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September 30, 2019
Pennsylvania SERS
Investment Measurement Service
Quarterly Review
Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein is
to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain information
herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily
verified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed and
are not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you
make on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your
particular situation. Past performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures.
Table of ContentsPennsylvania SERSSeptember 30, 2019
Capital Markets Overview 1
Active Management Overview
Market Overview 17
Asset Allocation and Performance
Foreword 19
Actual vs.Target Asset Allocation 20
Quarterly Total Fund Attribution- Net 22
Historical Asset Allocation 26
Total Fund Cumulative Performance 28
Total Fund Drawdown Analysis 29
Total Fund Ranking 31
Investment Manager Returns 37
Global Equity 59
Global Public Equity Composite
Global Public Equity 60
Global Public Equity Drawdown Analysis 63
Current Holdings-Based Style Analysis 64
Equity Characteristics Analysis 65
Active Share Analysis 66
Global Mandates Manager
Walter Scott & Partners Global Growth Equity 68
Equity Characteristics Analysis 72
U.S. Equity 73
Domestic Equity Composite
Domestic Equity Overview 74
Domestic Equity 75
Current Holdings-Based Style Analysis 78
Domestic Equity Holdings-Based Manager Comparison 79
Equity Characteristics Analysis 80
Active Share Analysis 81
U.S. Equity Managers 82
Table of ContentsPennsylvania SERSSeptember 30, 2019
U.S. Mid/Large Cap Equity
MCM Russell 1000 Index 83
Current Holdings Based Style Analysis 86
Equity Characteristics Analysis 87
Iridian MidCap Value 88
Current Holdings Based Style Analysis 91
Equity Characteristics Analysis 92
U.S. Small Cap Equity
MCM Russell 2000 Core Index 93
Current Holdings Based Style Analysis 94
Equity Characteristics Analysis 95
MCM Russell 2000 Val Index 96
Current Holdings Based Style Analysis 97
Equity Characteristics Analysis 98
Emerald Advisers Div Small Cap Growth 99
Current Holdings Based Style Analysis 100
Equity Characteristics Analysis 101
International Equity 102
Non-U.S. Equity
International Equity Overview 103
Non-U.S. Developed Markets Equity 104
Non-U.S. Developed Equity
Non U.S. Developed Equity 105
Equity Characteristics Analysis 111
Country Weights 112
Active Share Analysis 113
Comparative Manager Matrix 114
Non-U.S. Developed Equity Managers
BlackRock MSCI World Ex. U.S. Index 116
Equity Characteristics Analysis 118
Country Weights 119
FIS Group Non-U.S. Small Cap 120
Equity Characteristics Analysis 122
Country Weights 123
Harris Assoc Int’l Small Cap Value 124
Equity Characteristics Analysis 128
Country Weights 129
Table of ContentsPennsylvania SERSSeptember 30, 2019
Emerging Markets Equity
Emerging Markets Equity 131
Equity Characteristics Analysis 137
Country Weights 138
Active Share Analysis 139
Emerging Markets Managers
BlackRock Emerging Markets Index 141
Equity Characteristics Analysis 143
Country Weights 144
Leading Edge Emerging Markets 145
Equity Characteristics Analysis 147
Country Weights 148
Macquarie Emerging Markets Equity 149
Equity Characteristics Analysis 153
Country Weights 154
Martin Currie Emerging Markets Equity 155
Equity Characteristics Analysis 159
Country Weights 160
GlobeFlex Emerging Small Cap 161
Equity Characteristics Analysis 165
Country Weights 166
Fixed Income
Domestic Fixed Income Overview 168
International Fixed Income Overview 169
Fixed Income 171
Bond Characteristics Analysis 173
Core Fixed Income Managers
MCM Bond Index 176
Bond Characteristics Analysis 179
PIMCO Core Bond Fund 181
Bond Characteristics Analysis 184
Taplin, Canida & Habacht Corp FI 186
Bond Characteristics Analysis 189
Table of ContentsPennsylvania SERSSeptember 30, 2019
Core-Plus Fixed Income Managers
Brandywine Global Opportunistic Fixed Income 192
Bond Characteristics Analysis 195
Pyramis Global High Yield CMBS 197
Bond Characteristics Analysis 200
Stone Harbor Emerging Markets Debt 202
Bond Characteristics Analysis 205
Stone Harbor Global High Yield 207
Bond Characteristics Analysis 210
TIPS & Treasury Managers
Brown Brothers TIPS 213
Bond Characteristics Analysis 216
New Century Global TIPS 218
Bond Characteristics Analysis 221
NISA TIPS 223
Bond Characteristics Analysis 226
PIMCO U.S. Treasuries 228
Multi-Strategy
Multi-Strategy 233
Multi-Strategy Managers
Blackstone Keystone 235
Eaton Vance GMARA 238
Private Debt 239
SEI Structured Credit: HY Bank Loans 240
Research & Disclosures 243
A Bountiful but
Smaller Harvest
PRIVATE EQUITY
Most private equity
activity measures were
down in the third quarter.
So far this year, all private equity
liquidity measures that Callan tracks
moderated. High prices, perceived
slowing of global economic growth,
and spooky geopolitical events
dampened activity so far this year.
Hedge Funds Flat;
MACs Struggle
HEDGE FUNDS/MACs
Equity market churn,
while Treasury yields
fell further, had a mixed
effect across hedge funds, leav-
ing the broad hedge fund universe
lat. Multi-asset class (MAC) per-formance varied depending on net
market exposures, but was mostly
lat or down.
Returns Moderate for
Callan DC Index
DEFINED CONTRIBUTION
The Callan DC Index™
rose 3.3% in the sec-
ond quarter compared to
9.6% in the irst quarter. The Age 45 Target Date Fund gained 3.5%,
largely due to its higher equity allo-
cation. The Index’s growth in bal-
ances returned to a normal level
after a big gain in the irst quarter.
Real Estate Solid;
Real Assets Down
REAL ESTATE/REAL ASSETS
U.S. core real estate
returns continue to be
driven by income, with
limited appreciation this late in the
cycle. Global REITs gained 4.6%
in the third quarter; U.S. REITs
advanced 7.8%. Most real assets,
with the notable exception of gold,
inished the quarter lower.
Steady Returns Amid
Equities Rebound
INSTITUTIONAL INVESTORS
Corporate plans gained
the most among plan
types over the one-year
period ending in the third quarter.
Nonproits trailed all fund types. Over the last 20 years, returns for
investor types ranged from 6.2%-
6.3%, outpacing the 6.1% return of
a stocks-bonds benchmark.
The Four Most
Dangerous Words
ECONOMY
“This time, it’s different”
has been trotted out near
the peak of most cycles
as justiication for why the expan-
sion can continue, at a time when
imbalances typically push mea-
sures of economic soundness to
their limits. This time, however, it
may really be different.
2P A G E
12P A G E
U.S. Stocks Mixed;
Global Markets Fall
EQUITY
U.S. equity markets
posted mixed results
amid historic lows for
30-year Treasury yields and a his-
toric factor rotation. Global equity
markets turned negative after mod-
est but positive results in the sec-
ond quarter, buffeted by geopolitical
turmoil.
4P A G E
After Two Rate Cuts,
Yields Fall Globally
FIXED INCOME
The Federal Open Market
Committee cut short-term
interest rates by 25 basis
points twice in the third quarter.
Yields fell in the U.S. and abroad
given global growth headwinds.
U.S. ixed income saw mostly posi-tive returns; non-U.S. returns were
mixed.
8P A G E
6P A G E
13P A G E
15P A G E
10P A G E
Broad Market Quarterly Returns
-1.8% 2.3%1.2% -0.6%
U.S. EquityRussell 3000
U.S. Fixed IncomeBloomberg Barclays Agg
Non-U.S. EquityMSCI ACWI ex USA
Non-U.S. Fixed IncomeBloomberg Barclays Gbl ex US
Sources: Bloomberg Barclays, FTSE Russell, MSCI
CapitalMarket Review
Third Quarter 2019
2
The Four Most Dangerous Words (This Time, It’s Different…)
ECONOMY | Jay Kloepfer
02 0399 00 01 04 05 06 07 08 09 10 11 12 13 14 15 16 17
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
18 19
Quarterly Real GDP Growth (20 Years)
-15%
-10%
-5%
0%
5%
10%
15%
20%
PPI (All Commodities)CPI (All Urban Consumers)
02 039900 01 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19
Inlation Year-Over-Year
Source: Bureau of Labor Statistics
Source: Bureau of Economic Analysis
Third quarter U.S. GDP growth surprised on the upside,
coming in at 1.9% and extending what is now the longest
economic expansion on record to 124 months. While 1.9% sounds modest compared to past cycles, it is positively robust
compared to developed economies around the globe. The
U.S. economy, and to an extent the entire global economy,
has deied fears of an imminent collapse all year. While the current expansion may appear long in the tooth, elapsed
time is not an economic variable. This expansion has been
far weaker than each of the past 10, whether measured by
cumulative GDP growth (at just under 25%, it’s about half that of the 1990s), by job creation, or by investment. The over-hang of the housing market collapse has weighed heavily on
growth since 2009, and the measured pace of growth has in
fact enabled the U.S. economy to maintain a slow burn.
Several long-held tenets of fundamental macroeconomics
appear to be under serious re-consideration after the extraor-
dinary 10-year period following the Global Financial Crisis: the
cause (and the absence) of inlation; the execution of monetary policy; the role of central banks and in particular the pivot by the
Federal Reserve at the start of 2019; and the business cycle.
The new macroeconomic narrative says that irst, the business cycle as we know it has been disrupted; second, the source
and volatility of inlation has been altered going forward; third, central banks have added sustaining economic expansion to
their oficial remit, therefore the quantitative easing (QE) genie is out of the bottle and we will not be stufing it back in anytime soon. All of these changes to the macro world are interrelated, one sustaining the other, and are potentially pointing to a dif-
ferent path for the U.S. and global economy than would be
expected, given past accepted relationships between inlation, monetary policy, and the business cycle.
“This time, it’s different” has been trotted out near the peak of
most cycles to justify why the expansion can continue, at a time
when imbalances typically push measures of economic sound-
ness to their limits. This time, however, it may really be different.
In the words of many analysts, the Fed rate hike in December
2018 may have been the end of an era. The Fed’s standard
operating procedure until now has been to tighten preemptively
before inlation takes off, and following the extraordinary period of zero interest rate policy, the Fed’s goal had been to normal-
ize rates while inlation was low. The Fed pivot in January to pause on rate hikes, and then to implement two cuts in the third
quarter while the expansion continues, indicates that preemptive
tightening and rate normalization are over, and we may not see
them again. The macro world as we know it may have changed.
3
U.S. ECONOMY (Continued)
The Long-Term View
2019
3rd Qtr
Periods ended Dec. 31, 2018
Index Year 5 Yrs 10 Yrs 25 Yrs
U.S. Equity
Russell 3000 1.2 -5.2 7.9 13.2 9.0
S&P 500 1.7 -4.4 8.5 13.1 9.1
Russell 2000 -2.4 -11.0 4.4 12.0 8.3
Non-U.S. Equity
MSCI EAFE -1.1 -13.8 0.5 6.3 4.6
MSCI ACWI ex USA -1.8 -14.2 0.7 6.6 --
MSCI Emerging Markets -4.2 -14.6 1.6 8.0 --
MSCI ACWI ex USA Small Cap -1.2 -18.2 2.0 10.0 --
Fixed Income
Bloomberg Barclays Agg 2.3 0.0 2.5 3.5 5.1
90-Day T-Bill 0.6 1.9 0.6 0.4 2.5
Bloomberg Barclays Long G/C 6.6 -4.7 5.4 5.9 6.8
Bloomberg Barclays Gl Agg ex US -0.6 -2.1 0.0 1.7 4.4
Real Estate
NCREIF Property 1.4 6.7 9.3 7.5 9.3
FTSE Nareit Equity 7.8 -4.6 7.9 12.1 9.8
Alternatives
CS Hedge Fund 0.3 -3.2 1.7 5.1 7.3
Cambridge PE* 4.3 10.6 11.9 13.8 15.2
Bloomberg Commodity -1.8 -11.2 -8.8 -3.8 2.0
Gold Spot Price 4.2 -2.1 1.3 3.8 4.9
Inlation – CPI-U 0.2 1.9 1.5 1.8 2.2
*Data for most recent period lags by a quarter. Data as of June 30, 2019.
Sources: Bloomberg, Bloomberg Barclays, Bureau of Economic Analysis, Credit
Suisse, FTSE Russell, MSCI, NCREIF, Standard & Poor’s, Reinitiv/Cambridge
Recent Quarterly Economic Indicators
3Q19 2Q19 1Q19 4Q18 3Q18 2Q18 1Q18 4Q17
Employment Cost–Total Compensation Growth 2.8% 2.7% 2.8% 2.9% 2.8% 2.8% 2.7% 2.6%
Nonfarm Business–Productivity Growth -0.1%* 2.3% 3.5% 0.1% 1.2% 1.8% 0.9% 0.9%
GDP Growth 1.9% 2.0% 3.1% 1.1% 2.9% 3.5% 2.5% 3.5%
Manufacturing Capacity Utilization 75.5% 75.5% 76.4% 77.0% 76.9% 76.4% 76.1% 75.8%
Consumer Sentiment Index (1966=100) 93.8 98.4 94.5 98.2 98.1 98.3 98.9 98.4
Sources: Bureau of Economic Analysis, Bureau of Labor Statistics, Federal Reserve, IHS Economics, Reuters/University of Michigan
* Estimated igure provided by IHS Markit
The headlines of impending doom that have dominated 2019
make the coming recession, if it ever materializes, the most
anticipated slowdown ever. The economic result so far in 2019
is that the U.S. economy has shrugged off slowing global
growth, a prolonged trade war with China, and geopolitical
uncertainty in the euro zone due to Brexit—and continued to
steam along. The job market remains strong, and the unem-
ployment rate is at a generational low of 3.6%. U.S. economic
growth is clearly moderating, but the expected plunge has yet
to materialize, in part because of the lack of obvious imbal-
ances, and in part because of the relatively insular nature of
the U.S. economy. The trade war with China is top of the news,
yet the cumulative impact on GDP growth since 2018 is less
than 1%, as estimated by Capital Economics. The rest of the
world has clearly slowed, and global GDP growth looks ready
to fall to its weakest pace (near 2% next year) since 2012.
The source of inlation has shifted from the goods and com-
modities sectors to the service sector. Goods and commodities
have shown substantial variability, with the attendant impact
on the business cycle and on prices. The service sector shows
much more subdued cyclicality, and as a result both the busi-
ness cycle and inlation may become irrevocably less volatile, with the boom and bust of past cycles no longer the expecta-
tion. Headline inlation came in at a 1.7% annual rate in the third quarter, still well below the Fed’s target of 2%, and pro-
ducer price inlation in particular went negative during 2019, dragged down by commodity and goods prices. The persis-
tence of low inlation in the face of continued expansion and a decade of accommodative monetary policy is one factor giving
the Fed cover to cut rates while growth continues.
4
Steady Returns Continue Amid Equities Rebound
INSTITUTIONAL INVESTORS
– A quarterly rebalanced 60% S&P 500/40% Bloomberg Barclays Aggregate portfolio returned 7.1% over the one year ended September 30, 2019. All broad institutional investor groups underperformed this benchmark.
– Both U.S. and non-U.S. equity markets continued their
rebound in the third quarter after dropping during 2018.
Non-U.S. equity underperformed relative to U.S. equity dur-
ing 2018 and so far this year.
– Corporate plans gained the most among plan types over
the one-year period, followed by public deined beneit (DB) plans. Nonproits trailed all fund types. Over longer peri-ods, Taft-Hartley plans have tended to perform best, but the
range of returns for all institutional investor types tended to
be in a narrow range; for instance, over the last 10 years,
returns for all investor types ranged from 7.9%-8.4%.
– As the expansion continues, investors are discussing how long it can go on, and the fear of missing out is fading the
longer the bull market runs. Investors are also addressing
how the reversal in Fed policy changes the landscape, as it
and other central banks take on the added role of sustaining
the expansion. In addition, investors are examining what
current yields portend for capital market assumptions.
0%
2%
4%
6%
Public Corporate Nonprofit Taft-Hartley Database Database Database Database
10th Percentile 1.39 3.72 1.20 1.44
25th Percentile 1.07 2.31 0.81 1.11
Median 0.75 1.28 0.52 0.84
75th Percentile 0.51 0.72 0.27 0.51
90th Percentile 0.24 0.34 0.04 0.23
Quarterly Returns, Callan Database Groups
Source: Callan
– Public DB plans are focused on returns from private mar-
kets, but face mounting pressure to control costs. One
approach they have adopted is a barbelled pursuit of active
management in private markets and alternatives, and all
passive in equity, more passive in ixed, and cheaper liquid alternatives with “passive” exposures to betas and factors.
Source: Callan. Callan’s database includes the following groups: public deined beneit, corporate deined beneit, nonproits, and Taft-Hartley plans. Approximately 10% to
15% of the database constituents are Callan’s clients. All database group returns presented gross of fees. Past performance is no guarantee of future results. Reference to
or inclusion in this report of any product, service, or entity should not be construed as a recommendation, approval, ailiation, or endorsement of such product, service, or
entity by Callan.
Callan Database Median and Index Returns* for Periods ended September 30, 2019
Database Group Quarter Year-to-date Year 3 Years 5 Years 10 Years
Public Database 0.75 12.03 4.17 7.80 6.39 8.10
Corporate Database 1.28 14.11 6.39 7.78 6.51 8.17
Nonproit Database 0.52 12.59 3.63 7.88 5.98 7.94
Taft-Hartley Database 0.84 11.92 3.88 8.03 6.91 8.40
All Institutional Investors 0.77 12.62 4.19 7.88 6.39 8.18
Large (>$1 billion) 0.88 11.86 4.57 8.11 6.63 8.43
Medium ($100mm - $1bn) 0.83 12.54 4.25 7.91 6.46 8.17
Small (<$100 million) 0.70 12.87 4.00 7.72 6.19 7.95
*Returns less than one year are not annualized.
5
INSTITUTIONAL INVESTORS (Continued)
– All investor types are considering lower equity exposures. They are also reevaluating the purpose and implementa-
tion of:
• Real assets
• Hedge funds and liquid alternatives
• Fixed income
• Equity
– For public DB plans, return enhancement is the most impor-
tant issue. Alternative assets such as private equity and pri-vate real estate continue to draw interest from investors.
Some plans appear to be rethinking their approach to pas-
sive investments and holding off increasing their allocation
to them. Plans continue to express interest in reducing their
allocations to U.S. equity.
– Corporate DB plans are most focused on risk control. Many
are looking to decrease their equity allocation, with nearly
the same number considering increases to ixed income. The percentage of corporate DB plans continuing to imple-
ment the process of de-risking has increased signiicantly over the last four years.
– For DC plans, fees remain top of mind. Retirement income
options are also getting attention.
– Enhancing returns is the biggest concern for nonproits, as they seek to meet spending needs and grow the corpus over
time. Among all investor types, nonproits historically have implemented or considered an outsourced chief investment
oficer (OCIO) at a higher rate than other types of institu-
tional investors, and that trend continued this quarter.
– As part of their efforts to increase returns to meet plan tar-gets, investors are evaluating how to implement private
market allocations, and whether it is feasible to create a
customized program implementation.
– For instance, public DB plans are expressing interest in
multi-asset class (MAC) strategies. However, that interest is not widely shared. Corporate DB plans and nonproits do not seem to be interested in increasing their exposure
to MACs, and in fact corporate DB plans are increas-
ingly expressing a desire to reduce their MAC allocations. Nonproits showed a similar shift in sentiment.
– Private real estate and private equity have been staples
of many investors’ portfolios, and they continue to express
interest in increasing their allocations to these asset
classes. Investors, most notably nonproits, are also begin-
ning to indicate growing interest in increasing allocations to
private credit.
– Fund liquidity may be a concern that prevents some inves-
tors from adding to illiquid investments.
– Despite the interest in alternatives, some plans are termi-
nating their hedge fund exposures.
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✎✆✝✏✆ ✂✑✟✝s
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Cash
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2 .0 %
Public
0.75%*
32.4%
18.1%
27.1%
1.9%
7.3%
1.1%
2.0%
7.3%
1.6%
Nonprofit
0.52%*
33.9%
18.0%
24.2%
2.0%
0.2%
4.7%
2.6%
9.9%
2.4%
Taft-Hartley
0.84%*
1.2%
Corporate
1.28%*
1.8%
2.9% 0.6%
35.7%
28.5%
12.0%
0.4%
3.6%
10.6%
3.8%
12.4%
2.5%
24.1%
43.4%
2.9%
1.0%
4.4%
3.7%
2.1%
3.1%
Average Asset Allocation, Callan Database Groups
*Latest median quarter return
Note: charts may not sum to 100% due to rounding
Source: Callan
6
U.S. Equities
U.S. equities posted mixed results amid a market that saw
30-year Treasury yields hit historic lows and the most mean-
ingful, albeit short-lived, factor rotation among stocks since the
Global Financial Crisis (GFC). Large cap (+1.4%) and mid cap stocks (+0.5%) posted modest gains for the quarter while small caps declined (Russell 2000: -2.4%). Ongoing U.S.-China trade tension, earnings and interest rate uncertainty, and the global
political landscape continued to drive investor uncertainty.
Large Cap ► S&P 500: +1.7% | Russell 1000: +1.4%
– Top sectors were in defensive areas including Utilities
(+9.3%), Real Estate (+7.7%), and Consumer Staples (+6.1%) in response to investors’ continued light to quality.
– Energy, hurt by falling oil prices, fell 6.3%; Health Care
lagged (-2.2%) amid discussions around price transparency and pricing reform by U.S. presidential candidates.
– Cyclical sector exposure has been volatile given uncertainty
around the trade deal (and continued sideways movement of markets) along with slowed global growth.
– Up to September, momentum stocks (which have shifted to include many of the market’s least volatile stocks) outper-formed as investors shunned the cheapest quintile of value
(and more volatile) stocks. This trend sharply reversed in early September as the 10-year Treasury yield rose from
1.46% to 1.73% and momentum stocks fell precipitously
while value stocks traded up over the course of two days.
The magnitude of the reversal gave a boost to value stocks
across market capitalizations for the quarter.
Equity
UtilitiesReal EstateMaterialsInformation
Technology
IndustrialsHealth
Care
FinancialsEnergyConsumer
Staples
Consumer
Discretionary
Communication
Services
2.2%
0.5%
6.1%
-6.3%
2.0%
-2.2%
1.0% 3.3%
-0.1%
7.7%
9.3%
Quarterly Performance of Industry Sectors
Source: Standard & Poor’s
Russell 2000
Russell 2500
Russell Midcap
S&P 500
Russell 1000 Value
Russell 1000 Growth
Russell 1000
Russell 3000
4.0%
3.2%
3.9%
2.9%
4.3%
-4.0%
3.7%
-8.9%
Russell 2000
Russell 2500
Russell Midcap
S&P 500
Russell 1000 Value
Russell 1000 Growth
Russell 1000
Russell 3000
1.4%
0.5%
1.4%
1.2%
1.7%
-1.3%
1.5%
-2.4%
U.S. Equity: Quarterly Returns
U.S. Equity: One-Year Returns
Sources: FTSE Russell and Standard & Poor’s
Sources: FTSE Russell and Standard & Poor’s
Growth vs. Value ► Russell 1000 Value: +1.4%, Russell 1000
Growth: +1.5% | Russell 2000 Value: -0.6%, Russell 2000
Growth: -4.2%)
– While value continues to trail growth year-to-date, it gained ground during September’s factor reversal, inishing the quarter essentially in line with growth within large caps.
7
Non-U.S. Small Cap ► MSCI World ex USA Small Cap:
-0.3% | MSCI EM Small Cap: -4.6%
– Small cap marginally outperformed large cap, both in devel-
oped and all country ex-U.S. markets; despite overall defen-
sive posturing, idiosyncratic businesses pushed past global
market issues.
– Japan (+4.0%) helped drive developed returns as small cap companies also beneited from low rates and resolved trade tensions; Hong Kong (-7.6%) detracted as local businesses were hurt by the protests.
– Within small cap, value beneited as investors favored the cheapest 20% of small caps while the most expensive quin-
tile within the Russell 2000 declined double digits.
Non-U.S./Global Equities
Global equity markets turned negative in the third quarter.
After more modest positive results in the second quarter, fears over continued trade war impacts, a no-deal Brexit,
and a potential global slowdown impacted investor behavior.
Given this backdrop, more defensive areas of the market
outperformed.
Developed ► MSCI EAFE: -1.1% | MSCI World ex USA:
-0.9% | MSCI ACWI ex USA: -1.8% | MSCI Hong Kong:
-11.9% | MSCI Japan: +3.1%
– Boris Johnson’s attempted suspension of Parliament and no-
deal Brexit proclamations weighed on U.K. stocks (-2.5%). – Germany (-4.0%) experienced recession fears; industrial
production dropped 1.5% in June from the prior month, while
the estimate was -0.5%.
– Hong Kong protests proved to be a headwind as its market
fell 11.9% over the three-month period.
– Japan (+3.1%) was one of the few bright spots within developed markets as low short-term interest rates remain
unchanged and a resolution to the Japan/South Korea trade
war looked more promising.
– Cyclical sectors trailed as investors were positioned defen-
sively; Energy (-6.5%) had the worst performance. – For the quarter, factor performance relected cautious inves-
tor behavior as quality and low volatility did well. However,
the month of September saw a brief recovery in value across
all markets as trade talks improved and central banks eased.
Emerging Markets ► MSCI Emerging Markets Index: -4.2%
– Emerging markets fared worst among global markets;
uncertainty weighed heavily on these volatile countries.
– Though most emerging market countries fell during the
quarter, Turkey (+11.7%) had strong results as its central bank cut rates two times in less than two months.
– Factor performance in emerging markets favored quality and
price momentum as investors moved toward safe assets.
EQUITY (Continued)
-3.9%
-1.2%
-5.6%
-5.6%
-0.9%
1.4%
-1.3%
-2.9%
0.0%
-4.7%
-2.0%
5.9%
3.0%
1.8%
-5.5%
MSCI Pacific ex Japan
MSCI ACWI ex USA Small Cap
MSCI ACWI
MSCI EAFE
MSCI ACWI ex USA
MSCI World ex USA Small Cap
MSCI World ex USA
MSCI World
MSCI Europe ex UK
MSCI UK
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
MSCI Emerging Market Small Cap
MSCI Pacific ex Japan
-4.7%
-1.8%
-1.2%
-0.3%
-0.9%
0.0%
-1.1%
-2.5%
-1.5%
3.1%
-4.2%
-1.1%
-5.2%
MSCI ACWI ex USA Small Cap
MSCI ACWI
MSCI EAFE
MSCI ACWI ex USA
MSCI World ex USA Small Cap
MSCI World ex USA
MSCI World
MSCI Europe ex UK
MSCI UK
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
0.5%
MSCI Emerging Market Small Cap-4.6%
Non-U.S. Equity: Quarterly Returns (U.S. Dollar)
Non-U.S. Equity: One-Year Returns (U.S. Dollar)
Source: MSCI
8
Fixed Income
The Federal Open Market Committee (FOMC) cut short-term interest rates by 25 basis points twice in the third quarter amid
an economic backdrop that has been supported by strong
consumer spending and a solid labor market, but challenged
by weakening manufacturing data and business investment.
The Fed chair stated that the FOMC would act as “appropri-
ate to sustain the expansion,” and the European Central Bank
and other central banks around the world also moved in the
direction of easing monetary policy. Yields fell in the U.S. and
abroad given global growth headwinds fueled by mounting
trade tensions as well as geopolitical uncertainty.
Core Fixed Income ► Bloomberg Barclays US Agg: +2.3%
– Treasuries returned 2.4% as rates fell across the yield curve.
– While the widely monitored 2- and 10-year key rates remained positive, the spread between the 3-month and 10-year key
rates remained inverted.
– Long Treasuries soared (+7.9%) as 30-year yields fell roughly 40 bps.
– Nominal Treasuries outperformed TIPS as inlation expec-
tations continued to fall; 10-year breakeven spreads were
1.53% as of quarter-end, down from 1.69% as of June 30.
The 10-year real yield dipped briely into negative territory in early September.
Investment-Grade Corporates ► Bloomberg Barclays
Corporate (Inv. Grade): +3.1%
– Investment grade corporate credit spreads were range-
bound, but their yield advantage was enough to generate
positive excess returns versus like-duration Treasuries.
– Issuance in the corporate bond market was $320 billion
in the quarter, $50 billion higher than a year ago; demand
remained solid. BBB-rated corporates (+3.1%) modestly outperformed A-rated or higher corporates (+3.0%).
U.S. Treasury Yield Curves
0%
1%
2%
3%
4%
Maturity (Years)
June 30, 2019Sept. 30, 2019 Sept. 30, 2018
302520151050
Source: Bloomberg
U.S. Fixed Income: Quarterly Returns
U.S. Fixed Income: One-Year Returns
Bloomberg Barclays US TIPS
6.6%
0.9%
1.4%
0.7%
2.1%
1.3%
1.3%
2.3%
Bloomberg Barclays Gov/Credit 1-3 Yr
Bloomberg Barclays Interm Gov/Credit
Bloomberg Barclays Aggregate
Bloomberg Barclays Long Gov/Credit
Bloomberg Barclays Universal
CS Leveraged Loans
Bloomberg Barclays Corp. High Yield
21.9%
3.1%
8.2%
4.6%
10.1%
6.4%
7.1%
10.3%
Bloomberg Barclays Gov/Credit 1-3 Yr
Bloomberg Barclays Interm Gov/Credit
Bloomberg Barclays Aggregate
Bloomberg Barclays Long Gov/Credit
Bloomberg Barclays Universal
CS Leveraged Loans
Bloomberg Barclays Corp. High Yield
Bloomberg Barclays US TIPS
Sources: Bloomberg Barclays and Credit Suisse
Sources: Bloomberg Barclays and Credit Suisse
9
High Yield ► Bloomberg Barclays Corporate HY: +1.3%
– BB-rated corporates (+2.0%) outperformed CCC-rated cor-porates (-1.8%). BB- and B-rated spreads narrowed slightly, but the rally in rates helped drive outperformance as a
result of higher quality bonds’ greater sensitivity to interest
rate movements.
– CCC-rated bond spreads widened signiicantly, represent-ing some concern about deteriorating quality at the lower-
end of the spectrum.
Leveraged Loans ► CS Leveraged Loans: +0.9%
– Bank loans, which have loating rate coupons, underper-formed high yield bonds as rates rallied and investors wor-
ried about deteriorating credit quality.
– CLO issuance continued to exceed expectations, provid-
ing positive technical support to the leveraged loan market.
Non-U.S. Fixed Income
Global Fixed Income ► Bloomberg Barclays Global Aggregate
(unhedged): +0.7% | (hedged): +2.6%
– Developed market sovereign bond yields rallied, pushing
European sovereigns further into negative territory as the
ECB reduced its deposit rate and announced a new bond
purchasing stimulus program.
– Negative yielding debt totals nearly $17 trillion, a record
high.
– The U.S. dollar was up 3.4% versus a basket of trade part-
ner currencies and up 4.3% versus the beleaguered euro.
Emerging Market Debt ($US) ► JPM EMBI Global
Diversiied: +1.5% | (Local currency) ► JPM GBI-EM Global
Diversiied: -0.8% – Broadly, emerging market currencies depreciated versus
the U.S. dollar, hampering local currency returns.
– Within the dollar-denominated benchmark, Argentina (-42%) and Venezuela (-51%) were among the few to post negative returns. Conversely, returns in the local debt benchmark
were more mixed with Turkey (+19%) and Argentina (-60%) being outliers.
Non-U.S. Fixed Income: Quarterly Returns
Non-U.S. Fixed Income: One-Year Returns
JPM GBI-EM Global Diversified
JPM EMBI Global Diversified
-0.6%
-0.8%
2.6%
0.7%
1.5%
0.4%
2.0%
-0.7%
Bloomberg Barclays Global Aggregate
Bloomberg Barclays Global Agg (hdg)
Bloomberg Barclays Global High Yield
Bloomberg Barclays Global Agg ex US
JPM EMBI Gl Div / JPM GBI-EM Gl Div
JPM CEMBI
JPM GBI-EM Global Diversified
JPM EMBI Global Diversified
5.3%
10.1%
10.6%
7.6%
11.6%
10.9%
11.9%
5.0%
Bloomberg Barclays Global Aggregate
Bloomberg Barclays Global Agg (hdg)
Bloomberg Barclays Global High Yield
Bloomberg Barclays Global Agg ex US
JPM EMBI Gl Div / JPM GBI-EM Gl Div
JPM CEMBI
Sources: Bloomberg Barclays and JPMorgan Chase
Sources: Bloomberg Barclays and JPMorgan Chase
-34 bps
-24 bps
-35 bps
-11 bps
-6 bps
Germany
U.S. Treasury
U.K.
Canada
Japan
Change in 10-Year Global Government Bond Yields
2Q19 to 3Q19
Source: Bloomberg Barclays
FIXED INCOME (Continued)
10
Real Estate Stays Solid; Real Assets Mostly Down
REAL ESTATE/REAL ASSETS | Munir Iman and Kristin Bradbury
U.S. Real Estate
Real Estate Returns Continue to Moderate
– U.S. core real estate returns continue to be driven by income,
with limited appreciation this late in the cycle.
– Returns are coming from net operating income (NOI) growth rather than further cap rate compression.
– Industrial continues to outperform other property types.
– Retail showing signs of depreciation
U.S. Real Estate Fundamentals Remain Healthy
– Steady returns continued, driven by above inlation-level rent growth in many metros.
– Within the NCREIF Property Index, the vacancy rate for U.S. Ofice was 9.6% in the quarter, the lowest in over 12 years.
– Net operating income (NOI) has been growing annually and is expected to be the primary return driver. Apartment and Industrial NOI growth fell slightly from the second quarter.
Pricing Remains Expensive in the U.S.
– Transaction volumes increased and remain robust.
– Cap rates rose slightly; market at near full valuations.
REITs Outperformed Global Equities
– U.S. REITs advanced 7.8% in the quarter, outpacing the S&P
500 Index, which rose 1.7%.
– Global REITs gained 4.6% compared to -0.2% for the MSCI
ACWI IMI. – Both U.S. and non-U.S. REITs are trading at net asset value.
Non-U.S. Real Estate
Asia Is Increasingly Important
– U.S.-China trade talks, unrest in Hong Kong, and other areas
of political uncertainty have impacted real estate markets in
the region. Managers continue to ind attractive opportunities in some sectors of the market such as restructuring opportu-
nities, necessity-based retail, and logistics.
– The number of open-end core funds focused on the Asia-Paciic market has increased in recent years and includes both sector-diversiied and sector-speciic (e.g., logistics) funds, supporting the development of the institutional real
estate market in the region.
– During 2019, India had its irst successful IPO for a REIT.Europe Buffeted by Political Uncertainty
– Political uncertainty continues to weigh on overall economic
growth throughout Europe, but real estate fundamentals
remain strong in key gateway markets given strong demand
and the continued lack of new supply. Cap rates for prime
real estate remain low, as real estate continues to be an
attractive asset class as a result of low interest rates through-
out the region.
– Yields between prime and secondary real estate remain
wide, providing opportunities for investors targeting transi-
tional assets, as markets across Europe have less modern
stock compared to 10 years ago.
Rolling One-Year Returns
-60%
-30%
0%
30%
60%
90%
120%
REIT Style Global REIT StylePrivate Real Estate Database
02 039900 01 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19
Source: Callan
Wes✣
❙✥✦✣h
▼✧★✩✪s✣
❊✫s✣
✶✬✭✮
✵✬✭✮
✶✬✯✮
✵✬✭✮
❘✪✣✫✧✰
Of❢✧✱✪
■✲★✦s✣✳✧✫✰
❍✥✣✪✰s
❆✴✫✳✣✷✪✲✣s
✵✬✸✮
✶✬✹✮
✶✬✺✮
✻✬✸✮
✶✬✸✮
Sector Quarterly Returns by Property Type and Region
Source: NCREIF
11
REAL ESTATE/REAL ASSETS (Continued)
NCREIF Transaction and Appraisal Capitalization Rates
Source: NCREIF
Note: Transaction capitalization rate is equal weighted.
NCREIF Capitalization Rates by Property Type
Source: NCREIF. Capitalization rates (net operating income / current market value (or
sale price)) are appraisal-based.
0%
3%
6%
9%
Appraisal Capitalization RatesTransaction Capitalization Rates
09 10 11 12 13 14 15 16 17 18 19
0%
3%
6%
9%
IndustrialApartment RetailOffice
09 10 11 12 13 14 15 16 17 18 19
Private Real Assets Quarter Year to Date Year 3 Years 5 Years 10 Years 15 Years
Real Estate ODCE Style 1.5 4.5 5.9 7.1 9.0 9.9 6.8
NFI-ODCE (value wt net) 1.1 3.1 4.6 6.3 8.4 9.8 6.9
NCREIF Property 1.4 4.8 6.2 6.8 8.6 9.8 8.6
NCREIF Farmland 1.0 2.4 5.3 6.1 7.9 11.0 14.2
NCREIF Timberland 0.2 1.3 2.1 3.1 4.4 4.0 7.0
Public Real Estate
Global Real Estate Style 4.6 22.3 14.7 7.4 8.3 10.2 8.3
FTSE EPRA Nareit Developed 4.6 19.8 13.0 5.6 6.8 8.6 --
Global ex-U.S. Real Estate Style 2.8 17.9 11.7 7.9 7.8 8.1 7.8
FTSE EPRA Nareit Dev ex US 1.5 14.6 8.9 5.9 5.0 6.5 --
U.S. REIT Style 7.7 28.5 19.2 8.4 10.7 13.6 9.7
EPRA Nareit Equity REITs 7.8 27.0 18.4 7.4 10.3 13.0 9.0
Callan Database Median and Index Returns* for Periods ended September 30, 2019
*Returns less than one year are not annualized.
Sources: Callan, FTSE Russell, NCREIF
Infrastructure Fundraising Momentum Continues
– Open end funds are raising signiicant capital, and the uni-verse of investible funds keeps increasing.
– The closed end fund market continues to expand, with
additional offerings in infrastructure debt, emerging mar-
kets, and sector-speciic areas (e.g., communications and renewables).
Real Assets
Challenging Quarter as Oil Prices Slide
– While the MLP category generally beneits from declining rate environments, volatile and falling oil prices weighed
more heavily on the space in the quarter (Alerian MLP Index: -5.0%; +11.0% YTD).
– Oil prices slid from $58.47 to $54.07 (WTI) during the quar-ter, and the energy-heavy Goldman Sachs Commodity Index
was off 4.2%, while Gold (S&P Gold spot price: +4.3%; +15.0% YTD) beneited from its safe haven status.
– Looking across the rest of the commodity complex, Agriculture Commodities inished in negative territory (Bloomberg Commodity Agriculture Subindex: -6.2%), weighed down by coffee, corn, and cotton in particular, while nickel (+35.5%) almost single-handedly lifted the Industrial Metals Subindex
(+2.4%) into positive territory for the quarter.
12
Private Equity Performance Database (%) (Pooled Horizon IRRs through June 30, 2019*)
Strategy 3 Months Year 3 Years 5 Years 10 Years 15 Years 20 Years
All Venture 6.25 18.96 15.93 14.95 15.01 11.80 13.06
Growth Equity 4.70 15.37 17.71 13.26 14.77 13.59 13.53
All Buyouts 4.12 10.72 16.06 11.85 15.27 13.72 12.07
Mezzanine 2.37 8.05 11.64 10.28 11.05 10.63 8.73
Credit Opportunities 1.09 3.20 9.37 5.68 13.39 9.61 10.13
Control Distressed 1.95 4.27 10.47 7.62 12.16 10.63 10.58
All Private Equity 4.34 12.31 15.52 11.98 14.79 12.88 12.13
S&P 500 4.30 10.42 14.19 10.71 14.70 8.75 5.90
Note: Private equity returns are net of fees. Sources: Reinitiv/Cambridge and Standard & Poor’s
*Most recent data available at time of publication
A Bountiful but Smaller Harvest
PRIVATE EQUITY | Gary Robertson
Funds Closed January 1 to September 30, 2019
Strategy No. of Funds Amt ($mm) Share
Venture Capital 263 46,702 10%
Growth Equity 50 61,789 13%
Buyouts 158 241,920 51%
Mezzanine Debt 39 60,308 13%
Distressed 8 12,203 3%
Energy 10 14,767 3%
Secondary and Other 39 27,970 6%
Fund-of-funds 20 7,358 2%
Totals 587 473,017 100%
Source: PitchBook (Figures may not total due to rounding.)
Note: Transaction count and dollar volume igures across all private equity measures are preliminary igures and are subject to update in subsequent versions of Capital Market
Review and other Callan publications.
Private equity activity measures were down in the third quarter,
except for upticks in dollar volume for fundraising and buyout
exits. So far this year, all private equity liquidity measures that
Callan tracks moderated. High prices, perceived slowing of
global economic growth, and challenging geopolitical events
dampened activity so far this year.
Private equity partnerships holding inal closes totaled $188 bil-lion, with 201 new partnerships formed, according to PitchBook.
The dollar volume rose 27% from the prior quarter, but the num-
ber of funds holding inal closes fell 7%. So far this year, 2019 is running 7% behind 2018. No strategy is dominating the market
compared to historical commitment ranges, as investors focus
on diversiication.
New buyout transactions declined, according to PitchBook.
Funds closed 1,491 company investments with $110 billion in
disclosed deal value, representing a 14% decline in count and a
16% dip in dollar value from the second quarter.
According to PitchBook, new investments in venture capital companies totaled 4,664 rounds of inancing with $57 billion of announced value. The number of investments was down
13% from the prior quarter, and announced value fell 15%. The
median pre-money valuations of Series A through D rounds con-
tinued to increase, with only Seed Stage remaining lat.
There were 404 private M&A exits of private equity-backed companies (excluding venture capital), PitchBook reports, with disclosed values totaling $122 billion. Private sale count was
down 6% from the prior quarter but announced dollar volume
rose 12%. The year-to-date exit count declined 35%. There
were 16 private-equity backed IPOs in the third quarter raising
$6 billion, a steep decline from 42 totaling $16 billion previously.
Venture-backed M&A exits totaled 320 transactions with dis-
closed value of $12 billion. The number of sales fell 12% and
announced dollar volume plunged 52%. The year-to-date exit
count declined 13%. There were 47 VC-backed IPOs in the third
quarter with a combined loat of $9 billion. For comparison, the second quarter had 59 IPOs and total issuance of $22 billion.
Peloton was the largest third quarter IPO, raising $1.2 billion.
13
Callan Database Median and Index Returns* for Periods ended September 30, 2019
Hedge Fund Universe Quarter Year 3 Years 5 Years 10 Years 15 Years
Callan Fund-of-Funds Database -0.63 0.46 3.76 2.35 4.22 4.24
Callan Absolute Return FOF Style 0.07 0.80 3.60 2.32 4.16 3.95
Callan Core Diversiied FOF Style -0.62 0.23 3.37 2.02 3.99 4.12
Callan Long/Short Equity FOF Style -1.19 0.02 4.57 3.40 4.67 5.37
Credit Suisse Hedge Fund 0.26 2.13 3.83 2.30 4.32 4.97
CS Convertible Arbitrage -0.41 1.29 2.55 2.28 4.36 3.78
CS Distressed -3.46 -3.09 3.06 0.79 4.65 5.22
CS Emerging Markets -4.11 1.81 3.29 3.02 4.28 5.99
CS Equity Market Neutral -1.74 -4.37 0.27 0.16 1.14 -0.57
CS Event-Driven Multi -0.80 0.18 3.49 0.16 3.37 5.05
CS Fixed Income Arb 0.28 2.38 4.39 3.23 5.66 3.84
CS Global Macro 2.12 7.66 5.35 3.11 4.89 6.43
CS Long/Short Equity 0.10 -0.36 4.85 3.38 4.88 5.74
CS Managed Futures 3.53 7.81 0.59 2.07 1.57 3.58
CS Multi-Strategy 0.68 1.94 4.23 4.18 6.23 5.95
CS Risk Arbitrage 0.23 1.98 3.18 2.64 2.68 3.81
HFRI Asset Wtd Composite 0.30 2.65 4.39 2.93 4.49 --
90-Day T-Bill + 5% 1.77 7.39 6.54 5.98 5.54 6.39
*Gross of fees. Sources: Bloomberg Barclays, Callan, Credit Suisse, Hedge Fund Research, Societe Generale, and Standard & Poor’s
Hedge Funds Flat; MACs Struggle
HEDGE FUNDS/MACs | Jim McKee
Alpha trades lat as markets soften during the quarter – Equity market churn, while Treasury yields fell further, had a
mixed effect across hedge funds, leaving the broad hedge
fund universe lat. – Managed Futures (+3.5%) and Global Macro (+2.1%) were
lead performers for the second quarter in a row, beneiting from continuing rate and currency trends.
– Equity Market Neutral (-1.7%) slipped hard, particularly given September’s sudden factor rotation to value while
momentum reversed.
– Long/Short Equity (+0.1%) was unchanged without much equity beta support; the equity factor reversal in September
also hurt.
– Distressed (-3.5%) sank as spreads among weaker credits widened amid a light-to-quality.
– Hedge fund portfolios with exposure to macro trading fared
better while those with emerging market exposure, particu-
larly Argentina, suffered more.
Absolute Core Long/Short
Return Diversified Equity
10th Percentile 0.6 0.5 -0.3
25th Percentile 0.3 0.0 -1.1
Median 0.1 -0.6 -1.2
75th Percentile -0.5 -0.9 -2.3
90th Percentile -1.4 -1.9 -3.7
CS Hedge Fund 0.3 0.3 0.3
90-Day T-Bill +5% 1.8 1.8 1.8
-4%
-2%
0%
2%
Hedge Fund-of-Funds Style Group Returns
Sources: Callan, Credit Suisse, and Federal Reserve
14
Amid choppy markets, MACs struggle for gains
– Multi-asset class (MAC) performance varied depending on net market exposures, but was mostly lat or down.
– The HFR Risk Parity Index targeting 10% volatility was pos-
itive (+1.9%), relecting the modest lift of stocks and bonds. – Eurekahedge Multi-Factor Risk Premia Index fell 5.1%,
indicating broad headwinds for those seeking diversifying
returns outside long-only markets.
– Within risk premia, equity momentum was a key detractor in
light of September’s factor reversal; rates momentum was
an offsetting contributor given the trend of falling yields.
– Long-Biased trailed due to exposure to risk-on assets.
– Absolute Return beneited from exposure to higher-quality assets.
Volatility simmers slightly below average
– Markets are further discounting growth with lower expected
rates, long and short.
– If global manufacturing data softens further, thereby over-
whelming expectations of central banks easing, hedge funds
are positioned reasonably well for an equity downturn.
– However, any economic rebound with tepid inlation will cause most hedge funds to lag.
Falling yield curve shrinks the playing ield, however level it may be
– Lower long rates factored into stocks and bonds leave less
room for traditional assets to run, giving hedged strategies
more opportunity to shine.
– However, as short rates also settle to lower levels, dwindling
cash returns and short interest rebates take some wind out
of hedge fund sails.
Industry outlows shade constructive mood – The third quarter was the sixth consecutive quarter of indus-
try asset outlows, which runs counter to the industry’s posi-tive view of an improving opportunity set ahead with increas-
ing volatility tied to growing economic uncertainty.
Absolute Risk Long Risk
Return Premia Biased Parity
10th Percentile 3.3 5.2 3.1 5.2
25th Percentile 2.0 1.2 1.5 2.6
Median 1.3 1.1 0.2 1.7
75th Percentile 0.5 -0.5 -0.5 1.3
90th Percentile -1.5 -2.2 -1.2 0.9
Eurekahedge
MFRP (5%v) -5.1 -5.1 -5.1 -5.1
60% S&P 500/ 40% BB Barclays Agg 1.9 1.9 1.9 1.9
-6%
-3%
0%
3%
6%
Convertible Arb
Distressed
Long/Short Equity
Managed Futures
0.7%
-1.7%
-0.4%
-4.1%
0.2%0.3% 0.1%
3.5%
2.1%
-3.5%
-0.8%
Fixed Income Arb
Risk Arbitrage
Emerging Market
Equity Mkt Neutral
Multi-Strategy
Event-Driven Multi
Global Macro
MAC Style Group Returns
Credit Suisse Hedge Fund Strategy Returns
Sources: Bloomberg Barclays, Callan, Eurekahedge, Standard & Poor’s
Source: Credit Suisse
15
The Callan DC Index is an equally weighted index tracking the cash lows and performance of nearly 90 plans, representing more than one million
DC participants and over $150 billion in assets. The Index is updated
quarterly and is available on Callan’s website, as is the quarterly DC
Observer newsletter.
– The Callan DC Index™ gained 3.3% in the second quar-
ter, compared to the irst quarter’s jump of 9.6%. The Age 45 Target Date Fund gained 3.5%, largely due to its higher
equity allocation.
– The Index’s growth in balances in the second quarter
(3.3%) returned to a normal level after a robust gain in the irst quarter (9.8%). Net lows were also positive but very small (0.03%).
– Target date funds (TDFs) yet again saw the largest inlows for the quarter. Both large-cap and small/mid-cap U.S.
equity experienced large outlows. U.S. ixed income had relatively large inlows, while stable value options had rela-
tively large outlows. – Second quarter turnover (i.e., net transfer activity levels
within DC plans) increased to 0.54% from the previous quarter’s measure of 0.48%. Turnover has risen for three
consecutive quarters but still sits below the historical aver-
age (0.60%). – The overall allocation to equity increased to 70.0% from
69.5% in the previous quarter. The current allocation exceeds
the Index’s historical average by 2.2 percentage points.
– The percentage of assets allocated to U.S. large-cap equity
rose. Gains as a result of strong performance outweighed
outlows from the asset class. The current allocation to U.S. large-cap equity (25.2%) is now at its second highest level over the past decade.
– On the other hand, the percentage allocated to stable value
decreased, while the allocation to TDFs remained steady.
– Stable value’s prevalence within DC plans rose for the sev-
enth consecutive quarter and is now at 77%. Additionally, more plans are now offering emerging market equity, global
equity, and high yield ixed income as investment options.
Performance Slows but Remains Solid
DEFINED CONTRIBUTION | Patrick Wisdom
Net Cash Flow Analysis (Second Quarter 2019)
(Top Two and Bottom Two Asset Gatherers)
Asset Class
Flows as % of
Total Net Flows
Target Date Funds 62.56%
U.S. Fixed Income 26.82%
U.S. Smid Cap -20.40%
U.S. Large Cap -45.95%
Total Turnover** 0.54%
Data provided here is the most recent available at time of publication.
Source: Callan DC Index
Note: DC Index inception date is January 2006.
* The Age 45 Fund transitioned from the average 2035 TDF to the 2040 TDF in
June 2018.
** Total Index “turnover” measures the percentage of total invested assets (transfers
only, excluding contributions and withdrawals) that moved between asset classes.
Investment Performance
Growth Sources
Second Quarter 2019
Age 45 Target Date* Total DC Index
6.4%
3.3%3.5%
6.2%
Annualized Since
Inception
Year-to-date
6.8%
7.2%
Second Quarter 2019Year-to-date
% Net Flows % Return Growth% Total Growth
7.9%
Annualized Since
Inception
1.8%
0.0%0.1%
6.2%
3.3%3.3%
6.5% 6.4%
Activ
e M
an
ag
em
en
t
Active Management Ove
rvie
w
Overview
Market OverviewActive Management vs Index Returns
Market OverviewThe charts below illustrate the range of returns across managers in Callan’s Separate Account database over the mostrecent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference inreturns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As anexample, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter.The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in theLarge Cap Equity manager database.
Range of Separate Account Manager Returns by Asset ClassOne Quarter Ended September 30, 2019
Retu
rns
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
Large Cap Small Cap Non-US Domestic Non-US RealEquity Equity Equity Fixed Income Fixed Income Estate
vs vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index
(31)
(60)
(35)
(83)
(13)
(75)
10th Percentile 2.73 1.10 0.15 2.49 (0.08) 3.0525th Percentile 1.95 (0.29) (0.75) 2.45 (0.28) 2.20
Median 1.16 (1.84) (1.44) 2.36 (0.71) 1.8175th Percentile (0.08) (3.72) (2.05) 2.29 (1.95) 1.4090th Percentile (1.03) (5.63) (2.71) 2.21 (2.57) 0.77
Index 1.70 (2.40) (1.07) 2.27 (0.11) 1.41
Range of Separate Account Manager Returns by Asset ClassOne Year Ended September 30, 2019
Re
turn
s
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Large Cap Small Cap Non-US Domestic Non-US RealEquity Equity Equity Fixed Income Fixed Income Estate
vs vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index
(35)
(63)
(43)
(69)
(27) (63)
10th Percentile 8.46 (0.24) 3.16 11.08 7.77 13.4325th Percentile 5.46 (3.74) 0.63 10.82 6.80 8.21
Median 2.83 (7.07) (2.10) 10.52 5.92 6.9975th Percentile (0.31) (10.61) (4.70) 10.26 3.34 5.8090th Percentile (1.87) (13.09) (6.52) 9.97 (0.14) 3.85
Index 4.25 (8.89) (1.34) 10.30 6.78 6.24
17Pennsylvania SERS
Asse
t Allo
ca
tion
Asset Allocation
an
d P
erfo
rma
nce
and Performance
ASSET ALLOCATION AND PERFORMANCE
Asset Allocation and PerformanceThis section begins with an overview of the fund’s asset allocation at the broad asset class level. This is followed by a topdown performance attribution analysis which analyzes the fund’s performance relative to the performance of the fund’s policytarget asset allocation. The fund’s historical performance is then examined relative to funds with similar objectives.Performance of each asset class is then shown relative to the asset class performance of other funds. Finally, a summary ispresented of the holdings of the fund’s investment managers, and the returns of those managers over various recent periods.
19Pennsylvania SERS
Actual vs Target Asset AllocationAs of September 30, 2019
The first chart below shows the Fund’s asset allocation as of September 30, 2019. The second chart shows the Fund’s targetasset allocation as outlined in the investment policy statement.
Actual Asset Allocation
Private Equity13%
Global Public Equity55%Multi-Strategy
6%
Fixed Income15%
Cash4%
Real Estate7%
Legacy Hedge Funds0%
Target Asset Allocation
Private Equity16%
Global Public Equity48%
Multi-Strategy10%
Fixed Income11%
Cash3%
Real Estate12%
$000s Weight Percent $000sAsset Class Actual Actual Target Difference DifferencePrivate Equity 3,909,776 13.3% 16.0% (2.7%) (802,412)Global Public Equity 16,154,037 54.9% 48.0% 6.9% 2,017,474Multi-Strategy 1,714,470 5.8% 10.0% (4.2%) (1,230,648)Fixed Income 4,350,899 14.8% 11.0% 3.8% 1,111,270Cash 1,238,962 4.2% 3.0% 1.2% 355,426Real Estate 2,047,329 7.0% 12.0% (5.0%) (1,486,812)Legacy Hedge Funds 35,702 0.1% 0.0% 0.1% 35,702Total 29,451,174 100.0% 100.0%
20Pennsylvania SERS
Actual Asset AllocationAs of September 30, 2019
The first chart below shows the Fund’s asset allocation as of September 30, 2019. The second chart ranks the fund’s assetallocation versus the Callan Public Fund Spons- V Lg DB (>10B).
Actual Asset Allocation
Private Equity13%
U.S. Equity26%
Non-U.S. Equity25%
Global Equity Mandates4%
Multi-Strategy6%
Fixed Income15%
Cash4%
Real Estate7%
Legacy Hedge Funds0%
$000s WeightAsset Class Actual ActualPrivate Equity 3,909,776 13.3%U.S. Equity 7,791,715 26.5%Non-U.S. Equity 7,314,687 24.8%Global Equity Mandates 1,046,367 3.6%Multi-Strategy 1,714,470 5.8%Fixed Income 4,350,899 14.8%Cash 1,238,962 4.2%Real Estate 2,047,329 7.0%Legacy Hedge Funds 35,702 0.1%Total 29,449,906 100.0%
Asset Class Weights vs Callan Public Fund Spons- V Lg DB (>10B)
We
igh
ts
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
U.S. Fixed Cash Real Intl Alternative Global PrivateEquity Income Estate Equity Equity Mandates Equity
(60)
(81)
(26)(59)
(30)
(93)A
(2)
10th Percentile 42.33 42.38 6.75 12.39 32.60 31.79 - 11.5625th Percentile 33.41 27.48 4.49 9.65 25.82 26.32 - 10.82
Median 28.57 21.20 1.95 8.00 20.77 17.83 - 8.9375th Percentile 20.92 17.40 1.00 4.43 17.96 14.51 - 6.1890th Percentile 17.40 12.13 0.50 3.43 10.17 6.61 - 3.33
Fund 26.46 14.77 4.21 6.95 24.84 5.94 3.55 13.28
% Group Invested 100.00% 100.00% 80.77% 92.31% 100.00% 65.38% 0.00% 30.77%
*Excludes transition accounts
21Pennsylvania SERS
Quarterly Total Fund Absolute Attribution - September 30, 2019
The following analysis approaches Total Fund Attribution from the perspective of Absolute Return Contribution. Absolutereturn attribution quantifies the contribution of each asset class to total fund absolute performance as well as targetperformance. Absolute return contribution is a function of both the size of the exposure ($ weight) to each asset class as wellas the actual return of each asset class.
Actual and Target Weights
0% 10% 20% 30% 40% 50% 60% 70%
Fixed Income14.68
11.00
Real Estate6.55
12.00
Multi-Strategy5.73
10.00
Global Public Equity54.85
48.00
Legacy Hedge Funds0.13
Private Equity13.59
16.00
Cash4.48
3.00
Actual Target
Fixed Income
Real Estate
Multi-Strategy
Global Public Equity
Legacy Hedge Funds
Private Equity
Cash
Total
Actual and Target Returns
(2%) (1%) 0% 1% 2% 3% 4%
1.802.27
2.061.08
0.570.99
(0.47 )(0.18 )
(1.05 )(0.82 )
0.970.97
0.570.56
0.320.58
Actual Target
Absolute Return Contributions
(0.6%) (0.4%) (0.2%) 0.0% 0.2% 0.4% 0.6% 0.8%
0.260.25
0.130.13
0.030.10
(0.26 )(0.08 )
(0.00 )
0.130.16
0.030.02
0.320.58
Actual Target
Absolute Attribution Effects for Quarter ended September 30, 2019
Effective Absolute Effective Target ReturnActual Actual Return Target Target Return ContributionWeight Return Contribution Weight Return Contribution Difference
Fixed Income 15% 1.80% 0.26% 11% 2.27% 0.25% 0.01%Real Estate 7% 2.06% 0.13% 12% 1.08% 0.13% 0.01%Multi-Strategy 6% 0.57% 0.03% 10% 0.99% 0.10% (0.07%)Global Public Equity 55% (0.47%) (0.26%) 48% (0.18%) (0.08%) (0.17%)Legacy Hedge Funds 0% (1.05%) (0.00%) 0% (0.82%) 0.00% (0.00%)Private Equity 14% 0.97% 0.13% 16% 0.97% 0.16% (0.02%)Cash 4% 0.57% 0.03% 3% 0.56% 0.02% 0.01%
Total Fund Return Target Return0.32% 0.58% (0.26%)
* Current Quarter Target = 48.0% MSCI ACWI IMI, 16.0% Private Equity, 11.0% Blmbg Aggregate, 10.8% NCREIF NFI-ODCE Eq Wt Net lagged 3 months,
10.0% S&P:LSTA Lev Loan, 3.0% 3-month Treasury Bill, 1.2% FTSE EP/NA US Index lagged 3 months and 0.0% HFRI Fund of Funds Compos.
22Pennsylvania SERS
Quarterly Total Fund Relative Attribution - September 30, 2019
The following analysis approaches Total Fund Attribution from the perspective of relative return. Relative return attributionseparates and quantifies the sources of total fund excess return relative to its target. This excess return is separated into tworelative attribution effects: Asset Allocation Effect and Manager Selection Effect. The Asset Allocation Effect represents theexcess return due to the actual total fund asset allocation differing from the target asset allocation. Manager Selection Effectrepresents the total fund impact of the individual managers excess returns relative to their benchmarks.
Asset Class Under or Overweighting
(10%) (5%) 0% 5% 10%
Fixed Income 3.68
Real Estate (5.45 )
Multi-Strategy (4.27 )
Global Public Equity 6.85
Legacy Hedge Funds 0.13
Private Equity (2.41 )
Cash 1.48
Fixed Income
Real Estate
Multi-Strategy
Global Public Equity
Legacy Hedge Funds
Private Equity
Cash
Total
Actual vs Target Returns
(2%) (1%) 0% 1% 2% 3% 4%
1.802.27
2.061.08
0.570.99
(0.47 )(0.18 )
(1.05 )(0.82 )
0.970.97
0.570.56
0.320.58
Actual Target
Relative Attribution by Asset Class
(0.40%) (0.30%) (0.20%) (0.10%) 0.00% 0.10% 0.20%
Manager Effect Asset Allocation Total
Relative Attribution Effects for Quarter ended September 30, 2019
Effective Effective TotalActual Target Actual Target Manager Asset Relative
Asset Class Weight Weight Return Return Effect Allocation ReturnFixed Income 15% 11% 1.80% 2.27% (0.07%) 0.05% (0.02%)Real Estate 7% 12% 2.06% 1.08% 0.07% (0.03%) 0.04%Multi-Strategy 6% 10% 0.57% 0.99% (0.02%) (0.02%) (0.04%)Global Public Equity 55% 48% (0.47%) (0.18%) (0.16%) (0.06%) (0.22%)Legacy Hedge Funds 0% 0% (1.05%) (0.82%) (0.00%) (0.00%) (0.00%)Private Equity 14% 16% 0.97% 0.97% 0.00% (0.01%) (0.01%)Cash 4% 3% 0.57% 0.56% 0.00% (0.00%) (0.00%)
Total = + +0.32% 0.58% (0.19%) (0.07%) (0.26%)
* Current Quarter Target = 48.0% MSCI ACWI IMI, 16.0% Private Equity, 11.0% Blmbg Aggregate, 10.8% NCREIF NFI-ODCE Eq Wt Net lagged 3 months,
10.0% S&P:LSTA Lev Loan, 3.0% 3-month Treasury Bill, 1.2% FTSE EP/NA US Index lagged 3 months and 0.0% HFRI Fund of Funds Compos.
23Pennsylvania SERS
Cumulative Total Fund Absolute Attribution - September 30, 2019
The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine thecumulative sources of absolute total fund Performance and target performance. These cumulative results quantify thelonger-term contribution of each asset class to absolute total fund return as well as the target return.
Three Quarters Absolute Return Contributions
(5%) 0% 5% 10% 15%
Fixed Income1.33
0.96
Real Estate0.590.59
Multi-Strategy0.93
0.69
Global Public Equity8.62
7.53
Legacy Hedge Funds(0.01 )
Private Equity1.021.20
Cash0.080.06
Total12.39
11.11
Actual Target
Cumulative Absolute Return Contributions
(2%)
0%
2%
4%
6%
8%
10%
12%
14%
2019
Fixed Income
Real Estate
Multi-Strategy
Global Public Equity
Legacy Hedge Funds
Private Equity
Cash
Total
Three Quarters Absolute Attribution Effects
Effective Absolute Effective Target ReturnActual Actual Return Target Target Return ContributionWeight Return Contribution Weight Return Contribution Difference
Fixed Income 15% 8.90% 1.33% 11% 8.52% 0.96% 0.37%Real Estate 7% 8.76% 0.59% 12% 4.70% 0.59% (0.00%)Multi-Strategy 7% 11.70% 0.93% 10% 6.79% 0.69% 0.24%Global Public Equity 54% 16.27% 8.62% 48% 15.87% 7.53% 1.08%Legacy Hedge Funds 0% (4.44%) (0.01%) 0% 5.29% 0.00% (0.01%)Private Equity 14% 7.16% 1.02% 16% 7.16% 1.20% (0.18%)Cash 4% 1.82% 0.08% 3% 1.81% 0.06% 0.02%
Total Fund Return Target Return12.39% 11.11% 1.28%
* Current Quarter Target = 48.0% MSCI ACWI IMI, 16.0% Private Equity, 11.0% Blmbg Aggregate, 10.8% NCREIF NFI-ODCE Eq Wt Net lagged 3 months,
10.0% S&P:LSTA Lev Loan, 3.0% 3-month Treasury Bill, 1.2% FTSE EP/NA US Index lagged 3 months and 0.0% HFRI Fund of Funds Compos.
24Pennsylvania SERS
Cumulative Total Fund Relative Attribution - September 30, 2019
The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine thecumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-termsources of total fund excess return relative to target by asset class. These relative attribution effects separate the cumulativesources of total fund excess return into Asset Allocation Effect and Manager Selection Effect.
Three Quarters Relative Attribution Effects
(0.5%) 0.0% 0.5% 1.0% 1.5% 2.0%
Fixed Income
Real Estate
Multi-Strategy
Global Public Equity
Legacy Hedge Funds
Private Equity
Cash
Total
Manager Effect Asset Allocation Total
Cumulative Relative Attribution Effects
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2019
Manager Effect
Asset Allocation
Total
Three Quarters Relative Attribution Effects
Effective Effective TotalActual Target Actual Target Manager Asset Relative
Asset Class Weight Weight Return Return Effect Allocation ReturnFixed Income 15% 11% 8.90% 8.52% 0.05% (0.13%) (0.08%)Real Estate 7% 12% 8.76% 4.70% 0.28% 0.29% 0.57%Multi-Strategy 7% 10% 11.70% 6.79% 0.39% 0.08% 0.47%Global Public Equity 54% 48% 16.27% 15.87% 0.21% 0.12% 0.33%Legacy Hedge Funds 0% 0% (4.44%) 5.29% (0.02%) (0.01%) (0.03%)Private Equity 14% 16% 7.16% 7.16% 0.00% 0.04% 0.04%Cash 4% 3% 1.82% 1.81% (0.00%) (0.02%) (0.02%)
Total = + +12.39% 11.11% 0.91% 0.37% 1.28%
* Current Quarter Target = 48.0% MSCI ACWI IMI, 16.0% Private Equity, 11.0% Blmbg Aggregate, 10.8% NCREIF NFI-ODCE Eq Wt Net lagged 3 months,
10.0% S&P:LSTA Lev Loan, 3.0% 3-month Treasury Bill, 1.2% FTSE EP/NA US Index lagged 3 months and 0.0% HFRI Fund of Funds Compos.
25Pennsylvania SERS
Actual vs Target Historical Asset Allocation
The Historical asset allocation for a fund is by far the largest factor explaining its performance. The charts below show thefund’s historical actual asset allocation, the fund’s historical target asset allocation, and the historical asset allocation of theaverage fund in the Callan Public Fund Spons- V Lg DB (>10B).
Actual Historical Asset Allocation
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2015 2016 2017 2018 2019
Private Equity
Global Public Equity
Multi-Strategy
Fixed Income
Cash
Legacy Hedge Funds
Real Estate
Target Historical Asset Allocation
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2015 2016 2017 2018 2019
Private Equity
Global Public Equity
Multi-Strategy
Fixed Income
Cash
Legacy Hedge Funds
Real Estate
Average Callan Public Fund Spons- V Lg DB (>10B) Historical Asset Allocation
0% 0%
10% 10%
20% 20%
30% 30%
40% 40%
50% 50%
60% 60%
70% 70%
80% 80%
90% 90%
100% 100%
2015 2016 2017 2018 2019
Real Assets
Private Equity
Hedge Funds
Global Balanced
Cash Equiv
Intl Fixed-Inc
Global Equity Broad
Real Estate
Other Alternatives
Intl Equity
Domestic Fixed
Domestic Broad Eq
26Pennsylvania SERS
Total FundTotal Fund vs Target Risk Analysis
Risk AnalysisThe graphs below analyze the performance and risk of the fund relative to the appropriate target mix. This relativeperformance is compared to a peer group of funds wherein each member fund is measured against its own target mix. Thefirst scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative tothe target. The second scatter chart displays the relationship, sometimes called Information Ratio, between alpha(market-risk or "beta" adjusted return) and residual risk (non-market or "unsystematic" risk). The third chart shows trackingerror patterns over time compared to the range of tracking error patterns for the peer group. The last two charts show theranking of the fund’s risk statistics versus the peer group.
Risk Analysis vs Callan Public Fund Spons- V Lg DB (>10B)Five Years Ended September 30, 2019
0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2(1.4 )
(1.2 )
(1.0 )
(0.8 )
(0.6 )
(0.4 )
(0.2 )
(0.0 )
0.2
0.4
0.6
60% MSCI ACW IMI/40% U.S. Agg Bond
Total Fund
Tracking Error
Exce
ss R
etu
rn
0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8(3.0 )
(2.5 )
(2.0 )
(1.5 )
(1.0 )
(0.5 )
0.0
0.5
1.0
1.5
60% MSCI ACW IMI/40% U.S. Agg Bond
Total Fund
Residual Risk
Alp
ha
Rolling 12 Quarter Tracking Error vs Targets Compared to Callan Public Fund Spons- V Lg DB (>10B)
Tra
ckin
g E
rro
r
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
2015 2016 2017 2018 2019
Total Fund
Group Median
Risk Statistics Rankings vs TargetsRankings Against Callan Public Fund Spons- V Lg DB (>10B)Five Years Ended September 30, 2019
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
Excess Alpha TrackingReturn Error
A(91)B(98) A(77)
B(86)
B(21)A(59)
10th Percentile 0.71 1.15 2.1925th Percentile 0.45 1.02 1.95
Median 0.03 0.80 1.5375th Percentile (0.08) (1.01) 0.7790th Percentile (0.14) (2.10) 0.31
Total Fund A (0.27) (1.18) 1.2660% MSCI ACW
IMI/40% U.S. Agg Bond B (1.15) (2.47) 2.04
(2.5)(2.0)(1.5)(1.0)(0.5)
0.00.51.01.52.02.5
Rel. Std. Beta Excess Info.Deviation Rtn. Ratio Ratio
B(18)A(26)
B(19)A(26)
A(94)B(98)
A(80)B(82)
10th Percentile 1.36 1.34 0.94 1.6725th Percentile 1.20 1.19 0.59 1.32
Median 0.94 0.94 0.02 0.7475th Percentile 0.84 0.82 (0.04) (0.96)90th Percentile 0.78 0.75 (0.07) (1.98)
Total Fund A 1.19 1.18 (0.21) (1.35)60% MSCI ACW
IMI/40% U.S. Agg Bond B 1.30 1.26 (0.57) (1.61)
27Pennsylvania SERS
Cumulative Performance Relative to Target
The first chart below illustrates the cumulative performance of the Total Fund relative to the cumulative performance of theFund’s Target Asset Mix. The Target Mix is assumed to be rebalanced each quarter with no transaction costs. The secondchart below shows the return and the risk of the Total Fund and the Target Mix, contrasted with the returns and risks of thefunds in the Callan Public Fund Spons- V Lg DB (>10B).
Cumulative Returns Actual vs Target
Cu
mu
lative
Re
turn
s
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
2014 2015 2016 2017 2018 2019
Total Fund
Total Fund Target
Five Year Annualized Risk vs Return
3% 4% 5% 6% 7% 8% 9% 10% 11%5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
Total Fund
Total Fund Target
Standard Deviation
Re
turn
s
Squares represent membership of the Callan Public Fund Spons- V Lg DB (>10B)
28Pennsylvania SERS
Total FundDrawdown Analysis for Five Years Ended September 30, 2019
The following analysis focuses on downside risk by looking at cumulative drawdowns experienced from peak-to-trough forthe portfolio, index, and peer group. Drawdown is measured from the "high-water mark" of cumulative return to thesubsequent "trough". The first chart illustrates the Worst Absolute Drawdown as well as the Current Drawdown (cumulativereturn from high-water mark to now). The second chart focuses on Relative Drawdown (negative excess return vs. index).The bottom charts highlight the portfolio’s peer rankings during drawdown periods.
Absolute Cumulative Drawdown Analysis
Cu
mu
lative
Re
turn
s
(5%)
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
2014 2015 2016 2017 2018 2019
32.45%37.98%38.06%Total Fund
Total Fund Custom Bmk
Callan Public Fd V Lg DB
Worst Absolute Drawdown
Return Years Period Index Peers
Total Fund (2.32)% 0.50 2015/06-2015/12 (0.55)% (2.29)%
Recovery from Trough 5.40% 0.75 2015/12-2016/09 5.83% 6.94%
Total Fund Custom Bmk (6.11)% 0.25 2018/09-2018/12
Callan Public Fd V Lg DB (6.29)% 0.25 2018/09-2018/12
Current Absolute Drawdown
Return Years Period Index Peers
- - - - -
- - - - -
- - -
- - -
Relative Cumulative Drawdown Analysis vs. Total Fund Custom Bmk
Cu
mu
lative
Re
lative
Re
turn
s
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
2014 2015 2016 2017 2018 2019
(4.01%)
0.06%
Total Fund
Callan Public Fd V Lg DB
Peak Catch-up Rel Rtn: 3.61%
Worst Relative Drawdown
Rel Rtn Years Period Peers
Total Fund (5.10)% 4.25 2014/09-2018/12 (0.54)%
Recovery from Trough 1.35% 0.25 2018/12-2019/03 0.43%
Callan Public Fd V Lg DB (2.77)% 0.75 2014/12-2015/09
Current Relative Drawdown
Rel Rtn Years Period Peers
(3.48)% 4.75 2014/12-2019/09 (0.58)%
1.15% 0.75+ 2018/12-2019/09 0.60%
(0.58)% 4.75 2014/12-2019/09
Drawdown Rankings vs. Total Fund Custom BmkRankings against Callan Public Fund Spons- V Lg DB (>10B)Five Years Ended September 30, 2019
(4.0%)(3.5%)(3.0%)(2.5%)(2.0%)(1.5%)(1.0%)(0.5%)
0.0%
Worst Absolute Current AbsoluteDrawdown Drawdown
2015/06-2015/12 -
(61)
(2)
10th Percentile (1.07) -25th Percentile (1.57) -
Median (2.15) -75th Percentile (2.72) -90th Percentile (3.61) -
Total Fund (2.32) -
Total FundCustom Bmk (0.55) -
(8%)(6%)(4%)(2%)
0%2%4%6%
Worst Relative Current RelativeDrawdown Drawdown
2014/09-2018/12 2014/12-2019/09
(96)(94)
10th Percentile 4.29 4.6025th Percentile 2.77 2.27
Median 0.00 1.2475th Percentile (1.65) (0.84)90th Percentile (3.60) (2.39)
Total Fund (5.10) (3.48)
29Pennsylvania SERS
Total FundDrawdown Analysis for Ten Years Ended September 30, 2019
The following analysis focuses on downside risk by looking at cumulative drawdowns experienced from peak-to-trough forthe portfolio, index, and peer group. Drawdown is measured from the "high-water mark" of cumulative return to thesubsequent "trough". The first chart illustrates the Worst Absolute Drawdown as well as the Current Drawdown (cumulativereturn from high-water mark to now). The second chart focuses on Relative Drawdown (negative excess return vs. index).The bottom charts highlight the portfolio’s peer rankings during drawdown periods.
Absolute Cumulative Drawdown Analysis
Cu
mu
lative
Re
turn
s
0%
50%
100%
150%
09 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
114.54%
125.50%123.47%
Total Fund
Total Fund Custom Bmk
Callan Public Fd V Lg DB
Worst Absolute Drawdown
Return Years Period Index Peers
Total Fund (3.83)% 0.50 2011/06-2011/12 (2.03)% (4.26)%
Recovery from Trough 5.98% 0.25 2011/12-2012/03 4.95% 7.63%
Total Fund Custom Bmk (6.11)% 0.25 2018/09-2018/12
Callan Public Fd V Lg DB (6.29)% 0.25 2018/09-2018/12
Current Absolute Drawdown
Return Years Period Index Peers
- - - - -
- - - - -
- - -
- - -
Relative Cumulative Drawdown Analysis vs. Total Fund Custom Bmk
Cu
mu
lative
Re
lative
Re
turn
s
(7%)
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
09 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
(4.86%)
(0.90%)
Total Fund
Callan Public Fd V Lg DB
Peak Catch-up Rel Rtn: 6.71%
Worst Relative Drawdown
Rel Rtn Years Period Peers
Total Fund (7.36)% 7.50 2011/06-2018/12 (1.62)%
Recovery from Trough 1.15% 0.75+ 2018/12-2019/09 0.60%
Callan Public Fd V Lg DB (5.63)% 0.75 2010/12-2011/09
Current Relative Drawdown
Rel Rtn Years Period Peers
(6.29)% 8.25 2011/06-2019/09 (1.03)%
1.15% 0.75+ 2018/12-2019/09 0.60%
(1.95)% 8.75 2010/12-2019/09
Drawdown Rankings vs. Total Fund Custom BmkRankings against Callan Public Fund Spons- V Lg DB (>10B)Ten Years Ended September 30, 2019
(7%)
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
Worst Absolute Current AbsoluteDrawdown Drawdown
2011/06-2011/12 -
(25)
(10)
10th Percentile (2.13) -25th Percentile (3.86) -
Median (4.62) -75th Percentile (5.50) -90th Percentile (6.12) -
Total Fund (3.83) -
Total FundCustom Bmk (2.03) -
(10%)(8%)(6%)(4%)(2%)
0%2%4%6%8%
10%
Worst Relative Current RelativeDrawdown Drawdown
2011/06-2018/12 2011/06-2019/09
(89) (94)
10th Percentile 5.95 6.6425th Percentile 2.33 3.60
Median (0.93) 0.4675th Percentile (3.37) (2.61)90th Percentile (7.81) (4.83)
Total Fund (7.36) (6.29)
30Pennsylvania SERS
Total Fund Ranking
The first two charts show the ranking of the Total Fund’s performance relative to that of the Callan Public Fund Spons- V LgDB (>10B) for periods ended September 30, 2019. The first chart is a standard unadjusted ranking. In the second chart eachfund in the database is adjusted to have the same historical asset allocation as that of the Total Fund.
Callan Public Fund Spons- V Lg DB (>10B)R
etu
rns
0%
2%
4%
6%
8%
10%
12%
Last Last Last LastQuarter Year 3 Years 5 Years
(84)(73)
(70)(67)
(66)(81)
(84)(69)
10th Percentile 1.61 6.68 9.39 7.7125th Percentile 1.19 5.68 8.95 7.33
Median 0.82 4.74 8.62 6.9275th Percentile 0.57 4.05 8.02 6.5690th Percentile 0.33 3.13 7.76 6.23
Total Fund 0.43 4.15 8.24 6.39
Policy Target 0.58 4.32 7.91 6.65
Asset Allocation Adjusted Ranking
Re
turn
s
0%
2%
4%
6%
8%
10%
12%
Last Last Last LastQuarter Year 3 Years 5 Years
(79)
(47)
(80)
(89)
10th Percentile 0.87 4.96 9.53 7.9725th Percentile 0.74 4.66 8.91 7.17
Median 0.55 4.11 8.59 6.9675th Percentile 0.46 3.86 8.30 6.6790th Percentile 0.34 3.40 8.06 6.34
Total Fund 0.43 4.15 8.24 6.39
* Current Quarter Target = 48.0% MSCI ACWI IMI, 16.0% Private Equity, 11.0% Blmbg Aggregate, 10.8% NCREIF NFI-ODCE Eq Wt Net lagged 3 months,
10.0% S&P:LSTA Lev Loan, 3.0% 3-month Treasury Bill, 1.2% FTSE EP/NA US Index lagged 3 months and 0.0% HFRI Fund of Funds Compos.
31Pennsylvania SERS
Total FundPeriod Ended September 30, 2019
Quarterly Summary and HighlightsTotal Fund’s portfolio posted a 0.43% return for the quarterplacing it in the 84 percentile of the Callan Public FundSpons- V Lg DB (>10B) group for the quarter and in the 70percentile for the last year.
Total Fund’s portfolio underperformed the Total FundCustom Benchmark by 0.15% for the quarter andunderperformed the Total Fund Custom Benchmark for theyear by 0.17%.
Quarterly Asset Growth
Beginning Market Value $29,533,886,712
Net New Investment $-188,621,035
Investment Gains/(Losses) $105,908,818
Ending Market Value $29,451,174,495
Performance vs Callan Public Fund Spons- V Lg DB (>10B) (Gross)
0%
2%
4%
6%
8%
10%
12%
Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 15 Years Last 20 YearsYear
B(19)
A(84)(73)
B(41)
A(70)(67)
B(39)
A(66)(80)
B(56)
A(84)(90)
B(35)
A(69)(81)
B(35)A(46)
(83) B(4)A(18)(17)
A(13)B(23)
(58)
10th Percentile 1.61 6.68 9.39 7.71 9.25 9.43 7.87 7.0925th Percentile 1.19 5.68 8.95 7.33 8.79 9.13 7.58 6.80
Median 0.82 4.74 8.62 6.92 8.24 8.54 7.37 6.6175th Percentile 0.57 4.05 8.02 6.56 7.74 8.24 7.04 6.3690th Percentile 0.33 3.13 7.76 6.23 7.15 7.78 6.52 6.08
Total Fund A 0.43 4.15 8.24 6.39 7.87 8.65 7.63 7.02Total Fund PublicMarket Equivalent B 1.30 4.89 8.77 6.92 8.49 8.83 8.13 6.85
Total FundCustom Benchmark 0.58 4.32 7.93 6.27 7.55 8.12 7.66 6.51
Relative Returns vsTotal Fund Custom Benchmark
Rela
tive
Re
turn
s
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
092010 2011 2012 2013 2014 2015 2016 2017 2018 19
Total Fund
Cumulative Returns vsTotal Fund Custom Benchmark
Cum
ula
tive
Re
lative
Re
turn
s
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
092010 2011 2012 2013 2014 2015 2016 2017 2018 19
Total Fund
Callan Public Fd V Lg DB
32Pennsylvania SERS
Asset Class Risk and Return
The charts below show the five year annualized risk and return for each asset class component of the Total Fund. The firstgraph contrasts these values with those of the appropriate index for each asset class. The second chart contrasts them withthe risk and return of the median portfolio in each of the appropriate CAI comparative databases. In each case, thecrosshairs on the chart represent the return and risk of the Total Fund.
Five Year Annualized Risk vs ReturnAsset Classes vs Benchmark Indices
0% 2% 4% 6% 8% 10% 12% 14%0%
2%
4%
6%
8%
10%
12%
S&P:LSTA Lev LoanFixed Income
Total Fund
Real Estate
Burgiss All Private Equit
Russell 3000 Index
MSCI ACWI IMI
Blmbg Aggregate
3-month Treasury Bill
Total Fund Custom Bench
Global Public Equity
Private Equity
Cash
Real Estate Custom Bench
Standard Deviation
Re
turn
s
Five Year Annualized Risk vs ReturnAsset Classes vs Asset Class Median
0% 2% 4% 6% 8% 10% 12% 14%0%
2%
4%
6%
8%
10%
12%
14%
Pub Pln- Glbl Equity
Real Estate Total Fund
Callan MAC Median
Fixed Income
Private Equity
Callan Cash Median
Lg Public Fd - Real Est
Lg Public Fd - Dom Fixed
Plan- Private Equity
Callan Public Fd V Lg DB
Global Public Equity
Cash
Standard Deviation
Re
turn
s
33Pennsylvania SERS
Asset Class Rankings
The charts below show the rankings of each asset class component of the Total Fund relative to appropriate comparativedatabases. In the upper right corner of each graph is the weighted average of the rankings across the different asset classes.The weights of the fund’s actual asset allocation are used to make this calculation. The weighted average ranking can beviewed as a measure of the fund’s overall success in picking managers and structuring asset classes.
Total Asset Class PerformanceOne Year Ended September 30, 2019
Re
turn
s
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
Plan- Private Pub Pln- Glbl Lg Public Fd Lg Public Fd - Callan Hedge Fund CallanEquity Equity - Real Est Dom Fixed Callan MAC of Fund Cash
(64)(64)
(26)(20)
(14)
(59)(50)(24)
(61)(62)
(100)
(87)(94)
10th Percentile 24.05 1.73 11.14 11.89 13.20 3.07 3.5125th Percentile 20.53 0.26 8.49 10.29 7.07 1.68 3.29
Median 13.87 0.04 7.08 9.41 4.47 0.46 2.7975th Percentile 7.62 (2.08) 6.04 8.85 1.77 (1.37) 2.5790th Percentile 5.23 (3.14) 5.74 7.21 (2.12) (3.96) 2.40
Asset Class Composite 9.27 0.24 10.18 9.41 3.46 (11.42) 2.44
Composite Benchmark 9.27 0.48 6.48 10.30 3.10 - 2.39
WeightedRanking
39
Total Asset Class PerformanceFive Years Ended September 30, 2019
Re
turn
s
(10%)
(5%)
0%
5%
10%
15%
20%
Plan- Private Pub Pln- Glbl Lg Public Fd Lg Public Fd - Callan Hedge Fund CallanEquity Equity - Real Est Dom Fixed of Fund Cash
(81)(81)
(38)(50)
(98)
(68)
(96)(89)
(100)
(53)(97)
10th Percentile 15.29 8.03 10.10 5.19 4.16 1.7325th Percentile 13.65 7.32 9.77 4.68 3.29 1.62
Median 11.76 6.61 9.47 3.87 2.35 1.4175th Percentile 10.13 4.63 8.21 3.57 1.51 1.2290th Percentile 1.81 3.42 7.56 3.35 0.89 1.06
Asset Class Composite 8.94 6.84 4.60 3.06 (3.52) 1.37
Composite Benchmark 8.94 6.61 8.46 3.38 - 0.98
WeightedRanking
64
* Current Quarter Target = 48.0% MSCI ACWI IMI, 16.0% Private Equity, 11.0% Blmbg Aggregate, 10.8% NCREIF NFI-ODCE Eq Wt Net lagged 3 months,
10.0% S&P:LSTA Lev Loan, 3.0% 3-month Treasury Bill, 1.2% FTSE EP/NA US Index lagged 3 months and 0.0% HFRI Fund of Funds Compos.
34Pennsylvania SERS
Investment Manager Asset Allocation
The table below contrasts the distribution of assets across the Fund’s investment managers as of September 30, 2019, withthe distribution as of June 30, 2019.
Asset Distribution Across Investment Managers
September 30, 2019 June 30, 2019
Market Value % of Total (min) Target (max) Market Value % of Total Target
$(000) Weight Weight $(000) Weight Weight
Total Equity $20,063,811 68.13% 59.00% 64.00% 69.00% $20,241,699 68.54% 64.00%
Global Public Equity $16,154,037 54.85% - - - $16,231,877 54.96% -Global Mandates 1,046,367 3.55% 1,040,873 3.52%U.S. Equity 7,791,715 26.46% 7,766,309 26.30%Non-U.S. Developed Markets Equity 5,515,280 18.73% 5,568,317 18.85%Emerging Mkts Equity 1,799,407 6.11% 1,855,115 6.28%
Private Equity (1) $3,909,776 13.28% - - - $4,009,894 13.58% -Buyouts 1,779,780 6.04% 1,779,557 6.03%Special Situations 559,227 1.90% 549,672 1.86%Venture Capital 747,225 2.54% 802,499 2.72%Keystone Legacy (2) 823,543 2.80% 878,166 2.97%
Fixed Income $4,350,899 14.77% 8.00% 11.00% 14.00% $4,273,494 14.47% 11.00%Core Fixed Income 1,983,351 6.73% 1,940,500 6.57%Core-Plus Fixed Income 893,170 3.03% 890,405 3.01%Nominal U.S. Treasuries 606,576 2.06% 587,016 1.99%Global TIPS 867,802 2.95% 855,574 2.90%
Multi-Strategy $1,714,470 5.82% 7.00% 10.00% 13.00% $1,661,163 5.62% 10.00%Opportunistic Equity & Fixed Income 547,471 1.86% 545,393 1.85%Private Credit (1) 233,064 0.79% 189,580 0.64%Credit Focused Strategies 933,935 3.17% 926,190 3.14%
Real Estate (1) $2,047,329 6.95% 9.00% 12.00% 15.00% $1,902,498 6.44% 12.00%Core/Core Plus Real Estate Funds 699,855 2.38% 619,316 2.10%Value Add/Opp. Real Estate 1,055,731 3.58% 1,012,699 3.43%REITS 286,283 0.97% 264,972 0.90%Natural Resources/Infrastructure 5,460 0.02% 5,510 0.02%
Legacy Hedge Funds $35,702 0.12% - - - $37,978 0.13% -
Cash $1,238,962 4.21% 0.00% 3.00% 6.00% $1,416,982 4.80% 3.00%
Total Fund $29,451,174 100.0% 100.0% $29,533,887 100.0% 100.0%
(1) Private Equity, Real Estate, and Private Debt Market Values have a 1 Qtr lag
(2) As of 7/31/2018, Keystone Legacy SPV consists of 163 non-core funds, prior performance in previous sub-asset classes
35Pennsylvania SERS
Investment Manager Asset Allocation
The table below contrasts the distribution of assets across the Fund’s investment managers as of September 30, 2019, withthe distribution as of June 30, 2019. The change in asset distribution is broken down into the dollar change due to Net NewInvestment and the dollar change due to Investment Return.
Asset Distribution Across Investment Managers
September 30, 2019 June 30, 2019
Market Value % of Total Net New Inv. Inv. Return Market Value % of Total
$(000) Weight $(000) $(000) $(000) WeightGlobal Public Equity $16,154,037 54.85% $(5,382) $(72,458) $16,231,877 54.96%
Global Mandates 1,046,367 3.55% (979) 6,473 1,040,873 3.52%
U.S. Equity $7,791,715 26.46% $(1,420) $26,825 $7,766,309 26.30%U.S. Large/Mid Cap Equity 6,242,470 21.20% (623) 86,235 6,156,858 20.85%U.S. Small Cap Equity 1,549,245 5.26% (797) (59,410) 1,609,452 5.45%
Non-U.S. Equity $7,314,687 24.84% $(2,983) $(105,762) $7,423,432 25.14%
Non-U.S. Developed Markets Equity $5,515,280 18.73% $(1,511) $(51,525) $5,568,317 18.85%Non-U.S. Dev Large/Mid Cap Equity 4,757,153 16.15% (1,346) (42,944) 4,801,443 16.26%Non-U.S. Dev Small Cap Equity 758,127 2.57% (165) (8,581) 766,873 2.60%
Emerging Mkts Equity $1,799,407 6.11% $(1,472) $(54,237) $1,855,115 6.28%
Fixed Income $4,350,899 14.77% $(1,108) $78,513 $4,273,494 14.47%
Core Fixed Income $1,983,351 6.73% $(77) $42,929 $1,940,500 6.57%
Core-Plus Fixed Income $893,170 3.03% $(702) $3,467 $890,405 3.01%
Nominal U.S. Treasuries $606,576 2.06% $(134) $19,694 $587,016 1.99%
Global TIPS $867,802 2.95% $(195) $12,423 $855,574 2.90%
Multi-Strategy $1,714,470 5.82% $39,893 $13,413 $1,661,163 5.62%Opportunistic Equity & Fixed Income 547,471 1.86% (759) 2,837 545,393 1.85%Private Credit (1) 233,064 0.79% 43,184 300 189,580 0.64%Credit Focused Strategies 933,935 3.17% (2,531) 10,277 926,190 3.14%
Private Equity (1) $3,909,776 13.28% $(138,429) $38,310 $4,009,894 13.58%Buyouts 1,779,780 6.04% (38,442) 38,665 1,779,557 6.03%Special Situations 559,227 1.90% (11,579) 21,135 549,672 1.86%Venture Capital 747,225 2.54% (27,883) (27,391) 802,499 2.72%Keystone Legacy (2) 823,543 2.80% (60,525) 5,901 878,166 2.97%
Real Estate (1) $2,047,329 6.95% $104,396 $40,435 $1,902,498 6.44%Core/Core Plus Real Estate Funds 699,855 2.38% 90,402 (9,863) 619,316 2.10%Value Add/Opp. Real Estate 1,055,731 3.58% 14,194 28,838 1,012,699 3.43%REITS 286,283 0.97% 0 21,310 264,972 0.90%Natural Resources/Infrastructure 5,460 0.02% (200) 150 5,510 0.02%
Legacy Hedge Funds $35,702 0.12% $(1,867) $(409) $37,978 0.13%
Cash $1,238,962 4.21% $(186,123) $8,103 $1,416,982 4.80%
Total Fund* $29,451,174 100.0% $(188,621) $105,909 $29,533,887 100.0%
*Total Fund target allocation is: 48% Global Public Equity, 11% Fixed Income, 10% Multi-Strategy, 16% Private Equity,
12% Real Estate, 3% Cash, 0% Legacy Hedge Funds
*Sub-composite market values may not sum to asset class composites as a result of accounts in liquidation.
(1) Private Equity, Real Estate, and Private Debt Market Values have a 1 Qtr lag
(2) As of 7/31/2018, Keystone Legacy SPV consists of 163 non-core funds, prior performance in previous sub-asset classes
36Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Net Performance
Total Fund $29,451 100.00% 0.32% 12.39% 3.69% 7.65% 5.78%Total Fund Custom Benchmark(1) - - 0.58% 11.11% 4.32% 7.93% 6.27%
Public Market Equiv Benchmark(2) - - 1.30% 10.82% 4.89% 8.77% 6.92%
60/40 Index(3) - - 0.83% 13.12% 4.71% 6.93% 5.50%
Global Public Equity $16,154 54.85% (0.47%) 16.27% 0.24% 9.56% 6.84%MSCI ACWI IMI - - (0.18%) 15.87% 0.48% 9.36% 6.61%
Fixed Income $4,351 14.77% 1.80% 8.90% 9.41% 3.38% 3.06%Blmbg Aggregate - - 2.27% 8.52% 10.30% 2.92% 3.38%
Multi-Strategy $1,714 5.82% 0.57% 11.70% 3.46% - -S&P/LSTA Leveraged Loan - - 0.99% 6.79% 3.10% 4.53% 3.98%
Russell 3000 Index - - 1.16% 20.09% 2.92% 12.83% 10.44%
Real Estate $2,047 6.95% 2.06% 8.76% 10.18% 2.04% 4.60%Real Estate Custom Benchmark - - 1.08% 4.70% 6.54% 6.46% 8.47%
CPI +3% (Qtr lag) - - 1.49% 3.70% 4.65% 5.05% 4.45%
Private Equity $3,910 13.28% 0.97% 7.16% 9.27% 11.87% 8.94%Burgiss Private Equity Custom Index - - 3.33% 6.30% 9.78% 14.17% 11.14%
Russell 3000 +3% (Qtr lag) - - 4.94% 4.66% 12.76% 17.35% 13.49%
Cash $1,239 4.21% 0.57% 1.82% 2.44% 1.87% 1.37%3-month Treasury Bill - - 0.56% 1.81% 2.39% 1.54% 0.98%
(1) Total Fund Custom Benchmark returns provided by RVK prior to 12/31/2018.
Benchmark consists of: 16% SERS Private Equity Composite, 48% MSCI ACW IM Index, 12% Real Estate Custom Benchmark,
10% S&P/LSTA Leveraged Loan Index,11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index
(2) Public Market Equivalent Benchmark returns provided by RVK prior to 12/31/2018.
Benchmark consists of: 16% Russell 3000+3% (Qtr Lag), 48% MSCI ACW IM Index, 12% CPI+3% (Qtr Lag),
10% S&P/LSTA Leveraged Loan Index, 11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index
(3) Benchmark consists of 60% MSCI ACW IM Index, 40% Bloomberg U.S. Agg Bond Index
37Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Net Performance
Total Fund 7.93% 6.84% 6.26% 8.18% 9.46% (1/81)
Total Fund Custom Benchmark(1) 8.12% 7.66% 6.51% 8.41% -
Public Market Equiv Benchmark(2) 8.83% 8.13% 6.85% 8.69% -
60/40 Index(3) 6.80% 6.33% 5.51% 6.62% -
Global Public Equity 9.06% 6.95% - - 6.64% (1/02)
MSCI ACWI IMI 8.45% 7.25% 5.28% 6.79% 6.96% (1/02)
Fixed Income 5.21% 5.20% 5.74% 6.41% 8.44% (1/81)
Blmbg Aggregate 3.75% 4.21% 5.01% 5.57% 7.68% (1/81)
Multi-Strategy - - - - 6.94% (10/17)
S&P/LSTA Leveraged Loan 5.21% 4.72% 4.85% - 4.14% (10/17)
Russell 3000 Index 13.08% 9.10% 6.72% 9.81% 10.00% (10/17)
Real Estate 6.65% 5.93% 6.90% 7.75% 8.39% (3/84)
Real Estate Custom Benchmark 9.32% 7.36% 7.76% - -
CPI +3% (Qtr lag) 4.73% 5.02% 5.19% 5.22% 5.64% (3/84)
Private Equity 11.92% 11.58% 9.92% 13.70% 10.92% (1/86)
Burgiss Private Equity Custom Index 13.71% 13.11% 11.77% 15.15% 16.94% (1/86)
Russell 3000 +3% (Qtr lag) 18.00% 12.35% 9.80% 13.49% 14.56% (1/86)
Cash 0.84% 1.68% 2.31% 2.86% 3.64% (1/87)
3-month Treasury Bill 0.54% 1.39% 1.82% 2.50% 3.28% (1/87)
(1) Total Fund Custom Benchmark returns provided by RVK priot to 12/31/2018.
Benchmark consists of: 16% SERS Private Equity Composite,
48% MSCI ACW IM Index, 12% Real Estate Custom Benchmark, 10% S&P/LSTA Leveraged Loan Index,
11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index
(2) Public Market Equivalent Benchmark returns provided by RVK. Benchmark consists of: 16% Russell 3000+3% (Qtr Lag),
48% MSCI ACW IM Index, 12% CPI+3% (Qtr Lag), 10% S&P/LSTA Leveraged Loan Index, 11% Bloomberg US Agg Bond Index,
3% ICE BofAML 3 Mo US T-Bill Index
(3) 60% MSCI ACW IMI/ 40% Bloomberg Agg Bond Index
38Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Net Performance- Equity
Global Public Equity $16,154 100.00% (0.47%) 16.27% 0.24% 9.56% 6.84% MSCI ACWI IMI - - (0.18%) 15.87% 0.48% 9.36% 6.61%
Global Mandates $1,046 6.48% 0.53% 20.84% 6.38% 14.52% 10.96% MSCI World - - 0.53% 17.61% 1.83% 10.21% 7.18%
Walter Scott & Prtnrs Glbl Gr Eq 1,046 6.48% 0.53% 20.84% 6.38% 14.52% 10.96%
MSCI World - - 0.53% 17.61% 1.83% 10.21% 7.18%
U.S. Equity $7,792 48.23% 0.33% 19.39% 0.72% 11.10% 9.20% Russell 3000 Index(1) - - 1.16% 20.09% 2.92% 12.83% 10.44%
U.S. Mid/Large Cap Equity $6,242 38.64% 1.38% 20.57% 3.34% 12.44% 9.99% Russell 1000 Index - - 1.42% 20.53% 3.87% 13.19% 10.62%
MCM Russell 1000 Index 5,790 35.84% 1.43% 20.51% 3.91% 13.22% 10.66%
Russell 1000 Index - - 1.42% 20.53% 3.87% 13.19% 10.62%
Iridian Asset Mgmt MCV 453 2.80% 1.03% 21.78% (3.26%) 4.33% 3.70%
Russell MidCap Index - - 0.48% 21.93% 3.19% 10.69% 9.10%
Russell MidCap Value Idx - - 1.22% 19.47% 1.60% 7.82% 7.55%
U.S. Small Cap Equity $1,549 9.59% (3.75%) 14.77% (8.76%) 5.46% 5.86% Russell 2000 Index(1) - - (2.40%) 14.18% (8.89%) 7.32% 7.26%
S&P 600 Small Cap Index - - (0.20%) 13.46% (9.34%) 9.33% 9.89%
MCM Russell 2000 Core Index 317 1.96% (2.39%) 14.13% (8.88%) - -
Russell 2000 Index - - (2.40%) 14.18% (8.89%) 8.23% 8.19%
MCM Russell 2000 Val Index 573 3.55% (0.56%) 12.77% (8.23%) - -
Russell 2000 Value Index - - (0.57%) 12.82% (8.24%) 6.54% 7.17%
Emerald Adv Div Sm Cap Grth 660 4.08% (6.96%) 16.86% (9.17%) - -
Russell 2000 Growth Index - - (4.17%) 15.34% (9.63%) 9.79% 9.08%
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
39Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Net Performance- Equity
Global Public Equity 9.06% 6.95% - - 6.64% (1/02)
MSCI ACWI IMI 8.45% 7.25% 5.28% 6.79% 6.96% (1/02)
Global Mandates 11.41% - - - 8.48% (11/06)
MSCI World 9.01% 7.14% 4.89% 7.00% 5.51% (11/06)
Walter Scott & Prtnrs Glbl Gr Eq 11.12% - - - 9.04% (10/06)
MSCI World 9.01% 7.14% 4.89% 7.00% 5.77% (10/06)
U.S. Equity 12.64% 8.12% 6.44% 9.36% 10.55% (1/81)
Russell 3000 Index(1) 13.08% 9.10% 6.72% 9.72% 10.87% (1/81)
U.S. Mid/Large Cap Equity 13.20% 8.74% 6.43% 9.68% 9.45% (1/94)
Russell 1000 Index 13.23% 9.17% 6.63% 9.93% 9.66% (1/94)
MCM Russell 1000 Index - - - - 14.03% (1/12)
Russell 1000 Index 13.23% 9.17% 6.63% 9.93% 14.06% (1/12)
Iridian Asset Mgmt MCV 12.01% 10.29% 10.05% - 12.51% (3/95)
Russell MidCap Index 13.07% 9.92% 9.50% 11.05% 11.04% (3/95)
Russell MidCap Value Idx 12.29% 9.29% 9.83% 11.11% 11.11% (3/95)
U.S. Small Cap Equity 10.01% 7.07% 7.53% 9.37% 8.91% (1/94)
Russell 2000 Index(1) 11.54% 8.72% 8.88% 10.39% 10.07% (1/94)
S&P 600 Small Cap Index 13.02% 9.52% 10.01% 10.75% 10.32% (1/94)
MCM Russell 2000 Core Index - - - - 6.53% (12/16)
Russell 2000 Index 11.19% 8.19% 7.99% 8.86% 6.57% (12/16)
MCM Russell 2000 Val Index - - - - 3.49% (12/16)
Russell 2000 Value Index 10.06% 7.23% 9.05% 9.66% 3.55% (12/16)
Emerald Adv Div Sm Cap Grth - - - - 10.51% (12/16)
Russell 2000 Growth Index 12.25% 9.04% 6.53% 7.63% 9.56% (12/16)
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
40Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Net Performance- Equity
Non-U.S. Equity $7,315 36.31% (1.45%) 12.54% (1.08%) 7.17% 3.57% MSCI ACWI ex US IMI(1) - - (1.72%) 11.39% (1.84%) 6.10% 3.05%
Non-U.S. Developed Markets Equity $5,515 27.38% (0.93%) 14.20% (0.93%) 7.60% 4.02% MSCI ACWI ex US IMI - - (1.72%) 11.39% (1.84%) 6.10% 3.05%
MSCI World ex US - - (0.93%) 13.57% (0.95%) 6.49% 3.06%
Non-U.S. Dev Mid/Large Cap Equity $4,757 23.61% (0.89%) 13.92% (0.64%) 8.58% 4.36% MSCI World ex US - - (0.93%) 13.57% (0.95%) 6.49% 3.06%
BlackRock MSCI World Ex US Index 4,748 23.57% (0.89%) 13.96% (0.62%) - -
MSCI World ex US - - (0.93%) 13.57% (0.95%) 6.49% 3.06%
Non-U.S. Dev Small Cap Equity $758 3.76% (1.15%) 16.01% (2.82%) 5.33% 4.09% MSCI World ex US Sm Cap - - (0.27%) 12.58% (5.62%) 5.54% 5.14%
FIS Group Non-U.S. Small Cap 190 0.95% (2.24%) 9.21% (4.98%) - -
MSCI ACWI ex US Small Cap - - (1.19%) 10.28% (5.63%) 4.64% 3.98%
Harris Assoc Int’l SCV 568 2.82% (0.78%) 18.48% (2.08%) 5.43% 4.15%
MSCI World ex US Sm Cap - - (0.27%) 12.58% (5.62%) 5.54% 5.14%
Emerging Mkts Equity $1,799 8.93% (3.00%) 7.75% (0.91%) 7.11% 3.05% MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33%
BlackRock Emg Mkts Index 660 3.27% (4.26%) 5.72% (2.19%) - -
MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33%
Leading Edge Emg Mkts Fund 212 1.05% (3.38%) 9.44% - - -
MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33%
Macquarie Emg Mkts Equity 409 2.03% (1.68%) 6.12% (1.98%) 7.35% 2.34%
MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33%
Martin Currie Emg Mkts Equity 431 2.14% (1.14%) 11.92% 2.47% 9.71% 5.38%
MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33%
GlobeFlex Emerging Small Cap 88 0.44% (7.37%) 4.44% (7.79%) 4.28% 0.95%
MSCI EM Small Cap - - (4.58%) 1.82% (5.48%) 1.32% (0.13%)
Northern Trust Equity Transition 1 0.01% 0.53% 0.69% (15.28%) - -
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
41Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Net Performance- Equity
Non-U.S. Equity 5.26% 5.31% 4.83% - 6.10% (11/95)
MSCI ACWI ex US IMI(1) 4.64% 6.03% 4.81% 5.18% 5.45% (11/95)
Non-U.S. Developed Markets Equity 6.06% 5.44% - - 6.01% (1/02)
MSCI ACWI ex US IMI 4.66% 5.88% 4.41% 4.85% 6.55% (1/02)
MSCI World ex US 4.78% 5.36% 3.89% 4.94% 5.72% (1/02)
Non-U.S. Dev Mid/Large Cap Equity 6.17% 5.01% - - 5.50% (1/02)
MSCI World ex US 4.78% 5.36% 3.89% 4.94% 5.72% (1/02)
BlackRock MSCI World Ex US Index - - - - 3.62% (6/17)
MSCI World ex US 4.78% 5.36% 3.89% 4.94% 3.15% (6/17)
Non-U.S. Dev Small Cap Equity 6.52% 7.40% 6.59% 6.63% 6.74% (10/93)
MSCI World ex US Sm Cap 6.93% 7.00% - - -
FIS Group Non-U.S. Small Cap - - - - (4.98%) (10/18)
MSCI ACWI ex US Small Cap 6.13% 7.30% 6.44% 5.30% (5.63%) (10/18)
Harris Assoc Int’l SCV 7.08% 8.37% - - 10.40% (7/03)
MSCI World ex US Sm Cap 6.93% 7.00% - - 8.99% (7/03)
Emerging Mkts Equity 2.89% 5.36% - - 6.93% (1/02)
MSCI EM 3.37% 7.82% - - 9.30% (1/02)
BlackRock Emg Mkts Index - - - - 1.94% (7/17)
MSCI EM 3.37% 7.82% - - 2.14% (7/17)
Leading Edge Emg Mkts Fund - - - - 7.97% (11/18)
MSCI EM 3.37% 7.82% - - 7.34% (11/18)
Macquarie Emg Mkts Equity - - - - 3.22% (5/13)
MSCI EM 3.37% 7.82% - - 1.91% (5/13)
Martin Currie Emg Mkts Equity - - - - 4.08% (1/14)
MSCI EM 3.37% 7.82% - - 2.45% (1/14)
GlobeFlex Emerging Small Cap - - - - 2.87% (8/13)
MSCI EM Small Cap 3.21% 8.17% 7.22% 3.35% 1.75% (8/13)
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
42Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Net Performance - Fixed Income
Fixed Income $4,351 100.00% 1.80% 8.90% 9.41% 3.38% 3.06% Blmbg Aggregate - - 2.27% 8.52% 10.30% 2.92% 3.38%
Core Fixed Income $1,983 45.58% 2.19% 9.05% 10.16% 3.21% 3.54% Blmbg Aggregate - - 2.27% 8.52% 10.30% 2.92% 3.38%
MCM Bond Index 1,117 25.66% 2.22% 8.47% 10.23% 2.88% 3.33%
Blmbg Aggregate(1) - - 2.27% 8.52% 10.30% 2.92% 3.38%
PIMCO Core Bond Fund 665 15.29% 1.90% 8.85% 9.64% 3.27% 3.62%
Blmbg Agg ex Treasury - - 2.18% 9.03% 10.19% 3.32% 3.65%
Taplin, Canida & Habacht Corp FI 202 4.64% 3.00% 13.02% 11.48% 4.66% 4.24%
Blmbg Credit - - 2.98% 12.61% 12.63% 4.33% 4.54%
Core-Plus Fixed Income $893 20.53% 0.31% 8.66% 6.73% 4.30% 2.44%Brandywine Global Opp 196 4.51% (1.64%) 5.03% 3.68% 1.79% 1.60%
FTSE WGBI - - 0.85% 6.27% 8.13% 1.19% 1.80%
Pyramis Glbl Adv HY CMBS 340 7.81% 1.85% 7.80% 8.35% 5.24% 5.15%
Blmbg US Univ CMBS ex Aaa - - 2.61% 11.13% 11.75% 5.32% 4.92%
Stone Harbor Glbl HY 193 4.44% 0.85% 11.69% 6.27% 5.32% 4.21%
FTSE US High Yield - - 0.96% 10.95% 5.72% 5.81% 4.99%
Stone Harbor EMD 164 3.77% (1.07%) 11.40% 7.38% 3.07% 4.41%
JPM EMBI Global - - 1.34% 12.08% 10.74% 3.84% 5.10%
Global TIPS $868 19.95% 1.42% 7.69% 7.13% 2.19% 2.49% Blmbg US TIPS - - 1.35% 7.58% 7.13% 2.21% 2.45%
Brown Brothers TIPS 230 5.29% 1.50% 7.74% 7.30% 2.23% 2.58%
Blmbg US TIPS - - 1.35% 7.58% 7.13% 2.21% 2.45%
NISA Inv Adv TIPS 517 11.88% 1.28% 7.48% 6.98% 2.16% 2.44%
Blmbg US TIPS(1) - - 1.35% 7.58% 7.13% 2.21% 2.45%
New Century Global TIPS 121 2.77% 1.95% 8.59% 7.57% 2.27% 2.55%
Blmbg Wld Gov I-L Undhdg - - 1.77% 8.19% 7.31% 2.17% 2.29%
Nominal U.S. Treasuries $607 13.94% 3.33% 10.53% 14.53% 2.13% 3.68% Blmbg US Treas Bell 10Y - - 3.19% 10.86% 15.15% 1.81% 3.39%
PIMCO US Treasuries 607 13.94% 3.33% 10.53% 14.53% 2.42% 3.94%
Blmbg US Treas Bell 10Y - - 3.19% 10.86% 15.15% 1.81% 3.39%
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
43Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Net Performance - Fixed Income
Fixed Income 5.21% 5.20% 5.74% 6.41% 8.44% (1/81)
Blmbg Aggregate 3.75% 4.21% 5.01% 5.57% 7.68% (1/81)
Core Fixed Income 4.54% 4.60% - - 4.90% (1/02)
Blmbg Aggregate 3.75% 4.21% 5.01% 5.57% 4.54% (1/02)
MCM Bond Index 3.63% 4.09% 4.99% 5.69% 7.17% (4/84)
Blmbg Aggregate(1) 3.75% 4.21% 5.10% 5.76% 7.45% (4/84)
PIMCO Core Bond Fund - - - - 2.86% (1/13)
Blmbg Agg ex Treasury 4.10% - - - 3.14% (1/13)
Taplin, Canida & Habacht Corp FI 5.53% 5.22% - - 5.91% (11/00)
Blmbg Credit 5.32% 5.12% 5.92% 6.39% 5.95% (11/00)
Core-Plus Fixed Income - - - - 4.44% (10/12)
Brandywine Global Opp - - - - 3.65% (2/11)
FTSE WGBI 1.69% 3.31% 4.16% 4.69% 1.59% (2/11)
Pyramis Glbl Adv HY CMBS 12.01% 6.86% 8.45% - 8.65% (4/97)
Blmbg US Univ CMBS ex Aaa 9.20% 0.98% - - -
Stone Harbor Glbl HY 6.89% 6.62% - - 7.54% (7/00)
FTSE US High Yield 7.61% 6.97% 6.88% 7.37% 7.14% (7/00)
Stone Harbor EMD 6.49% - - - 7.40% (4/05)
JPM EMBI Global 6.51% 7.27% 8.99% 9.50% 7.28% (4/05)
Global TIPS 2.67% 3.27% - - 3.27% (2/03)
Blmbg US TIPS 3.46% 3.90% 5.47% - 4.31% (2/03)
Brown Brothers TIPS - - - - 1.66% (2/12)
Blmbg US TIPS 3.46% 3.90% 5.47% - 1.47% (2/12)
NISA Inv Adv TIPS 2.45% - - - 3.15% (4/07)
Blmbg US TIPS(1) 2.45% 3.18% 4.92% - 3.15% (4/07)
New Century Global TIPS - - - - 2.28% (2/12)
Blmbg Wld Gov I-L Undhdg 3.22% 4.05% 5.46% - 1.88% (2/12)
Nominal U.S. Treasuries - - - - 2.88% (9/11)
Blmbg US Treas Bell 10Y 4.00% 4.35% 5.03% 5.60% 2.92% (9/11)
PIMCO US Treasuries - - - - 3.09% (9/11)
Blmbg US Treas Bell 10Y 4.00% 4.35% 5.03% 5.60% 2.92% (9/11)
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
44Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Net Performance - Multi-Strategy
Multi-Strategy $1,714 100.00% 0.57% 11.70% 3.46% - -S&P/LSTA Leveraged Loan - - 0.99% 6.79% 3.10% 4.53% 3.98%Russell 3000 Index - - 1.16% 20.09% 2.92% 12.83% 10.44%
Credit Focused Strategies $934 54.47% 0.83% 7.07% 2.94% - -Blackstone Keystone(1) 934 54.47% 0.83% 7.07% 2.94% 5.78% 4.22% HFRI Fund of Funds Compos - - (0.90%) 5.21% 0.01% 3.15% 1.95%
Opp. Equity & Fixed Income $547 31.93% 0.26% 15.44% 4.11% - -SEI Str. Credit: HY Bank Loans(2) 343 20.02% (1.22%) 2.66% 2.26% 9.02% 6.76% FTSE US High Yield - - 0.96% 10.95% 5.72% 5.81% 4.99%Eaton Vance GMARA 204 11.92% 2.86% 7.90% 5.39% - - 3 month LIBOR + 6% - - 2.00% 6.30% 8.56% 7.90% 7.31%
Private Credit(3) $233 13.59% 0.14% 5.89% 7.38% - -
(1) Blackstone Keystone since inception returns are included in the Legacy Hedge Fund composite through 9/30/2017.(2) SEI HY Bank Loans since inception returns are included in the Fixed Income composite through 9/30/2017.(3) Private Credit performance has a 1 Qtr lag.
45Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Net Performance - Multi-Strategy
Multi-Strategy - - - - 6.94% (10/17)
S&P/LSTA Leveraged Loan 5.21% 4.72% 4.85% - 4.14% (10/17)
Russell 3000 Index 13.08% 9.10% 6.72% 9.81% 10.00% (10/17)
Credit Focused Strategies - - - - 4.03% (10/17)
Blackstone Keystone(1) - - - - 7.31% (7/12)
HFRI Fund of Funds Compos 2.67% 2.93% 3.91% 4.87% 3.41% (7/12)
Opp. Equity & Fixed Income - - - - 9.18% (10/17)
SEI Str. Credit: HY Bank Loans(2) 14.99% - - - 12.27% (5/08)
FTSE US High Yield 7.61% 6.97% 6.88% 7.37% 7.26% (5/08)
Eaton Vance GMARA - - - - 1.60% (6/18)
3 month LIBOR + 6% 6.82% 7.79% 8.13% 8.83% 8.52% (6/18)
Private Credit(3) - - - - 7.82% (12/17)
(1) Blackstone Keystone since inception returns are included in the Legacy Hedge Fund composite through 9/30/2017.(2) SEI HY Bank Loans since inception returns are included in the Fixed Income composite through 9/30/2017.(3) Private Credit performance has a 1 Qtr lag.
46Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Net Performance - Real Estate
Real Estate $2,047 100.00% 2.06% 8.76% 10.18% 2.04% 4.60%Real Estate Custom Benchmark - - 1.08% 4.70% 6.54% 6.46% 8.47% CPI +3% (Qtr lag) - - 1.49% 3.70% 4.65% 5.05% 4.45%
Core/Core Plus Real Estate Funds $700 34.18% (1.48%) 0.51% 3.53% 5.68% 8.01% NCREIF ODCE Index (Qtr lag) - - 1.12% 4.04% 5.99% 6.97% 9.12%
Value Add/Opp. Real Estate $1,056 51.57% 2.83% 9.53% 11.74% 0.98% 4.10% NCREIF ODCE Index (Qtr lag) - - 1.12% 4.04% 5.99% 6.97% 9.12%Real Estate Separate Accounts 616 30.09% 3.26% 12.66% 15.21% (1.85%) 2.56% NCREIF ODCE Index (Qtr lag) - - 1.12% 4.04% 5.99% 6.97% 9.12%Non-Core Closed End Funds 440 21.48% 2.20% 4.81% 6.21% 7.67% 7.80% NCREIF ODCE Index (Qtr lag) - - 1.12% 4.04% 5.99% 6.97% 9.12%
Natural Resources/Infrastructure $5 0.27% 2.77% 0.51% 0.55% (4.11%) (2.24%) CPI +3% (Qtr lag) - - 1.49% 3.70% 4.65% 5.05% 4.45%
REITS $286 13.98% 8.04% 28.00% 19.77% 5.74% 5.99% FTSE NAREIT US Index (Qtr lag) - - 0.70% 9.70% 10.34% 3.72% 7.42%
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.The market values and performance of such accounts are included within their relevant composites.
47Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Net Performance - Real Estate
Real Estate 6.65% 5.93% 6.90% 7.75% 8.39% (3/84)
Real Estate Custom Benchmark 9.32% 7.36% 7.76% - -
CPI +3% (Qtr lag) 4.73% 5.02% 5.19% 5.22% 5.64% (3/84)
Core/Core Plus Real Estate Funds 9.42% 7.52% 7.71% 8.83% 7.04% (9/86)
NCREIF ODCE Index (Qtr lag) 8.80% 6.87% 7.16% 7.83% 6.01% (9/86)
Value Add/Opp. Real Estate 5.85% 5.23% 6.28% 7.26% 6.70% (3/84)
NCREIF ODCE Index (Qtr lag) 8.80% 6.87% 7.16% 7.83% 6.28% (3/84)
Real Estate Separate Accounts 3.78% 4.08% 5.15% 6.13% 5.13% (6/88)
NCREIF ODCE Index (Qtr lag) 8.80% 6.87% 7.16% 7.83% 6.06% (6/88)
Non-Core Closed End Funds 9.66% 6.90% 7.84% 8.86% 7.88% (3/84)
NCREIF ODCE Index (Qtr lag) 8.80% 6.87% 7.16% 7.83% 6.28% (3/84)
Natural Resources/Infrastructure (1.79%) 1.89% 2.85% 3.82% 4.11% (3/93)
CPI +3% (Qtr lag) 4.73% 5.02% 5.19% 5.22% 5.24% (3/93)
REITS 12.15% 8.95% 10.11% - 10.15% (4/96)
FTSE NAREIT US Index (Qtr lag) 15.24% 8.75% 10.07% 10.77% 10.52% (4/96)
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
48Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Net Performance - Private Equity
Private Equity $3,910 100.00% 0.97% 7.16% 9.27% 11.87% 8.94%Burgiss Private Eqty Idx (Qtr Lag) - - 3.33% 6.30% 9.78% 14.17% 11.14%Russell 3000 + 3% (Qtr Lag) - - 4.94% 4.66% 12.76% 17.35% 13.49%
Buyouts $1,780 45.52% 2.20% 5.96% 9.03% 12.88% 10.43%Burgiss Buyout Index (Qtr Lag) - - 2.76% 4.59% 7.65% 14.38% 11.00%
Special Situations $559 14.30% 3.89% 11.70% 15.50% 12.57% 8.24%Burgiss Special Sits Idx (Qtr Lag) - - 1.22% 2.03% 3.83% 8.24% 6.29%
Venture Capital $747 19.11% (3.48%) 16.58% 26.98% 15.88% 9.79%Burgiss Venture Cap Idx (Qtr Lag) - - 5.27% 13.27% 19.70% 17.06% 14.92%
Keystone Legacy (Qtr Lag) (1) $824 21.06% 0.70% 1.05% (2.49%) - -
(1) As of 7/31/2018, Keystone Legacy SPV consists of 163 non-core funds, prior performance in previous sub-asset classes
49Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Net Performance - Private Equity
Private Equity 11.92% 11.58% 9.92% 13.70% 10.92% (1/86)
Burgiss Private Eqty Idx (Qtr Lag) 13.71% 13.11% 11.77% 15.15% 16.94% (1/86)
Russell 3000 + 3% (Qtr Lag) 18.00% 12.35% 9.80% 13.49% 14.56% (1/86)
Buyouts 13.96% 14.12% 11.85% 16.54% 13.13% (4/86)
Burgiss Buyout Index (Qtr Lag) 13.88% 13.97% 11.94% 13.58% 19.63% (4/86)
Special Situations 12.32% 11.98% 12.00% - 12.31% (1/95)
Burgiss Special Sits Idx (Qtr Lag) 10.48% 9.01% 10.00% - 10.51% (1/95)
Venture Capital 9.96% 6.94% 3.88% 8.00% 7.00% (1/86)
Burgiss Venture Cap Idx (Qtr Lag) 15.06% 11.78% 9.19% 16.02% 13.70% (1/86)
Keystone Legacy (Qtr Lag) (1) - - - - (2.00%) (7/18)
(1) As of 7/31/2018, Keystone Legacy SPV consists of 163 non-core funds, prior performance in previous sub-asset classes
50Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Gross Performance
Total Fund $29,451 100.00% 0.43% 12.71% 4.15% 8.24% 6.39%Total Fund Custom Benchmark(1) - - 0.58% 11.11% 4.32% 7.93% 6.27%
Public Market Equiv Benchmark(2) - - 1.30% 10.82% 4.89% 8.77% 6.92%
60/40 Index(3) - - 0.83% 13.12% 4.71% 6.93% 5.50%
Global Public Equity $16,154 54.85% (0.44%) 16.36% 0.36% 9.73% 7.04%MSCI ACWI IMI - - (0.18%) 15.87% 0.48% 9.36% 6.61%
Fixed Income $4,351 14.77% 1.83% 9.04% 9.59% 3.60% 3.32%Blmbg Aggregate - - 2.27% 8.52% 10.30% 2.92% 3.38%
Multi-Strategy $1,714 5.82% 0.81% 12.06% 3.82% - -S&P/LSTA Leveraged Loan - - 0.99% 6.79% 3.10% 4.53% 3.98%
Russell 3000 Index - - 1.16% 20.09% 2.92% 12.83% 10.44%
Real Estate(4) $2,047 6.95% 2.06% 8.76% 10.18% 2.04% 4.63%Real Estate Custom Benchmark - - 1.08% 4.70% 6.54% 6.46% 8.47%
CPI +3% (Qtr lag) - - 1.49% 3.70% 4.65% 5.05% 4.45%
Private Equity(4) $3,910 13.28% 0.97% 7.16% 9.27% 11.87% 8.94%Burgiss Private Equity Custom Index - - 3.33% 6.30% 9.78% 14.17% 11.14%
Russell 3000 +3% (Qtr lag) - - 4.94% 4.66% 12.76% 17.35% 13.49%
Cash $1,239 4.21% 0.57% 1.82% 2.44% 1.87% 1.37%3-month Treasury Bill - - 0.56% 1.81% 2.39% 1.54% 0.98%
(1) Total Fund Custom Benchmark returns provided by RVK. Benchmark consists of: 16% SERS Private Equity Composite,
48% MSCI ACW IM Index, 12% Real Estate Custom Benchmark, 10% S&P/LSTA Leveraged Loan Index,
11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index
(2) Public Market Equivalent Benchmark returns provided by RVK. Benchmark consists of: 16% Russell 3000+3% (Qtr Lag),
48% MSCI ACW IM Index, 12% CPI+3% (Qtr Lag), 10% S&P/LSTA Leveraged Loan Index, 11% Bloomberg US Agg Bond Index,
3% ICE BofAML 3 Mo US T-Bill Index.
(3) Benchmark consists of 60% MSCI ACW IMI, 40% Bloomerg Agg Bond Index.
(4) Private Equity, Real Estate, and Private Credit (within Multi-Strategy) performance are shown Net of Fees.
51Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Gross Performance
Total Fund 8.65% 7.63% 7.02% - 8.34% (1/96)
Total Fund Custom Benchmark(1) 8.12% 7.66% 6.51% 8.41% 7.82% (1/96)
Public Market Equiv Benchmark(2) 8.83% 8.13% 6.85% 8.69% 8.12% (1/96)
60/40 Index(3) 6.80% 6.33% 5.51% 6.62% 6.28% (1/96)
Global Public Equity 9.30% 7.20% - - 6.89% (1/02)
MSCI ACWI IMI 8.45% 7.25% 5.28% 6.79% 6.96% (1/02)
Fixed Income 5.44% 5.45% 5.99% 6.64% 7.72% (1/85)
Blmbg Aggregate 3.75% 4.21% 5.01% 5.57% 6.85% (1/85)
Multi-StrategyS&P/LSTA Leveraged Loan 5.21% 4.72% 4.85% - -
Russell 3000 Index 13.08% 9.10% 6.72% 9.81% 11.08% (1/85)
Real Estate(4) 6.67% 5.94% 6.91% 7.76% 8.39% (3/84)
Real Estate Custom Benchmark 9.32% 7.36% 7.76% - -
CPI +3% (Qtr lag) 4.73% 5.02% 5.19% 5.22% 5.64% (3/84)
Private Equity(4) 11.92% 11.58% 9.92% 13.70% 10.92% (1/86)
Burgiss Private Equity Custom Index 13.71% 13.11% 11.77% 15.15% 16.94% (1/86)
Russell 3000 +3% (Qtr lag) 18.00% 12.35% 9.80% 13.49% 14.56% (1/86)
Cash 0.84% 1.73% 2.17% 2.86% 4.05% (1/87)
3-month Treasury Bill 0.54% 1.39% 1.82% 2.50% 3.28% (1/87)
(1) Total Fund Custom Benchmark returns provided by RVK. Benchmark consists of: 16% SERS Private Equity Composite,
48% MSCI ACW IM Index, 12% Real Estate Custom Benchmark, 10% S&P/LSTA Leveraged Loan Index,
11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index.
(2) Public Market Equivalent Benchmark returns provided by RVK. Benchmark consists of: 16% Russell 3000+3% (Qtr Lag),
48% MSCI ACW IM Index, 12% CPI+3% (Qtr Lag), 10% S&P/LSTA Leveraged Loan Index, 11% Bloomberg US Agg Bond Index,
3% ICE BofAML 3 Mo US T-Bill Index.
(3) Benchmark consists of 60% MSCI ACW IMI, 40% Bloomberg Agg Bond Index.
(4) Private Equity, Real Estate, and Private Credit (within Multi-Strategy) performance are shown Net of Fees.
52Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Gross Performance- Equity
Global Public Equity $16,154 100.00% (0.44%) 16.36% 0.36% 9.73% 7.04% MSCI ACWI IMI - - (0.18%) 15.87% 0.48% 9.36% 6.61%
Global Mandates $1,046 6.48% 0.62% 21.18% 6.89% 14.96% 11.39% MSCI World - - 0.53% 17.61% 1.83% 10.21% 7.18%Walter Scott & Prtnrs Glbl Gr Eq 1,046 6.48% 0.62% 21.18% 6.89% 14.96% 11.39% MSCI World - - 0.53% 17.61% 1.83% 10.21% 7.18%
U.S. Equity $7,792 48.23% 0.34% 19.44% 0.79% 11.22% 9.34% Russell 3000 Index(1) - - 1.16% 20.09% 2.92% 12.83% 10.44%
U.S. Large/Mid Cap Equity $6,242 38.64% 1.39% 20.60% 3.39% 12.54% 10.10% Russell 1000 Index - - 1.42% 20.53% 3.87% 13.19% 10.62% MCM Russell 1000 Index 5,790 35.84% 1.43% 20.52% 3.93% 13.23% 10.67% Russell 1000 Index - - 1.42% 20.53% 3.87% 13.19% 10.62% Iridian Asset Mgmt MCV 453 2.80% 1.14% 22.05% (2.77%) 4.83% 4.18% Russell MidCap Index - - 0.48% 21.93% 3.19% 10.69% 9.10% Russell MidCap Value Idx - - 1.22% 19.47% 1.60% 7.82% 7.55%
U.S. Small Cap Equity $1,549 9.59% (3.69%) 14.96% (8.55%) 5.70% 6.14% Russell 2000 Index(1) - - (2.40%) 14.18% (8.89%) 7.32% 7.26% S&P 600 Small Cap Index - - (0.20%) 13.46% (9.34%) 9.33% 9.89% MCM Russell 2000 Core Index 317 1.96% (2.38%) 14.16% (8.85%) - - Russell 2000 Index - - (2.40%) 14.18% (8.89%) 8.23% 8.19% MCM Russell 2000 Val Index 573 3.55% (0.56%) 12.80% (8.20%) - - Russell 2000 Value Index - - (0.57%) 12.82% (8.24%) 6.54% 7.17% Emerald Adv Div Sm Cap Grth 660 4.08% (6.86%) 17.24% (8.75%) - - Russell 2000 Growth Index - - (4.17%) 15.34% (9.63%) 9.79% 9.08%
Non-U.S. Equity $7,315 45.28% (1.43%) 12.62% (0.96%) 7.39% 3.83% MSCI ACWI ex US IMI(1) - - (1.72%) 11.39% (1.84%) 6.10% 3.05%
Non-U.S. Developed Markets Equity $5,515 34.14% (0.92%) 14.21% (0.89%) 7.76% 4.22% MSCI ACWI ex US IMI - - (1.72%) 11.39% (1.84%) 6.10% 3.05% MSCI World ex US - - (0.93%) 13.57% (0.95%) 6.49% 3.06%
Non-U.S. Dev Large/Mid Cap Equity $4,757 29.45% (0.89%) 13.94% (0.61%) 8.65% 4.48%MSCI World ex US - - (0.93%) 13.57% (0.95%) 6.49% 3.06% BlackRock MSCI World Ex US Index 4,748 29.39% (0.89%) 13.96% (0.61%) - - MSCI World ex US - - (0.93%) 13.57% (0.95%) 6.49% 3.06%
Non-U.S. Dev Small Cap Equity $758 4.69% (1.13%) 16.03% (2.66%) 5.89% 4.68% MSCI ACWI ex US Small Cap - - (1.19%) 10.28% (5.63%) 4.64% 3.98%
FIS Group Non-U.S. Small Cap 190 1.18% (2.15%) 9.31% (4.89%) - - MSCI ACWI ex US Small Cap - - (1.19%) 10.28% (5.63%) 4.64% 3.98% Harris Assoc Int’l SCV 568 3.51% (0.78%) 18.48% (1.89%) 6.03% 4.76% MSCI World ex US Sm Cap - - (0.27%) 12.58% (5.62%) 5.54% 5.14%
Emerging Mkts Equity $1,799 11.14% (2.93%) 8.01% (0.58%) 7.68% 3.61% MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33% BlackRock Emg Mkts Index 660 4.08% (4.26%) 5.79% (2.11%) - - MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33% Leading Edge Emg Mkts Fund 212 1.31% (3.26%) 9.58% - - - MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33% Macquarie Emg Mkts Equity 409 2.53% (1.66%) 6.50% (1.38%) 8.06% 3.13% MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33% Martin Currie Emg Mkts Equity 431 2.67% (0.92%) 12.38% 3.01% 10.48% 6.00% MSCI EM - - (4.25%) 5.90% (2.01%) 5.98% 2.33% GlobeFlex Emerging Small Cap 88 0.54% (7.21%) 4.94% (7.18%) 5.00% 1.58% MSCI EM Small Cap - - (4.58%) 1.82% (5.48%) 1.32% (0.13%)
Northern Trust Equity Transition 1 0.01% 0.53% 0.69% (15.28%) - -
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.The market values and performance of such accounts are included within their relevant composites.(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
53Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years InceptionGross Performance- Equity
Global Public Equity 9.30% 7.20% - - 6.89% (1/02)
MSCI ACWI IMI 8.45% 7.25% 5.28% 6.79% 6.96% (1/02)
Global Mandates 11.89% - - - 8.96% (11/06)
MSCI World 9.01% 7.14% 4.89% 7.00% 5.51% (11/06)
Walter Scott & Prtnrs Glbl Gr Eq 11.57% - - - 9.48% (10/06)
MSCI World 9.01% 7.14% 4.89% 7.00% 5.77% (10/06)
U.S. Equity 12.79% 8.27% 6.57% 9.47% 10.62% (1/81)
Russell 3000 Index(1) 13.08% 9.10% 6.72% 9.72% 10.87% (1/81)
U.S. Large/Mid Cap Equity 13.31% 8.84% 6.53% 9.78% 9.47% (1/94)
Russell 1000 Index 13.23% 9.17% 6.63% 9.93% 9.66% (1/94)
MCM Russell 1000 Index - - - - 14.04% (1/12)
Russell 1000 Index 13.23% 9.17% 6.63% 9.93% 14.06% (1/12)
Iridian Asset Mgmt MCV 12.56% 10.87% 10.62% - 13.08% (3/95)
Russell MidCap Index 13.07% 9.92% 9.50% 11.05% 11.04% (3/95)
Russell MidCap Value Idx 12.29% 9.29% 9.83% 11.11% 11.11% (3/95)
U.S. Small Cap Equity 10.36% 7.48% 7.96% 9.77% 9.31% (1/94)
Russell 2000 Index(1) 11.54% 8.72% 8.88% 10.39% 10.07% (1/94)
S&P 600 Small Cap Index 13.02% 9.52% 10.01% 10.75% 10.32% (1/94)
MCM Russell 2000 Core Index - - - - 6.56% (12/16)
Russell 2000 Index 11.19% 8.19% 7.99% 8.86% 6.57% (12/16)
MCM Russell 2000 Val Index - - - - 3.52% (12/16)
Russell 2000 Value Index 10.06% 7.23% 9.05% 9.66% 3.55% (12/16)
Emerald Adv Div Sm Cap Grth - - - - 10.98% (12/16)
Russell 2000 Growth Index 12.25% 9.04% 6.53% 7.63% 9.56% (12/16)
Non-U.S. Equity 5.55% 5.63% 5.15% - 6.42% (11/95)
MSCI ACWI ex US IMI(1) 4.64% 6.03% 4.81% 5.18% 5.45% (11/95)
Non-U.S. Developed Markets Equity 6.32% 5.75% - - 6.32% (1/02)
MSCI ACWI ex US IMI 4.66% 5.88% 4.41% 4.85% 6.55% (1/02)
MSCI World ex US 4.78% 5.36% 3.89% 4.94% 5.72% (1/02)
Non-U.S. Dev Large/Mid Cap Equity 6.36% 5.25% - - 5.76% (1/02)
MSCI World ex US 4.78% 5.36% 3.89% 4.94% 5.72% (1/02)
BlackRock MSCI World Ex US Index - - - - 3.63% (6/17)
MSCI World ex US 4.78% 5.36% 3.89% 4.94% 3.15% (6/17)
Non-U.S. Dev Small Cap Equity 7.16% 8.07% 7.18% 7.16% 7.27% (10/93)
MSCI ACWI ex US Small Cap 6.13% 7.30% 6.44% 5.30% -
FIS Group Non-U.S. Small Cap - - - - (4.89%) (10/18)
MSCI ACWI ex US Small Cap 6.13% 7.30% 6.44% 5.30% (5.63%) (10/18)
Harris Assoc Int’l SCV 7.76% 9.09% - - 11.14% (7/03)
MSCI World ex US Sm Cap 6.93% 7.00% - - 8.99% (7/03)
Emerging Mkts Equity 3.31% 5.76% - - 7.28% (1/02)
MSCI EM 3.37% 7.82% - - 9.30% (1/02)
BlackRock Emg Mkts Index - - - - 1.99% (7/17)
MSCI EM 3.37% 7.82% - - 2.14% (7/17)
Leading Edge Emg Mkts Fund - - - - 8.11% (11/18)
MSCI EM 3.37% 7.82% - - 7.34% (11/18)
Macquarie Emg Mkts Equity - - - - 3.91% (5/13)
MSCI EM 3.37% 7.82% - - 1.91% (5/13)
Martin Currie Emg Mkts Equity - - - - 4.65% (1/14)
MSCI EM 3.37% 7.82% - - 2.45% (1/14)
GlobeFlex Emerging Small Cap - - - - 3.46% (8/13)
MSCI EM Small Cap 3.21% 8.17% 7.22% 3.35% 1.75% (8/13)
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.The market values and performance of such accounts are included within their relevant composites.(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
54Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Gross Performance - Fixed Income
Fixed Income $4,351 100.00% 1.83% 9.04% 9.59% 3.60% 3.32% Blmbg Aggregate - - 2.27% 8.52% 10.30% 2.92% 3.38%
Core Fixed Income $1,983 45.58% 2.21% 9.12% 10.28% 3.32% 3.66% Blmbg Aggregate - - 2.27% 8.52% 10.30% 2.92% 3.38%
MCM Bond Index 1,117 25.66% 2.22% 8.50% 10.26% 2.90% 3.35%
Blmbg Aggregate(1) - - 2.27% 8.52% 10.30% 2.92% 3.38%
PIMCO Core Bond Fund 665 15.29% 1.94% 8.98% 9.86% 3.45% 3.81%
Blmbg Agg ex Treasury - - 2.18% 9.03% 10.19% 3.32% 3.65%
Taplin, Canida & Habacht Corp FI 202 4.64% 3.06% 13.20% 11.72% 4.91% 4.50%
Blmbg Credit - - 2.98% 12.61% 12.63% 4.33% 4.54%
Core-Plus Fixed Income $893 20.53% 0.39% 9.03% 7.16% 4.86% 3.05%Brandywine Global Opp 196 4.51% (1.55%) 5.33% 4.08% 2.18% 2.00%
FTSE WGBI - - 0.85% 6.27% 8.13% 1.19% 1.80%
Pyramis Glbl Adv HY CMBS 340 7.81% 2.01% 8.46% 9.02% 5.90% 5.82%
Blmbg US Univ CMBS ex Aaa - - 2.61% 11.13% 11.75% 5.32% 4.92%
Stone Harbor Glbl HY 193 4.44% 0.85% 11.79% 6.48% 5.71% 4.59%
FTSE US High Yield - - 0.96% 10.95% 5.72% 5.81% 4.99%
Stone Harbor EMD 164 3.77% (1.07%) 11.52% 7.61% 3.45% 4.80%
JPM EMBI Global - - 1.34% 12.08% 10.74% 3.84% 5.10%
Global TIPS $868 19.95% 1.45% 7.81% 7.27% 2.32% 2.62% Blmbg US TIPS - - 1.35% 7.58% 7.13% 2.21% 2.45%
Brown Brothers TIPS 230 5.29% 1.50% 7.81% 7.40% 2.35% 2.71%
Blmbg US TIPS - - 1.35% 7.58% 7.13% 2.21% 2.45%
NISA Inv Adv TIPS 517 11.88% 1.31% 7.60% 7.10% 2.27% 2.54%
Blmbg US TIPS(1) - - 1.35% 7.58% 7.13% 2.21% 2.45%
New Century Global TIPS 121 2.77% 2.01% 8.78% 7.82% 2.53% 2.80%
Blmbg Wld Gov I-L Undhdg - - 1.77% 8.19% 7.31% 2.17% 2.29%
Nominal U.S. Treasuries $607 13.94% 3.35% 10.60% 14.67% 2.23% 3.78% Blmbg:Treas Bellwethr 10Y - - 3.19% 10.86% 15.15% 1.81% 3.39%
PIMCO US Treasuries 607 13.94% 3.35% 10.60% 14.67% 2.51% 4.04%
Blmbg:Treas Bellwethr 10Y - - 3.19% 10.86% 15.15% 1.81% 3.39%
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
55Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Gross Performance - Fixed Income
Fixed Income 5.44% 5.45% 5.99% 6.64% 7.72% (1/85)
Blmbg Aggregate 3.75% 4.21% 5.01% 5.57% 6.85% (1/85)
Core Fixed Income 4.71% 4.78% - - 5.07% (1/02)
Blmbg Aggregate 3.75% 4.21% 5.01% 5.57% 4.54% (1/02)
MCM Bond Index 3.67% 4.14% 5.03% 5.73% 5.28% (9/93)
Blmbg Aggregate(1) 3.75% 4.21% 5.10% 5.76% 5.32% (9/93)
PIMCO Core Bond Fund - - - - 3.03% (1/13)
Blmbg Agg ex Treasury 4.10% - - - 3.14% (1/13)
Taplin, Canida & Habacht Corp FI 5.79% 5.48% - - 6.20% (12/00)
Blmbg Credit 5.32% 5.12% 5.92% 6.39% 5.90% (12/00)
Core-Plus Fixed Income - - - - 5.09% (10/12)
Brandywine Global Opp - - - - 4.04% (2/11)
FTSE WGBI 1.69% 3.31% 4.16% 4.69% 1.59% (2/11)
Pyramis Glbl Adv HY CMBS 12.73% 7.56% 9.14% - 9.33% (4/97)
Blmbg US Univ CMBS ex Aaa 9.20% 0.98% - - -
Stone Harbor Glbl HY 7.33% 7.05% - - 7.71% (7/00)
FTSE US High Yield 7.61% 6.97% 6.88% 7.37% 7.14% (7/00)
Stone Harbor EMD 6.91% - - - 7.84% (4/05)
JPM EMBI Global 6.51% 7.27% 8.99% 9.50% 7.28% (4/05)
Global TIPS 2.80% 3.40% - - 3.40% (2/03)
Blmbg US TIPS 3.46% 3.90% 5.47% - 4.31% (2/03)
Brown Brothers TIPS - - - - 1.78% (2/12)
Blmbg US TIPS 3.46% 3.90% 5.47% - 1.47% (2/12)
NISA Inv Adv TIPS 2.55% - - - 3.25% (4/07)
Blmbg US TIPS(1) 2.45% 3.18% 4.92% - 3.15% (4/07)
New Century Global TIPS - - - - 2.52% (2/12)
Blmbg Wld Gov I-L Undhdg 3.22% 4.05% 5.46% - 1.88% (2/12)
Nominal U.S. Treasuries - - - - 2.97% (9/11)
Blmbg US Treas Bell 10Y 4.00% 4.35% 5.03% 5.60% 2.92% (9/11)
PIMCO US Treasuries - - - - 3.18% (9/11)
Blmbg US Treas Bell 10Y 4.00% 4.35% 5.03% 5.60% 2.92% (9/11)
*Market values may not sum as a result of accounts funded within the quarter or accounts in the process of liquidation.
The market values and performance of such accounts are included within their relevant composites.
(1) Benchmark history is a blend of current and past benchmark indices. History prior to 12/31/2018 is provided by RVK.
56Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Market Year Last LastValue Ending Last to Last 3 5$(mm) Weight Quarter Date Year Years Years
Gross Performance - Multi-Strategy
Multi-Strategy $1,714 100.00% 0.81% 12.06% 3.82% - -S&P/LSTA Leveraged Loan - - 0.99% 6.79% 3.10% 4.53% 3.98%
Russell 3000 Index - - 1.16% 20.09% 2.92% 12.83% 10.44%
Credit Focused Strategies $934 54.47% 1.11% 7.36% 3.21% - -Blackstone Keystone(1)(5) 934 54.47% 1.11% 7.36% 3.21% 5.87% 4.28%
HFRI Fund of Funds Compos - - (0.90%) 5.21% 0.01% 3.15% 1.95%
Opp. Equity & Fixed Income $547 31.93% 0.53% 15.97% 4.65% - -SEI Str. Credit: HY Bank Loans(2) 343 20.02% (1.00%) 3.33% 3.15% 9.96% 7.71%
FTSE US High Yield - - 0.96% 10.95% 5.72% 5.81% 4.99%
Eaton Vance GMARA 204 11.92% 3.18% 8.24% 5.72% - -
3 month LIBOR + 6% - - 2.00% 6.30% 8.56% 7.90% 7.31%
Private Credit(4) $233 13.59% 0.14% 5.89% 7.38% - -
(1) Blackstone Keystone since inception returns are included in the Legacy Hedge Fund composite through 9/30/2017.
(2) SEI HY Bank Loans since inception returns are included in the Fixed Income composite through 9/30/2017.
(3) Russell 3000 Index since inception returns are included in the Global Public Equity composite through 9/30/2017.
(4) Private Credit performance is shown Net of Fees with a 1 Qtr lag.
(5) Blackstone Keystone performance is shown Net of Fees.
57Pennsylvania SERS
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended September30, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Thefirst set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended September 30, 2019
Last Last Last Last 10 15 20 25 Since
Years Years Years Years Inception
Gross Performance - Multi-Strategy
Multi-Strategy - - - - 7.21% (10/17)
S&P/LSTA Leveraged Loan 5.21% 4.72% 4.85% - 4.14% (10/17)
Russell 3000 Index 13.08% 9.10% 6.72% 9.81% 10.00% (10/17)
Credit Focused Strategies - - - - 4.17% (10/17)
Blackstone Keystone(1)(5) - - - - 7.35% (7/12)
HFRI Fund of Funds Compos 2.67% 2.93% 3.91% 4.87% 3.41% (7/12)
Opp. Equity & Fixed Income - - - - 9.60% (10/17)
SEI Str. Credit: HY Bank Loans(2) 16.03% - - - 13.30% (5/08)
FTSE US High Yield 7.61% 6.97% 6.88% 7.37% 7.26% (5/08)
Eaton Vance GMARA - - - - 1.84% (6/18)
3 month LIBOR + 6% 6.82% 7.79% 8.13% 8.83% 8.52% (6/18)
Private Credit(4) - - - - 7.82% (12/17)
(1) Blackstone Keystone since inception returns are included in the Legacy Hedge Fund composite through 9/30/2017.
(2) SEI HY Bank Loans since inception returns are included in the Fixed Income composite through 9/30/2017.
(3) Russell 3000 Index since inception returns are included in the Global Public Equity composite through 9/30/2017.
(4) Private Credit performance is shown Net of Fees with a 1 Qtr lag.
(5) Blackstone Keystone performance is shown Net of Fees.
58Pennsylvania SERS
Glo
ba
l Eq
uity
Global Equity
Global Public EquityPeriod Ended September 30, 2019
Quarterly Summary and HighlightsGlobal Public Equity’s portfolio posted a (0.44)% return forthe quarter placing it in the 55 percentile of the Callan GlobalEquity group for the quarter and in the 59 percentile for thelast year.
Global Public Equity’s portfolio underperformed the MSCIACWI IMI by 0.26% for the quarter and underperformed theMSCI ACWI IMI for the year by 0.12%.
Quarterly Asset Growth
Beginning Market Value $16,231,877,274
Net New Investment $-5,382,423
Investment Gains/(Losses) $-72,457,573
Ending Market Value $16,154,037,277
Performance vs Callan Global Equity (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
Last Quarter Last 3/4 Year Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(55)(49)
(57)(61)
(59)(58)
(58)(63)
(62)(67)
(64)(76) (62)
(82)
10th Percentile 1.82 22.47 8.13 14.57 11.43 13.08 12.7225th Percentile 0.62 20.01 5.11 12.18 9.60 11.54 11.06
Median (0.21) 17.09 1.79 10.09 7.52 10.24 9.7775th Percentile (1.31) 13.74 (1.56) 8.39 6.06 8.92 8.8790th Percentile (2.28) 11.45 (5.10) 6.78 4.83 7.95 7.78
Global Public Equity (0.44) 16.36 0.36 9.73 7.04 9.45 9.30
MSCI ACWI IMI (0.18) 15.87 0.48 9.36 6.61 8.83 8.45
Portfolio Characteristics asa Percentage of the MSCI ACWI IMI
0% 50% 100% 150%
Forecast Earnings Growth
11.311.211.3
Yield
2.32.1
2.4
Price/Book
2.12.6
2.1
Forecast Price/Earnings
15.816.0
15.4
Wght Median Market Cap
36.148.6
44.5
Global Public Equity Callan Global Equity MSCI ACWI IMI
Callan Global Equity (Gross)Annualized Five Year Risk vs Return
5 10 15 20 250%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
Global Public Equity
MSCI ACWI IMI
Standard Deviation
Re
turn
s
60Pennsylvania SERS
Global Public EquityReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Public Fund - Global Equity (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(9)(21)
(56)(53)
(68)(72)
(31)(34)
(47)(61)(76)(75)
(62)(76)
10th Percentile 16.32 (3.31) 30.34 11.03 2.49 12.89 35.4225th Percentile 15.80 (6.62) 28.33 9.20 1.31 11.07 33.50
Median 15.06 (9.67) 26.47 7.07 (1.66) 6.15 29.3375th Percentile 13.07 (11.82) 23.02 3.03 (3.62) 3.77 23.8490th Percentile 10.17 (15.91) 14.83 2.42 (7.56) (3.04) 16.36
Global Public Equity 16.36 (10.28) 24.31 8.67 (1.59) 3.68 26.55
MSCI ACWI IMI 15.87 (10.08) 23.95 8.36 (2.19) 3.84 23.55
Cumulative and Quarterly Relative Return vs MSCI ACWI IMI
Re
lative
Re
turn
s
(2%)
(1%)
0%
1%
2%
3%
4%
2014 2015 2016 2017 2018 2019
Global Public Equity Pub Pln- Glbl Equity
Risk Adjusted Return Measures vs MSCI ACWI IMIRankings Against Public Fund - Global Equity (Gross)Five Years Ended September 30, 2019
(4)
(3)
(2)
(1)
0
1
2
Alpha Sharpe Excess ReturnRatio Ratio
(33)(33) (23)
10th Percentile 1.43 0.64 0.8325th Percentile 0.69 0.57 0.53
Median 0.04 0.51 0.0075th Percentile (1.63) 0.32 (0.51)90th Percentile (3.27) 0.20 (0.84)
Global Public Equity 0.31 0.54 0.56
61Pennsylvania SERS
Global Public EquityRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Public Fund - Global Equity (Gross)Five Years Ended September 30, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5(5 )
(4 )
(3 )
(2 )
(1 )
0
1
2
3
Global Public Equity
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI ACWI IMI Index (USD Net Div)Rankings Against Public Fund - Global Equity (Gross)Five Years Ended September 30, 2019
60%
70%
80%
90%
100%
110%
120%
Up Market DownCapture Market Capture
(18)(33)
10th Percentile 111.88 112.3625th Percentile 106.04 105.82
Median 102.00 99.5475th Percentile 82.05 95.1990th Percentile 69.48 84.94
Global Public Equity 106.82 103.11
Risk Statistics Rankings vs MSCI ACWI IMI Index (USD Net Div)Rankings Against Public Fund - Global Equity (Gross)Five Years Ended September 30, 2019
0%
2%
4%
6%
8%
10%
12%
14%
Standard Downside TrackingDeviation Risk Error
(28)
(94) (98)
10th Percentile 12.25 4.00 4.6225th Percentile 11.58 2.99 3.41
Median 11.06 1.11 1.6975th Percentile 10.83 0.73 1.1590th Percentile 10.43 0.47 0.90
GlobalPublic Equity 11.27 0.39 0.77
0.80
0.90
1.00
1.10
Beta R-Squared
(22)(1)
10th Percentile 1.06 0.9925th Percentile 1.02 0.99
Median 1.00 0.9875th Percentile 0.98 0.9290th Percentile 0.90 0.86
Global Public Equity 1.02 1.00
62Pennsylvania SERS
Global Public EquityDrawdown Analysis for Five Years Ended September 30, 2019
The following analysis focuses on downside risk by looking at cumulative drawdowns experienced from peak-to-trough forthe portfolio, index, and peer group. Drawdown is measured from the "high-water mark" of cumulative return to thesubsequent "trough". The first chart illustrates the Worst Absolute Drawdown as well as the Current Drawdown (cumulativereturn from high-water mark to now). The second chart focuses on Relative Drawdown (negative excess return vs. index).The bottom charts highlight the portfolio’s peer rankings during drawdown periods.
Absolute Cumulative Drawdown Analysis
Cu
mu
lative
Re
turn
s
(20%)
(10%)
0%
10%
20%
30%
40%
50%
2014 2015 2016 2017 2018 2019
40.52%37.69%37.53%
Global Public Equity
MSCI ACWI IMI
Pub Pln- Glbl Equity
Peak Catch-up Return: 0.44%
Worst Absolute Drawdown
Return Years Period Index Peers
Global Public Equity (5.29)% 0.50 2015/06-2015/12 (5.16)% (5.85)%
Recovery from Trough 6.74% 0.75 2015/12-2016/09 7.00% 6.53%
MSCI ACWI IMI (5.16)% 0.50 2015/06-2015/12
Pub Pln- Glbl Equity (5.85)% 0.50 2015/06-2015/12
Current Absolute Drawdown
Return Years Period Index Peers
(0.44)% 0.25 2019/06-2019/09 (0.18)% (0.40)%
- - - - -
(0.18)% 0.25 2019/06-2019/09
(0.40)% 0.25 2019/06-2019/09
Relative Cumulative Drawdown Analysis vs. MSCI ACWI IMI
Cu
mu
lative
Re
lative
Re
turn
s
(2%)
(1%)
0%
1%
2%
3%
4%
2014 2015 2016 2017 2018 2019
2.05%
(0.12%)
Global Public Equity
Pub Pln- Glbl Equity
Peak Catch-up Rel Rtn: 0.37%
Worst Relative Drawdown
Rel Rtn Years Period Peers
Global Public Equity (0.78)% 0.50 2018/06-2018/12 2.53%
Recovery from Trough 0.42% 0.75+ 2018/12-2019/09 (2.49)%
Pub Pln- Glbl Equity (3.91)% 3.00 2015/09-2018/09
Current Relative Drawdown
Rel Rtn Years Period Peers
(0.36)% 1.25 2018/06-2019/09 (0.02)%
0.42% 0.75+ 2018/12-2019/09 (2.49)%
(2.57)% 4.00 2015/09-2019/09
Drawdown Rankings vs. MSCI ACWI IMIRankings against Public Fund - Global EquityFive Years Ended September 30, 2019
(12%)(10%)(8%)(6%)(4%)(2%)
0%2%4%
Worst Absolute Current AbsoluteDrawdown Drawdown
2015/06-2015/12 2019/06-2019/09
(52)(51)
(54)(41)
10th Percentile (2.43) 0.9125th Percentile (4.18) 0.01
Median (5.03) (0.38)75th Percentile (7.60) (0.85)90th Percentile (10.34) (1.77)
GlobalPublic Equity (5.29) (0.44)
MSCI ACWI IMI (5.16) (0.18)
(10%)
(5%)
0%
5%
10%
15%
Worst Relative Current RelativeDrawdown Drawdown
2018/06-2018/12 2018/06-2019/09
(74) (31)
10th Percentile 8.42 1.7825th Percentile 3.35 0.19
Median (0.07) (1.02)75th Percentile (0.85) (5.46)90th Percentile (3.50) (6.63)
Global Public Equity (0.78) (0.36)
63Pennsylvania SERS
Current Holdings Based Style AnalysisGlobal Public EquityAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Global EquityHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Global Public Equity
MSCI ACWI IMI Global Public Equity
MSCI ACWI IMI
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
18.9% (283) 19.1% (273) 28.9% (312) 66.9% (868)
4.9% (480) 6.0% (547) 7.0% (576) 17.9% (1603)
3.7% (633) 4.9% (698) 4.0% (560) 12.7% (1891)
0.8% (467) 1.2% (582) 0.5% (320) 2.5% (1369)
28.4% (1863) 31.2% (2100) 40.5% (1768) 100.0% (5731)
22.3% (282) 20.5% (276) 28.4% (315) 71.2% (873)
5.4% (512) 6.1% (575) 6.8% (659) 18.3% (1746)
2.8% (1084) 3.3% (1285) 2.9% (1125) 8.9% (3494)
0.6% (970) 0.6% (898) 0.4% (751) 1.6% (2619)
31.0% (2848) 30.5% (3034) 38.4% (2850) 100.0% (8732)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
28.4%
(1863)31.0%
(2848)
31.2%
(2100)
30.5%
(3034)40.5%
(1768)
38.4%
(2850)
Bar #1=Global Public Equity (Combined Z: 0.04 Growth Z: 0.01 Value Z: -0.03)
Bar #2=MSCI ACWI IMI (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
0.0 0.0
7.7 8.3
11.710.8
8.0 8.0
5.2 5.2
16.2 16.2
12.0 11.212.2
11.3
3.0 3.54.8 5.1
3.44.4
15.7 16.1
Bar #1=Global Public Equity
Bar #2=MSCI ACWI IMI
Value
Core
Growth
64Pennsylvania SERS
Global Public EquityEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Global Equityas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(73)
(61)
(52)(56)
(70)(71)
(47)(47)
(39)(34)
(56)(58)
10th Percentile 99.91 23.18 4.91 16.86 3.36 1.0125th Percentile 66.62 20.55 3.75 13.72 2.71 0.70
Median 48.61 16.00 2.60 11.15 2.09 0.1375th Percentile 34.11 13.73 1.97 8.92 1.49 (0.29)90th Percentile 21.28 11.69 1.49 7.26 1.06 (0.72)
Global Public Equity 36.11 15.77 2.12 11.28 2.31 0.04
MSCI ACWI IMIIndex (USD Net Div) 44.50 15.44 2.10 11.27 2.45 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25%
Financials
16.316.316.4
Information Technology
15.516.0
18.1
Industrials
12.011.2
12.0
Health Care
11.8
50
%M
gr
MV
50
%M
gr
MV
11.214.0
Consumer Discretionary
11.711.0
11.5
Consumer Staples
8.18.18.4
Communication Services
7.68.28.5
Energy
5.15.2
4.3
Materials
4.95.1
4.0
Real Estate
3.44.4
1.6
Utilities
3.13.5
1.1
Miscellaneous
0.4
Pooled Vehicles
0.1
Global Public Equity MSCI ACWI IMI Index (USD Net Div)
Callan Global Equity
Sector DiversificationManager 3.52 sectors
Index 3.57 sectors
DiversificationSeptember 30, 2019
0
1000
2000
3000
4000
5000
6000
7000
Number of IssueSecurities Diversification
(1)
(1)
10th Percentile 421 6125th Percentile 140 34
Median 70 2175th Percentile 46 1590th Percentile 34 11
Global Public Equity 5974 272
MSCI ACWI IMIIndex (USD Net Div) 8779 249
Diversification RatioManager 5%
Index 3%
Style Median 30%
65Pennsylvania SERS
Global Public EquityActive Share Analysis as of September 30, 2019vs. MSCI ACWI IMI Index (USD Net Div)
Active Share analysis compares the holdings of a portfolio to an index to measure how aggressively it differs from the index.Active share is measured at the individual stock level ("holdings-level active share") and using sector weights ("sectorexposure active share"). Holdings-level active share comes from: 1) Index Active Share - over/under weighting of stocks inthe index, and 2) Non-Index Active Share - positions in stocks not in the index. This analysis displays active share by sectorand compares the portfolio to a relevant peer group.
Holdings-Level Active Share
Index Active Share22.75%
Non-Index Active Share2.14%
Passive Share75.12%
Sector Exposure Active Share
Active Share2.73%
Passive Share97.27%
Total Active Share: 24.88%
Index Non-Index Total Contribution toActive Share Active Share Active Share Index Manager Total PortfolioWithin Sector Within Sector Within Sector Weight Weight Active Share
Communication Services 19.04% 1.57% 20.61% 8.15% 7.56% 1.73%
Consumer Discretionary 26.41% 1.87% 28.29% 10.97% 11.69% 3.09%
Consumer Staples 23.07% 3.02% 26.09% 8.11% 8.09% 2.11%
Energy 18.70% 1.95% 20.65% 5.17% 5.11% 1.06%
Financials 20.29% 2.58% 22.87% 16.32% 16.34% 3.73%
Health Care 24.23% 1.21% 25.44% 11.16% 11.85% 2.85%
Industrials 28.14% 1.65% 29.79% 11.24% 12.02% 3.37%
Information Technology 20.08% 1.04% 21.11% 15.96% 15.51% 3.37%
Materials 25.94% 2.81% 28.76% 5.06% 4.87% 1.40%
Miscellaneous 0.00% 100.00% 100.00% - 0.41% 0.18%
Pooled Vehicles 0.00% 100.00% 100.00% - 0.11% 0.06%
Real Estate 24.36% 1.97% 26.33% 4.39% 3.39% 1.13%
Utilities 21.00% 2.25% 23.25% 3.48% 3.07% 0.79%
Total 22.75% 2.14% 24.88% 100.00% 100.00% 24.86%
Active Share vs. Pub Pln- Glbl Equity
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
Total Index Non-Index Passive SectorActive Share Active Share Active Share Share Active Share
(93) (87)
(69)
(8)
(96)
10th Percentile 80.04 79.31 20.72 54.33 30.9025th Percentile 78.13 76.27 11.87 44.40 22.19
Median 70.88 68.05 2.83 29.12 12.8675th Percentile 55.60 43.83 1.78 21.87 10.7590th Percentile 45.67 24.77 0.91 19.96 9.24
GlobalPublic Equity 24.88 22.75 2.14 75.12 2.73
66Pennsylvania SERS
Glo
bal M
an
da
tes
Global Mandates
Ma
na
ge
r
Manager
Walter Scott & Prtnrs Glbl Gr EqPeriod Ended September 30, 2019
Investment PhilosophyWalter Scott believes that the objective for all long term investors is to maintain and enhance the real after inflationpurchasing power of their assets. This is most likely to be achieved by investing in companies with high rates of internalwealth generation which in time translates into total return for the investor. Thus, the firm’s research efforts are directedtowards identifying companies that meet its investment criteria. Their research process combines historic and forecastedfinancial analysis with business and management analysis at the company level.
Quarterly Summary and HighlightsWalter Scott & Prtnrs Glbl Gr Eq’s portfolio posted a 0.62%return for the quarter placing it in the 20 percentile of theCallan Global Broad Growth Equity group for the quarter andin the 28 percentile for the last year.
Walter Scott & Prtnrs Glbl Gr Eq’s portfolio outperformed theMSCI World by 0.09% for the quarter and outperformed theMSCI World for the year by 5.07%.
Quarterly Asset Growth
Beginning Market Value $1,040,873,444
Net New Investment $-979,243
Investment Gains/(Losses) $6,472,694
Ending Market Value $1,046,366,894
Performance vs Callan Global Broad Growth Equity (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(20)(22)
(36)
(78)
(28)
(71)
(10)
(73)
(21)
(82)(26)
(90)
(32)
(84)
10th Percentile 1.23 25.49 9.87 13.23 16.22 13.74 14.5125th Percentile 0.38 22.13 7.29 11.05 14.48 11.42 13.00
Median (0.79) 20.12 4.42 9.22 12.92 10.00 11.5975th Percentile (1.61) 18.28 1.01 6.32 11.41 8.37 10.4690th Percentile (3.15) 16.13 (1.23) 4.54 9.75 7.18 9.20
Walter Scott &Prtnrs Glbl Gr Eq 0.62 21.18 6.89 13.35 14.96 11.39 12.43
MSCI World 0.53 17.61 1.83 6.43 10.21 7.18 9.67
Portfolio Characteristics asa Percentage of the MSCI World
0% 50% 100% 150% 200% 250% 300%
Forecast Earnings Growth10.5
14.010.8
Yield1.6
1.32.4
Price/Book4.9
4.02.3
Forecast Price/Earnings22.4
21.315.8
Wght Median Market Cap81.5
56.063.5
Walter Scott & Prtnrs Glbl Gr Eq Callan Global Broad Growth Equity
MSCI World
Callan Global Broad Growth Equity (Gross)Annualized Five Year Risk vs Return
6 8 10 12 14 16 18 20 224%
6%
8%
10%
12%
14%
16%
18%
Walter Scott & Prtnrs Glbl Gr Eq
MSCI World
Standard Deviation
Re
turn
s
68Pennsylvania SERS
Walter Scott & Prtnrs Glbl Gr EqReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Global Broad Growth Equity (Gross)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(36)(78)
(2)
(64)
(64)(94)
(13)(9)(47)
(90)(48)(43)
(81)(56)
10th Percentile 25.49 (1.18) 38.29 7.13 9.72 8.16 34.9825th Percentile 22.13 (3.80) 34.25 5.31 5.00 6.59 31.24
Median 20.12 (7.30) 29.63 3.31 2.54 4.17 28.1275th Percentile 18.28 (9.70) 26.71 1.04 0.32 2.73 23.6490th Percentile 16.13 (12.43) 24.48 (1.25) (0.89) 1.18 21.04
Walter Scott &Prtnrs Glbl Gr Eq 21.18 (0.23) 27.52 6.80 2.77 4.39 22.75
MSCI World 17.61 (8.71) 22.40 7.51 (0.87) 4.94 26.68
Cumulative and Quarterly Relative Return vs MSCI World
Re
lative
Re
turn
s
(10%)
(5%)
0%
5%
10%
15%
20%
25%
2014 2015 2016 2017 2018 2019
Walter Scott & Prtnrs Glbl Gr Eq Callan Glbl Brd Gr Eq
Risk Adjusted Return Measures vs MSCI WorldRankings Against Callan Global Broad Growth Equity (Gross)Five Years Ended September 30, 2019
(2)
(1)
0
1
2
3
4
5
6
7
Alpha Sharpe Excess ReturnRatio Ratio
(20)
(14) (5)
10th Percentile 6.06 1.03 1.1225th Percentile 3.94 0.85 0.86
Median 2.08 0.69 0.5875th Percentile 0.53 0.57 0.2490th Percentile (0.58) 0.49 (0.00)
Walter Scott & Prtnrs Glbl Gr Eq 4.23 0.95 1.28
69Pennsylvania SERS
Walter Scott & Prtnrs Glbl Gr EqRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Global Broad Growth Equity (Gross)Five Years Ended September 30, 2019
0 2 4 6 8 10 12 14(4 )
(2 )
0
2
4
6
8
10
12
Walter Scott & Prtnrs Glbl Gr Eq
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI World Index (USD Net Div)Rankings Against Callan Global Broad Growth Equity (Gross)Five Years Ended September 30, 2019
40%60%80%
100%120%140%160%180%
Up Market DownCapture Market Capture
(59)
(86)
10th Percentile 152.03 117.3825th Percentile 140.56 107.71
Median 125.43 96.3775th Percentile 110.88 81.1690th Percentile 100.03 54.17
Walter Scott & Prtnrs Glbl Gr Eq 120.27 60.61
Risk Statistics Rankings vs MSCI World Index (USD Net Div)Rankings Against Callan Global Broad Growth Equity (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(85)
(94)(88)
10th Percentile 15.72 4.75 7.3425th Percentile 13.70 3.71 5.84
Median 12.64 2.70 4.8475th Percentile 11.64 2.12 3.7190th Percentile 10.59 1.92 3.17
Walter Scott &Prtnrs Glbl Gr Eq 10.98 1.61 3.30
0.600.700.800.901.001.101.201.301.40
Beta R-Squared
(81)(30)
10th Percentile 1.29 0.9425th Percentile 1.19 0.92
Median 1.09 0.8775th Percentile 1.00 0.8290th Percentile 0.87 0.73
Walter Scott &Prtnrs Glbl Gr Eq 0.96 0.91
70Pennsylvania SERS
Current Holdings Based Style AnalysisWalter Scott & Prtnrs Glbl Gr EqAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Glbl Brd Gr EqHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MSCI World
Walter Scott & Prtnrs Glbl Gr Eq
Style Exposure MatrixHoldings as of September 30, 2019
0.0% (0) 1.6% (1) 18.9% (11) 20.6% (12)
5.9% (4) 16.3% (8) 38.7% (17) 60.9% (29)
0.0% (0) 3.4% (3) 12.5% (6) 15.9% (9)
0.0% (0) 0.0% (0) 2.7% (1) 2.7% (1)
5.9% (4) 21.3% (12) 72.8% (35) 100.0% (51)
6.5% (148) 4.7% (117) 9.4% (186) 20.6% (451)
21.3% (246) 20.8% (258) 24.5% (216) 66.6% (720)
4.1% (151) 4.1% (151) 4.4% (168) 12.7% (470)
0.0% (0) 0.0% (0) 0.1% (1) 0.1% (1)
31.9% (545) 29.6% (526) 38.5% (571) 100.0% (1642)
Europe/
Mid East
N. America
Pacific
Emerging/
FM
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
20%
40%
60%
80%
100%
120%
Value Core Growth
5.9%
(4)
31.9%
(545)
21.3%
(12) 29.6%
(526)
72.8%
(35)
38.5%
(571)
Bar #1=Walter Scott & Prtnrs Glbl Gr Eq (Combined Z: 0.83 Growth Z: 0.22 Value Z: -0.61
Bar #2=MSCI World (Combined Z: -0.03 Growth Z: -0.01 Value Z: 0.01)
Europe/Mid East
N. America
Pacific
Emerging/FM
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT TECH REALES
4.4
8.6
16.1
10.3 9.4 8.6
2.85.2
2.7
15.7
22.9
12.5
8.911.2
2.43.6 4.4 4.4
26.1
16.5
0.0
3.4
Bar #1=Walter Scott & Prtnrs Glbl Gr Eq
Bar #2=MSCI World
Value
Core
Growth
71Pennsylvania SERS
Walter Scott & Prtnrs Glbl Gr EqEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Global Broad Growth Equityas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(27)
(42)(38)
(95)
(24)
(98)(89)
(85)
(34)
(1)
(45)
(100)
10th Percentile 117.12 28.26 6.24 20.60 1.92 1.4025th Percentile 88.36 23.17 4.91 16.80 1.63 1.01
Median 55.97 21.35 3.99 13.98 1.33 0.7975th Percentile 38.36 18.83 3.44 11.90 1.07 0.6390th Percentile 21.62 16.76 2.89 10.10 0.68 0.46
Walter Scott &Prtnrs Glbl Gr Eq 81.50 22.35 4.92 10.48 1.55 0.83
MSCI World Index(USD Net Div) 63.52 15.79 2.31 10.83 2.44 (0.03)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Information Technology
25.516.5
23.1
Health Care
22.612.4
16.8
Consumer Discretionary
17.6
50
%M
gr
MV
50
%M
gr
MV
10.513.7
Consumer Staples
9.28.8
7.8
Industrials
8.711.1
12.0
Communication Services
4.38.48.2
Materials
4.34.4
3.7
Energy
2.75.2
1.0
Financials
2.715.7
13.7
Utilities
2.33.6
Real Estate 3.4
Walter Scott & Prtnrs Glbl Gr Eq
MSCI World Index (USD Net Div) Callan Glbl Brd Gr Eq
Sector DiversificationManager 2.11 sectors
Index 3.48 sectors
DiversificationSeptember 30, 2019
0
20
40
60
80
100
120
Number of IssueSecurities Diversification
(48)
(42)
10th Percentile 102 3125th Percentile 75 24
Median 51 1775th Percentile 37 1390th Percentile 30 9
Walter Scott &Prtnrs Glbl Gr Eq 53 19
MSCI World Index(USD Net Div) 1647 141
Diversification RatioManager 36%
Index 9%
Style Median 32%
72Pennsylvania SERS
U.S
. Eq
uity
U.S. Equity
Domestic EquityActive Management Overview
The S&P 500 Index returned 1.7% in the third quarter, bringing its YTD result to an impressive 20.6%. Third quarter returnswere mixed across sectors. The winners were Real Estate (+7.7%) and Utilities (+9.3%), both benefiting from lower interestrates. Returns for both sectors are approaching 30% on a YTD basis. Energy, hurt by falling oil prices, lost 6.3% and is uponly 6.0% for the year. Health Care was another poor performer, down 2.2% and up 5.6% YTD. From a style perspective,value mounted a comeback late in the quarter, but over the full quarter returns across styles were similar (R1000: 1.4%;R1000G: 1.5%; R1000V: 1.4%). Small caps underperformed (R2000: -2.4% vs R1000: +1.4%) and, notably, small cap valueoutperformed small cap growth by a significant margin (R2000V: -0.6% vs R2000G: -4.2%).
Separate Account Style Group Median Returnsfor Quarter Ended September 30, 2019
(6%)
(4%)
(2%)
0%
2%
4%
(4.51 )
Small CapGrowth
(0.29 )
Small CapValue
(1.84 )
Small CapBroad
(1.21 )
Mid CapGrowth
1.55
Mid CapValue
0.45
Mid CapBroad
0.30
Large CapGrowth
1.49
Large CapValue
1.21
Large CapCore
Re
turn
s
S&P 500: 1.70%
S&P 500 Growth: 0.72%
S&P 500 Value: 2.83%
S&P Mid Cap: (0.09%)
S&P 600: (0.20%)
S&P 600 Growth: (1.86%)
S&P 600 Value: 1.45%
Separate Account Style Group Median Returnsfor One Year Ended September 30, 2019
(15%)
(10%)
(5%)
0%
5%
10%
(6.39 )
Small CapGrowth
(7.79 )
Small CapValue
(7.07 )
Small CapBroad
5.13
Mid CapGrowth
(0.51 )
Mid CapValue
1.13
Mid CapBroad
4.09
Large CapGrowth
1.02
Large CapValue
2.34
Large CapCore
Re
turn
s
S&P 500: 4.25%
S&P 500 Growth: 3.25%
S&P 500 Value: 5.56%
S&P Mid Cap: (2.49%)
S&P 600: (9.34%)
S&P 600 Growth: (10.40%)
S&P 600 Value: (8.21%)
74Pennsylvania SERS
U.S. EquityPeriod Ended September 30, 2019
Quarterly Summary and HighlightsU.S. Equity’s portfolio posted a 0.34% return for the quarterplacing it in the 78 percentile of the Public Fund - DomesticEquity group for the quarter and in the 76 percentile for thelast year.
U.S. Equity’s portfolio underperformed the Russell 3000Index by 0.82% for the quarter and underperformed theRussell 3000 Index for the year by 2.13%.
Quarterly Asset Growth
Beginning Market Value $7,766,309,477
Net New Investment $-1,419,677
Investment Gains/(Losses) $26,824,926
Ending Market Value $7,791,714,727
Performance vs Public Fund - Domestic Equity (Gross)
0%
5%
10%
15%
20%
25%
Last Quarter Last 3/4 Year Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 Years(78)
(14)
(61)(37)
(77)
(29)
(83)
(32)
(81)
(30)
(79)(29) (56)(30)
10th Percentile 1.26 21.27 10.84 13.72 10.97 13.40 13.4525th Percentile 1.04 20.48 10.09 12.95 10.58 13.04 13.11
Median 0.77 19.63 9.33 12.41 10.14 12.70 12.8275th Percentile 0.44 18.87 8.41 11.73 9.53 12.26 12.4890th Percentile 0.15 17.85 7.39 10.97 8.83 11.57 11.96
U.S. Equity 0.34 19.44 8.22 11.22 9.34 12.14 12.79
Russell 3000 Index 1.16 20.09 10.00 12.83 10.44 13.00 13.08
Portfolio Characteristics asa Percentage of the Russell 3000 Index
0% 20% 40% 60% 80% 100% 120% 140%
Forecast Earnings Growth
12.6
12.3
12.3
Yield
1.8
1.8
1.9
Price/Book
2.7
2.8
2.9
Forecast Price/Earnings
18.1
17.0
17.6
Wght Median Market Cap
45.7
54.6
77.8
U.S. Equity Public Fund - Domestic Equity Russell 3000 Index
Public Fund - Domestic Equity (Gross)Annualized Five Year Risk vs Return
9 10 11 12 13 14 156%
7%
8%
9%
10%
11%
12%
13%
U.S. Equity
Russell 3000 Index
Standard Deviation
Re
turn
s
75Pennsylvania SERS
U.S. EquityReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Public Fund - Domestic Equity (Gross)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(61)(37)
(79)(34)
(46)(39)
(77)(54)
(67)(39)
(46)(14)
(52)(65)
10th Percentile 21.27 (4.09) 23.06 15.31 1.70 12.91 37.2525th Percentile 20.48 (4.91) 21.80 14.10 0.89 12.05 35.51
Median 19.63 (5.83) 20.51 12.86 0.19 11.32 34.3975th Percentile 18.87 (6.94) 19.08 11.63 (1.03) 10.05 33.1190th Percentile 17.85 (8.33) 18.20 9.85 (2.49) 8.41 31.95
U.S. Equity 19.44 (7.41) 20.62 11.46 (0.40) 11.42 34.27
Russell 3000 Index 20.09 (5.24) 21.13 12.74 0.48 12.56 33.55
Cumulative and Quarterly Relative Return vs Russell 3000 Index
Re
lative
Re
turn
s
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
2014 2015 2016 2017 2018 2019
U.S. Equity Pub Pln- Dom Equity
Risk Adjusted Return Measures vs Russell 3000 IndexRankings Against Public Fund - Domestic Equity (Gross)Five Years Ended September 30, 2019
(2.5)
(2.0)
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
Alpha Sharpe Excess ReturnRatio Ratio
(85)
(83)
(89)
10th Percentile 0.67 0.89 0.4625th Percentile 0.13 0.84 0.11
Median (0.39) 0.79 (0.26)75th Percentile (0.96) 0.73 (0.56)90th Percentile (2.03) 0.63 (0.95)
U.S. Equity (1.38) 0.70 (0.91)
76Pennsylvania SERS
U.S. EquityRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Public Fund - Domestic Equity (Gross)Five Years Ended September 30, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5(4 )
(3 )
(2 )
(1 )
0
1
2
3
U.S. Equity
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 3000 IndexRankings Against Public Fund - Domestic Equity (Gross)Five Years Ended September 30, 2019
85%
90%
95%
100%
105%
110%
115%
Up Market DownCapture Market Capture
(73)
(18)
10th Percentile 104.55 111.9825th Percentile 101.20 107.37
Median 99.05 102.6775th Percentile 94.10 97.7990th Percentile 90.17 92.89
U.S. Equity 94.99 108.87
Risk Statistics Rankings vs Russell 3000 IndexRankings Against Public Fund - Domestic Equity (Gross)Five Years Ended September 30, 2019
0%
2%
4%
6%
8%
10%
12%
14%
Standard Downside TrackingDeviation Risk Error
(26)
(46) (66)
10th Percentile 12.44 2.21 2.7025th Percentile 11.94 1.58 2.02
Median 11.60 1.12 1.5375th Percentile 11.33 0.69 1.0490th Percentile 10.96 0.52 0.70
U.S. Equity 11.92 1.15 1.21
0.920.940.960.981.001.021.041.061.081.10
Beta R-Squared
(23)
(30)
10th Percentile 1.08 1.0025th Percentile 1.04 0.99
Median 1.01 0.9875th Percentile 0.99 0.9790th Percentile 0.95 0.96
U.S. Equity 1.04 0.99
77Pennsylvania SERS
Current Holdings Based Style AnalysisU.S. EquityAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Pub Pln- Dom EquityHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Russell 3000 Index
U.S. EquityU.S. Equity
Russell 3000 Index
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
21.1% (106) 18.1% (103) 24.1% (91) 63.4% (300)
4.7% (171) 6.3% (224) 6.8% (209) 17.9% (604)
4.6% (332) 6.0% (486) 6.0% (385) 16.6% (1203)
0.7% (296) 0.9% (376) 0.6% (212) 2.2% (884)
31.1% (905) 31.4% (1189) 37.5% (897) 100.0% (2991)
25.8% (106) 21.4% (103) 29.4% (91) 76.6% (300)
4.5% (168) 6.2% (224) 5.8% (209) 16.4% (601)
1.8% (333) 2.4% (486) 2.1% (384) 6.3% (1203)
0.2% (295) 0.3% (390) 0.2% (217) 0.7% (902)
32.3% (902) 30.3% (1203) 37.4% (901) 100.0% (3006)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
31.1%
(905)32.3%
(902)
31.4%
(1189)
30.3%
(1203) 37.5%
(897)
37.4%
(901)
Bar #1=U.S. Equity (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Bar #2=Russell 3000 Index (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
8.29.6
11.610.1
6.4 6.8
4.2 4.2
14.4 13.5 14.1 13.5
10.9 10.1
3.2 3.5 3.1 2.94.3 4.3
19.621.6
Bar #1=U.S. Equity
Bar #2=Russell 3000 Index
Value
Core
Growth
78Pennsylvania SERS
Holdings Based Style AnalysisFor One Quarter Ended September 30, 2019
This page analyzes and compares the investment styles of multiple portfolios using a detailed holdings-based style analysismethodology. The size component of style is measured by the weighted median market capitialization of the holdings. Thevalue/core/growth style dimension is captured by the "Combined Z-Score" of the portfolio. This score is based on eightfundamental factors used in the MSCI stock style scoring system. The table below gives a more detailed breakdown ofseveral relevant style metrics on the portfolios.
Style MapHoldings for One Quarter Ended September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MCM Russell 2000 Val Index
MCM Russell 2000 Core Index
Emerald Adv Div Sm Cap Grth
Iridian Asset Mgmt MCV
MCM Russell 1000 Index
U.S. Equity
Russell 3000 Index
Weight Wtd Median Combined Growth Value Number of Security% Mkt Cap Z-Score Z-Score Z-Score Securities Diversification
MCM Russell 2000 Val Index 7.35% 1.79 (0.62) (0.17) 0.45 1384 200.72MCM Russell 2000 Core Index 4.06% 2.02 (0.05) (0.06) (0.01) 2003 336.89Emerald Adv Div Sm Cap Grth 8.47% 2.27 0.59 0.12 (0.48) 121 30.26Iridian Asset Mgmt MCV 5.81% 8.27 0.02 0.00 (0.01) 43 14.59MCM Russell 1000 Index 74.30% 93.02 (0.02) (0.00) 0.02 1001 62.75U.S. Equity 100.00% 45.68 (0.02) (0.01) 0.01 3012 123.77Russell 3000 Index - 77.81 (0.02) (0.01) 0.01 3032 74.98
79Pennsylvania SERS
U.S. EquityEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Public Fund - Domestic Equityas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(66)
(28)
(8)
(22)
(71)
(36)(40)
(52) (54)
(32)
(53)(54)
10th Percentile 116.12 17.92 3.11 13.80 1.96 0.2025th Percentile 80.85 17.50 3.09 13.17 1.90 0.10
Median 54.57 17.03 2.82 12.33 1.79 (0.00)75th Percentile 40.22 16.57 2.61 11.86 1.66 (0.07)90th Percentile 27.09 16.28 2.50 11.60 1.49 (0.10)
U.S. Equity 45.68 18.07 2.67 12.61 1.77 (0.02)
Russell 3000 Index 77.81 17.62 2.92 12.25 1.89 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30%
Information Technology
19.621.621.6
Financials
14.413.5
15.1
Health Care
14.113.5
12.8
Consumer Discretionary
11.6
50
%M
gr
MV
50
%M
gr
MV
10.410.4
Industrials
10.910.1
12.0
Communication Services
8.29.3
6.3
Consumer Staples
6.46.7
6.0
Real Estate
4.34.34.3
Energy
4.24.2
3.5
Utilities
3.23.5
2.0
Materials
3.12.93.3
Pooled Vehicles 2.6
Miscellaneous
U.S. Equity Russell 3000 Index Pub Pln- Dom Equity
Sector DiversificationManager 3.17 sectors
Index 3.14 sectors
DiversificationSeptember 30, 2019
0
500
1000
1500
2000
2500
3000
3500
Number of IssueSecurities Diversification
(9)
(1)
10th Percentile 2934 11825th Percentile 1911 104
Median 1098 8375th Percentile 637 5990th Percentile 524 48
U.S. Equity 3012 124
Russell 3000 Index 3032 75
Diversification RatioManager 4%
Index 2%
Style Median 8%
80Pennsylvania SERS
U.S. EquityActive Share Analysis as of September 30, 2019vs. Russell 3000 Index
Active Share analysis compares the holdings of a portfolio to an index to measure how aggressively it differs from the index.Active share is measured at the individual stock level ("holdings-level active share") and using sector weights ("sectorexposure active share"). Holdings-level active share comes from: 1) Index Active Share - over/under weighting of stocks inthe index, and 2) Non-Index Active Share - positions in stocks not in the index. This analysis displays active share by sectorand compares the portfolio to a relevant peer group.
Holdings-Level Active Share
Index Active Share18.96%
Non-Index Active Share0.31%
Passive Share80.73%
Sector Exposure Active Share
Active Share3.73%
Passive Share96.27%
Total Active Share: 19.27%
Index Non-Index Total Contribution toActive Share Active Share Active Share Index Manager Total PortfolioWithin Sector Within Sector Within Sector Weight Weight Active Share
Communication Services 6.87% 0.00% 6.87% 9.33% 8.23% 1.23%
Consumer Discretionary 27.93% 0.00% 27.93% 10.36% 11.57% 2.62%
Consumer Staples 15.27% 0.00% 15.27% 6.75% 6.40% 1.13%
Energy 18.00% 1.23% 19.23% 4.19% 4.22% 0.80%
Financials 21.47% 0.47% 21.94% 13.50% 14.39% 2.82%
Health Care 22.68% 0.44% 23.12% 13.50% 14.10% 2.99%
Industrials 24.43% 0.00% 24.43% 10.10% 10.89% 2.32%
Information Technology 11.96% 0.65% 12.61% 21.58% 19.59% 3.41%
Materials 21.68% 0.00% 21.68% 2.91% 3.13% 0.60%
Pooled Vehicles 0.00% 100.00% 100.00% - 0.01% 0.00%
Real Estate 18.75% 0.00% 18.75% 4.29% 4.27% 0.81%
Utilities 12.62% 0.00% 12.62% 3.49% 3.21% 0.52%
Total 18.96% 0.31% 19.27% 100.00% 100.00% 19.27%
Active Share vs. Pub Pln- Dom Equity
(20%)
0%
20%
40%
60%
80%
100%
Total Index Non-Index Passive SectorActive Share Active Share Active Share Share Active Share
(74) (73)
(100)
(27)
(68)
10th Percentile 100.00 50.32 50.00 83.22 100.0025th Percentile 48.09 43.35 2.55 81.21 8.24
Median 29.26 27.80 1.19 70.74 5.6975th Percentile 18.79 16.67 0.55 51.91 3.0690th Percentile 16.78 14.89 0.43 0.00 2.55
U.S. Equity 19.27 18.96 0.31 80.73 3.73
81Pennsylvania SERS
U.S
. Eq
uity
Ma
na
ge
rs
U.S. Equity Managers
MCM Russell 1000 IndexPeriod Ended September 30, 2019
Investment PhilosophyThe Russell 1000 Stock Index Fund attempts to replicate the performance and portfolio characteristics of the Russell 1000Index.
Quarterly Summary and HighlightsMCM Russell 1000 Index’s portfolio posted a 1.43% returnfor the quarter placing it in the 40 percentile of the CallanLarge Capitalization group for the quarter and in the 38percentile for the last year.
MCM Russell 1000 Index’s portfolio outperformed theRussell 1000 Index by 0.01% for the quarter andoutperformed the Russell 1000 Index for the year by 0.05%.
Quarterly Asset Growth
Beginning Market Value $5,708,581,047
Net New Investment $-94,753
Investment Gains/(Losses) $81,091,792
Ending Market Value $5,789,578,086
Performance vs Callan Large Capitalization (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(40)(40)
(44)(44)
(38)(39)
(47)(49)
(49)(49)
(47)(48)
(48)(48)
10th Percentile 2.73 25.45 8.46 17.02 18.53 14.28 15.8525th Percentile 1.95 22.58 5.46 14.01 15.90 12.84 14.72
Median 1.16 20.10 2.83 10.50 13.07 10.51 13.1775th Percentile (0.08) 17.33 (0.31) 6.73 10.59 8.25 11.6390th Percentile (1.03) 15.23 (1.87) 4.88 9.28 7.12 10.91
MCM Russell1000 Index 1.43 20.52 3.93 10.68 13.23 10.67 13.24
Russell 1000 Index 1.42 20.53 3.87 10.60 13.19 10.62 13.21
Portfolio Characteristics asa Percentage of the Russell 1000 Index
0% 20% 40% 60% 80% 100% 120% 140%
Forecast Earnings Growth12.2
11.512.2
Yield1.9
1.81.9
Price/Book3.03.1
3.0
Forecast Price/Earnings17.317.217.4
Wght Median Market Cap93.0
90.092.7
MCM Russell 1000 Index Callan Large Capitalization
Russell 1000 Index
Callan Large Capitalization (Gross)Annualized Five Year Risk vs Return
6 8 10 12 14 16 18 20 222%
4%
6%
8%
10%
12%
14%
16%
18%
20%
MCM Russell 1000 Index
Russell 1000 Index
Standard Deviation
Re
turn
s
83Pennsylvania SERS
MCM Russell 1000 IndexReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Large Capitalization (Gross)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(44)(44)
(48)(50)
(53)(52)
(34)(35)
(54)(54)
(42)(42)
(68)(68)
10th Percentile 25.45 3.46 32.34 16.73 8.56 15.49 38.9325th Percentile 22.58 (0.57) 27.61 14.30 5.52 14.09 37.01
Median 20.10 (4.80) 22.17 10.18 1.45 12.73 34.6175th Percentile 17.33 (7.78) 18.68 4.67 (2.01) 11.27 32.4390th Percentile 15.23 (11.33) 15.28 1.67 (4.21) 9.23 30.89
MCM Russell1000 Index 20.52 (4.63) 21.62 12.16 0.95 13.21 33.13
Russell 1000 Index 20.53 (4.78) 21.69 12.05 0.92 13.24 33.11
Cumulative and Quarterly Relative Return vs Russell 1000 Index
Re
lative
Re
turn
s
(2.5%)
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2014 2015 2016 2017 2018 2019
MCM Russell 1000 Index Callan Large Cap
Risk Adjusted Return Measures vs Russell 1000 IndexRankings Against Callan Large Capitalization (Gross)Five Years Ended September 30, 2019
(4)
(3)
(2)
(1)
0
1
2
3
4
Alpha Sharpe Excess ReturnRatio Ratio
(48)
(34)(20)
10th Percentile 3.17 1.08 0.7725th Percentile 1.67 0.94 0.45
Median (0.14) 0.79 (0.02)75th Percentile (1.75) 0.64 (0.63)90th Percentile (3.20) 0.50 (0.95)
MCM Russell 1000 Index 0.07 0.87 0.54
84Pennsylvania SERS
MCM Russell 1000 IndexRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Large Capitalization (Gross)Five Years Ended September 30, 2019
0 2 4 6 8 10 12 14(8 )
(6 )
(4 )
(2 )
0
2
4
6
8
10
MCM Russell 1000 Index
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell 1000 IndexRankings Against Callan Large Capitalization (Gross)Five Years Ended September 30, 2019
60%70%80%90%
100%110%120%130%
Up Market DownCapture Market Capture
(44) (47)
10th Percentile 123.55 123.6225th Percentile 113.35 109.72
Median 98.13 98.6175th Percentile 84.14 86.4590th Percentile 76.28 72.12
MCM Russell 1000 Index 100.28 99.70
Risk Statistics Rankings vs Russell 1000 IndexRankings Against Callan Large Capitalization (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%
Standard Downside TrackingDeviation Risk Error
(72)
(100) (100)
10th Percentile 14.19 4.54 6.8725th Percentile 13.09 3.81 5.18
Median 11.82 3.00 3.9875th Percentile 11.03 2.26 3.1790th Percentile 10.25 1.64 2.31
MCM Russell1000 Index 11.14 0.02 0.09
0.70
0.80
0.90
1.00
1.10
1.20
1.30
Beta R-Squared
(55) (1)
10th Percentile 1.16 0.9625th Percentile 1.09 0.93
Median 1.01 0.8975th Percentile 0.95 0.8390th Percentile 0.87 0.77
MCM Russell1000 Index 1.00 1.00
85Pennsylvania SERS
Current Holdings Based Style AnalysisMCM Russell 1000 IndexAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Large CapHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MCM Russell 1000 Index
Russell 1000 Index
MCM Russell 1000 Index
Russell 1000 Index
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
27.7% (106) 23.0% (103) 31.3% (90) 82.0% (299)
4.7% (161) 6.3% (205) 5.8% (188) 16.8% (554)
0.6% (65) 0.4% (50) 0.2% (28) 1.3% (143)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
33.0% (332) 29.7% (358) 37.3% (306) 100.0% (996)
27.6% (106) 22.9% (103) 31.4% (91) 81.9% (300)
4.7% (160) 6.3% (205) 5.8% (188) 16.8% (553)
0.6% (65) 0.4% (51) 0.3% (28) 1.3% (144)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
32.9% (331) 29.6% (359) 37.5% (307) 100.0% (997)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
33.0%
(332)
32.9%
(331)
29.7%
(358)
29.6%
(359)37.3%
(306)
37.5%
(307)
Bar #1=MCM Russell 1000 Index (Combined Z: -0.02 Growth Z: -0.00 Value Z: 0.02)
Bar #2=Russell 1000 Index (Combined Z: -0.02 Growth Z: -0.00 Value Z: 0.02)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
9.8 10.1 10.4 10.0
7.0 7.0
4.2 4.3
13.2 13.2 13.3 13.3
9.7 9.7
3.4 3.4 2.8 2.84.0 4.0
22.0 22.1
Bar #1=MCM Russell 1000 Index
Bar #2=Russell 1000 Index
Value
Core
Growth
86Pennsylvania SERS
MCM Russell 1000 IndexEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Large Capitalizationas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(47)(48) (49)(49)(53)(53)
(47)(47) (46)(46)(52)(52)
10th Percentile 136.40 25.48 6.57 20.21 2.81 1.2725th Percentile 117.91 22.40 5.63 17.09 2.48 0.96
Median 89.99 17.20 3.12 11.55 1.76 0.0675th Percentile 56.08 13.67 2.09 8.83 1.00 (0.78)90th Percentile 42.58 12.13 1.75 7.43 0.76 (1.10)
MCM Russell 1000 Index 93.02 17.33 3.03 12.22 1.91 (0.02)
Russell 1000 Index 92.65 17.36 3.04 12.23 1.91 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30%
Information Technology
22.022.2
24.0
Health Care
13.313.3
14.2
Financials
13.213.213.6
Consumer Discretionary
10.4
50
%M
gr
MV
50
%M
gr
MV
10.311.9
Communication Services
9.89.8
10.8
Industrials
9.79.710.0
Consumer Staples
7.07.0
6.1
Energy
4.24.3
3.9
Real Estate
4.04.0
2.1
Utilities
3.43.4
0.8
Materials
2.82.82.7
MCM Russell 1000 Index Russell 1000 Index
Callan Large Cap
Sector DiversificationManager 3.14 sectors
Index 3.13 sectors
DiversificationSeptember 30, 2019
0
200
400
600
800
1000
1200
Number of IssueSecurities Diversification
(1)
(1)
10th Percentile 140 2825th Percentile 80 21
Median 59 1675th Percentile 41 1290th Percentile 32 11
MCM Russell1000 Index 1001 63
Russell 1000 Index 1002 63
Diversification RatioManager 6%
Index 6%
Style Median 28%
87Pennsylvania SERS
Iridian Asset Mgmt MCVPeriod Ended September 30, 2019
Investment PhilosophyIridian believes the market is efficient in processing information, but does not recognize the more profound implications ofcorporate change. They believe this change creates inefficiencies which lead to investment opportunities.
Quarterly Summary and HighlightsIridian Asset Mgmt MCV’s portfolio posted a 1.14% returnfor the quarter placing it in the 39 percentile of the CallanMid Capitalization group for the quarter and in the 80percentile for the last year.
Iridian Asset Mgmt MCV’s portfolio outperformed the RussellMidCap Index by 0.66% for the quarter and underperformedthe Russell MidCap Index for the year by 5.96%.
Quarterly Asset Growth
Beginning Market Value $448,276,428
Net New Investment $-527,895
Investment Gains/(Losses) $5,141,625
Ending Market Value $452,890,157
Performance vs Callan Mid Capitalization (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
35%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(39)(49)
(49)(50)
(80)
(35)
(98)
(42)
(98)
(50)
(97)
(46)(85)
(46)
10th Percentile 2.40 29.73 9.25 15.74 17.02 12.65 14.4525th Percentile 1.61 25.39 6.12 12.13 14.18 11.40 13.68
Median 0.45 21.79 1.13 7.08 10.60 8.84 12.2175th Percentile (0.87) 17.82 (2.50) 4.48 8.61 7.45 11.2890th Percentile (3.45) 16.06 (4.49) 2.82 6.91 6.15 10.17
IridianAsset Mgmt MCV 1.14 22.05 (2.77) (2.14) 4.83 4.18 10.84
Russell MidCap Index 0.48 21.93 3.19 8.45 10.69 9.10 12.57
Portfolio Characteristics asa Percentage of the Russell MidCap Index
0% 20% 40% 60% 80% 100% 120% 140%
Forecast Earnings Growth11.3
12.011.2
Yield1.2
1.41.8
Price/Book2.62.5
2.5
Forecast Price/Earnings15.2
16.617.9
Wght Median Market Cap8.3
11.714.4
Iridian Asset Mgmt MCV Callan Mid Capitalization
Russell MidCap Index
Callan Mid Capitalization (Gross)Annualized Five Year Risk vs Return
5 10 15 20 250%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Iridian Asset Mgmt MCV
Russell MidCap Index
Standard Deviation
Re
turn
s
88Pennsylvania SERS
Iridian Asset Mgmt MCVReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Mid Capitalization (Gross)
(40%)(30%)(20%)(10%)
0%10%20%30%40%50%60%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(49)(50)
(100)
(41)
(37)(55)
(74)(42)
(75)(67)
(10)(23)
(10)(63)
10th Percentile 29.73 (1.85) 29.31 21.83 2.97 14.76 43.7625th Percentile 25.39 (5.41) 25.93 17.03 1.80 13.03 39.39
Median 21.79 (10.60) 19.58 12.23 (0.80) 9.88 35.8475th Percentile 17.82 (13.05) 15.59 4.35 (3.18) 6.72 33.7090th Percentile 16.06 (15.75) 12.48 2.13 (7.07) 3.72 31.60
IridianAsset Mgmt MCV 22.05 (23.48) 23.95 4.75 (3.22) 14.77 43.76
Russell MidCap Index 21.93 (9.06) 18.52 13.80 (2.44) 13.22 34.76
Cumulative and Quarterly Relative Return vs Russell MidCap Index
Re
lative
Re
turn
s
(25%)
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
2014 2015 2016 2017 2018 2019
Iridian Asset Mgmt MCV Callan Mid Capitalization
Risk Adjusted Return Measures vs Russell MidCap IndexRankings Against Callan Mid Capitalization (Gross)Five Years Ended September 30, 2019
(8)
(6)
(4)
(2)
0
2
4
6
Alpha Sharpe Excess ReturnRatio Ratio
(98)
(98)(92)
10th Percentile 3.15 0.91 0.7925th Percentile 1.77 0.76 0.48
Median (0.20) 0.60 (0.06)75th Percentile (1.68) 0.50 (0.39)90th Percentile (2.69) 0.39 (0.67)
Iridian Asset Mgmt MCV (5.55) 0.21 (0.76)
89Pennsylvania SERS
Iridian Asset Mgmt MCVRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Mid Capitalization (Gross)Five Years Ended September 30, 2019
0 2 4 6 8 10 12 14 16(10 )
(8 )
(6 )
(4 )
(2 )
0
2
4
6
8
10
Iridian Asset Mgmt MCV
Tracking Error
Exce
ss R
etu
rn
Market Capture vs Russell Mid-Cap IndexRankings Against Callan Mid Capitalization (Gross)Five Years Ended September 30, 2019
60%70%80%90%
100%110%120%130%140%
Up Market DownCapture Market Capture
(98)
(7)
10th Percentile 125.76 119.6025th Percentile 113.52 112.10
Median 98.89 99.6375th Percentile 91.24 87.8890th Percentile 81.86 77.36
Iridian Asset Mgmt MCV 70.24 120.98
Risk Statistics Rankings vs Russell Mid-Cap IndexRankings Against Callan Mid Capitalization (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(15)
(4) (15)
10th Percentile 16.16 4.88 6.9225th Percentile 14.41 3.79 5.62
Median 12.92 3.00 4.3775th Percentile 12.26 2.24 3.4990th Percentile 11.55 1.85 3.03
IridianAsset Mgmt MCV 15.44 5.76 6.44
0.70
0.80
0.90
1.00
1.10
1.20
1.30
Beta R-Squared
(15)
(82)
10th Percentile 1.22 0.9525th Percentile 1.12 0.93
Median 1.02 0.9075th Percentile 0.95 0.8690th Percentile 0.90 0.82
IridianAsset Mgmt MCV 1.17 0.84
90Pennsylvania SERS
Current Holdings Based Style AnalysisIridian Asset Mgmt MCVAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Mid CapitalizationHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Iridian Asset Mgmt MCV
Russell MidCap Index Iridian Asset Mgmt MCV
Russell MidCap Index
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
7.6% (2) 17.9% (6) 12.8% (6) 38.4% (14)
14.4% (6) 15.8% (6) 14.5% (7) 44.7% (19)
3.0% (3) 7.3% (3) 6.5% (4) 16.9% (10)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
25.1% (11) 41.0% (15) 33.9% (17) 100.0% (43)
10.9% (34) 12.2% (39) 11.1% (32) 34.2% (105)
17.0% (160) 22.9% (204) 21.2% (187) 61.0% (551)
2.2% (65) 1.6% (50) 0.9% (28) 4.7% (143)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
30.2% (259) 36.6% (293) 33.2% (247) 100.0% (799)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
25.1%
(11) 30.2%
(259)41.0%
(15)
36.6%
(293)
33.9%
(17)
33.2%
(247)
Bar #1=Iridian Asset Mgmt MCV (Combined Z: 0.02 Growth Z: 0.00 Value Z: -0.01)
Bar #2=Russell MidCap Index (Combined Z: -0.15 Growth Z: -0.08 Value Z: 0.07)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT TECH PUBUTL REALES
2.44.1
20.9
11.59.3
4.16.2
3.9
11.013.2
16.8
9.8
13.4 13.7
7.7
5.2
12.3
17.0
0.0
7.2
0.0
10.2
Bar #1=Iridian Asset Mgmt MCV
Bar #2=Russell MidCap Index
Value
Core
Growth
91Pennsylvania SERS
Iridian Asset Mgmt MCVEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Mid Capitalizationas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(85)
(29)
(61)
(45)(50)(52)
(56)(57) (58)
(35)
(49)(55)
10th Percentile 17.30 27.47 5.09 18.01 2.22 0.9625th Percentile 14.74 23.58 4.36 15.39 1.95 0.75
Median 11.74 16.59 2.54 12.00 1.41 (0.01)75th Percentile 9.82 14.43 2.06 9.28 0.65 (0.44)90th Percentile 7.20 13.06 1.75 7.32 0.50 (0.63)
Iridian Asset Mgmt MCV 8.27 15.19 2.55 11.33 1.16 0.02
Russell Mid-Cap Index 14.39 17.88 2.46 11.19 1.77 (0.15)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25%
Consumer Discretionary
20.911.5
14.3
Health Care
16.89.8
12.5
Industrials
13.4
50
%M
gr
MV
50
%M
gr
MV
13.716.6
Information Technology
12.317.2
20.0
Financials
11.013.2
14.5
Consumer Staples
9.34.1
2.9
Materials
7.75.25.1
Energy
6.23.8
2.7
Communication Services
2.44.1
3.0
Utilities 7.22.5
Real Estate 10.16.0
Iridian Asset Mgmt MCV Russell Mid-Cap Index
Callan Mid Capitalization
Sector DiversificationManager 2.92 sectors
Index 3.51 sectors
DiversificationSeptember 30, 2019
0
20
40
60
80
100
120
140
160
180
200
Number of IssueSecurities Diversification
(84)
(86)
10th Percentile 178 4225th Percentile 101 32
Median 72 2575th Percentile 53 1790th Percentile 40 14
IridianAsset Mgmt MCV 43 15
Russell Mid-Cap Index 804 180
Diversification RatioManager 34%
Index 22%
Style Median 33%
92Pennsylvania SERS
MCM Russell 2000 Core IndexPeriod Ended September 30, 2019
Quarterly Summary and HighlightsMCM Russell 2000 Core Index’s portfolio posted a (2.38)%return for the quarter placing it in the 60 percentile of theCallan Small Capitalization group for the quarter and in the62 percentile for the last year.
MCM Russell 2000 Core Index’s portfolio outperformed theRussell 2000 Index by 0.02% for the quarter andoutperformed the Russell 2000 Index for the year by 0.04%.
Quarterly Asset Growth
Beginning Market Value $324,356,479
Net New Investment $21,764
Investment Gains/(Losses) $-7,735,278
Ending Market Value $316,642,965
Performance vs Callan Small Capitalization (Gross)
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
Last Quarter Last 3/4 Year Last Year Last 2 Years Last 2-3/4 Years
(60)(60)
(64)(64)
(62)(63)
(59)(59)
(57)(57)
10th Percentile 1.10 22.55 (0.24) 12.55 16.0825th Percentile (0.29) 19.70 (3.74) 8.47 11.09
Median (1.84) 16.22 (7.07) 3.67 6.7775th Percentile (3.72) 12.65 (10.61) 0.19 2.7890th Percentile (5.63) 10.28 (13.09) (1.71) 1.21
MCM Russell2000 Core Index (2.38) 14.16 (8.85) 2.44 5.69
Russell 2000 Index (2.40) 14.18 (8.89) 2.47 5.70
Portfolio Characteristics asa Percentage of the Russell 2000 Index
0% 50% 100% 150%
Forecast Earnings Growth
12.613.2
12.6
Yield
1.51.3
1.5
Price/Book
1.92.0
1.9
Forecast Price/Earnings
22.416.9
22.4
Wght Median Market Cap
2.02.5
2.0
MCM Russell 2000 Core Index Callan Small Capitalization
Russell 2000 Index
Cumulative Returns vs Russell 2000 Index
Cum
ula
tive
Re
lative
Re
turn
s
(1%)
0%
1%
2%
3%
4%
5%
6%
7%
2017 2018 2019
MCM Russell 2000 Core Index
Callan Small Cap
93Pennsylvania SERS
Current Holdings Based Style AnalysisMCM Russell 2000 Core IndexAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Small CapHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MCM Russell 2000 Core Index
Russell 2000 Index
MCM Russell 2000 Core Index
Russell 2000 Index
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.7% (8) 4.3% (19) 5.0% (21) 11.0% (48)
19.1% (267) 31.0% (434) 28.1% (356) 78.2% (1057)
3.8% (296) 4.2% (375) 2.7% (211) 10.8% (882)
24.7% (571) 39.5% (828) 35.8% (588) 100.0% (1987)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
1.7% (8) 4.2% (19) 5.0% (21) 11.0% (48)
19.1% (268) 31.0% (435) 28.0% (356) 78.1% (1059)
3.8% (295) 4.3% (390) 2.8% (217) 10.9% (902)
24.6% (571) 39.5% (844) 35.8% (594) 100.0% (2009)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
24.7%
(571)
24.6%
(571)
39.5%
(828)
39.5%
(844)
35.8%
(588)
35.8%
(594)
Bar #1=MCM Russell 2000 Core Index (Combined Z: -0.05 Growth Z: -0.06 Value Z: -0.01)
Bar #2=Russell 2000 Index (Combined Z: -0.05 Growth Z: -0.06 Value Z: -0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
0.0 0.0
2.3 2.3
11.1 11.1
3.0 3.0 3.3 3.3
18.1 18.1
16.1 16.2 16.3 16.2
4.2 4.2 3.9 3.9
8.2 8.2
13.5 13.5
Bar #1=MCM Russell 2000 Core Index
Bar #2=Russell 2000 Index
Value
Core
Growth
94Pennsylvania SERS
MCM Russell 2000 Core IndexEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Small Capitalizationas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(74)(74)
(30)(30)
(55)(55) (55)(55)
(37)(36)
(52)(52)
10th Percentile 3.43 36.55 4.20 21.42 2.07 0.8025th Percentile 3.06 24.77 3.28 17.51 1.73 0.53
Median 2.52 16.91 1.99 13.15 1.32 (0.02)75th Percentile 1.99 14.34 1.61 10.67 0.64 (0.34)90th Percentile 1.60 12.54 1.38 8.63 0.31 (0.53)
MCM Russell2000 Core Index 2.02 22.35 1.89 12.63 1.51 (0.05)
Russell 2000 Index 2.02 22.44 1.89 12.61 1.52 (0.05)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25%
Financials
18.218.218.0
Industrials
16.216.2
18.2
Health Care
16.1
50
%M
gr
MV
50
%M
gr
MV
16.214.7
Information Technology
13.413.4
16.6
Consumer Discretionary
11.111.1
12.4
Real Estate
8.28.2
6.3
Utilities
4.14.1
1.8
Materials
3.83.83.8
Energy
3.33.3
2.6
Consumer Staples
3.03.03.2
Communication Services
2.42.42.3
Pooled Vehicles
0.2
Miscellaneous
MCM Russell 2000 Core Index Russell 2000 Index
Callan Small Cap
Sector DiversificationManager 2.97 sectors
Index 2.96 sectors
DiversificationSeptember 30, 2019
0
500
1000
1500
2000
2500
Number of IssueSecurities Diversification
(1)
(1)
10th Percentile 306 6825th Percentile 150 46
Median 98 3175th Percentile 73 2390th Percentile 52 17
MCM Russell2000 Core Index 2003 337
Russell 2000 Index 2030 339
Diversification RatioManager 17%
Index 17%
Style Median 31%
95Pennsylvania SERS
MCM Russell 2000 Val IndexPeriod Ended September 30, 2019
Quarterly Summary and HighlightsMCM Russell 2000 Val Index’s portfolio posted a (0.56)%return for the quarter placing it in the 55 percentile of theCallan Small Cap Value group for the quarter and in the 56percentile for the last year.
MCM Russell 2000 Val Index’s portfolio outperformed theRussell 2000 Value Index by 0.02% for the quarter andoutperformed the Russell 2000 Value Index for the year by0.05%.
Quarterly Asset Growth
Beginning Market Value $576,156,873
Net New Investment $-17,822
Investment Gains/(Losses) $-3,159,604
Ending Market Value $572,979,447
Performance vs Callan Small Cap Value (Gross)
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
Last Quarter Last 3/4 Year Last Year Last 2 Years Last 2-3/4 Years
(55)(55)
(68)(67)
(56)(56)
(52)(52)
(60)(59)
10th Percentile 1.98 19.73 (0.51) 4.81 6.5925th Percentile 1.00 17.71 (4.74) 3.22 4.58
Median (0.29) 15.27 (7.79) 0.24 2.4675th Percentile (1.49) 12.44 (10.44) (1.44) 1.2190th Percentile (2.66) 10.15 (12.63) (3.00) (0.52)
MCM Russell2000 Val Index (0.56) 12.80 (8.20) 0.11 2.12
Russell 2000Value Index (0.57) 12.82 (8.24) 0.16 2.14
Portfolio Characteristics asa Percentage of the Russell 2000 Value Index
0% 20% 40% 60% 80% 100% 120% 140%
Forecast Earnings Growth
10.310.110.2
Yield
2.21.9
2.2
Price/Book
1.31.5
1.3
Forecast Price/Earnings
15.613.4
15.5
Wght Median Market Cap
1.82.1
1.8
MCM Russell 2000 Val Index Callan Small Cap Value
Russell 2000 Value Index
Cumulative Returns vsRussell 2000 Value Index
Cum
ula
tive
Re
lative
Re
turn
s
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
2017 2018 2019
MCM Russell 2000 Val Index
Callan Small Cap Value
96Pennsylvania SERS
Current Holdings Based Style AnalysisMCM Russell 2000 Val IndexAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Small Cap ValueHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MCM Russell 2000 Val Index
Russell 2000 Value Index
MCM Russell 2000 Val Index
Russell 2000 Value Index
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
3.3% (8) 3.7% (9) 1.1% (4) 8.1% (21)
34.7% (256) 36.3% (345) 6.4% (92) 77.5% (693)
6.9% (285) 5.8% (272) 1.7% (101) 14.4% (658)
44.9% (549) 45.8% (626) 9.3% (197) 100.0% (1372)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
3.4% (8) 3.7% (9) 1.1% (4) 8.2% (21)
34.6% (253) 36.5% (346) 6.4% (91) 77.5% (690)
6.8% (282) 5.8% (281) 1.8% (104) 14.4% (667)
44.8% (543) 45.9% (636) 9.2% (199) 100.0% (1378)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
80%
Value Core Growth
44.9%
(549)
44.8%
(543)
45.8%
(626)
45.9%
(636)
9.3%
(197)
9.2%
(199)
Bar #1=MCM Russell 2000 Val Index (Combined Z: -0.62 Growth Z: -0.17 Value Z: 0.45)
Bar #2=Russell 2000 Value Index (Combined Z: -0.62 Growth Z: -0.17 Value Z: 0.45)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
0.0 0.02.2 2.2
9.9 9.9
2.6 2.6
6.0 6.0
30.5 30.5
4.9 5.0
12.7 12.7
6.5 6.54.5 4.5
11.6 11.48.6 8.6
Bar #1=MCM Russell 2000 Val Index
Bar #2=Russell 2000 Value Index
Value
Core
Growth
97Pennsylvania SERS
MCM Russell 2000 Val IndexEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Small Cap Valueas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(69)(69)
(16)(16)
(83)(83)
(49)(49)
(14)(14)
(76)(76)
10th Percentile 2.93 16.05 1.71 13.29 2.57 (0.27)25th Percentile 2.58 14.72 1.60 11.83 2.14 (0.36)
Median 2.09 13.42 1.47 10.08 1.91 (0.50)75th Percentile 1.74 12.51 1.34 8.15 1.68 (0.59)90th Percentile 1.48 11.75 1.18 6.73 1.44 (0.74)
MCM Russell2000 Val Index 1.79 15.56 1.27 10.31 2.25 (0.62)
Russell 2000 Value Index 1.79 15.55 1.27 10.16 2.24 (0.62)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Financials
30.530.5
28.2
Industrials
12.612.7
17.1
Real Estate
11.5
50
%M
gr
MV
50
%M
gr
MV
11.39.8
Consumer Discretionary
9.89.9
10.7
Information Technology
8.68.6
11.5
Utilities
6.56.5
4.0
Energy
5.96.0
4.6
Health Care
4.95.04.6
Materials
4.54.54.9
Consumer Staples
2.62.62.8
Communication Services
2.42.4
1.9
Miscellaneous
MCM Russell 2000 Val Index Russell 2000 Value Index
Callan Small Cap Value
Sector DiversificationManager 2.59 sectors
Index 2.60 sectors
DiversificationSeptember 30, 2019
0
200
400
600
800
1000
1200
1400
1600
Number of IssueSecurities Diversification
(2)
(1)
10th Percentile 305 7025th Percentile 175 48
Median 100 3575th Percentile 64 2290th Percentile 51 15
MCM Russell2000 Val Index 1384 201
Russell 2000Value Index 1392 200
Diversification RatioManager 15%
Index 14%
Style Median 31%
98Pennsylvania SERS
Emerald Adv Div Sm Cap GrthPeriod Ended September 30, 2019
Investment PhilosophyEmerald is dedicated to fundamental, bottom-up research designed to identify unrecognized, under-researched andundervalued growth companies.
Quarterly Summary and HighlightsEmerald Adv Div Sm Cap Grth’s portfolio posted a (6.86)%return for the quarter placing it in the 75 percentile of theCallan Small Cap Growth group for the quarter and in the 65percentile for the last year.
Emerald Adv Div Sm Cap Grth’s portfolio underperformedthe Russell 2000 Growth Index by 2.68% for the quarter andoutperformed the Russell 2000 Growth Index for the year by0.88%.
Quarterly Asset Growth
Beginning Market Value $708,917,723
Net New Investment $-800,664
Investment Gains/(Losses) $-48,514,981
Ending Market Value $659,602,079
Performance vs Callan Small Cap Growth (Gross)
(20%)
(10%)
0%
10%
20%
30%
40%
Last Quarter Last 3/4 Year Last Year Last 2 Years Last 2-3/4 Years
(75)(42)
(58)(68)
(65)(76)
(77)(86)
(74)(84)
10th Percentile (2.06) 25.78 0.42 16.63 20.4725th Percentile (3.26) 22.54 (3.31) 12.95 17.90
Median (4.51) 19.49 (6.39) 10.49 13.9875th Percentile (6.83) 14.40 (9.58) 6.22 10.5390th Percentile (8.31) 10.75 (12.84) 2.99 7.59
Emerald AdvDiv Sm Cap Grth (6.86) 17.24 (8.75) 6.02 10.78
Russell 2000Growth Index (4.17) 15.34 (9.63) 4.60 9.33
Portfolio Characteristics asa Percentage of the Russell 2000 Growth Index
0% 50% 100% 150% 200%
Forecast Earnings Growth
21.019.9
15.3
Yield
0.60.4
0.8
Price/Book
3.23.73.8
Forecast Price/Earnings
40.631.2
39.9
Wght Median Market Cap
2.33.1
2.3
Emerald Adv Div Sm Cap Grth Callan Small Cap Growth
Russell 2000 Growth Index
Cumulative Returns vsRussell 2000 Growth Index
Cum
ula
tive
Re
lative
Re
turn
s
(5%)
0%
5%
10%
15%
20%
2017 2018 2019
Emerald Adv Div Sm Cap Grth
Callan Small Cap Growth
99Pennsylvania SERS
Current Holdings Based Style AnalysisEmerald Adv Div Sm Cap GrthAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.
Style Map vs Callan Small Cap GrowthHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Emerald Adv Div Sm Cap Grth
Russell 2000 Growth Index
Emerald Adv Div Sm Cap Grth
Russell 2000 Growth Index
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.8% (1) 3.6% (3) 17.3% (11) 21.7% (15)
8.3% (11) 16.4% (27) 45.5% (47) 70.2% (85)
0.3% (2) 3.3% (6) 4.4% (12) 8.0% (20)
9.4% (14) 23.3% (36) 67.3% (70) 100.0% (120)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.1% (2) 4.8% (15) 9.0% (19) 14.0% (36)
3.5% (50) 25.4% (272) 49.9% (338) 78.8% (660)
0.7% (65) 2.7% (201) 3.8% (175) 7.2% (441)
4.4% (117) 33.0% (488) 62.7% (532) 100.0% (1137)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
20%
40%
60%
80%
100%
120%
Value Core Growth
9.4%
(14)
4.4%
(117)23.3%
(36) 33.0%
(488)
67.3%
(70)
62.7%
(532)
Bar #1=Emerald Adv Div Sm Cap Grth (Combined Z: 0.59 Growth Z: 0.12 Value Z: -0.48)
Bar #2=Russell 2000 Growth Index (Combined Z: 0.53 Growth Z: 0.06 Value Z: -0.47)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
40%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH PUBUTL
3.3 2.5
20.7
12.4
4.0 3.51.6 0.6
10.8
5.8
26.1 27.3
15.7
19.6
1.13.2
1.3
4.8
15.518.4
0.01.8
Bar #1=Emerald Adv Div Sm Cap Grth
Bar #2=Russell 2000 Growth Index
Value
Core
Growth
100Pennsylvania SERS
Emerald Adv Div Sm Cap GrthEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Small Cap Growthas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(88)(87)
(24)(27)
(79)
(43)(39)
(89)
(30)
(4)
(68)
(80)
10th Percentile 3.75 53.11 4.84 24.82 0.70 1.0125th Percentile 3.45 40.44 4.40 22.04 0.60 0.83
Median 3.05 31.23 3.68 19.86 0.40 0.6975th Percentile 2.45 23.95 3.31 17.46 0.26 0.5490th Percentile 2.10 20.63 2.76 14.84 0.16 0.46
Emerald AdvDiv Sm Cap Grth 2.27 40.64 3.24 20.99 0.56 0.59
Russell 2000 Growth Index 2.27 39.85 3.76 15.33 0.79 0.53
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Health Care
26.627.3
25.5
Consumer Discretionary
20.512.3
13.6
Industrials
15.6
50
%M
gr
MV
50
%M
gr
MV
19.719.1
Information Technology
15.418.3
26.6
Financials
10.76.06.4
Consumer Staples
4.03.5
3.1
Communication Services
3.32.42.3
Energy
1.60.61.1
Real Estate
1.34.9
0.9
Materials
1.13.2
1.5
Utilities 1.8
Emerald Adv Div Sm Cap Grth Russell 2000 Growth Index
Callan Small Cap Growth
Sector DiversificationManager 2.19 sectors
Index 2.17 sectors
DiversificationSeptember 30, 2019
0
20
40
60
80
100
120
140
Number of IssueSecurities Diversification
(9)
(35)
10th Percentile 119 4125th Percentile 105 33
Median 92 2775th Percentile 72 2190th Percentile 50 15
Emerald AdvDiv Sm Cap Grth 121 30
Russell 2000Growth Index 1147 166
Diversification RatioManager 25%
Index 14%
Style Median 32%
101Pennsylvania SERS
Inte
rna
tion
al E
qu
ity
International Equity
International EquityActive Management Overview
International markets lagged the U.S. on the back of broad-based strength in the U.S.dollar. The MSCI ACWI ex USA Indexfell 1.8%, with emerging markets (MSCI EM: -4.2%) underperforming developed (MSCI EAFE: -1.1%). The U.K. sank 2.5%due solely to performance of its currency, which lost just over 3% versus the U.S. dollar on Brexit-related woes. Japan(+3.1%) was one of the few countries to post a positive return, and the yen was also essentially flat vs the U.S. dollar. Brazil,India, and China were off roughly 5%, and Russia posted a more modest 1.4% loss. Political uncertainty in Argentina causedits market to lose half its value in August (-47%); that said, Argentina just entered the EM Index in May 2019 and accountsfor a very small slice (less than 1%). Value underperformed growth in both developed and emerging markets and remains farbehind on a YTD basis. From a sector standpoint, Technology (MSCI ACWI ex USA Technology: +2.2%) was up the mostwhile Materials (-6.5%) and Energy (-4.6%) performed the worst.
Separate Account Style Group Median Returnsfor Quarter Ended September 30, 2019
(4.0%)
(3.5%)
(3.0%)
(2.5%)
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
(1.55 )
Small Cap
(1.24 )
Core Int’l
(1.76 )
Core Plus
(3.37 )
EmergingMarkets
(0.21 )
Global Equity
Re
turn
s
MSCI AC World Index 0.10%
MSCI ACW ex US Free: (1.80%)
MSCI EAFE: (1.07%)
MSCI Europe: (1.80%)
MSCI Pacific: 0.23%
MSCI Emerging Markets: (4.25%)
Separate Account Style Group Median Returnsfor One Year Ended September 30, 2019
(10%)
(5%)
0%
5%
(6.84 )
Small Cap
(2.80 )
Core Int’l
(1.63 )
Core Plus
1.85
EmergingMarkets
1.79
Global Equity
Re
turn
s
MSCI AC World Index 1.95%
MSCI ACW ex US Free: (1.23%)
MSCI EAFE: (1.34%)
MSCI Europe: (0.75%)
MSCI Pacific: (2.17%)
MSCI Emerging Markets: (2.01%)
103Pennsylvania SERS
No
n-U
.S. D
eve
lop
ed
Non-U.S. Developed
Ma
rke
ts E
qu
ity
Markets Equity
Non-U.S. Developed Markets EquityPeriod Ended September 30, 2019
Quarterly Summary and HighlightsNon-U.S. Developed Markets Equity’s portfolio posted a(0.92)% return for the quarter placing it in the 3 percentile ofthe Public Fund - International Equity group for the quarterand in the 37 percentile for the last year.
Non-U.S. Developed Markets Equity’s portfolio outperformedthe MSCI ACWI ex US IMI by 0.79% for the quarter andoutperformed the MSCI ACWI ex US IMI for the year by0.95%.
Quarterly Asset Growth
Beginning Market Value $5,568,316,603
Net New Investment $-1,511,206
Investment Gains/(Losses) $-51,525,130
Ending Market Value $5,515,280,266
Performance vs Public Fund - International Equity (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(3)(48)
(8)
(62)
(37)(61)
(45)(61)
(12)
(73)
(35)(80)
(18)
(80)(14)
(77)
10th Percentile (1.32) 14.01 0.49 1.87 7.97 4.99 7.25 6.4425th Percentile (1.56) 13.34 (0.46) 1.09 7.16 4.47 6.67 6.09
Median (1.74) 11.96 (1.27) 0.49 6.65 3.71 6.01 5.5475th Percentile (2.02) 10.83 (2.25) (0.59) 6.06 3.22 5.33 4.8590th Percentile (2.46) 9.60 (3.77) (1.75) 5.15 2.37 4.35 4.09
Non-U.S. DevelopedMarkets Equity (0.92) 14.21 (0.89) 0.64 7.76 4.22 6.90 6.32
MSCI ACWIex US IMI (1.72) 11.39 (1.84) (0.04) 6.10 3.05 5.17 4.66
Portfolio Characteristics asa Percentage of the MSCI ACWI ex US IMI
0% 20% 40% 60% 80% 100% 120% 140%
Forecast Earnings Growth8.7
11.010.1
Yield3.1
2.83.1
Price/Book1.6
1.71.6
Forecast Price/Earnings13.4
14.413.4
Wght Median Market Cap27.0
24.925.0
Non-U.S. Developed Markets Equity
Public Fund - International Equity MSCI ACWI ex US IMI
Public Fund - International Equity (Gross)Annualized Five Year Risk vs Return
6 8 10 12 14 160%
1%
2%
3%
4%
5%
6%
7%
8%
9%
Non-U.S. Developed Markets Equity
MSCI ACWI ex US IMI
Standard Deviation
Re
turn
s
105Pennsylvania SERS
Non-U.S. Developed Markets EquityReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Public Fund - International Equity (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(8)(62)
(62)(62)
(46)(69)
(77)(43)(25)(61) (80)(67)
(8)(65)
10th Percentile 14.01 (10.40) 34.17 7.81 (0.26) 0.08 23.3425th Percentile 13.34 (13.05) 31.15 5.65 (1.61) (1.75) 20.55
Median 11.96 (14.09) 29.11 4.10 (3.83) (3.17) 17.9175th Percentile 10.83 (15.57) 27.49 2.58 (6.46) (4.32) 14.5090th Percentile 9.60 (17.19) 25.71 0.41 (10.70) (5.48) 8.51
Non-U.S. DevelopedMarkets Equity 14.21 (14.75) 29.42 2.31 (1.61) (4.50) 23.93
MSCI ACWI ex US IMI 11.39 (14.76) 27.81 4.41 (4.60) (3.89) 15.82
Cumulative and Quarterly Relative Return vs MSCI ACWI ex US IMI
Re
lative
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
6%
7%
2014 2015 2016 2017 2018 2019
Non-U.S. Developed Markets Equity Pub Pln- Intl Equity
Risk Adjusted Return Measures vs MSCI ACWI ex US IMIRankings Against Public Fund - International Equity (Gross)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
Alpha Sharpe Excess ReturnRatio Ratio
(34)
(33)(47)
10th Percentile 1.90 0.33 1.0025th Percentile 1.34 0.29 0.67
Median 0.71 0.23 0.4175th Percentile 0.16 0.19 0.1290th Percentile (0.67) 0.11 (0.22)
Non-U.S. DevelopedMarkets Equity 1.17 0.27 0.43
106Pennsylvania SERS
Non-U.S. Developed Markets EquityRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Public Fund - International Equity (Gross)Five Years Ended September 30, 2019
0 1 2 3 4 5 6 7 8(4 )
(3 )
(2 )
(1 )
0
1
2
3
4
5
Non-U.S. Developed Markets Equity
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI ACWI ex US IMI Index (USD Net Div)Rankings Against Public Fund - International Equity (Gross)Five Years Ended September 30, 2019
80%85%90%95%
100%105%110%115%120%125%
Up Market DownCapture Market Capture
(23)
(47)
10th Percentile 119.65 107.1125th Percentile 110.58 101.32
Median 105.58 97.2575th Percentile 99.45 93.7390th Percentile 95.79 86.97
Non-U.S. DevelopedMarkets Equity 111.42 97.53
Risk Statistics Rankings vs MSCI ACWI ex US IMI Index (USD Net Div)Rankings Against Public Fund - International Equity (Gross)Five Years Ended September 30, 2019
0%
5%
10%
15%
Standard Downside TrackingDeviation Risk Error
(44)
(46)(29)
10th Percentile 13.18 2.33 3.9925th Percentile 12.59 1.79 2.89
Median 11.94 1.26 2.2075th Percentile 11.61 0.82 1.6290th Percentile 11.26 0.43 1.01
Non-U.S. DevelopedMarkets Equity 12.08 1.36 2.70
0.85
0.90
0.95
1.00
1.05
1.10
1.15
Beta R-Squared
(53)
(76)
10th Percentile 1.10 0.9925th Percentile 1.06 0.98
Median 1.01 0.9775th Percentile 0.98 0.9590th Percentile 0.94 0.90
Non-U.S. DevelopedMarkets Equity 1.01 0.95
107Pennsylvania SERS
Non-U.S. Developed Markets Equity vs MSCI ACWI ex US IMIAttribution for Quarter Ended September 30, 2019
International AttributionThe first chart below illustrates the return for each country in the index sorted from high to low. The total return for the indexis highlighted with a dotted line. The second chart (countries presented in the same order) illustrates the manager’s countryallocation decisions relative to the index. To the extent that the manager over-weighted a country that had a higher returnthan the total return for the index (above the dotted line) it contributes positively to the manager’s country (or currency)selection effect. The last chart details the manager return, the index return, and the attribution factors for the quarter.
IndexReturns by Country
Dollar
Return
Local
Return
Currency
Return
(60%) (40%) (20%) 0% 20% 40%
Turkey 8.5 2.4Taiwan 5.6 0.1
Egypt 2.3 2.6Belgium 8.3 (4.3)
Japan 3.6 (0.3)Netherlands 6.0 (3.9)
United States 1.2 0.0Canada 2.1 (1.3)
United Arab Emirates 0.6 (0.0)Israel (1.4) 1.8
Switzerland 2.4 (2.2)Italy 4.3 (4.3)
Qatar (0.4) 0.0Russia 1.5 (2.4)
Pakistan (3.2) 2.2Australia 2.8 (3.9)
Ireland 3.0 (4.3)Mexico 1.2 (2.7)France 2.7 (4.3)
Total 0.8 (2.5)Denmark 2.6 (4.3)
Luxembourg 1.4 (3.5)United Kingdom 0.9 (3.2)
New Zealand 4.6 (6.6)Finland 1.9 (4.3)Greece 1.8 (4.3)Austria 1.3 (4.3)
Portugal 1.3 (4.3)Brazil 4.5 (8.0)Spain 0.2 (4.3)
Germany 0.2 (4.3)Hungary 3.9 (7.8)Norway 1.7 (6.2)Sweden 1.1 (5.6)
China (4.4) (0.4)Philippines (3.9) (1.1)Singapore (3.0) (2.1)
South Korea (1.8) (3.5)Indonesia (4.8) (0.5)Malaysia (4.4) (1.3)
Colombia 2.2 (7.8)India (3.5) (2.6)
Thailand (6.4) 0.3Chile (0.9) (6.8)
Saudi Arabia (7.8) (0.0)Czech Republic (3.4) (5.6)
Peru (9.3) 0.0South Africa (4.8) (7.0)Hong Kong (11.3) (0.3)
Poland (5.8) (7.0)Argentina (45.1) 0.0
Beginning Relative Weights(Portfolio - Index)
Index
Weight
Portfolio
Weight
(10%) (5%) 0% 5% 10%
Turkey 0.1 0.0Taiwan 3.0 0.1
Egypt 0.0 0.0Belgium 0.8 1.0
Japan 16.6 20.1Netherlands 2.4 3.3
United States 0.0 0.7Canada 6.8 8.1
United Arab Emirates 0.2 0.0Israel 0.5 0.5
Switzerland 5.8 8.1Italy 1.7 2.6
Qatar 0.3 0.0Russia 1.0 0.0
Pakistan 0.0 0.0Australia 4.9 6.4
Ireland 0.4 0.4Mexico 0.7 0.2France 6.9 9.5
TotalDenmark 1.2 1.6
Luxembourg 0.0 0.2United Kingdom 11.4 15.5
New Zealand 0.2 0.4Finland 0.7 1.6Greece 0.1 0.1Austria 0.2 0.5
Portugal 0.1 0.2Brazil 2.0 0.1Spain 1.9 2.6
Germany 5.7 7.2Hungary 0.1 0.0Norway 0.6 0.8Sweden 2.1 2.4
China 7.5 0.1Philippines 0.3 0.0Singapore 1.0 1.1
South Korea 3.3 0.8Indonesia 0.6 0.2Malaysia 0.6 0.0
Colombia 0.1 0.0India 2.5 0.1
Thailand 0.8 0.0Chile 0.3 0.0
Saudi Arabia 0.4 0.0Czech Republic 0.0 0.0
Peru 0.1 0.0South Africa 1.5 0.0Hong Kong 2.5 3.2
Poland 0.3 0.0Argentina 0.1 0.0
Attribution Factors for Quarter Ended September 30, 2019
(2.5%)
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
PortfolioReturn
(0.92 )
IndexReturn
(1.72 )
CountrySelection
0.87
CurrencySelection
(0.15 )
SecuritySelection
0.07
Perc
en
t R
etu
rn
108Pennsylvania SERS
Current Holdings Based Style AnalysisNon-U.S. Developed Markets EquityAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Pub Pln- Intl EquityHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MSCI ACWI ex US IMI
Non-U.S. Developed Markets Equity
Style Exposure MatrixHoldings as of September 30, 2019
17.0% (203) 15.5% (190) 23.2% (216) 55.7% (609)
3.0% (38) 3.2% (37) 2.4% (33) 8.7% (108)
10.5% (214) 11.1% (221) 12.0% (203) 33.5% (638)
0.6% (22) 0.8% (51) 0.7% (69) 2.1% (142)
31.1% (477) 30.6% (499) 38.3% (521) 100.0% (1497)
12.3% (460) 10.7% (515) 18.4% (511) 41.4% (1486)
2.0% (103) 2.8% (104) 2.2% (93) 7.1% (300)
8.2% (583) 8.9% (590) 9.3% (581) 26.5% (1754)
7.6% (933) 7.5% (942) 10.0% (896) 25.0% (2771)
30.2% (2079) 29.9% (2151) 40.0% (2081) 100.0% (6311)
Europe/
Mid East
N. America
Pacific
Emerging/
FM
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
31.1%
(477)
30.2%
(2079)
30.6%
(499)
29.9%
(2151) 38.3%
(521)40.0%
(2081)
Bar #1=Non-U.S. Developed Markets Equity (Combined Z: -0.06 Growth Z: -0.02 Value Z: 0.
Bar #2=MSCI ACWI ex US IMI (Combined Z: -0.03 Growth Z: -0.02 Value Z: 0.01)
Europe/Mid East
N. America
Pacific
Emerging/FM
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU PUBUTL RAWMAT REALES TECH
0.0 0.0
5.8 6.6
10.6 11.510.3 9.4
5.6 6.3
20.1 20.0
0.0 0.0
9.88.4
17.8
13.0
3.2 3.5
6.7 7.7
3.24.4
6.89.2
Bar #1=Non-U.S. Developed Markets Equity
Bar #2=MSCI ACWI ex US IMI
Value
Core
Growth
109Pennsylvania SERS
International Holdings Based Style AnalysisFor One Quarter Ended September 30, 2019
This page analyzes and compares the investment styles of multiple portfolios using a detailed holdings-based style analysismethodology. The size component of style is measured by the weighted median market capitialization of the holdings. Thevalue/core/growth style dimension is captured by the "Combined Z-Score" of the portfolio. This score is based on eightfundamental factors used in the MSCI stock style scoring system. The table below gives a more detailed breakdown ofseveral relevant style metrics on the portfolios.
Style MapHoldings for One Quarter Ended September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
BlackRock MSCI Wld Ex US Idx
Harris Assoc Int’l SCV
FIS Group Non US Small Cap
MSCI ACWI ex US IMINon-U.S. Dev Mkts Equity
Weight Wtd Median Combined Growth Value Number of Security% Mkt Cap Z-Score Z-Score Z-Score Securities Diversification
BlackRock MSCI Wld Ex US Idx86.10% 34.02 (0.02) (0.01) 0.00 1016 121.19Harris Assoc Int’l SCV 10.29% 2.71 (0.51) (0.18) 0.33 59 16.97FIS Group Non US Small Cap 3.45% 1.66 (0.05) 0.12 0.17 514 98.36Non-U.S. Dev Mkts Equity 100.00% 26.99 (0.06) (0.02) 0.04 1558 146.48MSCI ACWI ex US IMI - 24.99 (0.03) (0.02) 0.01 6352 250.10
110Pennsylvania SERS
Non-U.S. Developed Markets EquityEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Public Fund - International Equityas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(43)(50)
(73)(72) (74)(79)
(90)
(67)
(18)(19)
(85)
(76)
10th Percentile 36.03 17.19 2.82 12.93 3.21 0.7225th Percentile 32.35 15.07 2.12 12.14 2.93 0.38
Median 24.94 14.36 1.74 11.05 2.78 0.1575th Percentile 18.75 13.32 1.61 9.86 2.39 (0.02)90th Percentile 13.97 12.65 1.45 8.68 1.77 (0.13)
Non-U.S. DevelopedMarkets Equity 26.99 13.38 1.61 8.68 3.14 (0.06)
MSCI ACWI ex US IMIIndex (USD Net Div) 24.99 13.39 1.57 10.10 3.12 (0.03)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30%
Financials
20.220.1
21.6
Industrials
17.012.9
15.5
Consumer Discretionary
10.611.5
9.3
Consumer Staples
10.5
50
%M
gr
MV
50
%M
gr
MV
9.69.8
Health Care
9.68.3
8.1
Materials
7.07.6
8.4
Information Technology
6.79.1
8.5
Communication Services
5.66.6
6.3
Energy
5.46.36.0
Utilities
3.43.53.4
Real Estate
3.24.5
3.0
Miscellaneous
0.8
Pooled Vehicles
Non-U.S. Developed Markets Equity
MSCI ACWI ex US IMI Index (USD Net Div) Pub Pln- Intl Equity
Sector DiversificationManager 3.21 sectors
Index 3.59 sectors
DiversificationSeptember 30, 2019
0
1000
2000
3000
4000
5000
6000
7000
8000
Number of IssueSecurities Diversification
(45)
(19)
10th Percentile 7100 17525th Percentile 2411 127
Median 1357 7975th Percentile 473 5590th Percentile 212 30
Non-U.S. DevelopedMarkets Equity 1558 146
MSCI ACWI ex US IMIIndex (USD Net Div) 6352 250
Diversification RatioManager 9%
Index 4%
Style Median 10%
111Pennsylvania SERS
Country AllocationNon-U.S. Developed Markets Equity VS MSCI ACWI ex US IMI Index (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25%
Argentina 0.1
Australia6.4
4.8
Austria0.5
0.2
Belgium1.0
0.8
Brazil0.1
1.9
Cambodia
Canada8.2
7.0
Chile 0.3
China0.1
7.5
Colombia 0.1
Czech Republic
Denmark1.8
1.2
Egypt
Finland1.6
0.7
France9.4
6.9
Germany7.0
5.5
Greece0.10.1
Hong Kong3.8
2.2
Hungary 0.1
India0.1
2.4
Indonesia0.3
0.5
Ireland0.40.4
Israel0.50.5
Italy2.7
1.7
Japan20.6
17.3
Luxembourg0.2
Malaysia 0.5
Mexico0.2
0.6
Netherlands3.4
2.6
New Zealand0.4
0.2
Norway0.9
0.6
Pakistan
Peru 0.1
Philippines 0.3
Poland 0.2
Portugal0.2
0.1
Qatar 0.3
Russia 0.9
Saudi Arabia 0.7
Singapore1.1
0.9
South Africa 1.2
South Korea0.7
3.2
Spain2.6
1.9
Sweden2.3
2.0
Switzerland8.2
5.9
Taiwan0.2
3.1
Thailand 0.8
Turkey 0.2
United Arab Emirates 0.2
United Kingdom14.4
11.2
United States0.7
Percent of Portfolio
Non-U.S. Developed Markets Equity MSCI ACWI ex US IMI
Index Rtns
(45.10%)
(1.28%)
(3.12%)
3.63%
(3.89%)
-
0.60%
(7.66%)
(4.86%)
(5.79%)
(9.40%)
(1.93%)
4.96%
(2.49%)
(1.77%)
(4.07%)
(2.59%)
(11.61%)
(4.17%)
(5.99%)
(5.32%)
(1.53%)
0.27%
(0.32%)
3.10%
-
(5.67%)
(1.61%)
1.85%
(2.52%)
(4.62%)
(1.34%)
(9.26%)
(5.04%)
(12.74%)
(3.16%)
(0.42%)
(1.46%)
(7.92%)
(5.10%)
(11.63%)
(5.28%)
(4.08%)
(4.62%)
0.12%
4.99%
(6.22%)
11.13%
0.56%
(2.28%)
0.10%
Manager Total Return: (0.92%)
Index Total Return: (1.72%)
112Pennsylvania SERS
Non-U.S. Developed Markets EquityActive Share Analysis as of September 30, 2019vs. MSCI ACWI ex US IMI Index (USD Net Div)
Active Share analysis compares the holdings of a portfolio to an index to measure how aggressively it differs from the index.Active share is measured at the individual stock level ("holdings-level active share") and using sector weights ("sectorexposure active share"). Holdings-level active share comes from: 1) Index Active Share - over/under weighting of stocks inthe index, and 2) Non-Index Active Share - positions in stocks not in the index. This analysis displays active share by sectorand compares the portfolio to a relevant peer group.
Holdings-Level Active Share
Index Active Share34.19%
Non-Index Active Share3.36%
Passive Share62.45%
Sector Exposure Active Share
Active Share7.26%
Passive Share92.74%
Total Active Share: 37.55%
Index Non-Index Total Contribution toActive Share Active Share Active Share Index Manager Total PortfolioWithin Sector Within Sector Within Sector Weight Weight Active Share
Communication Services 46.03% 2.60% 48.62% 6.55% 5.59% 2.70%
Consumer Discretionary 37.55% 3.44% 40.99% 11.54% 10.55% 4.24%
Consumer Staples 26.86% 5.41% 32.27% 9.64% 10.45% 3.50%
Energy 37.37% 0.00% 37.37% 6.28% 5.37% 1.88%
Financials 33.35% 2.57% 35.92% 20.09% 20.24% 7.26%
Health Care 18.29% 1.58% 19.87% 8.33% 9.61% 2.29%
Industrials 25.61% 2.23% 27.83% 12.87% 17.04% 5.72%
Information Technology 49.37% 2.31% 51.68% 9.07% 6.70% 3.51%
Materials 38.77% 4.78% 43.55% 7.64% 7.01% 3.01%
Miscellaneous 0.00% 100.00% 100.00% - 0.84% 0.40%
Pooled Vehicles 0.00% 100.00% 100.00% - 0.01% 0.00%
Real Estate 49.79% 4.43% 54.22% 4.48% 3.19% 1.79%
Utilities 31.37% 5.49% 36.86% 3.49% 3.39% 1.23%
Total 34.19% 3.36% 37.55% 100.00% 100.00% 37.53%
Active Share vs. Pub Pln- Intl Equity
0%
50%
100%
Total Index Non-Index Passive SectorActive Share Active Share Active Share Share Active Share
(95) (95)
(70)
(6)
(81)
10th Percentile 99.98 74.14 50.00 59.04 100.0025th Percentile 79.12 66.80 6.88 53.13 20.29
Median 70.57 50.54 5.25 29.43 12.3675th Percentile 46.87 43.01 3.16 20.88 8.3590th Percentile 40.96 37.45 1.74 0.02 6.97
Non-U.S. DevelopedMarkets Equity 37.55 34.19 3.36 62.45 7.26
113Pennsylvania SERS
Comparative Manager Matrix
This page allows for detailed comparisons of multiple managers against each other, as well as versus market indices andpeer groups. The holding overlap matrices illustrate the degree of individual stock overlap between various portfolios’holdings. The number in parentheses in the lower left corner of each box is the number of stocks that a given portfolio pairhold in common. The number in the upper left corner is the total weight of these overlapping holdings in the y-axis (vertical)portfolio. The number in the lower right corner is the total weight of those same stocks in the x-axis (horizontal) portfolio.
Holding Overlap for Period Ended September 30, 2019
FIS Group Non
US Small
Cap
3%
0%(12)
3%
13%(10)
Harris Assoc
Int’l
SCV
24%
0%(11)
13%
3%(10)
BlackRock MSCI
World Ex
US Index
0%
24%(11)
0%
3%(12)
FIS Group Non
US Small
Cap
Harris Assoc
Int’l
SCV
BlackRock MSCI
World Ex
US Index
114Pennsylvania SERS
No
n-U
.S. D
evelo
pe
d
Non-U.S. Developed
Eq
uity
Ma
na
ge
rs
Equity Managers
BlackRock MSCI World Ex US IndexPeriod Ended September 30, 2019
Investment PhilosophyThe objective of the World ex-U.S. Index Fund is to track the performance of the MSCI World ex-U.S. Index. The Fund fullyreplicates the index, holding every stock in the index in its market capitalization weight to ensure close tracking andminimize transaction costs.
Quarterly Summary and HighlightsBlackRock MSCI World Ex US Index’s portfolio posted a(0.89)% return for the quarter placing it in the 37 percentileof the Callan Non-US Developed Broad Equity group for thequarter and in the 27 percentile for the last year.
BlackRock MSCI World Ex US Index’s portfoliooutperformed the MSCI World ex US by 0.04% for thequarter and outperformed the MSCI World ex US for theyear by 0.34%.
Quarterly Asset Growth
Beginning Market Value $4,791,086,622
Net New Investment $0
Investment Gains/(Losses) $-42,632,440
Ending Market Value $4,748,454,182
Performance vs Callan Non-US Developed Broad Equity (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
Last Quarter Last 3/4 Year Last Year Last 2 Years Last 2-1/4 Years
(37)(40)
(43)(48)
(27)(32)(36)(42)
(35)(41)
10th Percentile 0.12 18.10 2.98 4.92 6.9325th Percentile (0.57) 15.99 (0.46) 2.33 4.74
Median (1.24) 13.12 (2.80) (0.14) 2.5475th Percentile (1.89) 10.55 (4.73) (1.91) 0.8690th Percentile (2.66) 8.02 (7.14) (3.04) 0.23
BlackRock MSCIWorld Ex US Index (0.89) 13.96 (0.61) 1.24 3.62
MSCI World ex US (0.93) 13.57 (0.95) 0.84 3.23
Portfolio Characteristics asa Percentage of the MSCI World ex US
0% 20% 40% 60% 80% 100% 120% 140%
Forecast Earnings Growth
8.79.3
8.7
Yield
3.12.9
3.3
Price/Book
1.61.7
1.6
Forecast Price/Earnings
13.813.613.8
Wght Median Market Cap
34.028.7
35.7
BlackRock MSCI World Ex US Index
Callan Non-US Developed Broad Equity MSCI World ex US
Cumulative Returns vs MSCI World ex US
Cum
ula
tive
Re
lative
Re
turn
s
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2017 2018 2019
BlackRock MSCI World Ex US Index
Callan NonUS Dev Broad Eq
116Pennsylvania SERS
Current Holdings Based Style AnalysisBlackRock MSCI World Ex US IndexAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan NonUS Dev Broad EqHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
BlackRock MSCI World Ex US Index
MSCI World ex US
Style Exposure MatrixHoldings as of September 30, 2019
16.2% (129) 13.3% (115) 25.5% (171) 54.9% (415)
2.8% (27) 3.7% (26) 2.8% (31) 9.3% (84)
11.3% (143) 11.9% (156) 12.6% (168) 35.8% (467)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
30.3% (299) 28.8% (297) 40.9% (370) 100.0% (966)
17.1% (144) 13.2% (120) 25.6% (184) 55.9% (448)
2.8% (29) 3.8% (27) 2.9% (34) 9.5% (90)
11.0% (145) 11.4% (157) 12.1% (168) 34.5% (470)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
30.9% (318) 28.4% (304) 40.7% (386) 100.0% (1008)
Europe/
Mid East
N. America
Pacific
Emerging
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
30.3%
(299)
30.9%
(318)
28.8%
(297)
28.4%
(304)40.9%
(370)
40.7%
(386)
Bar #1=BlackRock MSCI World Ex US Index (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.0
Bar #2=MSCI World ex US (Combined Z: -0.03 Growth Z: -0.02 Value Z: 0.01)
Europe/Mid East
N. America
Pacific
Emerging
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
5.4 5.2
10.7 10.7 11.1 10.8
6.4 6.5
20.7 20.6
10.7 10.7
14.5 14.3
3.6 3.8
6.8 7.4
3.1 3.3
6.8 6.7
Bar #1=BlackRock MSCI World Ex US Index
Bar #2=MSCI World ex US
Value
Core
Growth
117Pennsylvania SERS
BlackRock MSCI World Ex US IndexEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Non-US Developed Broad Equityas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(35)(33)
(49)(49)(57)(58)
(64)(65)
(40)
(31)
(54)(54)
10th Percentile 48.01 19.10 3.16 12.25 4.08 0.8625th Percentile 39.32 15.64 2.20 10.88 3.47 0.51
Median 28.70 13.56 1.73 9.33 2.93 0.0275th Percentile 22.13 11.66 1.43 7.97 2.38 (0.34)90th Percentile 15.52 10.39 1.22 7.02 1.96 (0.75)
BlackRock MSCIWorld Ex US Index 34.02 13.80 1.64 8.67 3.14 (0.02)
MSCI World ex USIndex (USD Net Div) 35.68 13.76 1.62 8.65 3.30 (0.03)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25%
Financials
20.720.5
18.9
Industrials
14.114.2
16.1
Consumer Staples
11.311.311.5
Consumer Discretionary
10.6
50
%M
gr
MV
50
%M
gr
MV
10.811.0
Health Care
10.510.6
12.5
Materials
7.27.3
6.6
Information Technology
6.56.7
8.3
Energy
6.16.4
5.1
Communication Services
5.25.25.5
Utilities
3.83.7
2.8
Real Estate
3.13.3
1.6
Miscellaneous
0.9
0.1
BlackRock MSCI World Ex US Index
MSCI World ex US Index (USD Net Div)
Callan NonUS Dev Broad Eq
Sector DiversificationManager 3.36 sectors
Index 3.36 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60% 70% 80%
Dev Europe/Mid East
55.7
50
%M
gr
MV
50
%M
gr
MV
57.4
63.8
Pacific Basin
34.4
33.2
28.3
North America
9.8
9.4
4.4
Emerging Markets
0.2
3.5
BlackRock MSCI World Ex US Index
MSCI World ex US Index (USD Net Div)
Callan NonUS Dev Broad Eq
Country DiversificationManager 3.44 countries
Index 3.38 countries
118Pennsylvania SERS
Country AllocationBlackRock MSCI World Ex US Index VS MSCI World ex US Index (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30%
Australia6.7
6.4
Austria0.2
0.2
Belgium0.9
0.9
Canada9.1
9.4
Denmark1.6
1.6
Finland1.1
0.9
France10.4
10.3
Germany7.6
7.7
Hong Kong4.1
3.2
Ireland0.5
0.5
Israel0.5
0.5
Italy2.2
2.1
Japan22.2
22.2
Luxembourg
Netherlands3.4
3.6
New Zealand0.2
0.2
Norway0.6
0.6
Portugal0.1
0.1
Singapore1.2
1.1
South Korea0.1
Spain2.7
2.6
Sweden2.2
2.3
Switzerland8.4
8.5
United Kingdom13.4
14.8
United States0.8
Percent of Portfolio
BlackRock MSCI World Ex US Index MSCI World ex US
Index Rtns
(1.39%)
(3.10%)
3.44%
0.45%
(1.01%)
(1.79%)
(1.72%)
(4.03%)
(11.94%)
(0.55%)
(3.73%)
(0.06%)
3.13%
-
2.38%
(2.94%)
(3.44%)
1.64%
(5.78%)
(4.45%)
(3.79%)
(4.82%)
0.26%
(2.49%)
0.10%
Manager Total Return: (0.89%)
Index Total Return: (0.93%)
119Pennsylvania SERS
FIS Group Non-U.S. Small CapPeriod Ended September 30, 2019
Quarterly Summary and HighlightsFIS Group Non-U.S. Small Cap’s portfolio posted a (2.15)%return for the quarter placing it in the 68 percentile of theCallan International Small Cap group for the quarter and inthe 74 percentile for the last three-quarter year.
FIS Group Non-U.S. Small Cap’s portfolio underperformedthe MSCI ACWI ex US Small Cap by 0.96% for the quarterand underperformed the MSCI ACWI ex US Small Cap forthe three-quarter year by 0.97%.
Quarterly Asset Growth
Beginning Market Value $194,788,000
Net New Investment $-165,365
Investment Gains/(Losses) $-4,194,635
Ending Market Value $190,428,000
Performance vs Callan International Small Cap (Gross)
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
Last Quarter Last 3/4 Year Last Year
(68)(33)
(74)(72)
(25)(30)
10th Percentile 0.12 17.05 (2.63)25th Percentile (1.05) 14.57 (4.90)
Median (1.55) 11.86 (6.84)75th Percentile (3.07) 8.84 (9.88)90th Percentile (3.93) 5.96 (12.35)
FIS GroupNon-U.S. Small Cap (2.15) 9.31 (4.89)
MSCI ACWI exUS Small Cap (1.19) 10.28 (5.63)
Portfolio Characteristics asa Percentage of the MSCI ACWI ex US Small Cap
0% 20% 40% 60% 80% 100% 120% 140% 160%
Forecast Earnings Growth
12.012.5
11.7
Yield
2.82.5
2.7
Price/Book
1.31.7
1.4
Forecast Price/Earnings
12.113.7
14.6
Wght Median Market Cap
1.72.3
1.8
FIS Group Non-U.S. Small Cap Callan International Small Cap
MSCI ACWI ex US Small Cap
Cumulative Returns vsMSCI ACWI ex US Small Cap
Cum
ula
tive
Re
lative
Re
turn
s
(3.0%)
(2.5%)
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
2019
FIS Group Non-U.S. Small Cap
Callan Intl Small Cap
120Pennsylvania SERS
Current Holdings Based Style AnalysisFIS Group Non-U.S. Small CapAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Intl Small CapHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
FIS Group Non-U.S. Small Cap
MSCI ACWI ex US Small Cap
Style Exposure MatrixHoldings as of September 30, 2019
11.8% (68) 17.0% (61) 12.2% (44) 41.0% (173)
0.9% (8) 1.6% (11) 1.1% (2) 3.5% (21)
11.0% (72) 13.1% (68) 12.7% (36) 36.7% (176)
2.0% (20) 6.3% (48) 10.4% (67) 18.7% (135)
25.7% (168) 37.9% (188) 36.4% (149) 100.0% (505)
9.7% (316) 16.4% (395) 14.5% (327) 40.6% (1038)
1.8% (74) 2.9% (77) 2.5% (59) 7.1% (210)
8.7% (438) 11.6% (433) 11.5% (413) 31.9% (1284)
5.1% (487) 7.6% (584) 7.7% (525) 20.3% (1596)
25.3% (1315) 38.5% (1489) 36.2% (1324) 100.0% (4128)
Europe/
Mid East
N. America
Pacific
Emerging/
FM
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
Value Core Growth
25.7%
(168)
25.3%
(1315)
37.9%
(188)
38.5%
(1489)
36.4%
(149)
36.2%
(1324)
Bar #1=FIS Group Non-U.S. Small Cap (Combined Z: -0.05 Growth Z: 0.12 Value Z: 0.17)
Bar #2=MSCI ACWI ex US Small Cap (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Europe/Mid East
N. America
Pacific
Emerging/FM
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU PUBUTL RAWMAT REALES TECH
0.9 0.0
3.7 4.8
13.3 12.6
5.06.3
1.63.2
12.310.2
0.1 0.0
4.97.2
24.5
19.1
3.8 3.5
7.0
10.0 10.312.6 12.5
10.6
Bar #1=FIS Group Non-U.S. Small Cap
Bar #2=MSCI ACWI ex US Small Cap
Value
Core
Growth
121Pennsylvania SERS
FIS Group Non-U.S. Small CapEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan International Small Capas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(71)(64)
(77)
(44)
(75)(74)
(56)(58)
(29)
(39)
(68)(68)
10th Percentile 3.56 20.49 3.42 18.37 3.16 0.9725th Percentile 3.05 17.19 2.38 14.76 2.88 0.48
Median 2.32 13.74 1.69 12.46 2.45 0.1975th Percentile 1.50 12.38 1.33 10.10 2.04 (0.17)90th Percentile 1.10 10.39 1.05 7.98 1.30 (0.59)
FIS GroupNon-U.S. Small Cap 1.66 12.06 1.34 11.96 2.83 (0.05)
MSCI ACWI ex US SmCap (USD Net Div) 1.82 14.57 1.38 11.67 2.67 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30%
Industrials
24.219.1
23.2
Consumer Discretionary
13.312.5
11.9
Financials
12.5
50
%M
gr
MV
50
%M
gr
MV
10.210.0
Information Technology
12.410.5
12.7
Real Estate
10.212.8
7.1
Materials
7.09.9
7.2
Consumer Staples
4.96.36.7
Health Care
4.87.1
9.6
Utilities
3.83.4
2.1
Communication Services
3.74.85.2
Energy
1.53.3
2.4
Miscellaneous
1.4
1.9
Pooled Vehicles
0.1
FIS Group Non-U.S. Small Cap
MSCI ACWI ex US Sm Cap (USD Net Div) Callan Intl Small Cap
Sector DiversificationManager 3.00 sectors
Index 3.53 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60%
Dev Europe/Mid East
40.7
40.6
49.4
Pacific Basin
36.45
0%
Mg
r M
V5
0%
Mg
r M
V31.6
32.5
Emerging Markets
18.9
20.7
8.7
North America
4.1
7.1
9.3
FIS Group Non-U.S. Small Cap
MSCI ACWI ex US Sm Cap (USD Net Div) Callan Intl Small Cap
Country DiversificationManager 4.55 countries
Index 4.46 countries
122Pennsylvania SERS
Country AllocationFIS Group Non-U.S. Small Cap VS MSCI ACWI ex US Sm Cap (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Argentina 0.1
Australia2.2
5.5
Austria2.8
0.6
Belgium1.3
1.6
Brazil2.5
1.8
Cambodia0.2
Canada2.2
7.1
Chile 0.3
China2.4
2.2
Colombia 0.1
Czech Republic
Denmark0.3
1.2
Egypt 0.1
Finland0.3
0.9
France5.4
2.5
Germany3.1
4.2
Greece0.4
0.2
Hong Kong4.8
1.3
Hungary
India3.1
2.9
Indonesia0.2
0.5
Ireland0.10.3
Israel1.8
1.3
Italy3.0
2.5
Japan25.5
22.7
Malaysia0.40.6
Mexico0.3
0.6
Netherlands0.9
2.0
New Zealand1.9
0.7
Norway1.51.5
Pakistan 0.1
Philippines 0.2
Poland0.4
0.2
Portugal0.8
0.2
Qatar 0.2
Russia0.20.2
Saudi Arabia 0.5
Singapore1.9
1.3
South Africa0.5
1.2
South Korea2.2
3.1
Spain1.8
1.5
Sweden5.2
4.1
Switzerland1.3
3.4
Taiwan5.0
4.2
Thailand0.5
1.0
Turkey0.6
0.3
United Arab Emirates 0.1
United Kingdom11.2
12.7
United States1.9
Percent of Portfolio
FIS Group Non-U.S. Small Cap MSCI ACWI ex US Small Cap
Index Rtns
(39.07%)
(0.64%)
(3.13%)
4.16%
1.34%
-
1.54%
(9.52%)
(7.89%)
(1.89%)
0.64%
(7.20%)
(0.35%)
(5.65%)
(2.78%)
(4.39%)
(1.01%)
(7.63%)
(8.26%)
(9.96%)
(6.26%)
(7.89%)
8.89%
(1.36%)
3.95%
(2.11%)
(0.80%)
(2.50%)
(1.90%)
(6.75%)
(2.26%)
(8.68%)
(17.83%)
(14.97%)
(1.76%)
(3.24%)
7.59%
(2.13%)
(4.25%)
(10.10%)
(6.46%)
(4.03%)
(1.44%)
4.08%
(7.46%)
9.35%
7.55%
(1.06%)
0.10%
Manager Total Return: (2.15%)
Index Total Return: (1.19%)
123Pennsylvania SERS
Harris Assoc Int’l SCVPeriod Ended September 30, 2019
Investment PhilosophyThe team seeks to invest in companies that trade at a substantial discount to their underlying business values and are runby managers who think and act as owners. Portfolio managers believe that purchasing a quality business at a discount toits underlying value minimizes risk while providing substantial profit potential.
Quarterly Summary and HighlightsHarris Assoc Int’l SCV’s portfolio posted a (0.78)% return forthe quarter placing it in the 22 percentile of the CallanInternational Small Cap group for the quarter and in the 5percentile for the last year.
Harris Assoc Int’l SCV’s portfolio underperformed the MSCIWorld ex US Sm Cap by 0.51% for the quarter andoutperformed the MSCI World ex US Sm Cap for the year by3.73%.
Quarterly Asset Growth
Beginning Market Value $572,085,456
Net New Investment $0
Investment Gains/(Losses) $-4,386,599
Ending Market Value $567,698,857
Performance vs Callan International Small Cap (Gross)
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(22)(15)
(1)
(45)
(5)
(30)(66)
(35)
(40)(49) (81)(70)
(72)(82)
10th Percentile 0.12 17.05 (2.63) 1.50 7.85 8.55 11.8125th Percentile (1.05) 14.57 (4.90) (0.59) 7.14 7.16 10.56
Median (1.55) 11.86 (6.84) (2.49) 5.48 6.16 9.3075th Percentile (3.07) 8.84 (9.88) (4.17) 4.26 5.09 8.0990th Percentile (3.93) 5.96 (12.35) (6.71) 2.93 3.19 6.83
Harris AssocInt’l SCV (0.78) 18.48 (1.89) (3.44) 6.03 4.76 8.15
MSCI Worldex US Sm Cap (0.27) 12.58 (5.62) (1.20) 5.54 5.14 7.48
Portfolio Characteristics asa Percentage of the MSCI World ex US Sm Cap
0% 20% 40% 60% 80% 100% 120% 140% 160%
Forecast Earnings Growth7.5
12.510.9
Yield3.3
2.52.6
Price/Book1.5
1.71.4
Forecast Price/Earnings10.8
13.715.2
Wght Median Market Cap2.7
2.32.1
Harris Assoc Int’l SCV Callan International Small Cap
MSCI World ex US Sm Cap
Callan International Small Cap (Gross)Annualized Five Year Risk vs Return
8 10 12 14 16 180%
2%
4%
6%
8%
10%
12%
14%
MSCI World ex US Sm Cap
Harris Assoc Int’l SCV
Standard Deviation
Re
turn
s
124Pennsylvania SERS
Harris Assoc Int’l SCVReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan International Small Cap (Gross)
(40%)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(1)(45)
(85)(31)
(91)(87)
(8)(24) (96)(82)
(71)(68)
(39)(82)
10th Percentile 17.05 (15.51) 42.12 7.72 16.29 (0.42) 37.1925th Percentile 14.57 (17.68) 38.93 4.00 13.03 (1.85) 34.19
Median 11.86 (19.66) 35.27 (0.03) 10.09 (3.42) 31.1375th Percentile 8.84 (22.02) 32.87 (2.51) 6.62 (6.43) 28.4790th Percentile 5.96 (23.23) 29.08 (4.66) 3.40 (9.15) 23.74
Harris Assoc Int’l SCV 18.48 (22.97) 28.29 8.01 1.69 (6.01) 32.09
MSCI Worldex US Sm Cap 12.58 (18.07) 31.04 4.32 5.46 (5.35) 25.55
Cumulative and Quarterly Relative Return vs MSCI World ex US Sm Cap
Re
lative
Re
turn
s
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
2014 2015 2016 2017 2018 2019
Harris Assoc Int’l SCV Callan Intl Small Cap
Risk Adjusted Return Measures vs MSCI World ex US Sm CapRankings Against Callan International Small Cap (Gross)Five Years Ended September 30, 2019
(3)
(2)
(1)
0
1
2
3
4
Alpha Sharpe Excess ReturnRatio Ratio
(81)
(82)(81)
10th Percentile 3.03 0.53 0.7725th Percentile 1.72 0.44 0.49
Median 1.00 0.37 0.2875th Percentile (0.13) 0.30 (0.03)90th Percentile (2.02) 0.16 (0.40)
Harris Assoc Int’l SCV (0.46) 0.26 (0.07)
125Pennsylvania SERS
Harris Assoc Int’l SCVRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan International Small Cap (Gross)Five Years Ended September 30, 2019
0 1 2 3 4 5 6 7 8(6 )
(4 )
(2 )
0
2
4
6
8
Harris Assoc Int’l SCV
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI World ex US Small Cap (USD Net Div)Rankings Against Callan International Small Cap (Gross)Five Years Ended September 30, 2019
80%90%
100%110%120%130%140%150%
Up Market DownCapture Market Capture
(69) (24)
10th Percentile 135.49 122.2025th Percentile 124.81 111.18
Median 115.79 103.7775th Percentile 105.51 96.6590th Percentile 96.92 91.62
Harris Assoc Int’l SCV 108.19 112.26
Risk Statistics Rankings vs MSCI World ex US Small Cap (USD Net Div)Rankings Against Callan International Small Cap (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(25)
(15)(19)
10th Percentile 15.91 4.11 6.2725th Percentile 14.70 3.39 5.38
Median 13.83 2.63 3.8075th Percentile 13.02 1.85 3.1790th Percentile 12.43 1.29 2.52
Harris AssocInt’l SCV 14.70 3.70 5.67
0.750.800.850.900.951.001.051.101.151.201.25
Beta R-Squared
(38)
(86)
10th Percentile 1.18 0.9725th Percentile 1.09 0.95
Median 1.06 0.9275th Percentile 0.99 0.8990th Percentile 0.95 0.83
Harris AssocInt’l SCV 1.08 0.86
126Pennsylvania SERS
Current Holdings Based Style AnalysisHarris Assoc Int’l SCVAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Intl Small CapHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Harris Assoc Int’l SCV
MSCI World ex US Sm Cap
Style Exposure MatrixHoldings as of September 30, 2019
26.2% (11) 35.1% (20) 7.5% (6) 68.7% (37)
5.2% (3) 0.0% (0) 0.0% (0) 5.2% (3)
2.6% (3) 3.2% (4) 5.9% (2) 11.8% (9)
5.5% (2) 5.2% (4) 3.6% (2) 14.3% (8)
39.5% (19) 43.5% (28) 17.0% (10) 100.0% (57)
12.2% (316) 20.6% (395) 18.2% (327) 51.0% (1038)
2.2% (74) 3.6% (77) 3.1% (59) 9.0% (210)
11.0% (438) 14.6% (433) 14.5% (413) 40.0% (1284)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
25.4% (828) 38.8% (905) 35.8% (799) 100.0% (2532)
Europe/
Mid East
N. America
Pacific
Emerging
Total
Value Core Growth Total
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
39.5%
(19)
25.4%
(828)
43.5%
(28)
38.8%
(905)
17.0%
(10)
35.8%
(799)
Bar #1=Harris Assoc Int’l SCV (Combined Z: -0.51 Growth Z: -0.18 Value Z: 0.33)
Bar #2=MSCI World ex US Sm Cap (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Europe/Mid East
N. America
Pacific
Emerging
Sector Weights DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
COMMUN CONCYC CONSTA FINANC HEALTH INDEQU RAWMAT REALES TECH ENERGY PUBUTL
10.5
4.98.3
12.1
5.2 6.2
17.4
10.3
3.56.9
44.3
20.5
5.69.4
1.2
13.6
4.0
9.2
0.03.6
0.03.1
Bar #1=Harris Assoc Int’l SCV
Bar #2=MSCI World ex US Sm Cap
Value
Core
Growth
127Pennsylvania SERS
Harris Assoc Int’l SCVEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan International Small Capas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(38)
(57)
(88)
(34)
(69)(74)
(93)
(67)
(7)
(39)
(89)
(68)
10th Percentile 3.56 20.49 3.42 18.37 3.16 0.9725th Percentile 3.05 17.19 2.38 14.76 2.88 0.48
Median 2.32 13.74 1.69 12.46 2.45 0.1975th Percentile 1.50 12.38 1.33 10.10 2.04 (0.17)90th Percentile 1.10 10.39 1.05 7.98 1.30 (0.59)
Harris Assoc Int’l SCV 2.71 10.84 1.50 7.54 3.33 (0.51)
MSCI World ex USSmall Cap (USD Net Div) 2.13 15.21 1.41 10.89 2.65 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50%
Industrials
40.420.4
23.2
Financials
18.8
50
%M
gr
MV
50
%M
gr
MV
10.310.0
Communication Services
10.25.05.2
Consumer Discretionary
9.312.111.9
Materials
5.49.3
7.2
Consumer Staples
5.06.26.7
Information Technology
3.99.2
12.7
Health Care
3.46.9
9.6
Miscellaneous
2.5
1.9
Real Estate
1.113.9
7.1
Utilities 3.12.1
Energy 3.62.4
Harris Assoc Int’l SCV
MSCI World ex US Small Cap (USD Net Div)
Callan Intl Small Cap
Sector DiversificationManager 1.51 sectors
Index 3.35 sectors
Regional AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100%
Dev Europe/Mid East
71.0
50
%M
gr
MV
50
%M
gr
MV
51.2
49.4
Emerging Markets
12.5
8.7
Pacific Basin
11.4
39.8
32.5
North America
5.0
8.9
9.3
Harris Assoc Int’l SCV
MSCI World ex US Small Cap (USD Net Div)
Callan Intl Small Cap
Country DiversificationManager 4.51 countries
Index 2.60 countries
128Pennsylvania SERS
Country AllocationHarris Assoc Int’l SCV VS MSCI World ex US Small Cap (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Australia4.8
7.0
Austria2.5
0.8
Belgium1.3
2.1
Canada3.0
8.9
Denmark4.0
1.5
Finland7.1
1.1
France1.8
3.1
Germany3.8
5.3
Greece0.7
Hong Kong0.3
1.7
Indonesia2.8
Ireland 0.4
Israel 1.6
Italy7.1
3.2
Japan5.0
28.6
Luxembourg1.3
Mexico2.5
Netherlands1.9
2.5
New Zealand1.3
0.9
Norway3.0
1.9
Portugal0.8
0.3
Singapore 1.7
South Korea5.3
Spain2.11.9
Sweden2.4
5.2
Switzerland9.0
4.3
United Kingdom24.1
16.0
United States2.1
Percent of Portfolio
Harris Assoc Int’l SCV MSCI World ex US Sm Cap
Index Rtns
(0.64%)
(3.13%)
4.16%
1.54%
(7.20%)
(5.65%)
(2.78%)
(4.39%)
(2.99%)
(7.63%)
(5.17%)
(7.89%)
8.89%
(1.36%)
3.95%
-
(1.64%)
(2.50%)
(1.90%)
(6.75%)
(14.97%)
(2.13%)
(4.45%)
(6.46%)
(4.03%)
(1.44%)
(1.06%)
0.10%
Manager Total Return: (0.78%)
Index Total Return: (0.27%)
129Pennsylvania SERS
Em
erg
ing
Ma
rkets
Eq
uity
Emerging Markets Equity
Emerging Mkts EquityPeriod Ended September 30, 2019
Quarterly Summary and HighlightsEmerging Mkts Equity’s portfolio posted a (2.93)% return forthe quarter placing it in the 37 percentile of the CallanEmerging Broad group for the quarter and in the 65percentile for the last year.
Emerging Mkts Equity’s portfolio outperformed the MSCI EMby 1.32% for the quarter and outperformed the MSCI EM forthe year by 1.43%.
Quarterly Asset Growth
Beginning Market Value $1,855,115,408
Net New Investment $-1,472,213
Investment Gains/(Losses) $-54,236,650
Ending Market Value $1,799,406,544
Performance vs Callan Emerging Broad (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(37)
(77)
(60)
(77)
(65)
(75)(65)(64)
(39)
(67)
(57)
(75)(68)
(86)
10th Percentile (1.41) 14.47 7.15 2.14 9.53 6.27 6.1925th Percentile (2.03) 12.57 3.88 0.94 8.35 5.11 5.13
Median (3.37) 9.67 1.85 (0.53) 7.08 3.92 4.2775th Percentile (4.19) 6.28 (1.80) (1.97) 5.61 2.34 3.0890th Percentile (5.14) 3.40 (4.33) (3.44) 4.63 1.66 2.30
EmergingMkts Equity (2.93) 8.01 (0.58) (1.44) 7.68 3.61 3.38
MSCI EM (4.25) 5.90 (2.01) (1.41) 5.98 2.33 2.41
Portfolio Characteristics asa Percentage of the MSCI EM
0% 50% 100% 150%
Forecast Earnings Growth
14.014.2
13.5
Yield
2.62.5
2.9
Price/Book
1.71.9
1.5
Forecast Price/Earnings
13.013.0
11.9
Wght Median Market Cap
22.919.719.5
Emerging Mkts Equity Callan Emerging Broad MSCI EM
Callan Emerging Broad (Gross)Annualized Five Year Risk vs Return
11 12 13 14 15 16 17 18 190%
1%
2%
3%
4%
5%
6%
7%
8%
Emerging Mkts Equity
MSCI EM
Standard Deviation
Re
turn
s
131Pennsylvania SERS
Emerging Mkts EquityReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Emerging Broad (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
60%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(60)(77)
(52)(32)
(35)(61)
(58)(55)
(33)(68)
(90)(68) (62)(70)
10th Percentile 14.47 (12.27) 49.17 19.11 (7.68) 2.95 4.5625th Percentile 12.57 (13.65) 43.69 14.72 (10.38) 0.57 1.76
Median 9.67 (15.34) 39.31 11.58 (13.68) (1.09) 0.2575th Percentile 6.28 (17.31) 34.93 9.03 (15.34) (3.04) (3.29)90th Percentile 3.40 (20.11) 29.11 5.63 (17.93) (5.42) (4.70)
Emerging Mkts Equity 8.01 (15.40) 42.31 10.86 (12.06) (5.18) (0.98)
MSCI EM 5.90 (14.57) 37.28 11.19 (14.92) (2.19) (2.60)
Cumulative and Quarterly Relative Return vs MSCI EM
Re
lative
Re
turn
s
(4%)
(2%)
0%
2%
4%
6%
8%
10%
2014 2015 2016 2017 2018 2019
Emerging Mkts Equity Callan Emerging Broad
Risk Adjusted Return Measures vs MSCI EMRankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
(2)
(1)
0
1
2
3
4
5
Alpha Sharpe Excess ReturnRatio Ratio
(56)
(58)(37)
10th Percentile 3.92 0.34 0.9225th Percentile 2.79 0.27 0.63
Median 1.60 0.19 0.3475th Percentile 0.05 0.09 0.0190th Percentile (0.59) 0.05 (0.23)
Emerging Mkts Equity 1.26 0.17 0.54
132Pennsylvania SERS
Emerging Mkts EquityRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
1 2 3 4 5 6 7 8 9 10(2 )
(1 )
0
1
2
3
4
5
6
Emerging Mkts Equity
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI EM - Emerging Mkts (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
80%90%
100%110%120%130%140%150%160%
Up Market DownCapture Market Capture
(36)
(26)
10th Percentile 144.14 104.6925th Percentile 125.23 102.00
Median 109.65 98.1375th Percentile 100.05 93.0190th Percentile 90.48 87.81
Emerging Mkts Equity 116.54 101.73
Risk Statistics Rankings vs MSCI EM - Emerging Mkts (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(27)
(95)(92)
10th Percentile 16.11 3.76 6.0025th Percentile 15.32 2.94 4.71
Median 14.94 2.29 3.8575th Percentile 14.43 1.88 3.1290th Percentile 13.30 1.56 2.56
EmergingMkts Equity 15.29 1.11 2.37
0.80
0.85
0.90
0.95
1.00
1.05
1.10
1.15
Beta R-Squared
(16)
(5)
10th Percentile 1.08 0.9725th Percentile 1.03 0.96
Median 1.00 0.9375th Percentile 0.96 0.9190th Percentile 0.85 0.86
EmergingMkts Equity 1.05 0.98
133Pennsylvania SERS
Emerging Mkts Equity vs MSCI EMAttribution for Quarter Ended September 30, 2019
International AttributionThe first chart below illustrates the return for each country in the index sorted from high to low. The total return for the indexis highlighted with a dotted line. The second chart (countries presented in the same order) illustrates the manager’s countryallocation decisions relative to the index. To the extent that the manager over-weighted a country that had a higher returnthan the total return for the index (above the dotted line) it contributes positively to the manager’s country (or currency)selection effect. The last chart details the manager return, the index return, and the attribution factors for the quarter.
IndexReturns by Country
Dollar
Return
Local
Return
Currency
Return
(60%) (40%) (20%) 0% 20% 40%
Turkey 9.0 2.4
Egypt 4.7 2.6
Taiwan 5.7 0.1
Netherlands 6.6 (3.9)
Kenya 3.8 (1.6)
United States 1.6 0.0
Pakistan (0.9) 2.2
Switzerland 2.6 (2.2)
United Arab Emirates (0.2) (0.0)
Qatar (0.2) 0.0
Russia 1.5 (2.4)
France 2.7 (4.3)
Mexico 1.1 (2.7)
United Kingdom 0.7 (3.2)
Greece 1.3 (4.3)
Emerging Countries (2.5) (1.0)
Israel (5.1) 1.5
Hungary 4.2 (7.8)
Total (2.1) (2.2)
South Korea (1.0) (3.5)
Brazil 3.8 (8.0)
Philippines (3.5) (1.1)
China (4.2) (0.4)
India (2.6) (2.6)
Indonesia (4.7) (0.5)
Singapore (3.7) (2.2)
Thailand (6.1) 0.3
Colombia 1.9 (7.8)
Malaysia (5.1) (1.3)
Chile (0.6) (6.8)
Peru (9.3) 0.0
Saudi Arabia (9.4) (0.0)
Czech Republic (4.1) (5.6)
Nigeria (10.9) (0.4)
Poland (5.1) (7.0)
Hong Kong (11.7) (0.3)
South Africa (5.8) (7.0)
Argentina (46.8) 0.0
Beginning Relative Weights(Portfolio - Index)
Index
Weight
Portfolio
Weight
(5%) (4%) (3%) (2%) (1%) 0% 1% 2% 3%
Turkey 0.5 1.0
Egypt 0.1 0.1
Taiwan 10.8 10.4
Netherlands 0.0 0.0
Kenya 0.0 0.0
United States 0.0 2.0
Pakistan 0.0 0.0
Switzerland 0.0 0.0
United Arab Emirates 0.7 0.3
Qatar 1.0 0.4
Russia 4.0 4.9
France 0.0 0.0
Mexico 2.5 3.2
United Kingdom 0.0 0.1
Greece 0.3 0.4
Emerging Countries 0.0 0.0
Israel 0.0 0.1
Hungary 0.3 0.8
Total
South Korea 12.4 14.1
Brazil 7.6 8.7
Philippines 1.1 1.0
China 31.6 28.4
India 9.0 9.8
Indonesia 2.1 2.2
Singapore 0.0 0.1
Thailand 3.0 1.1
Colombia 0.4 0.2
Malaysia 2.1 1.3
Chile 0.9 0.6
Peru 0.4 1.5
Saudi Arabia 1.4 0.5
Czech Republic 0.2 0.1
Nigeria 0.0 0.0
Poland 1.1 0.7
Hong Kong 0.0 1.2
South Africa 5.9 4.4
Argentina 0.4 0.6
Attribution Factors for Quarter Ended September 30, 2019
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
PortfolioReturn
(2.93 )
IndexReturn
(4.25 )
CountrySelection
0.52
CurrencySelection
(0.04 )
SecuritySelection
0.84
Perc
en
t R
etu
rn
134Pennsylvania SERS
Current Holdings Based Style AnalysisEmerging Mkts EquityAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market.The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Emerging BroadHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MSCI EM
Emerging Mkts Equity
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
14.9% (94) 19.2% (74) 31.1% (93) 65.2% (261)
5.7% (163) 7.4% (156) 7.6% (167) 20.7% (486)
3.1% (191) 4.3% (140) 3.2% (114) 10.6% (445)
0.9% (45) 2.1% (42) 0.5% (19) 3.5% (106)
24.6% (493) 33.0% (412) 42.4% (393) 100.0% (1298)
16.7% (84) 17.8% (72) 28.4% (88) 62.8% (244)
9.9% (179) 8.1% (167) 9.5% (189) 27.5% (535)
4.2% (174) 2.7% (117) 2.3% (92) 9.2% (383)
0.1% (9) 0.3% (2) 0.0% (2) 0.4% (13)
30.8% (446) 28.9% (358) 40.3% (371) 100.0% (1175)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
24.6%
(493) 30.8%
(446)33.0%
(412)
28.9%
(358)
42.4%
(393)
40.3%
(371)
Bar #1=Emerging Mkts Equity (Combined Z: 0.16 Growth Z: 0.06 Value Z: -0.10)
Bar #2=MSCI EM (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH
0.2 0.0
12.1 11.714.3 13.3
7.6 7.09.6
7.8
20.7
23.9
2.5 2.7 3.15.4
0.0 0.01.9 2.8
6.3 7.4
1.9 2.7
19.6
15.4
Bar #1=Emerging Mkts Equity
Bar #2=MSCI EM
Value
Core
Growth
135Pennsylvania SERS
International Holdings Based Style AnalysisFor One Quarter Ended September 30, 2019
This page analyzes and compares the investment styles of multiple portfolios using a detailed holdings-based style analysismethodology. The size component of style is measured by the weighted median market capitialization of the holdings. Thevalue/core/growth style dimension is captured by the "Combined Z-Score" of the portfolio. This score is based on eightfundamental factors used in the MSCI stock style scoring system. The table below gives a more detailed breakdown ofseveral relevant style metrics on the portfolios.
Style MapHoldings for One Quarter Ended September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
BlackRock Emg Mkts Index
Leading Edge Emg Mkts Fund
Macquarie Emg Mkts Equity Martin Currie
GlobeFlex Emg Small Cap
MSCI EM
Emerging Mkts Equity
Weight Wtd Median Combined Growth Value Number of Security% Mkt Cap Z-Score Z-Score Z-Score Securities Diversification
BlackRock Emg Mkts Index 36.66% 19.24 (0.02) (0.01) 0.01 1178 76.83Leading Edge Emg Mkts Fund 11.80% 12.09 0.12 0.09 (0.03) 233 43.66Macquarie Emg Mkts Equity 22.72% 50.23 0.11 (0.07) (0.18) 123 13.14Martin Currie 23.95% 53.91 0.59 0.25 (0.34) 48 11.69GlobeFlex Emg Small Cap 4.87% 0.45 (0.35) 0.19 0.54 131 24.24Emerging Mkts Equity 100.00% 22.86 0.16 0.06 (0.10) 1461 49.07MSCI EM - 19.49 (0.02) (0.01) 0.01 1187 79.46
136Pennsylvania SERS
Emerging Mkts EquityEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Broadas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(32)
(51) (51)
(61) (61)(65)
(60)(65)
(47)
(34)
(54)
(66)
10th Percentile 40.40 19.49 3.22 17.90 3.65 0.7925th Percentile 30.42 15.45 2.41 16.15 3.29 0.49
Median 19.66 13.04 1.89 14.19 2.47 0.2375th Percentile 14.87 10.08 1.38 12.31 2.11 (0.29)90th Percentile 7.73 8.87 1.15 11.37 1.81 (0.60)
Emerging Mkts Equity 22.86 12.99 1.73 14.01 2.56 0.16
MSCI EM - EmergingMkts (USD Net Div) 19.49 11.87 1.54 13.51 2.88 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Financials
20.824.7
25.9
Information Technology
19.115.1
18.4
Consumer Discretionary
13.5
50
%M
gr
MV
50
%M
gr
MV
13.113.6
Communication Services
11.411.6
9.8
Energy
9.67.77.6
Consumer Staples
7.56.9
7.6
Materials
6.37.3
5.5
Industrials
3.35.45.3
Health Care
2.52.6
2.0
Real Estate
2.12.9
1.8
Utilities
1.92.8
1.2
Miscellaneous
1.1
1.3
Pooled Vehicles
1.0
Emerging Mkts Equity MSCI EM - Emerging Mkts (USD Net Div)
Callan Emerging Broad
Sector DiversificationManager 2.75 sectors
Index 2.79 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60% 70% 80%
Developing Asia58.8
50
%M
gr
MV
50
%M
gr
MV
63.655.2
Mid East / Africa / Other15.2
18.115.3
Latin America14.1
11.814.0
Emerging Europe7.8
6.38.6
Developed Markets3.7
6.2
Frontier Markets0.40.20.4
Emerging Countries
Emerging Mkts Equity MSCI EM - Emerging Mkts (USD Net Div)
Callan Emerging Broad
Country DiversificationManager 2.74 countries
Index 2.58 countries
137Pennsylvania SERS
Country AllocationEmerging Mkts Equity VS MSCI EM - Emerging Mkts (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Argentina0.40.2
Brazil8.7
7.6
Cambodia
Chile0.61.0
China27.9
31.9
Colombia0.20.4
Czech Republic0.10.1
Egypt0.10.2
Emerging Countries
France
Greece0.40.3
Hong Kong1.1
Hungary0.8
0.3
India10.1
8.9
Indonesia2.4
2.1
Israel
Kenya
Malaysia1.2
2.0
Mexico3.2
2.5
Netherlands0.3
Nigeria
Pakistan
Peru1.5
0.4
Philippines1.11.1
Poland0.61.0
Qatar0.4
1.0
Russia4.9
4.0
Saudi Arabia1.0
2.6
Singapore0.1
South Africa3.3
4.7
South Korea13.6
12.2
Taiwan11.511.5
Thailand1.2
2.9
Turkey1.0
0.6
United Arab Emirates0.30.7
United Kingdom0.1
United States2.0
Percent of Portfolio
Emerging Mkts Equity MSCI EM
Index Rtns
(46.83%)
(4.58%)
-
(7.32%)
(4.73%)
(6.12%)
(10.13%)
7.44%
-
(1.64%)
(3.07%)
(11.94%)
(3.92%)
(5.15%)
(5.19%)
(3.65%)
2.14%
(6.31%)
(1.72%)
2.51%
(11.29%)
1.09%
(9.26%)
(4.64%)
(12.12%)
(0.22%)
(1.39%)
(9.50%)
(5.77%)
(12.60%)
(4.51%)
5.19%
(5.97%)
11.65%
(0.16%)
(2.48%)
0.10%
Manager Total Return: (2.93%)
Index Total Return: (4.25%)
138Pennsylvania SERS
Emerging Mkts EquityActive Share Analysis as of September 30, 2019vs. MSCI EM - Emerging Mkts (USD Net Div)
Active Share analysis compares the holdings of a portfolio to an index to measure how aggressively it differs from the index.Active share is measured at the individual stock level ("holdings-level active share") and using sector weights ("sectorexposure active share"). Holdings-level active share comes from: 1) Index Active Share - over/under weighting of stocks inthe index, and 2) Non-Index Active Share - positions in stocks not in the index. This analysis displays active share by sectorand compares the portfolio to a relevant peer group.
Holdings-Level Active Share
Index Active Share32.04%
Non-Index Active Share7.96%
Passive Share60.00%
Sector Exposure Active Share
Active Share9.18%
Passive Share90.82%
Total Active Share: 40.00%
Index Non-Index Total Contribution toActive Share Active Share Active Share Index Manager Total PortfolioWithin Sector Within Sector Within Sector Weight Weight Active Share
Communication Services 38.04% 3.71% 41.75% 11.57% 11.38% 4.83%
Consumer Discretionary 26.78% 6.58% 33.36% 13.05% 13.51% 4.44%
Consumer Staples 42.60% 5.93% 48.52% 6.90% 7.53% 3.42%
Energy 30.24% 5.66% 35.90% 7.67% 9.65% 2.88%
Financials 31.00% 8.31% 39.31% 24.69% 20.79% 9.52%
Health Care 38.24% 16.36% 54.60% 2.60% 2.51% 1.40%
Industrials 24.66% 13.92% 38.59% 5.40% 3.25% 2.10%
Information Technology 22.03% 5.86% 27.90% 15.09% 19.13% 4.65%
Materials 39.93% 7.51% 47.43% 7.34% 6.26% 3.39%
Miscellaneous 0.00% 100.00% 100.00% - 1.08% 0.34%
Pooled Vehicles 0.00% 100.00% 100.00% - 0.99% 0.48%
Real Estate 23.89% 18.71% 42.60% 2.86% 2.06% 1.25%
Utilities 35.15% 4.17% 39.32% 2.82% 1.86% 1.11%
Total 32.04% 7.96% 40.00% 100.00% 100.00% 39.81%
Active Share vs. Callan Emerging Broad
0%10%20%30%40%50%60%70%80%90%
100%
Total Index Non-Index Passive SectorActive Share Active Share Active Share Share Active Share
(100)(99)
(68)
(1)
(83)
10th Percentile 85.37 73.23 17.38 41.73 30.3625th Percentile 80.97 66.14 14.28 31.70 20.72
Median 72.08 61.81 10.87 27.92 17.4675th Percentile 68.30 57.72 7.15 19.03 12.7890th Percentile 58.27 52.21 4.81 14.63 7.33
EmergingMkts Equity 40.00 32.04 7.96 60.00 9.18
139Pennsylvania SERS
Em
erg
ing
Ma
rke
ts
Emerging Markets Ma
na
ge
rs
Managers
BlackRock Emg Mkts IndexPeriod Ended September 30, 2019
Investment PhilosophyAs with all indexing strategies, the objective of the Emerging Markets Index Funds is to match the performance of thebenchmark, the MSCI EMF indexes. BlackRock’s objective in managing the fund is to deliver a high quality andcost-effective index-based portfolio available to institutional investors. BlackRock’s goal in the management of its emergingmarket country funds is to provide cost-effective and risk controlled exposure with close benchmark tracking. As such,country selection is dictated by the index, and BlackRock’s funds approximate the sector and industry breakdowns of therespective country index. The team seeks to construct its country funds using the widest possible range of indexconstituent stocks to allow for replication of index returns while minimizing transaction costs. Therefore stock selection andweighting is generally dictated by the composition of the index. However, where investment restrictions exist, BlackRockmay choose to use alternative investment approaches. In general, BlackRock aims to cover a significant percentage of thesecurity market capitalization of each country index.
Quarterly Summary and HighlightsBlackRock Emg Mkts Index’s portfolio posted a (4.26)%return for the quarter placing it in the 77 percentile of theCallan Emerging Broad group for the quarter and in the 76percentile for the last year.
BlackRock Emg Mkts Index’s portfolio underperformed theMSCI EM by 0.01% for the quarter and underperformed theMSCI EM for the year by 0.11%.
Quarterly Asset Growth
Beginning Market Value $688,958,032
Net New Investment $0
Investment Gains/(Losses) $-29,278,866
Ending Market Value $659,679,166
Performance vs Callan Emerging Broad (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last 3/4 Year Last Year Last 2 Years
(77)(77)
(78)(77)
(76)(75) (67)(64)
10th Percentile (1.41) 14.47 7.15 2.1425th Percentile (2.03) 12.57 3.88 0.94
Median (3.37) 9.67 1.85 (0.53)75th Percentile (4.19) 6.28 (1.80) (1.97)90th Percentile (5.14) 3.40 (4.33) (3.44)
BlackRockEmg Mkts Index (4.26) 5.79 (2.11) (1.55)
MSCI EM (4.25) 5.90 (2.01) (1.41)
Portfolio Characteristics asa Percentage of the MSCI EM
0% 50% 100% 150%
Forecast Earnings Growth
13.5
14.2
13.5
Yield
2.8
2.5
2.9
Price/Book
1.5
1.9
1.5
Forecast Price/Earnings
11.8
13.0
11.9
Wght Median Market Cap
19.2
19.7
19.5
BlackRock Emg Mkts Index Callan Emerging Broad MSCI EM
Cumulative Returns vs MSCI EM
Cum
ula
tive
Re
lative
Re
turn
s
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
2017 2018 2019
BlackRock Emg Mkts Index
Callan Emerging Broad
141Pennsylvania SERS
Current Holdings Based Style AnalysisBlackRock Emg Mkts IndexAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market.The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Emerging BroadHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MSCI EM
BlackRock Emg Mkts Index
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
16.5% (75) 18.1% (59) 28.8% (81) 63.5% (215)
9.8% (154) 8.1% (140) 9.0% (157) 26.8% (451)
4.3% (166) 2.7% (106) 2.3% (86) 9.2% (358)
0.1% (10) 0.3% (2) 0.0% (2) 0.5% (14)
30.7% (405) 29.2% (307) 40.1% (326) 100.0% (1038)
16.7% (84) 17.8% (72) 28.4% (88) 62.8% (244)
9.9% (179) 8.1% (167) 9.5% (189) 27.5% (535)
4.2% (174) 2.7% (117) 2.3% (92) 9.2% (383)
0.1% (9) 0.3% (2) 0.0% (2) 0.4% (13)
30.8% (446) 28.9% (358) 40.3% (371) 100.0% (1175)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
30.7%
(405)
30.8%
(446)
29.2%
(307)
28.9%
(358)40.1%
(326)
40.3%
(371)
Bar #1=BlackRock Emg Mkts Index (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Bar #2=MSCI EM (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
11.7 11.713.5 13.3
6.7 7.0 7.5 7.8
24.5 23.9
2.5 2.75.1 5.4
2.7 2.8
7.2 7.4
2.6 2.7
15.9 15.4
Bar #1=BlackRock Emg Mkts Index
Bar #2=MSCI EM
Value
Core
Growth
142Pennsylvania SERS
BlackRock Emg Mkts IndexEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Broadas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(52)(51)
(64)(61)(66)(65) (65)(65)
(37)(34)
(66)(66)
10th Percentile 40.40 19.49 3.22 17.90 3.65 0.7925th Percentile 30.42 15.45 2.41 16.15 3.29 0.49
Median 19.66 13.04 1.89 14.19 2.47 0.2375th Percentile 14.87 10.08 1.38 12.31 2.11 (0.29)90th Percentile 7.73 8.87 1.15 11.37 1.81 (0.60)
BlackRockEmg Mkts Index 19.24 11.78 1.53 13.52 2.82 (0.02)
MSCI EM - EmergingMkts (USD Net Div) 19.49 11.87 1.54 13.51 2.88 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Financials
24.824.7
25.9
Information Technology
15.515.1
18.4
Consumer Discretionary
12.5
50
%M
gr
MV
50
%M
gr
MV
13.113.6
Communication Services
11.211.6
9.8
Energy
7.97.77.6
Materials
7.27.3
5.5
Consumer Staples
6.66.9
7.6
Industrials
5.35.45.3
Real Estate
2.82.9
1.8
Utilities
2.72.8
1.2
Health Care
2.52.6
2.0
Miscellaneous
1.0
1.3
BlackRock Emg Mkts Index
MSCI EM - Emerging Mkts (USD Net Div) Callan Emerging Broad
Sector DiversificationManager 2.77 sectors
Index 2.79 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60% 70% 80%
Developing Asia
61.9
50
%M
gr
MV
50
%M
gr
MV
63.6
55.2
Mid East / Africa / Other
18.6
18.1
15.3
Latin America
12.1
11.8
14.0
Emerging Europe
6.4
6.3
8.6
Developed Markets
0.8
6.2
Frontier Markets
0.2
0.2
0.4
BlackRock Emg Mkts Index
MSCI EM - Emerging Mkts (USD Net Div) Callan Emerging Broad
Country DiversificationManager 2.58 countries
Index 2.58 countries
143Pennsylvania SERS
Country AllocationBlackRock Emg Mkts Index VS MSCI EM - Emerging Mkts (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Argentina0.20.2
Brazil7.87.6
Chile1.01.0
China30.8
31.9
Colombia0.40.4
Czech Republic0.10.1
Egypt0.20.2
Greece0.30.3
Hungary0.30.3
India9.1
8.9
Indonesia2.12.1
Malaysia2.12.0
Mexico2.62.5
Pakistan
Peru0.40.4
Philippines1.11.1
Poland1.01.0
Qatar1.11.0
Russia4.04.0
Saudi Arabia2.72.6
South Africa4.84.7
South Korea12.5
12.2
Taiwan11.611.5
Thailand1.6
2.9
Turkey0.60.6
United Arab Emirates0.70.7
United States0.8
Percent of Portfolio
BlackRock Emg Mkts Index MSCI EM
Index Rtns
(46.83%)
(4.58%)
(7.32%)
(4.73%)
(6.12%)
(10.13%)
7.44%
(3.07%)
(3.92%)
(5.15%)
(5.19%)
(6.31%)
(1.72%)
1.09%
(9.26%)
(4.64%)
(12.12%)
(0.22%)
(1.39%)
(9.50%)
(12.60%)
(4.51%)
5.19%
(5.97%)
11.65%
(0.16%)
0.10%
Manager Total Return: (4.26%)
Index Total Return: (4.25%)
144Pennsylvania SERS
Leading Edge Emg Mkts FundPeriod Ended September 30, 2019
Quarterly Summary and HighlightsLeading Edge Emg Mkts Fund’s portfolio posted a (3.26)%return for the quarter placing it in the 47 percentile of theCallan Emerging Broad group for the quarter and in the 52percentile for the last three-quarter year.
Leading Edge Emg Mkts Fund’s portfolio outperformed theMSCI EM by 0.99% for the quarter and outperformed theMSCI EM for the three-quarter year by 3.69%.
Quarterly Asset Growth
Beginning Market Value $219,794,480
Net New Investment $-283,039
Investment Gains/(Losses) $-7,151,921
Ending Market Value $212,359,520
Performance vs Callan Emerging Broad (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last 3/4 Year
(47)(77)
(52)
(77)
10th Percentile (1.41) 14.4725th Percentile (2.03) 12.57
Median (3.37) 9.6775th Percentile (4.19) 6.2890th Percentile (5.14) 3.40
Leading EdgeEmg Mkts Fund (3.26) 9.58
MSCI EM (4.25) 5.90
Portfolio Characteristics asa Percentage of the MSCI EM
0% 50% 100% 150%
Forecast Earnings Growth
13.3
14.2
13.5
Yield
2.5
2.5
2.9
Price/Book
1.6
1.9
1.5
Forecast Price/Earnings
12.4
13.0
11.9
Wght Median Market Cap
12.1
19.7
19.5
Leading Edge Emg Mkts Fund Callan Emerging Broad MSCI EM
Cumulative Returns vs MSCI EM
Cum
ula
tive
Re
lative
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
2019
Leading Edge Emg Mkts Fund
Callan Emerging Broad
145Pennsylvania SERS
Current Holdings Based Style AnalysisLeading Edge Emg Mkts FundAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market.The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Emerging BroadHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Leading Edge Emg Mkts Fund
MSCI EM
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
12.9% (28) 14.4% (17) 23.6% (27) 50.9% (72)
6.7% (27) 6.1% (20) 13.2% (26) 26.0% (73)
5.4% (26) 8.2% (20) 7.0% (25) 20.6% (71)
1.0% (3) 1.6% (6) 0.0% (0) 2.6% (9)
26.0% (84) 30.3% (63) 43.8% (78) 100.0% (225)
16.7% (84) 17.8% (72) 28.4% (88) 62.8% (244)
9.9% (179) 8.1% (167) 9.5% (189) 27.5% (535)
4.2% (174) 2.7% (117) 2.3% (92) 9.2% (383)
0.1% (9) 0.3% (2) 0.0% (2) 0.4% (13)
30.8% (446) 28.9% (358) 40.3% (371) 100.0% (1175)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
26.0%
(84) 30.8%
(446)
30.3%
(63)
28.9%
(358)
43.8%
(78)
40.3%
(371)
Bar #1=Leading Edge Emg Mkts Fund (Combined Z: 0.12 Growth Z: 0.09 Value Z: -0.03)
Bar #2=MSCI EM (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH
1.1 0.0
10.211.7
14.913.3
7.8 7.0
10.37.8
24.7 23.9
2.7 2.7
6.1 5.4
0.2 0.01.6
2.8
6.07.4
1.42.7
13.115.4
Bar #1=Leading Edge Emg Mkts Fund
Bar #2=MSCI EM
Value
Core
Growth
146Pennsylvania SERS
Leading Edge Emg Mkts FundEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Broadas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(82)
(51)(57)
(61)(65)(65)
(69)(65)
(50)
(34)
(59)(66)
10th Percentile 40.40 19.49 3.22 17.90 3.65 0.7925th Percentile 30.42 15.45 2.41 16.15 3.29 0.49
Median 19.66 13.04 1.89 14.19 2.47 0.2375th Percentile 14.87 10.08 1.38 12.31 2.11 (0.29)90th Percentile 7.73 8.87 1.15 11.37 1.81 (0.60)
Leading EdgeEmg Mkts Fund 12.09 12.38 1.59 13.26 2.45 0.12
MSCI EM - EmergingMkts (USD Net Div) 19.49 11.87 1.54 13.51 2.88 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Financials
25.124.7
25.9
Consumer Discretionary
14.313.113.6
Information Technology
13.1
50
%M
gr
MV
50
%M
gr
MV
15.118.4
Energy
10.07.77.6
Communication Services
8.611.6
9.8
Consumer Staples
7.96.9
7.6
Industrials
5.35.45.3
Materials
5.27.3
5.5
Miscellaneous
3.0
1.3
Health Care
2.62.6
2.0
Real Estate
2.22.9
1.8
Utilities
1.52.8
1.2
Pooled Vehicles
1.2
Leading Edge Emg Mkts Fund
MSCI EM - Emerging Mkts (USD Net Div) Callan Emerging Broad
Sector DiversificationManager 2.81 sectors
Index 2.79 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60% 70% 80%
Developing Asia53.9
50
%M
gr
MV
50
%M
gr
MV
63.655.2
Latin America15.8
11.814.0
Mid East / Africa / Other12.0
18.115.3
Emerging Europe10.3
6.38.6
Developed Markets6.6
6.2
Frontier Markets1.3
0.20.4
Emerging Countries0.1
Leading Edge Emg Mkts Fund
MSCI EM - Emerging Mkts (USD Net Div) Callan Emerging Broad
Country DiversificationManager 3.48 countries
Index 2.58 countries
147Pennsylvania SERS
Country AllocationLeading Edge Emg Mkts Fund VS MSCI EM - Emerging Mkts (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Argentina1.2
0.2
Brazil9.8
7.6
Cambodia0.1
Chile0.71.0
China27.1
31.9
Colombia0.40.4
Czech Republic 0.1
Egypt0.30.2
Emerging Countries0.1
Greece1.7
0.3
Hong Kong1.9
Hungary 0.3
India6.1
8.9
Indonesia3.5
2.1
Kenya0.1
Malaysia1.5
2.0
Mexico3.2
2.5
Netherlands0.3
Nigeria0.1
Pakistan
Peru1.6
0.4
Philippines2.5
1.1
Poland1.2
1.0
Qatar 1.0
Russia6.3
4.0
Saudi Arabia 2.6
Singapore1.0
South Africa4.9
4.7
South Korea6.2
12.2
Taiwan10.1
11.5
Thailand2.82.9
Turkey1.1
0.6
United Arab Emirates0.60.7
United Kingdom0.2
United States3.3
Percent of Portfolio
Leading Edge Emg Mkts Fund MSCI EM
Index Rtns
(46.83%)
(4.58%)
-
(7.32%)
(4.73%)
(6.12%)
(10.13%)
7.44%
-
(3.07%)
(11.94%)
(3.92%)
(5.15%)
(5.19%)
2.14%
(6.31%)
(1.72%)
2.51%
(11.29%)
1.09%
(9.26%)
(4.64%)
(12.12%)
(0.22%)
(1.39%)
(9.50%)
(5.77%)
(12.60%)
(4.51%)
5.19%
(5.97%)
11.65%
(0.16%)
(2.48%)
0.10%
Manager Total Return: (3.26%)
Index Total Return: (4.25%)
148Pennsylvania SERS
Macquarie Emerging Markets EquityPeriod Ended September 30, 2019
Investment PhilosophyMacquarie believes that market price and intrinsic business value are correlated in the long-run and short-term divergencesoffer disciplined, bottom-up, fundamental investors, attractive risk-adjusted opportunities. The team defines intrinsic valueas the appropriately discounted value of a business’ cash flow stream. They buy only when the business trades at asignificant discount to their intrinsic value estimate. The team focuses resources on franchises, defined as thosecompanies with high potential to earn excess returns above their cost of capital over the long-run. The team aims tocapture market inefficiencies by: 1. Judging a franchise’s sustainability and secular growth prospects better than the market2. Maintaining a long-term, structural bias to capture franchises oversold due to temporary setbacks 3. Exploiting publicmarket and private market valuation discrepancies 4. Buying assets below their replacement costs.
Quarterly Summary and HighlightsMacquarie Emerging Markets Equity’s portfolio posted a(1.66)% return for the quarter placing it in the 15 percentileof the Callan Emerging Broad group for the quarter and inthe 70 percentile for the last year.
Macquarie Emerging Markets Equity’s portfoliooutperformed the MSCI EM by 2.58% for the quarter andoutperformed the MSCI EM for the year by 0.62%.
Quarterly Asset Growth
Beginning Market Value $415,751,110
Net New Investment $-76,253
Investment Gains/(Losses) $-6,911,691
Ending Market Value $408,763,166
Performance vs Callan Emerging Broad (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 6-1/4Year Years
(15)(77)
(73)(77)
(70)(75) (72)(64)
(29)(67)
(64)(75)
(44)(82)
10th Percentile (1.41) 14.47 7.15 2.14 9.53 6.27 6.9325th Percentile (2.03) 12.57 3.88 0.94 8.35 5.11 5.90
Median (3.37) 9.67 1.85 (0.53) 7.08 3.92 4.9575th Percentile (4.19) 6.28 (1.80) (1.97) 5.61 2.34 3.9690th Percentile (5.14) 3.40 (4.33) (3.44) 4.63 1.66 3.23
Macquarie EmergingMarkets Equity (1.66) 6.50 (1.38) (1.85) 8.06 3.13 5.28
MSCI EM (4.25) 5.90 (2.01) (1.41) 5.98 2.33 3.47
Portfolio Characteristics asa Percentage of the MSCI EM
0% 50% 100% 150% 200% 250% 300% 350%
Forecast Earnings Growth10.2
14.213.5
Yield2.42.5
2.9
Price/Book1.7
1.91.5
Forecast Price/Earnings15.3
13.011.9
Wght Median Market Cap50.2
19.719.5
Macquarie Emerging Markets Equity Callan Emerging Broad
MSCI EM
Callan Emerging Broad (Gross)Annualized Five Year Risk vs Return
11 12 13 14 15 16 17 18 190%
1%
2%
3%
4%
5%
6%
7%
8%
Macquarie Emerging Markets Equity
MSCI EM
Standard Deviation
Re
turn
s
149Pennsylvania SERS
Macquarie Emerging Markets EquityReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Emerging Broad (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
60%
12/18- 9/19 2018 2017 2016 2015 2014
(73)(77)
(21)(32)
(29)(61)
(54)(55)
(47)(68)(90)(68)
10th Percentile 14.47 (12.27) 49.17 19.11 (7.68) 2.9525th Percentile 12.57 (13.65) 43.69 14.72 (10.38) 0.57
Median 9.67 (15.34) 39.31 11.58 (13.68) (1.09)75th Percentile 6.28 (17.31) 34.93 9.03 (15.34) (3.04)90th Percentile 3.40 (20.11) 29.11 5.63 (17.93) (5.42)
Macquarie EmergingMarkets Equity 6.50 (13.41) 43.52 11.34 (13.17) (5.74)
MSCI EM 5.90 (14.57) 37.28 11.19 (14.92) (2.19)
Cumulative and Quarterly Relative Return vs MSCI EM
Re
lative
Re
turn
s
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
2014 2015 2016 2017 2018 2019
Macquarie Emerging Markets Equity Callan Emerging Broad
Risk Adjusted Return Measures vs MSCI EMRankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
(2)
(1)
0
1
2
3
4
5
Alpha Sharpe Excess ReturnRatio Ratio
(63)
(67) (65)
10th Percentile 3.92 0.34 0.9225th Percentile 2.79 0.27 0.63
Median 1.60 0.19 0.3475th Percentile 0.05 0.09 0.0190th Percentile (0.59) 0.05 (0.23)
Macquarie EmergingMarkets Equity 0.86 0.13 0.17
150Pennsylvania SERS
Macquarie Emerging Markets EquityRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
1 2 3 4 5 6 7 8 9 10(2 )
(1 )
0
1
2
3
4
5
6
Macquarie Emerging Markets Equity
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI EM - Emerging Mkts (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
80%90%
100%110%120%130%140%150%160%
Up Market DownCapture Market Capture
(39)(19)
10th Percentile 144.14 104.6925th Percentile 125.23 102.00
Median 109.65 98.1375th Percentile 100.05 93.0190th Percentile 90.48 87.81
Macquarie EmergingMarkets Equity 113.25 103.07
Risk Statistics Rankings vs MSCI EM - Emerging Mkts (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(10)
(22)(26)
10th Percentile 16.11 3.76 6.0025th Percentile 15.32 2.94 4.71
Median 14.94 2.29 3.8575th Percentile 14.43 1.88 3.1290th Percentile 13.30 1.56 2.56
Macquarie EmergingMarkets Equity 16.17 2.98 4.65
0.80
0.85
0.90
0.95
1.00
1.05
1.10
1.15
Beta R-Squared
(12)
(63)
10th Percentile 1.08 0.9725th Percentile 1.03 0.96
Median 1.00 0.9375th Percentile 0.96 0.9190th Percentile 0.85 0.86
Macquarie EmergingMarkets Equity 1.07 0.92
151Pennsylvania SERS
Current Holdings Based Style AnalysisMacquarie Emerging Markets EquityAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market.The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Emerging BroadHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
MSCI EM
Macquarie Emerging Markets Equity
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
22.6% (21) 19.2% (9) 29.4% (13) 71.3% (43)
2.2% (10) 14.0% (21) 3.2% (10) 19.3% (41)
1.1% (5) 5.3% (13) 1.4% (9) 7.9% (27)
0.3% (6) 1.0% (8) 0.2% (2) 1.5% (16)
26.3% (42) 39.5% (51) 34.2% (34) 100.0% (127)
16.7% (84) 17.8% (72) 28.4% (88) 62.8% (244)
9.9% (179) 8.1% (167) 9.5% (189) 27.5% (535)
4.2% (174) 2.7% (117) 2.3% (92) 9.2% (383)
0.1% (9) 0.3% (2) 0.0% (2) 0.4% (13)
30.8% (446) 28.9% (358) 40.3% (371) 100.0% (1175)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
26.3%
(42) 30.8%
(446) 39.5%
(51)
28.9%
(358) 34.2%
(34) 40.3%
(371)
Bar #1=Macquarie Emerging Markets Equity (Combined Z: 0.11 Growth Z: -0.07 Value Z: -0.
Bar #2=MSCI EM (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
0.3 0.0
18.6
11.7 12.1 13.314.9
7.0
16.1
7.8 7.9
23.9
1.6 2.71.0
5.4
0.52.8 3.6
7.4
0.42.7
22.9
15.4
Bar #1=Macquarie Emerging Markets Equity
Bar #2=MSCI EM
Value
Core
Growth
152Pennsylvania SERS
Macquarie Emerging Markets EquityEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Broadas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(3)
(51)
(26)
(61) (61)(65)
(93)
(65)
(53)
(34)
(59)(66)
10th Percentile 40.40 19.49 3.22 17.90 3.65 0.7925th Percentile 30.42 15.45 2.41 16.15 3.29 0.49
Median 19.66 13.04 1.89 14.19 2.47 0.2375th Percentile 14.87 10.08 1.38 12.31 2.11 (0.29)90th Percentile 7.73 8.87 1.15 11.37 1.81 (0.60)
Macquarie EmergingMarkets Equity 50.23 15.34 1.73 10.23 2.41 0.11
MSCI EM - EmergingMkts (USD Net Div) 19.49 11.87 1.54 13.51 2.88 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Information Technology
23.015.1
18.4
Communication Services
18.011.6
9.8
Energy
16.7
50
%M
gr
MV
50
%M
gr
MV
7.77.6
Consumer Staples
15.56.9
7.6
Consumer Discretionary
10.913.113.6
Financials
7.524.7
25.9
Materials
3.87.3
5.5
Health Care
1.72.6
2.0
Industrials
0.95.45.3
Miscellaneous
0.9
1.3
Utilities
0.52.8
1.2
Real Estate
0.42.9
1.8
Pooled Vehicles
0.2
Macquarie Emerging Markets Equity
MSCI EM - Emerging Mkts (USD Net Div) Callan Emerging Broad
Sector DiversificationManager 2.54 sectors
Index 2.79 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60% 70% 80%
Developing Asia
57.6
50
%M
gr
MV
50
%M
gr
MV
63.6
55.2
Latin America
18.5
11.8
14.0
Mid East / Africa / Other
10.8
18.1
15.3
Emerging Europe
8.9
6.3
8.6
Developed Markets
3.3
6.2
Frontier Markets
0.8
0.2
0.4
Macquarie Emerging Markets Equity
MSCI EM - Emerging Mkts (USD Net Div) Callan Emerging Broad
Country DiversificationManager 2.25 countries
Index 2.58 countries
153Pennsylvania SERS
Country AllocationMacquarie Emerging Markets Equity VS MSCI EM - Emerging Mkts (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Argentina0.8
0.2
Brazil12.0
7.6
Chile0.71.0
China28.6
31.9
Colombia 0.4
Czech Republic 0.1
Egypt 0.2
France
Greece 0.3
Hungary 0.3
India10.1
8.9
Indonesia0.7
2.1
Israel0.2
Malaysia0.1
2.0
Mexico4.9
2.5
Netherlands
Pakistan
Peru1.0
0.4
Philippines 1.1
Poland 1.0
Qatar 1.0
Russia7.7
4.0
Saudi Arabia 2.6
South Africa0.7
4.7
South Korea18.5
12.2
Taiwan9.8
11.5
Thailand 2.9
Turkey1.2
0.6
United Arab Emirates 0.7
United Kingdom0.2
United States2.8
Percent of Portfolio
Macquarie Emerging Markets Equity MSCI EM
Index Rtns
(46.83%)
(4.58%)
(7.32%)
(4.73%)
(6.12%)
(10.13%)
7.44%
(1.64%)
(3.07%)
(3.92%)
(5.15%)
(5.19%)
(3.65%)
(6.31%)
(1.72%)
2.51%
1.09%
(9.26%)
(4.64%)
(12.12%)
(0.22%)
(1.39%)
(9.50%)
(12.60%)
(4.51%)
5.19%
(5.97%)
11.65%
(0.16%)
(2.48%)
0.10%
Manager Total Return: (1.66%)
Index Total Return: (4.25%)
154Pennsylvania SERS
Martin CurriePeriod Ended September 30, 2019
Investment PhilosophyThe Martin Currie GEMs team builds long-term, high conviction stock-focused portfolios, driven by fundamental researchwithin an appropriate risk framework. Their primary belief with regard to GEMs investing is that sustainable cash flows andthe effective allocation of capital are the main determinants of share-price movement over the long term. They seek toidentify those emerging-market companies that can sustain cash-flow growth and generate returns in excess of their cost ofcapital. They believe that it takes a long time for the success of a business model to become fully apparent, so theytypically invest with a three-to-five-year horizon. The Martin Currie GEMs team believes that an assessment of a companyenvironmental, social and governance (ESG) performance, or sustainability, can help identify those business models thatare most likely to sustain high returns and resist competitive pressures.
Quarterly Summary and HighlightsMartin Currie’s portfolio posted a (0.92)% return for thequarter placing it in the 6 percentile of the Callan EmergingBroad group for the quarter and in the 34 percentile for thelast year.
Martin Currie’s portfolio outperformed the MSCI EM by3.32% for the quarter and outperformed the MSCI EM forthe year by 5.02%.
Quarterly Asset Growth
Beginning Market Value $435,931,557
Net New Investment $-889,540
Investment Gains/(Losses) $-4,070,619
Ending Market Value $430,971,398
Performance vs Callan Emerging Broad (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 5-1/2Year Years
(6)
(77)
(26)
(77)
(34)
(75)(35)
(64)
(4)
(67) (12)
(75)
(15)
(84)
10th Percentile (1.41) 14.47 7.15 2.14 9.53 6.27 6.2825th Percentile (2.03) 12.57 3.88 0.94 8.35 5.11 5.00
Median (3.37) 9.67 1.85 (0.53) 7.08 3.92 4.2275th Percentile (4.19) 6.28 (1.80) (1.97) 5.61 2.34 2.9390th Percentile (5.14) 3.40 (4.33) (3.44) 4.63 1.66 2.32
Martin Currie (0.92) 12.38 3.01 0.40 10.48 6.00 5.70
MSCI EM (4.25) 5.90 (2.01) (1.41) 5.98 2.33 2.64
Portfolio Characteristics asa Percentage of the MSCI EM
0% 50% 100% 150% 200% 250% 300% 350%
Forecast Earnings Growth
17.814.2
13.5
Yield
2.12.5
2.9
Price/Book
2.41.9
1.5
Forecast Price/Earnings
15.113.0
11.9
Wght Median Market Cap
53.919.719.5
Martin Currie Callan Emerging Broad MSCI EM
Callan Emerging Broad (Gross)Annualized Five Year Risk vs Return
11 12 13 14 15 16 17 18 190%
1%
2%
3%
4%
5%
6%
7%
8%
Martin Currie
MSCI EM
Standard Deviation
Re
turn
s
155Pennsylvania SERS
Martin CurrieReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Emerging Broad (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
60%
12/18- 9/19 2018 2017 2016 2015 2014
(26)(77)
(66)(32)
(5)
(61)
(38)(55)
(47)(68)(94)
(68)
10th Percentile 14.47 (12.27) 49.17 19.11 (7.68) 2.9525th Percentile 12.57 (13.65) 43.69 14.72 (10.38) 0.57
Median 9.67 (15.34) 39.31 11.58 (13.68) (1.09)75th Percentile 6.28 (17.31) 34.93 9.03 (15.34) (3.04)90th Percentile 3.40 (20.11) 29.11 5.63 (17.93) (5.42)
Martin Currie 12.38 (16.65) 50.51 13.17 (12.95) (6.51)
MSCI EM 5.90 (14.57) 37.28 11.19 (14.92) (2.19)
Cumulative and Quarterly Relative Return vs MSCI EM
Re
lative
Re
turn
s
(10%)
(5%)
0%
5%
10%
15%
20%
2016 2017 2018 2019
Martin Currie Callan Emerging Broad
Risk Adjusted Return Measures vs MSCI EMRankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
(2)
(1)
0
1
2
3
4
5
Alpha Sharpe Excess ReturnRatio Ratio
(12)
(14)(10)
10th Percentile 3.92 0.34 0.9225th Percentile 2.79 0.27 0.63
Median 1.60 0.19 0.3475th Percentile 0.05 0.09 0.0190th Percentile (0.59) 0.05 (0.23)
Martin Currie 3.64 0.31 0.92
156Pennsylvania SERS
Martin CurrieRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
1 2 3 4 5 6 7 8 9 10(2 )
(1 )
0
1
2
3
4
5
6
Martin Currie
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI EM - Emerging Mkts (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
80%90%
100%110%120%130%140%150%160%
Up Market DownCapture Market Capture
(13)
(49)
10th Percentile 144.14 104.6925th Percentile 125.23 102.00
Median 109.65 98.1375th Percentile 100.05 93.0190th Percentile 90.48 87.81
Martin Currie 139.22 98.40
Risk Statistics Rankings vs MSCI EM - Emerging Mkts (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(14)
(79)
(45)
10th Percentile 16.11 3.76 6.0025th Percentile 15.32 2.94 4.71
Median 14.94 2.29 3.8575th Percentile 14.43 1.88 3.1290th Percentile 13.30 1.56 2.56
Martin Currie 15.98 1.77 3.97
0.80
0.85
0.90
0.95
1.00
1.05
1.10
1.15
Beta R-Squared
(13)
(44)
10th Percentile 1.08 0.9725th Percentile 1.03 0.96
Median 1.00 0.9375th Percentile 0.96 0.9190th Percentile 0.85 0.86
Martin Currie 1.07 0.94
157Pennsylvania SERS
Current Holdings Based Style AnalysisMartin CurrieAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market.The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Emerging BroadHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
Martin Currie
MSCI EM
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
8.2% (4) 26.0% (10) 44.5% (16) 78.7% (30)
3.3% (4) 1.5% (2) 8.6% (5) 13.4% (11)
0.0% (0) 1.8% (2) 3.5% (2) 5.2% (4)
0.0% (0) 2.7% (2) 0.0% (0) 2.7% (2)
11.6% (8) 32.0% (16) 56.5% (23) 100.0% (47)
16.7% (84) 17.8% (72) 28.4% (88) 62.8% (244)
9.9% (179) 8.1% (167) 9.5% (189) 27.5% (535)
4.2% (174) 2.7% (117) 2.3% (92) 9.2% (383)
0.1% (9) 0.3% (2) 0.0% (2) 0.4% (13)
30.8% (446) 28.9% (358) 40.3% (371) 100.0% (1175)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
Value Core Growth
11.6%
(8)
30.8%
(446)
32.0%
(16)
28.9%
(358)
56.5%
(23)
40.3%
(371)
Bar #1=Martin Currie (Combined Z: 0.59 Growth Z: 0.25 Value Z: -0.34)
Bar #2=MSCI EM (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
30%
35%
40%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH PUBUTL RAWMAT TECH INDEQU REALES
8.611.7
17.9
13.3
2.2
7.0 7.1 7.8
27.7
23.9
2.5 2.7 2.0 2.8
6.9 7.4
25.1
15.4
0.0
5.4
0.02.7
Bar #1=Martin Currie
Bar #2=MSCI EM
Value
Core
Growth
158Pennsylvania SERS
Martin CurrieEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Broadas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(2)
(51)
(27)
(61)
(24)
(65)
(11)
(65)(72)
(34)
(20)
(66)
10th Percentile 40.40 19.49 3.22 17.90 3.65 0.7925th Percentile 30.42 15.45 2.41 16.15 3.29 0.49
Median 19.66 13.04 1.89 14.19 2.47 0.2375th Percentile 14.87 10.08 1.38 12.31 2.11 (0.29)90th Percentile 7.73 8.87 1.15 11.37 1.81 (0.60)
Martin Currie 53.91 15.06 2.42 17.80 2.14 0.59
MSCI EM - EmergingMkts (USD Net Div) 19.49 11.87 1.54 13.51 2.88 (0.02)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Financials
27.624.7
25.9
Information Technology
25.0
50
%M
gr
MV
50
%M
gr
MV
15.118.4
Consumer Discretionary
17.813.113.6
Communication Services
8.611.6
9.8
Energy
7.07.77.6
Materials
6.87.3
5.5
Health Care
2.52.6
2.0
Consumer Staples
2.26.9
7.6
Utilities
2.02.8
1.2
Industrials
0.45.45.3
Miscellaneous 1.3
Real Estate 2.91.8
Martin Currie MSCI EM - Emerging Mkts (USD Net Div)
Callan Emerging Broad
Sector DiversificationManager 1.90 sectors
Index 2.79 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60% 70% 80%
Developing Asia
57.2
50
%M
gr
MV
50
%M
gr
MV
63.6
55.2
Mid East / Africa / Other
15.5
18.1
15.3
Latin America
12.8
11.8
14.0
Emerging Europe
7.7
6.3
8.6
Developed Markets
6.9
6.2
Frontier Markets 0.2
0.4
Martin Currie MSCI EM - Emerging Mkts (USD Net Div)
Callan Emerging Broad
Country DiversificationManager 2.68 countries
Index 2.58 countries
159Pennsylvania SERS
Country AllocationMartin Currie VS MSCI EM - Emerging Mkts (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30% 35% 40%
Argentina 0.2
Brazil7.0
7.6
Chile 1.0
China26.3
31.9
Colombia 0.4
Czech Republic 0.1
Egypt 0.2
Greece 0.3
Hong Kong3.7
Hungary2.9
0.3
India13.2
8.9
Indonesia3.3
2.1
Malaysia0.9
2.0
Mexico2.12.5
Netherlands1.1
Pakistan
Peru3.7
0.4
Philippines0.91.1
Poland 1.0
Qatar 1.0
Russia4.04.0
Saudi Arabia 2.6
South Africa2.3
4.7
South Korea14.7
12.2
Taiwan11.1
11.5
Thailand 2.9
Turkey0.70.6
United Arab Emirates 0.7
United States2.1
Percent of Portfolio
Martin Currie MSCI EM
Index Rtns
(46.83%)
(4.58%)
(7.32%)
(4.73%)
(6.12%)
(10.13%)
7.44%
(3.07%)
(11.94%)
(3.92%)
(5.15%)
(5.19%)
(6.31%)
(1.72%)
2.51%
1.09%
(9.26%)
(4.64%)
(12.12%)
(0.22%)
(1.39%)
(9.50%)
(12.60%)
(4.51%)
5.19%
(5.97%)
11.65%
(0.16%)
0.10%
Manager Total Return: (0.92%)
Index Total Return: (4.25%)
160Pennsylvania SERS
GlobeFlex Emerging Small CapPeriod Ended September 30, 2019
Investment PhilosophyGlobeFlex is an active equity manager focused on bottom-up, stock selection. Their philosophy is based on the earlyidentification of fundamental growth before it is recognized by other investors, defined by: Business Improvement: Findingcompanies with accelerating business conditions to identify early signs of growth; Management Quality: Evaluating thelong-term growth sustainability through in-depth analysis of prospective operating performance and management’s skill toincrease shareholder wealth; and Relative Value: Recognizing accelerating business conditions early, buying and holdingcompanies below fair market value given future growth prospects.
Quarterly Summary and HighlightsGlobeFlex Emerging Small Cap’s portfolio posted a (7.21)%return for the quarter placing it in the 99 percentile of theCallan Emerging Broad group for the quarter and in the 100percentile for the last year.
GlobeFlex Emerging Small Cap’s portfolio underperformedthe MSCI EM Small Cap by 2.63% for the quarter andunderperformed the MSCI EM Small Cap for the year by1.69%.
Quarterly Asset Growth
Beginning Market Value $94,607,772
Net New Investment $-150,649
Investment Gains/(Losses) $-6,823,829
Ending Market Value $87,633,294
Performance vs Callan Emerging Broad (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 6 YearsYear
(99)
(82)
(86)
(94)
(100)(93) (99)(99)
(85)
(100) (91)(100)
(74)(98)
10th Percentile (1.41) 14.47 7.15 2.14 9.53 6.27 6.2125th Percentile (2.03) 12.57 3.88 0.94 8.35 5.11 5.25
Median (3.37) 9.67 1.85 (0.53) 7.08 3.92 4.0675th Percentile (4.19) 6.28 (1.80) (1.97) 5.61 2.34 2.9190th Percentile (5.14) 3.40 (4.33) (3.44) 4.63 1.66 2.25
GlobeFlexEmerging Small Cap (7.21) 4.94 (7.18) (4.99) 5.00 1.58 2.98
MSCI EM Small Cap (4.58) 1.82 (5.48) (4.85) 1.32 (0.13) 1.31
Relative Return vs MSCI EM Small Cap
Rela
tive
Re
turn
s
(6%)
(4%)
(2%)
0%
2%
4%
6%
2016 2017 2018 2019
GlobeFlex Emerging Small Cap
Callan Emerging Broad (Gross)Annualized Five Year Risk vs Return
11 12 13 14 15 16 17 18 19(1%)
0%
1%
2%
3%
4%
5%
6%
7%
8%
GlobeFlex Emerging Small Cap
MSCI EM Small Cap
Standard Deviation
Re
turn
s
161Pennsylvania SERS
GlobeFlex Emerging Small CapReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Emerging Broad (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
50%
60%
12/18- 9/19 2018 2017 2016 2015 2014
(86)(94)
(76)(88)
(48)(80)
(89)(99)
(33)(4)
(7)(17)
10th Percentile 14.47 (12.27) 49.17 19.11 (7.68) 2.9525th Percentile 12.57 (13.65) 43.69 14.72 (10.38) 0.57
Median 9.67 (15.34) 39.31 11.58 (13.68) (1.09)75th Percentile 6.28 (17.31) 34.93 9.03 (15.34) (3.04)90th Percentile 3.40 (20.11) 29.11 5.63 (17.93) (5.42)
GlobeFlexEmerging Small Cap 4.94 (17.68) 39.35 5.69 (11.86) 3.70
MSCI EM Small Cap 1.82 (18.59) 33.84 2.28 (6.85) 1.01
Cumulative and Quarterly Relative Return vs MSCI EM Small Cap
Re
lative
Re
turn
s
(10%)
(5%)
0%
5%
10%
15%
20%
25%
2014 2015 2016 2017 2018 2019
GlobeFlex Emerging Small Cap Callan Emerging Broad
Risk Adjusted Return Measures vs MSCI EM Small CapRankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
0
1
2
3
4
5
6
7
8
Alpha Sharpe Excess ReturnRatio Ratio
(90)
(91) (92)
10th Percentile 6.41 0.34 1.1825th Percentile 5.16 0.27 1.01
Median 4.04 0.19 0.6275th Percentile 2.59 0.09 0.4790th Percentile 1.85 0.05 0.30
GlobeFlex Emerging Small Cap 1.86 0.04 0.28
162Pennsylvania SERS
GlobeFlex Emerging Small CapRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
3 4 5 6 7 8 9 10 110
1
2
3
4
5
6
7
8
GlobeFlex Emerging Small Cap
Tracking Error
Exce
ss R
etu
rn
Market Capture vs MSCI EM Small Cap Index (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
60%
80%
100%
120%
140%
160%
180%
Up Market DownCapture Market Capture
(84)(22)
10th Percentile 153.26 92.2125th Percentile 132.18 89.59
Median 117.72 85.9675th Percentile 108.14 80.9890th Percentile 97.97 75.34
GlobeFlex Emerging Small Cap 102.65 90.09
Risk Statistics Rankings vs MSCI EM Small Cap Index (USD Net Div)Rankings Against Callan Emerging Broad (Gross)Five Years Ended September 30, 2019
0%2%4%6%8%
10%12%14%16%18%
Standard Downside TrackingDeviation Risk Error
(20)
(8)(27)
10th Percentile 16.14 4.13 7.0525th Percentile 15.32 3.29 6.26
Median 14.96 2.84 5.6075th Percentile 14.57 2.23 4.9790th Percentile 13.33 1.87 4.47
GlobeFlexEmerging Small Cap 15.40 4.16 6.15
0.75
0.80
0.85
0.90
0.95
1.00
1.05
1.10
Beta R-Squared
(30)
(71)
10th Percentile 1.06 0.9125th Percentile 1.00 0.89
Median 0.97 0.8775th Percentile 0.93 0.8390th Percentile 0.80 0.79
GlobeFlexEmerging Small Cap 0.99 0.84
163Pennsylvania SERS
Current Holdings Based Style AnalysisGlobeFlex Emerging Small CapAs of September 30, 2019
This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market.The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.
Style Map vs Callan Emerging BroadHoldings as of September 30, 2019
Value Core Growth
Mega
Large
Mid
Small
Micro
GlobeFlex Emerging Small Cap
MSCI EM Small Cap
Style Exposure MatrixHoldings as of September 30, 2019
Large
Mid
Small
Micro
Total
Value Core Growth Total
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.0% (0) 1.9% (2) 0.0% (0) 1.9% (2)
17.6% (21) 17.1% (17) 10.3% (8) 45.1% (46)
18.6% (27) 23.7% (26) 10.7% (15) 53.0% (68)
36.2% (48) 42.8% (45) 21.0% (23) 100.0% (116)
0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)
0.1% (1) 1.0% (3) 0.5% (1) 1.6% (5)
14.1% (156) 23.5% (243) 27.5% (265) 65.1% (664)
10.8% (330) 12.7% (338) 9.7% (259) 33.3% (927)
25.0% (487) 37.2% (584) 37.8% (525) 100.0% (1596)
Combined Z-Score Style DistributionHoldings as of September 30, 2019
0%
10%
20%
30%
40%
50%
60%
70%
Value Core Growth
36.2%
(48)
25.0%
(487)
42.8%
(45)
37.2%
(584)
21.0%
(23)
37.8%
(525)
Bar #1=GlobeFlex Emerging Small Cap (Combined Z: -0.35 Growth Z: 0.19 Value Z: 0.54)
Bar #2=MSCI EM Small Cap (Combined Z: -0.03 Growth Z: -0.01 Value Z: 0.02)
Large
Mid
Small
Micro
Sector Weights DistributionHoldings as of September 30, 2019
0%
5%
10%
15%
20%
25%
COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH
0.4 0.0
3.9 4.1
10.9
14.5
4.4
6.6
3.71.8
8.49.7
8.3 8.09.3
13.5
2.5
5.1
12.6 12.3
18.0
8.6
17.716.0
Bar #1=GlobeFlex Emerging Small Cap
Bar #2=MSCI EM Small Cap
Value
Core
Growth
164Pennsylvania SERS
GlobeFlex Emerging Small CapEquity Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Broadas of September 30, 2019
Pe
rce
ntile
Ra
nkin
g
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score
(99)(99) (97)
(56)
(88)(86)
(1)
(39)
(12)
(37)
(81)
(66)
10th Percentile 40.40 19.49 3.22 17.90 3.65 0.7925th Percentile 30.42 15.45 2.41 16.15 3.29 0.49
Median 19.66 13.04 1.89 14.19 2.47 0.2375th Percentile 14.87 10.08 1.38 12.31 2.11 (0.29)90th Percentile 7.73 8.87 1.15 11.37 1.81 (0.60)
GlobeFlexEmerging Small Cap 0.45 7.84 1.19 18.74 3.55 (0.35)
MSCI EM Small CapIndex (USD Net Div) 1.03 12.47 1.27 15.02 2.76 (0.03)
Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.
Sector AllocationSeptember 30, 2019
0% 5% 10% 15% 20% 25% 30% 35%
Pooled Vehicles
16.6
Real Estate
13.78.5
1.8
Information Technology
13.415.7
18.4
Materials
10.2
50
%M
gr
MV
50
%M
gr
MV
12.25.5
Consumer Discretionary
9.214.1
13.6
Industrials
7.614.2
5.3
Financials
7.39.8
25.9
Health Care
6.67.8
2.0
Miscellaneous
4.0
1.3
Consumer Staples
3.76.5
7.6
Communication Services
3.04.1
9.8
Energy
2.82.2
7.6
Utilities
1.94.9
1.2
GlobeFlex Emerging Small Cap
MSCI EM Small Cap Index (USD Net Div)
Callan Emerging Broad
Sector DiversificationManager 3.61 sectors
Index 3.49 sectors
Regional AllocationSeptember 30, 2019
0% 10% 20% 30% 40% 50% 60% 70% 80%
Developing Asia
61.1
50
%M
gr
MV
50
%M
gr
MV
56.9
55.2
Mid East / Africa / Other
15.3
25.0
15.3
Latin America
10.5
13.2
14.0
Emerging Europe
8.0
4.4
8.6
Developed Markets
5.2
6.2
Frontier Markets 0.5
0.4
GlobeFlex Emerging Small Cap
MSCI EM Small Cap Index (USD Net Div)
Callan Emerging Broad
Country DiversificationManager 3.21 countries
Index 3.08 countries
165Pennsylvania SERS
Country AllocationGlobeFlex Emerging Small Cap VS MSCI EM Small Cap Index (USD Net Div)
Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2019. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.
Country Weights as of September 30, 2019
0% 5% 10% 15% 20% 25% 30%
Argentina 0.5
Brazil5.8
8.7
Chile 1.4
China12.3
10.7
Colombia 0.3
Czech Republic 0.1
Egypt 0.5
Greece1.8
0.8
Hong Kong0.4
Hungary 0.1
India10.8
13.9
Indonesia4.0
2.4
Malaysia1.0
3.1
Mexico4.7
2.8
Pakistan 0.5
Philippines3.2
0.9
Poland1.7
0.9
Qatar 1.1
Russia 1.1
Saudi Arabia 2.6
South Africa4.5
5.6
South Korea11.5
14.9
Taiwan23.9
20.0
Thailand5.0
4.8
Turkey4.5
1.4
United Arab Emirates 0.7
United Kingdom1.0
United States3.8
Percent of Portfolio
GlobeFlex Emerging Small Cap MSCI EM Small Cap
Index Rtns
(39.07%)
1.34%
(9.52%)
(7.89%)
(1.89%)
0.64%
(0.35%)
(1.01%)
(11.94%)
(8.26%)
(9.96%)
(6.26%)
(2.11%)
(0.80%)
(2.26%)
(8.68%)
(17.83%)
(1.76%)
(3.24%)
7.59%
(4.25%)
(10.10%)
4.08%
(7.46%)
9.35%
7.55%
(2.48%)
0.10%
Manager Total Return: (7.21%)
Index Total Return: (4.58%)
166Pennsylvania SERS
Fix
ed
Inco
me
Fixed Income
Domestic Fixed IncomeActive Management Overview
Ten-year U.S. Treasury yields were volatile in the third quarter, especially in September, hitting a 2019 low of 1.40% on Sept.4, soaring to 1.90% mid-month and closing the quarter at 1.68%, down 32 bps from June 30. U.S. Treasuries thus postedstrong results (Bloomberg Barclays US Treasury Index: +2.4%). Long U.S. Treasuries soared (Bloomberg Barclays Long USTreasury Index: +7.9%; +19.8% YTD) in the falling rate environment. The Bloomberg Barclays Aggregate rose 2.3%,bringing its YTD result to an impressive +8.5%. High yield was up just over 1% (+11.4% YTD) but, notably, lower qualitysignificantly underperformed (CCC: -1.8% vs BB: +2.0%, and +5.6% vs +12.8% YTD) representing some concern aboutdeteriorating quality at the lower end of the spectrum. TIPS (Bloomberg Barclays TIPS: +1.3%) underperformed as inflationexpectations waned; 10-year breakeven spreads were 1.53% as of quarter-end, down from 1.69% as of 6/30/19. The10-year real yield dipped briefly into negative territory in early September.
Separate Account Style Group Median Returnsfor Quarter Ended September 30, 2019
0%
2%
4%
6%
8%
10%
0.84
Defensive
1.42
Intermed
2.36
CoreBond
2.34
Core Plus
6.63
ExtendedMaturity
1.24
BankLoans
1.55
High Yield
Re
turn
s
Blmbg Aggregate: 2.27%
Blmbg High Yield: 1.33%
Blmbg Long Gov/Cred: 6.58%
Separate Account Style Group Median Returnsfor One Year Ended September 30, 2019
0%
5%
10%
15%
20%
25%
30%
4.87
Defensive
7.98
Intermed
10.52
CoreBond
10.41
Core Plus
22.12
ExtendedMaturity
3.50
BankLoans
6.86
High Yield
Re
turn
s
Blmbg Aggregate: 10.30%
Blmbg High Yield: 6.36%
Blmbg Long Gov/Cred: 21.88%
168Pennsylvania SERS
Global Fixed IncomeActive Management Overview
Rates across developed markets fell in the third quarter as growth continued to disappoint, but the U.S. dollar appreciatedversus most currencies. As a result, most countries posted negative returns on an unhedged basis. Across the JPMGovernment Bond Global Index, the UK (unhedged: +3.3%; hedged: +7.1%) and Italy (unhedged: +3.8%; hedged: +9.1%)were notable exceptions given a sharper decline in yields. The JPM Government Bond Global Index return for the quarterwas +1.1% (unhedged) and +3.2% (hedged). Outside the U.S., the more broadly diversified Bloomberg Barclays GlobalAggregate ex US fell 0.6% (unhedged) while the hedged version was up 2.8% for the quarter.
Emerging market returns were roughly flat (JPM EMBI Global Diversified: +1.5%; JPM GBI-EM Global Diversified: -0.8%) butboth are up sharply YTD (+13.0%; +7.9%) respectively. Within the dollar-denominated benchmark, Argentina (-42%) andVenezuela (-51%) were among the few to post negative returns. This external debt index is more sensitive to U.S. interestrates. Conversely, returns in the local debt benchmark were more mixed with Turkey (+19%) and Argentina (-60%) beingoutliers.
Separate Account Style Group Median Returnsfor Quarter Ended September 30, 2019
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
2.35
GlobalHedged
(0.71 )
Global FixedIncome
0.62
US$ EM Debt
(1.49 )
Local Curr EMDebt
2.34
Domestic CorePlus
Re
turn
s
JPM EMBI GI Div: 1.50%
JPM GBI EM Gl Div: (0.79%)
Blmbg Aggregate: 2.27%
Blmbg Global Agg Hdg: 2.59%
Blmbg Global Agg: 0.71%
Separate Account Style Group Median Returnsfor One Year Ended September 30, 2019
0%
2%
4%
6%
8%
10%
12%
14%
10.37
GlobalHedged
5.92
Global FixedIncome
10.69
US$ EM Debt
9.59
Local Curr EMDebt
10.41
Domestic CorePlus
Re
turn
s
JPM EMBI GI Div: 11.57%
JPM GBI EM Gl Div: 10.13%
Blmbg Aggregate: 10.30%
Blmbg Global Agg Hdg: 10.65%
Blmbg Global Agg: 7.60%
169Pennsylvania SERS
Bond Market Environment
Factors Influencing Bond ReturnsThe charts below are designed to give you an overview of the factors that influenced bond market returns for the quarter.The first chart shows the shift in the Treasury yield curve and the resulting returns by duration. The second chart shows theaverage return premium (relative to Treasuries) for bonds with different quality ratings. The final chart shows the averagereturn premium of the different sectors relative to Treasuries. These sector premiums are calculated after differences inquality and term structure have been accounted for across the sectors. They are typically explained by differences inconvexity, sector specific supply and demand considerations, or other factors that influence the perceived risk of the sector.
Yield Curve Change and Rate of ReturnOne Quarter Ended September 30, 2019
Duration
Yie
ld t
o M
atu
rity R
ate
of R
etu
rn
1.4%
1.6%
1.8%
2.0%
2.2%
2.4%
2.6%
2.8%
0%
2%
4%
6%
8%
10%
12%
14%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
June Yield Curve
September Yield Curve
Return
Duration AdjustedReturn Premium to Quality
One Quarter Ended September 30, 2019
(4%) (3%) (2%) (1%) 0% 1% 2%
Trsy
AAA 0.39
AA+ 0.61
AA 0.66
AA- 0.82
A+ 0.36
A 0.50
A- 0.41
BBB+ 0.53
BBB 0.41
BBB- 0.61
BB+ 1.30
BB 0.94
BB- 0.52
B+ (0.38 )
B (0.43 )
B- (0.05 )
CCC (2.56 )
Return Advantage vs Treasuries
Qu
alit
y R
atin
g
Quality and Duration AdjustedReturn Premium by Sector
One Quarter Ended September 30, 2019
(0.10%) 0.00% 0.10% 0.20% 0.30% 0.40% 0.50%
Agencies (0.02 )
Asset Backed 0.12
CMBSs 0.11
Credit 0.02
Eurobonds 0.13
Mortgages/CMOs 0.39
Treasuries
Return Advantage vs Treasuries
170Pennsylvania SERS
Fixed IncomePeriod Ended September 30, 2019
Quarterly Summary and HighlightsFixed Income’s portfolio posted a 1.83% return for thequarter placing it in the 59 percentile of the Public Fund -Domestic Fixed group for the quarter and in the 41percentile for the last year.
Fixed Income’s portfolio underperformed the BlmbgAggregate by 0.44% for the quarter and underperformed theBlmbg Aggregate for the year by 0.70%.
Quarterly Asset Growth
Beginning Market Value $4,273,494,361
Net New Investment $-1,108,413
Investment Gains/(Losses) $78,513,347
Ending Market Value $4,350,899,295
Performance vs Public Fund - Domestic Fixed (Gross)
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter Last 3/4 Year Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear
(59)(22)
(27)(47)
(41)
(20)
(39)
(72)(71)(69) (36)
(70)
(16)
(71)
10th Percentile 2.55 10.13 10.86 4.48 4.85 4.27 5.8825th Percentile 2.23 9.17 10.14 4.00 4.04 3.55 5.10
Median 2.00 8.49 9.27 3.38 3.68 3.10 4.3275th Percentile 1.58 7.47 8.11 2.77 3.08 2.44 3.5490th Percentile 1.36 6.36 7.67 2.48 2.74 2.09 2.80
Fixed Income 1.83 9.04 9.59 3.60 3.32 3.30 5.44
Blmbg Aggregate 2.27 8.52 10.30 2.92 3.38 2.72 3.75
Relative Return vs Blmbg Aggregate
Rela
tive
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
14 2015 2016 2017 2018 2019
Fixed Income
Public Fund - Domestic Fixed (Gross)Annualized Five Year Risk vs Return
0 1 2 3 4 5 6 71.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
Blmbg AggregateFixed Income
Standard Deviation
Re
turn
s
171Pennsylvania SERS
Fixed IncomeReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Public Fund - Domestic Fixed (Gross)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(27)(47)
(85)(58)
(35)(76)
(28)
(76)
(93)
(38)
(20)(36)
(53)(77)
10th Percentile 10.13 1.21 6.79 7.34 1.26 7.82 1.8525th Percentile 9.17 0.79 5.62 6.02 0.80 6.33 0.14
Median 8.49 0.12 4.49 4.28 0.33 5.56 (1.02)75th Percentile 7.47 (0.40) 3.57 2.71 (0.50) 4.30 (1.96)90th Percentile 6.36 (1.21) 2.26 1.98 (2.11) 2.87 (2.92)
Fixed Income 9.04 (0.80) 4.97 5.94 (2.48) 6.51 (1.18)
Blmbg Aggregate 8.52 0.01 3.54 2.65 0.55 5.97 (2.02)
Cumulative and Quarterly Relative Return vs Blmbg Aggregate
Re
lative
Re
turn
s
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
2014 2015 2016 2017 2018 2019
Fixed Income Pub Pln- Dom Fixed
Risk Adjusted Return Measures vs Blmbg AggregateRankings Against Public Fund - Domestic Fixed (Gross)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess ReturnRatio Ratio
(62)
(92)
(70)
10th Percentile 1.72 1.15 0.8925th Percentile 0.96 0.96 0.55
Median 0.52 0.85 0.2475th Percentile 0.11 0.75 (0.36)90th Percentile (0.03) 0.69 (0.57)
Fixed Income 0.35 0.68 (0.03)
172Pennsylvania SERS
Fixed IncomeBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Total Domestic Fixed-Inc Databaseas of September 30, 2019
(5)
0
5
10
15
20
25
Average Effective Coupon OADuration Life Yield Rate Convexity
(21)(30)
(25)(32)
(70)(72) (74)(67)
(27)(35)
10th Percentile 13.97 20.53 5.57 5.83 2.8125th Percentile 5.97 8.47 3.61 4.60 0.54
Median 3.93 5.94 2.71 3.64 0.1775th Percentile 2.49 4.14 2.20 2.95 0.0190th Percentile 1.20 2.18 1.94 2.47 (0.29)
Fixed Income 6.50 8.49 2.31 2.99 0.49
Blmbg Aggregate 5.78 7.92 2.26 3.20 0.30
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100%
US Trsy
46.918.1
39.8
Corp (incl 144A)
22.0
50
%M
gr
MV
50
%M
gr
MV
78.025.1
RMBS
12.7
26.8
CMBS
7.5
2.0
Gov Related
4.81.5
5.8
Other
2.0
ABS
1.6
0.5
Cash
1.52.3
Bk Ln
0.5
Tax-Exempt US Muni
0.4
Prfd
0.1
CMOs
Non-Agency RMBS
Fixed Income Total Domestic Fixed-Inc Database Blmbg Aggregate
Quality Ratingsvs Total Domestic Fixed-Inc Database
B
B+
BB-
BB
BB+
BBB-
BBB
BBB+
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(48)
(12)
10th Percentile AAA25th Percentile AA
Median A+75th Percentile BBB+90th Percentile BB-
Fixed Income AA-
Blmbg Aggregate AA+
173Pennsylvania SERS
Fixed IncomePortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Distribution
0%
10%
20%
30%
40%
50%
60%
USTrsy
46.9
39.8
Corp(incl
144A)
22.025.1
RMBS
12.7
26.8
CMBS
7.5
2.0
GovRelated
4.8 5.8
Other
2.0
ABS
1.6 0.5
Cash
1.5
BkLn
0.5
Tax-ExemptUS
Muni
0.4
Prfd
0.1
CMOs Non-AgencyRMBS
Pe
rce
nt o
f P
ort
folio
Fixed Income
Blmbg Aggregate
Duration Distribution
0%
10%
20%
30%
40%
50%
<1
5.3
1.4
1-3
20.6
37.7
3-5
20.9
26.0
5-7
13.311.1
7-10
19.6
7.1
>10
20.416.8
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
Fixed Income:
Blmbg Aggregate:
6.505.78
Quality Distribution
0%
20%
40%
60%
80%
100%
AAA
62.2
72.0
AA
3.0 3.5
A
8.5 10.7
BBB
14.9 13.9
BB
5.8
B
4.0
CCC
0.8
CC C D N/R
0.9
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Fixed Income:
Blmbg Aggregate:
AA-AA+
174Pennsylvania SERS
Co
re F
ixe
d In
co
me
Core Fixed Income
Ma
na
ge
rs
Managers
MCM Bond IndexPeriod Ended September 30, 2019
Investment PhilosophyFixed income indexing offers a cost-effective, sensible investment approach to gaining diversified market exposure andreceiving competitive relative returns over the long-term. Mellon Capital’s Aggregate Bond Index Strategy employs astratified sampling approach that has consistently added value with very little tracking error versus the Barclays CapitalAggregate Bond Index. We emphasize low turnover (low transaction costs) and strict risk control in the structuring of ourportfolios.
Quarterly Summary and HighlightsMCM Bond Index’s portfolio posted a 2.22% return for thequarter placing it in the 90 percentile of the Callan CoreBond Fixed Income group for the quarter and in the 75percentile for the last year.
MCM Bond Index’s portfolio underperformed the BlmbgAggregate by 0.05% for the quarter and underperformed theBlmbg Aggregate for the year by 0.03%.
Quarterly Asset Growth
Beginning Market Value $1,091,921,206
Net New Investment $291,132
Investment Gains/(Losses) $24,331,822
Ending Market Value $1,116,544,160
Performance vs Callan Core Bond Fixed Income (Gross)
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(90)(83)
(85)(85)
(75)(69)
(91)(88)
(95)(94)(93)(93)
(98)(97)
10th Percentile 2.49 9.59 11.08 5.08 3.73 4.09 3.5825th Percentile 2.45 9.30 10.82 4.89 3.57 3.95 3.42
Median 2.36 8.95 10.52 4.70 3.32 3.71 3.0875th Percentile 2.29 8.66 10.26 4.52 3.14 3.56 2.9490th Percentile 2.21 8.33 9.97 4.37 2.97 3.45 2.81
MCM Bond Index 2.22 8.50 10.26 4.37 2.90 3.35 2.66
Blmbg Aggregate 2.27 8.52 10.30 4.38 2.92 3.38 2.72
Relative Return vs Blmbg Aggregate
Rela
tive
Re
turn
s
(0.10%)
(0.08%)
(0.06%)
(0.04%)
(0.02%)
0.00%
0.02%
0.04%
0.06%
14 2015 2016 2017 2018 2019
MCM Bond Index
Callan Core Bond Fixed Income (Gross)Annualized Five Year Risk vs Return
2.6 2.8 3.0 3.2 3.4 3.6 3.82.8%
3.0%
3.2%
3.4%
3.6%
3.8%
4.0%
4.2%
4.4%
4.6%
4.8%
Blmbg AggregateMCM Bond Index
Standard Deviation
Re
turn
s
176Pennsylvania SERS
MCM Bond IndexReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Core Bond Fixed Income (Gross)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(85)(85)
(60)(62)
(85)(87)(92)(87)
(74)(71)
(67)(70)
(88)(84)
10th Percentile 9.59 0.64 4.72 4.36 1.51 7.21 (0.66)25th Percentile 9.30 0.35 4.32 3.78 1.13 6.61 (1.08)
Median 8.95 0.11 3.96 3.14 0.84 6.19 (1.47)75th Percentile 8.66 (0.14) 3.73 2.85 0.50 5.90 (1.81)90th Percentile 8.33 (0.44) 3.34 2.59 (0.04) 5.39 (2.33)
MCM Bond Index 8.50 0.03 3.56 2.56 0.53 6.01 (2.23)
Blmbg Aggregate 8.52 0.01 3.54 2.65 0.55 5.97 (2.02)
Cumulative and Quarterly Relative Return vs Blmbg Aggregate
Re
lative
Re
turn
s
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
2014 2015 2016 2017 2018 2019
MCM Bond Index Callan Core Bond FI
Risk Adjusted Return Measures vs Blmbg AggregateRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
Alpha Sharpe Excess ReturnRatio Ratio
(96)
(95)
(97)
10th Percentile 0.76 0.96 1.7525th Percentile 0.62 0.91 1.14
Median 0.40 0.85 0.8475th Percentile 0.21 0.79 0.3390th Percentile 0.09 0.76 0.14
MCM Bond Index (0.04) 0.72 (0.35)
177Pennsylvania SERS
MCM Bond IndexRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2019
0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0(0.6 )
(0.4 )
(0.2 )
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
MCM Bond Index
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays Aggregate
Tra
ckin
g E
rro
r
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
0.80%
2015 2016 2017 2018 2019
MCM Bond Index
Callan Core Bond FI
Risk Statistics Rankings vs Bloomberg Barclays AggregateRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Standard Downside TrackingDeviation Risk Error
(41)
(96) (99)
10th Percentile 3.41 0.48 0.8325th Percentile 3.35 0.35 0.62
Median 3.25 0.24 0.4375th Percentile 3.18 0.14 0.3490th Percentile 3.09 0.10 0.24
MCM BondIndex 3.30 0.06 0.07
0.88
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
Beta R-Squared
(33)(1)
10th Percentile 1.03 1.0025th Percentile 1.01 0.99
Median 0.98 0.9875th Percentile 0.94 0.9690th Percentile 0.91 0.94
MCM Bond Index 1.01 1.00
178Pennsylvania SERS
MCM Bond IndexBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Core Bond Fixed Incomeas of September 30, 2019
0
1
2
3
4
5
6
7
8
9
10
Average Effective Coupon OADuration Life Yield Rate Convexity
(58)(54)
(46)(44)
(82)(82)
(58)(58)
(37)(42)
10th Percentile 6.06 8.47 2.69 3.79 0.5625th Percentile 5.89 8.23 2.58 3.53 0.46
Median 5.78 7.84 2.46 3.26 0.2575th Percentile 5.68 7.55 2.33 3.09 0.1390th Percentile 5.43 6.90 2.10 2.81 0.00
MCM Bond Index 5.77 7.89 2.26 3.20 0.32
Blmbg Aggregate 5.78 7.92 2.26 3.20 0.30
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
(10%) 0% 10% 20% 30% 40% 50%
US Trsy39.8
23.839.8
RMBS26.8
50
%M
gr
MV
50
%M
gr
MV
29.226.8
Corp (incl 144A)25.2
34.625.1
Gov Related5.0
2.35.8
CMBS2.0
4.32.0
ABS1.2
4.90.5
Cash0.20.7
CMOs 0.2
Other(0.2 )
MCM Bond Index Callan Core Bond Fixed Income Blmbg Aggregate
Quality Ratingsvs Callan Core Bond Fixed Income
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(10)
(7)
10th Percentile AA25th Percentile AA
Median AA75th Percentile AA90th Percentile AA-
MCM Bond Index AA
Blmbg Aggregate AA+
179Pennsylvania SERS
MCM Bond IndexPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Distribution
(10%)
0%
10%
20%
30%
40%
50%
USTrsy
39.8 39.8
RMBS
26.8 26.8
Corp(incl
144A)
25.2 25.1
GovRelated
5.0 5.8
CMBS
2.0 2.0
ABS
1.2 0.5
Cash
0.2
Other
(0.2 )
Pe
rce
nt o
f P
ort
folio
MCM Bond Index
Blmbg Aggregate
Duration Distribution
0%
10%
20%
30%
40%
50%
<1
1.6 1.4
1-3
37.3 37.7
3-5
26.3 26.0
5-7
11.2 11.1
7-10
7.0 7.1
>10
16.7 16.8
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
MCM Bond Index:
Blmbg Aggregate:
5.775.78
Quality Distribution
0%
20%
40%
60%
80%
100%
AAA
72.1 72.0
AA
3.3 3.5
A
10.7 10.7
BBB
13.9 13.9
BB B CCC CC C D N/R
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
MCM Bond Index:
Blmbg Aggregate:
AAAA+
180Pennsylvania SERS
PIMCO Core Bond FundPeriod Ended September 30, 2019
Quarterly Summary and HighlightsPIMCO Core Bond Fund’s portfolio posted a 1.94% returnfor the quarter placing it in the 98 percentile of the CallanCore Bond Fixed Income group for the quarter and in the 93percentile for the last year.
PIMCO Core Bond Fund’s portfolio underperformed theBlmbg:Aggregate xTreas by 0.24% for the quarter andunderperformed the Blmbg:Aggregate xTreas for the year by0.33%.
Quarterly Asset Growth
Beginning Market Value $652,715,596
Net New Investment $-257,102
Investment Gains/(Losses) $12,621,948
Ending Market Value $665,080,441
Performance vs Callan Core Bond Fixed Income (Gross)
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 6-1/2Year Years
(98)(91)
(48)(40)
(93)(82)
(78)(84)
(35)(48)(35)(61)
(74)(44)
10th Percentile 2.49 9.59 11.08 5.08 3.73 4.09 3.6925th Percentile 2.45 9.30 10.82 4.89 3.57 3.95 3.52
Median 2.36 8.95 10.52 4.70 3.32 3.71 3.2475th Percentile 2.29 8.66 10.26 4.52 3.14 3.56 3.1190th Percentile 2.21 8.33 9.97 4.37 2.97 3.45 2.99
PIMCO CoreBond Fund 1.94 8.98 9.86 4.50 3.45 3.81 3.11
Blmbg:AggregatexTreas 2.18 9.03 10.19 4.46 3.32 3.65 3.27
Relative Return vs Blmbg:Aggregate xTreas
Rela
tive
Re
turn
s
(1.0%)
(0.8%)
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
0.6%
0.8%
14 2015 2016 2017 2018 2019
PIMCO Core Bond Fund
Callan Core Bond Fixed Income (Gross)Annualized Five Year Risk vs Return
2.6 2.8 3.0 3.2 3.4 3.6 3.82.8%
3.0%
3.2%
3.4%
3.6%
3.8%
4.0%
4.2%
4.4%
4.6%
4.8%
PIMCO Core Bond Fund
Blmbg:Aggregate xTreas
Standard Deviation
Re
turn
s
181Pennsylvania SERS
PIMCO Core Bond FundReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Core Bond Fixed Income (Gross)
(2%)
0%
2%
4%
6%
8%
10%
12%
12/18- 9/19 2018 2017 2016 2015 2014
(48)(40)
(91)(91)
(4)(29) (27)(32)
(85)(82)
(65)(34)
10th Percentile 9.59 0.64 4.72 4.36 1.51 7.2125th Percentile 9.30 0.35 4.32 3.78 1.13 6.61
Median 8.95 0.11 3.96 3.14 0.84 6.1975th Percentile 8.66 (0.14) 3.73 2.85 0.50 5.9090th Percentile 8.33 (0.44) 3.34 2.59 (0.04) 5.39
PIMCO CoreBond Fund 8.98 (0.56) 5.12 3.71 0.27 6.05
Blmbg:AggregatexTreas 9.03 (0.51) 4.26 3.58 0.39 6.47
Cumulative and Quarterly Relative Return vs Blmbg:Aggregate xTreas
Re
lative
Re
turn
s
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2014 2015 2016 2017 2018 2019
PIMCO Core Bond Fund Callan Core Bond FI
Risk Adjusted Return Measures vs Blmbg:Aggregate xTreasRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2019
(0.6)
(0.4)
(0.2)
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Alpha Sharpe Excess ReturnRatio Ratio
(56)
(55)
(34)
10th Percentile 0.47 0.96 0.9625th Percentile 0.28 0.91 0.52
Median 0.12 0.85 0.1275th Percentile (0.06) 0.79 (0.15)90th Percentile (0.20) 0.76 (0.39)
PIMCO Core Bond Fund 0.07 0.84 0.26
182Pennsylvania SERS
PIMCO Core Bond FundRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2019
0.20 0.30 0.40 0.50 0.60 0.70 0.80 0.90 1.00 1.10 1.20 1.30 1.40(0.8 )
(0.6 )
(0.4 )
(0.2 )
0.0
0.2
0.4
0.6
0.8
1.0
1.2
PIMCO Core Bond Fund
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays Aggregate xTreasury
Tra
ckin
g E
rro
r
0.35%
0.40%
0.45%
0.50%
0.55%
0.60%
0.65%
0.70%
0.75%
0.80%
2017 2018 2019
PIMCO Core Bond Fund
Callan Core Bond FI
Risk Statistics Rankings vs Bloomberg Barclays Aggregate xTreasuryRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Standard Downside TrackingDeviation Risk Error
(23)
(30)(34)
10th Percentile 3.41 0.62 0.9325th Percentile 3.35 0.46 0.68
Median 3.25 0.33 0.5175th Percentile 3.18 0.25 0.4190th Percentile 3.09 0.18 0.37
PIMCO CoreBond Fund 3.36 0.42 0.60
0.90
0.92
0.94
0.96
0.98
1.00
1.02
1.04
1.06
Beta R-Squared
(23)
(65)
10th Percentile 1.04 0.9925th Percentile 1.03 0.98
Median 1.00 0.9875th Percentile 0.97 0.9690th Percentile 0.93 0.93
PIMCO CoreBond Fund 1.03 0.97
183Pennsylvania SERS
PIMCO Core Bond FundBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Core Bond Fixed Incomeas of September 30, 2019
(4)
(2)
0
2
4
6
8
10
Average Effective Coupon OADuration Life Yield Rate Convexity
(94)(94)
(76)(53)
(9)(17)(45)
(12)
(98)(93)
10th Percentile 6.06 8.47 2.69 3.79 0.5625th Percentile 5.89 8.23 2.58 3.53 0.46
Median 5.78 7.84 2.46 3.26 0.2575th Percentile 5.68 7.55 2.33 3.09 0.1390th Percentile 5.43 6.90 2.10 2.81 0.00
PIMCO Core Bond Fund 5.10 7.49 2.72 3.32 (1.03)
Blmbg:Aggregate xTreas 5.23 7.80 2.63 3.74 (0.16)
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
(20%) (10%) 0% 10% 20% 30% 40% 50% 60%
Corp (incl 144A)
38.634.6
41.7
RMBS
38.3
50%
Mg
r M
V5
0%
Mg
r M
V
29.244.5
US Trsy
23.923.8
Cash
2.80.7
ABS
2.44.9
0.8
Tax-Exempt US Muni
2.3
Gov Related
1.12.3
9.6
CMBS
0.54.3
3.4
CMOs
0.10.2
Other
(9.9 )
0.1
PIMCO Core Bond Fund Callan Core Bond Fixed Income
Blmbg:Aggregate xTreas
Quality Ratingsvs Callan Core Bond Fixed Income
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(93)
(84)
10th Percentile AA25th Percentile AA
Median AA75th Percentile AA90th Percentile AA-
PIMCO CoreBond Fund AA-
Blmbg:AggregatexTreas AA
184Pennsylvania SERS
PIMCO Core Bond FundPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Distribution
(20%)
(10%)
0%
10%
20%
30%
40%
50%
60%
Corp(incl
144A)
38.641.7
RMBS
38.3
44.5
USTrsy
23.9
Cash
2.8
ABS
2.4 0.8
Tax-ExemptUS
Muni
2.3
GovRelated
1.1
9.6
CMBS
0.53.4
CMOs
0.1
Other
(9.9 )
0.1
Pe
rce
nt o
f P
ort
folio
PIMCO Core Bond Fund
Blmbg Agg ex Treasury
Duration Distribution
0%
10%
20%
30%
40%
50%
<1
0.72.3
1-3
10.0
39.9
3-5
27.3 27.3
5-7
22.3
8.6
7-10
12.1
6.6
>10
27.6
15.4
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
PIMCO Core Bond Fund:
Blmbg Agg ex Treasury:
5.105.23
Quality Distribution
0%
10%
20%
30%
40%
50%
60%
70%
AAA
57.853.5
AA
2.25.8
A
11.5
17.7
BBB
25.1 23.0
< BBB
3.4
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
PIMCO Core Bond Fund:
Blmbg Agg ex Treasury:
AA-AA
185Pennsylvania SERS
Taplin, Canida & Habacht Corp FIPeriod Ended September 30, 2019
Investment PhilosophyTaplin’s philosophy in managing credit accounts is to add value above the benchmark index by following a strict relativevalue discipline, emphasizing debt securities valued too cheaply relative to the issuers fundamental creditworthiness. Yieldcurve positioning adds further value by focusing on the most attractive portions of the yield curve. Portfolios areconstructed within a narrow duration band relative to their benchmark indices. This approach minimizes market timing andemphasizes attractive sector and issue spread opportunities within the credit universe.
Quarterly Summary and HighlightsTaplin, Canida & Habacht Corp FI’s portfolio posted a 3.06%return for the quarter placing it in the 68 percentile of theCallan Investment Grade Credit Fixed Inc group for thequarter and in the 99 percentile for the last year.
Taplin, Canida & Habacht Corp FI’s portfolio outperformedthe Blmbg Credit by 0.08% for the quarter andunderperformed the Blmbg Credit for the year by 0.91%.
Quarterly Asset Growth
Beginning Market Value $195,862,705
Net New Investment $-111,091
Investment Gains/(Losses) $5,975,028
Ending Market Value $201,726,641
Performance vs Callan Investment Grade Credit Fixed Inc (Gross)
0%
2%
4%
6%
8%
10%
12%
14%
16%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(68)(82)
(71)(95)
(99)(86)
(94)(89)(43)
(96) (96)(95) (92)(97)
10th Percentile 3.37 14.58 13.77 6.32 5.63 5.63 5.4325th Percentile 3.23 14.03 13.57 6.23 5.12 5.25 4.85
Median 3.13 13.61 13.25 5.90 4.85 5.06 4.5675th Percentile 3.01 13.14 12.82 5.77 4.63 4.86 4.3990th Percentile 2.93 12.77 12.49 5.51 4.55 4.61 4.32
Taplin, Canida& Habacht Corp FI 3.06 13.20 11.72 5.29 4.91 4.50 4.23
Blmbg Credit 2.98 12.61 12.63 5.54 4.33 4.54 3.89
Relative Return vs Blmbg Credit
Rela
tive
Re
turn
s
(2.5%)
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
14 2015 2016 2017 2018 2019
Taplin, Canida & Habacht Corp FI
Callan Investment Grade Credit Fixed Inc (Gross)Annualized Five Year Risk vs Return
3.8 4.0 4.2 4.4 4.6 4.8 5.0 5.2 5.44.0%
4.5%
5.0%
5.5%
6.0%
6.5%
Taplin, Canida & Habacht Corp FI
Blmbg Credit
Standard Deviation
Re
turn
s
186Pennsylvania SERS
Taplin, Canida & Habacht Corp FIReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Investment Grade Credit Fixed Inc (Gross)
(10%)
(5%)
0%
5%
10%
15%
20%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(71)(95)
(93)(26)
(25)(90)(5)
(90)
(97)(62)
(89)(89)
(61)(85)
10th Percentile 14.58 (1.47) 8.11 7.94 0.83 9.43 0.7025th Percentile 14.03 (2.07) 7.37 7.39 0.09 8.58 (0.11)
Median 13.61 (2.32) 6.90 6.59 (0.21) 8.09 (0.62)75th Percentile 13.14 (2.67) 6.51 5.95 (1.09) 7.74 (1.16)90th Percentile 12.77 (3.15) 6.16 5.58 (1.69) 7.50 (2.11)
Taplin, Canida& Habacht Corp FI 13.20 (3.21) 7.36 8.56 (3.57) 7.53 (0.94)
Blmbg Credit 12.61 (2.11) 6.18 5.63 (0.77) 7.53 (2.01)
Cumulative and Quarterly Relative Return vs Blmbg Credit
Re
lative
Re
turn
s
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
2014 2015 2016 2017 2018 2019
Taplin, Canida & Habacht Corp FI Callan Inv Grade Credit
Risk Adjusted Return Measures vs Blmbg CreditRankings Against Callan Investment Grade Credit Fixed Inc (Gross)Five Years Ended September 30, 2019
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess ReturnRatio Ratio
(93)
(96)
(96)
10th Percentile 0.86 1.00 1.4725th Percentile 0.60 0.92 1.23
Median 0.38 0.87 0.8175th Percentile 0.14 0.82 0.5490th Percentile (0.06) 0.76 0.11
Taplin, Canida & Habacht Corp FI (0.08) 0.74 (0.03)
187Pennsylvania SERS
Taplin, Canida & Habacht Corp FIRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Investment Grade Credit Fixed Inc (Gross)Five Years Ended September 30, 2019
0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0(0.5 )
0.0
0.5
1.0
1.5
2.0
Taplin, Canida & Habacht Corp FI
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays Credit
Tra
ckin
g E
rro
r
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2015 2016 2017 2018 2019
Taplin, Canida & Habacht Corp FI
Callan Inv Grade Credit
Risk Statistics Rankings vs Bloomberg Barclays CreditRankings Against Callan Investment Grade Credit Fixed Inc (Gross)Five Years Ended September 30, 2019
0%
1%
2%
3%
4%
5%
6%
Standard Downside TrackingDeviation Risk Error
(38)
(5)(6)
10th Percentile 4.97 0.62 1.0825th Percentile 4.83 0.50 0.90
Median 4.70 0.35 0.6775th Percentile 4.58 0.24 0.5490th Percentile 4.42 0.14 0.37
Taplin, Canida& Habacht Corp FI 4.76 1.10 1.42
0.85
0.90
0.95
1.00
1.05
1.10
1.15
Beta R-Squared
(78)
(94)
10th Percentile 1.09 0.9925th Percentile 1.07 0.99
Median 1.04 0.9875th Percentile 1.01 0.9790th Percentile 0.96 0.94
Taplin, Canida& Habacht Corp FI 1.01 0.91
188Pennsylvania SERS
Taplin, Canida & Habacht Corp FIBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Investment Grade Credit Fixed Incas of September 30, 2019
0
20
40
60
80
100
120
140
160
Average Effective Coupon QualityDuration Life Yield Rate Rating
(69)(67) (24)(48)(31)(80) (65)(62)
(61)(48)
10th Percentile 7.88 11.86 3.37 4.41 140.0025th Percentile 7.81 11.39 3.25 4.27 140.00
Median 7.66 11.09 3.06 4.12 130.0075th Percentile 7.52 10.55 2.87 3.85 110.0090th Percentile 7.17 9.87 2.81 3.63 110.00
Taplin, Canida& Habacht Corp FI 7.58 11.41 3.18 3.91 127.85
Blmbg Credit 7.59 11.13 2.85 3.95 136.00
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100% 120%
Corp (incl 144A)
95.3
50
%M
gr
MV
50
%M
gr
MV
94.9
84.7
Cash
4.7
1.2
US Trsy 2.3
Gov Related 1.6
15.3
Taplin, Canida & Habacht Corp FI
Callan Investment Grade Credit Fixed Inc Blmbg Credit
Quality Ratingsvs Callan Investment Grade Credit Fixed Inc
BBB-
BBB
BBB+
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(61)
(48)
10th Percentile A25th Percentile A
Median A-75th Percentile BBB90th Percentile BBB
Taplin, Canida& Habacht Corp FI A-
Blmbg Credit A
189Pennsylvania SERS
Taplin, Canida & Habacht Corp FIPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Allocation
Taplin, Canida & Habacht Corp FI
Corp (incl 144A)95%
Cash5%
Blmbg Credit
Corp (incl 144A)85%
Gov Related15%
Duration Distribution
0%
10%
20%
30%
40%
50%
<1
13.6
1.0
1-3
16.6
22.4
3-5
16.319.5
5-7
13.7 15.1
7-10
4.1
11.2
>10
35.8
30.8
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
Taplin, Canida & Habacht Corp FI:
Blmbg Credit:
7.587.59
Quality Distribution
0%
10%
20%
30%
40%
50%
60%
70%
AAA
6.0 8.0
AA
5.39.7
A
34.7 35.7
BBB
52.246.6
BB
1.8
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Taplin, Canida & Habacht Corp FI:
Blmbg Credit:
A-A
190Pennsylvania SERS
Co
re-P
lus F
ixe
d
Core-Plus Fixed
Inco
me
Ma
na
ge
rs
Income Managers
Brandywine Global OppPeriod Ended September 30, 2019
Investment PhilosophyBrandywine’s Global Opportunistic Fixed Income philosophy is a value-driven, active, strategic approach. This strategyallows for a 0-15% allocation to emerging markets and for a 0-15% allocation to high yield debt. Value is defined as acombination of above-average real interest rates and an under-valued currency. They concentrate investments whereexisting economic and market conditions can enable that value to be realized in an intermediate time frame. They captureexcess returns through strategic investment in countries, sectors, and securities, rather than by maintaining minimum, corecommitments.
Quarterly Summary and HighlightsBrandywine Global Opp’s portfolio posted a (1.55)% returnfor the quarter placing it in the 90 percentile of the CallanGlobal Fixed Income (Unhedged) group for the quarter andin the 90 percentile for the last year.
Brandywine Global Opp’s portfolio underperformed theFTSE WGBI by 2.40% for the quarter and underperformedthe FTSE WGBI for the year by 4.05%.
Quarterly Asset Growth
Beginning Market Value $199,327,218
Net New Investment $-188,735
Investment Gains/(Losses) $-3,084,124
Ending Market Value $196,054,360
Performance vs Callan Global Fixed Income (Unhedged) (Gross)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(90)
(51)
(85)(77)
(90)
(55)
(95)
(57)(55)
(94)(73)(82)
(32)
(95)
10th Percentile 2.15 10.02 10.24 5.43 5.05 4.73 4.0025th Percentile 1.30 8.73 9.26 4.11 3.50 2.82 2.46
Median 0.88 7.34 8.42 3.45 2.27 2.31 1.7175th Percentile 0.44 6.37 7.32 2.75 1.85 1.96 1.3590th Percentile (1.57) 4.75 4.12 0.45 1.45 1.64 0.83
BrandywineGlobal Opp (1.55) 5.33 4.08 0.06 2.18 2.00 2.28
FTSE WGBI 0.85 6.27 8.13 3.19 1.19 1.80 0.59
Relative Return vs FTSE WGBI
Rela
tive
Re
turn
s
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
14 2015 2016 2017 2018 2019
Brandywine Global Opp
Callan Global Fixed Income (Unhedged) (Gross)Annualized Five Year Risk vs Return
0 2 4 6 8 100%
1%
2%
3%
4%
5%
6%
7%
Brandywine Global Opp
FTSE WGBI
Standard Deviation
Re
turn
s
192Pennsylvania SERS
Brandywine Global OppReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Global Fixed Income (Unhedged) (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(85)(77)
(96)
(36)
(3)
(69)(13)
(68)
(97)
(59)
(4)
(89)(66)(78)
10th Percentile 10.02 0.69 11.60 5.88 (1.69) 5.46 0.9025th Percentile 8.73 (0.59) 10.00 3.45 (2.56) 2.67 (1.35)
Median 7.34 (1.50) 8.01 2.38 (3.38) 1.30 (2.66)75th Percentile 6.37 (2.27) 7.11 0.94 (3.89) 0.72 (3.72)90th Percentile 4.75 (3.79) 5.07 0.08 (5.47) (0.49) (4.72)
BrandywineGlobal Opp 5.33 (4.71) 13.36 5.38 (8.04) 6.36 (3.29)
FTSE WGBI 6.27 (0.84) 7.49 1.60 (3.57) (0.48) (4.00)
Cumulative and Quarterly Relative Return vs FTSE WGBI
Re
lative
Re
turn
s
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
2014 2015 2016 2017 2018 2019
Brandywine Global Opp Callan Gbl FI (Unhedged)
Risk Adjusted Return Measures vs FTSE WGBIRankings Against Callan Global Fixed Income (Unhedged) (Gross)Five Years Ended September 30, 2019
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Alpha Sharpe Excess ReturnRatio Ratio
(79)(85) (78)
10th Percentile 3.40 1.02 0.6825th Percentile 1.16 0.35 0.51
Median 0.67 0.23 0.3175th Percentile 0.37 0.17 0.0690th Percentile (0.03) 0.10 (0.07)
Brandywine Global Opp 0.32 0.13 0.04
193Pennsylvania SERS
Brandywine Global OppRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Global Fixed Income (Unhedged) (Gross)Five Years Ended September 30, 2019
0 1 2 3 4 5 6 7 8 9 10 11 12(2 )
(1 )
0
1
2
3
4
5
Brandywine Global Opp
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs FTSE World Gov Bond Index (WGBI)
Tra
ckin
g E
rro
r
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
2017 2018 2019
Brandywine Global Opp
Callan Gbl FI (Unhedged)
Risk Statistics Rankings vs FTSE World Gov Bond Index (WGBI)Rankings Against Callan Global Fixed Income (Unhedged) (Gross)Five Years Ended September 30, 2019
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
Standard Downside TrackingDeviation Risk Error
(3)
(9)
(24)
10th Percentile 6.91 3.52 6.1725th Percentile 6.20 2.72 4.61
Median 5.51 1.48 2.2275th Percentile 5.14 0.93 1.6790th Percentile 3.53 0.72 1.34
BrandywineGlobal Opp 7.81 3.63 4.74
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Beta R-Squared
(15)
(75)
10th Percentile 0.99 0.9825th Percentile 0.91 0.95
Median 0.80 0.9175th Percentile 0.67 0.6390th Percentile 0.25 0.18
BrandywineGlobal Opp 0.97 0.63
194Pennsylvania SERS
Brandywine Global OppBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Global Fixed Income (Unhedged)as of September 30, 2019
(2)
0
2
4
6
8
10
12
14
Average Effective Coupon OADuration Life Yield Rate Convexity
(80)
(17)
(31)(53)
(13)
(99)
(11)
(88)
(44)(12)
10th Percentile 8.73 11.34 4.40 4.74 1.4525th Percentile 8.09 10.58 3.29 3.92 1.20
Median 7.30 9.33 2.15 3.20 0.9875th Percentile 6.29 8.31 1.50 2.64 0.4390th Percentile 3.49 5.96 1.08 2.24 (0.38)
Brandywine Global Opp 5.72 10.28 3.80 4.51 1.01
FTSE WGBI 8.55 9.27 0.81 2.30 1.43
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
(20%) 0% 20% 40% 60% 80% 100% 120%
Gov Related
46.1
75.5
100.0
US Trsy
41.8
50
%M
gr
MV
50
%M
gr
MV
Corp (incl 144A)
11.6
17.9
Cash
1.4
3.2
Total Securitized 3.4
Other
(0.8 )
Brandywine Global Opp Callan Global Fixed Income (Unhedged)
FTSE WGBI
Quality Ratingsvs Callan Global Fixed Income (Unhedged)
BBB-
BBB
BBB+
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(35)
(30)
10th Percentile AA25th Percentile AA
Median A75th Percentile A90th Percentile BBB
BrandywineGlobal Opp A+
FTSE WGBI AA
195Pennsylvania SERS
Brandywine Global OppPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Distribution
(20%)
0%
20%
40%
60%
80%
100%
120%
GovRelated
46.1
100.0
USTrsy
41.8
Corp(incl
144A)
11.6
Cash
1.4
Other
(0.8 )
Pe
rce
nt o
f P
ort
folio
Brandywine Global Opp
FTSE WGBI
Duration Distribution
0%
10%
20%
30%
40%
50%
<1
39.3
1-3
8.7
25.4
3-5
4.2
18.7
5-7
10.8 12.2
7-10
15.113.4
>10
21.9
30.3
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
Brandywine Global Opp:
FTSE WGBI:
5.728.55
Quality Distribution
0%
10%
20%
30%
40%
50%
60%
70%
AAA
45.5
11.0
AA
2.2
55.9
A
27.725.4
BBB
16.0
7.8
BB
8.6
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Brandywine Global Opp:
FTSE WGBI:
A+AA
196Pennsylvania SERS
Pyramis Glbl Adv HY CMBSPeriod Ended September 30, 2019
Investment PhilosophyFIAM believes that unsurpassed bottom-up research on more CMBS issues than other investors will yield premiumsrelative to others.
Quarterly Summary and HighlightsPyramis Glbl Adv HY CMBS’s portfolio posted a 2.01%return for the quarter placing it in the 25 percentile of theCallan Global Fixed High Yield group for the quarter and inthe 11 percentile for the last year.
Pyramis Glbl Adv HY CMBS’s portfolio underperformed theBlmbg:Universal CMBS xAaa by 0.60% for the quarter andunderperformed the Blmbg:Universal CMBS xAaa for theyear by 2.74%.
Quarterly Asset Growth
Beginning Market Value $333,710,222
Net New Investment $-512,909
Investment Gains/(Losses) $6,695,110
Ending Market Value $339,892,423
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter
2.012.61
Last 3/4 Year
8.46
11.13
LastYear
9.02
11.75
Last 2 Years
6.487.06
Last 3 Years
5.905.32
Last 5 Years
5.82
4.92
Last 7 Years
7.77
4.45
Re
turn
s
Pyramis Glbl Adv HY CMBS Blmbg:Universal CMBS xAaa
Relative Returns vsBlmbg:Universal CMBS xAaa
Re
lative
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
14 2015 2016 2017 2018 2019
Pyramis Glbl Adv HY CMBS
Callan Global Fixed High Yield (Gross)Annualized Five Year Risk vs Return
2 3 4 5 6 7 83.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
Pyramis Glbl Adv HY CMBS
Blmbg:Universal CMBS xAaa
Standard Deviation
Re
turn
s
197Pennsylvania SERS
Pyramis Glbl Adv HY CMBSReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Global Fixed High Yield (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(99)(64)
(1)(1)
(96)(99)(100)(100) (1)
(2)
(1)
(2)
(4)
(87)
10th Percentile 13.37 (1.09) 11.14 18.91 (0.99) 3.22 10.8225th Percentile 12.68 (1.72) 10.00 16.54 (2.42) 1.88 10.00
Median 11.80 (2.60) 8.48 15.36 (4.70) 0.74 7.0075th Percentile 10.81 (3.67) 7.84 13.20 (6.75) (0.30) 2.7690th Percentile 9.53 (4.25) 6.73 10.21 (8.43) (1.43) (1.34)
Pyramis GlblAdv HY CMBS 8.46 3.94 6.51 3.81 4.40 11.08 11.41
Blmbg:UniversalCMBS xAaa 11.13 2.05 6.03 4.57 0.07 3.89 1.43
Cumulative and Quarterly Relative Return vs Blmbg:Universal CMBS xAaa
Re
lative
Re
turn
s
(15%)
(10%)
(5%)
0%
5%
10%
2014 2015 2016 2017 2018 2019
Pyramis Glbl Adv HY CMBS Callan Global High Yield
Risk Adjusted Return Measures vs Blmbg:Universal CMBS xAaaRankings Against Callan Global Fixed High Yield (Gross)Five Years Ended September 30, 2019
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Alpha Sharpe Excess ReturnRatio Ratio
(9)
(1)
(5)
10th Percentile 2.35 1.15 0.3625th Percentile 1.74 0.96 0.27
Median 0.59 0.76 0.0475th Percentile (0.06) 0.59 (0.05)90th Percentile (0.63) 0.51 (0.18)
Pyramis Glbl Adv HY CMBS 2.52 1.98 0.46
198Pennsylvania SERS
Pyramis Glbl Adv HY CMBSRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Global Fixed High Yield (Gross)Five Years Ended September 30, 2019
1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0(1.5 )
(1.0 )
(0.5 )
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Pyramis Glbl Adv HY CMBS
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays Universal CMBS xAaa
Tra
ckin
g E
rro
r
1%
2%
3%
4%
5%
6%
7%
2015 2016 2017 2018 2019
Pyramis Glbl Adv HY CMBS
Callan Global High Yield
Risk Statistics Rankings vs Bloomberg Barclays Universal CMBS xAaaRankings Against Callan Global Fixed High Yield (Gross)Five Years Ended September 30, 2019
0%
1%
2%
3%
4%
5%
6%
7%
8%
Standard Downside TrackingDeviation Risk Error
(99)
(99)
(100)
10th Percentile 6.75 4.44 5.8425th Percentile 6.10 3.97 5.09
Median 5.63 3.40 4.8575th Percentile 5.20 3.02 4.3190th Percentile 4.60 2.64 3.90
Pyramis GlblAdv HY CMBS 2.45 1.29 1.99
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
Beta R-Squared
(99)(1)
10th Percentile 1.11 0.3425th Percentile 1.00 0.32
Median 0.92 0.2975th Percentile 0.83 0.2590th Percentile 0.73 0.20
Pyramis GlblAdv HY CMBS 0.58 0.63
199Pennsylvania SERS
Pyramis Glbl Adv HY CMBSBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Global Fixed High Yieldas of September 30, 2019
2
3
4
5
6
7
8
Average CurrentDuration Life Yield
(32)
(3)
(74)
(24)(62)
(92)
10th Percentile 3.74 6.96 6.6825th Percentile 3.44 5.99 6.32
Median 3.01 5.03 5.8575th Percentile 2.79 4.02 5.6190th Percentile 2.57 3.37 5.01
Pyramis GlblAdv HY CMBS 3.23 4.05 5.75
Blmbg:UniversalCMBS xAaa 5.31 6.07 4.00
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100% 120%
CMBS88.5
50
%M
gr
MV
50
%M
gr
MV
100.0
Cash3.63.0
Corp (incl 144A)3.4
95.0
Bk Ln2.7
Prfd1.8
Non-Agency RMBS
Gov Related 1.7
Other 0.3
Pyramis Glbl Adv HY CMBS Callan Global Fixed High Yield
Blmbg:Universal CMBS xAaa
Quality Ratingsvs Callan Global Fixed High Yield
CCCB-B
B+BB-BB
BB+BBB-BBB
BBB+A-A
A+AA-AA
AA+AAATrsy
Weighted AverageQuality Rating
(8)
(5)
10th Percentile BB25th Percentile BB
Median B+75th Percentile B90th Percentile B
Pyramis GlblAdv HY CMBS BB+
Blmbg:UniversalCMBS xAaa A+
200Pennsylvania SERS
Pyramis Glbl Adv HY CMBSPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Distribution
0%
20%
40%
60%
80%
100%
120%
CMBS
88.5
100.0
Cash
3.6
Corp(incl
144A)
3.4
BkLn
2.7
Prfd
1.8
Non-AgencyRMBS
Pe
rce
nt o
f P
ort
folio
Pyramis Glbl Adv HY CMBS
Blmbg US Univ CMBS ex Aaa
Duration Distribution
0%
10%
20%
30%
40%
50%
60%
<1
6.3
1-3
42.5
2.9
3-5
27.6 28.2
5-7
14.8
45.4
7-10
8.2
23.5
>10
0.6
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
Pyramis Glbl Adv HY CMBS:
Blmbg US Univ CMBS ex Aaa:
3.235.31
Quality Distribution
0%
20%
40%
60%
80%
100%
AAA
1.4
AA
2.9
68.0
A
5.5
29.5
BBB
36.1
2.5
BB
26.6
B
17.5
CCC
1.8
CC C D N/R
8.2
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Pyramis Glbl Adv HY CMBS:
Blmbg US Univ CMBS ex Aaa:
BB+A+
201Pennsylvania SERS
Stone Harbor EMDPeriod Ended September 30, 2019
Investment PhilosophyStone Harbor believes that a disciplined credit and relative value approach will best capture what the investment teamviews as a secular trend towards the expansion and development of the emerging debt markets. The team also believesthat investing in a diversified portfolio of improving emerging markets debt instruments will result in strong, long-termperformance. Also, they believe the key to successfully generating excess returns is through a process of rigorous creditanalysis. The team’s active style of investment management is characterized by fundamental credit analysis.
Quarterly Summary and HighlightsStone Harbor EMD’s portfolio posted a (1.07)% return forthe quarter placing it in the 87 percentile of the CallanEmerging Debt USD group for the quarter and in the 92percentile for the last year.
Stone Harbor EMD’s portfolio underperformed the JPMEMBI Global by 2.41% for the quarter and underperformedthe JPM EMBI Global for the year by 3.14%.
Quarterly Asset Growth
Beginning Market Value $156,315,025
Net New Investment $9,326,422
Investment Gains/(Losses) $-1,679,450
Ending Market Value $163,961,997
Performance vs Callan Emerging Debt USD (Gross)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12%
14%
16%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(87)
(16)
(76)(61)
(92)
(48)
(96)
(58) (90)(88)(86)(77)
(89)(78)
10th Percentile 1.67 13.98 11.60 4.70 5.77 6.31 5.5525th Percentile 1.14 13.14 11.30 4.44 5.45 5.80 5.02
Median 0.62 12.73 10.69 4.05 4.75 5.50 4.6675th Percentile (0.20) 11.60 9.71 2.88 4.20 5.18 4.1890th Percentile (1.13) 9.72 8.01 2.05 3.39 4.57 3.75
Stone Harbor EMD (1.07) 11.52 7.61 1.74 3.45 4.80 3.92
JPM EMBI Global 1.34 12.08 10.74 3.68 3.84 5.10 4.14
Relative Return vs JPM EMBI Global
Rela
tive
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
14 2015 2016 2017 2018 2019
Stone Harbor EMD
Callan Emerging Debt USD (Gross)Annualized Five Year Risk vs Return
5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.02.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
JPM EMBI Global
Stone Harbor EMD
Standard Deviation
Re
turn
s
202Pennsylvania SERS
Stone Harbor EMDReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Emerging Debt USD (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(76)(61)
(97)(30)
(33)(87)
(19)
(83)
(40)(27) (83)
(45)
(99)(81)
10th Percentile 13.98 (3.41) 13.77 15.49 1.81 7.69 (0.53)25th Percentile 13.14 (4.56) 12.95 13.93 1.36 6.62 (3.99)
Median 12.73 (5.31) 11.76 12.05 (0.21) 5.14 (5.39)75th Percentile 11.60 (5.88) 10.48 10.66 (1.73) 2.90 (6.38)90th Percentile 9.72 (6.43) 8.93 9.25 (3.53) 0.96 (7.57)
Stone Harbor EMD 11.52 (7.82) 12.49 14.44 0.10 1.77 (9.37)
JPM EMBI Global 12.08 (4.61) 9.32 10.19 1.23 5.53 (6.58)
Cumulative and Quarterly Relative Return vs JPM EMBI Global
Re
lative
Re
turn
s
(6%)
(4%)
(2%)
0%
2%
4%
6%
2014 2015 2016 2017 2018 2019
Stone Harbor EMD Callan Emerging Debt USD
Risk Adjusted Return Measures vs JPM EMBI GlobalRankings Against Callan Emerging Debt USD (Gross)Five Years Ended September 30, 2019
(2.0)
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
Alpha Sharpe Excess ReturnRatio Ratio
(95)
(95)
(83)
10th Percentile 1.02 0.80 0.9825th Percentile 0.70 0.76 0.40
Median 0.10 0.66 0.2075th Percentile (0.50) 0.55 0.0590th Percentile (0.96) 0.50 (0.21)
Stone Harbor EMD (1.55) 0.45 (0.09)
203Pennsylvania SERS
Stone Harbor EMDRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Emerging Debt USD (Gross)Five Years Ended September 30, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5(2.5 )
(2.0 )
(1.5 )
(1.0 )
(0.5 )
0.0
0.5
1.0
1.5
2.0
2.5
Stone Harbor EMD
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs JPM Emerging Mkts Bond Global
Tra
ckin
g E
rro
r
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
2015 2016 2017 2018 2019
Stone Harbor EMD
Callan Emerging Debt USD
Risk Statistics Rankings vs JPM Emerging Mkts Bond GlobalRankings Against Callan Emerging Debt USD (Gross)Five Years Ended September 30, 2019
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
Standard Downside TrackingDeviation Risk Error
(1)
(9)(11)
10th Percentile 8.04 2.38 3.3225th Percentile 7.24 2.02 2.75
Median 6.90 1.27 1.9175th Percentile 6.42 0.96 1.4890th Percentile 5.97 0.60 1.07
StoneHarbor EMD 8.46 2.51 3.25
0.70
0.80
0.90
1.00
1.10
1.20
1.30
1.40
1.50
Beta R-Squared
(1)
(65)
10th Percentile 1.23 0.9725th Percentile 1.14 0.96
Median 1.11 0.9275th Percentile 1.01 0.8990th Percentile 0.91 0.81
Stone Harbor EMD 1.34 0.91
204Pennsylvania SERS
Stone Harbor EMDBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Emerging Debt USDas of September 30, 2019
0
2
4
6
8
10
12
14
16
18
Average Effective Coupon OADuration Life Yield Rate Convexity
(56)(42)
(57)(55)
(27)(72) (73)(75)
(65)(35)
10th Percentile 8.53 15.08 6.70 6.41 1.4225th Percentile 7.83 13.48 6.49 6.24 1.22
Median 7.55 12.12 5.87 5.75 1.0475th Percentile 7.01 11.35 5.09 5.50 0.8890th Percentile 6.18 9.07 4.67 5.20 0.16
Stone Harbor EMD 7.49 11.76 6.42 5.55 0.99
JPM EMBI Global 7.60 11.88 5.18 5.50 1.12
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100% 120%
Gov Related
96.5
50
%M
gr
MV
50
%M
gr
MV
84.5
100.0
Cash
3.5
4.4
Corp (incl 144A) 11.1
Stone Harbor EMD Callan Emerging Debt USD JPM EMBI Global
Quality Ratingsvs Callan Emerging Debt USD
BB-
BB
BB+
BBB-
BBB
BBB+
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(23)
(18)
10th Percentile BBB25th Percentile BB+
Median BB75th Percentile BB90th Percentile BB
Stone Harbor EMD BB+
JPM EMBI Global BBB-
205Pennsylvania SERS
Stone Harbor EMDPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Distribution
0%
20%
40%
60%
80%
100%
120%
140%
GovRelated
96.5 100.0
Cash
3.5
Pe
rce
nt o
f P
ort
folio
Stone Harbor EMD
JPM EMBI Global
Duration Distribution
0%
10%
20%
30%
40%
50%
60%
70%
80%
<1
6.00.3
1-3
5.0 6.9
3-5
13.3 11.2
5-7
30.1
10.3
7-10
20.5
56.4
>10
25.2
14.8
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
Stone Harbor EMD:
JPM EMBI Global:
7.497.60
Quality Distribution
0%
10%
20%
30%
40%
50%
AAA
3.5
AA
4.8 6.1
A
10.4
17.1
BBB
37.139.5
BB
13.1 12.5
B
22.720.5
CCC
5.92.9
CC C
0.2
D
0.9
N/R
1.6 1.1
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Stone Harbor EMD:
JPM EMBI Global:
BB+BBB-
206Pennsylvania SERS
Stone Harbor Glbl HYPeriod Ended September 30, 2019
Quarterly Summary and HighlightsStone Harbor Glbl HY’s portfolio posted a 0.85% return forthe quarter placing it in the 75 percentile of the Callan GlobalFixed High Yield group for the quarter and in the 70percentile for the last year.
Stone Harbor Glbl HY’s portfolio underperformed theFTSE:HY Corp by 0.10% for the quarter and outperformedthe FTSE:HY Corp for the year by 0.75%.
Quarterly Asset Growth
Beginning Market Value $200,846,214
Net New Investment $-9,326,421
Investment Gains/(Losses) $1,695,712
Ending Market Value $193,215,504
Performance vs Callan Global Fixed High Yield (Gross)
0%
5%
10%
15%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(75)(74)
(50)
(69)
(70)
(76)
(56)(60)
(80)(75)
(75)(52)
(72)(72)
10th Percentile 2.33 13.37 9.22 6.14 7.24 6.48 7.1425th Percentile 2.01 12.68 8.33 5.42 6.93 6.15 6.58
Median 1.48 11.80 6.95 4.67 6.25 5.11 5.9875th Percentile 0.82 10.81 5.93 4.00 5.81 4.61 5.4190th Percentile 0.07 9.53 4.98 2.92 5.43 3.85 4.86
Stone HarborGlbl HY 0.85 11.79 6.48 4.58 5.71 4.59 5.52
FTSE:HY Corp 0.96 10.95 5.72 4.48 5.81 4.99 5.51
Relative Return vs FTSE:HY Corp
Rela
tive
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
14 2015 2016 2017 2018 2019
Stone Harbor Glbl HY
Callan Global Fixed High Yield (Gross)Annualized Five Year Risk vs Return
3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.53.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
FTSE:HY Corp
Stone Harbor Glbl HY
Standard Deviation
Re
turn
s
207Pennsylvania SERS
Stone Harbor Glbl HYReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Global Fixed High Yield (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(50)(69)
(44)(43)
(99)(87)
(65)(12)
(38)(58)
(27)(26)
(32)(48)
10th Percentile 13.37 (1.09) 11.14 18.91 (0.99) 3.22 10.8225th Percentile 12.68 (1.72) 10.00 16.54 (2.42) 1.88 10.00
Median 11.80 (2.60) 8.48 15.36 (4.70) 0.74 7.0075th Percentile 10.81 (3.67) 7.84 13.20 (6.75) (0.30) 2.7690th Percentile 9.53 (4.25) 6.73 10.21 (8.43) (1.43) (1.34)
Stone Harbor Glbl HY 11.79 (2.29) 6.06 14.19 (3.89) 1.75 8.80
FTSE:HY Corp 10.95 (2.13) 7.05 17.82 (5.56) 1.83 7.23
Cumulative and Quarterly Relative Return vs FTSE:HY Corp
Re
lative
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
2014 2015 2016 2017 2018 2019
Stone Harbor Glbl HY Callan Global High Yield
Risk Adjusted Return Measures vs FTSE:HY CorpRankings Against Callan Global Fixed High Yield (Gross)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Alpha Sharpe Excess ReturnRatio Ratio
(85)
(76)
(85)
10th Percentile 2.69 1.15 0.6925th Percentile 1.96 0.96 0.43
Median 0.82 0.76 0.0875th Percentile 0.16 0.59 (0.15)90th Percentile (0.48) 0.51 (0.43)
Stone Harbor Glbl HY (0.04) 0.59 (0.25)
208Pennsylvania SERS
Stone Harbor Glbl HYRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Global Fixed High Yield (Gross)Five Years Ended September 30, 2019
1.2 1.4 1.6 1.8 2.0 2.2 2.4 2.6 2.8 3.0 3.2 3.4 3.6(1.5 )
(1.0 )
(0.5 )
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
Stone Harbor Glbl HY
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs FTSE HY Corporate
Tra
ckin
g E
rro
r
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
2015 2016 2017 2018 2019
Stone Harbor Glbl HY
Callan Global High Yield
Risk Statistics Rankings vs FTSE HY CorporateRankings Against Callan Global Fixed High Yield (Gross)Five Years Ended September 30, 2019
0%
1%
2%
3%
4%
5%
6%
7%
8%
Standard Downside TrackingDeviation Risk Error
(25)
(80)(94)
10th Percentile 6.75 2.21 3.1225th Percentile 6.10 2.12 2.67
Median 5.63 1.65 2.2475th Percentile 5.20 1.25 1.8990th Percentile 4.60 1.00 1.72
Stone HarborGlbl HY 6.08 1.21 1.57
0.60
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00
1.05
Beta R-Squared
(15)(12)
10th Percentile 0.97 0.9525th Percentile 0.88 0.92
Median 0.83 0.8975th Percentile 0.76 0.8390th Percentile 0.67 0.78
Stone Harbor Glbl HY 0.91 0.94
209Pennsylvania SERS
Stone Harbor Glbl HYBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Global Fixed High Yieldas of September 30, 2019
(2)
(1)
0
1
2
3
4
5
6
7
8
Average Effective Coupon OADuration Life Yield Rate Convexity
(60)(43)
(24)(37) (64)(46) (68)
(23)
(100)
(16)
10th Percentile 3.74 6.96 6.80 6.85 0.2825th Percentile 3.44 5.99 6.41 6.28 0.11
Median 3.01 5.03 5.72 5.89 (0.17)75th Percentile 2.79 4.02 5.39 5.72 (0.37)90th Percentile 2.57 3.37 4.41 5.31 (0.54)
Stone Harbor Glbl HY 2.96 6.04 5.62 5.78 (0.74)
FTSE:HY Corp 3.10 5.67 5.82 6.35 0.18
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100% 120%
Corp (incl 144A)
93.0
50
%M
gr
MV
50
%M
gr
MV
95.0
100.0
Bk Ln
5.5
Cash
1.5
3.0
Gov Related 1.7
Other 0.3
Stone Harbor Glbl HY Callan Global Fixed High Yield FTSE:HY Corp
Quality Ratingsvs Callan Global Fixed High Yield
B-
B
B+
BB-
BB
BB+
BBB-
BBB
BBB+
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(43)(45)
10th Percentile BB25th Percentile BB
Median B+75th Percentile B90th Percentile B
Stone Harbor Glbl HY BB-
FTSE:HY Corp B+
210Pennsylvania SERS
Stone Harbor Glbl HYPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Allocation
Stone Harbor Glbl HY
Corp (incl 144A)93%
Cash2%
Bk Ln6%
FTSE US High Yield
Corp (incl 144A)100%
Duration Distribution
0%
10%
20%
30%
40%
50%
<1
21.218.5
1-3
30.9 32.4
3-5
31.635.4
5-7
13.610.3
7-10
2.0 2.4
>10
0.8 1.1
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
Stone Harbor Glbl HY:
FTSE US High Yield:
2.963.10
Quality Distribution
0%
10%
20%
30%
40%
50%
60%
70%
AAA
1.5
AA A BBB BB
57.953.7
B
36.1 36.6
CCC
4.59.4
CC
0.2
C
0.2
D
0.1
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Stone Harbor Glbl HY:
FTSE US High Yield:
BB-B+
211Pennsylvania SERS
TIP
S &
Tre
asu
ry
TIPS & Treasury
Ma
nag
ers
Managers
Brown Brothers TIPSPeriod Ended September 30, 2019
Investment PhilosophyThe BBH U.S. TIPS strategy seeks to capture a range of fundamentally-based and technically-based opportunities in theinflation-indexed securities market.
Quarterly Summary and HighlightsBrown Brothers TIPS’s portfolio posted a 1.50% return forthe quarter placing it in the 11 percentile of the CallanInflation Linked Bonds group for the quarter and in the 22percentile for the last year.
Brown Brothers TIPS’s portfolio outperformed theBlmbg:TIPS by 0.16% for the quarter and outperformed theBlmbg:TIPS for the year by 0.27%.
Quarterly Asset Growth
Beginning Market Value $226,818,626
Net New Investment $0
Investment Gains/(Losses) $3,386,991
Ending Market Value $230,205,617
Performance vs Callan Inflation Linked Bonds (Gross)
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(11)(33)
(27)(61) (22)
(35)
(29)(63)
(32)(69)
(16)(62)
(24)(72)
10th Percentile 1.51 8.06 7.95 4.23 2.97 2.87 1.5925th Percentile 1.42 7.88 7.26 3.88 2.54 2.66 1.31
Median 1.27 7.60 7.03 3.72 2.27 2.51 1.1375th Percentile 0.74 6.56 6.18 3.31 2.16 2.27 1.0690th Percentile 0.60 5.80 5.73 3.02 1.94 2.00 0.97
BrownBrothers TIPS 1.50 7.81 7.40 3.84 2.35 2.71 1.33
Blmbg:TIPS 1.35 7.58 7.13 3.71 2.21 2.45 1.06
Relative Return vs Blmbg:TIPS
Rela
tive
Re
turn
s
(0.15%)
(0.10%)
(0.05%)
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
14 2015 2016 2017 2018 2019
Brown Brothers TIPS
Callan Inflation Linked Bonds (Gross)Annualized Five Year Risk vs Return
2.0 2.5 3.0 3.5 4.0 4.5 5.01.8%
2.0%
2.2%
2.4%
2.6%
2.8%
3.0%
3.2%
Brown Brothers TIPS
Blmbg:TIPS
Standard Deviation
Re
turn
s
213Pennsylvania SERS
Brown Brothers TIPSReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Inflation Linked Bonds (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(27)(61)
(55)(60)
(68)(75)(33)(52)
(26)(45)
(18)(38)
(56)(78)
10th Percentile 8.06 (0.17) 4.25 5.59 (0.49) 4.03 (5.54)25th Percentile 7.88 (0.39) 3.54 5.20 (0.91) 3.74 (5.86)
Median 7.60 (1.18) 3.10 4.73 (1.45) 3.44 (8.15)75th Percentile 6.56 (1.37) 3.01 4.44 (1.62) 2.55 (8.60)90th Percentile 5.80 (1.76) 1.98 4.03 (2.21) 0.92 (8.94)
Brown Brothers TIPS 7.81 (1.23) 3.02 5.06 (0.93) 3.89 (8.30)
Blmbg:TIPS 7.58 (1.26) 3.01 4.68 (1.44) 3.64 (8.61)
Cumulative and Quarterly Relative Return vs Blmbg:TIPS
Re
lative
Re
turn
s
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2014 2015 2016 2017 2018 2019
Brown Brothers TIPS Callan Inflation Linked
Risk Adjusted Return Measures vs Blmbg:TIPSRankings Against Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess ReturnRatio Ratio
(18)(12)
(9)
10th Percentile 0.34 0.53 1.3925th Percentile 0.16 0.48 0.56
Median 0.03 0.45 0.2175th Percentile (0.06) 0.41 (0.25)90th Percentile (0.11) 0.38 (0.43)
Brown Brothers TIPS 0.25 0.52 1.56
214Pennsylvania SERS
Brown Brothers TIPSRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
0.0 0.5 1.0 1.5 2.0 2.5(0.6 )
(0.4 )
(0.2 )
0.0
0.2
0.4
0.6
0.8
Brown Brothers TIPS
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays TIPS
Tra
ckin
g E
rro
r
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
2017 2018 2019
Brown Brothers TIPS
Callan Inflation Linked
Risk Statistics Rankings vs Bloomberg Barclays TIPSRankings Against Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
Standard Downside TrackingDeviation Risk Error
(58)
(87) (79)
10th Percentile 3.75 0.85 1.2025th Percentile 3.55 0.79 1.07
Median 3.36 0.38 0.4975th Percentile 2.89 0.10 0.2190th Percentile 2.61 0.05 0.10
BrownBrothers TIPS 3.33 0.05 0.16
0.70
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(57) (23)
10th Percentile 1.11 1.0025th Percentile 1.05 1.00
Median 1.00 0.9875th Percentile 0.81 0.9390th Percentile 0.75 0.86
Brown Brothers TIPS 1.00 1.00
215Pennsylvania SERS
Brown Brothers TIPSBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Inflation Linked Bondsas of September 30, 2019
0
5
10
15
Real Effective Average Effective Coupon OADuration Life Yield Rate Convexity
(51)(50)(42)(42)
(96)
(47)(52)(66)
(19)(52)
10th Percentile 9.32 13.00 2.42 2.14 2.1525th Percentile 8.74 9.61 2.09 1.45 1.13
Median 7.79 8.31 1.88 1.11 0.6975th Percentile 5.12 5.26 1.69 0.72 0.3290th Percentile 3.52 5.16 0.32 0.44 0.04
Brown Brothers TIPS 7.70 8.38 0.29 1.02 1.26
Blmbg:TIPS 7.79 8.38 1.88 0.75 0.49
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100% 120%
US Trsy
95.7
50
%M
gr
MV
50
%M
gr
MV
99.2
100.0
Cash
4.3
0.8
Brown Brothers TIPS Callan Inflation Linked Bonds Blmbg:TIPS
Quality Ratingsvs Callan Inflation Linked Bonds
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(44)(44)
10th Percentile AAA25th Percentile AAA
Median AAA75th Percentile AA90th Percentile AA
Brown Brothers TIPS AAA
Blmbg:TIPS AAA
216Pennsylvania SERS
Brown Brothers TIPSPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Allocation
Brown Brothers TIPS
US Trsy96%
Cash4%
Blmbg US TIPS
US Trsy100%
Duration Distribution
0%
10%
20%
30%
40%
50%
<1
4.3
9.9
1-3
12.2
33.8
3-5
38.7
28.6
5-7
12.0 12.3
7-10
15.5
>10
17.315.4
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Real Duration
Brown Brothers TIPS:
Blmbg US TIPS:
7.707.79
Quality Distribution
0%
20%
40%
60%
80%
100%
120%
AAA
95.7100.0
AA A BBB BB B CCC CC C D N/R
4.3
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
Brown Brothers TIPS:
Blmbg US TIPS:
AAAAAA
217Pennsylvania SERS
New Century Global TIPSPeriod Ended September 30, 2019
Investment PhilosophyNew Century Advisors believes there are five main sources of excess return that an active manager can capture in theGlobal Inflation Linked Bond Product: duration management, county selection, currency management, yield curvepositioning, and nominal/linker relative value. New Century Advisors approach to adding value in each case is thesame, a three pronged approach combining fundamental analysis, technical analysis and human judgment.
Quarterly Summary and HighlightsNew Century Global TIPS’s portfolio posted a 2.01% returnfor the quarter placing it in the 2 percentile of the CallanInflation Linked Bonds group for the quarter and in the 12percentile for the last year.
New Century Global TIPS’s portfolio outperformed theBlmbg:Wld Infl-Lnk Unhdg by 0.24% for the quarter andoutperformed the Blmbg:Wld Infl-Lnk Unhdg for the year by0.51%.
Quarterly Asset Growth
Beginning Market Value $118,188,416
Net New Investment $-68,694
Investment Gains/(Losses) $2,380,976
Ending Market Value $120,500,698
0%
2%
4%
6%
8%
10%
12%
Last Quarter
2.01 1.77
Last 3/4 Year
8.788.19
LastYear
7.827.31
Last 2 Years
3.663.31
Last 3 Years
2.532.17
Last 5 Years
2.802.29
Last 7 Years
2.321.74
Re
turn
s
New Century Global TIPS Blmbg:Wld Infl-Lnk Unhdg
Relative Return vs Blmbg:Wld Infl-Lnk Unhdg
Re
lative
Re
turn
s
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
14 2015 2016 2017 2018 2019
New Century Global TIPS
Callan Inflation Linked Bonds (Gross)Annualized Five Year Risk vs Return
2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.51.8%
2.0%
2.2%
2.4%
2.6%
2.8%
3.0%
3.2%
Blmbg:Wld Infl-Lnk Unhdg
New Century Global TIPS
Standard Deviation
Re
turn
s
218Pennsylvania SERS
New Century Global TIPSReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Inflation Linked Bonds (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(5)(9)
(100)(100)
(1)(1)
(89)(90)
(94)(95)
(1)(8)
(1)(2)
10th Percentile 8.06 (0.17) 4.25 5.59 (0.49) 4.03 (5.54)25th Percentile 7.88 (0.39) 3.54 5.20 (0.91) 3.74 (5.86)
Median 7.60 (1.18) 3.10 4.73 (1.45) 3.44 (8.15)75th Percentile 6.56 (1.37) 3.01 4.44 (1.62) 2.55 (8.60)90th Percentile 5.80 (1.76) 1.98 4.03 (2.21) 0.92 (8.94)
New CenturyGlobal TIPS 8.78 (4.00) 9.51 4.03 (4.03) 5.41 (4.65)
Blmbg:WldInfl-Lnk Unhdg 8.19 (4.07) 8.51 4.02 (4.70) 4.08 (4.84)
Cumulative and Quarterly Relative Return vs Blmbg:Wld Infl-Lnk Unhdg
Re
lative
Re
turn
s
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
2014 2015 2016 2017 2018 2019
New Century Global TIPS Callan Inflation Linked
Risk Adjusted Return Measures vs Blmbg:Wld Infl-Lnk UnhdgRankings Against Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
(0.4)
(0.2)
0.0
0.2
0.4
0.6
0.8
1.0
1.2
1.4
Alpha Sharpe Excess ReturnRatio Ratio
(99)(100)
(1)
10th Percentile 1.18 0.53 0.1725th Percentile 0.99 0.48 0.11
Median 0.88 0.45 0.0675th Percentile 0.68 0.41 (0.00)90th Percentile 0.53 0.38 (0.08)
New Century Global TIPS 0.46 0.34 0.95
219Pennsylvania SERS
New Century Global TIPSRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5(0.5 )
0.0
0.5
1.0
New Century Global TIPS
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays World Infl-Lnk Unhdg
Tra
ckin
g E
rro
r
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
2017 2018 2019
New Century Global TIPS
Callan Inflation Linked
Risk Statistics Rankings vs Bloomberg Barclays World Infl-Lnk UnhdgRankings Against Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
0%
1%
2%
3%
4%
5%
6%
Standard Downside TrackingDeviation Risk Error
(1)
(100)(100)
10th Percentile 3.75 2.38 3.7625th Percentile 3.55 2.31 3.67
Median 3.36 2.03 3.4075th Percentile 2.89 1.96 3.3790th Percentile 2.61 1.88 3.28
New CenturyGlobal TIPS 5.28 0.24 0.54
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(1)(1)
10th Percentile 0.54 0.5825th Percentile 0.52 0.55
Median 0.48 0.5575th Percentile 0.39 0.4990th Percentile 0.35 0.47
New CenturyGlobal TIPS 1.04 0.99
220Pennsylvania SERS
New Century Global TIPSBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Inflation Linked Bondsas of September 30, 2019
(4)
(2)
0
2
4
6
8
10
12
14
16
Real Effective Average Effective Coupon OADuration Life Yield Rate Convexity
(5)(5)(9)(10)
(85)
(100)
(27)(52)
(6)(10)
10th Percentile 9.32 13.00 2.42 2.14 2.1525th Percentile 8.74 9.61 2.09 1.45 1.13
Median 7.79 8.31 1.88 1.11 0.6975th Percentile 5.12 5.26 1.69 0.72 0.3290th Percentile 3.52 5.16 0.32 0.44 0.04
New Century Global TIPS 12.90 13.93 1.09 1.42 3.11
ML:Glb Gov Infl-Lnkd 12.82 13.49 (0.74) 1.00 2.14
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100% 120%
Gov Related
47.4
100.0
US Trsy
40.6
50
%M
gr
MV
50
%M
gr
MV
99.2
Corp (incl 144A)
9.8
Cash
2.2
0.8
New Century Global TIPS Callan Inflation Linked Bonds
ML:Glb Gov Infl-Lnkd
Quality Ratingsvs Callan Inflation Linked Bonds
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(53)
(54)
10th Percentile AAA25th Percentile AAA
Median AAA75th Percentile AA90th Percentile AA
New CenturyGlobal TIPS AA+
ML:Glb Gov Infl-Lnkd AA+
221Pennsylvania SERS
New Century Global TIPSPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Allocation
New Century Global TIPS
Gov Related47%
Cash2%
US Trsy41%
Corp (incl 144A)10%
ML Global Govt Infl-Lnkd
Gov Related100%
Duration Distribution
0%
10%
20%
30%
40%
50%
60%
<1
7.9 8.7
1-3
13.4
19.7
3-5
2.9
17.5
5-7
12.9 11.1
7-10
21.3
6.8
>10
41.5
36.2
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Real Duration
New Century Global TIPS:
ML Global Govt Infl-Lnkd:
12.9012.82
Quality Distribution
0%
10%
20%
30%
40%
50%
60%
AAA
47.250.7
AA
37.2 38.4
A
10.25.1
BBB
5.4 5.7
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
New Century Global TIPS:
ML Global Govt Infl-Lnkd:
AA+AA+
222Pennsylvania SERS
NISA Inv Adv TIPSPeriod Ended September 30, 2019
Investment PhilosophyNISA believes that markets offer opportunities to capitalize on moderate inefficiencies for predictable gains. The teamapplies a fundamental approach and strategy to all fixed income portfolios, regardless of benchmark. Central to theirinvestment philosophy is the following: practice active trading, hold high average credit quality, maintain tight durationcollars, and avoid large exposure to any one entity.
Quarterly Summary and HighlightsNISA Inv Adv TIPS’s portfolio posted a 1.31% return for thequarter placing it in the 37 percentile of the Callan InflationLinked Bonds group for the quarter and in the 41 percentilefor the last year.
NISA Inv Adv TIPS’s portfolio underperformed theBlmbg:TIPS by 0.04% for the quarter and underperformedthe Blmbg:TIPS for the year by 0.03%.
Quarterly Asset Growth
Beginning Market Value $510,566,633
Net New Investment $-126,267
Investment Gains/(Losses) $6,654,957
Ending Market Value $517,095,324
Performance vs Callan Inflation Linked Bonds (Gross)
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(37)(33)
(58)(61)(41)(35)
(45)(63)
(51)(69)(47)(62)
(56)(72)
10th Percentile 1.51 8.06 7.95 4.23 2.97 2.87 1.5925th Percentile 1.42 7.88 7.26 3.88 2.54 2.66 1.31
Median 1.27 7.60 7.03 3.72 2.27 2.51 1.1375th Percentile 0.74 6.56 6.18 3.31 2.16 2.27 1.0690th Percentile 0.60 5.80 5.73 3.02 1.94 2.00 0.97
NISA Inv Adv TIPS 1.31 7.60 7.10 3.75 2.27 2.54 1.11
Blmbg:TIPS 1.35 7.58 7.13 3.71 2.21 2.45 1.06
Relative Return vs Blmbg:TIPS
Rela
tive
Re
turn
s
(0.15%)
(0.10%)
(0.05%)
0.00%
0.05%
0.10%
0.15%
14 2015 2016 2017 2018 2019
NISA Inv Adv TIPS
Callan Inflation Linked Bonds (Gross)Annualized Five Year Risk vs Return
2.0 2.5 3.0 3.5 4.0 4.5 5.01.8%
2.0%
2.2%
2.4%
2.6%
2.8%
3.0%
3.2%
NISA Inv Adv TIPS
Blmbg:TIPS
Standard Deviation
Re
turn
s
223Pennsylvania SERS
NISA Inv Adv TIPSReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Inflation Linked Bonds (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(58)(61)
(56)(60)
(45)(75)(47)(52)
(34)(45)
(29)(38)
(72)(78)
10th Percentile 8.06 (0.17) 4.25 5.59 (0.49) 4.03 (5.54)25th Percentile 7.88 (0.39) 3.54 5.20 (0.91) 3.74 (5.86)
Median 7.60 (1.18) 3.10 4.73 (1.45) 3.44 (8.15)75th Percentile 6.56 (1.37) 3.01 4.44 (1.62) 2.55 (8.60)90th Percentile 5.80 (1.76) 1.98 4.03 (2.21) 0.92 (8.94)
NISA Inv Adv TIPS 7.60 (1.24) 3.23 4.81 (1.29) 3.71 (8.59)
Blmbg:TIPS 7.58 (1.26) 3.01 4.68 (1.44) 3.64 (8.61)
Cumulative and Quarterly Relative Return vs Blmbg:TIPS
Re
lative
Re
turn
s
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
0.6%
0.8%
2014 2015 2016 2017 2018 2019
NISA Inv Adv TIPS Callan Inflation Linked
Risk Adjusted Return Measures vs Blmbg:TIPSRankings Against Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess ReturnRatio Ratio
(41)
(35)
(13)
10th Percentile 0.34 0.53 1.3925th Percentile 0.16 0.48 0.56
Median 0.03 0.45 0.2175th Percentile (0.06) 0.41 (0.25)90th Percentile (0.11) 0.38 (0.43)
NISA Inv Adv TIPS 0.07 0.46 0.89
224Pennsylvania SERS
NISA Inv Adv TIPSRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
0.0 0.5 1.0 1.5 2.0 2.5(0.6 )
(0.4 )
(0.2 )
0.0
0.2
0.4
0.6
0.8
NISA Inv Adv TIPS
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays TIPS
Tra
ckin
g E
rro
r
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
2015 2016 2017 2018 2019
NISA Inv Adv TIPS
Callan Inflation Linked
Risk Statistics Rankings vs Bloomberg Barclays TIPSRankings Against Callan Inflation Linked Bonds (Gross)Five Years Ended September 30, 2019
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
Standard Downside TrackingDeviation Risk Error
(40)
(85) (89)
10th Percentile 3.75 0.85 1.2025th Percentile 3.55 0.79 1.07
Median 3.36 0.38 0.4975th Percentile 2.89 0.10 0.2190th Percentile 2.61 0.05 0.10
NISA InvAdv TIPS 3.39 0.06 0.10
0.70
0.80
0.90
1.00
1.10
1.20
Beta R-Squared
(39)(12)
10th Percentile 1.11 1.0025th Percentile 1.05 1.00
Median 1.00 0.9875th Percentile 0.81 0.9390th Percentile 0.75 0.86
NISA Inv Adv TIPS 1.02 1.00
225Pennsylvania SERS
NISA Inv Adv TIPSBond Characteristics Analysis Summary
Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.
Fixed Income Portfolio CharacteristicsRankings Against Callan Inflation Linked Bondsas of September 30, 2019
0
5
10
15
Average Effective Coupon OADuration Life Yield Rate Convexity
(24)
(71)
(59)(42)
(88)
(47)
(61)(66) (24)(52)
10th Percentile 10.90 13.00 2.42 2.14 2.1525th Percentile 7.77 9.61 2.09 1.45 1.13
Median 6.39 8.31 1.88 1.11 0.6975th Percentile 4.80 5.26 1.69 0.72 0.3290th Percentile 2.93 5.16 0.32 0.44 0.04
NISA Inv Adv TIPS 7.79 8.12 0.34 0.79 1.14
Blmbg:TIPS 4.86 8.38 1.88 0.75 0.49
Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.
Sector AllocationSeptember 30, 2019
0% 20% 40% 60% 80% 100% 120%
US Trsy
99.9
50
%M
gr
MV
50
%M
gr
MV
99.2
100.0
Cash
0.1
0.8
NISA Inv Adv TIPS Callan Inflation Linked Bonds Blmbg:TIPS
Quality Ratingsvs Callan Inflation Linked Bonds
AA-
AA
AA+
AAA
Trsy
Weighted AverageQuality Rating
(53)
(44)
10th Percentile AAA25th Percentile AAA
Median AAA75th Percentile AA90th Percentile AA
NISA Inv Adv TIPS AA+
Blmbg:TIPS AAA
226Pennsylvania SERS
NISA Inv Adv TIPSPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Allocation
NISA Inv Adv TIPS
US Trsy100%
Cash0%
Blmbg US TIPS
US Trsy100%
Duration Distribution
0%
5%
10%
15%
20%
25%
30%
35%
40%
<1
0.1
9.9
1-3
19.3
33.8
3-5
23.9
28.6
5-7
16.6
12.3
7-10
22.6
>10
17.415.4
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
NISA Inv Adv TIPS:
Blmbg US TIPS:
7.794.86
Quality Distribution
0%
20%
40%
60%
80%
100%
120%
140%
AAA
100.0 100.0
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
NISA Inv Adv TIPS:
Blmbg US TIPS:
AA+AAA
227Pennsylvania SERS
PIMCO US TreasuriesPeriod Ended September 30, 2019
Quarterly Summary and HighlightsPIMCO US Treasuries’s portfolio posted a 3.35% return forthe quarter placing it in the 53 percentile of the Callan USTreas Bond Funds group for the quarter and in the 53percentile for the last year.
PIMCO US Treasuries’s portfolio outperformed theBlmbg:Treas Bellwethr 10Y by 0.16% for the quarter andunderperformed the Blmbg:Treas Bellwethr 10Y for the yearby 0.49%.
Quarterly Asset Growth
Beginning Market Value $587,016,244
Net New Investment $-134,209
Investment Gains/(Losses) $19,694,397
Ending Market Value $606,576,432
Performance vs Callan US Treas Bond Funds (Gross)
0%
5%
10%
15%
20%
25%
30%
35%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(53)(53)
(53)(53)
(53)(52)
(53)(54)
(58)(77)
(48)(54)
(56)(66)
10th Percentile 9.86 23.82 29.21 11.53 4.56 8.21 5.7925th Percentile 8.21 19.81 25.04 9.95 4.15 6.78 4.78
Median 5.02 13.99 18.32 7.26 3.31 3.84 3.1175th Percentile 1.49 5.97 8.80 3.73 1.98 2.55 2.0690th Percentile 0.61 2.36 4.09 1.91 1.08 2.23 1.43
PIMCO USTreasuries 3.35 10.60 14.67 5.50 2.51 4.04 2.71
Blmbg:TreasBellwethr 10Y 3.19 10.86 15.15 5.16 1.81 3.39 2.17
Relative Return vs Blmbg:Treas Bellwethr 10Y
Rela
tive
Re
turn
s
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
14 2015 2016 2017 2018 2019
PIMCO US Treasuries
Callan US Treas Bond Funds (Gross)Annualized Five Year Risk vs Return
0 5 10 151%
2%
3%
4%
5%
6%
7%
8%
9%
PIMCO US Treasuries
Blmbg:Treas Bellwethr 10Y
Standard Deviation
Re
turn
s
228Pennsylvania SERS
PIMCO US TreasuriesReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan US Treas Bond Funds (Gross)
(30%)
(20%)
(10%)
0%
10%
20%
30%
40%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(53)(53)
(46)(49) (61)(63) (56)(99) (18)(30)
(43)(43)
(63)(64)
10th Percentile 23.82 3.83 11.02 2.24 1.70 32.70 (0.22)25th Percentile 19.81 1.39 8.95 1.40 1.14 24.56 (1.68)
Median 13.99 (0.25) 6.90 1.35 (0.87) 4.72 (4.23)75th Percentile 5.97 (1.67) 1.87 1.15 (1.36) 3.37 (12.70)90th Percentile 2.36 (3.02) 1.56 1.05 (2.09) 2.41 (15.13)
PIMCO US Treasuries 10.60 0.69 2.98 1.27 1.58 10.19 (7.09)
Blmbg:TreasBellwethr 10Y 10.86 (0.00) 2.14 (0.16) 0.91 10.74 (7.81)
Cumulative and Quarterly Relative Return vs Blmbg:Treas Bellwethr 10Y
Re
lative
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
2014 2015 2016 2017 2018 2019
PIMCO US Treasuries Callan US Treas Bond Funds
Risk Adjusted Return Measures vs Blmbg:Treas Bellwethr 10YRankings Against Callan US Treas Bond Funds (Gross)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Alpha Sharpe Excess ReturnRatio Ratio
(55)(47)
(3)
10th Percentile 2.36 0.61 0.7925th Percentile 1.67 0.57 0.61
Median 0.88 0.55 0.2675th Percentile 0.48 0.53 (0.24)90th Percentile 0.30 0.42 (0.29)
PIMCO US Treasuries 0.78 0.56 1.32
229Pennsylvania SERS
PIMCO US TreasuriesRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan US Treasury Bond Funds (Gross)Five Years Ended September 30, 2019
0 1 2 3 4 5 6 7 8 9(2 )
(1 )
0
1
2
3
4
5
6
PIMCO US Treasuries
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs Bloomberg Barclays Treas Bellwethr 10Y
Tra
ckin
g E
rro
r
0%
1%
2%
3%
4%
5%
6%
2017 2018 2019
PIMCO US Treasuries
Callan US Treasury Bond Funds
Risk Statistics Rankings vs Bloomberg Barclays Treas Bellwethr 10YRankings Against Callan US Treasury Bond Funds (Gross)Five Years Ended September 30, 2019
0%
2%
4%
6%
8%
10%
12%
14%
16%
Standard Downside TrackingDeviation Risk Error
(47)
(93) (94)
10th Percentile 13.54 5.15 8.2725th Percentile 10.94 3.51 5.56
Median 4.87 2.85 3.8975th Percentile 3.07 1.52 2.4190th Percentile 2.50 0.63 1.23
PIMCO USTreasuries 5.50 0.20 0.49
0.0
0.5
1.0
1.5
2.0
2.5
Beta R-Squared
(46) (2)
10th Percentile 2.18 0.9625th Percentile 1.79 0.96
Median 0.81 0.9275th Percentile 0.44 0.7990th Percentile 0.38 0.57
PIMCO US Treasuries 0.93 1.00
230Pennsylvania SERS
PIMCO US TreasuriesPortfolio Characteristics SummaryAs of September 30, 2019
Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.
Sector Distribution
(20%)
0%
20%
40%
60%
80%
100%
120%
USTrsy
93.6100.0
GovRelated
6.3
Cash
0.1
Other
(0.0 )
Pe
rce
nt o
f P
ort
folio
PIMCO US Treasuries
Blmbg US Treas Bell 10Y
Duration Distribution
0%
20%
40%
60%
80%
100%
120%
140%
<1
1.7
1-3
1.2
3-5 5-7 7-10
67.9
100.0
>10
29.2
Years Duration
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Duration
PIMCO US Treasuries:
Blmbg US Treas Bell 10Y:
9.149.09
Quality Distribution
0%
20%
40%
60%
80%
100%
120%
140%
AAA
100.0 100.0
Quality Rating
Pe
rce
nt
of
Po
rtfo
lio
Weighted Average: Quality
PIMCO US Treasuries:
Blmbg US Treas Bell 10Y:
AAAAAA
231Pennsylvania SERS
Mu
lti-Stra
teg
y
Multi-Strategy
Multi-StrategyPeriod Ended September 30, 2019
Quarterly Summary and HighlightsMulti-Strategy’s portfolio posted a 0.81% return for thequarter placing it in the 72 percentile of the CallanMulti-Asset Database group for the quarter and in the 58percentile for the last year.
Multi-Strategy’s portfolio underperformed the S&P:LSTA LevLoan by 0.18% for the quarter and outperformed theS&P:LSTA Lev Loan for the year by 0.72%.
Quarterly Asset Growth
Beginning Market Value $1,661,162,926
Net New Investment $39,893,443
Investment Gains/(Losses) $13,413,381
Ending Market Value $1,714,469,751
Performance vs Callan Multi-Asset Database (Gross)
(5%)
0%
5%
10%
15%
20%
25%
Last Quarter Last 3/4 Year Last Year Last 2 Years
B(34)A(72)(42)
B(8)
A(33)
(71)
A(58)B(64)(62)
B(7)
A(19)
(49)
10th Percentile 2.70 19.23 13.20 9.0625th Percentile 1.69 13.16 7.07 6.12
Median 0.99 10.22 4.47 4.1075th Percentile 0.45 6.03 1.77 1.8790th Percentile (0.73) 1.21 (2.12) (1.13)
Multi-Strategy A 0.81 12.06 3.82 7.21Russell 3000 Index B 1.16 20.09 2.92 10.00
S&P:LSTA Lev Loan 0.99 6.79 3.10 4.14
Relative Return vs S&P:LSTA Lev Loan
Rela
tive
Re
turn
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
2018 2019
Multi-Strategy
Cumulative Returns vsS&P:LSTA Lev Loan
Cum
ula
tive
Re
lative
Re
turn
s
(6%)
(4%)
(2%)
0%
2%
4%
6%
8%
2017 2018 2019
Multi-Strategy
Callan MAC Database
233Pennsylvania SERS
Mu
lti-Stra
teg
y M
an
ag
ers
Multi-Strategy Managers
Blackstone KeystonePeriod Ended September 30, 2019
Quarterly Summary and HighlightsBlackstone Keystone’s portfolio posted a 1.11% return forthe quarter placing it in the 1 percentile of the CallanAbsolute Rtn Hedge Fund of Funds group for the quarterand in the 6 percentile for the last year.
Blackstone Keystone’s portfolio outperformed the HFRIFund of Funds Composite Index by 2.00% for the quarterand outperformed the HFRI Fund of Funds Composite Indexfor the year by 3.20%.
Quarterly Asset Growth
Beginning Market Value $926,189,658
Net New Investment $-2,531,399
Investment Gains/(Losses) $10,276,536
Ending Market Value $933,934,795
Performance vs Callan Absolute Rtn Hedge Fund of Funds (Net)
(5%)
0%
5%
10%
Last Quarter Last 3/4 Year Last Year Last 5 Years Last 7 Years
(1)
(86)
(3)
(7)
(6)
(74)
(9)
(61)
(5)
(80)
10th Percentile 0.56 4.70 2.48 4.00 5.5725th Percentile 0.34 4.07 1.50 3.04 4.32
Median 0.07 3.48 0.80 2.32 3.7775th Percentile (0.54) 2.95 (0.10) 1.55 3.3090th Percentile (1.41) 1.87 (2.95) 1.18 2.67
BlackstoneKeystone 1.11 7.36 3.21 4.28 6.89
HFRI Fund of FundsComposite Index (0.90) 5.21 0.01 1.95 3.18
Relative Returns vsHFRI Fund of Funds Composite Index
Rela
tive
Re
turn
s
(2.0%)
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
14 2015 2016 2017 2018 2019
Blackstone Keystone
Callan Absolute Rtn Hedge Fund of Funds (Net)Annualized Five Year Risk vs Return
1 2 3 4 5 6(4%)
(2%)
0%
2%
4%
6%
8%
HFRI Fund of Funds Composite Index
Blackstone Keystone
Standard Deviation
Re
turn
s
235Pennsylvania SERS
Blackstone KeystoneReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Absolute Rtn Hedge Fund of Funds (Net)
(10%)
(5%)
0%
5%
10%
15%
20%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(3)(7)
(71)
(90)
(18)(20)
(56)(98)
(21)(47)
(1)
(57)
(2)
(47)
10th Percentile 4.70 2.86 9.65 5.31 3.90 6.88 12.1825th Percentile 4.07 1.48 7.34 4.47 1.93 5.35 10.44
Median 3.48 0.51 4.97 3.35 (0.75) 3.78 8.9275th Percentile 2.95 (1.61) 3.20 1.82 (2.56) 2.55 7.0190th Percentile 1.87 (4.24) 1.49 1.16 (4.15) 0.86 2.04
Blackstone Keystone 7.36 (0.34) 7.94 2.92 2.29 9.51 15.72
HFRI Fund of FundsComposite Index 5.21 (4.02) 7.77 0.51 (0.27) 3.37 8.96
Cumulative and Quarterly Relative Return vs HFRI Fund of Funds Composite Index
Re
lative
Re
turn
s
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12%
14%
2014 2015 2016 2017 2018 2019
Blackstone Keystone Callan Abs Rtn Hedge FoF
Risk Adjusted Return Measures vs HFRI Fund of Funds Composite IndexRankings Against Callan Absolute Rtn Hedge Fund of Funds (Net)Five Years Ended September 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Alpha Sharpe Excess ReturnRatio Ratio
(11)
(22)
(7)
10th Percentile 2.59 1.03 0.8925th Percentile 1.39 0.71 0.39
Median 0.80 0.45 0.1675th Percentile 0.01 0.17 (0.15)90th Percentile (0.54) 0.04 (0.26)
Blackstone Keystone 2.39 0.73 1.25
236Pennsylvania SERS
Blackstone KeystoneRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.
Risk Analysis vs Callan Absolute Rtn Hedge Fund of Funds (Net)Five Years Ended September 30, 2019
1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5(6 )
(4 )
(2 )
0
2
4
6
Blackstone Keystone
Tracking Error
Exce
ss R
etu
rn
Market Capture vs HFRI Fund of Funds Composite IndexRankings Against Callan Absolute Rtn Hedge Fund of Funds (Net)Five Years Ended September 30, 2019
0%20%40%60%80%
100%120%140%160%
Up Market DownCapture Market Capture
(7)
(19)
10th Percentile 117.89 93.1325th Percentile 97.40 69.06
Median 75.19 56.7575th Percentile 62.88 44.3990th Percentile 53.06 26.70
Blackstone Keystone 142.48 76.95
Risk Statistics Rankings vs HFRI Fund of Funds Composite IndexRankings Against Callan Absolute Rtn Hedge Fund of Funds (Net)Five Years Ended September 30, 2019
0%
1%
2%
3%
4%
5%
6%
Standard Downside TrackingDeviation Risk Error
(17)
(93)
(92)
10th Percentile 4.95 2.68 3.9625th Percentile 3.49 2.29 3.24
Median 3.33 1.93 2.6975th Percentile 3.02 1.12 2.0190th Percentile 2.32 0.91 1.88
BlackstoneKeystone 4.53 0.77 1.86
0.200.300.400.500.600.700.800.901.001.10
Beta R-Squared
(12)(28)
10th Percentile 0.94 0.8725th Percentile 0.71 0.85
Median 0.61 0.6575th Percentile 0.50 0.5390th Percentile 0.36 0.40
Blackstone Keystone 0.92 0.84
237Pennsylvania SERS
Eaton Vance GMARAPeriod Ended September 30, 2019
Quarterly Summary and HighlightsEaton Vance GMARA’s portfolio posted a 3.18% return forthe quarter placing it in the 4 percentile of the CallanUnconstrained Fixed Income group for the quarter and in the48 percentile for the last year.
Eaton Vance GMARA’s portfolio outperformed the 3 monthLIBOR + 6% by 1.19% for the quarter and underperformedthe 3 month LIBOR + 6% for the year by 2.84%.
Quarterly Asset Growth
Beginning Market Value $198,604,400
Net New Investment $-634,616
Investment Gains/(Losses) $6,329,416
Ending Market Value $204,299,200
Performance vs Callan Unconstrained Fixed Income (Gross)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12%
Last Quarter Last 3/4 Year Last Year Last 1-1/4 Years
(4)
(10)
(15)
(46)(48)
(4)
(77)
(1)
10th Percentile 1.97 9.80 8.14 6.8525th Percentile 1.37 7.39 6.73 5.97
Median 1.16 6.14 5.56 4.7375th Percentile 0.34 3.85 3.48 3.4890th Percentile (1.37) 1.55 0.25 0.34
EatonVance GMARA 3.18 8.24 5.72 3.02
3 month LIBOR + 6% 2.00 6.30 8.56 8.53
Relative Return vs 3 month LIBOR + 6%
Rela
tive
Re
turn
s
(6%)
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
2018 2019
Eaton Vance GMARA
Cumulative Returns vs3 month LIBOR + 6%
Cum
ula
tive
Re
lative
Re
turn
s
(10%)
(8%)
(6%)
(4%)
(2%)
0%
2%
4%
6%
2018 2019
Eaton Vance GMARA
Callan Unconstrained FI
238Pennsylvania SERS
Private CreditPeriod Ended September 30, 2019
Quarterly Summary and HighlightsPrivate Credit’s portfolio posted a 0.14% return for thequarter placing it in the 30 percentile of the CallanAlternative Investments DB group for the quarter and in the43 percentile for the last year.
Private Credit’s portfolio underperformed the S&P:LSTA LevLoan by 0.85% for the quarter and outperformed theS&P:LSTA Lev Loan for the year by 4.28%.
Quarterly Asset Growth
Beginning Market Value $189,579,865
Net New Investment $43,184,253
Investment Gains/(Losses) $299,928
Ending Market Value $233,064,047
Performance vs Callan Alternative Investments DB (Net)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
35%
Last Quarter Last 3/4 Year Last Year Last 1-3/4 Years
B(17)A(30)
(19)
B(28)
A(76)(73) A(43)
B(61)(61)
A(3)B(5)
(23)
10th Percentile 1.71 27.96 14.31 5.2725th Percentile 0.56 21.30 8.88 3.93
Median (1.33) 15.73 6.49 0.9475th Percentile (1.74) 6.20 (4.34) (3.59)90th Percentile (2.07) 2.63 (8.09) (4.98)
Private Credit A 0.14 5.89 7.38 9.16Russell 3000 Index B 1.16 20.09 2.92 7.67
S&P:LSTA Lev Loan 0.99 6.79 3.10 4.09
Relative Return vs S&P:LSTA Lev Loan
Rela
tive
Re
turn
s
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
6%
2018 2019
Private Credit
Cumulative Returns vsS&P:LSTA Lev Loan
Cum
ula
tive
Re
lative
Re
turn
s
(10%)
(5%)
0%
5%
10%
15%
2018 2019
Private Credit
Callan Alterntive Inv DB
239Pennsylvania SERS
SEI Structured Credit: HY Bank LoansPeriod Ended September 30, 2019
Quarterly Summary and HighlightsSEI Structured Credit: HY Bank Loans’s portfolio posted a(1.00)% return for the quarter placing it in the 95 percentileof the Callan Multi-Sector Credit group for the quarter and inthe 81 percentile for the last year.
SEI Structured Credit: HY Bank Loans’s portfoliounderperformed the FTSE:HY Corp by 1.96% for the quarterand underperformed the FTSE:HY Corp for the year by2.58%.
Quarterly Asset Growth
Beginning Market Value $346,664,332
Net New Investment $0
Investment Gains/(Losses) $-3,492,623
Ending Market Value $343,171,709
Performance vs Callan Multi-Sector Credit (Gross)
(4%)
(2%)
0%
2%
4%
6%
8%
10%
12%
14%
Last Quarter Last 3/4 Year Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear
(95)
(76)
(96)
(19)
(81)
(40)
(1)
(60)
(1)
(49)
(1)
(51)
(7)
(79)
10th Percentile 2.00 11.92 8.67 5.82 7.60 6.59 7.8425th Percentile 1.62 10.45 7.27 5.39 6.65 5.76 6.76
Median 1.33 8.97 5.33 4.61 5.80 5.05 6.2075th Percentile 1.05 7.32 3.77 4.10 5.32 4.72 5.6190th Percentile (0.05) 6.04 2.55 3.39 5.01 4.33 4.83
SEI StructuredCredit: HY Bank Loans (1.00) 3.33 3.15 7.55 9.96 7.71 8.55
FTSE:HY Corp 0.96 10.95 5.72 4.48 5.81 4.99 5.51
Relative Return vs FTSE:HY Corp
Rela
tive
Re
turn
s
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
14 2015 2016 2017 2018 2019
SEI Structured Credit: HY Bank Loans
Callan Multi-Sector Credit (Gross)Annualized Five Year Risk vs Return
0 2 4 6 8 10 12 142%
3%
4%
5%
6%
7%
8%
9%
FTSE:HY Corp
SEI Structured Credit: HY Bank Loans
Standard Deviation
Re
turn
s
240Pennsylvania SERS
SEI Structured Credit: HY Bank LoansReturn Analysis Summary
Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.
Performance vs Callan Multi-Sector Credit (Gross)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
12/18- 9/19 2018 2017 2016 2015 2014 2013
(96)
(19)(1)
(84)
(1)
(61)
(14)(19)
(81)(82)
(3)
(90)
(80)(79)
10th Percentile 11.92 1.97 10.30 20.98 2.99 5.56 12.6425th Percentile 10.45 0.90 9.11 17.12 1.01 4.73 11.05
Median 8.97 (0.23) 7.65 13.41 (1.30) 3.40 9.0475th Percentile 7.32 (1.37) 6.65 10.58 (3.52) 2.39 7.8390th Percentile 6.04 (3.22) 5.81 8.31 (7.38) 1.83 5.33
SEI StructuredCredit: HY Bank Loans 3.33 8.00 14.42 18.59 (5.02) 7.17 7.16
FTSE:HY Corp 10.95 (2.13) 7.05 17.82 (5.56) 1.83 7.23
Cumulative and Quarterly Relative Return vs FTSE:HY Corp
Re
lative
Re
turn
s
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
25%
30%
2014 2015 2016 2017 2018 2019
SEI Structured Credit: HY Bank Loans Callan Multi-Sector Cr
Risk Adjusted Return Measures vs FTSE:HY CorpRankings Against Callan Multi-Sector Credit (Gross)Five Years Ended September 30, 2019
(2)
(1)
0
1
2
3
4
5
Alpha Sharpe Excess ReturnRatio Ratio
(1)
(86)(31)
10th Percentile 3.21 1.61 0.6625th Percentile 2.41 1.09 0.34
Median 1.37 0.87 0.0175th Percentile 0.95 0.77 (0.10)90th Percentile (0.54) 0.52 (0.24)
SEI StructuredCredit: HY Bank Loans 4.24 0.58 0.25
241Pennsylvania SERS
SEI Structured Credit: HY Bank LoansRisk Analysis Summary
Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.
Risk Analysis vs Callan Multi-Sector Credit (Gross)Five Years Ended September 30, 2019
0 1 2 3 4 5 6 7 8 9 10 11 12(3 )
(2 )
(1 )
0
1
2
3
4
SEI Structured Credit: HY Bank Loans
Tracking Error
Exce
ss R
etu
rn
Rolling 12 Quarter Tracking Error vs FTSE HY Corporate
Tra
ckin
g E
rro
r
0%
5%
10%
15%
2015 2016 2017 2018 2019
SEI Structured Credit: HY Bank Loans
Callan Multi-Sector Cr
Risk Statistics Rankings vs FTSE HY CorporateRankings Against Callan Multi-Sector Credit (Gross)Five Years Ended September 30, 2019
0%
2%
4%
6%
8%
10%
12%
14%
Standard Downside TrackingDeviation Risk Error
(1)
(1)
(1)
10th Percentile 7.10 3.20 4.5325th Percentile 6.25 2.56 3.67
Median 4.72 2.07 3.0675th Percentile 3.90 1.54 2.4790th Percentile 2.64 1.33 1.98
SEI StructuredCredit: HY Bank Loans 11.51 7.92 10.71
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Beta R-Squared
(35)
(99)
10th Percentile 1.05 0.9525th Percentile 0.88 0.91
Median 0.66 0.8575th Percentile 0.54 0.7390th Percentile 0.33 0.57
SEI StructuredCredit: HY Bank Loans 0.72 0.16
242Pennsylvania SERS
Re
se
arc
h &
Dis
clo
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Research & Disclosures
Research and Educational Programs
The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs
to enhance the knowledge of industry professionals. Visit www.callan.com/library to see all of our publications, and www.callan.com/blog
to view our blog “Perspectives.” For more information contact Barb Gerraty at 415-274-3093 / [email protected].
New Research from Callan’s Experts
DTS Offers Some Key Advantages for Evaluating Fixed
Income Portfolios | This paper describes duration times spread
(DTS), which measures systematic credit-spread risk exposure.
DTS estimates the return of any bond, by percentage, if its spread
were to change from the current level, all else equal. DTS offers
several advantages for monitoring risk in credit portfolios over
other methods.
2019 ESG Survey | Callan’s seventh
annual survey assessing the status of
environmental, social, and governance
(ESG) investing in the U.S. institutional
investment market.
Callan’s DC Index in Detail | A video about the Callan DC Index™:
why we started it, what it measures, and how it can beneit deined contribution plan sponsors.
DC Plan Hacks: Tips for an Eficient Design | Deined contribution plan sponsors should
regularly evaluate their
plans to make sure they
serve the organization’s
beneits philosophy. When evaluating changes, the sponsor should consider its demographics, cost of beneits, vendor capabilities, impact on nondiscrimination testing, communication capabilities,
and legal requirements.
2019 June Workshop Summary: In the Age of Illiquidity | For
many nonproits and deined beneit plans, the shift to higher-returning but less liquid asset classes has myriad implications.
This summary discusses how consultants, institutional investors,
and investment managers can work together to identify solutions
tailored to each plan.
The Keys to Unlocking Private Equity Portfolio Assessment
Private equity performance evaluation has some unique
considerations, so return calculations and benchmarking
methodologies differ from public securities. Closed-end private
equity vehicles are assessed using ratio analyses and internal rate
of return (IRR) measures. Using performance metrics, private equity
portfolios can be evaluated at the partnership level, at the vintage
year level, and then at the total portfolio level.
Survivorship Bias and the Walking Dead | Survivorship bias,
the predisposition to evaluate a data set by focusing on the
“survivors” rather than also examining the record of non-survivors,
is important to understand for hedge fund peer groups, which tend
to have a relatively large number of constituents that disappear.
Using a proprietary approach, Callan is able to adjust peer group
comparisons for survivorship bias. This better-informed perspective
enables a more honest assessment in considering performance
relative to other opportunities.
Quarterly Periodicals
Private Equity Trends | A newsletter on private equity activity,
covering both the fundraising cycle and performance over time.
Market Pulse Flipbook | A market reference guide covering trends
in the U.S. economy, developments for institutional investors, and
the latest data for U.S. and non-U.S. equities and ixed income, alternatives, and deined contribution plans.
Active vs. Passive Charts | This series of charts compares active
managers alongside relevant benchmarks over the long term.
Capital Market Review | A newsletter providing analysis and
a broad overview of the economy and public and private market
activity each quarter across a wide range of asset classes.
Education
3rd Quarter 2019
Alternatively, although automatic enrollment has historically been limited to pre-tax monies, there is noth-
ing to preclude automatically enrolling participants in a Roth. Some plan sponsors may ind that a Roth
could be more appropriate for their employee population (e.g., younger population) or in order to support
tax diversiication, since employer contributions are always considered a pre-tax source.
Another popular method to manage tax risk has been the deployment of Roth in-plan conversions.
A plan with a Roth feature can allow “in-plan conversions” or internal rollovers from another account
within the plan. Participants may convert existing pre-tax deferrals, employer contributions, and after-tax
A retired unmarried participant has paid off her home and has limited debt or income requirements.
The participant receives $28,000 in Social Security each year and supplements her income with
$5,000 in annual pre-tax distributions from her 401(k). In this example, her total taxable income in that
year is $33,000.
Because her income is less than $34,000, she only pays taxes on 50% of her Social Security
beneit ($14,000 in this example).
If her income was above $34,000, she would pay taxes on 85% of her Social Security beneit
($23,800).
The Roth becomes particularly valuable if the retiree needed additional income, either annually or
to fulill a one-time need (e.g., medical costs, buy a boat). Since Roth deferrals and their earnings
are not considered income for tax purposes, the retiree could supplement pre-tax savings with Roth
monies, while allowing the retiree to control her total taxable income and the related impact on her
Social Security beneit.
Saving in the DC Plan
Pre-Tax Roth After-Tax
You don’t pay taxes on the earnings each year as you would if you saved outside the plan.
• Your income for the purposes • Your Roth deferral won’t lower • Your deferral won’t lower your
Save before
paying taxes
Save after you have
paid taxes and avoid
taxes on the earnings
Save after you have
paid taxes and pay
taxes on the earnings
Exhibit 1
Set
2019 ESG Survey
Research
Events
Miss out on a Callan conference or workshop? Event summaries
and speakers’ presentations are available on our website:
www.callan.com/library/
Please mark your calendar and look forward to upcoming invitations.
2020 National Conference
Celebrating the 40th anniversary of the Callan Institute
January 27-29, 2020 – San Francisco
Please also keep your eye out for upcoming Webinars in 2019! We will be sending invitations to register for these events and will also have registration links on our website at www.callan.com/
webinarsupcoming.
For more information about events, please contact Barb
Gerraty: 415-274-3093 / [email protected]
The Center for Investment Training Educational Sessions
The Center for Investment Training, better known as the “Callan
College,” provides a foundation of knowledge for industry
professionals who are involved in the investment decision-making
process. It was founded in 1994 to provide clients and non-clients
alike with basic- to intermediate-level instruction.
Introduction to Investments
April 21-22, 2020
July 21-22, 2020
This program familiarizes institutional investor trustees and staff
and asset management advisers with basic investment theory,
terminology, and practices. It lasts one-and-a-half days and
is designed for individuals who have less than two years of
experience with asset-management oversight and/or support
responsibilities. Tuition for the Introductory “Callan College”
session is $2,350 per person. Tuition includes instruction, all
materials, breakfast and lunch on each day, and dinner on the
irst evening with the instructors.
Learn more at www.callan.com/events/callan-college-intro
Unique pieces of research the
Institute generates each year50+
Total attendees of the “Callan
College” since 19943,700 Year the Callan Institute
was founded1980
Attendees (on average) of the
Institute’s annual National Conference525
Education: By the Numbers
@CallanLLC Callan
“Research is the foundation of all we do at Callan, and sharing our
best thinking with the investment community is our way of helping
to foster dialogue to raise the bar across the industry.”
Greg Allen, CEO and Chief Research Oficer
List of Callan’s Investment Manager Clients Confidential – For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Please note that if an investment manager receives a product or service on a complimentary basis (e.g. attending an educational event), they are not included in the list below. Callan is committed to ensuring that we do not consider an investment manager’s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan’s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list. Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan’s Compliance Department.
Quarterly List as of September 30, 2019
Knowledge. Experience. Integrity. Page 1 of 2
Manager Name
Manager Name
Knowledge. Experience. Integrity. September 30, 2019 Page 2 of 2
Manager Name
Manager Name