I^ a
U.S.
Ticker wMCJX U.S.Dw L tap Value 7•d% a.
Morningstar Category Multialtem 1Ud Der ative U.S.Der L d Cap C GroMh 13% 13%
U.S.
Average Market Cap(Smm) 50,051.2E U.S.Dev S a Mkro Cap -3.1% -3.1%
Canada -3.1% -3..
Net Assets(Smm) 594.75 Europe a:.UK 12.6r% 17,8%
UK 0.1% 4.9%
%Assets in Top 10 Holdings 139.96 Asia Developed47.3% .0 3%
Total Number of Holdings 76 E"l1Q1"p 9 T% 3.7%
Manager Name Thomas Clarke
Manager Tenure 5 Developed:.U.g. -12.3% 4.5%
Expense Ratio 1.04% F"""y 0.2 -t 0.
France 42% .7%
9k
Closed to New Investors No Japan 0' 2'6%
gwilttdmd 0: -3.0%
Emerging 3.69E 3.5+%
' �...••- - '...... tlnena Iilmbered 30.7% 32..
QTD 1 W r 3"des 5 Vm9 90 N'rs Return SGnr� e
N i%) N 1,A) toll�eral I 5.4% 5.6%
mnnnn IIIIIIIIICIIIaIIrtICIIIaIIIrIIaI Ia0 1u11 k IWMnmmmMnmmmmMmngMlnl nnnnnnnnnn �n
SYndrale F4u
5.64E 39.5%
WM;ma8WrGbbWAlbcaWn 3.0 52 _ m- 1
41 99 4.4 64
CasaftM.K.Dmllae lUSD) -3.1% d1.49"a
Dollar ICAD) .6.
O&W Amerkm 1Q. 5,5%
Orr®"R1) •T. -5.0%
Fon JOWDamP� -4. 4.0%
Pound Img I P 5.0% 5.0%
O&W Eamn 1.5% 3.5%
Auxualb Dollar(AUDp ad New Zealand Dollar ) •9.0% 43.0%
OFT) -3.5% -15%
China Yuan fCNY) 3,5% 35%
Awla `smgJPY and C 7,6% 36%
oew 4.09E 4,9%
....ry.. . ....
MPrepared by Me"Investment Group
Page 22 of 35
Town of Lexington Retirement System
of
As of March 31,2017
l
Account Name Loomis Credit Asset Fund
AccauntStructure Commingled Fund Portfolio Portfolio
investment Style Active Ci1-17 Q4-16
Inception Data 1td0tf09 0 .
Accouni US Fixed Income Credit YeldloMaturity 4.74 4.87
Benchmask Custom Benchmark Average Duration 4,35 4.58
Universe eA US Care Plus Fitted Inc Cross Average Quality BBB Be
weighted Average Maturity 7.99 -
OR), 1 Yu 3 Yrs 5 Yes 10 Yrs Return SinceAAA 9.00 4.48
N (%) N N (i t%l AA 3.20 2.40
Lamm Ceedii Ai Fund to 10.1 4.5 5.8 r.3 Ni A 13.44 14.88
c ;Barckawk 16 ao 3.9 4.9 112 war-0s BBB 22.27 22.76
onnnnnnnnnnnnnnnnnnnnnnnm
BB 35.15 31
B 15.32 18.55
IIIIIIIIIIIIIIIIIIIIIIIIIIIIIIIII CCC 159 1.48
CASH-USD 20 42"6 Not Rated 0,03 0.03
D e
BNP 6,750 Perp FRN 3, % UST/Agency 0.71 0.52
1 7.500 Peep '24 2.93% Corwale 50.35 5236
DISH 3.375 MIU26 CVr 1.88% MBS 5.89 6.04
HEM 6.25010101139 133% ABS 2.73 2.56
CSGN 7.50g Perp '23 FRN 1.77 Foreign 1.00 1.46
Muni 0.48 -
CSGN 6. 08108123 1,76% Other 3226 34.21
VZ 5,503016147 1,73 Cash 6.58 2.43
FEDERAL HOME LOAN MORTGAGE CORPORATION FH 2O27-10-25 00:00.00. 1,73%
SOGN 4.250 Willi MTN 1,71
Total .37%
Preeared 6y Meketa In edmanB Gmp
Page 23 of 35
Town of Lexington Retirement System
As of March 31,2017
Account Type Account Vintage Year Commitment Cumulative Cumulative Value(RV) Total Value(RV+
Takedown Distributions Dist)
Private Equity Munroe Capital Senior Seabed Direct 2012 $6,000,000 $5„400,001 $1,141,291 $5,580,252 $6,721,543
Loan Fund
Golub Capital Partners 9„E.P. 2007 $4,000,000 $3,500,000 $484,078 $3,500,000 $3,984„078
Whtte Oak Summit Fund,LP. 2014 $4,000,000 $3,918,113 $1„926,127 $2,250,690 $4,176,817
Total Account $14,000,.000 $12,818,114 $3,551„496 $11,330,942 $14,882,438
IIIIi
Monroe Capital Senior Secured Direct Lean Fund net IRR is 8.6%as or September 30.2016.
Golub Capital Partners 9,L.P.net IRR Is 1 0.2 fo.
White Oak Summit Fund,L.P.nel IRR is 11.6Y.
Prapaed by Meketa Investment Group
Page 24 of 35
Town of Lexington Retirement System
As of March 31,2017
Account Name PRIT Core Real Estate r
Account Structure Mutual Fund
Investment Style Passive
Inception Date 7101116 Residential
Accounl Type Real Estate 32,3%
Benchmark PRIT Real Estate
Universe Retail
16.0%
Investment Strategy:The PRIT Real Estate portfolio Invests in a diversified portfolio of real estate investments Office Specialty
seeking Inflation hedging capabilities,and historically low correfatlon with equities and fired Income assets. 31,6% —-3.6%
Atlhough direct ownership of core properties makes up the majority of the portfolio,PRIM also Invests in REIT
securities and tactically In non core opportunities(e.g.real estate debt,value-added properties). Industrial
16.5%
MENSEEMEMECEEMEEM
u N
QTD IYr 3'Trs 5Yes 10Ym Retum Since
PRAT Cam Real Estate 2.1�� �
9 JA.16
ParP`Ru3fESMA2 2.? ta5 6.1 4.4 dt 46
West r South
42.6% ° t� 26.3%
4
East
31.1%
MPrepared by Meketa Investment Group
Page 25 of 35
Town of Lexington Retirement System
As of March 31,2017
r
Account Type Account Vintage Year Commitmenk Cumulative Cumulative Value(RV) Total Value(RV+ Unfunded
Takedown Distrihutions Dist) Commitment
Real Estate Beacon Fund V 2007 $7,00U00 $4,200,000 $2,708,949 $478„241 $3,187,190 $2,800,000
Total Account $7,000,000 $4,200,000 $2,708,949 $478,241 $3,187,190 $2,800,000
p
office ,--I East ��,,;f'ryr� MIW�^ West
100.0% 95,1% �fl � 49%
East geographic albcatlon includes 34%Non-U.S.albca6m.
Beason Fund V market value is based on June 30,2016 capital aunt adjusted for suIbmuent flows,
Prepared by Meketa Investment Group
Page 26 of 35
Town of Lexington Retirement System
11111,111 di:MAN
Ems
As of March 31,2017
Account Name PRIT Hedge Fund
Account Structure Other
Investment Style Active
Inception Date 10101113
Account Type Hedge Fund
Benchmark HFRI Fund of Funds Composite Index
Universe
Fee Schedule:
Multiple Fee Schedules
Liquidity Constraints:
Monthly(First day of the month(
Strategy:
The PRIT Hedge Fund portfolio consists pnmanly of direct investments with approximately 20 hedge fund
managers across a variety of strategies including equity,event driven,global macro,and relative value.The sleeve
also maintains one fund-of-funds manager to provide additional diversification benefits.Previously the PRIT Hedge
Funds sleeve Invested solely in fund of funds and continues to wind down those investments over time.
QT0 1 Yr 3 Ym 5 Yrs 10 Yrs Return She,
(%) I%) (%) (%) (%9 (`.)
(PRIT Hedge F'und Z2 9.5 27 — 4.1 ad-1.3
MFStP l�ueu.PvESuerels Cuorpusdu Gafw.x 2.4 62 1.A 3.2 1.2 za Od13
Emwammmmm
NEEMENIMEEM
Anlad Paformaftian
Standard Beta Sharpe Ratio Ratio R-Squared
0evfation
PRU1 Hedge Fund 9.65% 0.99 0.'diN Re" 0.0s
HF{I Fund of Fuads CoraprA Wea 3.41% 1.00 0.48 ... 1.00
MPrepared by MI Imeatment Group
Page 27 of 35
Town of Lexington Retirement System
IIII I lilt I I II ��III�I
As of March 31,2017
101 a.
• I
Name Fee Schedule Market Value Estimated Fee Value Estimated Fee
Total Equity $86,339,529
Domestic Equity Assets $54,024,117
FiidelityConlrafund 0.68%ofAssels $19,464,570 $132,359 0.66%
Hartford Capital Appreciation 0,76%of Assets $11,724.397 $87,933 0 75%
0.06%of first$25,0 Ill
Rhumbline Russell 10001ndex 0.05%of Next$25.0 Mil„ $17,885,289 $10,731 0.06%
0.04%of Next$50,0 Mil,
0.03%Thereafter
FiiduciaryLarge Cap 0.84%of Assets $4,949,861 $41,579 0.84%
Intemational Equity Assets $21,570,142
Matthews Padk Tiger Fund 0.89%of Assets $5,060,029 $45 034 0.89%
Acadian NondJ.S.All-Cap Equity 0.75%of Assets $16,510,114 $123,826 0,75%
Global Equity Assets $10,745,270
Wellington Enduring Assets 0.60%base; 10%performance;8%hurdle $10,745,270
Global Tactical Asset Allocation Assets $18,039,024
Wellington Opportunistic Investment Allocation 0..65%base, 15%performance;0,85%rap $13,195,558
William Blair Global Allocation 1.04%of Assets $4,843,466 $50.372 1.04%
Fixed Income Assets $21,541,282
Loomis Credit Asset Fund 0.45%of Assets $10,210,340 $45„947 0.45%
Total Opportunistic Debt $11,330,942
Monroe Capital Senior Secured Direct Loan Fund Management Fee 1.0%(unlevered); $5 580 252
Performance Fee 20%;Preferred Return 7%
Golub Capital Partners 9,L.P, Management Fee 1.25%(unievered); $3 500 000
Performance Fee 20%;Preferred Return 8%
White Oak Summit Fund,L.P. Management Fee 1,75%(unievered);, $2 250690
Performance Fee 15%;Preferred Return 7%
MPage 28 of 35 Prepared by Neketa Investment Group
Town of Lexington Retirement System
As of March 31,2017
Name Fee Schedule Markel Value Estimated Fee Value Estimated Fee
Absolute Return Assets $14,776.850
PRIT Hedge Fund 0,91%of Assets $14,776,850 $134,469 0.91%
Real Estate Assets $9,738,140
1.5%of commitments during the investment
Beacon Fund V pe. ;1.5%of unieturned capital contributions $478.241
thereafter,law write-offs and s
PRIT Core Real Estate 0.64%of Assets $9,259,899 $59,263 0.64%
Cash $1,439,298
State Street Bank STIF $1,439.298
Mprepared by Meketa Wedment Group
Page 29 of 35
Disclaimer,
Page 30 of 35
Town of Lexington Retirement System
The material contained in this report is confidential and may not be reproduced, disclosed, or distributed, in whole or in part, to any
person or entity other than the intended recipient. The data are provided for informational purposes only, may not be complete, and
cannot be relied upon for any purpose other than for discussion.
Meketa Investment Group has prepared this report on the basis of sources believed to be reliable. The data are based on matters as
they are known as of the date of preparation of the report,and not as of any future date, and will not be updated or otherwise revised to
reflect information that subsequently becomes available.
In general, the valuation numbers presented in this report are prepared by the custodian bank for listed securities, and by the fund
manager or appropriate General Partner in the case of unlisted securities. The data used in the market comparison sections of this
report are sourced from various databases. These data are continuously updated and are subject to change.
This report does not contain all the information necessary to fully evaluate the potential risks of any of the investments described
herein. Because of inherent uncertainties involved in the valuations of investments that are not publicly traded, any estimated fair
values shown in this report may differ significantly from the values that would have been used had a ready market for the underlying
securities existed, and the differences could be material. Note that for unlisted securities the valuations may be lagged by one or more
calendar quarters,or may reflect original cost.
This document may contain certain forward-looking statements,forecasts, estimates, projections, and opinions("Forward Statements').
No representation is made or will be made that any Forward Statements will be achieved or will prove to be correct. A number of
factors, in addition to any risk factors stated in this material, could cause actual future results to vary materially from the Forward
Statements. No representation is given that the assumptions disclosed in this document upon which Forward Statements may be
based are reasonable. There can be no assurance that the investment strategy or objective of any fund or investment will be achieved,
or that the Retirement System will receive a return of the amount invested.
In some cases Meketa Investment Group assists the Retirement Board in handling capital calls or asset transfers among investment
managers. In these cases we do not make any representations as to the managers' use of the funds, but do confirm that the capital
called or transferred is within the amounts authorized by the Retirement Board.
.,,..n. ......—----____—-�,.,,,,,,,,,,,,,. ,,,._. ....___...........
MPrepared by Meketa tnvestmwt Group
Page 31 of 35
Town of Lexington Retirement System
•
Credit Risk: Refers to the risk that the issuer of a fixed income security may default (i.e., the issuer will be unable to make timely
principal and/or interest payments on the security.)
Duration: Measure of the sensitivity of the price of a bond to a change in its yield to maturity. Duration summarizes, in a single
number, the characteristics that cause bond prices to change in response to a change in interest rates. For example, the price of a
bond with a duration of three years will rise by approximately 3% for each 1% decrease in its yield to maturity. Conversely, the price
will decrease 3%for each 1% increase in the bond's yield. Price changes for two different bonds can be compared using duration. A
bond with a duration of six years will exhibit twice the percentage price change of a bond with a three-year duration. The actual
calculation of a bond's duration is somewhat complicated, but the idea behind the calculation is straightforward. The first step is to
measure the time interval until receipt for each cash flow(coupon and principal payments)from a bond. The second step is to compute
a weighted average of these time intervals. Each time interval is measured by the present value of that cash now. This weighted
average is the duration of the bond measured in years.
Information Ratio: This statistic is a measure of the consistency of a portfolio's performance relative to a benchmark. It is calculated
by subtracting the benchmark return from the portfolio return (excess return), and dividing the resulting excess return by the standard
deviation (volatility) of this excess return. A positive information ratio indicates outperformance versus the benchmark, and the higher
the information ratio,the more consistent the outperformance.
Market Capitalization: For a firm, market capitalization is the total market value of outstanding common stock. For a portfolio, market
capitalization is the sum of the capitalization of each company weighted by the ratio of holdings in that company to total portfolio
holdings; thus it is a weighted-average capitalization. Meketa Investment Group considers the largest 65% of the broad domestic
equity market as large capitalization, the next 25% of the market as medium capitalization, and the smallest 10% of stocks as small
capitalization.
Market Weighted: Stocks in many indices are weighted based on the total market capitalization of the issue. Thus, the individual
returns of higher market-capitalization issues will more heavily influence an index's return than the returns of the smaller market-
capitalization issues in the index.
Maturity: The date on which a loan, bond,mortgage, or other debt/security becomes due and is to be paid off.
Prepayment Risk: The risk that prepayments will increase (homeowners will prepay all or part of their mortgage) when mortgage
interest rates decline; hence, investors' monies will be returned to them in a lower interest rate environment. Also, the risk that
prepayments will slow down when mortgage interest rates rise; hence, investors will not have as much money as previously anticipated
in a higher interest rate environment. A prepayment is any payment in excess of the scheduled mortgage payment.
MPrepared by Meketa Investment 6 map
Page 32 of 35
Town of Lexington Retirement System
011
Price-Book Value (P/B) Ratio: The current market price of a stock divided by its book value per share. Meketa Investment Group
calculates P/B as the current price divided by Compustat's quarterly common equity. Common equity includes common stock, capital
surplus, retained earnings, and treasury stock adjusted for both common and nonredeemable preferred stock. Similar to high PIE
stocks,stocks with high P/B's tend to be riskier investments.
Price-Earnings (PIE) Ratio: A stock's market price divided by its current or estimated future earnings. Lower PIE ratios often
characterize stocks in low growth or mature industries, stocks in groups that have fallen out of favor, or stocks of established blue chip
companies with long records of stable earnings and regular dividends. Sometimes a company that has good fundamentals may be
viewed unfavorably by the market if it is an industry that is temporarily out of favor. Or a business may have experienced financial
problems causing investors to be skeptical about is future. Either of these situations would result in lower relative PIE ratios. Some
stocks exhibit above-average sales and earnings growth or expectations for above average growth. Consequently, investors are willing
to pay more for these companies' earnings, which results in elevated PIE ratios. In other words, investors will pay more for shares of
companies whose profits, in their opinion,are expected to increase faster than average. Because future events are in no way assured,
high PIE stocks tend to be riskier and more volatile investments. Meketa Investment Group calculates PIE as the current price divided
by the I/B/E/S consensus of twelve-month forecast earnings per share.
Quality Rating: The rank assigned a security by such rating services as Fitch, Moody's, and Standard & Poor's. The rating may be
determined by such factors as (1) the likelihood of fulfillment of dividend, income, and principal payment of obligations; (2) the nature
and provisions of the issue; and (3) the security's relative position in the event of liquidation of the company. Bonds assigned the top
four grades (AAA, AA, A, BBB) are considered investment grade because they are eligible bank investments as determined by the
controller of the currency.
Sharpe Ratio: A commonly used measure of risk-adjusted return. It is calculated by subtracting the risk free return (usually three-
month Treasury bill) from the portfolio return and dividing the resulting excess return by the portfolio's total risk level (standard
deviation). The result is a measure of return per unit of total risk taken. The higher the Sharpe ratio,the better the fund's historical risk
adjusted performance.
Standard Deviation: A measure of the total risk of an asset or a portfolio. Standard deviation measures the dispersion of a set of
numbers around a central point (e.g., the average return). If the standard deviation is small, the distribution is concentrated within a
narrow range of values. For a normal distribution, about two thirds of the observations will fall within one standard deviation of the
mean,and 95%of the observations will fall within two standard deviations of the mean.
STIF Account: Short-term investment fund at a custodian bank that invests in cash-equivalent instruments. It is generally used to
safely invest the excess cash held by portfolio managers.
MProp"by Nekete Investment Group
Page 33 of 35
Town of Lexington Retirement System
•
Style: The description of the type of approach and strategy utilized by an investment manager to manage funds. For example, the
style for equities is determined by portfolio characteristics such as price-to-book value, price-to-earnings ratio, and dividend yield.
Equity styles include growth,value,and core.
Yield to Maturity: The yield, or return, provided by a bond to its maturity date; determined by a mathematical process, usually
requiring the use of a "basis book." For example, a 5% bond pays $5 a year interest on each $100 par value. To figure its current
yield,divide$5 by$95—the market price of the bond--and you get 5.26%. Assume that the same bond is due to mature in five years.
On the maturity date, the issuer is pledged to pay$100 for the bond that can be bought now for$95. In other words,the bond is selling
at a discount of 5% below par value. To figure yield to maturity, a simple and approximate method is to divide 5% by the five years to
maturity,which equals 1%pro rata yearly. Add that 1%to the 5.26%current yield,and the yield to maturity is roughly 6.26%.
5% 'discounter 1%pro rata,plus _ o
5(yrs.to maturity) - 5.26%(current yield) - 6.26/o(yield to maturity)
Sources: Investment Terminolo-gy, International Foundation of Employee Benefit Plans, 1999.
The Handbook of Fixed Income Securities, Fabozzi, Frank J., 1991.
,w_�.._.._.._.._................... —__,,,
MPrepared by Makeh krveebnmt Group
Page 34 of 35
Town of Lexington Retirement System
The Russell Indices`,TM,SM are trademarks/service marks of the Frank Russell Company.
Throughout this report,numbers may not sum due to rounding.
Returns for periods greater than one year are annualized throughout this report.
Values shown are in millions of dollars, unless noted otherwise.
Pmpamd by Meketa Invectmmt C+ p
Page 35 of 35