INVESTMENT MANAGER SUMMARY · 2017. 5. 10. · AbbVie Inc. Air Canada American Electric Power System Canadian Pacific Canada Post Pension Plan Cargill, Inc. Chugai Pharma CPF CoINVEST

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Item No. 16: Annual Presentation by Wellington Management – Emerging Markets Equity Manager (May 10, 2017, Regular Retirement Board Meeting)

INVESTMENT MANAGER SUMMARY

MANAGEMENT Firm Name Wellington Management Manager Tenure with Fund 8 Months Investment Strategy/Vehicle Emerging Markets Equity Contract Expiration 06/30/2019

ASSETS Total Firm AUM (03/31/2017) $1,019 Billion Total Firm Assets in Strategy (03/31/2017) $1.4 Billion Total Assets Managed for WPERP (03/31/2017) RP - $285.0 Million

HP - $47.5 Million

PERFORMANCE As of 03/31/2016 Calendar

Y-T-D 1 Year 3 Year Inception

Wellington Emerging Markets (gross) 14.12% -- -- 9.31% Wellington Emerging Markets (est. net) 13.96% -- -- 9.00% MSCI Emerging Markets IMI ND 11.65% -- -- 6.69% Difference (net of fees) 2.31% -- -- 2.31%

Fees Schedule 57 bps on all assets

WATCH STATUS N/A

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Cover-Full Image-InsideWMCNONO

Emerging Markets Systematic Equity

Wellington Management Company LLP

Los Angeles Department of Water and Power

10 May 2017Michael P. McElroy, CFA Managing Director and Investment Director, Equity Product Management Charles C. Ruch, CFA Managing Director and Relationship Manager

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Copyright © 2017 All Rights Reserved2001070596/451746_0/451746/451746A

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Representing Wellington ManagementTitle Line 2

Michael P. McElroy, CFAManaging Director and Investment Director, Equity Product Management

Mike works closely with investors to help ensure the integrity of their investment approach. This includes meeting with the team on a regular basis and providing oversight of portfolio positioning, performance, and risk exposures, as well as managing business issues such as capacity, fees, and guidelines.

Prior to joining Wellington Management in 2013, Mike worked at Batterymarch Financial Management, where he was senior portfolio manager and head of global equities.

Mike received both an MS in management and an MS in transportation planning from the Massachusetts Institute of Technology (1992), and a BS in applied mathematics from the Massachusetts Institute of Technology (1987). In addition, he holds the Chartered Financial Analyst designation.

Charles C. Ruch, CFAManaging Director and Relationship Manager

Charlie works with clients in the western US, including endowments, foundations, public funds, and corporate pension plans. Charlie is responsible for assisting clients with long-term investment strategy and policy issues, evaluating portfolio risks and performance, and meeting with clients to discuss investment- and business-related issues on a regular basis.

Charlie joined Wellington Management in 2006 as a portfolio communications manager, covering specific investment products and assisting with investment-related communications to clients. Prior to joining Wellington Management, he was a research associate at Oppenheimer & Co.

Charlie graduated from Harvard Business School with an MBA (2005). He earned his BA in history and science from Harvard University (1997) and was a DAAD fellow at the Technische Universität München in Germany (1998). Additionally, Charlie holds the Chartered Financial Analyst designation.

A Los Angeles Department ofWater and Power A10 May 2017 A1 1

Copyright © 2017 All Rights Reserved2000635965/452866_0/G1039/G1039

A Los Angeles Department ofWater and Power A10 May 2017

Wellington Management todayTitle Line 2A trusted advisor and strategic partner to clients worldwide

BY THE NUMBERS

BusinessUS$1,019 billion of client assets under management

2,150+ clients

65+ countries in which clients are based

People and portfolios655 investment professionals

17 years of experience, on average

163 partners all active at the firm

Heritage: key dates1928 Wellington Fund – first

US balanced fund

1979 Establishment of private partnership

1994 First long – short strategy launched

As of 31 March 2017

OWNERSHIP MODELLong-term perspective of a private partnership structure

Attract and retain investment talent

Independent: No public shareholders, no outside capital

Interests aligned with clients

BUSINESS MODELSingular focus on investment management

Diversification by asset class, geography, and client type

Research for client benefit only

Commitment to bringing the right resources to each client

INVESTMENT MODELComprehensive capabilities

Rigorous proprietary research

Career analysts

Global resources

Empowered portfolio teams

CULTUREOpen, collaborative

Performance driven

Professional/collegial

High standards, ethics, and integrity

Global diversity and inclusion

Contributors to firm

sustainability

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Depth, experience, and continuity create interpretation advantageTitle Line 2

1Wellington Funds Group and Wellington Alternative Investments | As of 31 March 2017

Avg years of professional experience Total number of investment professionals: 655Avg years with Wellington Management

Central Research

Global Industry Analysts 56Quantitative Analysts 13

Global Derivatives 4Global Macroanalysis 8

Technical Analysis 3ESG Research 3

Equity Portfolio Analysts 13

Equities Portfolio Management 51Research Analysis 64

Product Management 39

Fixed Income

Portfolio Management 62Fixed Income Strategists 12

Credit Analysis 41Quantitative Analysis 8

Product Management 41Portfolio Analysis 28

Multi-Asset

Portfolio Management 20Research Analysis 18

Product Management 13

Equity and Fixed Income Traders 57

Management 38

Research Associates 43

Commo dities Portfolio Management 1Commodities Analysis 2Product Management 2

WFG/WAI1 Management and Directors 9Portfolio Specialists 6

0 5 10 15 20 25

Investors draw on rigorous, proprietary research

We conduct research through fundamental; environmental, social, and corporate governance (ESG); quantitative; macro; and technical lenses

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Representative client listTitle Line 2

As of 31 March 2017 | Clients included on the list above were selected based on client type, account size, and/or other nonperformance-based criteria to show a list of representative clients. This list does not represent an endorsement of the firm or its services.

Corporate Retirement Plans

AbbVie Inc.Air CanadaAmerican Electric Power SystemCanadian PacificCanada Post Pension PlanCargill, Inc.Chugai Pharma CPFCoINVEST LimitedDow ChemicalGaishoku-Sangyo JF Pension FundGeneral MillsGraymont, Inc.Hallmark Cards, Inc.International Paper CompanyMedtronic, Inc.Merck & CompanyMKS InstrumentsMolson Coors Brewing CompanyNational Provident FundPG&E CorporationRailways Pension SchemeRoll GroupRoyal Bank of CanadaSiemens CorporationSPF BeheerTELUSTextron, Inc.TransCanada PipeLines

Insurance (general account assets)

Ballantyne ReHiscoxInfinity P&CMortgage Guaranty

Endowments, Foundations, and Family Offices

Chicago Symphony OrchestraMassachusetts Institute of TechnologyMercy HealthRenaissance Charitable FoundationStanhope CapitalUnited Jewish Welfare FundUniversity of KentuckyUS Olympic Endowment

Public Sector, Sovereign, and Taft-Hartley

Alberta Teachers’ Retirement FundBritish Columbia Investment Management CorporationFlintshire County CouncilGovernment of BermudaHospital Authority Provident Fund SchemeMassachusetts Laborers’ Pension FundOhio Carpenters’ Pension FundOklahoma Teachers Retirement SystemOregon Laborers – Employers Pension Trust FundState of OregonTreasurer of the State of North Carolina

Subadvisory Relationships

GAMNikko Asset ManagementUOB Asset Management LtdVanguard

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Los Angeles Department of Water and PowerTitle Line 2Relationship review

Investment assignment Emerging Markets Systematic Equity

Portfolio inception 30 September 2016

Relationship team Charles Ruch, CFA; Stephen Crisan, CFA

31 March 2017 Market values

Employees’ Retirement Plan portfolio $285.1 million

Employees’ Health Plan portfolio 47.5 million

EMSE – total strategy AUM 1.4 billion

Wellington – total firm AUM 1,019 billion



David J. Elliott, CFA, FRM Co-Director, Quantitative Investment Group Senior Managing Director Portfolio management University of Massachusetts (Amherst) 1989, BS 28 years of professional experience 22 years at Wellington Management

Mark A. Yarger, CFA Quantitative AnalystManaging Director Factor models Babson College 2008, MBA 28 years of professional experience 17 years at Wellington Management

Frank Xia, CFA Quantitative AnalystVice President Risk management Carnegie Mellon University 2006, MS 14 years of professional experience 10 years at Wellington Management

Michael P. McElroy, CFA Investment DirectorManaging Director Business management Massachusetts Institute of Technology (Sloan) 1992, MS 30 years of professional experience 3 years at Wellington Management


Emerging Markets Systematic EquityTitle Line 2Portfolio Management Team

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Emerging Markets Systematic EquityTitle Line 2Specialized research evolves the process

“We seek to find investment opportunities in the gap between how markets should behave and how they do behave.” – CHRISTOPHER GROHE, CFA

Cheryl D. NortonMA, Bentley University

20 years experience

Mark A. Yarger, CFAMBA, Babson College28 years experience

Frank Xia, CFAMS, Beijing University, MS, Emory University, MS, Carnegie Mellon University 14 years experience

Sharon Gu, CFAMS, Cornell University

7 years experience

Yang Du, PhDPhD, Northeastern University

7 years experience

David Goddeau, PhDPhD, Massachusetts Institute of Technology

35 years experience

Kenneth J. VanderpoolBS, Columbia University

6 years experience

David J. Elliott, CFA, FRMBS, University of Massachusetts, Amherst

28 years experience

Christopher R. Grohe, CFAMBA, Massachusetts Institute of Technology22 years experience

Donald S. TunnellMBA, University of Chicago29 years experience

Michael P. McElroy, CFAMS, Massachusetts Institute of Technology30 years experience

Owen Lamont, PhDPhD, Massachusetts Institute of Technology25 years of experience

Andrew T. Liu, CFABA, Williams College6 years of experience

Tom J. Bok, PhDPhD, Harvard University16 years experience

“ Our research is ongoing. It is the ceaseless pursuit of truth in a changing world.” – OWEN LAMONT, PhD

“We all write code. We have no silos between factor research and portfolio management. Self-sufficiency can eliminate bottlenecks and allows us to prototype and test ideas rapidly.” – TOM BOK, PhD

PORTFOLIO OPERATIONAL MANAGEMENT

PORTFOLIO OPERATIONAL MANAGEMENT

RESEARCH INFRASTRUCTURE

MACHINE LEARNING

RESEARCH DATA ANALyTICS

RESEARCH ANALyTICS

BEHAVIORAL FINANCE

PORTFOLIO ENGINEERING

PORTFOLIO MANAGEMENT

PORTFOLIO OVERSIGHT

FACTOR MODELS & SHORTING

FACTOR TIMINGOUR

RESEARCH PASSION

EVENT-DRIVEN STRATEGIES

MICROSTRUCTUREMARKET

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Copyright © 2016 All Rights Reserved


Emerging Markets Systematic Equity (EMSE)Title Line 2What role can EMSE play and what is our competitive advantage?

2000966782/436970_3/G2236/G2236

Why should clients consider EMSE?

Employs a systematic approach to investing in emerging markets equities

Systematic approaches have historically been effective in emerging markets

Low alpha correlation with other emerging markets approaches

Consistent historical performance across a range of market environments

What is our competitive advantage?

Contextual alpha model

Uses a proprietary framework to weight factors at the stock level based on company-specific indicators

Risk management

A holistic approach based on EM-specific risk drivers, which considers both historical and forward-looking indicators; enables portfolio risk to be focused on stock-specific drivers and allows for more responsive risk adjustments

Transaction cost management

EM costs average about twice those of developed markets; model integrates cost considerations into every trading decision

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Copyright © 2017 All Rights Reserved2001074156/452866_0/451989/G2236


Emerging Markets Systematic EquityTitle Line 2Investment philosophy, approach, and objective

Investment philosophyWe believe…Certain stock-level factors are strongly associated with future relative performance

The use of multiple factors is important

Optimizing the opportunity set requires managing the returns, risks and costs

Tools and techniques must constantly evolve to be successful

Approach and investment objectiveWe seek long-term results in excess of the MSCI Emerging Markets IMI benchmark. EMSE employs an integrated set of proprietary emerging markets alpha sources, a proprietary risk framework, and proprietary trading techniques which seek to minimize cost in pursuit of a consistent alpha orientation with attractive upside and downside capture.

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Outcomes/ Model enhancements

Quality factor signals reconfigured for REITs

Contextual model differentiates stocks based on issuer characteristics and importance of specific factors

New insight drives quant research

REITs tend to rely on issuing new shares to fund their growth

A tech company behaves more like a utility, with stable cash flow and dividend


Emerging Markets Systematic EquityTitle Line 2Collaboration: Systematic process benefits from fundamental insights

“ Good ideas are the lifeblood of research. Having access to a deep team of experts at Wellington helps shape our research agenda and improve our systematic process.” – Don Tunnell

Conventional view

Companies that issue shares typically underperform those that buy them back

All companies in a sector generally respond to the same pricing and behavioral dynamics

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Emerging Markets Systematic EquityTitle Line 2Investment process

The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be out-side of stated ranges. | Axioma/IPOPT – optimization tool that combines the inputs from the quantita-tive equity model, transaction cost model, and risk model. | QRM – proprietary quantitative risk model used in the process. | QE Model – proprietary quanti-tative equity model used in the process.

> 150 names, Sector/Country

weights ±5% of index,

Tracking Risk 2 – 4%

EMSE portfolio

Proprietary Quantitative Equity (QE) Models

Proprietary Risk Model (QRM)

Proprietary Transaction Cost Model

Portfolio Optimization (Axioma/IPOPT)

Alpha forecast

Risk forecast

Transaction cost prediction

3 proprietary models inform the optimizer

Optimizer maximizes return/risk subject to costs

Portfolio reflects optimal expected risk adjusted return after costs

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Emerging Markets Systematic EquityTitle Line 2Quantitative Equity ModelSecurity evaluation – Diverse alpha sources

QE Model Forecasts

Fair value

Long-term momentum

Pure value

Short-term momentum

Management behavior

Earnings quality

Contextual Alpha ModelStocks classified along a spectrum of information uncertainty and assigned unique factor weights

Short-Term ModelAims to predict relative performance of global equities, with a time horizon of 1 – 4 weeks

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Emerging Markets Systematic EquityTitle Line 2Proprietary Quantitative Risk Model (QRM)Specifically tuned to proprietary alpha engine

Market data represents the S&P 500 Index. | Data provided is that of a third party. While data is believed to be reliable, no assurance is being provided as to its accuracy or completeness | Sources: S&P, Wellington Management, third party risk model

1/01 3/03 5/05 7/07 9/09 11/11 1/14 3/16

0

20

40

60

80Realized risk

Predicted risk (3rd party generic model)

Predicted risk (QRM)

Total risk prediction: Market predicted vs realized risk comparison (3-month windows) Standard deviation of returns (%)

BenefitsImproved risk prediction accuracy

Faster response to changes in risk regimes

Potential outcomesMore efficient alpha transfer from alignment with alpha model

Crowd avoidance via differentiated portfolio holdings

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Sample report is provided for illustrative purposes only. | Source: Wellington Management


Emerging Markets Systematic EquityTitle Line 2How we control transaction costs

2000996277/440719_0/G1494/G1494

Proprietary Transaction Cost ModelIntegrates cost considerations into every trading decision

Tuned to our trading style

Incorporates country-specific fees, taxes, commissions and stamp duties

Minimal-impact Execution ProcessPatient trade horizon/low liquidity consumption

Efficient execution by our Global Program Trading Desk

Transaction Cost MonitoringProprietary cost reporting tool delivers comprehensive cost analytics T+1

Visualization tools summarize execution patterns and allow drill-down into individual orders

Sample Report

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Emerging Markets Systematic EquityTitle Line 2Portfolio construction and risk controls

The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be out-side of stated ranges.

Benchmark: MSCI Emerging Markets Index

Position size

Relative weight ±3%

Sector weights

Typically within ±5% of the MSCI Emerging Markets Index sector weight

Country weights

Typically within ±5% of the MSCI Emerging Markets Index country weight

Market cap size limitations

Within the range of the benchmark

Number of holdings

Number of holdings Typically > 150

Other

Cash Typically < 5%

Derivatives To equitize cash

Regular portfolio and risk reviews by Product Management and Investment Review Group

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Los Angeles Dept of Water and PowerTitle Line 2Summary of guidelines

The portfolios have been in compliance with investment guidelines since the inception of the accounts (September 2016)• Benchmark:MSCIEmergingMarketsIMIND• Permittedinvestments:securitiesofnon-UScompaniesdoingbusinessinemergingmarkets,includingREITsanddepositaryreceipts;ETF’salsopermitted.

• Minimummarketcapitalizationforeligibleinvestments:$100million• 144Asecuritieswithoutregistrationrightslimitedto10%ofportfolio• Non-currencyderivativesarenotpermittedwithouttheconsentofthePlan• Currencyhedgingpermitted,upto25%ofportfoliovalue• Nogreaterthan7%investedinasingleissuer• Securitieswithgreaterthan10%ofoutstandingsharesheldbyWellingtonare

not permitted• Turnovernormallylessthan200%fortwelvemonthperiods• Trailingtwelvemonthprice-to-earningsnormallywithin±.5xrangeofbenchmark• Averagedividendyieldnormallywithin±.5xofbenchmark• Betanormallysimilartobenchmarkonarolling24-monthbasis


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Market OverviewTitle Line 2Update and Outlook

We believe the environment well-suited for systematic techniques

Our Emerging Markets stock selection model was solidly positive in Q1 2017

Value and Momentum themes were strongest contributors

Quality theme slightly negative for quarter, reflecting a market more favorable to companies seeking capital and investing capital

Cross-sectional correlations between stocks falling, which allows for stock selection to be more effective




Emerging Markets Systematic Equity CompositeTitle Line 2Performance in various market environmentsAverage gross excess monthly returns Sep 2009 to Mar 2017

Environments evaluated using MSCI Emerging Markets Index returns and Barra GEM2L factor returns. Average excess monthly returns calculated relative to the MSCI Emerging Markets Index. | Data provided is that of a third party. While data is believed to be reli-able, no assurance is being provided as to its accuracy or completeness. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other indirect expenses, and include reinvestment of divi-dends. If all expenses were reflected, the performance shown would be lower. Actual fees will vary depending on, among other things, the applicable fee schedule and account size. For example, if US$100,000 was invested and experienced a 10% annual return compounded monthly for ten years, its ending value, without giving effect to the deduction of advisory fees, would be US$270,704 with an annualized compounded return of 10.47%. If an advisory fee of 0.95% of average net assets per year were deducted monthly for the ten-year period, the annualized com-pounded return would be 9.43% and the ending dollar value would be US$246,355. Information regarding the firm’s advisory fees is available upon request. Composite returns have the potential to be adjusted until reviewed and finalized 30 days following each calendar quarter end period. Past performance is no guarantee of future results. For use in one-on-one presentations only. This supplemental information complements the GIPS® compliant presentation pro-vided in the attachment. The charts show the average monthly return of the Emerging Markets Systematic Equity Composite during positive and negative environ-ments for each factor. The specific factors shown were selected because they were deemed to be relevant to this approach. Not all factors that exist are shown.

Largeup

Highgrowth

Valueup

Highvol

Momentum Highquality

EMup

Risingoil

Risinggold

Risingcommodities

0

20

40

60

Avg

mon

thly

alp

ha (b

ps)

Smallup

Lowgrowth

Valuedown

Lowvol

Contrarian Lowquality

EMdown

Fallingoil

Fallinggold

Fallingcommodities

0

20

40

60

Avg

mon

thly

alp

ha (b

ps)

% of months 49 59 74 48 69 58 53 49 56 53

% time O/P 61 66 55 65 68 63 69 66 72 67

% of months 51 41 26 52 31 42 47 51 44 47

% time O/P 65 59 87 62 54 63 57 61 53 60

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Emerging Markets Systematic EquityTitle Line 2Notes page for market environments

Global Market Environments defined asLarge Up/Small Up: evaluated by using the Size factor returns from MSCI Barra’s Global Equity Model (GEM2L)

High Growth/Low Growth: evaluated by using the Growth factor returns from MSCI Barra’s Global Equity Model (GEM2L)

Value Up/Value Down: evaluated by using the Value factor returns from MSCI Barra’s Global Equity Model (GEM2L)

Vol Up/Vol Down: evaluated by using the Volatility factor returns from Barra’s Global Equity Model (GEM2L)

Momentum/Contrarian: evaluated using the Momentum factor returns from Barra’s Global Equity Model (GEM2L)

High Quality/Low Quality: evaluated by comparing the returns of top quintile “quality” (i.e., several aggregated valuation metrics including debt-to-equity ratio, ROIC, earnings stability, dividend yield, dividend growth, and accruals over time) versus companies with bottom quintile “quality” within the MSCI Emerging Markets Index

EM Up/EM Down: evaluated using 1-month % total return of the MSCI Emerging Markets Index

Rising Oil/Falling Oil: evaluated using 1-month % change in NYMEX West Texas Intermediate spot price

Rising Gold/Falling Gold: evaluated using 1-month % change in COMEX spot price

Rising Commodities/Falling Commodities: evaluated using 1-month % change of the Goldman Sachs Commodity Index (GSCI)

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Emerging Markets Systematic Equity CompositeTitle Line 2Performance in various sector environmentsAverage gross monthly excess returns Sep 2009 to Mar 2017

Consdiscretionary

Consstaples

Energy Financials Healthcare

Industrials Infotechnology

Materials Telecomsvcs

Utilities0

20

40

Avg

mon

thly

exce

ss re

turn

(bps

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Consdiscretionary

Consstaples

Energy Financials Healthcare

Industrials Infotechnology

Materials Telecomsvcs

Utilities0

20

40

Avg

mon

thly

exce

ss re

turn

(bps

)

Environments evaluated using MSCI Emerging Markets Index returns and Barra GEM2L factor returns. Data provided is that of a third party. While data is believed to be reliable, no assurance is being provided as to its accuracy or completeness. Average excess monthly returns calculated relative to the MSCI Emerging Markets Index. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other indirect expenses, and include reinvestment of divi-dends. If all expenses were reflected, the performance shown would be lower. Actual fees will vary depending on, among other things, the applicable fee schedule and account size. For example, if US$100,000 was invested and experienced a 10% annual return compounded monthly for ten years, its ending value, without giving effect to the deduction of advisory fees, would be US$270,704 with an annualized compounded return of 10.47%. If an advisory fee of 0.95% of average net assets per year were deducted monthly for the ten-year period, the annualized com-pounded return would be 9.43% and the ending dollar value would be US$246,355. Information regarding the firm’s advisory fees is available upon request. Composite returns have the potential to be adjusted until reviewed and finalized 30 days following each calendar quarter end period. Past performance is no guarantee of future results. For use in one-on-one presentations only. This supplemental information complements the GIPS® compliant presentation pro-vided in the attachment.

Sectors leading the broad market

Sectors lagging the broad market

% of months 58 56 40 49 60 43 58 42 49 46

% time O/P 71 70 56 59 69 67 65 63 55 63

% of months 42 44 60 51 40 57 42 58 51 54

% time O/P 53 55 69 67 56 61 61 63 72 63

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Copyright © 2017 All Rights Reserved2001072250/452866_0/451989/G2236A

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Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Investment returns (US$) through 31 March 2017

YTD 3 mos Since inception1

LA Water & Power Employees’ Retirement Plan (gross) 14.2 14.2 9.4

LA Water & Power Employees’ Retirement Plan (net) 14.0 14.0 9.1

MSCI Emerging Markets IMI Net 11.7 11.7 6.7

Active return (net vs benchmark) 2.4 2.4 2.4

LA Water & Power Employees’ Health Plan (gross) 14.3 14.3 9.5

LA Water & Power Employees’ Health Plan (net) 14.1 14.1 9.2

MSCI Emerging Markets IMI Net 11.7 11.7 6.7

Active return (net vs benchmark) 2.5 2.5 2.5


¹Portfolio inception date is 30 September 2016. | Active Return may not total exactly due to rounding. | Performance returns for periods one year or less are not annualized. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.

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Copyright © 2017 All Rights Reserved2000010376/452866_0/G2236/G2236A

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Emerging Markets Systematic Equity CompositeTitle Line 2Investment returns (US$) through 31 March 2017

Annualized returns (%)

1 yr 2 yrs 3 yrs 5 yrs Since inception1

Emerging Markets Systematic Equity Composite (gross) 22.9 3.6 3.5 3.5 6.2

MSCI Emerging Markets Index 17.7 1.9 1.5 1.2 3.4

Active return (gross vs benchmark) 5.3 1.7 1.9 2.4 2.8

YTD 2016 2015 2014

Emerging Markets Systematic Equity Composite (gross) 14.0 11.9 -13.3 -0.4

MSCI Emerging Markets Index 11.5 11.6 -14.6 -1.8

Active return (gross vs benchmark) 2.5 0.3 0.3 1.3

2013 2012 2011 2010

Emerging Markets Systematic Equity Composite (gross) 1.2 24.1 -15.0 22.1

MSCI Emerging Markets Index -2.3 18.6 -18.2 19.2

Active return (gross vs benchmark) 1.4 3.4 5.4 3.2


1Composite inception is 30 September 2009. | Totals may not add due to rounding. | Performance returns for periods one year or less are not annualized. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Gross performance results are net of commissions and other direct expenses, but before (gross of) advi-sory fees, custody charges, withholding taxes, and other indirect expenses, and include reinvestment of dividends and other earnings. If all expenses were reflected, the performance shown would be lower. Actual fees will vary depending on, among other things, the applicable fee schedule and account size. For example, if US$100,000 was invested and expe-rienced a 10% annual return compounded monthly for ten years, its ending value, without giving effect to the deduction of advisory fees, would be US$270,704 with an annualized compounded return of 10.47%. If an advisory fee of 0.95% of average net assets per year were deducted monthly for the ten-year period, the annualized compounded return would be 9.43% and the ending dollar value would be US$246,355. Information regarding the firm’s advisory fees is available upon request. Composite returns have the potential to be adjusted until reviewed and finalized 30 days following each calendar quarter end period. For use in one-on-one presentations only. This supple-mental information complements the GIPS® compliant presentation provided in the attachment.

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Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Performance attribution by sector: Since Inception ended 31 March 2017Portfolio: 9.4%; Index¹: 6.7%


1MSCI Emerging Markets IMI. | The data referenced is for the LA Water & Power Employees’ Retirement Plan Portfolio.

Allocation Security selection100

50

0

-50

-100

Sector attribution (basis points)

14

Energy

4

Consdiscretionary

-2

Infotechnology

-8

RealEstate

0

Financials

2

Healthcare

-4

Utilities

15

Consstaples

10

Telecomsvcs

-6

Materials

0

Industrials

76 74 74

55

26 16 11 8

-1

-26

-67

Top relative contributors

Company SectorRelative impact

Geely Automobile Holdings Cons discretionary 44 bps

Vedanta Materials 41

Gazprom Energy 35

Polski Koncern Nafto Energy 32

GAIL India Utilities 28

China Mobile Telecom svcs 21

Winbond Electronics Info technology 18

NetEase Info technology 17

POSCO Materials 17

Country Garden Real Estate 16

Top relative detractors

Company SectorRelative impact

Vale Materials -31 bps

Tenaga Nasional Utilities -20

Silicon Motion Technology Info technology -16

Tong Yang Industry Cons discretionary -15

Telekomunikasi Indonesia Telecom svcs -15

Brait Financials -15

Korea Electric Power Utilities -14

Dr. Reddy’s Labs Health care -13

Tata Motors Cons discretionary -13

Hyundai Development Industrials -13

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1MSCI Emerging Markets IMI | The data referenced is for the LA Water & Power Employees’ Retirement Plan Portfolio.


Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Performance attribution by country: Since inception ended 31 March 2017Portfolio: 9.4%; Index¹: 6.7%

2001073073/451989_2/451989/366270

China SouthKorea

Russia India Indonesia SouthAfrica

Malaysia Turkey Mexico Taiwan-50

0

50

100

150

200

-4.8

168.7

5.4

79.0

19.39.1

-5.4

20.1

0.8

18.8

3.6

-9.8

6.1

-10.3 -4.3-10.5 -6.4

-30.9

-1.4

-35.7

Allocation Security selection

Country attribution (basis points)

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Copyright © 2017 All Rights Reserved2001073074/451989_2/451989/G2236


Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Performance attribution by factors: Since inception ended 31 March 2017Portfolio: 9.4%; Index¹: 6.7%

1MSCI Emerging Markets IMI | The data referenced is for the LA Water & Power Employees’ Retirement Plan Portfolio. | Source: Wellington Management Quantitative Investment Group | Data calculating cumulative allocation impact of exposures to propri-etary Quantitative Risk Model (QRM) factors.

Specific

Region

Currency

Other(trading & costs)

Country

Industry

Style

QE Model

-100 0 100 200 300

-17.9

-15.7

-1.4

5.7

10.8

13.8

18.0

252.6Alpha (bps)

Quantitative Risk Model factor attribution QE model Impact

Value 185.0

Momentum 43.8

Quality 23.8

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Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Sector weights as of 31 March 2017

LA Water & Power EMSE MSCI Emerging Markets IMI30

25

20

15

10

5

0

% of equity

Overweight Underweight

5.3

Real Estate

8.3

Energy

4.3

Utilities

9.2

Materials

3.5

Health care

22.0

Financials

22.9

Info technology

3.3

Telecom svcs

5.4

Industrials

5.1

Cons staples

9.6

Cons discretionary

3.4

6.6

3.0

8.0

3.2

22.0

23.5

5.0

7.1 6.9

11.4


Data shown is representative of the LA Water & Power Employees’ Retirement Plan portfolio.

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Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Country weights as of 31 March 2017

LA Water & Power EMSE MSCI Emerging Markets IMI40

30

20

10

0

% of equity

Overweight Underweight

28.8

China

17.7

South Korea

4.9

Thailand

2.1

Poland

1.8

Turkey

0.5

Hungary

7.5

Brazil

0.6

Colombia

12.9

Taiwan

2.2

Indonesia

2.0

Malaysia

5.9

South Africa

2.9

Mexico

2.5

Russia

7.3

India

0.5

Other

26.3

15.3

2.51.2 1.0

0.3

7.2

0.4

13.0

2.5 2.5

6.5

3.6 3.4

9.4

4.9


Data shown is representative of the LA Water & Power Employees’ Retirement Plan portfolio.

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5

Copyright © 2017 All Rights Reserved2001074531/452344_1/452344/452344


Los Angeles Department of Water and PowerTitle Line 2Change in market value through 31 March 2017

Employees’ Retirement Plan portfolio ($ mil)

Employees’ Health Plan portfolio ($ mil)

Initial funding (cash and in-kind transfers) – September 2016

265.35 44.19

Contributions – September 2016 to March 2017

0.60 0.10

Capital appreciation and income 19.11 3.21

Ending market value 285.06 47.50

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Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Top ten active weights as of 31 March 2017

Company Industry CountryPortfolio weight¹

Benchmark weight²

Active weight

NetEase Software & svcs China 1.9 0.4 1.4

Nedbank Group Banks South Africa 1.4 0.1 1.3

Tenaga Nasional Utilities Malaysia 1.5 0.2 1.3

Tencent Software & svcs China 2.0 3.2 -1.3

Vedanta Materials India 1.2 0.1 1.2

Dr Reddy’s Labs Pharma, biotech & life sci India 1.2 0.1 1.1

China Mobile HK Telecom svcs China 0.2 1.3 -1.1

Geely Automobile Holdings Auto & components China 1.2 0.2 1.1

Polski Koncern Nafto Energy Poland 1.2 0.2 1.0

GAIL India Utilities India 1.1 0.0 1.0

Total of active weights 12.9 5.8

Number of equity names: 181


1Data shown is representative of the LA Water & Power Employees’ Retirement Plan portfolio.2MSCI Emerging Markets IMI | Active weights are the difference between the portfolio and benchmark weight. The active weights may not sum to the total due to rounding.

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Los Angeles Water & Power Emerging Markets Systematic EquityTitle Line 2Portfolio characteristics as of 31 March 2017

LA Water & Power EMSE MSCI Emerging Markets IMI

Size

Asset-weighted market cap US$45.8 bil US$57.2 bil

Over US$50 billion 21.6% 28.4%

US$10 – US$50 billion 29.4% 32.2%

US$2 – US$10 billion 39.0% 27.0%

Under US$2 billion 10.0% 12.4%

Valuation

Projected EPS growth (5-yr median) 11.3% 12.0%

Projected P/E median 9.3x 12.2x

P/E median (trailing 12 months) 11.6x 15.2x

Price/Book 1.3x 1.6x

Yield 2.7% 2.2%

Price to cash flow ratio 4.8x 7.0x

ROE (trailing 12 months) 15.3% 16.3%

Debt/ Equity ratio 98.4% 100.3%

Risk

Historical beta (3-yr)¹ 1.03

Historical R² (3-yr)¹ 0.99

Historical tracking risk (3-yr)¹ 3.20


¹Composite data used for 3-year risk statistics. | Data shown is representative of the LA Water & Power Employees’ Retirement Plan portfolio. | Market capi-talization percentages may not sum to 100% due to rounding.

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Los Angeles Dept of Water and PowerTitle Line 2Investment management fee schedule

On all assets• 57basispointsperannum


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Emerging Markets Systematic EquityTitle Line 2Key considerations

Wellington Management uses quantitative investment models in the management of this investment strategy. All quantitative investment models have risks related to mistakes in coding software (e.g., software bugs) and inaccurate or stale data inputs. Because our quantitative investment models are complex, some of these issues may not be detected for a prolonged period before being corrected. In addition, quantitative investment models are susceptible to temporary disruptions due to technological failures (e.g., systems, communications or power outages). These risks may have a negative impact on the investment performance of this investment approach.

Wellington Management has adopted controls that we believe are reasonably designed to mitigate (but not eliminate) these risks. These controls include monitoring the quantitative investment model’s data inputs and results, the review and testing of systems changes made to the model, and the implementation of business continuity procedures.



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Emerging Markets Systematic EquityTitle Line 2Investment risks


Principal RisksEquity Market Risks – Equity markets are subject to many factors, including economic conditions, government regulations, market sentiment, local and international political events, and environmental and technological issues.

Foreign Market Risks (includes Emerging Markets) – Investments in foreign markets may present risks not typically associated with domestic markets. These risks may include changes in currency exchange rates; less-liquid markets and less available information; less government supervision of exchanges, brokers, and issuers; increased social, economic, and political uncertainty; and greater price volatility. These risks may be greater in emerging markets, which may also entail different risks from developed markets.

Manager Risk – Investment performance depends on the portfolio management team and the team’s investment strategies. If the investment strategies do not perform as expected, if opportunities to implement those strategies do not arise, or if the team does not implement its investment strategies successfully, an investment portfolio may underperform or suffer significant losses.

Additional RisksCurrency Risk – Investments in currencies, currency futures contracts, forward currency exchange contracts or similar instruments, as well as in securities that are denominated in foreign currency, are subject to the risk that the value of a particular currency will change in relation to one or more other currencies.

Issuer Specific Risk – A security issued by a particular issuer may be impacted by factors that are unique to that issuer and thus may cause that security’s return to differ from that of the market.

Smaller Capitalization Stock Risk – The share prices of small and mid-cap companies may exhibit greater volatility than the share prices of larger capitalization companies. In addition, shares of small and mid-cap companies are often less liquid than larger capitalization companies.

Past results are not necessarily indicative of future resultsThere can be no assurance nor should it be assumed that future investment performance of any strategy will conform to any performance examples set forth in this material or that the portfolio’s underlying investments will be able to avoid losses. The investment results and any portfolio compositions set forth in this material are provided for illustrative purposes only and may not be indicative of the future investment results or future portfolio composition. The composition, size of, and risks associated with an investment in the strategy may differ substantially from the examples set forth in this material. An investment can lose value.

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2001047780/452866_0/G2332/G2332

Wellington Management Composite: Emerging Markets Systematic Equity Schedule of Performance Returns from 01 October 2009 to 31 December 2016

Page 1 of 2 EMEQUANTTOT ©2017 Wellington Management Company LLP. All rights reserved. Generated on: 17 February 2017

Period Gross Return (%)

Net Return (%)

Benchmark Return (%)

Number of Portfolios

Internal Dispersion (%)

Composite Mkt.Value (USD Mil)

Total Firm Assets (USD Mil)

2009 1 9.30 9.07 8.58 < 6 N/M 12 537,384 2010 22.09 21.08 19.20 < 6 N/M 26 633,922 2011 -14.96 -15.69 -18.17 < 6 N/M 21 651,496 2012 24.08 23.04 18.64 < 6 N/M 35 757,903 2013 1.16 0.31 -2.27 < 6 N/M 193 834,441 2014 -0.40 -1.24 -1.82 6 N/M 466 914,109 2015 -13.25 -14.00 -14.60 7 1.1 498 926,949 2016 11.88 10.98 11.60 9 0.7 886 979,210

Benchmark: MSCI Emerging Markets 1 Returns reflect performance beginning 01 October 2009. N/M: For years where there are less than six portfolios throughout the performance period, Internal Dispersion is not meaningful. Composite Description: Portfolios included in the Emerging Markets Systematic Equity Composite seek to achieve consistent, long-term total returns in excess of the MSCI Emerging Markets Index by using quantitative stock selection within a risk-managed portfolio construction approach. Composite Creation Date: The composite creation date is August 2009. Composite Membership: All fully discretionary, fee paying portfolios are eligible for inclusion in the composite. Fee Schedule: Effective October 2016 the US institutional separate account fee schedule for this product is: Market Value Annual Fee On the first US$50 million 0.70% On the next US$50 million 0.65 Over US$100 million 0.60 Benchmark Definition: MSCI Emerging Markets is a free float-adjusted market capitalization index that captures large and mid cap representation across 23 Emerging Markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Firm: For purposes of GIPS® compliance, the Firm is defined as all portfolios managed by Wellington Management Company LLP, an independently owned, SEC-registered investment adviser, as well as its affiliates (collectively, Wellington Management). Wellington Management provides investment advisory services to institutions around the world. GIPS®: Wellington Management claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Wellington Management has been independently verified for the periods 1 January 1993 to 31 December 2015. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS® standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. Verification does not ensure the accuracy of any specific composite presentation. Performance Calculation: Gross performance results are net of trading expenses. Returns, market values, and assets are reported in USD except when otherwise noted. Returns, market values and assets reported in currencies other than USD are calculated by converting the USD monthly return and assets using the appropriate exchange rate (official 4:00 p.m. London closing spot rates). Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Net of fees performance reflects the deduction of the highest tier investment management fee ("model fee") that would be charged based on the fee schedule appropriate to you for this mandate, without the benefit of breakpoints and is calculated by subtracting 1/12th of the model fee from monthly gross composite returns. Please be advised that the composite may include members that are effectively subject to higher management fees that are inapplicable to you. Performance net of model fees is intended to provide the most appropriate example of the impact management fees would have for you. Pool investors will experience costs in excess of investment management fees, such as operating expenses and custodial fees. These indirect costs are not reflected in the model fee, or net of fees performance. Internal Dispersion: The dispersion measure presented is the asset-weighted standard deviation. The asset-weighted standard deviation measures the dispersion of individual portfolio returns relative to the asset-weighted composite return. Only portfolios that have been included in the composite for the full period are included in the standard deviation calculation. Limitations imposed by client guidelines or by law on a portfolio's ability to invest in certain securities or instruments, such as IPO securities, and/or implementation of the firm's Trade Allocation Policies and Procedures, may cause the portfolio's performance to differ from that of the composite. External Dispersion: The dispersion measure presented is the three-year annualized ex-post standard deviation. It measures the variability of the composite and the benchmark(s) over the preceding 36-month period. For periods prior to 1 January 2011, the Firm was not required to present the standard deviation.

3-Year Standard Deviation (%) Year Composite Benchmark 2011 N/A* N/A* 2012 21.51 21.49 2013 19.29 19.03 2014 15.38 14.99 2015 14.39 14.04 2016 16.38 16.07

*N/A for performance periods with less than 36 months of data based on composite inception date.

2001047785/450418_0/G2332/G2332

Wellington Management Composite: Emerging Markets Systematic Equity Schedule of Performance Returns from 01 October 2009 to 31 December 2016

Page 2 of 2 EMEQUANTTOT ©2017 Wellington Management Company LLP. All rights reserved. Generated on: 17 February 2017

Composite Listing: Wellington Management's list of composite descriptions is available upon request. Other Matters: This material contains summary information regarding the investment approach described herein and is not a complete description of the investment objectives, policies, guidelines, or portfolio management and research that supports this investment approach. Any decision to engage Wellington Management should be based upon a review of the terms of the investment management agreement and the specific investment objectives, policies, and guidelines that apply under the terms of such agreement. Past Performance: Past results are not necessarily indicative of future results and an investment can lose value.

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GlossaryTitle Line 2Investment Terms

Contextual alpha model – The model incorporates risk information, sentiment information and trading information to rank stocks on a “difficult-to-value” (DTV) spectrum, which then translates into the recipe that we use to form the alpha forecast at the stock level

Pure value – cyclical value factors such as P/E, P/B, etc.

Fair value – absolute value factors such as dividend discount models

Earnings quality – accrual growth compared to cashflows, operating cashflows compared to assets, etc

Management behavior – capital stewardship factors – changes in external financing, share issuance/repurchase, etc.

Short-term momentum – price momentum, sentiment, and momentum of other financial statement items (sales, earnings, dividends) – typically over 1-3 month period

Long-term momentum – price momentum – typically over 3-12 month period




Important noticeTitle Line 2

©2017 Wellington Management. All rights reserved. | As of January 2017

Wellington Management Company llp (WMC) is an independently owned investment adviser registered with the US Securities and Exchange Commission (SEC). WMC is also a commodity trading advisor (CTA) registered with the US Commodity Futures Trading Commission. In certain circumstances, WMC provides commodity trading advice to clients in reliance on exemptions from CTA registration. WMC, along with its affiliates (collectively, Wellington Management), provides investment management and investment advisory services to institutions around the world. Located in Boston, Massachusetts, Wellington Management also has offices in Chicago, Illinois; Radnor, Pennsylvania; San Francisco, California; Beijing; Frankfurt; Hong Kong; London; Luxembourg; Singapore; Sydney; Tokyo; and Zurich. This material is prepared for, and authorized for internal use by, designated institutional and professional investors and their consultants or for such other use as may be authorized by Wellington Management. This material and/or its contents are current at the time of writing and may not be reproduced or distributed in whole or in part, for any purpose, without the express written consent of Wellington Management. This material is not intended to constitute investment advice or an offer to sell, or the solicitation of an offer to purchase shares or other securities. Investors should always obtain and read an up-to-date investment services description or prospectus before deciding whether to appoint an investment manager or to invest in a fund. Any views expressed herein are those of the author(s), are based on available information, and are subject to change without notice. Individual portfolio management teams may hold different views and may make different investment decisions for different clients.

In Canada, this material is provided by Wellington Management Canada llc, a US SEC-registered investment adviser also registered in the provinces of Alberta, British Columbia, Manitoba, New Brunswick, Newfoundland and Labrador, Nova Scotia, Ontario, Prince Edward Island, Quebec, and Saskatchewan in the categories of Portfolio Manager and Exempt Market Dealer. In the UK, this material is provided by Wellington Management International Limited (WMIL), a firm authorized and regulated by the Financial Conduct Authority (FCA). This material is directed only at persons (Relevant Persons) who are classified as eligible counterparties or professional clients under the rules of the FCA. This material must not be acted on or relied on by persons who are not Relevant Persons. Any investment or investment service to which this material relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. In Germany, this material is provided by Wellington Management International Limited, Niederlassung Deutschland, the German branch of WMIL, which is authorized and regulated by the FCA and in respect of certain aspects of its activities by the Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin). This material is directed only at persons (Relevant Persons) who are classified as eligible counterparties or professional clients under the German Securities Trading Act. This material does not constitute investment advice, a solicitation to invest in financial instruments or financial analysis within the meaning of Section 34b of the German Securities Trading Act. It does not meet all legal requirements designed to guarantee the independence of financial analyses and is not subject to any prohibition on dealing ahead of the publication of financial analyses. This material does not constitute a prospectus for the purposes of the German Capital Investment Code, the German Securities Sales Prospectus Act or the German Securities Prospectus Act. In Hong Kong, this material is provided to you by Wellington Management Hong Kong Limited (WM Hong Kong), a corporation licensed by the Securities and Futures Commission to conduct Type 1 (dealing in securities), Type 2 (dealing in futures contracts), Type 4 (advising on securities), and Type 9 (asset management) regulated activities, on the basis that you are a Professional Investor as defined in the Securities and Futures Ordinance. By accepting this material you acknowledge and agree that this material is provided for your use only and that you will not distribute or otherwise make this material available to any person. In Singapore, this material is provided for your use only by Wellington Management Singapore Pte Ltd (WM Singapore) (Registration Number 201415544E). WM Singapore is regulated by the Monetary Authority of Singapore under a Capital Markets Services Licence to conduct fund management activities and is an exempt financial adviser. By accepting this material you represent that you are a non-retail investor and that you will not copy, distribute or otherwise make this material available to any person. In Australia, Wellington Management Australia Pty Ltd (WM Australia) (ABN19 167 091 090) has authorized the issue of this material for use solely by wholesale clients (as defined in the Corporations Act 2001). By accepting this material, you acknowledge and agree that this material is provided for your use only and that you will not distribute or otherwise make this material available to any person. Wellington Management Company llp is exempt from the requirement to hold an Australian financial services licence (AFSL) under the Corporations Act 2001 in respect of financial services, in reliance on class order 03/1100, a copy of which may be obtained at the web site of the Australian Securities and Investments Commission, http://www.asic.gov.au. The class order exempts a registered investment adviser regulated by the SEC, among others, from the need to hold an AFSL for financial services provided to Australian wholesale clients on certain conditions. Financial services provided by Wellington Management Company llp are regulated by the SEC under the laws and regulatory requirements of the United States, which are different from the laws applying in Australia. In Japan, Wellington Management Japan Pte Ltd (WM Japan) (Registration Number 199504987R) has been registered as a Financial Instruments Firm with registered number: Director General of Kanto Local Finance Bureau (Kin-Sho) Number 428. WM Japan is a member of the Japan Investment Advisers Association (JIAA) and the Investment Trusts Association, Japan (ITA). WMIL, WM Hong Kong, WM Japan, and WM Singapore are also registered as investment advisers with the SEC; however, they will comply with the substantive provisions of the US Investment Advisers Act only with respect to their US clients.

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INVESTMENT MANAGER SUMMARY · 2017. 5. 10. · AbbVie Inc. Air Canada American Electric Power System Canadian Pacific Canada Post Pension Plan Cargill, Inc. Chugai Pharma CPF CoINVEST