AC Transit Employees’ Retirement Plan Joint Meeting Materials
October 4, 2017
Carolyn Smith, Partner
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AC Transit Employees’ Retirement Plan – Asset Allocation (8/31/2017)
Domestic Large Cap Stocks Domestic Small Cap Stocks Non-U.S. Stocks Non-U.S. Small Cap Stocks Emerging Markets Stocks Total Stocks
$ $ $ $ $ $
Current 8/31/2017 156,797,440 39,126,907 94,116,089 21,134,766 31,973,860 343,149,062
Core Fixed Income Credit Emerging Market Debt Total Fixed Income
$ $ $ $
122,791,641 84,654,328 40,957,082 248,403,051
Private Debt Real Estate Other
$ $ $
22,195,734 33,122,265 55,317,999
3.4% $ 5.1% $ 8.5% $
32,510,724 32,510,724 65,021,448
5.0% 5.0% 10.0%
Cash
$
3,344,365
0.5% $
6,502,145
1.0%
Total
$
650,214,477
100.0% $
650,214,477
100.0%
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24.1% 6.0% 14.5% 3.3% 4.9% 52.8%
$ $ $ $ $ $
Current Target 143,047,185 22.0% 39,012,869 6.0% 91,030,027 14.0% 19,506,434 3.0% 39,012,869 6.0% 331,609,383 51.0%
18.9% 13.0% 6.3% 38.2%
$ $ $ $
123,540,751 84,527,882 39,012,869 247,081,501
19.0% 13.0% 6.0% 38.0%
60% MSCI ACWI/ 40% BC Aggregate Calendar Year Returns
Note: YTD 2017 is through 7/31/2017
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AC Transit Employees’ Retirement Plan Performance – (as of 8/31/2017)
Weight in Fund Asset Class 100.00% Total Fund 30.10%
Since 10 Years Inception 5.2% 7.9%
YTD 9.9%
1 Year 11.9%
3 Years 5.5%
5 Years 8.3%
9.5% 11.2% 12.1% 11.8% 0.6% 4.4% 19.3% 17.0% 24.6% 28.3% 6.0% 3.6% 3.6% 3.6% 6.5% 5.3% 13.0% 12.6% 2.5%
17.1% 16.1% 18.1% 16.2% 13.2% 14.9% 20.7% 17.6% 21.3% 24.5% 3.9% 0.5% 0.4% 0.5% 6.5% 1.9% 9.7% 8.4% 9.1%
8.6% 9.1% 8.7% 9.2% 8.1% 7.7% 3.8% 2.8% 2.1% 2.4% 3.7% 2.6% 2.6% 2.6% 4.7% 3.5% 4.6% 5.0% 7.7%
14.5% 14.3% 14.7% 14.4% 14.1% 13.2% 8.6% 8.5% 5.6% 5.3% 3.3% 2.2% 2.2% 2.2% 5.1% 3.4% 3.5% 4.7% -
7.4% 7.7% 7.5% 7.7% 8.4% 7.4% 2.2% 1.6% 5.2% 4.4% 4.6% 4.4% -
10.0% 9.5% 10.4% 9.6% 8.9% 9.2% 5.7% 5.7% 5.4% 5.7% -
Ending Market Value 650,214,447
3.4%
Total Domestic Stocks Russell 3000 Domestic Large Cap Stocks Russell 1000 Domestic Small Cap Stocks Russell 2000 Total International Stocks MSCI EAFE Total Emerging Markets Stocks MSCI Emerging Markets Total Fixed Income Barclays Aggregate Total Domestic Fixed Income Barclays Aggregate Credit Fixed Income Barclays Credit Emerging Market Debt 50% JPM GBI-EM/ 50% JPM EMBI Private Debt
5.1%
Real Estate
3.0%
5.8%
9.1%
9.4%
-
-
33,122,265
0.5%
Cash
1.4%
1.4%
0.5%
0.3%
0.5%
2.6%
3,344,365
24.1% 6.0% 17.7% 4.9% 38.2% 18.9% 13.0% 6.3%
Total Plan since inception represents performance from 3/31/1992 to 8/31/2017.
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195,924,346 156,797,440 39,126,907 115,250,855 31,973,860 248,403,052 122,791,641 84,654,328 40,957,082 22,195,734
Total Fund Return Summary vs. Peer Universe (as of 6/30/2017) Ranking 1 - 25 26 - 50 51 - 75 76 - 100
Quartile 1st 2nd 3rd 4th
*Since inception represents performance from 3/31/1992 to 6/30/2017
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Projected Performance and Risk
30 Year 5-7 Year Expected Expected Expected Return Risk Return Cash Large Cap Equities Small/Mid Cap Equities Int'l Equities (Unhedged) Int'l Sm Cap Equities (Unhedged) Emerging Int'l Equities Total Equity Core Bonds IG Corp Credit EMD (External) EMD (Local Currency) Private Debt Total Fixed Income Real Estate (Core) Total Real Assets
Current Target
1.8% 5.8%
3.0% 7.5%
1.0% 17.5%
1% 22%
6.0% 7.3%
7.8% 7.8%
21.0% 21.0%
6% 14%
7.5% 9.5%
8.3% 9.5%
22.0% 28.0%
3% 6%
2.7%
4.0%
6.0%
51% 19%
3.8% 4.8%
5.0% 5.8%
7.5% 13.0%
13% 3%
6.8% 7.3%
6.5% 8.0%
15.0% 14.0%
3% 5%
15.0%
43% 5% 5%
6.0%
6.5%
Expected Return 5-7 yrs Expected Return 30 yrs Standard Dev Sharpe Ratio (5-7 years) Sharpe Ratio (30 years)
5.9% 7.1% 11.5% 0.36 0.36
Probability Probability Probability Probability
30.3% 12.4%
of 1-Year Return Under 0% of 5-Year Return Under 0% of 1-Year Return Over 7.25% of 5-Year Return Over 7.25%
45.4% 39.9%
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