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03/13/2017Monday, March 13, 2017 1:00 PM City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 Council Chambers Pension Trustees Meeting Agenda March 13, 2017Pension Trustees Meeting Agenda 1. Call To Order 2. Approval of Minutes 2.1 Approve the minutes of the February 13, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. 3. Citizens to be Heard Regarding Items Not on the Agenda 4. New Business Items 4.1 Approve the new hires for acceptance into the Pension Plan as listed. 4.2 Approve the following request of employees Barbara Eigenmann, Fire Department, Richard Harris, Police Department, Veronica Hunt, Police Department and Joyce Kirchoffer, Library Department for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. 4.3 Annual review of the Employees’ Pension Plan investment performance for the calendar and plan year ended December 31, 2016. 5. Adjourn Page 2 City of Clearwater Printed on 3/9/2017 Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3275 Agenda Date: 3/13/2017 Status: Agenda ReadyVersion: 1 File Type: MinutesIn Control: Pension Trustees Agenda Number: 2.1 SUBJECT/RECOMMENDATION: Approve the minutes of the February 13, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. SUMMARY: APPROPRIATION CODE AND AMOUNT: USE OF RESERVE FUNDS: Page 1 City of Clearwater Printed on 3/9/2017 Pension Trustees Meeting Minutes February 13, 2017 City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 Meeting Minutes Monday, February 13, 2017 1:00 PM Council Chambers Pension Trustees Page 1 City of Clearwater Draft Pension Trustees Meeting Minutes February 13, 2017 Roll Call Present 4 - Chair George N. Cretekos, Trustee Doreen Caudell, Trustee Hoyt Hamilton, and Trustee Bill Jonson Absent 1 - Trustee Bob Cundiff Also Present – William B. Horne – City Manager, Jill Silverboard – Deputy City Manager, Pamela K. Akin – City Attorney, Rosemarie Call – City Clerk, Nicole Sprague – Official Records and Legislative Services Coordinator, and Joe Roseto – Human Resources Director To provide continui ty for research, items are listed in agenda order although not ne cessarily discussed in that order. Unapproved 1. Call To Order – Chair Cretekos The meeting was called to order at 1:05 p.m. at City Hall. 2. Approval of Minutes 2.1 Approve the minutes of the January 17, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. Trustee Jonson moved to approve the minutes of the January 17, 2017 Pension Trustees Meeting as submitted in written summation by the City Clerk. The motion was duly seconded and carried unanimously. 3. Citizens to be Heard Regarding Items Not on the Agenda – None. 4. New Business Items 4.1 Approve the new hires for acceptance into the Pension Plan as listed. Name/Job Classification/Department Pension Eligibility Date Joshua Maxey, Parking Assistant, Engineering 11/28/2016 Rino Landa, Librarian II, Library 11/28/2016 Tammy Winkler, Librarian II, Library 12/12/2016 Logan Davis, Parks Service Technician I, Parks and Rec. 12/12/2016 Zaeinulabddin Adam, Senior Planner, Planning and Dev. 12/12/2016 Daniel Rowland, Electro-Mechanical Tech, Public Utilities 12/12/2016 Ila Petrov, Utilities Chemist, Public Utilities 12/12/2016 Page 2 City of Clearwater Draft Pension Trustees Meeting Minutes February 13, 2017 Trustee Caudell moved to approve the new hires for acceptance into the Pension Plan as listed. The motion was duly seconded and carried unanimously. 4.2 Approve the following request of employees Michael Blake, Public Utilities Department, Donald Melone, Engineering Department, Kevin O’Connor, Fire Department and Mary Weaver, Planning and Development Department, for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. Michael Blake, Public Utilities Technician II, Public Utilities Department, was employed by the City on January 19, 1987, and his pension service credit is effective on that date. His pension will be effective February 1, 2017. Based on an average salary of approximately $51,065.73 over the past five years, the formula for computing regular pensions and Mr. Blake’s selection of the 50% Joint and Survivor Annuity, this pension benefit will be approximately $39,705.60 annually. Donald Melone, Engineering Specialist I, Engineering Department, was employed by the City on February 17, 1981, and his pension service credit is effective on that date. His pension will be effective February 1, 2017. Based on an average salary of approximately $66,493.76 over the past five years, the formula for computing regular pensions and Mr. Malone’s selection of the 75% Joint and Survivor Annuity, this pension benefit will be approximately $65,530.68 annually. Kevin O’Connor, Firefighter/Driver Operator, Fire Department, was employed by the City on May 28, 1996, and his pension service credit is effective on that date. His pension will be effective February 1, 2017. Based on an average salary of approximately $68,940.67 over the past five years, the formula for computing regular pensions and Mr. O’Connor’s selection of the 10 Year Certain and Life Annuity, this pension benefit will be approximately $39,197.04 annually. Mary Weaver, Sign Inspector, Planning and Development Department, was employed by the City on June 27, 1994, and her pension service credit is effective December 9, 1996. Her pension will be effective February 1, 2017. Based on an average salary of approximately $47,467.32 over the past five years, the formula for computing regular pensions and Ms. Weaver’s selection of the Life Annuity, this pension benefit will be approximately $26,259.36 annually. Section 2.416 provides for normal retirement eligibility for non-hazardous duty employees hired prior to the effective date of this reinstatement (January 1, 2013), a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of fifty-five years and completed Page 3 City of Clearwater Draft Pension Trustees Meeting Minutes February 13, 2017 twenty years of credited service; the date on which a participant has reached age sixty-five years and completed ten years of credited service; or the date on which a member has completed thirty years of service regardless of age. For non-hazardous duty employees hired on or after the effective date of this restatement, a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of sixty years and completed twenty-five years of credited service; or the date on which a participant has reached the age of sixty-five years and completed ten years of credited service. Mr. Blake, Mr. Melone and Ms. Weaver have met the non-hazardous duty criteria. Section 2.416 provides for normal retirement eligibility for hazardous duty employees, a member shall be eligible for retirement following the earlier of the date on which the participant has completed twenty years of credited service regardless of age, or the date on which the participant has reached fifty-five years and completed ten years of credited service. Mr. O’Connor has met the hazardous duty criteria. Trustee Hamilton moved to approve the following request of employees Michael Blake, Public Utilities Department, Donald Melone, Engineering Department, Kevin O’Connor, Fire Department and Mary Weaver, Planning and Development Department, for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. The motion was duly seconded and carried unanimously. 4.3 Approve the City of Clearwater Employees’ Pension Plan as lead plaintiff in litigation against Novo Nordisk A/S regarding investment losses to the Plan; retain Saxena White, P.A. as legal counsel in this regard and authorize staff to negotiate a retainer agreement with Saxena White, P.A. In December 2011, the Pension Trustees approved a contract retaining Saxena White, P.A. to provide monitoring of securities in the Plan’s investment portfolio in connection with potential claims for damages suffered by the Pension Plan. There is no cost to the plan for the ongoing monitoring services. Saxena White has recommended that the Pension Plan apply for lead plaintiff status in a litigation action against Novo Norkisk A/S, based in Denmark. Novo Nordisk is a global healthcare company focused on diabetes care and is one of the world’s largest producers of insulin medications. On January 11, 2017, a securities class action complaint was filed against Novo Nordisk in the U.S. District Court for the District of New Jersey asserting Page 4 City of Clearwater Draft Pension Trustees Meeting Minutes February 13, 2017 claims under the Securities Exchange Act of 1934 (Exchange Act) on behalf of shareholders who purchased Novo Nordisk stock between April 30, 2015 and October 27, 2016. The Complaint contends that, during the Class Period, Defendants violated provisions of the Exchange Act by issuing false and misleading press releases, financial statements, filings with the U.S. Securities and Exchange Commission (SEC), and statements during investor conference calls. Specifically, the Complaint alleges that, throughout the Class Period, Novo Nordisk reported materially false and misleading earnings and forecasts that were inflated through the collusive price fixing of the Company’s insulin drugs. The Complaint also alleges that Novo Nordisk misrepresented and concealed the true extent of the pricing pressures it was experiencing from pharmacy benefit managers. The pension plan purchased 53,046 shares of Novo Nordisk at a cost of nearly $3 million during the Class Period. Saxena White estimates that the plan sustained an estimated loss of approximately $1.15 million, and believes that a securities case against Novo Nordisk is strong and has meaningful prospects for recovery. Pursuing lead plaintiff status will serve to ensure the Trustees and Plan administrators are fulfilling their fiduciary responsibilities, while conveying a clear message to the public and corporate world that the City is doing its due diligence in protecting Plan assets. The retainer agreement will stipulate that the cost of litigation will result in no out-of-pocket costs to the Plan, with legal fees paid on a contingency basis only. The pension plan’s attorneys, Klausner, Kaufman, Jensen, & Levinson, as well as the plan’s investment consultant, CapTrust, concur with pursuing lead plaintiff status. Trustee Jonson moved to approve the City of Clearwater Employees’ Pension Plan as lead plaintiff in litigation against Novo Nordisk A/S regarding investment losses to the Plan; retain Saxena White, P.A. as legal counsel in this regard and authorize staff to negotiate a retainer agreement with Saxena White, P.A. The motion was duly seconded and carried unanimously. Page 5 City of Clearwater Draft Pension Trustees Meeting Minutes February 13, 2017 5. Adjourn The meeting adjourned at 1:09 p.m. Chair Employees’ Pension Plan Trustees Attest City Clerk Page 6 City of Clearwater Draft Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3224 Agenda Date: 3/13/2017 Status: Agenda ReadyVersion: 2 File Type: Action ItemIn Control: Pension Trustees Agenda Number: 4.1 SUBJECT/RECOMMENDATION: Approve the new hires for acceptance into the Pension Plan as listed. SUMMARY: Name/Job Classification/Department - Pension Eligibility Date Alvin Miller, Recreation Leader, Parks and Recreation - 12/24/2016 Christopher Fowler, Police Officer, Police - 01/07/2017 Daniel Jewett, Police Officer, Police - 01/07/2017 Elliot Lightfoot, Police Officer, Police - 01/07/2017 Jarik Melendez-Torres, Police Officer, Police - 01/07/2017 Xavier Rodriguez, Police Officer, Police - 01/07/2017 Erin Hollingsworth, Librarian III, Library - 01/09/2017 Zachary Cudizio, Parking Enforcement Specialist, Engineering - 01/09/2017 Caleb Peterson, Recreation Supervisor, Parks and Recreation - 01/09/2017 Albert McCue, Police Information Technician I, Police - 01/09/2017 Anthony Pitsenbarger, Public Utilities Technician I, Public Utilities - 01/09/2017 Danny Fiber, Police Officer, Police - 01/09/2017 Raul Garcia, Public Utilities Technician I, Public Utilities - 01/09/2017 Charles Lewis, Stormwater Technician I, Engineering - 01/23/2017 Marcus Weaver, Stormwater Technician I, Engineering - 01/23/2017 Justin Kristich, Recreation Supervisor I, Parks and Recreation - 01/23/2017 Jason Detwiler, Water Distribution Operator Trainee, Public Utilities - 01/23/2017 Agustin Menchaca III , Water Distribution Operator Trainee, Public Utilities - 01/23/2017 Myra James, Development Review Technician I, Planning and Development - 01/23/2017 Kathy Paulsen, Human Resources Office Assistant, Human Resources - 01/23/2017 APPROPRIATION CODE AND AMOUNT: N/A USE OF RESERVE FUNDS: N/A Page 1 City of Clearwater Printed on 3/9/2017 Interoffice Correspondence Sheet TO: Pension Advisory Committee FROM: Joseph Roseto, Human Resources Director SUBJECT: Recommendation for Acceptance into Pension Plan DATE: Subject/Recommendation: Recommend approval of the new hires for acceptance into the Pension Plan as listed. Name Job Classification Department Pension Eligibility Date Alvin Miller Recreation Leader Parks and Recreation 12/24/2016 Christopher Fowler Police Officer Police 01/07/2017 Daniel Jewett Police Officer Police 01/07/2017 Elliot Lightfoot Police Officer Police 01/07/2017 Jarik Melendez-Torres Police Officer Police 01/07/2017 Xavier Rodriguez Police Officer Police 01/07/2017 Erin Hollingsworth Librarian III Library 01/09/2017 Zachary Cudizio Parking Enforcement Specialist Engineering 01/09/2017 Caleb Peterson Recreation Supervisor Parks and Recreation 01/09/2017 Albert McCue Police Information Technician I Police 01/09/2017 Anthony Pitsenbarger Public Utilities Technician I Public Utilities 01/09/2017 Danny Fiber Police Officer Police 01/09/2017 Raul Garcia Public Utilities Technician I Public Utilities 01/09/2017 Charles Lewis Stormwater Technician I Engineering 01/23/2017 Marcus Weaver Stormwater Technician I Engineering 01/23/2017 Justin Kristich Recreation Supervisor I Parks and Recreation 01/23/2017 Jason Detwiler Water Distribution Operator Trainee Public Utilities 01/23/2017 Agustin Menchaca III Water Distribution Operator Trainee Public Utilities 01/23/2017 Myra James Development Review Technician I Planning and Development 01/23/2017 Kathy Paulsen Human Resources Office Assistant Human Resources 01/23/2017 Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3225 Agenda Date: 3/13/2017 Status: Agenda ReadyVersion: 2 File Type: Action ItemIn Control: Pension Trustees Agenda Number: 4.2 SUBJECT/RECOMMENDATION: Approve the following request of employees Barbara Eigenmann, Fire Department, Richard Harris, Police Department, Veronica Hunt, Police Department and Joyce Kirchoffer, Library Department for a regular pension as provided by Sections 2.416 and 2.424 of the Employees’ Pension Plan. SUMMARY: Barbara Eigenmann, Staff Assistant, Fire Department, was employed by the City on January 26, 1987, and her pension service credit is effective on that date. Her pension will be effective February 1, 2017. Based on an average salary of approximately $39,383.70 over the past five years, the formula for computing regular pensions and Ms. Eigenmann’s selection of the 50% Joint and Survivor Annuity, this pension benefit will be approximately $24,831.84 annually. Richard Harris, Police Lieutenant, Police Department, was employed by the City on May 27, 1980, and his pension service credit is effective on that date. His pension will be effective February 1, 2017. Based on an average salary of approximately $115,265.22 over the past five years, the formula for computing regular pensions and Mr. Harris’ selection of the 100% Joint and Survivor Annuity, this pension benefit will be approximately $111,646.68 annually. Veronica Hunt, Police Office Specialist, Police Department, was employed by the City on December 6, 1985, and her pension service credit is effective September 28, 1992. Her pension will be effective February 1, 2017. Based on an average salary of approximately $43,630.25 over the past five years, the formula for computing regular pensions and Ms . Hunt’s selection of the 50% Joint and Survivor Annuity, this pension benefit will be approximately $30,192.72 annually. Joyce Kirchoffer, Librarian I, Library Department, was employed by the City on April 29, 1993, and her pension service credit is effective June 24, 1993. Her pension will be effective March 1, 2017. Based on an average salary of approximately $39,166.31 over the past five years, the formula for computing regular pensions and Ms. Kirchoffer’s selection of the Life Annuity, this pension benefit will be approximately $25,493.76 annually. Section 2.416 provides for normal retirement eligibility for non -hazardous duty employees hired prior to the effective date of this reinstatement (January 1, 2013), a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of fifty-five years and completed twenty years of credited service; the date on which a participant has reached age sixty -five years and completed ten years of credited service; or the date on which a member has completed thirty years of service regardless of age. For Page 1 City of Clearwater Printed on 3/9/2017 File Number: ID#17-3225 non-hazardous duty employees hired on or after the effective date of this restatement, a member shall be eligible for retirement following the earlier of the date on which a participant has reached the age of sixty years and completed twenty -five years of credited service; or the date on which a participant has reached the age of sixty -five years and completed ten years of credited service. Ms. Eigenmann, Ms. Hunt and Ms. Kirchoffer have met the non -hazardous duty criteria. Section 2.416 provides for normal retirement eligibility for hazardous duty employees, a member shall be eligible for retirement following the earlier of the date on which the participant has completed twenty years of credited service regardless of age, or the date on which the participant has reached fifty -five years and completed ten years of credited service. Mr. Harris has met the hazardous duty criteria. APPROPRIATION CODE AND AMOUNT: N/A USE OF RESERVE FUNDS: N/A Page 2 City of Clearwater Printed on 3/9/2017 Cover Memo City of Clearwater City Hall 112 S. Osceola Avenue Clearwater, FL 33756 File Number: ID#17-3283 Agenda Date: 3/13/2017 Status: Agenda ReadyVersion: 1 File Type: ReportIn Control: Pension Trustees Agenda Number: 4.3 SUBJECT/RECOMMENDATION: Annual review of the Employees’ Pension Plan investment performance for the calendar and plan year ended December 31, 2016. SUMMARY: Annually a presentation of the Plan ’s investment performance is made to the Trustees. For calendar 2016, the Plan realized an investment return of 6.63%, versus the plan ’s assumed rate of 7.00%, and versus a customized benchmark of 7.32%, placing the plan in the 79th percentile of public pension plans per the Wilshire Public Plan Sponsor Universe. For the last three calendar years period, the plan had an annualized return of 5.42%, versus a benchmark of 5.74%, placing the plan in the 27th percentile of public plans. For the past five years, the plan had an annualized return of 9.48%, versus a benchmark of 8.93%, placing the plan in the 21st percentile of public plans. During calendar 2016, the Trustees approved a new infrastructure money manager, as well as the termination of an international equity money manager. The Pension Investment Committee continues to seek diversification and decreased volatility in investment returns for the Plan via alternative investment categories. In recent years, new categories introduced have included timber investments, core plus real estate, and infrastructure. A number of money managers underperformed their indexes during calendar 2016. The investment committee, with the assistance of the Plan ’s investment consultant, CapTrust, closely monitors underperforming money managers and will continue to recommend terminations and replacements when appropriate. Page 1 City of Clearwater Printed on 3/9/2017 ::KLWLQJ6WUHHW6XLWH7DPSD)/Ƈ7HO (ULF:%DLOH\&)$-RKQ-*ULIILWK 0DQDJLQJ3ULQFLSDO 6HQLRU,QYHVWPHQW&RQVXOWDQW &,7<2)&/($5:$7(5 (03/2<((63(16,213/$1 3(5)250$1&(5(9,(: December 31, 2016 7$%/(2)&217(176 ,PSRUWDQW'LVFODLPHU,QIRUPDWLRQ &DSLWDO0DUNHWV5HYLHZ )XQG2YHUYLHZ 3HUIRUPDQFH5HYLHZ 7RWDO)XQG 'RPHVWLF(TXLW\ ,QWHUQDWLRQDO(TXLW\ )L[HG,QFRPH 5HDO(VWDWH $SSHQGL[ ,03257$17',6&/$,0(5,1)250$7,21 This report has been created as a courtesy for the clients of CapTrust Advisors, LLC. The information contained herein was taken from sources believed to be reliable, but no representation or warranty is made as to its accuracy or completeness. Performance Comparison Page Information: Shaded areas represent where the investment objective was achieved either by: 1) The investment return versus the index; 2) The investment return universe ranking (The lower the number the better the ranking) Due to methodologies utilized by our systems, the performance results presented are calculated and presented beginning on the last day of an account's inception month. Results do not include the interim period from an account's inception date to an account's first month-end. For example, for an account that has an inception date of March 15, this report begins measuring performance as of March 31. Omission of performance during this interim period is likely to result in different performance figures than if the interim period's performance was included in this report. Prior to January 1st 2016, manager returns were reported both gross and net of fees depending on custody arrangements and past practices. Effective January 1st 2016, prospectively, all manager returns will be reported net of fees. Past performance is no guarantee of future performance. This report is not the official record of your account. However, it has been prepared to assist you with your investment planning and is for information purposes only. Your Client Statement is the official record of your account. Therefore, if there are any discrepancies between this report and your Client Statement, you should rely on the Client Statement and call your Financial Advisor if you have any questions. Transactions requiring tax consideration should be reviewed carefully with your accountant or tax advisor. This is not a substitute for your own records and the year-end 1099 form. Cost data and acquisition dates provided by you are not verified by CapTrust Advisors, LLC. Indices are unmanaged and you cannot invest directly in an index. For index definitions, please see the Capital Markets Review. 1 22 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 Index QTR YTD 1 Yr 3 Yr 5 Yr 10 Yr Domestic Fixed Income 3 month T-Bill 0.09% 0.33% 0.33% 0.14% 0.12% 0.80% Barclays Capital 1-3 year Gov't -0.45% 0.87% 0.87% 0.69% 0.59% 2.18% Barclays Capital Interm Gov't -2.18% 1.05% 1.05% 1.58% 1.04% 3.42% Barclays Capital Interm Credit -1.90% 3.68% 3.68% 2.90% 3.29% 4.74% Barclays Capital Interm Govt/Cred -2.07% 2.08% 2.08% 2.09% 1.85% 3.84% Barclays Capital Aggregate Bond -2.98% 2.65% 2.65% 3.03% 2.23% 4.34% Domestic Equity Standard & Poor's 500 3.82%11.96% 11.96% 8.87% 14.66% 6.95% Dow Jones Industrial Average 8.66% 16.50% 16.50% 8.71% 12.92% 7.52% Wilshire 5000 Total Market 4.54% 13.37% 13.37% 8.76% 14.71% 7.17% Wilshire US REIT -2.28% 7.24% 7.24% 13.78% 12.02% 4.80% Russell 1000 - Large Cap 3.83% 12.05% 12.05% 8.59% 14.69% 7.08% Russell 1000 Growth - Large Cap 1.01% 7.08% 7.08% 8.55% 14.50% 8.33% Russell 1000 Value - Large Cap 6.68% 17.34% 17.34% 8.59% 14.80% 5.72% Russell Midcap 3.21% 13.80% 13.80% 7.92% 14.72% 7.86% Russell Midcap Growth 0.46% 7.33% 7.33% 6.23% 13.51% 7.83% Russell Midcap Value 5.52% 20.00% 20.00% 9.45% 15.70% 7.59% Russell 2000 - Small Cap 8.83% 21.31% 21.31% 6.74% 14.46% 7.07% Russell 2000 Growth - Small Cap 3.57% 11.32% 11.32% 5.05% 13.74% 7.76% Russell 2000 Value - Small Cap 14.07% 31.74% 31.74% 8.31% 15.07% 6.26% International Equity MSCI World 1.86% 7.51% 7.51% 3.80% 10.41% 3.83% MSCI EAFE -0.71% 1.00% 1.00% -1.60% 6.53% 0.75% MSCI ACWI ex US -1.25% 4.50% 4.50% -1.78% 5.00% 0.96% MSCI EM -4.16% 11.19%11.19% -2.55% 1.28% 1.84% Blended Benchmarks 25% S&P 500 / 5% MSCI EAFE / 70% Barclays Agg -1.16% 4.89% 4.89% 4.26% 5.55% 4.82% 30% S&P 500 / 10% MSCI EAFE / 60% Barclays Agg -0.71% 5.28% 5.28% 4.32% 6.39% 4.77% 35% S&P 500 / 15% MSCI EAFE / 50% Barclays Agg -0.26% 5.66% 5.66% 4.38% 7.23% 4.72% 40% S&P 500 / 20% MSCI EAFE / 40% Barclays Agg 0.20% 6.04% 6.04% 4.44% 8.06% 4.67% 45% S&P 500 / 25% MSCI EAFE / 30% Barclays Agg 0.65% 6.43% 6.43% 4.50% 8.90% 4.62% 3 U.S Economic Overview Consumers are more optimistic about the U.S. economy The third and final look at third-quarter U.S. gross domestic product (GDP) was revised upward to 3.5 percent at an annualized rate. Personal consumption also was revised up to a 3.0 percent annualized rate. December’s rise in nonfarm payrolls was below expectations but November’s nonfarm payroll increase was revised upward from 178,000 to 204,000. The unemployment rate rose from 4.6 to 4.7 percent in December. Wages increased 0.4 percent for the month and are up 2.9 percent year-over-year. The Consumer Price Index (CPI) rose by 0.2 percent in November and 1.7 percent from a year ago. Excluding the more volatile food and energy components, the CPI rose by 0.2 percent and 2.1 percent, respectively. December’s Institute for Supply Management (ISM) manufacturing survey improved from 53.2 to 54.7, the highest reading in two years. The ISM services survey remained flat at 57.2 (a reading above 50 indicates expansion). Consumer confidence rose to a new post-recession high of 113.7 in December. Strong market performance following the U.S. elections pushed expectations for the future to the highest levels of the recovery, but the Present Situation Index* declined slightly from November’s recovery high. Housing starts declined by -18.7 percent and building permits fell by -4.7 percent. Existing home sales increased 0.7 percent, to a recovery-high. New home sales rebounded and were up 5.2 percent. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Source: Bloomberg Finance, LLP, 1/9/17 *Present Situation Index measures overall consumer sentiments regarding the current economic situation and is partly used to derive the Consumer Confidence Index. Data is gathered from a survey of 5,000 households. Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 Index Level Consumer Confidence at a post recession high 20 40 60 80 100 120 2011 2012 2013 2014 2015 2016 2017 The unemployment rate ticked up in December Payrolls Added (in thousands) 4.0 6.0 8.0 10.0 0 100 200 300 400 Non‐Farm Payrolls Added Unemployment Rate Unemployment Rate 4 International Economic Overview Net exports help to lift growth in Japan A final look at third-quarter Eurozone GDP showed that activity increased at a better-than-expected rate of 1.7 percent on a year-over-year basis versus 1.6 percent in the second quarter. This surprisingly strong release was supported by robust household spending and business investment. The U.K. economy expanded at a better-than-expected 2.2 percent on a year-over-year basis during the third quarter, supported by a sharp increase in business investment. Manufacturing sentiment in the U.K. alsotickedupinDecemberastheMarkitManufacturing Purchasing Managers Index rose to a two-and-a-half year high of 56.1 (a reading above 50 indicates expansion). Third-quarter economic growth in Japan was revised lower to a 1.3 percent quarter-over-quarter, seasonally adjusted annual rate as Japan’s economy has expanded for three consecutive quarters—a pace not seen since 2013. Much of this growth was attributed to a sharp gain in net exports, which may prove to be transitory—as measures of domestic activity household/government spending and business investment slowed during the third quarter. Forward-looking measures of business and consumer sentiment in China remained in positive territory in December, thanks to government policies aimed at propping up the economy. Retail spending in November expanded at its fastest rate since December 2015. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Source: Bloomberg Finance, LLP, 1/9/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 U.K. Manufacturing sentiment resilient despite looming Brexit vote Index Level 46 48 50 52 54 56 58 60 ‐10 ‐5 0 5 10 15 Japan posts three consecutive quarters of positive GDP growth GDP Annualized (QoQ) Box highlights the 3 consecutive quarters 5 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Source: Bloomberg Finance, LLP, 1/9/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 Stock Market Review Riskier assets were the top performers in 2016 The S&P 500 Index closed 2016 with double-digit total returns. Riskier small- and mid-cap equities received an unexpected boost following the U.S. election rising by 13.9 and 6.1 percent, respectively, after President-elect Trump’s victory. All S&P 500 Index sectors gained last month. The energy-price rebound helped propel energy producers to the top of the annual-return leader board. Telecom Services took second place, while Financials rounded out the top three performers. The Health Care sector was the worst annual large-cap performer. Uncertainty over the future of the Affordable Care Act led investors to shed their Health Care stocks. Utilities, Consumer Staples and Financials led monthly returns for both small- and mid-cap equities. Health Care was the only small-cap decliner. Developed market (DM) equities outperformed the S&P 500 Index last month, while emerging market (EM) equities delivered a small gain. The dollar appreciated against DM currencies, lowering monthly returns for U.S. investors. EM equity returns were nearly the same for U.S. and foreign investors. All major DM countries gained last month. Italy outperformed as the region's banking sector improved following a capital-raising announcement from Italy's largest bank. December was mixed for EM equities. Russia led (+12.6 percent in U.S. dollar terms), fueled by higher oil and commodity prices. China was weakest (-4.1 percent in U.S. dollar terms), amid concerns over its property market. S&P 500 Sector ReturnsStock Market Total Returns** Period Ending December 31, 2016 *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. Equity Indexes Dec QTD YTD 1 Yr 3 Yr *5 Yr* MSCI AC World (net)2.2% 1.2% 7.9% 7.9% 3.1% 9.4% S&P 500 2.0% 3.8% 12.0% 12.0% 8.9% 14.7% Russell 1000 Growth 1.2% 1.0% 7.1% 7.1% 8.6% 14.5% Russell 1000 Value 2.5% 6.7% 17.3% 17.3% 8.6% 14.8% Russell Mid Cap 1.1% 3.2% 13.8% 13.8% 7.9% 14.7% Russell 2000 2.8% 8.8% 21.3% 21.3% 6.7% 14.5% MCSI EAFE (net)3.4% -0.7% 1.0% 1.0% -1.6% 6.5% MSCI Emer. Mkts. (net)0.2% -4.2% 11.2% 11.2% -2.6% 1.3% MSCI Frontier Mkts (net)2.7% 0.5% 2.7% 2.7% -2.1% 5.2% 0.1% 0.1% 0.5% 0.7% 1.6% 1.9% 3.2% 3.9% 4.4% 4.9% 8.1% 6.0% 16.7% 18.9% ‐2.7% 13.8% 27.4% 5.4% 22.8% 3.4% 16.3% 23.5% Consumer Discretionary Materials Industrials Healthcare Information Technology Energy Consumer Staples Financials Real Estate Utilities Telecom YTD Dec 6 0 2 4 6 8 10 12 14 16 18 20 Investment Grade High Yield Emerging Markets This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Barclays Capital, Morningstar 1/9/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 Bond Market Review Bonds recovered in December The Federal Reserve (Fed) unanimously agreed to raise rates for the first time in 2016. The market had anticipated the rise in short-term rates, and the decision actually led to stabilization and a slight decline across the yield curve. The U.S. Treasury yield curve flattened slightly in December, favoring longer-term securities. Once again, high yield (HY) corporate bonds were the best-performing domestic class for the month of December. Investment grade (IG) municipals also had solid monthly performance with a return exceeding one percent. Investment-grade corporates performed well, with Industrials leading Utilities, and Financials. Treasury securities, Treasury Inflation-Protected Securities, agencies, and asset-backed securities declined slightly last month. Post-election dollar strength continued, and yen weakness meant that Japanese bonds were the weakest monthly performer in U.S. dollar terms. The stronger dollar helped hedged DM bonds beat unhedged debt last month and for the year. Overall, EM currencies stabilized, with local-currency markets gaining in dollar terms. Dollar-denominated sovereigns gained as spreads narrowed, offsetting the rise in underlying U.S. Treasury yields. *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. Fixed Income Market Total Returns** Period Ending December 31, 2016 Credit Spreads to Treasury Securities Fixed Income Indexes Dec QTD YTD 1 Yr 3 Yr *5 Yr* Global Multiverse -0.3% -6.7% 2.8% 2.8% 0.0% 0.5% U.S. Aggregate Bond 0.1% -3.0% 2.6% 2.6% 3.0% 2.2% U.S. Treasury Bills 0.0% 0.1% 0.3% 0.3% 0.1% 0.1% U.S. Short-Term Taxable 0.1% -0.4% 1.3% 1.3% 0.9% 1.0% U.S.Interm-Term Taxable 0.0% -2.6% 1.9% 1.9% 2.7% 2.2% U.S Long-Term Taxable 0.7% -7.8% 6.7% 6.7% 6.7% 3.8% U.S. Treasury -0.1% -3.8% 1.0% 1.0% 2.3% 1.2% U.S. Corporate 0.7% -2.8% 6.1% 6.1% 4.2% 4.1% U.S. Municipal 1.2% -3.6% 0.2% 0.2% 4.1% 3.3% U.S. TIPS -0.1% -2.4% 4.7% 4.7% 2.3% 0.9% U.S. High Yield 1.8% 1.8% 17.1% 17.1% 4.7% 7.4% Developed ex. U.S.-1.0% -11.0% 1.9% 1.9% -1.9% -2.0% Emerging Market 1.4% -4.2% 10.2% 10.2% 5.6% 5.4% Yield Spread (%) 7 0 200 400 600 800 1000 1200 1400 1600 1800 2000 20 40 60 80 100 120 140 160 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16 Crude Oil Gold This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Bloomberg Finance LLP, Morningstar, 1/9/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 Real Assets Review Real assets moved higher in December December was a merry month for real assets, with all of the main indices—commodities, real estate investment trusts (REITs), and master limited partnerships (MLPs)—posting gains. In December, global REITs enjoyed a welcome respite from the declines of the previous few months. U.S. REITs led the way as interest rates moderated. Fundamentals remained generally supportive, and valuations became more attractive due to recent underperformance. Higher energy prices aided broad commodity-index performance in December. However, dollar strength and higher interest rates continue to be headwinds for commodity prices, especially for base and precious metals. Prices continue to stabilize after a volatile start last year. While we have observed signs of production cuts, demand has not picked up enough to maintain the positive performance seen in the first half of 2016. *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. Real Asset Total Returns** Period Ending December 31, 2016 Crude Oil vs. Gold Oil Price per Barrel (US$) Gold Price per Ounce (US$)REIT/Commodity Indexes Dec QTD YTD 1 Yr 3 Yr *5 Yr* Public Real Estate 3.1% -5.4% 5.0% 5.0% 6.8% 10.3% U.S. REITs 4.5% -3.3% 8.6% 8.6% 12.7% 12.0% International REITs 1.2% -7.7% 2.0% 2.0% 0.6% 8.4% S&P GSCI Commodity 4.7% 5.8% 11.4% 11.4% -20.6% -13.1% Bloomberg Commodity 1.8% 2.7% 11.8% 11.8% -11.3% -9.0% RICI Commodity 2.5% 3.8% 13.4% 13.4% -13.3% -8.7% MLPs 4.4% 2.0% 18.3% 18.3% -5.8% 2.2% 8 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Bloomberg Finance LLP., Cambridge Associates, 1/9/17 Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 Alternatives Review Managers reduced risk in December Many managers began reducing risk ahead of the holidays over concern that the market was due for a pullback. Relative Value strategies reduced duration in 2016, allowing them to easily navigate the increase in the fed funds target rate and the rise in yields in recent weeks.Furthermore, they continued to benefit from spread compression in both corporate and structured credit. Macro strategies were the beneficiaries of several trends that began in November and carried into December. These included higher stock and energy markets, as well as a stronger U.S. dollar. High Yield credit spreads continued to grind tighter, benefiting Event Driven managers and especially those focused on Distressed Debt. Deal volume ended the year on a strong footing. Though performance was positive, Equity Hedge managers reduced risk heading into year-end, ultimately resulting in relative underperformance to both global and domestic equity benchmarks. *Annualized returns **Index returns do not reflect the deduction of fees, expenses or taxes. AlternativesTotal Returns** Period Ending December 31, 2016 U.S. Private Equity Index Returns Quarterly Change (%) Alternative Indexes Dec QTD YTD 1 Yr 3 Yr *5 Yr* Global Hedge Funds 1.1% 1.3% 5.6% 5.6% 2.4% 4.5% Relative Value 1.2% 2.0% 7.8% 7.8% 3.8% 5.8% Arbitrage 0.5% -0.2% 6.2% 6.2% 2.7% 2.9% Long/Short Credit 1.9% 2.7% 11.7% 11.7% 3.6% 5.4% Struct Credit/Asset Backed 0.5% 1.9% 4.9% 4.9% 5.2% 8.4% Macro 1.2% -0.2% 1.5% 1.5% 1.9% 1.0% Systematic 1.2% -2.1% -1.1% -1.1% 2.3% 0.7% Discretionary 1.0% 2.0% 0.5% 0.5% -0.2% 0.7% Event Driven 1.5% 3.2% 10.2% 10.2% 2.4% 5.7% Activist 2.5% 5.2% 10.4% 10.4% 6.0% 10.8% Distressed Credit 1.3% 4.0% 13.4% 13.4% 0.9% 5.2% Merger Arbitrage 1.5% 1.7% 3.8% 3.8% 2.9% 3.2% Equity Hedge 0.9% 1.3% 5.5% 5.5% 2.1% 5.5% Directional Equity 1.0% 1.3% 5.0% 5.0% 2.3% 5.9% Equity Market Neutral 0.4% 0.9% 1.6% 1.6% 3.0% 3.7% 9 Russell 1000 Value contains those Russell 1000 (larger capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and lower forecasted growth rates. Russell 1000 Growth contains those Russell 1000 (larger capitalization)securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yields, and higher forecasted growth rates. Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average growth orientation. Securities in this index generally have lower price-to-book and price-to-earnings ratios than those in the Russell 2000 Growth Index. Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average growth orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russell 2000 Value Index. MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure the performance of developed stock markets in these areas. Barclays Agg Bond is the Barclays Capital Aggregate Bond Index. This index includes U.S. government, corporate and mortgage-backed securities rated investment grade or higher with maturities up to 30 years. S&P 500 is a representative sample of 500 leading companies in leading industries of the U.S. economy. DJ Wilshire REIT is intended as a broad measure of the performance of publicly traded real estate equity. The index is comprised of companies whose charter is the equity ownership and operation of commercial real estate. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell DJ Russell Russell DJ Russell Russell BEST 1000 1000 2000 Wilshire 2000 Agg 2000 Wilshire Wilshire Wilshire 1000 Agg 1000 2000 Wilshire 2000 2000 Wilshire 1000 2000 Value Growth Growth REIT Value Bond Growth REIT REIT REIT Growth Bond Growth Growth REIT Value Growth REIT Growth Value 35.18%38.71%43.09% 31.04% 13.96% 10.27%48.53%33.14% 14.00% 36.13% 11.81%5.24 %37.21%29.09% 9.37%18.05% 43.30%31.78%5.67% 31.74% Russell Russell DJ DJ Russell Russell Russell Russell DJ Barclays Russell Russell DJ Russell 1000 2000 Wilshire Wilshire 2000 2000 2000 2000 Wilshire Agg 10 0 0 2000 Wilshire 1000 Growth Value REIT REIT Value Value Value Growth REIT Bond Value Value REIT Value 33.35% 28.57%33.16% 22.83%12.36% 3.60% 46.02% 22.25%13 .54 %26.34% 11.17% -28.92%34.47%28.07% 7.84 %17.51%34.52%13 .6 9 %4.23%17.3 4 % Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Russell Russell Russell 2000 Agg Agg 2000 1000 2000 2000 10 0 0 2000 1000 1000 1000 Value Bond Bond Value Value Value Growth Value Value Growth Growth Value 31.78%20.33% 27.30%11.6 3 %8.44% -11.42%39.16% 20.25%7.05%23.48% 7.05%-36.85%31.78%24.50% 2.64%17.32% 33.48%13 .4 5 %1.38% 11.96% Russell Russell Russell Russell Russell DJ Russell Russell Russell Barclays DJ Russell DJ Russell Russell Barclays Russell 1000 1000 1000 1000 1000 Wilshire 10 0 0 1000 1000 Agg Wilshire 1000 Wilshire 10 0 0 1000 Agg 2000 Growth Value Value Value Value REIT Value Growth Value Bond REIT Growth REIT Value Growth Bond Growth 30.49%15.6 3 %21.04% 7.01% -5.59% -15.52%36.06%16.49%5.26 %22.25%6.97%-37.00%28.46%16 .71%2.11%17.12 %32.53%13 .0 5 %0.55% 11.32% DJ Barclays Russell Russell Russell Russell Russell Russell Russell Barclays DJ Wilshire Agg 10 0 0 2000 10 0 0 2000 1000 1000 1000 Agg Wilshire REIT Bond Value Growth Value Growth Growth Value Value Bond REIT 19 .6 7 %8.67%7.35% -9.10%-9.22% -15.94%30.03%14 .3 1%4.91%15.79% 5.49%-38.44 %26.46%15.51%0.39%16.00% 32.39%5.97%-0.81% 7.24 % Russell Russell DJ Russell Russell Russell Russell Russell Russell Russell Russell Russell Russell Russell 2000 2000 Wilshire 1000 2000 2000 1000 2000 2000 2000 1000 2000 2000 1000 Growth Growth REIT Growth Value Growth Value Growth Value Growth Growth Growth Growth Growth 12 .9 5 %1.23% -2.57% -13.96%-11.88% -22.09%29.76%10 .8 7%4.71%13 .3 5 %-0.17%-38.54% 20.58%15.0 6 %-2.91% 15.26% 23.29%5.60 %-1.38% 7.08% Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell Russell Russell DJ Russell Russell Barclays Agg 2000 Agg 1000 1000 1000 1000 2000 1000 2000 Wilshire 10 0 0 2000 2000 Wilshire 2000 1000 Agg Bond Value Bond Growth Growth Growth Growth Growth Growth Value REIT Value Value Growth REIT Value Value Bond 9.68% -6.46%-0.83% -22.42%-20.42%-27.89%28.67%6.30%4.15%9.07%-9.78% -39.20%19 .6 9 %7.75%-5.50% 14.59% 1.86% 4.22%-3.83 %2.65% DJ Russell Russell Russell Barclays Barclays Barclays Barclays DJ Barclays Barclays Barclays Barclays Russell Wilshire 2000 2000 2000 Agg Agg Agg Agg Wilshire Agg Agg Agg Agg 2000 WORS T REIT Value Growth Growth Bond Bond Bond Bond REIT Bond Bond Bond Bond Value 2.06% -17.00% -1.49% -22.43%-22.00%-30.27%4.11%4.34%2.43% 4.33% -17.56%-45.09% 5.93%6.54%-12.14 %4.22%-2.02% -4.48% -7.47% 1.00% MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE S&P 500 S&P 500 S&P 500 S&P 500 MSCI EAFE MSCI EAFE S&P 500 S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE MSCI EAFE MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE S&P 500 S&P 500 MSCI EAFE S&P 500 S&P 500 S&P 500 S&P 500 10 -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Domestic Equity vs. Fixed Income Mean 1 Standard Deviation 2 Standard Deviations Fixed Income Outperforming Domestic Equity OutperformingDomestic Equity vs. Fixed Income This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. Invasion of Iraq Asian Crisis Black Monday - Oct '87 Aug '82 –DJIA 776 CAPITAL MARKETS REVIEW December 31, 2016 RELATIVE PERFORMANCE OF KEY INDICES -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Domestic Equity vs. Foreign Equity Mean 1 Standard Deviation 2 Standard Deviations Foreign Equity Outperforming Domestic Equity OutperformingDomestic Equity vs. Foreign Equity 11 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 RELATIVE PERFORMANCE OF KEY INDICES -40 -20 0 20 40 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Large Cap vs. Small Cap Mean 1 Standard Deviation 2 Standard Deviations Small Cap Outperforming Large Cap OutperformingLarge Cap vs. Small Cap -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Large Value vs. Large Growth Mean 1 Standard Deviation 2 Standard Deviations Growth Outperforming Value OutperformingLarge Value vs. Large Growth 12 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 RELATIVE PERFORMANCE OF KEY INDICES -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Small Value vs. Small Growth Mean 1 Standard Deviation 2 Standard Deviations Growth Outperforming Value OutperformingSmall Value vs. Small Growth Growth Outperforming Value Outperforming -80 -60 -40 -20 0 20 40 60 80 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Domestic Equity vs. REIT Mean 1 Standard Deviation 2 Standard Deviations REIT Outperforming Domestic Equity OutperformingDomestic Equity vs. REIT 13 This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. Data Sources: Morningstar Data provided by sources believed to be reliable but no guarantee is made as to its accuracy. Past performance is no guarantee of future performance. CAPITAL MARKETS REVIEW December 31, 2016 RELATIVE PERFORMANCE OF KEY INDICES -120 -100 -80 -60 -40 -20 0 20 40 60 80 100 120 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/1012/10 - 12/1112/11-12/1212/12-12/1312/13-12/1412/14-12/15Fixed Income vs. REIT Mean 1 Standard Deviation 2 Standard Deviations REIT Outperforming Fixed Income OutperformingFixed Income vs. REIT 14 FIRM:Wells Fargo Advisors is the trade name used by two separate, registered broker/dealers and nonbank affiliates of Wells Fargo & Company, providing certain retail securities brokerage services: Wells Fargo Advisors, LLC., member FINRA, SIPC, and Wells Fargo Financial Network, LLC, member FINRA, SIPC. Investments in securities and insurance products are: NOT FDIC-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE. CONFLICTS OF INTEREST:To review important information about certain relationships and potential conflicts of interest that may exist between Wells Fargo Advisors , its affiliates, and the companies that are mentioned in this report, please visit the our research disclosure page at www.wellsfargoadvisors.com/gotoresearchdisclosures or call your Financial Advisor. STATEMENT OF OPINION: This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Any opinions expressed or implied herein are not necessarily the same as those of Wells Fargo Advisors or its affiliates and are subject to change without notice. The report herein is not a complete analysis of every material fact in respect to any company, industry or security. Any market prices are only indications of market values and are subject to change. The material has been prepared or is distributed solely for information purposes and is not a solicitation or an offer to buy any security or instrument or to participate in any trading strategy. Additional information is available upon request. ASSET CLASS SUITABILITY:Stocks of small companies are typically more volatile than stocks of larger companies. They often involve higher risks because they may lack the management expertise, financial resources, product diversification and competitive strengths to endure adverse economic conditions. High-yield, non-investment grade bonds are only suitable for aggressive investors willing to take greater risks, which could result in loss of principal and interest payments. Global/International investing involves risks not typically associated with US investing, including currency fluctuations, political instability, uncertain economic conditions and different accounting standards. PAST PERFORMANCE:Past performance is not an indication of future results. ASSET CLASS PERFORMANCE REPRESENTATIONS:Long Term Treasuries = BC Treasury Long; Municipals = BC Municipal; Foreign Bonds = Salomon World BIG – IB; US Govt/Credit = BC Govt/Credit; Mtge Backed Securities = ML Mortgage Master; Corporate Bonds = Salomon Corporate; 90 Day T-Bills = Salomon; Japanese Stocks = Salomon Japan BMI; High Yield Bonds = ML High Yield Master; Small Cap US Value = RU 2000 Value; MidCap US Stocks = RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks = Salomon Europe BMI; Small Cap US Stocks = RU 2000; Lg Cap US Growth = RU 1000 Growth; Latin American Stocks = Salomon Latin America BMI; Sm Cap US Growth = RU 2000 Growth BROAD EQUITY MARKET & SECTOR PERFORMANCE REPRESENTATIONS: Large-Cap = S&P 500 or Russell 1000; Mid-Cap = RU Midcap; Small-Cap = RU 2000; International = MSCI EAFE DATA SOURCES:Information found in this document was derived from the following sources: Zephyr Associates StyleAdvisor, Informa M-Watch, Investor Force, Barclays Capital, MSCI Barra, Standard & Poor’s, and Morningstar. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. CAPITAL MARKETS REVIEW December 31, 2016 GENERAL DISCLOSURE STATEMENT 15 Dow Jones Industrial Average - This index is comprised of 30 "blue-chip" US stocks selected for their history of successful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all US stocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisor adjusted to reflect stock splits and the occasional stock switches in the index. NASDAQ Composite - A cap-weighted index comprised of all common stocks that are listed on the NASDAQ Stock Market (National Association of Securities Dealers Automated Quotation system). S&P 500 - A broad-based measurement of changes in stock market conditions based on the average performance of 500 widely held common stocks. This index does not contain the 500 largest companies nor the most expensive stocks traded in the U.S. While many of the stocks are among the largest, this index also includes many relatively small companies. This index consists of approximately 380 industrial, 40 utility, 10 transportation and 70 financial companies listed on U.S. market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on a total return basis with dividends reinvested. S&P 500/Citigroup Growth - The S&P/Citigroup Growth tracks the performance of those stocks in the S&P 500 with lower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than the S&P 500. S&P 500/Citigroup Value - The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with higher book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually on January 1 and July 1, based on its book-to- price ratios and market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the S&P 500. This index tends to be more heavily concentrated in the energy and financial sectors than the S&P 500. Russell 1000 - The 1000 largest companies in the Russell 3000 index, based on market capitalization. Russell 1000 Growth - A segment of the Russell 1000 with a greater-than-average growth orientation. Companies in this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 1000 Value index. Russell 1000 Value - Represents a segment of the Russell 1000 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 1000 Growth Index. Russell Mid Cap - The index consisting of the bottom 800 securities in the Russell 1000 as ranked by total market capitalization, and it represents over 35% of the Russell 1000 total market cap. Russell 2000 - The 2000 smallest companies in the Russell 3000 index. Russell 2000 Growth - A segment of the Russell 2000 with a greater-than-average growth orientation. Companies in this index have higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2000 Value index. Russell 2000 Value - A segment of the Russell 2000 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2000 Growth index. Russell 2500 - The index consisting of the bottom 500 stocks in the Russell 1000(as ranked by market capitalization) and all of the stocks in the Russell 2000. This index is intended to be used as a measure of small to medium/small stock performance, and it represents over 22% of the Russell 3000 total market cap. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. CAPITAL MARKETS REVIEW December 31, 2016 GENERAL DISCLOSURE STATEMENT 16 MSCI EAFE - A market capitalization-weighted index representing all of the MSCI developed markets outside North America. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countries in the MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20 different country indexes, all if which are created separately. MSCI World - This market capitalization-weighted index represents all 22 of the MSCI developed markets in the world. It is created by aggregating the 22 different country indexes, all if which are created separately. MSCI Emerging Markets Free (EMF)- A market capitalization-weighted index representing 26 of the emerging markets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developed, the most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes only securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 different country indexes, all if which are created separately. Barclays Capital Government/Credit - This index includes all bonds that are in the Barclays Capital Government Bond and the Barclays Capital Credit Bond indices. Barclays Capital Government Intermediate - All bonds covered by the Barclays Capital Government Bond index with maturities of 1 and 10 years. Barclays Capital Aggregate Bond - This index is made up of the Barclays Capital Government/Credit, the Mortgage- Backed Securities, and the Asset-Backed Securities indices.All issues in the index are rated investment grade or higher, have at least one year to maturity, and have an outstanding par value of at least $100 million. Barclays Capital Government Long Term - All bonds covered by the Barclays Capital Government Bond index with maturities of 10 years or greater. Barclays Capital Municipal Bond - This market cap weighted index includes investment grade tax-exempt bonds and is classified into four main sectors: General Obligation, Revenue, Insured, and Pre-refunded. To be included in this index, the original transaction size of a bond must have been greater than $50 million. Merrill Lynch Convertibles - The convertible securities used in this index span all corporate sectors and must have a par amount outstanding of $25 million or more. The maturity must be at least one year. The coupon range must be equal to or greater than zero and all quality of bonds are included. Excluded from this index are preferred equity redemption stocks. When the component bonds of this index convert into common stock, the converted securities are dropped from the index. Merrill Lynch High Yield Master - Market-cap weighted index providing a broad-based measure of bonds in the US domestic bond market rated below investment grade but not in default. Includes only issues with a credit rating of BB1 or below as rated by Moody’s and/or S&P, at least $100 million in face value outstanding and a remaining term to final maturity equal to or greater than one year. Dow Jones Wilshire REIT Index - A measurement of equity REITs and Real Estate Operating Companies. No special- purpose or health care REITs are included. It is a market capitalization-weighted index for which returns are calculated monthly using buy and hold methodology; it is rebalanced monthly. Citigroup3MonthTreasuryBill- Representing the monthly return equivalents of yield averages that are not marked to market, this index is an average of the last three three-month Treasury bill issues. 50/50 Blend (S&P 500/BCIGC)– A blended benchmark consisting of 50% S&P 500 and 50% Barclays Capital Government/Credit Intermediate indices. This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results. CAPITAL MARKETS REVIEW December 31, 2016 GENERAL DISCLOSURE STATEMENT 17 18 City of Clearwater Employees Pension Fund Asset Allocation vs Target & Policy Total Fund As of 12/31/16 Manager Market Value Actual % Policy % Voya Investment Mgmt NTGI-QM R1000V Eagle Capital Management Manning and Napier Artisan Partners Wedge Capital Mgmt Atlanta Capital Mgmt Systematic Financial Mgt Riverbridge Partners Total Domestic Equity Earnest Partners Eaton Vance Mgmt WCM Investment Management Thompson, Siegel & Walmsley Total International Equity Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Total Domestic Fixed Income Multi Employer Property Trust Security Capital Molpus Woodlands Group Hancock USAA U.S. Real Estate Investment Fund Total Real Estate Total Fund 117,869,594.07 42,186,952.14 39,940,831.96 35,982,593.49 36,678,277.44 39,278,373.48 15,409,221.53 12,605,001.96 23,398,549.19 363,349,395.26 75,055.75 31,939,525.76 65,638,322.03 67,729,945.92 165,382,849.46 122,311,850.49 120,187,057.38 675,440.20 6,530,661.36 249,705,009.43 44,062,325.29 37,311,304.98 11,655,149.00 8,082,754.00 10,849,700.96 11,080,787.00 123,042,021.23 901,479,275.38 13.08 4.68 4.43 3.99 4.07 4.36 1.71 1.40 2.60 40.31 0.01 3.54 7.28 7.51 18.35 13.57 13.33 0.07 0.72 27.70 4.89 4.14 1.29 0.90 1.20 1.23 13.65 100.00 39.00 18.00 28.00 15.00 19 City of Clearwater Employees Pension Fund Sources of Fund Growth Total Fund 9/30/16 - 12/31/16 Manager Name Beginning Value Net Contrib Invest Fees Invest Gain/Loss Ending Value Voya Investment Mgmt NTGI-QM R1000V Eagle Capital Management Manning and Napier Artisan Partners Wedge Capital Mgmt Atlanta Capital Mgmt Systematic Financial Mgt Riverbridge Partners Equity Earnest Partners Eaton Vance Mgmt WCM Investment Management Thompson, Siegel & Walmsley International EQ Comp Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Fixed Income Comp Multi Employer Property Trust Security Capital Molpus Woodlands Group Hancock USAA U.S. Real Estate Investment Fund Real Estate Comp Total Fund 117,824,489 39,550,427 37,341,159 34,993,254 38,121,920 37,444,938 14,372,820 10,920,534 22,952,712 353,522,253 77,403 32,617,074 70,831,435 68,283,007 171,808,920 124,053,445 123,630,312 949,564 10,523,157 259,156,478 43,451,731 38,998,382 9,970,149 8,150,765 10,396,943 10,600,192 121,568,163 906,030,365 117,538 3,955 77,443 31,141 72,588 60,233 30,629 31,403 52,311 477,239 -10 1,556 123,451 115,039 240,035 63,186 139,665 -287,011 -3,992,496 -4,076,657 0 -689,381 1,685,000 -68,011 -121,666 0 805,943 -2,553,440 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 -72,433 2,632,570 2,522,230 958,198 -1,516,231 1,773,202 1,005,773 1,653,066 393,527 9,349,903 -2,338 -679,104 -5,316,564 -668,100 -6,666,106 -1,804,780 -3,582,919 12,888 0 -5,374,812 610,594 -997,697 0 0 574,423 480,595 667,915 -1,997,650 117,869,594 42,186,952 39,940,832 35,982,593 36,678,277 39,278,373 15,409,222 12,605,002 23,398,549 363,349,395 75,056 31,939,526 65,638,322 67,729,946 165,382,849 122,311,850 120,187,057 675,440 6,530,661 249,705,009 44,062,325 37,311,305 11,655,149 8,082,754 10,849,701 11,080,787 123,042,021 901,479,275 20 City of Clearwater Employees Pension Fund Executive Summary Table Periods Ending December 31, 2016 Net of Fee Return Name Value $(000) Periods Ending 12/31/16 Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Since Inception Ret Date Total Fund Policy Index Secondary Benchmark Domestic Equity Comp S&P 500 Large Cap Equity Comp R1000 Eagle Capital Management Russell 1000 Value Manning and Napier Russell 1000 Value NTGI-QM R1000V R1000V Voya Investment Mgmt R1000G Mid Cap Equity Comp R Mid Cap Artisan Partners R Mid Cap G Wedge Capital Mgmt R Mid Cap V Small Cap Equity Comp R2000 Atlanta Capital Mgmt Russell 2000 Riverbridge Partners R2000G Systematic Financial Mgt R2000V International EQ Comp MSCI ACWI ex US (Net) Earnest Partners MSCI ACWI ex US (Net) Eaton Vance Mgmt MSCI Emg Mkts Thompson, Siegel & Walmsley MSCI EAFE (Net) WCM Investment Management MSCI ACWI ex US (Net) 901,479 363,349 235,980 39,941 35,983 42,187 117,870 75,957 36,678 39,278 51,413 15,409 23,399 12,605 165,383 75 31,940 67,730 65,638 -0.22 -0.07 0.67 2.64 3.82 2.63 3.83 6.75 6.68 2.74 6.68 6.66 6.68 -0.06 1.01 0.34 3.21 -3.98 0.46 4.74 5.52 6.33 8.83 7.00 8.83 1.71 3.57 15.14 14.07 -3.88 -1.25 -2.08 -4.08 -0.98 -0.71 -7.51 -1.25 6.63 7.32 7.69 9.61 11.96 8.88 12.05 10.16 17.34 13.85 17.34 17.03 17.34 4.26 7.08 6.73 13.80 -0.63 7.33 14.46 20.00 18.26 21.31 18.02 21.31 13.29 11.32 28.72 31.74 2.78 4.50 12.76 11.60 -0.19 1.00 -1.00 4.50 5.42 5.74 7.38 8.87 8.48 8.60 8.53 8.59 7.91 8.59 8.58 8.59 8.50 8.55 6.10 7.92 3.19 6.23 8.94 9.45 5.29 6.74 8.64 6.74 3.21 5.05 5.48 8.31 -4.37 -1.51 -3.29 -2.19 9.48 8.93 14.65 14.66 14.59 14.69 14.98 14.80 14.86 14.50 14.89 14.71 13.07 13.51 16.53 15.70 14.36 14.46 15.50 14.64 13.20 13.74 15.32 15.07 2.54 6.79 1.65 1.64 9.14 8.58 13.47 12.83 12.55 12.91 12.69 12.72 13.40 13.03 14.37 13.68 13.74 12.93 14.88 14.31 14.51 13.24 16.16 12.84 13.92 13.14 1.89 4.12 1.11 0.81 6.51 5.62 7.88 6.95 7.12 7.08 8.91 8.34 9.09 7.86 10.05 7.83 8.12 7.07 12.03 6.06 7.25 6.26 0.40 1.11 6.81 7.22 7.85 6.69 6.97 7.00 7.93 6.42 9.10 9.51 9.29 7.96 4.78 5.67 9.05 9.17 11.07 10.33 10.32 10.33 13.46 12.63 11.23 12.63 5.41 5.36 11.44 9.81 12.29 11.62 9.24 7.62 8.92 7.32 9.78 9.26 12.65 9.30 13.90 13.15 9.21 9.46 3.92 4.62 -0.79 -0.95 -4.87 -4.99 -2.30 -3.54 12/31/87 12/31/87 12/31/15 12/31/87 12/31/87 3/31/88 3/31/88 1/31/13 1/31/13 1/31/13 1/31/13 6/30/07 6/30/07 12/31/87 12/31/87 3/31/88 3/31/88 7/31/01 7/31/01 2/28/07 2/28/07 8/31/03 8/31/03 8/31/03 8/31/03 9/30/10 9/30/10 8/31/03 8/31/03 5/31/01 5/31/01 4/30/08 4/30/08 7/31/15 7/31/15 7/31/15 7/31/15 21 City of Clearwater Employees Pension Fund Executive Summary Table Periods Ending December 31, 2016 Net of Fee Return Name Value $(000) Periods Ending 12/31/16 Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Since Inception Ret Date Fixed Income Comp BC Agg Dodge & Cox BC Agg In House Account 3-month T-Bill Security Lending Income Account 3-month T-Bill Western Asset Management Co. BC Agg Real Estate Comp Policy Index Hancock NCREIF Timberland Index Molpus Woodlands Group NCREIF Timberland Index Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI U.S. Real Estate Investment Fund NCREIF ODCE Fund Index USAA NCREIF ODCE Fund Index 249,705 122,312 6,531 675 120,187 123,042 8,083 11,655 44,062 37,311 11,081 10,850 -2.09 -2.98 -1.45 -2.98 0.00 0.08 1.44 0.08 -2.90 -2.98 0.54 -0.77 0.00 1.18 0.00 1.18 1.41 2.11 -2.51 -2.20 4.53 2.11 5.59 2.11 5.01 2.65 5.55 2.65 0.00 0.27 1.84 0.27 3.66 2.65 6.35 8.06 -1.27 2.70 0.48 2.70 8.02 8.76 5.71 7.62 10.72 8.76 12.34 8.76 3.80 3.03 3.78 3.03 0.00 0.11 4.10 0.11 3.65 3.03 11.26 13.60 2.57 6.01 3.34 6.01 10.72 12.06 13.79 14.05 3.41 2.23 3.94 2.23 -0.00 0.09 4.35 0.09 2.68 2.23 10.33 12.39 5.08 7.08 9.71 12.21 11.71 12.24 4.33 3.63 4.61 3.63 -0.00 0.09 6.45 0.09 3.94 3.63 12.79 14.00 13.64 13.97 5.08 4.35 5.32 4.35 -0.00 0.73 6.95 0.73 4.71 4.35 4.94 4.58 -0.00 1.26 6.34 6.46 4.95 4.10 0.63 3.25 5.85 1.23 4.54 4.18 5.85 7.05 5.27 7.67 4.21 6.45 10.64 13.16 6.49 6.96 10.72 8.76 11.10 10.74 12/31/87 12/31/87 2/29/04 2/29/04 12/31/87 12/31/87 6/30/03 6/30/03 9/30/04 9/30/04 4/30/08 4/30/08 5/31/12 5/31/12 6/30/11 6/30/11 9/30/10 9/30/10 4/30/08 4/30/08 12/31/15 12/31/15 6/30/15 6/30/15 22 City of Clearwater Employees Pension Fund Executive Summary Table December 31, 2016 Net of Fee Return Name Value $(000) Calendar Years 2016 2015 2014 2013 2012 2011 Total Fund Policy Index Domestic Equity Comp S&P 500 Large Cap Equity Comp R1000 Eagle Capital Management Russell 1000 Value Manning and Napier Russell 1000 Value NTGI-QM R1000V R1000V Voya Investment Mgmt R1000G Mid Cap Equity Comp R Mid Cap Artisan Partners R Mid Cap G Wedge Capital Mgmt R Mid Cap V Small Cap Equity Comp R2000 Atlanta Capital Mgmt Russell 2000 Riverbridge Partners R2000G Systematic Financial Mgt R2000V International EQ Comp MSCI ACWI ex US (Net) Earnest Partners MSCI ACWI ex US (Net) Eaton Vance Mgmt MSCI Emg Mkts Thompson, Siegel & Walmsley MSCI EAFE (Net) WCM Investment Management MSCI ACWI ex US (Net) 901,479 363,349 235,980 39,941 35,983 42,187 117,870 75,957 36,678 39,278 51,413 15,409 23,399 12,605 165,383 75 31,940 67,730 65,638 6.63 7.32 9.61 11.96 8.88 12.05 10.16 17.34 13.85 17.34 17.03 17.34 4.26 7.08 6.73 13.80 -0.63 7.33 14.46 20.00 18.26 21.31 18.02 21.31 13.29 11.32 28.72 31.74 2.78 4.50 12.76 11.60 -0.19 1.00 -1.00 4.50 1.42 0.22 1.48 1.38 3.35 0.92 2.35 -3.83 -0.09 -3.83 -3.66 -3.83 7.07 5.67 -1.30 -2.44 3.38 -0.20 -5.72 -4.78 -1.70 -4.41 4.97 -4.41 -3.15 -1.38 -6.39 -7.47 -9.91 -4.29 -16.09 -14.60 8.32 9.91 11.31 13.69 13.45 13.25 13.39 13.45 10.46 13.45 13.54 13.45 14.42 13.05 13.38 13.21 6.96 11.91 19.82 14.74 0.39 4.89 3.50 4.89 0.20 5.60 -2.60 4.22 -5.56 -4.48 -4.41 -1.82 17.83 14.62 35.15 32.41 32.23 33.11 32.94 32.54 31.57 33.49 37.36 34.76 39.21 35.76 34.92 33.45 42.51 38.82 42.43 37.88 43.50 43.29 40.72 34.50 10.23 23.29 1.22 -2.27 13.93 13.17 18.37 15.98 17.02 16.42 18.09 17.50 18.95 15.26 22.00 17.26 20.82 15.80 23.16 18.48 17.61 16.34 12.53 18.05 17.83 14.59 23.50 18.05 17.61 17.90 18.55 18.62 -0.36 1.81 -0.21 2.12 -0.90 1.51 -0.77 0.39 3.04 2.63 -0.10 -1.56 0.07 -1.66 -0.33 -1.38 2.07 -4.17 10.20 -5.50 4.27 -2.92 -9.91 -5.50 -15.04 -11.73 -19.27 -18.17 23 City of Clearwater Employees Pension Fund Executive Summary Table December 31, 2016 Net of Fee Return Name Value $(000) Calendar Years 2016 2015 2014 2013 2012 2011 Fixed Income Comp BC Agg Dodge & Cox BC Agg In House Account 3-month T-Bill Security Lending Income Account 3-month T-Bill Western Asset Management Co. BC Agg Real Estate Comp Policy Index Hancock NCREIF Timberland Index Molpus Woodlands Group NCREIF Timberland Index Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI U.S. Real Estate Investment Fund NCREIF ODCE Fund Index USAA NCREIF ODCE Fund Index 249,705 122,312 6,531 675 120,187 123,042 8,083 11,655 44,062 37,311 11,081 10,850 5.01 2.65 5.55 2.65 0.00 0.27 1.84 0.27 3.66 2.65 6.35 8.06 -1.27 2.70 0.48 2.70 8.02 8.76 5.71 7.62 10.72 8.76 12.34 8.76 0.30 0.55 -0.12 0.55 0.03 0.03 3.41 0.03 0.73 0.55 6.35 8.33 4.51 4.97 2.64 4.97 12.00 15.01 4.70 4.81 6.18 5.97 6.01 5.97 -0.02 0.03 7.12 0.03 6.65 5.97 21.77 25.22 4.58 10.50 7.02 10.50 12.21 12.49 33.13 31.53 -0.75 -2.02 0.65 -2.02 0.00 0.05 2.56 0.05 -2.46 -2.02 6.29 6.02 8.91 9.68 15.16 9.68 11.83 13.94 1.60 2.15 6.53 4.22 7.85 4.22 -0.00 0.07 6.93 0.07 5.07 4.22 11.69 15.41 0.77 7.75 4.70 10.94 16.22 17.55 5.94 7.84 5.10 7.84 0.00 0.08 2.85 0.08 7.23 7.84 8.85 11.62 12.99 15.99 6.86 8.56 24 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Total Fund Public Sponsors Periods Ending 12/16 High 1st Qt Median 3rd Qt Low T Total Fund Net Ret Rank 1 Policy Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 2.93 1.77 1.08 0.16 -1.30 -0.22 83 -0.07 80 10.25 8.97 7.92 6.87 3.90 6.63 79 7.32 65 5.46 4.70 3.85 2.92 1.38 3.99 44 3.71 57 6.68 5.44 4.63 3.83 2.28 5.42 27 5.74 14 9.47 8.40 7.55 6.29 3.90 8.39 25 7.89 41 10.02 9.28 8.54 7.31 4.90 9.48 21 8.93 36 8.79 7.84 7.26 6.36 4.44 7.77 25 7.71 28 9.17 8.59 8.03 7.04 5.08 9.14 7 8.58 26 10.99 10.13 9.54 8.74 6.49 11.59 1 10.62 10 6.32 5.74 5.15 4.61 3.55 6.43 4 5.51 37 6.53 5.93 5.43 4.94 4.02 6.51 6 5.62 38 -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% T1 T 1 T1 T1 T 1 T 1 T1 T 1 T 1 T 1 T 1 25 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Total Fund Public Sponsors Years Ending December High 1st Qt Median 3rd Qt Low T Total Fund Net Ret Rank 1 Policy Index Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 10.25 8.97 7.92 6.87 3.90 6.63 79 7.32 65 3.55 1.36 0.09 -1.25 -3.07 1.42 22 0.22 47 9.32 7.30 6.46 5.28 3.33 8.32 12 9.91 2 21.61 19.17 16.46 13.29 5.12 17.83 37 14.62 67 15.00 13.38 12.33 10.64 6.28 13.93 17 13.17 28 5.39 2.17 0.96 -0.36 -2.83 -0.36 75 1.81 32 16.20 13.97 12.62 11.01 6.06 17.73 2 13.96 25 27.83 22.06 19.16 15.35 4.37 30.28 2 26.00 7 -1.30 -20.32 -24.63 -27.15 -30.50 -27.10 74 -27.73 79 11.11 9.10 7.83 6.50 4.61 7.20 62 6.69 71 -35% -30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% T1 T1 T1 T 1 T1 T1 T 1 T 1 T1 T1 26 City of Clearwater Employees Pension Fund Performance Summary Total Fund December 31, 2016 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 Qtr YTD 1 Year 3 Year 5 Year Incept 12/31/87 Total Fund Policy Index Net of Fee Returns Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Total Fund Policy Index Rank Voya Investment Mgmt R1000G Rank NTGI-QM R1000V R1000V Rank Eagle Capital Management Russell 1000 Value Rank Manning and Napier Russell 1000 Value Rank Artisan Partners R Mid Cap G Rank Wedge Capital Mgmt R Mid Cap V Rank -0.22 -0.07 83 -0.06 1.01 53 6.66 6.68 44 6.75 6.68 40 2.74 6.68 84 -3.98 0.46 99 4.74 5.52 87 6.63 7.32 79 4.26 7.08 56 17.03 17.34 25 10.16 17.34 91 13.85 17.34 58 -0.63 7.33 99 14.46 20.00 83 6.63 7.32 79 4.26 7.08 56 17.03 17.34 25 10.16 17.34 91 13.85 17.34 58 -0.63 7.33 99 14.46 20.00 83 5.42 5.74 27 8.50 8.55 29 8.58 8.59 32 8.53 8.59 33 7.91 8.59 49 3.19 6.23 82 8.94 9.45 45 9.48 8.93 21 14.86 14.50 44 14.98 14.80 40 13.07 13.51 73 16.53 15.70 33 9.05 9.17 11.44 9.81 5.41 5.36 13.46 12.63 11.23 12.63 9.24 7.62 8.92 7.32 12/31/87 12/31/87 6/30/07 1/31/13 1/31/13 7/31/01 2/28/07 $901,479,275 $117,869,594 $42,186,952 $39,940,832 $35,982,593 $36,678,277 $39,278,373 27 City of Clearwater Employees Pension Fund Performance Summary Total Fund December 31, 2016 Net of Fee Returns Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Atlanta Capital Mgmt Russell 2000 Rank Systematic Financial Mgt R2000V Rank Riverbridge Partners R2000G Rank Earnest Partners MSCI ACWI ex US (Net) Rank Eaton Vance Mgmt MSCI Emg Mkts Rank WCM Investment Management MSCI ACWI ex US (Net) Rank Thompson, Siegel & Walmsley MSCI EAFE (Net) Rank Dodge & Cox BC Agg Rank Western Asset Management Co. BC Agg Rank Security Lending Income Account 3-month T-Bill 7.00 8.83 94 15.14 14.07 11 1.71 3.57 78 -3.02 -1.25 60 -2.08 -4.08 24 -7.51 -1.25 95 -0.98 -0.71 36 -1.45 -2.98 41 -2.90 -2.98 76 1.44 0.08 18.02 21.31 92 28.72 31.74 35 13.29 11.32 56 -13.15 4.50 99 12.76 11.60 36 -1.00 4.50 84 -0.19 1.00 80 5.55 2.65 29 3.66 2.65 44 1.84 0.27 18.02 21.31 92 28.72 31.74 35 13.29 11.32 56 -13.15 4.50 99 12.76 11.60 36 -1.00 4.50 84 -0.19 1.00 80 5.55 2.65 29 3.66 2.65 44 1.84 0.27 8.64 6.74 50 5.48 8.31 68 3.21 5.05 71 -8.92 -1.51 98 -3.29 -2.19 87 3.78 3.03 29 3.65 3.03 33 4.10 0.11 15.50 14.64 63 15.32 15.07 79 13.20 13.74 68 0.50 6.79 97 1.65 1.64 79 3.94 2.23 29 2.68 2.23 52 4.35 0.09 12.65 9.30 9.21 9.46 13.90 13.15 -0.25 0.45 -0.79 -0.95 -2.30 -3.54 -4.87 -4.99 4.95 4.10 4.54 4.18 5.85 1.23 8/31/03 8/31/03 9/30/10 4/30/08 4/30/08 7/31/15 7/31/15 2/29/04 9/30/04 6/30/03 $15,409,222 $12,605,002 $23,398,549 $75,056 $31,939,526 $65,638,322 $67,729,946 $122,311,850 $120,187,057 $675,440 28 City of Clearwater Employees Pension Fund Performance Summary Total Fund December 31, 2016 Net of Fee Returns Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets In House Account 3-month T-Bill Multi Employer Property Trust NCREIF ODCE Rank Security Capital Wilshire RESI Rank Molpus Woodlands Group NCREIF Timberland Index Rank Hancock NCREIF Timberland Index Rank USAA NCREIF ODCE Fund Index Rank U.S. Real Estate Investment Fund NCREIF ODCE Fund Index Rank 0.00 0.08 1.41 2.11 39 -2.51 -2.20 69 0.00 1.18 57 0.00 1.18 57 5.59 2.11 6 4.53 2.11 8 0.00 0.27 8.02 8.76 50 5.71 7.62 67 0.48 2.70 84 -1.27 2.70 87 12.34 8.76 17 10.72 8.76 22 0.00 0.27 8.02 8.76 50 5.71 7.62 67 0.48 2.70 84 -1.27 2.70 87 12.34 8.76 17 10.72 8.76 22 0.00 0.11 10.72 12.06 62 13.79 14.05 27 3.34 6.01 83 2.57 6.01 84 -0.00 0.09 9.71 12.21 70 11.71 12.24 45 5.08 7.08 85 0.63 3.25 10.64 13.16 6.49 6.96 4.21 6.45 5.27 7.67 11.10 10.74 10.72 8.76 12/31/87 9/30/10 4/30/08 6/30/11 5/31/12 6/30/15 12/31/15 $6,530,661 $44,062,325 $37,311,305 $11,655,149 $8,082,754 $10,849,701 $11,080,787 29 30 City of Clearwater Employees Pension Fund Domestic Equity Comp as of 12/31/16 Microsoft Corp Apple Inc Amazon Com Inc Alphabet Inc Cl-A Pepsico Inc Unitedhealth Group I Home Depot Inc Aon Plc Johnson & Johnson Dish Network Corp GICS Sector % Port Information Technology Information Technology Consumer Discretionary Information Technology Consumer Staples Health Care Consumer Discretionary Financials Health Care Consumer Discretionary 3.51 2.08 2.05 1.86 1.84 1.58 1.58 1.24 1.17 1.11 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 3.18 3.97 13.45 17.44 7.24 13.88 14.58 24.01 1.15 1.11 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Domestic Equity Comp S&P 500 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Domestic Equity Comp S&P 500 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 2.64 3.82 353,522 477 9,350 363,349 9.61 11.96 398,369 -69,499 34,480 363,349 9.61 11.96 398,369 -69,499 34,480 363,349 7.38 8.87 428,843 -150,525 85,031 363,349 14.65 14.66 287,135 -174,733 250,947 363,349 7.88 6.95 308,565 -179,377 234,161 363,349 11.07 10.33 32,236 -179,377 510,490 363,349 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 31 City of Clearwater Employees Pension Fund Domestic Equity Comp as of 12/31/16 Cash & Equiv $10,090 2.78% Domestic Equity $353,260 97.22% Periods from 12/87 to 12/16 Alpha Beta R-Squared 0.08 1.09 0.93 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 E 1 T Annualized Standard Deviation% E Domestic Equity Comp 1 S&P 500 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.07 10.33 3.37 16.99 15.14 1.31 0.45 0.46 0.00 0.19 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 32 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low E Domestic Equity Comp Net Ret Rank 1 S&P 500 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 13.15 7.38 3.96 1.07 -4.44 2.64 65 3.82 55 28.16 17.30 11.99 7.02 -1.13 9.61 66 11.96 50 11.34 7.16 5.99 3.42 -0.90 5.47 55 6.54 33 10.19 8.79 7.67 5.09 0.38 7.38 54 8.87 21 16.78 14.73 13.94 11.94 7.19 13.74 53 14.33 33 17.21 15.30 14.57 12.71 8.12 14.65 44 14.66 43 14.45 12.70 12.10 10.48 6.41 12.03 50 12.47 33 16.19 13.96 12.92 11.90 8.37 13.47 33 12.83 57 19.04 16.41 14.82 13.91 10.18 15.65 35 14.45 65 11.48 8.89 7.45 6.67 3.25 7.96 39 7.11 65 10.76 8.86 7.52 6.77 3.90 7.88 42 6.95 69 -5% 0% 5% 10% 15% 20% 25% 30% E1 E 1 E1 E 1 E1 E1 E1 E1 E1 E1 E1 33 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low E Domestic Equity Comp Net Ret Rank 1 S&P 500 Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 28.16 17.30 11.99 7.02 -1.13 9.61 66 11.96 50 8.15 1.68 -0.65 -3.96 -12.43 1.48 26 1.38 29 15.92 12.97 9.09 4.44 -5.17 11.31 37 13.69 14 45.15 37.78 33.13 28.47 0.04 35.15 37 32.41 57 22.64 17.93 15.90 12.32 2.35 18.37 21 15.98 48 8.11 2.19 -0.15 -4.09 -11.63 -0.21 50 2.12 27 32.86 25.21 17.11 13.93 5.75 22.53 32 15.05 66 54.26 37.17 29.15 24.33 9.52 32.14 40 26.45 66 -17.84 -33.51 -37.00 -40.93 -49.16 -37.76 57 -36.99 49 22.34 10.63 5.45 0.41 -7.56 7.18 36 5.52 47 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% E1 E1 E1 E1 E1 E1 E 1 E 1 E1 E1 34 City of Clearwater Employees Pension Fund Risk Measure Summary Domestic Equity Comp Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 0.80 0.50 -0.69 4.87 9.61 9.61 4.58 1.12 -0.86 0.73 2.03 8.30 2.70 -0.79 0 4 1.35 3.85 11.96 11.96 2.41 4.82 3 9 0.88 1.08 0.33 -6.95 6.20 -2.07 12.90 7.12 0.97 -0.29 0.88 1.02 7.44 2.53 -0.56 1 11 -6.44 7.04 -0.61 15.43 6.81 1.28 4 16 1.00 1.01 0.45 -6.95 14.43 -2.07 35.15 10.05 1.06 -0.18 0.92 1.45 13.77 2.88 0.01 3 17 -6.44 12.58 -0.61 32.41 9.13 1.59 35 81 1.07 1.05 0.53 -23.59 22.08 -37.76 55.86 16.99 1.09 0.08 0.93 0.45 7.10 4.54 0.19 30 86 -21.93 21.32 -38.07 49.75 15.14 0.46 35 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Equity Portfolios Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 1.0 2.4 3.8 5.2 6.6 8.0 9.4 10.7 12.1 13.5 14.9 E S MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank E Domestic Equity Comp S Standard & Poors 500 Median 7.38 54 7.12 25 8.87 21 6.81 17 7.67 8.76 Annualized Rate of Return4.0 5.3 6.6 7.9 9.2 10.5 11.8 13.1 14.4 15.7 17.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 ES MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank E Domestic Equity Comp S Standard & Poors 500 Median 14.65 44 10.05 41 14.66 43 9.13 16 14.57 10.80 36 City of Clearwater Employees Pension Fund Large Cap Equity Comp as of 12/31/16 Microsoft Corp Apple Inc Amazon Com Inc Alphabet Inc Cl-A Pepsico Inc Unitedhealth Group I Home Depot Inc Aon Plc Johnson & Johnson Dish Network Corp GICS Sector % Port Information Technology Information Technology Consumer Discretionary Information Technology Consumer Staples Health Care Consumer Discretionary Financials Health Care Consumer Discretionary 5.79 3.42 3.38 3.07 3.03 2.61 2.60 2.05 1.92 1.83 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 1.48 3.70 10.86 18.82 10.01 13.94 11.91 27.38 1.89 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Large Cap Equity Comp R1000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Large Cap Equity Comp R1000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 2.63 3.83 229,709 230 6,041 235,980 8.88 12.05 247,091 -31,571 20,460 235,980 8.88 12.05 247,091 -31,571 20,460 235,980 8.48 8.60 253,931 -78,579 60,628 235,980 14.59 14.69 171,555 -86,771 151,195 235,980 7.12 7.08 161,257 -43,405 118,128 235,980 10.32 10.33 18,032 -43,405 261,353 235,980 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 37 City of Clearwater Employees Pension Fund Large Cap Equity Comp as of 12/31/16 Cash & Equiv $4,922 2.09% Domestic Equity $231,058 97.91% Periods from 3/88 to 12/16 Alpha Beta R-Squared 0.04 0.98 0.96 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 L1 T Annualized Standard Deviation% L Large Cap Equity Comp 1 R1000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.32 10.33 3.35 15.58 15.56 1.31 0.45 0.45 0.00 -0.02 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 38 City of Clearwater Employees Pension Fund Large Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low L Large Cap Equity Comp Net Ret Rank 1 R1000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 9.26 4.93 3.86 3.81 1.58 2.63 89 3.83 63 20.74 12.70 11.96 10.89 8.34 8.88 91 12.05 38 8.01 6.59 6.42 5.42 3.02 6.08 65 6.34 57 9.73 8.91 8.69 8.16 5.60 8.48 64 8.60 57 16.20 14.44 14.30 14.04 11.14 13.99 76 14.26 61 17.01 14.93 14.68 14.37 10.87 14.59 67 14.69 48 13.71 12.77 12.47 12.23 9.81 11.85 80 12.38 63 13.93 13.14 12.90 12.77 10.05 12.55 80 12.91 46 16.52 14.85 14.55 14.17 11.30 13.99 79 14.74 35 8.72 7.45 7.22 7.03 5.26 7.05 74 7.23 47 8.53 7.38 7.04 6.83 5.88 7.12 40 7.08 43 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% L 1 L 1 L1 L1 L1 L1 L1 L1 L1 L1 L1 39 City of Clearwater Employees Pension Fund Large Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low L Large Cap Equity Comp Net Ret Rank 1 R1000 Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 20.74 12.70 11.96 10.89 8.34 8.88 91 12.05 38 3.52 1.45 0.97 -0.28 -5.89 3.35 5 0.92 52 16.29 13.74 13.32 12.03 7.50 13.45 47 13.25 52 39.75 34.02 32.96 32.35 28.79 32.23 80 33.11 42 22.02 17.02 16.26 15.92 10.00 17.02 25 16.42 40 5.80 2.22 1.71 0.67 -3.96 -0.90 84 1.51 57 18.27 16.18 15.13 14.08 11.52 16.87 17 16.10 27 43.11 30.18 26.95 25.80 20.95 24.59 85 28.42 38 -28.61 -35.92 -36.89 -37.68 -43.15 -35.23 19 -37.60 73 12.91 6.39 5.57 4.47 -0.54 7.76 14 5.77 40 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% L1 L1 L1 L1 L1 L1 L1 L 1 L1 L1 40 City of Clearwater Employees Pension Fund Risk Measure Summary Large Cap Equity Comp Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 0.74 0.25 -0.36 4.49 8.88 8.88 4.01 1.01 -0.77 0.83 2.13 8.43 1.75 -1.65 0 4 1.17 4.03 12.05 12.05 2.65 4.43 2 10 0.97 0.92 0.58 -6.25 7.43 0.56 14.90 6.94 0.98 0.02 0.94 1.20 8.52 1.74 -0.07 1 11 -6.83 6.50 -0.61 14.93 6.87 1.23 3 17 1.00 1.05 0.50 -6.25 14.01 0.56 32.23 9.76 1.03 -0.14 0.98 1.48 13.98 1.60 -0.04 2 18 -6.83 12.90 -0.61 33.11 9.31 1.57 34 81 0.99 0.98 0.51 -20.96 20.12 -37.57 49.31 15.58 0.98 0.04 0.96 0.45 7.11 2.95 -0.02 29 86 -22.48 21.88 -38.26 51.57 15.56 0.45 41 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Large Neutral Portfolios Annualized Rate of Return4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 5.0 5.7 6.5 7.2 8.0 8.7 9.5 10.2 11.0 11.7 12.5 L1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank L Large Cap Equity Comp 1 R1000 Median 8.48 64 6.94 50 8.60 57 6.87 44 8.69 6.98 Annualized Rate of Return6.5 7.1 7.7 8.3 8.9 9.5 10.1 10.7 11.3 11.9 12.5 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 L1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank L Large Cap Equity Comp 1 R1000 Median 14.59 67 9.76 67 14.69 48 9.31 43 14.68 9.41 42 City of Clearwater Employees Pension Fund Voya Investment Mgmt as of 12/31/16 Microsoft Corp Apple Inc Alphabet Inc Cl-A Amazon Com Inc Home Depot Inc Pepsico Inc Unitedhealth Group I Comcast Corp New Facebook Inc Visa Inc GICS Sector % Port Information Technology Information Technology Information Technology Consumer Discretionary Consumer Discretionary Consumer Staples Health Care Consumer Discretionary Information Technology Information Technology 5.67 5.61 4.54 4.07 3.43 3.00 2.88 2.77 2.48 2.45 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 3.40 11.55 21.10 9.26 15.90 4.75 31.72 2.32 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Voya Investment Mgmt R1000G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Voya Investment Mgmt R1000G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -0.06 1.01 117,824 118 -72 117,870 4.26 7.08 125,362 -12,521 5,029 117,870 4.26 7.08 125,362 -12,521 5,029 117,870 8.50 8.55 126,821 -39,528 30,577 117,870 14.86 14.50 92,198 -52,534 78,206 117,870 8.91 8.34 54,192 -29,149 92,826 117,870 11.44 9.81 17,469 -29,149 129,550 117,870 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 43 City of Clearwater Employees Pension Fund Voya Investment Mgmt as of 12/31/16 Cash & Equiv $2,592 2.20% Domestic Equity $115,277 97.80% Periods from 12/87 to 12/16 Alpha Beta R-Squared 0.58 0.85 0.93 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 i 1 T Annualized Standard Deviation% i Voya Investment Mgmt 1 R1000G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.44 9.81 3.37 15.65 17.69 1.31 0.52 0.36 0.00 0.20 Asset Allocation ($000) Risk/Return Analysis 44 City of Clearwater Employees Pension Fund Large Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low i Voya Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 6.83 1.93 0.15 -2.80 -7.18 -0.06 53 1.01 39 12.11 7.64 4.94 0.84 -6.82 4.26 56 7.08 31 8.27 6.32 4.71 2.53 -0.77 5.66 39 6.37 23 10.11 8.60 7.19 4.43 2.35 8.50 29 8.55 27 16.39 15.07 13.89 11.68 10.00 13.86 50 14.31 41 16.97 15.52 14.56 13.30 11.35 14.86 44 14.50 52 14.31 13.16 12.05 10.51 9.33 12.80 33 12.43 43 14.91 13.90 13.02 11.69 10.37 13.40 42 13.03 49 19.93 16.68 15.35 14.35 12.09 14.73 69 15.81 45 9.47 8.79 7.63 6.69 5.81 8.04 36 7.96 38 10.37 9.50 8.15 7.74 6.90 8.91 36 8.34 45 -10% -5% 0% 5% 10% 15% 20% 25% i1 i 1 i1 i1 i1 i1 i1 i1 i1 i1 i1 45 City of Clearwater Employees Pension Fund Large Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low i Voya Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 12.11 7.64 4.94 0.84 -6.82 4.26 56 7.08 31 11.37 7.59 4.95 2.27 -4.89 7.07 31 5.67 44 17.39 13.64 11.77 9.12 6.38 14.42 16 13.05 38 44.93 38.06 35.46 33.00 28.63 31.57 85 33.49 69 23.91 19.39 16.88 14.46 10.92 18.95 32 15.26 69 6.72 3.01 0.47 -3.46 -9.21 3.04 24 2.63 30 27.41 20.40 17.03 14.61 10.48 17.10 49 16.72 57 58.87 42.29 35.32 28.88 21.89 24.43 86 37.21 42 -28.68 -36.20 -38.18 -41.52 -48.48 -33.18 9 -38.43 53 24.51 19.60 14.51 11.80 4.28 17.10 32 11.82 73 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% i1 i1 i1 i1 i1 i1 i1 i 1 i 1 i 1 46 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Large Growth Portfolios High 1st Qt Median 3rd Qt Low i Voya Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 9.49 8.54 7.58 6.26 4.16 8.50 25 8.55 22 13.24 11.88 10.42 8.99 7.59 12.06 21 11.83 27 14.70 12.99 11.67 10.32 9.00 13.19 16 13.07 21 15.46 13.82 12.59 10.97 9.96 13.47 36 13.61 29 20.00 18.32 16.94 15.68 13.50 17.25 41 16.83 56 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% i 1 i 1 i 1 i 1 i 1 Voya Investment Mgmt Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 4.5% 2.0 -0.4 1.7 -0.1 -0.4 -0.9 0.2 -0.3 -1.1 0.8 1.0 0.6 0.5 -0.2 -0.1 1.2 -1.9 -0.2 0.5 -1.1 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000G 47 City of Clearwater Employees Pension Fund Risk Measure Summary Voya Investment Mgmt Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 2 2 0.60 0.25 -1.13 5.08 4.26 4.26 5.49 1.23 -1.05 0.88 0.72 3.19 2.07 -1.27 0 4 0.61 4.58 7.08 7.08 3.81 1.77 5 7 1.00 1.02 0.50 -5.39 8.56 1.42 19.45 7.74 1.15 -0.31 0.96 1.08 7.26 1.93 0.01 1 11 -5.29 7.32 2.52 16.09 6.55 1.29 7 13 1.03 1.05 0.45 -5.39 17.02 1.42 31.57 11.03 1.10 -0.26 0.98 1.34 13.34 2.04 0.20 3 17 -5.29 14.69 2.52 33.49 9.84 1.46 35 81 0.96 0.80 0.53 -18.51 23.26 -33.74 44.38 15.65 0.85 0.58 0.93 0.52 9.50 5.02 0.20 34 82 -22.79 26.75 -45.64 49.75 17.69 0.36 48 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Large Growth Portfolios Annualized Rate of Return3.0 4.1 5.2 6.3 7.4 8.5 9.6 10.7 11.8 12.9 14.0 3.0 3.9 4.8 5.7 6.6 7.5 8.4 9.3 10.2 11.0 11.9 i1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank i Voya Investment Mgmt 1 R1000G Median 8.50 29 7.74 36 8.55 27 6.55 14 7.19 8.41 Annualized Rate of Return5.0 6.3 7.6 8.9 10.2 11.5 12.8 14.1 15.4 16.7 18.0 10.0 10.9 11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0 18.9 i1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank i Voya Investment Mgmt 1 R1000G Median 14.86 44 11.03 40 14.50 52 9.84 26 14.56 11.46 49 City of Clearwater Employees Pension Fund Equity Summary Statistics Voya Investment Mgmt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000G 57 115,277,446 150,778,109 33,608,039 1.35 24.71 28.04 1.00 5.63 53.25 7.47 606 144,926,428 8,941,426 1.59 24.71 22.83 1.00 5.35 58.98 9.64 Ten Largest Holdings Microsoft Corp Apple Inc Alphabet Inc Cl-A Amazon Com Inc Home Depot Inc Pepsico Inc Unitedhealth Group I Comcast Corp New Facebook Inc Visa Inc Market Value % of Portfolio Quarterly Ret 6,529,485 6,462,409 5,230,962 4,691,937 3,950,265 3,452,476 3,315,069 3,187,417 2,856,692 2,825,260 5.67 5.61 4.54 4.07 3.43 3.00 2.88 2.77 2.48 2.45 8.60 2.98 -1.44 -10.44 4.75 -3.08 14.77 4.93 -10.31 -5.46 Ten Best Performers Delta Air Lines Inc Td Ameritrade Hldg C Marriott Intl Inc Ne Unitedhealth Group I Waste Mgmt Inc Del Dow Chem Co Berry Plastics Group Ingersoll-Rand Plc Celgene Corp Northrop Corp Quarterly Ret 25.54 24.39 23.27 14.77 11.87 11.27 11.13 11.02 10.73 9.10 Ten Worst Performers Edwards Lifesciences Equifax Inc Amazon Com Inc Facebook Inc Mead Johnson Nutriti Biogen Idec Inc Monster Beverage Cor Boston Scientific Co Allergan Plc Crown Holdings Inc Quarterly Ret -22.28 -11.91 -10.44 -10.31 -9.93 -9.41 -9.39 -9.12 -8.81 -7.92 50 City of Clearwater Employees Pension Fund Equity Contribution to Return Voya Investment Mgmt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000G 57 115,277,446 150,778,109 33,608,039 1.35 24.71 28.04 1.00 5.63 53.25 7.47 606 144,926,428 8,941,426 1.59 24.71 22.83 1.00 5.35 58.98 9.64 Ten Best Contributors Delta Air Lines Inc Microsoft Corp Unitedhealth Group I Td Ameritrade Hldg C Marriott Intl Inc Ne Celgene Corp Waste Mgmt Inc Del Ingersoll-Rand Plc Dow Chem Co Apple Inc Market Value % of Portfolio Quarterly Ret 2,373,811 6,529,485 3,315,069 1,663,689 1,474,267 2,625,210 1,956,903 1,989,460 1,768,098 6,462,409 2.06 5.67 2.88 1.44 1.28 2.28 1.70 1.73 1.54 5.61 25.54 8.60 14.77 24.39 23.27 10.73 11.87 11.02 11.27 2.98 Ten Worst Contributors Amazon Com Inc Facebook Inc Edwards Lifesciences Monster Beverage Cor Biogen Idec Inc Boston Scientific Co Visa Inc Equifax Inc Mead Johnson Nutriti Allergan Plc Market Value % of Portfolio Quarterly Ret 4,691,937 2,856,692 1,292,592 2,658,227 2,426,594 1,803,488 2,825,260 1,278,066 1,489,215 1,594,606 4.07 2.48 1.12 2.31 2.11 1.57 2.45 1.11 1.29 1.38 -10.44 -10.31 -22.28 -9.39 -9.41 -9.12 -5.46 -11.91 -9.93 -8.81 51 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Voya Investment Mgmt Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 0.00 2.85 10.16 21.21 9.74 17.13 5.00 32.95 0.96 0.00 100.00 0.64 3.58 10.38 20.62 9.64 16.79 2.72 31.50 1.22 0.06 100.00 -1.62 8.63 2.01 -4.00 -5.59 6.74 0.16 -0.26 0.30 -0.88 2.05 6.83 2.11 -0.47 -3.48 6.70 1.07 4.54 4.11 1.16 0.00 -0.10 0.18 -0.02 -0.34 -0.36 0.00 -0.30 -0.05 0.00 -0.99 0.01 -0.01 -0.01 0.01 -0.00 -0.02 0.13 -0.00 -0.01 -0.00 0.10 0.01 -0.11 0.17 -0.02 -0.35 -0.38 0.13 -0.30 -0.05 -0.00 -0.90 Index - R1000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.27% [ Actual Return 0.03% ] - [ Buy Hold Return 0.30% ] 52 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Voya Investment Mgmt Quarter Ending 12/16 % Allocation Energy 0.00 0.64 Materials 2.85 3.58 Industrials 10.16 10.38 Con. Discretionary 21.21 20.62 Consumer Staples 9.74 9.64 Health Care 17.13 16.79 Financials 5.00 2.72 Infomation Tech. 32.95 31.50 Telecom. Services 0.96 1.22 Utilities 0.00 0.06 Voya Investment Mgmt R1000G % Return -0.88 -1.62 2.05 8.63 6.83 2.01 2.11 -4.00 -0.47 -5.59 -3.48 6.74 6.70 0.16 1.07 -0.26 4.54 4.11 % Variance 0.01 -0.11 0.17 -0.02 -0.35 -0.38 0.13 -0.30 -0.05 -0.00 53 City of Clearwater Employees Pension Fund NTGI-QM R1000V as of 12/31/16 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 NTGI-QM R1000V R1000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 NTGI-QM R1000V R1000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 6.66 6.68 39,550 4 2,633 42,187 17.03 17.34 39,670 -3,984 6,500 42,187 17.03 17.34 39,670 -3,984 6,500 42,187 8.58 8.59 44,511 -12,979 10,655 42,187 14.98 14.80 53,022 -48,290 37,455 42,187 5.41 5.36 26,197 -38,791 54,780 42,187 Portfolio Performance (%) 54 City of Clearwater Employees Pension Fund NTGI-QM R1000V as of 12/31/16 Domestic Equity $42,187 100.00% Periods from 6/07 to 12/16 Alpha Beta R-Squared 0.02 1.00 1.00 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 n1 T Annualized Standard Deviation% n NTGI-QM R1000V 1 R1000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.41 5.36 0.57 18.00 18.06 0.61 0.27 0.26 0.00 0.07 Asset Allocation ($000) Risk/Return Analysis 55 City of Clearwater Employees Pension Fund Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years 10.48 8.19 6.57 3.78 1.78 6.66 44 6.68 44 21.29 17.07 14.85 11.95 9.49 17.03 25 17.34 19 8.52 7.03 5.78 4.20 0.72 6.18 44 6.23 43 9.80 8.77 7.87 6.95 0.77 8.58 32 8.59 32 16.45 14.85 13.57 11.96 8.72 14.22 38 14.14 42 16.96 15.69 14.67 12.94 11.65 14.98 40 14.80 45 14.13 12.83 12.25 10.85 9.19 12.19 54 12.26 49 14.82 13.29 12.77 11.59 10.28 12.69 54 12.72 53 16.13 15.03 14.03 13.27 11.28 13.62 63 13.57 65 8.54 7.61 7.10 6.33 3.41 6.44 73 6.40 73 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% n1 n1 n1 n1 n1 n1 n1 n1 n1 n1 56 City of Clearwater Employees Pension Fund Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 21.29 17.07 14.85 11.95 9.49 17.03 25 17.34 19 1.76 -0.23 -1.88 -4.13 -9.96 -3.66 66 -3.83 70 15.55 13.75 12.13 10.57 5.63 13.54 29 13.45 32 41.31 37.61 33.25 29.44 24.08 32.94 52 32.54 56 20.61 17.95 16.52 14.30 11.02 18.09 23 17.50 33 13.12 3.44 0.83 -2.83 -7.81 -0.77 64 0.39 57 20.53 17.68 15.65 13.55 10.54 15.75 48 15.51 53 41.06 31.12 24.39 20.06 10.37 20.35 71 19.69 78 -24.50 -34.33 -36.33 -38.30 -45.27 -36.86 61 -36.85 61 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% n 1 n 1 n 1 n 1 n 1 n 1 n 1 n 1 n 1 57 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Large Value Portfolios High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 9.64 8.64 7.97 7.69 6.53 8.58 27 8.59 27 11.13 10.07 9.28 8.18 6.17 9.71 35 9.70 35 11.94 10.40 9.55 8.07 6.67 9.95 34 9.87 40 11.65 10.50 9.43 8.53 6.84 9.49 45 9.38 52 15.71 14.95 13.48 12.37 11.01 13.29 52 13.09 60 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% n 1 n 1 n 1 n 1 n 1 NTGI-QM R1000V Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -0.6% -0.4% -0.2% -0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 0.0 0.0 0.4 0.0 0.3 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.2 0.0 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000V 58 City of Clearwater Employees Pension Fund Risk Measure Summary NTGI-QM R1000V Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.98 0.25 1.64 6.66 17.03 17.03 4.23 0.99 -0.04 1.00 3.95 16.83 0.19 -1.48 0 4 1.64 6.68 17.34 17.34 4.21 4.04 3 9 1.00 0.99 0.67 -8.37 6.66 -4.27 17.03 8.21 1.00 0.01 1.00 1.03 8.48 0.14 -0.06 3 9 -8.40 6.68 -4.42 17.34 8.25 1.02 4 16 1.01 0.99 0.80 -8.37 12.60 -4.27 32.94 9.62 1.01 0.01 1.00 1.55 14.74 0.27 0.63 4 16 -8.40 12.31 -4.42 32.54 9.54 1.54 14 24 1.00 1.00 0.82 -22.13 18.29 -42.31 54.33 18.00 1.00 0.02 1.00 0.27 4.86 0.53 0.07 14 24 -22.17 18.24 -42.42 53.57 18.06 0.26 59 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Large Value Portfolios Annualized Rate of Return4.0 4.9 5.8 6.7 7.6 8.5 9.4 10.3 11.2 12.1 13.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 n1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank n NTGI-QM R1000V 1 R1000V Median 8.58 32 8.21 50 8.59 32 8.25 55 7.87 8.21 Annualized Rate of Return5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 n1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank n NTGI-QM R1000V 1 R1000V Median 14.98 40 9.62 36 14.80 45 9.54 35 14.67 9.91 60 City of Clearwater Employees Pension Fund Eagle Capital Management as of 12/31/16 Berkshire Hathaway I Microsoft Corp Citigroup Inc Oracle Corp Alphabet Inc Cl-C Aon Plc Twenty First Centy F J P Morgan Chase & C Amazon Com Inc Liberty Global Plc GICS Sector % Port Financials Information Technology Financials Information Technology Information Technology Financials Consumer Discretionary Financials Consumer Discretionary Consumer Discretionary 7.88 7.52 6.88 6.53 5.46 5.39 5.19 4.68 4.39 4.37 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 4.16 4.26 0.00 22.09 6.66 6.82 33.82 22.19 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Eagle Capital Management Russell 1000 Value Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Eagle Capital Management Russell 1000 Value Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 6.75 6.68 37,341 77 2,522 39,941 10.16 17.34 40,961 -4,695 3,674 39,941 10.16 17.34 40,961 -4,695 3,674 39,941 8.53 8.59 42,630 -12,698 10,008 39,941 13.46 12.63 33,239 -12,699 19,401 39,941 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 61 City of Clearwater Employees Pension Fund Eagle Capital Management as of 12/31/16 Cash & Equiv $1,418 3.55% Domestic Equity $38,523 96.45% Periods from 1/13 to 12/16 Alpha Beta R-Squared 0.71 0.72 0.68 Annualized Return% -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 E1 T Annualized Standard Deviation% E Eagle Capital Management 1 Russell 1000 Value T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 13.46 12.63 0.12 11.16 10.56 0.05 1.20 1.18 0.00 -0.21 Asset Allocation ($000) Risk/Return Analysis 62 City of Clearwater Employees Pension Fund Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low E Eagle Capital Management Net Ret Rank 1 Russell 1000 Value Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs 12/16 YTD Last Year 10.48 8.19 6.57 3.78 1.78 6.75 40 6.68 44 16.94 13.82 9.67 6.36 3.55 11.68 28 10.39 42 22.97 15.39 13.40 10.36 8.01 13.84 47 15.45 23 21.29 17.07 14.85 11.95 9.49 10.16 91 17.34 19 21.29 17.07 14.85 11.95 9.49 10.16 91 17.34 19 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% E 1 E 1 E 1 E 1 E 1 63 City of Clearwater Employees Pension Fund Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low E Eagle Capital Management Net Ret Rank 1 Russell 1000 Value Net Ret Rank 2016 21.29 17.07 14.85 11.95 9.49 10.16 91 17.34 19 9% 10% 11% 12% 13% 14% 15% 16% 17% 18% 19% 20% 21% 22% E 1 64 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Large Value Portfolios High 1st Qt Median 3rd Qt Low E Eagle Capital Management Net Ret Rank 1 Russell 1000 Value Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 9.64 8.64 7.97 7.69 6.53 8.53 30 8.59 27 11.13 10.07 9.28 8.18 6.17 9.68 35 9.70 35 11.94 10.40 9.55 8.07 6.67 10.33 28 9.87 40 11.65 10.50 9.43 8.53 6.84 11.14 16 9.38 52 15.71 14.95 13.48 12.37 11.01 14.18 37 13.09 60 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% E 1 E 1 E 1 E 1 E 1 Eagle Capital Management Value Added Analysis - Net of Fee 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% -6.6 1.0 2.4 0.1 -1.3 -1.2 2.0 0.5 2.0 1.6 1.6 1.1 -4.8 -2.5 1.1 0.1 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Russell 1000 Value 65 City of Clearwater Employees Pension Fund Risk Measure Summary Eagle Capital Management Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 0.59 0.50 -3.24 6.75 10.16 10.16 8.63 1.13 -2.09 0.61 1.14 8.71 5.43 -1.16 0 4 1.64 6.68 17.34 17.34 4.21 4.04 2 10 0.82 0.44 0.67 -6.93 6.79 -2.18 13.39 7.99 0.84 0.32 0.75 1.05 9.99 4.25 -0.04 3 9 -8.40 6.68 -4.42 17.34 8.25 1.02 2 13 0.95 0.44 0.73 -6.93 10.17 -2.18 24.38 8.44 0.90 0.52 0.79 1.48 13.91 4.01 0.21 3 12 -8.40 10.01 -4.42 23.82 8.37 1.37 66 City of Clearwater Employees Pension Fund Equity Summary Statistics Eagle Capital Management Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 27 38,522,959 187,064,604 68,463,787 1.11 34.77 22.19 1.10 1.02 65.45 3.18 696 119,397,417 8,067,819 2.46 24.70 18.94 1.00 1.60 62.31 2.74 Ten Largest Holdings Berkshire Hathaway I Microsoft Corp Citigroup Inc Oracle Corp Alphabet Inc Cl-C Aon Plc Twenty First Centy F J P Morgan Chase & C Amazon Com Inc Liberty Global Plc Market Value % of Portfolio Quarterly Ret 3,035,503 2,895,724 2,650,578 2,514,630 2,103,210 2,074,458 1,998,788 1,803,461 1,690,957 1,681,020 7.88 7.52 6.88 6.53 5.46 5.39 5.19 4.68 4.39 4.37 12.81 8.60 26.25 -1.73 -0.70 -0.56 10.15 30.52 -10.44 -10.11 Ten Best Performers Goldman Sachs Group Bank Amer Corp Morgan Stanley J P Morgan Chase & C Citigroup Inc Marriott Intl Inc Ne Berkley W R Corp Unitedhealth Group I Berkshire Hathaway I Twenty First Centy F Quarterly Ret 48.93 41.72 32.56 30.52 26.25 23.27 16.40 14.77 12.81 10.15 Ten Worst Performers Liberty Global Plc Thermo Fisher Scient Amazon Com Inc Liberty Global Plc Ecolab Inc Pepsico Inc Oracle Corp Fidelity Natl Inform Alphabet Inc Cl-A Alphabet Inc Cl-C Quarterly Ret -24.53 -11.20 -10.44 -10.11 -3.40 -3.08 -1.73 -1.47 -1.44 -0.70 67 City of Clearwater Employees Pension Fund Equity Contribution to Return Eagle Capital Management Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 27 38,522,959 187,064,604 68,463,787 1.11 34.77 22.19 1.10 1.02 65.45 3.18 696 119,397,417 8,067,819 2.46 24.70 18.94 1.00 1.60 62.31 2.74 Ten Best Contributors Citigroup Inc Goldman Sachs Group J P Morgan Chase & C Bank Amer Corp Berkshire Hathaway I Marriott Intl Inc Ne Microsoft Corp Unitedhealth Group I Twenty First Centy F Morgan Stanley Market Value % of Portfolio Quarterly Ret 2,650,578 1,245,140 1,803,461 1,118,260 3,035,503 1,389,437 2,895,724 1,608,402 1,998,788 498,550 6.88 3.23 4.68 2.90 7.88 3.61 7.52 4.18 5.19 1.29 26.25 48.93 30.52 41.72 12.81 23.27 8.60 14.77 10.15 32.56 Ten Worst Contributors Amazon Com Inc Liberty Global Plc Thermo Fisher Scient Ecolab Inc Liberty Global Plc Oracle Corp Pepsico Inc Alphabet Inc Cl-C Aon Plc Alphabet Inc Cl-A Market Value % of Portfolio Quarterly Ret 1,690,957 1,681,020 1,015,920 1,641,080 209,392 2,514,630 1,370,653 2,103,210 2,074,458 554,715 4.39 4.37 2.64 4.26 0.54 6.53 3.56 5.46 5.39 1.44 -10.44 -10.11 -11.20 -3.40 -24.53 -1.73 -3.08 -0.70 -0.56 -1.44 68 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Eagle Capital Management Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 4.18 4.79 0.00 22.48 7.33 7.17 30.38 23.67 0.00 0.00 100.00 13.50 2.74 9.49 4.89 8.87 11.50 23.45 10.05 3.92 6.49 100.00 7.92 -3.40 -0.31 -1.05 3.11 20.91 1.85 7.04 7.40 8.70 8.36 4.64 -3.36 -4.94 21.95 0.60 5.40 0.32 6.83 0.02 -0.58 0.00 -1.11 0.17 0.58 -0.32 0.30 0.00 0.00 -0.94 -0.05 0.04 -0.15 -0.38 0.16 0.51 1.05 -0.85 0.06 0.42 0.80 -0.03 -0.54 -0.15 -1.50 0.33 1.09 0.73 -0.55 0.06 0.42 -0.14 Index - Russell 1000 Value Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.19% [ Actual Return 7.23% ] - [ Buy Hold Return 7.04% ] 69 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Eagle Capital Management Quarter Ending 12/16 % Allocation Energy 4.18 13.50 Materials 4.79 2.74 Industrials 0.00 9.49 Con. Discretionary 22.48 4.89 Consumer Staples 7.33 8.87 Health Care 7.17 11.50 Financials 30.38 23.45 Infomation Tech. 23.67 10.05 Telecom. Services 0.00 3.92 Utilities 0.00 6.49 Eagle Capital Management Russell 1000 Value % Return 7.92 7.40 -3.40 8.70 8.36 -0.31 4.64 -1.05 -3.36 3.11 -4.94 20.91 21.95 1.85 0.60 5.40 0.32 % Variance -0.03 -0.54 -0.15 -1.50 0.33 1.09 0.73 -0.55 0.06 0.42 70 City of Clearwater Employees Pension Fund Manning and Napier as of 12/31/16 Microsoft Corp Johnson & Johnson J P Morgan Chase & C Procter & Gamble Co Wells Fargo & Co New Wal Mart Stores Inc Pfizer Inc Home Depot Inc Pepsico Inc Intel Corp GICS Sector % Port Information Technology Health Care Financials Consumer Staples Financials Consumer Staples Health Care Consumer Discretionary Consumer Staples Information Technology 4.27 3.89 3.59 3.22 3.00 2.99 2.78 2.74 2.54 2.39 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 3.42 4.08 20.52 7.74 16.16 15.35 11.37 18.79 2.56 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Manning and Napier Russell 1000 Value Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 1/31/13 Manning and Napier Russell 1000 Value Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 2.74 6.68 34,993 31 958 35,983 13.85 17.34 41,098 -10,368 5,252 35,983 13.85 17.34 41,098 -10,368 5,252 35,983 7.91 8.59 39,969 -13,369 9,383 35,983 11.23 12.63 33,104 -13,371 16,250 35,983 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 71 City of Clearwater Employees Pension Fund Manning and Napier as of 12/31/16 Cash & Equiv $912 2.53% Domestic Equity $35,071 97.47% Periods from 1/13 to 12/16 Alpha Beta R-Squared 0.51 0.63 0.77 Annualized Return% -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 M 1 T Annualized Standard Deviation% M Manning and Napier 1 Russell 1000 Value T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.23 12.63 0.12 9.57 10.56 0.05 1.16 1.18 0.00 -0.65 Asset Allocation ($000) Risk/Return Analysis 72 City of Clearwater Employees Pension Fund Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low M Manning and Napier Net Ret Rank 1 Russell 1000 Value Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs 12/16 YTD Last Year 10.48 8.19 6.57 3.78 1.78 2.74 84 6.68 44 16.94 13.82 9.67 6.36 3.55 6.71 73 10.39 42 22.97 15.39 13.40 10.36 8.01 10.58 71 15.45 23 21.29 17.07 14.85 11.95 9.49 13.85 58 17.34 19 21.29 17.07 14.85 11.95 9.49 13.85 58 17.34 19 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% M 1 M 1 M 1 M 1 M 1 73 City of Clearwater Employees Pension Fund Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Manning and Napier Net Ret Rank 1 Russell 1000 Value Net Ret Rank 2016 21.29 17.07 14.85 11.95 9.49 13.85 58 17.34 19 9% 10% 11% 12% 13% 14% 15% 16% 17% 18% 19% 20% 21% 22% M 1 74 City of Clearwater Employees Pension Fund Risk Measure Summary Manning and Napier Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.80 0.50 2.74 3.87 13.85 13.85 1.08 0.41 1.56 0.44 12.58 32.86 4.58 -0.70 0 4 1.64 6.68 17.34 17.34 4.21 4.04 2 10 0.80 0.53 0.58 -6.33 6.40 -4.66 17.91 6.55 0.71 0.42 0.80 1.19 10.89 3.78 -0.22 3 9 -8.40 6.68 -4.42 17.34 8.25 1.02 2 13 0.81 0.53 0.53 -6.33 8.57 -4.66 21.56 6.78 0.75 0.38 0.85 1.50 13.64 3.46 -0.40 3 12 -8.40 10.01 -4.42 23.82 8.37 1.37 75 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Large Value Portfolios High 1st Qt Median 3rd Qt Low M Manning and Napier Net Ret Rank 1 Russell 1000 Value Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 9.64 8.64 7.97 7.69 6.53 7.91 53 8.59 27 11.13 10.07 9.28 8.18 6.17 9.91 27 9.70 35 11.94 10.40 9.55 8.07 6.67 9.95 34 9.87 40 11.65 10.50 9.43 8.53 6.84 9.31 56 9.38 52 15.71 14.95 13.48 12.37 11.01 10.04 100 13.09 60 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% M 1 M 1 M 1 M 1 M 1 Manning and Napier Value Added Analysis - Net of Fee 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% -6.5 -1.3 0.0 -1.3 -1.0 0.5 1.2 -3.3 1.3 -0.4 2.3 0.7 1.3 -0.9 0.4 -3.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Russell 1000 Value 76 City of Clearwater Employees Pension Fund Equity Summary Statistics Manning and Napier Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 86 35,070,536 129,925,062 37,842,623 2.81 20.15 20.21 0.95 3.29 65.22 3.93 696 119,397,417 8,067,819 2.46 24.70 18.94 1.00 1.60 62.31 2.74 Ten Largest Holdings Microsoft Corp Johnson & Johnson J P Morgan Chase & C Procter & Gamble Co Wells Fargo & Co New Wal Mart Stores Inc Pfizer Inc Home Depot Inc Pepsico Inc Intel Corp Market Value % of Portfolio Quarterly Ret 1,496,021 1,363,510 1,257,936 1,126,588 1,052,491 1,047,168 973,978 959,476 889,250 838,853 4.27 3.89 3.59 3.22 3.00 2.99 2.78 2.74 2.54 2.39 8.60 -1.80 30.52 -5.58 25.50 -3.48 -3.14 4.75 -3.08 -3.18 Ten Best Performers Fifth Third Bancorp PNC Financial Corp J P Morgan Chase & C Valero Energy Corp N Bb&T Corp Wells Fargo & Co New Marathon Pete Corp Nucor Corp US Bancorp Del Boeing Co Quarterly Ret 32.50 30.64 30.52 30.13 25.62 25.50 25.07 21.11 20.42 19.08 Ten Worst Performers Teva Pharmaceutical Ericsson L M Tel Co Unilever Plc Xerox Corp Amgen Telekomunikasi Ind Colgate Palmolive Co Ntt Docomo Inc Kimberly Clark Corp Abbott Labs Quarterly Ret -20.59 -19.14 -13.42 -13.10 -11.75 -11.42 -11.25 -10.47 -8.80 -8.60 77 City of Clearwater Employees Pension Fund Equity Contribution to Return Manning and Napier Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 1000 Value 86 35,070,536 129,925,062 37,842,623 2.81 20.15 20.21 0.95 3.29 65.22 3.93 696 119,397,417 8,067,819 2.46 24.70 18.94 1.00 1.60 62.31 2.74 Ten Best Contributors J P Morgan Chase & C Wells Fargo & Co New Microsoft Corp PNC Financial Corp Boeing Co US Bancorp Del Valero Energy Corp N Bb&T Corp Fifth Third Bancorp Automatic Data Proce Market Value % of Portfolio Quarterly Ret 1,257,936 1,052,491 1,496,021 391,231 593,764 513,289 259,206 299,611 205,970 344,930 3.59 3.00 4.27 1.12 1.70 1.47 0.74 0.86 0.59 0.98 30.52 25.50 8.60 30.64 19.08 20.42 30.13 25.62 32.50 17.21 Ten Worst Contributors Unilever Plc Procter & Gamble Co Amgen Ntt Docomo Inc Teva Pharmaceutical Merck & Co Inc New Colgate Palmolive Co Wal Mart Stores Inc Taiwan Semiconductor Pfizer Inc Market Value % of Portfolio Quarterly Ret 613,471 1,126,588 472,697 492,424 219,276 834,011 357,564 1,047,168 578,019 973,978 1.75 3.22 1.35 1.41 0.63 2.38 1.02 2.99 1.65 2.78 -13.42 -5.58 -11.75 -10.47 -20.59 -4.95 -11.25 -3.48 -6.02 -3.14 78 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Manning and Napier Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 3.12 3.95 18.96 8.80 17.46 16.39 9.29 19.12 2.91 0.00 100.00 13.50 2.74 9.49 4.89 8.87 11.50 23.45 10.05 3.92 6.49 100.00 12.78 6.22 5.64 2.98 -4.13 -3.85 25.72 0.89 -10.24 2.88 7.40 8.70 8.36 4.64 -3.36 -4.94 21.95 0.60 5.40 0.32 6.83 0.17 -0.10 -0.52 -0.15 -0.13 0.18 0.35 0.06 -0.46 0.00 -0.60 -0.06 0.02 0.15 -0.09 -0.88 -0.58 -2.14 -0.57 0.01 0.42 -3.70 0.11 -0.08 -0.37 -0.23 -1.01 -0.40 -1.79 -0.51 -0.44 0.42 -4.30 Index - Russell 1000 Value Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.01% [ Actual Return 2.90% ] - [ Buy Hold Return 2.88% ] 79 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Manning and Napier Quarter Ending 12/16 % Allocation Energy 3.12 13.50 Materials 3.95 2.74 Industrials 18.96 9.49 Con. Discretionary 8.80 4.89 Consumer Staples 17.46 8.87 Health Care 16.39 11.50 Financials 9.29 23.45 Infomation Tech. 19.12 10.05 Telecom. Services 2.91 3.92 Utilities 0.00 6.49 Manning and Napier Russell 1000 Value % Return 12.78 7.40 6.22 8.70 5.64 8.36 2.98 4.64 -4.13 -3.36 -3.85 -4.94 25.72 21.95 0.89 0.60 -10.24 5.40 0.32 % Variance 0.11 -0.08 -0.37 -0.23 -1.01 -0.40 -1.79 -0.51 -0.44 0.42 80 City of Clearwater Employees Pension Fund Mid Cap Equity Comp as of 12/31/16 Ihs Markit Ltd Lkq Corp Boston Scientific Co Eqt Corp Delphi Automotive Pl Global Pmts Inc Zimmer Hldgs Inc Great Plains Energy S&P Global Inc Transdigm Group Inc GICS Sector % Port Industrials Consumer Discretionary Health Care Energy Consumer Discretionary Information Technology Health Care Utilities Financials Industrials 2.42 2.16 2.11 1.93 1.84 1.83 1.83 1.81 1.80 1.80 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 7.94 5.67 15.69 16.25 1.56 14.49 20.24 13.68 0.00 4.49 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Mid Cap Equity Comp R Mid Cap Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Mid Cap Equity Comp R Mid Cap Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.34 3.21 75,567 133 257 75,957 6.73 13.80 100,689 -30,382 5,650 75,957 6.73 13.80 100,689 -30,382 5,650 75,957 6.10 7.92 105,014 -46,395 17,337 75,957 14.89 14.71 72,130 -60,405 64,232 75,957 9.09 7.86 82,918 -69,410 62,449 75,957 12.29 11.62 15,585 -69,410 129,782 75,957 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 81 City of Clearwater Employees Pension Fund Mid Cap Equity Comp as of 12/31/16 Cash & Equiv $3,677 4.84% Domestic Equity $72,280 95.16% Periods from 3/88 to 12/16 Alpha Beta R-Squared 0.02 1.14 0.83 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 M1 T Annualized Standard Deviation% M Mid Cap Equity Comp 1 R Mid Cap T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 12.29 11.62 3.35 21.95 17.46 1.31 0.41 0.47 0.00 0.10 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 82 City of Clearwater Employees Pension Fund Midcap Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low M Mid Cap Equity Comp Net Ret Rank 1 R Mid Cap Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 11.01 8.15 7.34 3.94 -2.38 0.34 91 3.21 85 24.48 20.73 17.87 15.13 5.53 6.73 92 13.80 81 10.01 8.68 5.99 3.98 2.21 2.64 87 5.37 58 12.52 9.10 7.43 5.24 2.26 6.10 62 7.92 46 18.22 15.12 14.48 12.32 10.49 13.17 64 14.08 52 18.52 15.49 14.71 13.14 11.93 14.89 47 14.71 50 15.69 12.44 12.08 11.50 10.45 12.24 41 11.82 61 16.91 14.90 14.30 13.52 12.34 14.37 46 13.68 71 19.63 17.72 17.01 16.38 14.83 17.85 17 16.73 67 10.87 9.87 9.37 8.16 7.97 8.97 68 8.11 91 10.68 9.60 9.24 9.09 8.16 9.09 76 7.86 99 -5% 0% 5% 10% 15% 20% 25% 30% M 1 M 1 M 1 M 1 M1 M1 M1 M1 M1 M1 M1 83 City of Clearwater Employees Pension Fund Midcap Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Mid Cap Equity Comp Net Ret Rank 1 R Mid Cap Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 24.48 20.73 17.87 15.13 5.53 6.73 92 13.80 81 3.35 -1.75 -4.87 -9.09 -10.50 -1.30 20 -2.44 40 20.03 14.45 9.87 5.49 2.67 13.38 25 13.21 25 49.42 40.92 36.54 33.64 24.89 37.36 42 34.76 66 23.73 19.63 17.97 16.83 11.91 22.00 13 17.26 72 9.52 2.50 -0.48 -1.83 -4.69 -0.10 37 -1.56 55 43.18 28.36 26.70 23.30 19.30 28.03 28 25.49 59 62.84 39.29 37.27 33.05 28.44 45.33 9 40.47 21 -27.10 -33.96 -36.20 -37.35 -39.64 -41.79 100 -41.46 100 11.40 9.14 8.19 6.10 -17.23 10.26 13 5.59 76 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% M 1 M1 M1 M1 M 1 M1 M1 M 1 M1 M 1 84 City of Clearwater Employees Pension Fund Risk Measure Summary Mid Cap Equity Comp Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 0.49 0.50 -2.11 5.14 6.73 6.73 6.42 1.03 -1.69 0.40 1.00 6.25 4.80 -1.32 0 4 2.24 4.52 13.80 13.80 1.87 7.22 3 9 0.75 0.76 0.50 -7.57 8.26 -6.64 13.64 8.02 0.90 -0.24 0.78 0.74 6.62 3.89 -0.46 3 9 -8.01 5.94 -4.04 14.25 7.83 0.99 4 16 0.98 0.85 0.50 -7.57 17.31 -6.64 37.36 11.73 1.09 -0.25 0.89 1.26 13.52 4.07 0.06 4 16 -8.01 12.95 -4.04 34.76 10.10 1.45 34 81 1.13 1.15 0.56 -26.78 49.24 -41.79 77.74 21.95 1.14 0.02 0.83 0.41 7.85 9.48 0.10 35 80 -27.28 20.80 -41.46 67.72 17.46 0.47 85 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Midcap Neutral Portfolios Annualized Rate of Return6.0 6.9 7.8 8.7 9.6 10.5 11.4 12.3 13.2 14.1 15.0 -2.0 -0.2 1.5 3.4 5.2 7.0 8.8 10.6 12.4 14.2 16.0 M 1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Mid Cap Equity Comp 1 R Mid Cap Median 6.10 62 8.02 10 7.92 46 7.83 6 7.43 10.00 Annualized Rate of Return7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 10.0 10.9 11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0 18.9 M1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Mid Cap Equity Comp 1 R Mid Cap Median 14.89 47 11.73 61 14.71 50 10.10 5 14.71 11.25 86 City of Clearwater Employees Pension Fund Artisan Partners as of 12/31/16 Ihs Markit Ltd Lkq Corp Boston Scientific Co Global Pmts Inc S&P Global Inc Regeneron Pharmaceut Waste Connections In Fortune Brands Home Cigna Corp Concho Res Inc GICS Sector % Port Industrials Consumer Discretionary Health Care Information Technology Financials Health Care Industrials Industrials Health Care Energy 5.02 4.46 4.38 3.80 3.74 3.05 2.82 2.77 2.63 2.53 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 4.18 1.67 21.92 19.38 3.22 19.16 10.12 20.34 0.00 0.00 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/01 Artisan Partners R Mid Cap G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/01 Artisan Partners R Mid Cap G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -3.98 0.46 38,122 73 -1,516 36,678 -0.63 7.33 50,563 -13,655 -229 36,678 -0.63 7.33 50,563 -13,655 -229 36,678 3.19 6.23 51,471 -19,663 4,871 36,678 13.07 13.51 35,729 -27,669 28,619 36,678 10.05 7.83 36,468 -32,673 32,884 36,678 9.24 7.62 29,914 -32,673 39,438 36,678 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 87 City of Clearwater Employees Pension Fund Artisan Partners as of 12/31/16 Cash & Equiv $1,816 4.95% Domestic Equity $34,862 95.05% Periods from 7/01 to 12/16 Alpha Beta R-Squared 0.42 0.94 0.92 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 r 1 T Annualized Standard Deviation% r Artisan Partners 1 R Mid Cap G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.24 7.62 1.39 18.54 18.18 0.50 0.42 0.34 0.00 0.17 Asset Allocation ($000) Risk/Return Analysis 88 City of Clearwater Employees Pension Fund Midcap Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 7.96 4.78 1.93 0.51 -0.29 -3.98 99 0.46 77 20.76 13.81 8.36 4.00 2.22 -0.63 99 7.33 54 11.32 7.68 4.25 1.09 -0.02 1.36 70 3.50 56 9.60 8.00 5.96 3.43 2.43 3.19 82 6.23 46 16.33 14.31 12.97 11.53 10.63 11.21 83 12.95 50 16.13 15.12 14.38 13.05 10.32 13.07 73 13.51 59 14.44 12.15 11.22 10.51 9.04 10.79 61 10.83 61 18.00 14.17 13.65 13.05 8.76 13.74 41 12.93 75 19.90 17.47 16.67 15.80 14.05 17.88 17 16.64 52 11.27 9.45 8.85 8.16 6.11 8.76 52 7.44 81 10.84 10.14 8.67 8.19 7.53 10.05 25 7.83 85 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% r 1 r 1 r 1 r 1 r 1 r1 r1 r1 r 1 r 1 r 1 89 City of Clearwater Employees Pension Fund Midcap Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 20.76 13.81 8.36 4.00 2.22 -0.63 99 7.33 54 9.77 1.51 -1.14 -2.61 -6.44 3.38 13 -0.20 39 13.79 10.51 8.91 6.10 3.17 6.96 67 11.91 14 43.46 39.53 37.97 34.40 30.88 39.21 28 35.76 67 22.65 20.16 17.14 15.78 10.47 20.82 18 15.80 73 9.45 2.60 -0.41 -4.56 -9.81 0.07 43 -1.66 63 38.12 31.63 27.77 26.45 19.71 33.15 12 26.39 75 51.99 44.53 41.56 38.11 30.82 51.38 5 46.30 14 -32.14 -35.11 -38.94 -40.25 -44.66 -42.87 85 -44.32 91 25.75 22.03 12.92 5.77 1.06 22.31 22 11.41 53 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% r 1 r1 r 1 r1 r 1 r1 r 1 r 1 r1 r 1 90 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Midcap Growth Portfolios High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 8.77 6.23 5.25 3.21 2.52 3.19 75 6.23 25 10.75 9.25 7.07 6.16 4.89 6.73 62 8.90 28 12.03 11.00 8.73 7.88 7.00 10.09 36 10.52 32 11.91 10.55 9.27 8.10 6.76 10.08 33 11.00 20 17.25 15.40 14.08 13.01 11.12 15.47 24 14.88 30 2% 4% 6% 8% 10% 12% 14% 16% 18% r 1 r 1 r 1 r 1 r 1 Artisan Partners Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 5.7 -1.8 0.5 0.0 -2.2 0.6 6.2 -1.8 0.7 -4.1 -1.1 0.0 -1.2 3.1 1.0 0.7 -6.1 1.9 1.2 -4.4 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap G 91 City of Clearwater Employees Pension Fund Risk Measure Summary Artisan Partners Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 2 2 -0.09 0.50 -5.53 5.84 -0.63 -0.63 11.12 1.94 -3.46 0.57 -0.09 -0.49 8.06 -0.92 0 4 0.46 4.59 7.33 7.33 3.86 1.82 4 8 0.57 0.72 0.58 -7.04 5.86 -6.20 10.26 8.99 0.91 -0.57 0.61 0.34 3.36 5.67 -0.52 3 9 -7.99 5.84 -4.75 15.56 7.69 0.79 5 15 0.96 0.94 0.60 -7.34 21.06 -6.20 39.21 14.05 1.18 -0.62 0.81 0.92 10.94 6.45 -0.04 4 16 -7.99 14.52 -4.75 35.76 10.64 1.26 18 43 0.98 0.89 0.48 -27.54 26.70 -42.87 58.59 19.45 0.94 0.42 0.92 0.49 10.08 5.50 0.17 18 43 -27.36 27.06 -44.32 62.98 19.87 0.41 92 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Midcap Growth Portfolios Annualized Rate of Return6.0 6.7 7.4 8.1 8.8 9.5 10.2 10.9 11.6 12.3 13.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 r 1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank r Artisan Partners 1 R Mid Cap G Median 3.19 82 8.99 37 6.23 46 7.69 9 5.96 9.67 Annualized Rate of Return7.0 7.9 8.8 9.7 10.6 11.5 12.4 13.3 14.2 15.1 16.0 10.0 10.9 11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0 18.9 r1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank r Artisan Partners 1 R Mid Cap G Median 13.07 73 14.05 90 13.51 59 10.64 33 14.38 11.43 93 City of Clearwater Employees Pension Fund Equity Summary Statistics Artisan Partners Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap G 59 34,862,004 17,480,627 12,905,607 0.54 29.09 26.95 1.04 4.48 58.02 13.29 468 13,414,066 6,933,896 1.15 29.15 22.96 1.02 4.82 57.59 11.31 Ten Largest Holdings Ihs Markit Ltd Lkq Corp Boston Scientific Co Global Pmts Inc S&P Global Inc Regeneron Pharmaceut Waste Connections In Fortune Brands Home Cigna Corp Concho Res Inc Market Value % of Portfolio Quarterly Ret 1,748,192 1,556,009 1,526,516 1,322,885 1,302,632 1,062,358 983,475 967,091 917,723 883,249 5.02 4.46 4.38 3.80 3.74 3.05 2.82 2.77 2.63 2.53 -5.70 -13.56 -9.12 -9.56 -14.77 -8.69 5.46 -7.73 2.36 -3.46 Ten Best Performers Nvidia Corp Svb Finl Group Hd Supply Hldgs Inc Northern Tr Corp Td Ameritrade Hldg C Cbs Corp Gartner Group Inc Ne Advance Auto Parts Tractor Supply Co Harris Corp Del Quarterly Ret 56.01 55.29 32.93 31.58 24.39 16.55 14.27 13.45 12.96 12.42 Ten Worst Performers Dexcom Inc Workday Inc Nielsen Hldgs Plc Atlassian Corp Plc Activision Blizzard Guidewire Software I Athenahealth Inc Newell Rubbermaid In S&P Global Inc Ctrip Com Intl Ltd Quarterly Ret -31.90 -27.92 -21.12 -19.65 -18.49 -17.76 -16.61 -14.87 -14.77 -14.11 94 City of Clearwater Employees Pension Fund Equity Contribution to Return Artisan Partners Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap G 59 34,862,004 17,480,627 12,905,607 0.54 29.09 26.95 1.04 4.48 58.02 13.29 468 13,414,066 6,933,896 1.15 29.15 22.96 1.02 4.82 57.59 11.31 Ten Best Contributors Svb Finl Group Nvidia Corp Hd Supply Hldgs Inc Northern Tr Corp Td Ameritrade Hldg C Cbs Corp Advance Auto Parts Gartner Group Inc Ne Waste Connections In Harris Corp Del Market Value % of Portfolio Quarterly Ret 728,868 612,047 585,830 476,061 382,459 561,574 549,809 485,641 983,475 401,887 2.09 1.76 1.68 1.37 1.10 1.61 1.58 1.39 2.82 1.15 55.29 56.01 32.93 31.58 24.39 16.55 13.45 14.27 5.46 12.42 Ten Worst Contributors Lkq Corp Dexcom Inc S&P Global Inc Boston Scientific Co Global Pmts Inc Workday Inc Ihs Markit Ltd Guidewire Software I Regeneron Pharmaceut Activision Blizzard Market Value % of Portfolio Quarterly Ret 1,556,009 615,626 1,302,632 1,526,516 1,322,885 356,886 1,748,192 530,002 1,062,358 478,782 4.46 1.77 3.74 4.38 3.80 1.02 5.02 1.52 3.05 1.37 -13.56 -31.90 -14.77 -9.12 -9.56 -27.92 -5.70 -17.76 -8.69 -18.49 95 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Artisan Partners Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 3.28 1.61 20.74 18.81 2.89 22.40 6.63 22.89 0.74 0.00 100.00 1.45 5.05 13.89 23.44 7.35 16.24 4.91 22.24 0.49 0.14 100.00 -1.65 0.83 -1.25 -4.59 -4.48 -9.98 0.26 -3.87 21.52 -4.24 -1.74 2.29 4.58 1.40 -1.41 -8.63 9.98 2.47 -1.40 0.00 0.58 0.00 -0.02 -1.21 -1.13 -0.09 -0.30 -0.64 -1.45 0.17 0.00 -4.67 -0.04 -0.06 0.27 -0.04 0.09 -0.57 0.16 0.01 -0.00 0.00 -0.17 -0.04 -0.08 -0.94 -1.16 -0.00 -0.87 -0.48 -1.44 0.16 0.00 -4.85 Index - R Mid Cap G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.24% [ Actual Return -3.99% ] - [ Buy Hold Return -4.24% ] 96 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Artisan Partners Quarter Ending 12/16 % Allocation Energy 3.28 1.45 Materials 1.61 5.05 Industrials 20.74 13.89 Con. Discretionary 18.81 23.44 Consumer Staples 2.89 7.35 Health Care 22.40 16.24 Financials 6.63 4.91 Infomation Tech. 22.89 22.24 Telecom. Services 0.74 0.49 Utilities 0.00 0.14 Artisan Partners R Mid Cap G % Return -1.65 -1.74 0.83 2.29 -1.25 4.58 -4.59 1.40 -4.48 -1.41 -9.98 -8.63 0.26 9.98 -3.87 2.47 21.52 -1.40 % Variance -0.04 -0.08 -0.94 -1.16 -0.00 -0.87 -0.48 -1.44 0.16 0.00 97 City of Clearwater Employees Pension Fund Wedge Capital Mgmt as of 12/31/16 Eqt Corp Zimmer Hldgs Inc Great Plains Energy Transdigm Group Inc Wyndham Worldwide Co Universal Health Svc Ally Finl Inc Mednax Inc Cit Group Inc Murphy Oil Corp GICS Sector % Port Energy Health Care Utilities Industrials Consumer Discretionary Health Care Financials Health Care Financials Energy 3.73 3.54 3.51 3.48 3.44 3.33 3.26 3.25 3.20 3.16 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 11.45 9.41 9.86 13.32 0.00 10.12 29.70 7.47 0.00 8.67 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/28/07 Wedge Capital Mgmt R Mid Cap V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/28/07 Wedge Capital Mgmt R Mid Cap V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 4.74 5.52 37,445 60 1,773 39,278 14.46 20.00 50,126 -16,727 5,879 39,278 14.46 20.00 50,126 -16,727 5,879 39,278 8.94 9.45 53,544 -26,732 12,466 39,278 16.53 15.70 36,401 -32,736 35,613 39,278 8.92 7.32 30,365 -36,737 45,650 39,278 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 98 City of Clearwater Employees Pension Fund Wedge Capital Mgmt as of 12/31/16 Cash & Equiv $1,861 4.74% Domestic Equity $37,418 95.26% Periods from 2/07 to 12/16 Alpha Beta R-Squared 0.40 0.99 0.96 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 w 1 T Annualized Standard Deviation% w Wedge Capital Mgmt 1 R Mid Cap V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 8.92 7.32 0.73 18.42 18.33 0.44 0.44 0.36 0.00 0.36 Asset Allocation ($000) Risk/Return Analysis 99 City of Clearwater Employees Pension Fund Midcap Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years 12.43 9.88 9.34 4.91 3.92 4.74 87 5.52 71 32.10 31.00 22.19 16.92 13.50 14.46 83 20.00 57 13.02 12.49 7.26 4.12 -7.57 3.88 79 6.89 62 11.64 11.26 8.85 7.05 -4.45 8.94 45 9.45 37 16.91 15.34 13.60 13.11 5.86 14.93 34 15.01 33 18.50 17.79 14.51 12.95 7.10 16.53 33 15.70 35 13.83 13.71 10.93 10.48 7.85 13.53 27 12.66 44 16.52 14.72 13.60 11.78 11.32 14.88 24 14.31 35 17.60 16.63 10.12 8.63 -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% w1 w 1 w 1 w1 w1 w1 w1 w1 w1 w1 100 City of Clearwater Employees Pension Fund Midcap Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 32.10 31.00 22.19 16.92 13.50 14.46 83 20.00 57 2.87 -2.28 -3.22 -11.29 -31.45 -5.72 64 -4.78 64 13.17 12.03 9.00 7.88 6.27 19.82 1 14.74 1 46.27 44.14 34.05 31.22 26.69 34.92 46 33.45 58 32.17 18.21 16.03 12.41 11.55 23.16 12 18.48 25 8.95 6.35 -1.12 -5.17 -7.49 -0.33 45 -1.38 52 34.93 28.13 19.86 19.43 16.95 23.30 40 24.76 37 61.66 57.20 38.68 29.76 22.89 38.51 51 34.20 56 -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% w 1 w 1 w 1 w 1 w 1 w 1 w 1 w 1 101 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Midcap Value Portfolios High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 8.94 9.45 12.10 11.35 10.03 5.24 4.50 10.28 33 10.49 29 12.95 11.41 10.17 7.41 4.57 11.04 41 10.99 41 12.26 10.12 9.49 7.65 4.53 9.86 29 9.88 29 15.32 13.19 12.98 12.16 6.92 15.08 7 13.40 21 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% w 1 w 1 w 1 w 1 w 1 Wedge Capital Mgmt Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 2.0 1.5 -0.2 0.5 2.0 -1.7 0.7 0.1 -1.5 -1.1 2.7 4.3 0.4 0.3 -0.1 -1.6 -2.5 -1.5 0.0 -0.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap V 102 City of Clearwater Employees Pension Fund Risk Measure Summary Wedge Capital Mgmt Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.72 0.25 1.34 4.74 14.46 14.46 3.10 0.80 -0.29 0.77 4.55 17.75 2.23 -2.17 0 4 3.92 5.52 20.00 20.00 1.34 14.65 3 9 0.89 0.79 0.42 -8.10 10.66 -7.12 19.82 8.93 0.92 0.06 0.81 0.99 9.53 4.01 -0.13 3 9 -8.04 6.05 -4.78 20.00 8.69 1.07 5 15 0.99 0.75 0.55 -8.10 16.49 -7.12 34.92 11.11 1.05 0.04 0.90 1.48 15.70 3.55 0.22 4 16 -8.04 14.21 -4.78 33.45 10.09 1.54 14 25 1.01 0.91 0.62 -26.40 25.65 -39.75 73.15 20.19 0.99 0.40 0.96 0.40 8.26 4.07 0.36 13 26 -27.19 23.62 -42.51 72.41 20.01 0.33 103 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Midcap Value Portfolios Annualized Rate of Return7.0 7.9 8.8 9.7 10.6 11.5 12.4 13.3 14.2 15.1 16.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 w1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Wedge Capital Mgmt 1 R Mid Cap V Median 8.94 45 8.93 31 9.45 37 8.69 26 8.85 11.42 Annualized Rate of Return0.0 2.4 4.8 7.2 9.6 12.0 14.4 16.8 19.2 21.6 24.0 0.0 2.8 5.6 8.4 11.2 14.0 16.8 19.5 22.3 25.1 27.9 w1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Wedge Capital Mgmt 1 R Mid Cap V Median 16.53 33 11.11 52 15.70 35 10.09 40 14.51 10.81 104 City of Clearwater Employees Pension Fund Equity Summary Statistics Wedge Capital Mgmt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap V 45 37,417,783 10,027,535 7,971,103 2.05 29.67 20.09 1.09 2.13 75.67 3.70 568 13,045,942 6,274,182 2.19 33.61 19.04 1.02 1.67 72.64 5.70 Ten Largest Holdings Eqt Corp Zimmer Hldgs Inc Great Plains Energy Transdigm Group Inc Wyndham Worldwide Co Universal Health Svc Ally Finl Inc Mednax Inc Cit Group Inc Murphy Oil Corp Market Value % of Portfolio Quarterly Ret 1,393,020 1,320,960 1,310,065 1,300,816 1,283,016 1,244,646 1,217,280 1,213,212 1,195,040 1,180,979 3.73 3.54 3.51 3.48 3.44 3.33 3.26 3.25 3.20 3.16 -9.90 -20.44 1.25 -5.95 14.19 -13.60 -1.89 0.62 18.06 3.32 Ten Best Performers TCF Bkg & Svgs Fa Mi M & T Bk Corp Fifth Third Bancorp Steelcase Inc Cullen Frost Bankers Dana Holding Corp Seacor Hldgs Inc Fmc Technologies Inc Csra Inc Cit Group Inc Quarterly Ret 35.67 35.39 32.50 29.73 23.46 22.22 19.82 19.75 18.73 18.06 Ten Worst Performers Zimmer Hldgs Inc Convergys Corp Universal Health Svc Weatherford Intl Plc Eqt Corp D R Horton Inc Epr Pptys Fidelity National Fi Transdigm Group Inc Ashland Global Hldgs Quarterly Ret -20.44 -18.97 -13.60 -11.21 -9.90 -9.19 -7.60 -7.31 -5.95 -5.42 105 City of Clearwater Employees Pension Fund Equity Contribution to Return Wedge Capital Mgmt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap V 45 37,417,783 10,027,535 7,971,103 2.05 29.67 20.09 1.09 2.13 75.67 3.70 568 13,045,942 6,274,182 2.19 33.61 19.04 1.02 1.67 72.64 5.70 Ten Best Contributors Fifth Third Bancorp M & T Bk Corp Cit Group Inc Cullen Frost Bankers Wyndham Worldwide Co Dana Holding Corp TCF Bkg & Svgs Fa Mi Republic Svcs Inc Keysight Technologie Fmc Technologies Inc Market Value % of Portfolio Quarterly Ret 844,161 610,077 1,195,040 899,946 1,283,016 789,568 372,112 964,145 702,144 532,950 2.26 1.63 3.20 2.41 3.44 2.11 1.00 2.58 1.88 1.43 32.50 35.39 18.06 23.46 14.19 22.22 35.67 13.72 15.40 19.75 Ten Worst Contributors Zimmer Hldgs Inc Universal Health Svc Eqt Corp Weatherford Intl Plc Transdigm Group Inc Fidelity National Fi D R Horton Inc Convergys Corp Ashland Global Hldgs Epr Pptys Market Value % of Portfolio Quarterly Ret 1,320,960 1,244,646 1,393,020 839,817 1,300,816 981,444 767,973 311,077 1,060,113 753,585 3.54 3.33 3.73 2.25 3.48 2.63 2.06 0.83 2.84 2.02 -20.44 -13.60 -9.90 -11.21 -5.95 -7.31 -9.19 -18.97 -5.42 -7.60 106 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Wedge Capital Mgmt Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 10.34 10.40 10.17 13.36 0.00 10.02 29.43 7.89 0.00 8.39 100.00 10.35 5.72 11.08 9.65 3.57 4.75 17.64 8.91 1.41 11.65 100.00 -0.12 1.01 5.79 8.86 -11.46 13.93 6.91 2.45 5.57 7.10 8.79 8.27 2.16 -5.71 -7.17 19.42 6.76 3.61 0.48 5.95 -0.75 -0.81 -0.25 0.89 0.00 -0.43 -1.62 0.01 0.00 0.17 -2.78 -0.00 0.13 -0.02 -0.14 0.42 -0.69 1.59 -0.01 0.03 0.18 1.49 -0.75 -0.68 -0.27 0.75 0.42 -1.12 -0.03 0.00 0.03 0.34 -1.29 Index - R Mid Cap V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.47% [ Actual Return 5.10% ] - [ Buy Hold Return 5.57% ] 107 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Wedge Capital Mgmt Quarter Ending 12/16 % Allocation Energy 10.34 10.35 Materials 10.40 5.72 Industrials 10.17 11.08 Con. Discretionary 13.36 9.65 Consumer Staples 0.00 3.57 Health Care 10.02 4.75 Financials 29.43 17.64 Infomation Tech. 7.89 8.91 Telecom. Services 0.00 1.41 Utilities 8.39 11.65 Wedge Capital Mgmt R Mid Cap V % Return -0.12 7.10 1.01 8.79 5.79 8.27 8.86 2.16 -5.71 -11.46 -7.17 13.93 19.42 6.91 6.76 3.61 2.45 0.48 % Variance -0.75 -0.68 -0.27 0.75 0.42 -1.12 -0.03 0.00 0.03 0.34 108 City of Clearwater Employees Pension Fund Small Cap Equity Comp as of 12/31/16 National Instrs Corp Grand Canyon Ed Inc Dorman Products Inc Exponet Inc Pra Group Inc Sps Comm Inc United Nat Foods Inc Bio Techne Corp Health Care Group In Chemed Corp New GICS Sector % Port Information Technology Consumer Discretionary Consumer Discretionary Industrials Financials Information Technology Consumer Staples Health Care Industrials Health Care 2.31 2.04 1.46 1.43 1.42 1.42 1.38 1.36 1.32 1.28 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.73 2.55 20.03 13.90 4.97 12.74 16.47 26.20 0.00 0.42 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Small Cap Equity Comp R2000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Small Cap Equity Comp R2000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 6.33 8.83 48,246 114 3,052 51,413 18.26 21.31 50,588 -7,546 8,370 51,413 18.26 21.31 50,588 -7,546 8,370 51,413 5.29 6.74 69,898 -25,551 7,066 51,413 14.36 14.46 43,450 -27,557 35,520 51,413 8.12 7.07 64,401 -66,561 53,574 51,413 9.78 9.26 29,988 -66,561 87,986 51,413 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 109 City of Clearwater Employees Pension Fund Small Cap Equity Comp as of 12/31/16 Cash & Equiv $1,491 2.90% Domestic Equity $49,922 97.10% Periods from 8/03 to 12/16 Alpha Beta R-Squared 0.32 0.90 0.95 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 S 1 T Annualized Standard Deviation% S Small Cap Equity Comp 1 R2000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.78 9.26 1.31 17.79 18.77 0.52 0.48 0.42 0.00 0.06 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 110 City of Clearwater Employees Pension Fund Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low S Small Cap Equity Comp Net Ret Rank 1 R2000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 19.52 13.82 11.51 9.53 6.46 6.33 97 8.83 88 36.55 28.26 25.79 23.53 16.93 18.26 91 21.31 84 14.33 11.26 10.10 8.78 2.26 7.82 81 7.68 82 12.69 9.46 8.64 6.96 0.53 5.29 88 6.74 80 20.02 16.57 15.64 13.56 10.32 13.56 75 13.99 72 19.97 16.92 16.01 14.65 11.19 14.36 77 14.46 76 15.92 13.45 12.58 11.70 9.26 12.21 59 11.12 83 18.27 15.51 14.53 13.86 12.39 14.51 50 13.24 81 20.66 17.88 17.08 15.86 14.37 16.72 61 14.90 89 13.59 11.07 10.12 8.92 8.05 8.68 83 8.07 92 11.47 9.75 8.90 7.92 6.81 8.12 67 7.07 85 0% 5% 10% 15% 20% 25% 30% 35% 40% S 1 S 1 S1 S 1 S1 S1 S1 S1 S 1 S1 S1 111 City of Clearwater Employees Pension Fund Small Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low S Small Cap Equity Comp Net Ret Rank 1 R2000 Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 36.55 28.26 25.79 23.53 16.93 18.26 91 21.31 84 1.60 -1.95 -3.68 -6.58 -16.71 -1.70 21 -4.41 60 10.28 8.23 5.42 1.51 -3.67 0.39 83 4.89 60 48.95 42.94 41.34 37.40 32.18 42.51 35 38.82 68 24.20 21.38 17.70 15.00 11.11 17.61 51 16.34 63 3.41 -0.32 -3.11 -5.63 -9.91 2.07 11 -4.17 60 35.59 31.17 29.95 23.59 20.47 29.27 52 26.85 62 48.66 37.58 33.62 27.78 22.82 33.51 55 27.19 76 -22.88 -30.16 -33.71 -36.46 -40.84 -38.63 89 -33.80 55 11.68 2.37 -2.28 -5.44 -10.76 3.27 19 -1.55 43 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% S1 S1 S 1 S1 S1 S 1 S1 S 1 S 1 S 1 112 City of Clearwater Employees Pension Fund Risk Measure Summary Small Cap Equity Comp Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.76 -0.33 0.50 0.51 6.33 18.26 18.26 5.49 0.62 1.15 0.95 3.27 28.90 4.59 -0.64 1 3 -1.52 9.05 21.31 21.31 10.00 2.10 3 9 0.75 0.76 0.42 -8.82 9.12 -5.01 18.26 10.67 0.80 -0.05 0.94 0.48 6.46 3.69 -0.46 3 9 -11.92 9.73 -9.76 21.31 12.99 0.51 4 16 0.90 0.71 0.50 -8.82 11.91 -5.01 42.51 11.37 0.86 0.43 0.94 1.25 16.54 3.31 -0.09 4 16 -11.92 12.44 -9.76 38.82 12.83 1.12 15 38 0.94 0.87 0.58 -25.65 20.74 -38.63 57.55 17.57 0.90 0.32 0.95 0.50 9.75 4.21 0.06 16 37 -26.12 20.68 -37.50 62.77 19.01 0.43 113 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Neutral Portfolios Annualized Rate of Return8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 S 1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank S Small Cap Equity Comp 1 R2000 Median 5.29 88 10.67 7 6.74 80 12.99 67 8.64 12.20 Annualized Rate of Return9.0 9.7 10.4 11.1 11.8 12.5 13.2 13.9 14.6 15.3 16.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 S 1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank S Small Cap Equity Comp 1 R2000 Median 14.36 77 11.37 20 14.46 76 12.83 63 16.01 12.51 114 City of Clearwater Employees Pension Fund Riverbridge Partners as of 12/31/16 Grand Canyon Ed Inc National Instrs Corp Pra Group Inc Sps Comm Inc United Nat Foods Inc Health Care Group In Chemed Corp New Costar Group Inc Proto Labs Inc Ultimate Software Gr GICS Sector % Port Consumer Discretionary Information Technology Financials Information Technology Consumer Staples Industrials Health Care Information Technology Industrials Information Technology 4.46 4.19 3.10 3.10 3.03 2.89 2.81 2.80 2.72 2.67 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 19.05 14.70 5.32 18.87 5.07 36.99 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Riverbridge Partners R2000G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Riverbridge Partners R2000G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.71 3.57 22,953 52 394 23,399 13.29 11.32 20,470 196 2,733 23,399 13.29 11.32 20,470 196 2,733 23,399 3.21 5.05 34,624 -12,806 1,581 23,399 13.20 13.74 20,478 -12,809 15,729 23,399 13.90 13.15 16,876 -12,810 19,332 23,399 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 115 City of Clearwater Employees Pension Fund Riverbridge Partners as of 12/31/16 Cash & Equiv $587 2.51% Domestic Equity $22,811 97.49% Periods from 9/10 to 12/16 Alpha Beta R-Squared 0.75 0.80 0.92 Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 R 1 T Annualized Standard Deviation% R Riverbridge Partners 1 R2000G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 13.90 13.15 0.12 14.85 17.12 0.04 0.93 0.76 0.00 0.00 Asset Allocation ($000) Risk/Return Analysis 116 City of Clearwater Employees Pension Fund Small Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low R Riverbridge Partners Net Ret Rank 1 R2000G Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs 12/16 YTD Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years 11.44 8.00 5.66 2.20 -2.64 1.71 78 3.57 63 20.16 16.75 12.07 9.01 3.79 9.28 74 13.12 47 25.51 19.69 16.30 13.24 7.29 16.60 49 16.79 45 26.84 19.26 15.44 9.00 1.85 13.29 56 11.32 64 26.84 19.26 15.44 9.00 1.85 13.29 56 11.32 64 12.05 8.92 6.70 3.82 -1.82 4.75 64 4.78 64 9.65 8.08 6.23 2.77 -0.86 3.21 71 5.05 63 17.21 15.91 14.23 11.78 8.46 12.07 71 13.53 57 17.81 15.76 14.55 12.45 8.70 13.20 68 13.74 63 14.71 13.55 11.70 10.02 7.40 11.66 50 10.78 66 -5% 0% 5% 10% 15% 20% 25% 30% R 1 R 1 R1 R 1 R 1 R1 R 1 R 1 R1 R1 117 City of Clearwater Employees Pension Fund Small Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low R Riverbridge Partners Net Ret Rank 1 R2000G Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 26.84 19.26 15.44 9.00 1.85 13.29 56 11.32 64 4.97 1.03 -2.00 -4.02 -7.30 -3.15 62 -1.38 40 9.72 7.06 4.88 2.60 -5.11 0.20 82 5.60 38 52.44 45.90 42.19 38.44 31.42 43.50 42 43.29 43 22.18 17.99 15.27 12.53 9.58 17.83 26 14.59 58 10.13 4.27 0.65 -2.95 -9.68 4.27 25 -2.92 74 39.94 31.86 28.42 26.02 22.20 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% R 1 R 1 R 1 R 1 R 1 R 1 118 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Small Growth Portfolios High 1st Qt Median 3rd Qt Low R Riverbridge Partners Net Ret Rank 1 R2000G Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 9.77 8.02 6.86 5.75 2.23 3.21 92 5.05 85 10.51 8.84 7.30 5.53 3.99 5.22 79 6.59 64 12.06 9.89 8.13 7.11 3.82 7.04 76 7.74 60 12.63 10.21 8.47 7.00 4.47 6.43 86 7.91 59 16.09 14.37 13.22 12.08 9.32 11.67 86 14.27 27 2% 4% 6% 8% 10% 12% 14% 16% 18% R 1 R 1 R 1 R 1 R 1 Riverbridge Partners Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% -3.3 7.0 -1.4 0.8 -0.9 1.1 0.3 -0.4 -1.4 -4.0 -0.4 0.7 -4.1 -0.8 5.0 -1.7 1.9 3.3 -1.6 -1.8 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000G 119 City of Clearwater Employees Pension Fund Risk Measure Summary Riverbridge Partners Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 0.99 0.61 0.50 -2.84 7.43 13.29 13.29 9.58 0.77 1.04 0.80 1.35 16.80 5.33 0.29 1 3 -4.68 9.22 11.32 11.32 11.43 0.96 5 7 0.69 0.77 0.33 -8.67 10.78 -7.97 14.22 11.33 0.78 -0.20 0.84 0.27 3.94 5.41 -0.40 3 9 -13.06 10.06 -11.84 12.34 13.27 0.37 5 15 0.82 0.58 0.40 -8.67 13.10 -7.97 43.50 11.80 0.79 0.55 0.84 1.11 16.60 5.57 -0.16 4 16 -13.06 13.27 -11.84 43.29 13.76 0.99 6 19 0.85 0.64 0.40 -15.89 16.39 -7.97 43.50 14.94 0.80 0.75 0.92 0.92 17.27 5.68 0.00 6 19 -22.26 17.11 -11.84 43.29 17.93 0.73 120 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Growth Portfolios 3 Years Ending 12/31/16 Annualized Rate of Return6.0 7.2 8.4 9.6 10.8 12.0 13.2 14.4 15.6 16.8 18.0 -2.0 -0.2 1.5 3.4 5.2 7.0 8.8 10.6 12.4 14.2 16.0 R 1MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank R Riverbridge Partners 1 R2000G Median 3.21 71 11.33 34 5.05 63 13.27 79 6.23 11.86 121 City of Clearwater Employees Pension Fund Equity Summary Statistics Riverbridge Partners Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000G 52 22,811,428 2,566,286 1,894,639 0.50 49.04 32.44 1.11 3.91 14.86 8.72 1,177 2,181,595 883,605 0.81 72.76 18.87 1.17 3.88 44.98 7.63 Ten Largest Holdings Grand Canyon Ed Inc National Instrs Corp Pra Group Inc Sps Comm Inc United Nat Foods Inc Health Care Group In Chemed Corp New Costar Group Inc Proto Labs Inc Ultimate Software Gr Market Value % of Portfolio Quarterly Ret 1,017,848 954,557 707,515 707,077 690,747 659,309 640,036 638,604 620,565 609,231 4.46 4.19 3.10 3.10 3.03 2.89 2.81 2.80 2.72 2.67 44.71 9.28 13.20 -4.80 19.18 -0.55 13.92 -12.95 -14.29 -10.78 Ten Best Performers Grand Canyon Ed Inc Heska Corp Cass Information Sys Financial Engines In Pegasystems Inc Digi Intl Inc Cognex Corp Cheesecake Factory I Cabot Microelectroni United Nat Foods Inc Quarterly Ret 44.71 31.55 30.29 23.93 22.18 20.61 20.51 20.16 19.73 19.18 Ten Worst Performers Diplomat Pharmacy In Novadaq Technologies Paylocity Hldg Corp Stratasys Ltd Inovalon Hldgs Inc Advisory Brd Co 2u Inc Ellie Mae Inc Athenahealth Inc Proto Labs Inc Quarterly Ret -55.02 -38.72 -32.50 -31.34 -29.98 -25.68 -21.26 -20.53 -16.61 -14.29 122 City of Clearwater Employees Pension Fund Equity Contribution to Return Riverbridge Partners Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 2000 Growth 52 22,811,428 2,566,286 1,894,639 0.50 49.04 32.44 1.11 3.91 14.86 8.72 1,177 2,181,595 883,605 0.81 72.76 18.87 1.17 3.88 44.98 7.63 Ten Best Contributors Grand Canyon Ed Inc United Nat Foods Inc Pegasystems Inc Cass Information Sys Financial Engines In Pra Group Inc Chemed Corp New National Instrs Corp Cognex Corp Cheesecake Factory I Market Value % of Portfolio Quarterly Ret 1,017,848 690,747 576,036 396,469 449,416 707,515 640,036 954,557 427,526 385,627 4.46 3.03 2.53 1.74 1.97 3.10 2.81 4.19 1.87 1.69 44.71 19.18 22.18 30.29 23.93 13.20 13.92 9.28 20.51 20.16 Ten Worst Contributors Ellie Mae Inc Paylocity Hldg Corp Advisory Brd Co Athenahealth Inc Proto Labs Inc Costar Group Inc Novadaq Technologies Stratasys Ltd 2u Inc Ultimate Software Gr Market Value % of Portfolio Quarterly Ret 541,661 325,308 393,514 572,440 620,565 638,604 180,604 219,899 322,605 609,231 2.37 1.43 1.73 2.51 2.72 2.80 0.79 0.96 1.41 2.67 -20.53 -32.50 -25.68 -16.61 -14.29 -12.95 -38.72 -31.34 -21.26 -10.78 123 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Riverbridge Partners Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 0.00 0.00 19.71 13.44 4.50 21.89 3.89 36.58 0.00 0.00 100.00 1.24 4.85 15.48 14.64 3.10 23.44 4.84 25.45 0.76 0.78 100.00 -1.36 19.40 10.76 -8.07 17.69 -1.20 1.30 7.15 7.74 11.17 7.71 3.42 -7.27 19.66 1.48 12.45 9.01 3.22 0.00 0.00 -2.47 1.57 0.33 -0.17 -0.08 -0.98 0.00 0.00 -1.80 -0.05 -0.22 0.34 -0.05 0.00 0.16 -0.16 -0.19 -0.07 -0.05 -0.29 -0.05 -0.22 -2.13 1.52 0.33 -0.01 -0.23 -1.17 -0.07 -0.05 -2.09 Index - R2000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.69% [ Actual Return 1.99% ] - [ Buy Hold Return 1.30% ] 124 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Riverbridge Partners Quarter Ending 12/16 % Allocation Energy 0.00 1.24 Materials 0.00 4.85 Industrials 19.71 15.48 Con. Discretionary 13.44 14.64 Consumer Staples 4.50 3.10 Health Care 21.89 23.44 Financials 3.89 4.84 Infomation Tech. 36.58 25.45 Telecom. Services 0.00 0.76 Utilities 0.00 0.78 Riverbridge Partners R2000G % Return 7.15 7.74 -1.36 11.17 19.40 7.71 10.76 3.42 -8.07 -7.27 17.69 19.66 -1.20 1.48 12.45 9.01 % Variance -0.05 -0.22 -2.13 1.52 0.33 -0.01 -0.23 -1.17 -0.07 -0.05 125 City of Clearwater Employees Pension Fund Atlanta Capital Mgmt as of 12/31/16 Manhattan Assocs Inc Morningstar Inc Clarcor Inc Aptargroup Inc Caseys Gen Stores Columbia Sportswear Sally Beauty Hldgs I Choice Hotels Intl I Fair Isaac Corp Blackbaud Inc GICS Sector % Port Information Technology Financials Industrials Materials Consumer Staples Consumer Discretionary Consumer Discretionary Consumer Discretionary Information Technology Information Technology 4.22 2.81 2.59 2.58 2.56 2.55 2.54 2.48 2.46 2.45 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 1.46 4.89 25.60 15.81 7.69 7.86 18.22 18.48 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Atlanta Capital Mgmt Russell 2000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Atlanta Capital Mgmt Russell 2000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 7.00 8.83 14,373 31 1,006 15,409 18.02 21.31 16,621 -3,870 2,658 15,409 18.02 21.31 16,621 -3,870 2,658 15,409 8.64 6.74 17,404 -5,872 3,878 15,409 15.50 14.64 12,688 -7,874 10,596 15,409 12.03 6.06 32,049 -17,875 1,236 15,409 12.65 9.30 14,990 -17,875 18,294 15,409 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 126 City of Clearwater Employees Pension Fund Atlanta Capital Mgmt as of 12/31/16 Cash & Equiv $560 3.64% Domestic Equity $14,849 96.36% Periods from 8/03 to 12/16 Alpha Beta R-Squared 1.28 0.73 0.90 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 t 1 T Annualized Standard Deviation% t Atlanta Capital Mgmt 1 Russell 2000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 12.65 9.30 1.31 15.69 18.73 0.52 0.72 0.43 0.00 0.33 Asset Allocation ($000) Risk/Return Analysis 127 City of Clearwater Employees Pension Fund Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 Russell 2000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 19.52 13.82 11.51 9.53 6.46 7.00 94 8.83 88 36.55 28.26 25.79 23.53 16.93 18.02 92 21.31 84 14.33 11.26 10.10 8.78 2.26 11.30 22 7.68 82 12.69 9.46 8.64 6.96 0.53 8.64 50 6.74 80 20.02 16.57 15.64 13.56 10.32 16.25 35 13.80 72 19.97 16.92 16.01 14.65 11.19 15.50 63 14.64 75 15.92 13.45 12.58 11.70 9.26 14.60 10 11.00 84 18.27 15.51 14.53 13.86 12.39 16.16 10 12.84 91 20.66 17.88 17.08 15.86 14.37 17.44 44 13.78 99 13.59 11.07 10.12 8.92 8.05 12.61 9 7.98 96 11.47 9.75 8.90 7.92 6.81 12.03 1 6.06 100 0% 5% 10% 15% 20% 25% 30% 35% 40% t 1 t 1 t 1 t 1 t 1 t1 t 1 t 1 t 1 t 1 t 1 128 City of Clearwater Employees Pension Fund Small Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 Russell 2000 Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 36.55 28.26 25.79 23.53 16.93 18.02 92 21.31 84 1.60 -1.95 -3.68 -6.58 -16.71 4.97 1 -4.41 60 10.28 8.23 5.42 1.51 -3.67 3.50 69 4.89 60 48.95 42.94 41.34 37.40 32.18 42.43 35 37.88 72 24.20 21.38 17.70 15.00 11.11 12.53 93 18.05 45 3.41 -0.32 -3.11 -5.63 -9.91 10.20 1 -5.50 71 35.59 31.17 29.95 23.59 20.47 25.98 66 24.51 72 48.66 37.58 33.62 27.78 22.82 26.83 76 20.57 95 -22.88 -30.16 -33.71 -36.46 -40.84 -19.52 1 -28.92 12 11.68 2.37 -2.28 -5.44 -10.76 6.91 13 -9.77 88 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% t1 t 1 t1 t 1 t 1 t 1 t1 t 1 t 1 t 1 129 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Small Cap Neutral Portfolios High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 Russell 2000 Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 12.91 10.27 8.77 7.82 6.96 8.64 62 6.74 99 11.25 8.94 7.73 6.52 2.97 9.89 19 6.71 71 11.57 9.63 8.28 7.42 3.56 12.67 1 7.08 78 12.03 9.94 9.13 7.93 4.67 12.83 1 6.84 84 16.00 14.26 12.75 10.70 8.20 15.67 9 11.40 65 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% 17% t 1 t 1 t 1 t 1 t 1 Atlanta Capital Mgmt Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% -2.6 -0.1 -1.4 -0.7 0.2 1.2 0.0 1.8 -2.1 -1.8 2.3 0.3 2.3 1.0 5.2 1.1 5.4 0.1 -6.2 -1.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Russell 2000 130 City of Clearwater Employees Pension Fund Risk Measure Summary Atlanta Capital Mgmt Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.59 -2.53 0.50 2.28 7.00 18.02 18.02 3.96 0.26 2.85 0.24 4.47 67.11 10.03 -0.35 1 3 -1.52 9.05 21.31 21.31 10.00 2.10 3 9 0.81 0.45 0.67 -7.38 10.08 2.12 18.02 10.08 0.68 0.95 0.75 0.84 12.55 6.54 0.20 3 9 -11.92 9.73 -9.76 21.31 12.99 0.51 4 16 0.90 0.53 0.60 -7.38 11.87 2.12 42.43 10.65 0.77 0.96 0.83 1.44 19.85 5.33 0.08 4 16 -11.92 11.63 -9.76 37.88 12.54 1.16 14 39 0.89 0.57 0.62 -16.60 18.00 -24.55 52.53 14.69 0.73 1.28 0.90 0.80 16.04 6.96 0.33 15 38 -24.89 22.70 -38.89 65.05 19.18 0.42 131 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Neutral Portfolios Annualized Rate of Return8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 t 1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank t Atlanta Capital Mgmt 1 Russell 2000 Median 8.64 50 10.08 4 6.74 80 12.99 67 8.64 12.20 Annualized Rate of Return9.0 9.7 10.4 11.1 11.8 12.5 13.2 13.9 14.6 15.3 16.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 t 1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank t Atlanta Capital Mgmt 1 Russell 2000 Median 15.50 63 10.65 2 14.64 75 12.54 53 16.01 12.51 132 City of Clearwater Employees Pension Fund Equity Summary Statistics Atlanta Capital Mgmt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 2000 58 14,848,743 3,098,951 2,841,817 0.97 27.31 26.77 0.94 3.83 39.12 8.06 1,978 2,098,142 794,638 1.35 55.87 18.57 1.15 2.22 51.44 4.88 Ten Largest Holdings Manhattan Assocs Inc Morningstar Inc Clarcor Inc Aptargroup Inc Caseys Gen Stores Columbia Sportswear Sally Beauty Hldgs I Choice Hotels Intl I Fair Isaac Corp Blackbaud Inc Market Value % of Portfolio Quarterly Ret 626,337 416,350 383,733 383,336 379,940 378,017 376,961 368,305 364,456 363,456 4.22 2.81 2.59 2.58 2.56 2.55 2.54 2.48 2.46 2.45 -7.97 -6.94 27.39 -4.69 -0.85 3.06 2.88 24.81 -4.29 -3.35 Ten Best Performers Prosperity Bancshare Cass Information Sys Pinnacle Finl Partne Clarcor Inc Umpqua Hldgs Corp Landstar Sys Inc Iberiabank Corp Choice Hotels Intl I Westamerica Bancorp Navigators Group Inc Quarterly Ret 31.41 30.29 28.50 27.39 25.84 25.45 25.30 24.81 24.68 21.60 Ten Worst Performers Advisory Brd Co Huron Consulting Gro Manhattan Assocs Inc Morningstar Inc Hibbett Sports Inc Monro Muffler Brake Corelogic Inc Bio Techne Corp Aptargroup Inc Wolverine World Wide Quarterly Ret -25.68 -15.24 -7.97 -6.94 -6.52 -6.21 -6.09 -5.80 -4.69 -4.43 133 City of Clearwater Employees Pension Fund Equity Contribution to Return Atlanta Capital Mgmt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 2000 58 14,848,743 3,098,951 2,841,817 0.97 27.31 26.77 0.94 3.83 39.12 8.06 1,978 2,098,142 794,638 1.35 55.87 18.57 1.15 2.22 51.44 4.88 Ten Best Contributors Clarcor Inc Choice Hotels Intl I Prosperity Bancshare Landstar Sys Inc Iberiabank Corp Pinnacle Finl Partne Exponet Inc Cass Information Sys Westamerica Bancorp Umpqua Hldgs Corp Market Value % of Portfolio Quarterly Ret 383,733 368,305 279,870 272,704 270,513 239,917 361,076 202,759 234,729 211,237 2.59 2.48 1.89 1.84 1.82 1.62 2.43 1.37 1.58 1.42 27.39 24.81 31.41 25.45 25.30 28.50 18.45 30.29 24.68 25.84 Ten Worst Contributors Manhattan Assocs Inc Morningstar Inc Huron Consulting Gro Advisory Brd Co Corelogic Inc Aptargroup Inc Fair Isaac Corp Monro Muffler Brake Bio Techne Corp Blackbaud Inc Market Value % of Portfolio Quarterly Ret 626,337 416,350 174,692 98,586 352,942 383,336 364,456 212,212 222,935 363,456 4.22 2.81 1.18 0.66 2.38 2.58 2.46 1.43 1.50 2.45 -7.97 -6.94 -15.24 -25.68 -6.09 -4.69 -4.29 -6.21 -5.80 -3.35 134 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Atlanta Capital Mgmt Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 1.45 5.15 25.18 16.10 7.92 7.89 17.99 18.32 0.00 0.00 100.00 3.25 4.68 14.03 12.60 3.01 14.20 17.43 18.05 0.75 3.80 100.00 7.73 1.82 11.19 6.31 4.21 4.52 14.82 0.34 7.46 17.51 11.38 12.46 7.87 6.40 -6.31 23.41 4.89 9.13 5.23 8.37 -0.14 -0.49 -0.32 -0.25 -0.17 0.85 -1.54 -0.84 0.00 0.00 -2.90 -0.16 0.01 0.46 -0.02 -0.10 0.93 0.09 -0.01 -0.01 0.12 1.31 -0.31 -0.48 0.14 -0.27 -0.27 1.78 -1.46 -0.84 -0.01 0.12 -1.60 Index - Russell 2000 Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.02% [ Actual Return 7.48% ] - [ Buy Hold Return 7.46% ] 135 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Atlanta Capital Mgmt Quarter Ending 12/16 % Allocation Energy 1.45 3.25 Materials 5.15 4.68 Industrials 25.18 14.03 Con. Discretionary 16.10 12.60 Consumer Staples 7.92 3.01 Health Care 7.89 14.20 Financials 17.99 17.43 Infomation Tech. 18.32 18.05 Telecom. Services 0.00 0.75 Utilities 0.00 3.80 Atlanta Capital Mgmt Russell 2000 % Return 7.73 17.51 1.82 11.38 11.19 12.46 6.31 7.87 4.21 6.40 4.52 -6.31 14.82 23.41 0.34 4.89 9.13 5.23 % Variance -0.31 -0.48 0.14 -0.27 -0.27 1.78 -1.46 -0.84 -0.01 0.12 136 City of Clearwater Employees Pension Fund Systematic Financial Mgt as of 12/31/16 First Merchants Corp United Cmnty Bks Bla Kbr Inc Ak Stl Hldg Corp Versum Matls Inc Cathay Bancorp Inc Orbotech Ltd Iberiabank Corp Mack Cali Rlty Corp Carolina Finl Corp N GICS Sector % Port Financials Financials Industrials Materials Information Technology Financials Information Technology Financials Financials Financials 3.06 2.25 2.19 2.13 1.61 1.61 1.57 1.53 1.48 1.42 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 9.35 4.47 15.10 10.09 1.04 7.24 35.58 15.44 0.00 1.71 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Systematic Financial Mgt R2000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Systematic Financial Mgt R2000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 15.14 14.07 10,921 31 1,653 12,605 28.72 31.74 13,498 -3,872 2,979 12,605 28.72 31.74 13,498 -3,872 2,979 12,605 5.48 8.31 17,870 -6,873 1,608 12,605 15.32 15.07 10,284 -6,874 9,195 12,605 7.25 6.26 32,360 -12,875 -6,881 12,605 9.21 9.46 15,001 -12,875 10,478 12,605 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 137 City of Clearwater Employees Pension Fund Systematic Financial Mgt as of 12/31/16 Cash & Equiv $343 2.72% Domestic Equity $12,262 97.28% Periods from 8/03 to 12/16 Alpha Beta R-Squared -0.01 1.05 0.86 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 s1 T Annualized Standard Deviation% s Systematic Financial Mgt 1 R2000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.21 9.46 1.31 20.44 18.67 0.52 0.39 0.44 0.00 0.01 Asset Allocation ($000) Risk/Return Analysis 138 City of Clearwater Employees Pension Fund Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 18.20 13.81 11.90 11.57 9.52 15.14 11 14.07 18 35.83 30.74 27.62 22.14 19.10 28.72 35 31.74 15 14.84 11.48 10.44 5.65 1.64 9.77 59 10.41 50 13.20 10.37 9.92 4.72 3.26 5.48 68 8.31 63 19.78 17.13 16.03 15.53 11.12 13.36 81 14.33 78 20.16 17.06 16.63 15.47 11.64 15.32 79 15.07 83 15.31 13.86 13.54 10.88 9.82 10.67 75 11.35 71 17.36 15.45 15.17 12.39 11.66 13.92 64 13.14 71 20.99 17.27 16.41 14.41 13.18 16.44 46 14.05 79 13.70 10.94 10.42 9.85 7.58 8.03 92 8.21 92 10.83 10.12 9.14 7.64 6.92 7.25 90 6.26 99 0% 5% 10% 15% 20% 25% 30% 35% 40% s1 s 1 s1 s 1 s1 s1 s1 s1 s 1 s1 s1 139 City of Clearwater Employees Pension Fund Small Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 35.83 30.74 27.62 22.14 19.10 28.72 35 31.74 15 0.87 -0.84 -5.13 -11.27 -13.26 -6.39 55 -7.47 59 14.05 9.12 7.44 3.10 0.79 -2.60 99 4.22 67 42.46 40.06 36.97 33.89 28.54 40.72 17 34.50 63 21.66 18.70 16.63 15.32 11.80 23.50 1 18.05 41 2.62 0.57 -1.26 -8.12 -11.18 -9.91 85 -5.50 65 31.41 27.09 25.13 21.15 19.55 35.50 1 24.51 56 55.19 32.60 27.12 24.72 19.53 35.72 15 20.57 92 -22.78 -25.28 -29.56 -31.45 -35.88 -40.71 100 -28.92 48 6.56 3.88 0.40 -7.08 -12.50 0.49 50 -9.77 81 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% s1 s1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 140 City of Clearwater Employees Pension Fund December 31, 2016 Performance Comparison Total Returns of Small Value Portfolios High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank Mar 14 Dec 16 Dec 13 Sep 16 Sep 13 Jun 16 Jun 13 Mar 16 Mar 13 Dec 15 5.48 8.31 11.97 10.28 9.70 8.51 6.81 4.09 100 6.77 95 12.61 10.96 10.00 7.69 7.01 3.86 100 6.35 95 11.99 11.37 9.72 8.45 6.19 5.35 100 5.73 99 16.25 15.66 13.19 11.76 9.87 8.66 99 9.06 95 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% 15% 16% 17% s 1 s 1 s 1 s 1 s 1 Systematic Financial Mgt Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 5.7 -2.4 1.4 0.0 -0.3 2.5 1.1 1.2 2.5 -2.6 -2.4 -4.1 2.6 0.1 -0.1 -1.3 -0.2 -3.5 0.6 0.9 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000V 141 City of Clearwater Employees Pension Fund Risk Measure Summary Systematic Financial Mgt Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.90 0.50 0.61 15.14 28.72 28.72 13.83 1.12 -1.40 0.93 2.05 25.41 4.32 -0.53 0 4 1.70 14.07 31.74 31.74 10.87 2.89 4 8 0.87 1.10 0.42 -10.84 15.14 -9.20 28.72 14.69 1.00 -0.64 0.90 0.36 5.37 4.57 -0.58 3 9 -10.73 14.07 -7.72 31.74 13.98 0.58 5 15 1.07 1.17 0.55 -10.84 18.00 -9.20 40.72 15.07 1.11 -0.28 0.90 1.01 13.71 5.04 0.08 4 16 -10.73 14.07 -7.72 34.50 12.86 1.16 18 35 1.01 1.02 0.55 -27.29 25.37 -40.88 74.73 21.77 1.05 -0.01 0.86 0.38 7.85 8.11 0.01 15 38 -24.89 22.70 -38.89 65.05 19.26 0.43 142 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Small Value Portfolios Annualized Rate of Return9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 s 1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Systematic Financial Mgt 1 R2000V Median 5.48 68 14.69 94 8.31 63 13.98 92 9.92 12.76 Annualized Rate of Return9.5 10.1 10.7 11.3 11.9 12.5 13.1 13.7 14.3 14.9 15.5 8.0 9.8 11.6 13.4 15.2 17.0 18.8 20.5 22.3 24.1 25.9 s1MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Systematic Financial Mgt 1 R2000V Median 15.32 79 15.07 100 15.07 83 12.86 73 16.63 12.54 143 City of Clearwater Employees Pension Fund Equity Summary Statistics Systematic Financial Mgt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 118 12,262,034 2,006,441 1,583,199 1.25 93.31 18.07 1.25 1.64 57.76 1.39 1,369 2,023,011 709,908 1.83 46.09 18.26 1.13 1.61 56.92 2.49 Ten Largest Holdings First Merchants Corp United Cmnty Bks Bla Kbr Inc Ak Stl Hldg Corp Versum Matls Inc Cathay Bancorp Inc Orbotech Ltd Iberiabank Corp Mack Cali Rlty Corp Carolina Finl Corp N Market Value % of Portfolio Quarterly Ret 374,806 275,910 267,708 261,376 197,051 196,615 192,776 187,600 181,520 174,117 3.06 2.25 2.19 2.13 1.61 1.61 1.57 1.53 1.48 1.42 41.36 41.30 10.82 111.39 23.66 24.29 12.83 25.30 7.22 38.00 Ten Best Performers Ak Stl Hldg Corp Pioneer Energy Svcs Resolute Energy Corp Emcore Corp Sodastream Internati Timkensteel Corp Slm Corp Preferred Bk Los Ang Western Refng Inc Connectone Bancorp I Quarterly Ret 111.39 69.55 58.06 52.63 48.61 48.13 47.52 47.25 44.94 44.28 Ten Worst Performers Evolent Health Inc Brightcove Inc Neophotonics Corp Endo Intl Plc Bazaarvoice Inc Urban Outfitters Inc Horizon Pharma Plc Sm Energy Co Ramco-Gershenson Ppt Craft Brewers Allian Quarterly Ret -39.89 -38.31 -33.84 -18.26 -17.94 -17.50 -10.76 -10.52 -10.34 -10.25 144 City of Clearwater Employees Pension Fund Equity Contribution to Return Systematic Financial Mgt Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 118 12,262,034 2,006,441 1,583,199 1.25 93.31 18.07 1.25 1.64 57.76 1.39 1,369 2,023,011 709,908 1.83 46.09 18.26 1.13 1.61 56.92 2.49 Ten Best Contributors Ak Stl Hldg Corp First Merchants Corp United Cmnty Bks Bla Pioneer Energy Svcs Carolina Finl Corp N Williams Clayton Ene Western Refng Inc Slm Corp Hanmi Finl Corp Skywest Inc Market Value % of Portfolio Quarterly Ret 261,376 374,806 275,910 102,887 174,117 163,386 140,991 130,752 172,930 141,608 2.13 3.06 2.25 0.84 1.42 1.33 1.15 1.07 1.41 1.16 111.39 41.36 41.30 69.55 38.00 39.58 44.94 47.52 33.53 38.20 Ten Worst Contributors Evolent Health Inc Brightcove Inc Endo Intl Plc Neophotonics Corp Urban Outfitters Inc Bazaarvoice Inc Jc Penney Co Ramco-Gershenson Ppt Horizon Pharma Plc Craft Brewers Allian Market Value % of Portfolio Quarterly Ret 60,680 55,505 98,820 48,699 82,877 72,459 125,606 82,900 76,208 56,193 0.50 0.45 0.81 0.40 0.68 0.59 1.03 0.68 0.62 0.46 -39.89 -38.31 -18.26 -33.84 -17.50 -17.94 -9.87 -10.34 -10.76 -10.25 145 City of Clearwater Employees Pension Fund Equity Sector Attribution Analysis Systematic Financial Mgt Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 8.81 3.67 15.73 12.65 1.25 9.51 31.38 14.64 0.00 2.37 100.00 5.27 4.51 12.58 10.54 2.92 4.90 30.08 10.61 0.73 6.83 100.00 17.94 49.29 17.31 4.74 7.87 -4.43 25.62 4.82 9.80 15.37 19.97 15.32 14.07 8.09 9.60 -1.80 24.01 13.00 5.67 4.79 13.53 -0.18 1.25 0.51 -0.42 -0.02 -0.25 0.50 -1.20 0.00 0.12 0.31 0.23 -0.02 0.02 -0.11 0.07 -0.71 0.14 -0.02 0.06 0.39 0.04 0.05 1.23 0.53 -0.54 0.04 -0.96 0.64 -1.22 0.06 0.51 0.35 Index - R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect 0.43% [ Actual Return 15.80% ] - [ Buy Hold Return 15.37% ] 146 City of Clearwater Employees Pension Fund Equity Sector Attribution Chart Systematic Financial Mgt Quarter Ending 12/16 % Allocation Energy 8.81 5.27 Materials 3.67 4.51 Industrials 15.73 12.58 Con. Discretionary 12.65 10.54 Consumer Staples 1.25 2.92 Health Care 9.51 4.90 Financials 31.38 30.08 Infomation Tech. 14.64 10.61 Telecom. Services 0.00 0.73 Utilities 2.37 6.83 Systematic Financial Mgt R2000V % Return 17.94 19.97 49.29 15.32 17.31 14.07 4.74 8.09 7.87 9.60 -4.43 -1.80 25.62 24.01 4.82 13.00 5.67 9.80 4.79 % Variance 0.05 1.23 0.53 -0.54 0.04 -0.96 0.64 -1.22 0.06 0.51 147 148 City of Clearwater Employees Pension Fund International EQ Comp as of 12/31/16 Chubb Limited Taiwan Semiconductor Csl Ltd Nestle S A Reckitt Benckiser Pl Canadian Pac Railway Accenture Plc Irelan Experian Plc Core Laboratories N Tencent Hldgs Ltd GICS Sector % Port Financials Information Technology Health Care Consumer Staples Consumer Staples Industrials Information Technology Industrials Energy Information Technology 2.52 2.42 2.25 2.24 2.23 2.20 2.15 2.12 1.93 1.82 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 3.20 5.57 15.49 16.84 12.80 11.89 17.71 11.96 2.09 2.45 -5.0 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/01 International EQ Comp MSCI ACWI ex US (Net) Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/01 International EQ Comp MSCI ACWI ex US (Net) Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -3.88 -1.25 171,809 240 -6,666 165,383 2.78 4.50 117,155 45,146 3,082 165,383 2.78 4.50 117,155 45,146 3,082 165,383 -4.37 -1.51 119,913 60,266 -14,797 165,383 2.54 6.79 92,549 60,208 12,626 165,383 0.40 1.11 67,126 50,526 47,731 165,383 3.92 4.62 20,000 50,526 94,857 165,383 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 149 City of Clearwater Employees Pension Fund International EQ Comp as of 12/31/16 Cash & Equiv $5,950 3.60% Intl Equity $159,433 96.40% Periods from 5/01 to 12/16 Alpha Beta R-Squared -0.16 1.02 0.94 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 I 1 T Annualized Standard Deviation% I International EQ Comp 1 MSCI ACWI ex US (N T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 3.92 4.62 1.42 17.53 17.13 0.50 0.14 0.19 0.00 -0.13 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 150 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low I International EQ Comp Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 4.29 0.03 -1.92 -4.27 -7.04 -3.88 68 -1.25 39 17.09 8.22 4.27 0.69 -4.27 2.78 58 4.50 48 7.80 3.11 0.77 -0.81 -3.91 -3.78 94 0.01 63 7.18 2.15 -0.42 -1.61 -4.12 -4.37 96 -1.51 72 12.29 7.88 4.67 2.50 -2.55 -0.91 88 4.18 57 14.03 10.12 7.42 5.55 1.56 2.54 91 6.79 62 10.22 6.60 4.22 2.29 -1.97 -0.62 90 3.45 63 11.67 7.83 5.37 3.90 0.88 1.89 91 4.12 72 15.64 11.42 9.28 7.74 6.24 7.63 76 7.30 81 7.26 3.49 1.57 0.30 -1.58 -0.72 91 0.00 81 7.05 4.47 2.91 1.64 0.28 0.40 94 1.11 86 -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% I 1 I 1 I 1 I 1 I 1 I 1 I 1 I 1 I1 I1 I1 151 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low I International EQ Comp Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 17.09 8.22 4.27 0.69 -4.27 2.78 58 4.50 48 10.68 2.29 -1.36 -6.23 -16.58 -9.91 82 -4.29 66 10.58 1.55 -2.50 -4.91 -9.32 -5.56 79 -4.48 70 34.07 25.99 19.74 12.10 -5.02 10.23 76 23.29 34 26.62 21.19 18.55 15.66 6.76 17.61 59 17.90 55 0.67 -8.68 -12.40 -15.59 -22.18 -15.04 71 -11.73 43 26.86 18.67 13.24 9.00 3.29 18.37 25 8.21 78 78.78 45.72 35.69 27.64 12.41 57.93 14 32.46 60 -24.03 -39.35 -43.25 -47.83 -56.00 -47.94 75 -43.06 47 41.45 18.96 12.51 8.17 0.32 11.02 60 11.63 54 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% I1 I 1 I1 I 1 I1 I1 I 1 I 1 I1 I1 152 City of Clearwater Employees Pension Fund Risk Measure Summary International EQ Comp Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 2 2 0.82 1.20 0.50 -3.88 5.65 2.78 2.78 7.90 0.89 -0.30 0.77 0.31 2.75 3.87 -0.44 3 1 -1.25 6.91 4.50 4.50 7.70 0.54 5 7 0.73 1.13 0.42 -12.78 5.65 -18.63 9.65 10.63 0.94 -0.74 0.85 -0.42 -4.78 4.07 -0.72 6 6 -12.17 6.91 -10.57 9.26 10.42 -0.16 7 13 0.80 1.23 0.35 -12.78 11.27 -18.63 20.73 12.14 0.95 -0.94 0.90 0.20 2.54 3.90 -1.05 8 12 -12.17 11.61 -10.57 24.29 12.04 0.55 22 40 0.98 1.03 0.45 -26.42 31.05 -47.94 71.81 20.48 1.02 -0.16 0.94 0.13 2.69 4.88 -0.13 23 39 -20.50 25.85 -46.20 58.14 19.45 0.18 153 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of International Equity Portfolios Annualized Rate of Return3.0 4.4 5.8 7.2 8.6 10.0 11.4 12.8 14.2 15.6 17.0 -10.0 -8.2 -6.3 -4.5 -2.7 -0.9 0.8 2.6 4.4 6.2 8.0 I 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank I International EQ Comp 1 MSCI ACWI ex US (Net) Median -4.37 96 10.63 60 -1.51 72 10.42 56 -0.42 10.23 Annualized Rate of Return6.0 7.3 8.6 9.9 11.2 12.5 13.8 15.1 16.4 17.7 19.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 I 1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank I International EQ Comp 1 MSCI ACWI ex US (Net) Median 2.54 91 12.14 53 6.79 62 12.04 51 7.42 12.07 154 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low 1 MSCI EAFE Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years 4.29 0.03 -1.92 -4.27 -7.04 -0.68 32 17.09 8.22 4.27 0.69 -4.27 1.51 68 7.80 3.11 0.77 -0.81 -3.91 0.56 53 7.18 2.15 -0.42 -1.61 -4.12 -1.15 63 12.29 7.88 4.67 2.50 -2.55 4.46 52 14.03 10.12 7.42 5.55 1.56 7.02 56 10.22 6.60 4.22 2.29 -1.97 3.64 57 11.67 7.83 5.37 3.90 0.88 4.28 67 15.64 11.42 9.28 7.74 6.24 7.44 78 -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 1 1 1 1 1 1 1 1 1 155 City of Clearwater Employees Pension Fund WCM Investment Management as of 12/31/16 Chubb Limited Taiwan Semiconductor Csl Ltd Nestle S A Reckitt Benckiser Pl Canadian Pac Railway Accenture Plc Irelan Experian Plc Core Laboratories N Tencent Hldgs Ltd GICS Sector % Port Financials Information Technology Health Care Consumer Staples Consumer Staples Industrials Information Technology Industrials Energy Information Technology 5.18 4.98 4.62 4.60 4.58 4.51 4.41 4.35 3.97 3.75 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 3.97 5.36 15.29 18.81 15.21 14.78 10.97 15.61 0.00 0.00 -8.0 -7.0 -6.0 -5.0 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 WCM Investment Management MSCI ACWI ex US (Net) Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 WCM Investment Management MSCI ACWI ex US (Net) Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -7.51 -1.25 70,831 123 -5,317 65,638 -1.00 4.50 38,270 29,326 -1,958 65,638 -1.00 4.50 38,270 29,326 -1,958 65,638 -2.30 -3.54 16,316 51,320 -1,997 65,638 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 156 City of Clearwater Employees Pension Fund WCM Investment Management as of 12/31/16 Cash & Equiv $3,527 5.37% Intl Equity $62,112 94.63% Periods from 6/15 to 12/16 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 w 1 T Annualized Standard Deviation% w WCM Investment Managemen 1 MSCI ACWI ex US (N T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -2.30 -3.54 0.26 13.09 15.21 0.06 -0.20 -0.25 0.00 0.14 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 157 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low w WCM Investment Management Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank Last Qtr Last Year 4.29 0.03 -1.92 -4.27 -7.04 -7.51 95 -1.25 39 17.09 8.22 4.27 0.69 -4.27 -1.00 84 4.50 48 -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% w 1 w 1 158 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w WCM Investment Management Net Ret Rank 1 MSCI ACWI ex US (Net) Net Ret Rank 2016 17.09 8.22 4.27 0.69 -4.27 -1.00 84 4.50 48 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% w 1 159 City of Clearwater Employees Pension Fund Global Equity Summary Statistics WCM Investment Management Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Five Year Dividend Growth Portfolio MSCI ACWI ex US (Net) 31 62,111,703 54,361,846 25,999,446 1.54 22.92 28.17 0.00 4.93 49.04 11.15 10.84 1,853 49,316,651 6,625,810 3.06 18.97 17.05 1.00 1.65 81.00 6.85 8.65 Ten Largest Holdings Chubb Limited Taiwan Semiconductor Csl Ltd Nestle S A Reckitt Benckiser Pl Canadian Pac Railway Accenture Plc Irelan Experian Plc Core Laboratories N Tencent Hldgs Ltd Market Value % of Portfolio Quarterly Ret 3,215,537 3,088,699 2,867,978 2,855,395 2,839,620 2,797,435 2,738,265 2,701,199 2,462,861 2,324,079 5.18 4.98 4.62 4.60 4.58 4.51 4.41 4.35 3.97 3.75 5.70 -6.02 -12.30 -9.21 -12.36 -6.25 -3.13 -2.77 7.37 -13.11 Ten Best Performers Lazard Ltd Lvmh Moet Hennessy L Luxottica Group S P Core Laboratories N Chubb Limited Hermes Intl Sca Experian Plc Icon Plc Accenture Plc Irelan Compass Group Plc Quarterly Ret 14.14 12.55 12.30 7.37 5.70 0.97 -2.77 -2.80 -3.13 -3.76 Ten Worst Performers Novozymes A/S Sysmex Corp Ambev Sa Wal Mart De Mexico S Hdfc Bank Ltd Ctrip Com Intl Ltd Tencent Hldgs Ltd Coloplast A/S Reckitt Benckiser Pl Essilor Intl S A Quarterly Ret -22.20 -21.47 -17.71 -16.79 -15.59 -14.11 -13.11 -12.48 -12.36 -12.30 160 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis WCM Investment Management Quarter Ending 12/16 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Australia Austria Belgium Bermuda Brazil Canada Cayman Islands Channel Islands Chile China Colombia Czech Republic Denmark Egypt Finland France Germany Greece Hong Kong Hungary India Indonesia Ireland Isle of Man Israel Italy Japan Jordan Luxembourg Malaysia 5.29 0.13 0.96 0.11 1.71 6.72 0.60 0.19 0.26 4.53 0.11 0.03 1.23 0.04 0.70 6.39 6.32 0.07 2.68 0.06 1.97 0.63 0.38 0.03 0.46 1.21 16.73 0.02 0.11 0.62 5.29 0.13 0.96 0.11 1.71 6.72 0.60 0.19 0.26 4.53 0.11 0.03 1.23 0.04 0.70 6.39 6.32 0.07 2.68 0.06 1.97 0.63 0.38 0.03 0.46 1.21 16.73 0.02 0.11 0.62 7.29 13.48 1.11 -3.63 2.52 5.40 -5.68 30.73 4.14 -4.99 1.87 3.98 -2.96 56.51 1.86 9.90 8.18 22.97 -8.55 16.36 -6.03 -4.48 4.52 4.46 -10.53 17.07 15.09 -6.19 -4.43 -0.62 1.81 6.51 -5.10 -6.88 2.33 3.30 -7.42 24.36 2.45 -5.43 -2.27 -2.40 -8.79 -23.34 -4.40 3.15 1.54 15.41 -8.52 9.28 -7.82 -7.47 -2.05 9.90 -10.58 9.88 -0.08 -10.77 1.54 -8.39 4.80 0.00 0.00 0.00 2.14 4.40 8.38 4.11 0.00 0.00 0.00 0.00 13.03 0.00 0.00 7.91 2.35 0.00 0.00 0.00 3.43 0.00 5.41 0.00 0.00 0.00 2.06 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -12.30 -17.71 -6.25 -13.50 -2.77 -14.96 -0.12 -9.61 -15.59 -3.00 -21.47 -12.30 -17.71 -6.25 -13.50 -2.77 -14.96 -0.12 -9.61 -15.59 -3.00 -21.47 -0.01 -0.01 0.04 0.01 -0.01 -0.01 -0.85 1.00 0.00 0.46 0.00 0.00 -0.96 -0.02 0.02 0.07 -0.12 -0.01 0.37 -0.01 -0.16 0.06 -0.03 0.00 0.07 -0.14 -1.45 0.00 0.01 0.04 -0.04 0.00 -0.00 -0.00 -0.10 -0.28 -0.03 0.00 -0.01 -0.26 -0.00 0.00 -0.01 0.03 0.00 0.03 0.03 0.00 -0.17 0.00 -0.09 -0.02 0.00 -0.00 -0.03 0.01 1.49 -0.00 -0.01 0.01 -0.94 -0.43 -0.51 -0.66 -1.38 -1.56 -0.79 -0.42 -0.33 -0.41 -0.75 -0.99 -0.01 0.04 0.01 -0.55 -0.80 -1.53 -0.38 -0.01 0.20 0.00 0.00 -2.53 0.01 0.02 -0.69 -0.51 -0.01 0.20 -0.01 -0.58 0.04 -0.44 -0.00 0.04 -0.13 -0.71 0.00 -0.00 0.05 Benchmark : MSCI ACWI ex US (Net) 161 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis WCM Investment Management Quarter Ending 12/16 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Mexico Netherlands New Zealand Norway Papua-New Guinea Peru Philippines Poland Portugal Qatar Russia Scotland Singapore South Africa South Korea Spain Sweden Switzerland Taiwan Thailand Turkey United Arab Emirates United Kingdom United States Zambia 0.88 2.61 0.13 0.45 0.04 0.07 0.31 0.25 0.11 0.20 0.80 0.03 0.91 2.11 3.44 2.14 1.96 6.33 2.81 0.51 0.26 0.20 12.23 0.88 0.03 100.00 0.88 2.61 0.13 0.45 0.04 0.07 0.31 0.25 0.11 0.20 0.80 0.03 0.91 2.11 3.44 2.14 1.96 6.33 2.81 0.51 0.26 0.20 12.23 0.88 0.03 100.00 -1.92 6.11 -7.05 10.51 1.13 -0.78 -10.57 13.52 3.30 0.63 17.02 11.18 1.07 -4.38 3.71 9.02 5.40 0.80 0.67 1.68 1.31 -0.39 3.44 -14.13 22.93 5.18 -8.77 0.05 -10.87 2.61 -4.31 -0.78 -12.76 4.08 -3.05 0.65 19.54 5.75 -4.44 -3.23 -5.43 2.32 -0.60 -3.86 -2.09 -1.62 -13.58 -0.87 -1.60 -14.34 20.47 -1.07 1.54 5.75 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2.61 0.00 0.00 0.00 12.62 4.98 0.00 0.00 0.00 8.07 6.41 0.00 100.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 100.00 0.00 100.00 -16.79 2.55 -11.72 -3.65 -6.02 -8.84 0.11 -7.70 -16.79 2.55 -11.72 -3.65 -6.02 -8.84 0.11 -7.70 -0.05 0.03 0.02 -0.02 0.00 0.00 0.05 -0.02 0.00 0.01 -0.10 -0.00 0.04 -0.05 0.05 -0.08 -0.00 -0.28 -0.10 0.02 0.01 0.01 0.07 -1.07 -0.01 -3.10 0.01 -0.00 -0.00 0.01 -0.00 -0.00 -0.01 0.01 0.00 -0.01 -0.07 -0.00 -0.01 -0.16 0.10 0.01 -0.00 -0.10 -0.10 -0.02 0.02 -0.01 -0.15 5.98 -0.00 6.03 -0.23 -0.20 -0.19 -0.56 -0.33 -0.99 0.91 -9.78 -0.27 -0.18 0.01 -0.02 0.00 -0.00 0.04 -0.01 0.00 -0.00 -0.17 -0.00 0.03 -0.40 0.15 -0.07 -0.01 -0.94 -0.53 0.00 0.03 -0.00 -1.07 5.83 -0.01 -6.84 Benchmark : MSCI ACWI ex US (Net) Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Benchmark Local Return - Benchmark Total Local Return] Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - (Benchmark Total US$ Return - Benchmark Total Local Return) ] Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Benchmark Local Return] 162 City of Clearwater Employees Pension Fund Thompson, Siegel & Walmsley as of 12/31/16 Koninklijke Philips Sanofi Nestle Sa Novartis Ag Teva Pharmaceutical Siemens Ag Hitachi Eni Spa Heineken Holding Gkn GICS Sector % Port Industrials Health Care Consumer Staples Health Care Health Care Industrials Information Technology Energy Consumer Staples Consumer Discretionary 2.07 2.00 1.88 1.87 1.82 1.81 1.81 1.78 1.62 1.62 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.46 5.76 15.67 14.96 10.51 9.15 24.12 8.49 4.08 4.79 -5.5 -5.0 -4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 Thompson, Siegel & Walmsley MSCI EAFE (Net) Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/15 Thompson, Siegel & Walmsley MSCI EAFE (Net) Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -0.98 -0.71 68,283 115 -668 67,730 -0.19 1.00 37,259 29,381 1,090 67,730 -0.19 1.00 37,259 29,381 1,090 67,730 -4.87 -4.99 16,165 51,380 185 67,730 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 163 City of Clearwater Employees Pension Fund Thompson, Siegel & Walmsley as of 12/31/16 Cash & Equiv $2,348 3.47% Intl Equity $65,382 96.53% Periods from 6/15 to 12/16 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 -5.5 -5.0 -4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 t1 T Annualized Standard Deviation% t Thompson, Siegel & Walms 1 MSCI EAFE (Net) T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -4.87 -4.99 0.26 15.22 15.22 0.06 -0.34 -0.35 0.00 -0.50 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 164 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low t Thompson, Siegel & Walmsley Net Ret Rank 1 MSCI EAFE (Net) Net Ret Rank Last Qtr Last Year 4.29 0.03 -1.92 -4.27 -7.04 -0.98 36 -0.71 33 17.09 8.22 4.27 0.69 -4.27 -0.19 80 1.00 73 -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% t 1 t 1 165 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low t Thompson, Siegel & Walmsley Net Ret Rank 1 MSCI EAFE (Net) Net Ret Rank 2016 17.09 8.22 4.27 0.69 -4.27 -0.19 80 1.00 73 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% t 1 166 City of Clearwater Employees Pension Fund Global Equity Summary Statistics Thompson, Siegel & Walmsley Period Ending 12/16 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E - Average Equity Segment P/E - Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Five Year Dividend Growth Portfolio MSCI EAFE (Net) 98 65,381,815 37,586,575 15,405,366 3.19 15.39 17.40 1.00 1.48 75.82 11.01 10.01 929 50,728,755 8,570,711 3.11 19.84 18.72 1.00 1.66 87.85 6.64 8.00 Ten Largest Holdings Koninklijke Philips Sanofi Nestle Sa Novartis Ag Teva Pharmaceutical Siemens Ag Hitachi Eni Spa Heineken Holding Gkn Market Value % of Portfolio Quarterly Ret 1,355,037 1,305,875 1,229,060 1,224,854 1,189,000 1,182,670 1,181,800 1,163,401 1,060,370 1,059,911 2.07 2.00 1.88 1.87 1.82 1.81 1.81 1.78 1.62 1.62 3.18 6.70 -8.98 -7.49 -20.59 5.20 17.10 13.26 -13.03 -1.49 Ten Best Performers Mediobanca Di Credit Barclays Plc Resona Holdings Delta Lloyd Nv Azimut Hldg S.P.A Gam Holding Ag Fmc Technologies Inc Mgm China Hldgs Ltd Hitachi Ubs Group Quarterly Ret 31.07 26.67 23.25 22.10 21.33 21.28 19.75 19.51 17.10 14.99 Ten Worst Performers Ig Group Hldgs Veolia Environnement Square Enix Holdings Teva Pharmaceutical Grupo Televisa Sab Dcc Guangdong Investment Cheung Kong Property National Grid Engie Quarterly Ret -46.04 -25.95 -24.81 -20.59 -18.68 -17.72 -16.03 -15.96 -15.72 -14.32 167 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis Thompson, Siegel & Walmsley Quarter Ending 12/16 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Australia Austria Belgium Bermuda Canada Cayman Islands Channel Islands China Denmark Finland France Germany Hong Kong Ireland Isle of Man Israel Italy Japan Jordan Luxembourg Mexico Netherlands New Zealand Norway Papua-New Guinea Portugal Scotland Singapore South Africa Spain 7.53 0.18 1.37 0.13 0.02 0.31 0.27 0.03 1.76 1.00 9.31 9.00 2.96 0.53 0.03 0.65 1.73 23.81 0.03 0.15 0.04 3.72 0.18 0.65 0.06 0.15 0.04 1.30 0.66 3.04 7.53 0.18 1.37 0.13 0.02 0.31 0.27 0.03 1.76 1.00 9.31 9.00 2.96 0.53 0.03 0.65 1.73 23.81 0.03 0.15 0.04 3.72 0.18 0.65 0.06 0.15 0.04 1.30 0.66 3.04 7.29 13.48 1.11 -7.17 -10.19 30.73 19.34 -2.96 1.86 9.54 8.18 -9.19 4.52 22.55 -10.53 17.07 15.09 -6.19 -4.43 -32.69 6.11 -7.05 10.51 1.13 3.30 11.18 1.07 4.51 9.02 1.81 6.51 -5.10 -7.97 -9.53 24.36 19.38 -8.79 -4.40 2.81 1.54 -9.16 -2.05 15.66 -10.58 9.88 -0.08 -10.77 1.54 -35.97 0.05 -10.87 2.61 -4.31 -3.05 5.75 -4.44 -0.59 2.32 3.73 0.00 1.07 0.21 0.00 1.11 0.00 0.00 1.09 0.00 10.07 10.61 3.67 2.09 0.00 1.81 4.09 26.73 0.00 0.00 0.91 5.66 0.00 0.00 0.00 0.00 0.00 2.12 0.61 1.33 3.73 0.00 1.07 0.00 0.00 0.00 0.00 0.00 1.09 0.00 10.07 10.61 5.96 0.00 0.00 0.00 4.09 26.73 0.00 0.00 0.00 5.66 0.00 0.00 0.00 0.00 0.00 1.38 0.61 1.33 6.48 1.01 11.84 -15.99 -6.98 2.12 9.37 -6.64 4.72 -20.59 19.92 18.45 -18.68 5.79 10.01 -6.74 -1.26 0.76 -5.19 5.55 -15.96 -12.57 -4.15 2.65 -6.60 0.50 -20.59 12.56 2.84 -18.68 -0.71 5.97 -6.22 -7.32 -0.00 -0.01 0.02 -0.01 0.00 -0.14 -0.06 -0.00 0.07 0.05 0.02 0.02 -0.12 -0.04 -0.00 -0.21 0.23 0.23 0.00 0.02 -0.35 -0.02 0.03 -0.02 0.00 0.01 -0.00 -0.05 0.00 -0.03 -0.09 -0.00 -0.00 -0.01 -0.00 -0.03 -0.00 -0.00 -0.01 -0.01 0.01 0.02 0.23 -0.01 -0.00 -0.05 0.01 -0.22 -0.00 -0.02 -0.00 0.03 -0.01 0.00 -0.00 -0.00 -0.00 0.00 -0.00 -0.02 -0.03 -0.00 0.04 -0.06 -0.04 -0.75 0.13 0.09 0.00 -0.18 0.12 0.90 0.13 -0.02 0.19 -0.07 -0.14 -0.12 -0.01 0.01 0.02 -0.00 -0.23 -0.07 -0.01 0.01 0.04 -0.72 0.16 0.21 -0.04 -0.00 -0.44 0.36 0.91 0.00 -0.00 -0.22 -0.01 0.02 -0.02 0.00 0.00 -0.00 0.14 -0.07 -0.19 Benchmark : MSCI EAFE (Net) 168 City of Clearwater Employees Pension Fund Global Performance Attribution Analysis Thompson, Siegel & Walmsley Quarter Ending 12/16 Countries/ Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Sweden Switzerland United Kingdom United States 2.79 9.00 17.40 0.16 100.00 2.79 9.00 17.40 0.16 100.00 5.40 0.80 3.44 -1.89 5.25 -0.60 -3.86 -1.60 -1.89 -2.50 3.21 4.86 14.71 0.33 100.00 3.21 4.86 14.54 5.07 100.00 -0.75 4.34 4.77 19.75 7.72 -6.40 -0.48 -3.56 19.75 -0.71 -0.01 0.27 0.10 -0.01 -0.03 0.01 -0.13 -0.08 0.38 -0.00 -0.20 0.17 0.20 0.07 0.54 -0.20 0.31 0.22 0.44 0.51 Benchmark : MSCI EAFE (Net) Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Benchmark Local Return - Benchmark Total Local Return] Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - (Benchmark Total US$ Return - Benchmark Total Local Return) ] Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Benchmark Local Return] 169 City of Clearwater Employees Pension Fund International Equity Sector Attribution Analysis Thompson, Siegel & Walmsley Quarter Ending 12/16 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 2.30 6.96 15.35 14.58 9.83 9.17 22.77 8.97 4.34 5.72 100.00 4.83 7.50 14.08 12.22 12.82 11.39 19.16 5.54 4.80 3.68 100.00 12.77 1.65 0.02 -3.98 -5.99 -7.09 8.96 -0.96 -6.04 -17.32 -0.71 10.36 3.47 -1.79 1.62 -9.24 -7.69 9.63 -3.02 -6.78 -7.12 -0.26 0.06 -0.13 0.28 -0.82 0.32 0.06 -0.15 0.18 0.03 -0.58 -0.75 -0.27 -0.02 -0.02 0.04 0.27 0.16 0.36 -0.09 0.03 -0.14 0.32 -0.21 -0.15 0.26 -0.77 0.59 0.22 0.20 0.09 0.06 -0.72 -0.43 Index - MSCI EAFE (Net) Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.14% [ Actual Return -0.85% ] - [ Buy Hold Return -0.71% ] 170 City of Clearwater Employees Pension Fund Eaton Vance Mgmt as of 12/31/16 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Eaton Vance Mgmt MSCI Emg Mkts Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Eaton Vance Mgmt MSCI Emg Mkts Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -2.08 -4.08 32,617 2 -679 31,940 12.76 11.60 33,605 -5,998 4,333 31,940 12.76 11.60 33,605 -5,998 4,333 31,940 -3.29 -2.19 38,359 -2,998 -3,421 31,940 1.65 1.64 25,011 4,694 2,234 31,940 -0.79 -0.95 8,277 4,537 19,125 31,940 Portfolio Performance (%) 171 City of Clearwater Employees Pension Fund Eaton Vance Mgmt as of 12/31/16 Cash & Equiv $0 0.00% Intl Equity $31,940 100.00% Periods from 4/08 to 12/16 Alpha Beta R-Squared -0.02 0.97 0.97 Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 -1.0 -0.9 -0.8 -0.7 -0.6 -0.5 -0.4 -0.3 -0.2 -0.0999999 0.0 0.1 0.2 0.3 v 1 T Annualized Standard Deviation% v Eaton Vance Mgmt 1 MSCI Emg Mkts T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -0.79 -0.95 0.24 22.16 23.52 0.15 -0.05 -0.05 0.00 -0.06 Asset Allocation ($000) Risk/Return Analysis 172 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years 1.22 -2.12 -4.16 -5.51 -8.36 -2.08 24 -4.08 46 23.34 13.97 11.19 6.81 -0.79 12.76 36 11.60 46 3.80 -0.11 -1.50 -2.85 -6.23 -2.73 72 -2.37 65 5.59 0.24 -1.43 -2.42 -5.03 -3.29 87 -2.19 68 11.17 0.63 -0.98 -2.27 -3.73 -2.18 74 -2.21 74 13.38 4.55 3.05 1.80 0.18 1.65 79 1.64 79 9.15 0.68 -0.76 -1.95 -3.75 -2.18 80 -1.96 76 11.80 3.79 2.43 1.13 -0.47 1.11 75 0.81 78 16.03 11.28 9.64 8.40 6.50 7.66 90 8.31 78 -10% -5% 0% 5% 10% 15% 20% 25% v 1 v 1 v 1 v 1 v 1 v 1 v 1 v 1 v 1 173 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Emerging Markets Portfolios Years Ending December High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 23.34 13.97 11.19 6.81 -0.79 12.76 36 11.60 46 2.51 -8.74 -13.85 -16.09 -21.31 -16.09 75 -14.60 57 11.90 2.64 -1.19 -3.79 -8.40 -4.41 80 -1.82 57 27.57 5.19 -0.46 -4.14 -7.49 1.22 40 -2.27 59 29.81 23.28 20.05 16.76 9.63 18.55 64 18.62 63 3.53 -12.69 -17.75 -21.53 -25.62 -19.27 66 -18.17 55 29.89 24.10 20.35 17.57 8.50 23.33 29 19.19 61 92.13 81.23 75.54 68.01 26.55 67.01 75 79.02 32 -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% v 1 v 1 v 1 v 1 v 1 v 1 v 1 v 1 174 City of Clearwater Employees Pension Fund December 31, 2016 Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Return Rank 1 MSCI Emg Mkts Return Rank 12/16 9/16 6/16 3/16 12/15 5.59 0.24 -1.43 -2.42 -5.03 -3.29 87 -2.19 68 8.89 2.95 0.73 -0.59 -3.39 -1.79 90 -0.21 70 13.95 2.32 0.15 -1.30 -2.99 -1.73 81 -1.21 73 13.49 -0.50 -3.13 -4.71 -7.08 -4.26 66 -4.15 64 13.63 -1.31 -4.82 -6.91 -9.27 -6.71 68 -6.42 64 -10% -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% v 1 v 1 v 1 v 1 v 1 Eaton Vance Mgmt Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 0.0 1.3 -1.3 -0.1 1.6 1.6 -0.4 0.7 1.3 -0.7 1.1 -4.2 -2.7 0.0 3.1 -2.1 2.2 0.3 -3.5 2.1 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. MSCI Emg Mkts 175 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Emerging Markets Portfolios Annualized Rate of Return6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 -6.0 -5.1 -4.2 -3.2 -2.3 -1.4 -0.5 0.3 1.2 2.1 3.0 v 1MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank v Eaton Vance Mgmt 1 MSCI Emg Mkts Median -3.29 87 12.68 24 -2.19 68 13.90 66 -1.43 13.57 Annualized Rate of Return8.0 9.2 10.4 11.6 12.8 14.0 15.2 16.4 17.6 18.8 20.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 v 1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank v Eaton Vance Mgmt 1 MSCI Emg Mkts Median 1.65 79 13.36 20 1.64 79 14.50 55 3.05 14.37 176 City of Clearwater Employees Pension Fund Fixed Income Comp as of 12/31/16 United States Treas United States Treas United States Treas United States Treas United States Treas United States Treas United States Treas United States Treas FNMA Ci 15 - Tba Jan GNMA Ii Sf 30 - Tba Sector % Port Government Government Government Government Government Government Government Government Mortgage Mortgage 4.87 3.70 3.60 2.80 2.41 2.37 1.65 1.60 1.44 1.38 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 14.69 37.15 11.70 26.18 0.76 4.26 1.32 2.63 1.30 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Fixed Income Comp BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Fixed Income Comp BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -2.09 -2.98 259,156 -4,077 -5,375 249,705 5.01 2.65 235,709 2,568 11,428 249,705 5.01 2.65 235,709 2,568 11,428 249,705 3.80 3.03 209,340 14,526 25,839 249,705 3.41 2.23 200,087 12,318 37,299 249,705 5.08 4.35 210,399 7,904 31,402 249,705 6.34 6.46 59,224 7,904 182,577 249,705 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 177 City of Clearwater Employees Pension Fund Fixed Income Comp as of 12/31/16 Domestic Fixed $255,719 102.41% Other $3 0.00% Domestic Equity $2 0.00% Cash & Equiv $-6,019 -2.41% Periods from 12/87 to 12/16 Alpha Beta R-Squared 0.26 0.62 0.60 Annualized Return% 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 F 1 T Annualized Standard Deviation% F Fixed Income Comp 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 6.34 6.46 3.37 3.16 4.06 1.31 0.94 0.76 0.00 -0.07 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 178 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low F Fixed Income Comp Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 2.31 0.13 -1.93 -2.81 -5.36 -2.09 54 -2.98 79 15.28 6.61 3.15 2.13 0.22 5.01 32 2.65 57 5.69 3.05 1.96 1.47 0.12 2.63 30 1.59 68 7.92 3.97 3.10 2.19 0.53 3.80 28 3.03 52 5.99 3.38 2.05 1.48 -0.33 2.64 33 1.74 63 7.88 4.29 2.76 2.09 0.60 3.41 37 2.23 69 7.41 4.48 3.42 2.74 0.98 3.83 39 3.15 60 8.12 4.98 3.90 3.16 0.93 4.33 37 3.63 60 11.67 6.14 4.56 3.60 0.81 5.30 36 3.91 65 8.13 5.22 4.48 3.70 1.41 4.99 32 4.06 67 7.72 5.39 4.73 4.08 2.09 5.08 37 4.35 68 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% F 1 F 1 F 1 F1 F 1 F 1 F1 F1 F 1 F 1 F1 179 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low F Fixed Income Comp Net Ret Rank 1 BC Agg Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 15.28 6.61 3.15 2.13 0.22 5.01 32 2.65 57 3.87 1.24 0.57 -1.30 -5.27 0.30 57 0.55 50 16.69 6.24 4.38 2.05 0.07 6.18 26 5.97 30 9.44 1.46 -0.66 -2.03 -8.11 -0.75 51 -2.02 74 16.90 10.36 6.70 4.09 0.71 6.53 51 4.22 72 16.71 7.86 6.14 3.60 -0.20 5.94 53 7.84 26 16.99 10.46 7.38 5.78 0.89 7.37 50 6.54 63 45.48 17.05 10.27 5.77 -1.26 12.37 41 5.93 73 10.09 5.20 1.70 -6.45 -25.82 2.54 45 5.24 24 10.86 7.62 6.57 5.08 2.35 5.94 62 6.96 41 -30% -20% -10% 0% 10% 20% 30% 40% 50% F1 F1 F1 F1 F1 F1 F1 F 1 F1 F1 180 City of Clearwater Employees Pension Fund Risk Measure Summary Fixed Income Comp Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.25 0.70 0.75 -2.09 3.03 5.01 5.01 4.66 0.89 0.63 0.96 1.00 5.27 0.88 2.61 1 3 -2.98 3.03 2.65 2.65 5.33 0.44 3 9 1.04 0.68 0.75 -2.09 3.03 0.30 7.15 3.20 0.86 0.28 0.90 1.14 4.24 1.13 0.65 3 9 -2.98 3.03 0.55 6.00 3.53 0.82 4 16 1.15 0.63 0.80 -2.13 3.03 -0.75 7.15 2.95 0.88 0.35 0.88 1.11 3.75 1.11 1.03 6 14 -2.98 3.03 -2.02 6.00 3.16 0.67 20 96 0.91 0.41 0.53 -2.54 5.72 -0.75 15.87 3.16 0.62 0.26 0.60 0.94 4.82 2.46 -0.07 25 91 -2.98 7.96 -3.23 18.48 4.06 0.76 181 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 -1.0 -0.1 0.7 1.7 2.6 3.5 4.4 5.3 6.2 7.1 8.0 F 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank F Fixed Income Comp 1 BC Agg Median 3.80 28 3.20 40 3.03 52 3.53 54 3.10 3.46 Annualized Rate of Return0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 F 1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank F Fixed Income Comp 1 BC Agg Median 3.41 37 2.95 36 2.23 69 3.16 44 2.76 3.27 182 City of Clearwater Employees Pension Fund Dodge & Cox as of 12/31/16 United States Treas United States Treas Fhlm Pool C91769 United States Treas FNMA Pool #al6120 FNMA Pool Al5667 Verizon Communicatio Fnr2002-W7- United States Treas Citigroup Inc Sub Nt Sector % Port Government Government Mortgage Government Mortgage Mortgage Utilities Mortgage Government Finance 7.56 2.50 2.27 2.04 1.84 1.35 1.22 1.06 1.06 1.02 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 18.68 18.57 12.43 32.64 1.40 7.65 2.84 3.23 2.58 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/29/04 Dodge & Cox BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/29/04 Dodge & Cox BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -1.45 -2.98 124,053 63 -1,805 122,312 5.55 2.65 128,358 -13,239 7,193 122,312 5.55 2.65 128,358 -13,239 7,193 122,312 3.78 3.03 115,334 -7,250 14,227 122,312 3.94 2.23 111,073 -12,258 23,497 122,312 5.32 4.35 96,434 -14,677 40,555 122,312 4.95 4.10 75,656 -14,677 61,333 122,312 Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 183 City of Clearwater Employees Pension Fund Dodge & Cox as of 12/31/16 Cash & Equiv $3,343 2.73% Domestic Fixed $118,969 97.27% Periods from 2/04 to 12/16 Alpha Beta R-Squared 0.35 0.80 0.59 Annualized Return% 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 d 1 T Annualized Standard Deviation% d Dodge & Cox 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.95 4.10 1.32 3.29 3.30 0.53 1.10 0.84 0.00 0.33 Asset Allocation ($000) Risk/Return Analysis 184 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low d Dodge & Cox Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 2.31 0.13 -1.93 -2.81 -5.36 -1.45 41 -2.98 79 15.28 6.61 3.15 2.13 0.22 5.55 29 2.65 57 5.69 3.05 1.96 1.47 0.12 2.68 29 1.59 68 7.92 3.97 3.10 2.19 0.53 3.78 29 3.03 52 5.99 3.38 2.05 1.48 -0.33 2.99 28 1.74 63 7.88 4.29 2.76 2.09 0.60 3.94 29 2.23 69 7.41 4.48 3.42 2.74 0.98 4.13 30 3.15 60 8.12 4.98 3.90 3.16 0.93 4.61 32 3.63 60 11.67 6.14 4.56 3.60 0.81 5.80 27 3.91 65 8.13 5.22 4.48 3.70 1.41 5.30 24 4.06 67 7.72 5.39 4.73 4.08 2.09 5.32 27 4.35 68 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% d 1 d 1 d 1 d1 d 1 d 1 d 1 d 1 d 1 d 1 d 1 185 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low d Dodge & Cox Net Ret Rank 1 BC Agg Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 15.28 6.61 3.15 2.13 0.22 5.55 29 2.65 57 3.87 1.24 0.57 -1.30 -5.27 -0.12 66 0.55 50 16.69 6.24 4.38 2.05 0.07 6.01 29 5.97 30 9.44 1.46 -0.66 -2.03 -8.11 0.65 30 -2.02 74 16.90 10.36 6.70 4.09 0.71 7.85 40 4.22 72 16.71 7.86 6.14 3.60 -0.20 5.10 61 7.84 26 16.99 10.46 7.38 5.78 0.89 7.53 48 6.54 63 45.48 17.05 10.27 5.77 -1.26 14.53 31 5.93 73 10.09 5.20 1.70 -6.45 -25.82 1.37 51 5.24 24 10.86 7.62 6.57 5.08 2.35 5.47 68 6.96 41 -30% -20% -10% 0% 10% 20% 30% 40% 50% d 1 d1 d1 d1 d 1 d1 d1 d 1 d 1 d1 186 City of Clearwater Employees Pension Fund December 31, 2016 Cumulative Performance Comparison Total Returns of Fixed Income Portfolios High 1st Qt Median 3rd Qt Low d Dodge & Cox Return Rank 1 BC Agg Return Rank 12/16 9/16 6/16 3/16 12/15 7.92 3.97 3.10 2.19 0.53 3.78 29 3.03 52 10.20 4.96 4.06 2.65 0.47 4.67 32 4.03 51 9.29 4.66 3.98 2.53 0.50 4.37 33 4.06 46 5.30 2.96 2.37 1.32 -0.72 2.77 32 2.50 43 5.12 2.22 1.59 0.98 -2.17 2.14 27 1.44 58 -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% d 1 d 1 d 1 d 1 d 1 Dodge & Cox Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 2.3 -0.6 1.1 0.7 0.8 0.4 0.3 1.2 0.5 0.1 0.1 -0.7 -0.2 0.7 -1.8 0.7 -0.5 0.6 1.2 1.6 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 187 City of Clearwater Employees Pension Fund Risk Measure Summary Dodge & Cox Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.23 0.49 0.75 -1.45 2.78 5.55 5.55 3.88 0.73 0.85 0.89 1.35 7.15 1.83 1.52 1 3 -2.98 3.03 2.65 2.65 5.33 0.44 3 9 0.95 0.46 0.67 -1.45 2.78 -0.12 7.19 2.88 0.71 0.39 0.75 1.26 5.14 1.80 0.39 3 9 -2.98 3.03 0.55 6.00 3.53 0.82 4 16 1.16 0.33 0.75 -1.89 2.78 -0.12 7.85 2.79 0.73 0.56 0.67 1.37 5.25 1.82 0.91 6 14 -2.98 3.03 -2.02 6.00 3.16 0.67 11 40 1.05 0.52 0.61 -2.88 6.98 -0.26 17.78 3.53 0.80 0.35 0.59 1.02 4.53 2.48 0.33 15 36 -2.98 4.57 -2.02 10.56 3.50 0.78 188 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 -1.0 -0.1 0.7 1.7 2.6 3.5 4.4 5.3 6.2 7.1 8.0 d 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank d Dodge & Cox 1 BC Agg Median 3.78 29 2.88 34 3.03 52 3.53 54 3.10 3.46 Annualized Rate of Return0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 d 1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank d Dodge & Cox 1 BC Agg Median 3.94 29 2.79 33 2.23 69 3.16 44 2.76 3.27 189 City of Clearwater Employees Pension Fund Fixed Income, Mortgage and Municipals Summary Statistics Dodge & Cox Quarter Ending 12/16 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity Portfolio BC Agg 211 118,968,806 2.76 13.60 4.05 6.07 0.50 5.43 8.68 10,069 2.61 8.19 3.08 6.07 0.13 5.89 8.19 Yield to Maturity 5+ 12.4% 4 - 5 12.8% 3 - 4 15.8% 2 - 3 29.6% 1 - 2 12.1% 0 - 1 17.4% Time to Maturity 10+ 51.8% 7 - 10 11.9% 5 - 7 7.6% 3 - 5 5.1% 1 - 3 11.0% 0 - 1 12.6% Coupon 11+ 0.0% 9 - 11 0.2% 7 - 9 7.7% 5 - 7 25.6% 3 - 5 37.2% 0 - 3 29.2% Quality NR 6.5% B 0.5% BA 3.6% BAA 35.4% A 4.8% AA 2.1% AAA 29.4% GOVT 17.6% Duration 8+ 25.6% 6 - 8 11.2% 4 - 6 23.1% 3 - 4 11.2% 1 - 3 16.3% 0 - 1 12.6% Effective Duration 8+ 24.6% 6 - 8 11.1% 4 - 6 8.9% 3 - 4 8.2% 1 - 3 29.5% 0 - 1 17.7% 190 City of Clearwater Employees Pension Fund Percent Invested by Sector and Quality Dodge & Cox As of 12/31/16 Name Moody’s Quality Ratings Aaa Aa A Baa Ba B Other NR Total Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total 16.39 16.02 0.37 0.81 --- --- 0.81 --- --- 29.83 --- 9.12 19.96 0.75 --- --- --- 47.04 --- --- --- 0.81 --- --- 0.81 --- 0.17 --- --- --- --- --- 1.11 --- --- 2.09 --- --- --- 3.03 0.79 --- 2.25 --- 1.23 --- --- --- --- --- 0.58 --- --- 4.84 2.17 --- 2.17 32.12 8.72 6.53 13.64 3.23 --- --- --- --- --- --- 1.15 --- --- 35.44 --- --- --- 3.56 1.55 1.12 0.90 --- --- --- --- --- --- --- --- --- --- 3.56 --- --- --- 0.53 0.53 --- --- --- --- --- --- --- --- --- --- --- --- 0.53 --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- 1.11 0.85 --- 0.26 --- --- 2.81 0.04 1.41 1.36 --- --- --- 2.58 6.49 18.56 16.02 2.54 41.97 12.44 7.65 18.67 3.23 1.40 32.64 0.04 10.53 21.32 0.75 2.84 --- 2.58 100.00 191 City of Clearwater Employees Pension Fund Fixed Income Sector Attribution Analysis Dodge & Cox Quarter Ending 12/16 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 18.55 15.88 14.16 33.38 1.41 7.84 2.99 3.29 2.49 100.00 11.87 39.95 11.69 29.18 0.52 2.94 0.05 3.82 0.00 100.00 -1.82 -0.14 -2.33 -0.56 -2.25 -2.91 -5.90 -2.83 -1.40 -1.08 -3.76 -3.46 -1.65 -4.02 -3.67 -3.18 -2.85 -4.29 -2.75 -0.14 0.57 0.16 0.37 0.02 0.06 -0.08 0.00 0.00 0.97 0.11 0.24 -0.02 0.05 -0.01 -0.05 -0.01 0.00 -0.04 0.28 -0.02 0.82 0.14 0.41 0.01 0.02 -0.09 0.00 -0.04 1.24 Index - Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.03% [ Actual Return -1.44% ] - [ Buy Hold Return -1.40% ] 192 City of Clearwater Employees Pension Fund Western Asset Management Co. as of 12/31/16 United States Treas United States Treas United States Treas United States Treas United States Treas United States Treas United States Treas FNMA Ci 15 - Tba Jan GNMA Ii Sf 30 - Tba United States Treas Sector % Port Government Government Government Government Government Government Government Mortgage Mortgage Government 10.12 7.47 5.82 5.00 4.93 3.42 3.33 2.99 2.86 2.50 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 11.30 52.96 11.08 20.68 0.22 1.38 0.03 2.13 0.22 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/04 Western Asset Management Co.BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/04 Western Asset Management Co. BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -2.90 -2.98 123,630 140 -3,583 120,187 3.66 2.65 115,573 385 4,228 120,187 3.66 2.65 115,573 385 4,228 120,187 3.65 3.03 89,472 19,125 11,589 120,187 2.68 2.23 87,331 19,099 13,757 120,187 4.71 4.35 94,634 19,061 6,493 120,187 4.54 4.18 74,568 19,061 26,558 120,187 Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 193 City of Clearwater Employees Pension Fund Western Asset Management Co. as of 12/31/16 Domestic Fixed $136,750 113.78% Other $3 0.00% Cash & Equiv $-16,566 -13.78% Periods from 9/04 to 12/16 Alpha Beta R-Squared 0.05 1.06 0.93 Annualized Return% 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 w 1 T Annualized Standard Deviation% w Western Asset Management 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.54 4.18 1.33 3.67 3.37 0.93 0.87 0.84 0.00 0.35 Asset Allocation ($000) Risk/Return Analysis 194 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/16 High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 2.31 0.13 -1.93 -2.81 -5.36 -2.90 76 -2.98 79 15.28 6.61 3.15 2.13 0.22 3.66 44 2.65 57 5.69 3.05 1.96 1.47 0.12 2.19 41 1.59 68 7.92 3.97 3.10 2.19 0.53 3.65 33 3.03 52 5.99 3.38 2.05 1.48 -0.33 2.09 48 1.74 63 7.88 4.29 2.76 2.09 0.60 2.68 52 2.23 69 7.41 4.48 3.42 2.74 0.98 3.42 50 3.15 60 8.12 4.98 3.90 3.16 0.93 3.94 48 3.63 60 11.67 6.14 4.56 3.60 0.81 4.59 49 3.91 65 8.13 5.22 4.48 3.70 1.41 4.51 48 4.06 67 7.72 5.39 4.73 4.08 2.09 4.71 52 4.35 68 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% w1 w 1 w1 w1 w1 w1 w1 w1 w1 w1 w1 195 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Net Ret Rank 1 BC Agg Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 15.28 6.61 3.15 2.13 0.22 3.66 44 2.65 57 3.87 1.24 0.57 -1.30 -5.27 0.73 43 0.55 50 16.69 6.24 4.38 2.05 0.07 6.65 19 5.97 30 9.44 1.46 -0.66 -2.03 -8.11 -2.46 83 -2.02 74 16.90 10.36 6.70 4.09 0.71 5.07 62 4.22 72 16.71 7.86 6.14 3.60 -0.20 7.23 37 7.84 26 16.99 10.46 7.38 5.78 0.89 7.09 53 6.54 63 45.48 17.05 10.27 5.77 -1.26 9.24 54 5.93 73 10.09 5.20 1.70 -6.45 -25.82 3.92 37 5.24 24 10.86 7.62 6.57 5.08 2.35 6.51 51 6.96 41 -30% -20% -10% 0% 10% 20% 30% 40% 50% w1 w1 w1 w1 w1 w1 w1 w 1 w1 w1 196 City of Clearwater Employees Pension Fund December 31, 2016 Cumulative Performance Comparison Total Returns of Fixed Income Portfolios High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Return Rank 1 BC Agg Return Rank 12/16 9/16 6/16 3/16 12/15 7.92 3.97 3.10 2.19 0.53 3.65 33 3.03 52 10.20 4.96 4.06 2.65 0.47 4.61 34 4.03 51 9.29 4.66 3.98 2.53 0.50 4.43 31 4.06 46 5.30 2.96 2.37 1.32 -0.72 2.78 31 2.50 43 5.12 2.22 1.59 0.98 -2.17 1.57 51 1.44 58 -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% w 1 w 1 w 1 w 1 w 1 Western Asset Management Co. Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 0.3 0.0 0.4 0.1 -0.1 -0.1 -0.2 0.0 0.4 0.3 0.1 -0.1 0.3 -0.1 -0.4 0.3 0.3 0.1 0.5 0.1 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 197 City of Clearwater Employees Pension Fund Risk Measure Summary Western Asset Management Co. Quarterly Periods Ending 12/31/16 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 1.17 0.97 1.00 -2.90 3.36 3.66 3.66 5.48 1.03 0.23 0.99 0.61 3.23 0.38 2.62 1 3 -2.98 3.03 2.65 2.65 5.33 0.44 3 9 1.11 0.94 0.75 -2.90 3.36 0.73 6.65 3.66 1.03 0.13 0.98 0.96 3.41 0.52 1.19 3 9 -2.98 3.03 0.55 6.00 3.53 0.82 6 14 1.12 1.00 0.60 -2.90 3.36 -2.46 6.65 3.33 1.04 0.09 0.98 0.77 2.45 0.48 0.91 6 14 -2.98 3.03 -2.02 6.00 3.16 0.67 15 34 1.09 1.09 0.61 -2.90 5.22 -2.46 14.60 3.67 1.06 0.05 0.93 0.87 3.02 1.00 0.35 14 35 -2.98 4.57 -2.02 10.56 3.37 0.84 198 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 -1.0 -0.1 0.7 1.7 2.6 3.5 4.4 5.3 6.2 7.1 8.0 w 1Median RiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Western Asset Management Co. 1 BC Agg Median 3.65 33 3.66 61 3.03 52 3.53 54 3.10 3.46 Annualized Rate of Return0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 w1Median RiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Western Asset Management Co. 1 BC Agg Median 2.68 52 3.33 55 2.23 69 3.16 44 2.76 3.27 199 City of Clearwater Employees Pension Fund Fixed Income, Mortgage and Municipals Summary Statistics Western Asset Management Co. Quarter Ending 12/16 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity Portfolio BC Agg 444 136,749,933 2.34 11.09 2.59 5.85 0.41 5.17 7.53 10,069 2.61 8.19 3.08 6.07 0.13 5.89 8.19 Yield to Maturity 5+ 3.6% 4 - 5 7.4% 3 - 4 19.4% 2 - 3 34.3% 1 - 2 17.6% 0 - 1 17.8% Time to Maturity 10+ 34.9% 7 - 10 9.7% 5 - 7 16.9% 3 - 5 10.1% 1 - 3 17.7% 0 - 1 10.7% Coupon 11+ 0.0% 9 - 11 0.0% 7 - 9 1.3% 5 - 7 11.2% 3 - 5 29.5% 0 - 3 57.9% Quality NR 1.3% CAA 0.1% B 0.6% BA 1.0% BAA 12.1% A 9.8% AA 2.3% AAA 22.5% GOVT 50.3% Duration 8+ 16.7% 6 - 8 19.7% 4 - 6 21.9% 3 - 4 12.7% 1 - 3 18.3% 0 - 1 10.6% Effective Duration 8+ 15.9% 6 - 8 13.6% 4 - 6 24.5% 3 - 4 13.0% 1 - 3 20.9% 0 - 1 12.1% 200 City of Clearwater Employees Pension Fund Percent Invested by Sector and Quality Western Asset Management Co. As of 12/31/16 Name Moody’s Quality Ratings Aaa Aa A Baa Ba B Other NR Total Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total 51.54 49.96 1.58 0.84 0.39 --- 0.23 0.22 --- 20.42 5.73 3.29 10.26 1.14 --- --- --- 72.80 1.12 --- 1.12 1.22 0.77 --- 0.32 0.13 --- --- --- --- --- --- --- --- --- 2.34 --- --- --- 9.69 4.22 0.15 4.37 0.95 0.06 --- --- --- --- --- --- --- --- 9.75 0.30 --- 0.30 11.59 4.33 1.23 5.28 0.75 0.15 --- --- --- --- --- 0.03 --- --- 12.07 --- --- --- 1.03 0.85 --- 0.18 --- --- --- --- --- --- --- --- --- --- 1.03 --- --- --- 0.58 0.35 --- 0.23 --- --- --- --- --- --- --- --- --- --- 0.58 --- --- --- 0.11 0.11 --- --- --- --- --- --- --- --- --- --- --- --- 0.11 --- --- --- 0.83 0.07 --- 0.69 0.07 --- 0.27 0.14 0.13 --- --- --- --- 0.22 1.31 52.96 49.96 3.00 25.89 11.09 1.38 11.30 2.12 0.21 20.69 5.87 3.42 10.26 1.14 0.03 --- 0.22 100.00 201 City of Clearwater Employees Pension Fund Fixed Income Sector Attribution Analysis Western Asset Management Co. Quarter Ending 12/16 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 12.69 54.43 12.46 16.37 0.25 1.34 0.04 2.17 0.25 100.00 11.87 39.95 11.69 29.18 0.52 2.94 0.05 3.82 0.00 100.00 -2.21 -2.67 -3.39 -0.45 -6.06 -3.93 -4.92 -4.15 -2.39 -1.08 -3.76 -3.46 -1.65 -4.02 -3.67 -3.18 -2.85 -4.29 -2.75 -0.14 0.59 0.01 0.20 -0.01 -0.00 -0.00 -0.03 0.00 0.62 0.01 -0.15 -0.01 -0.14 0.00 0.01 0.00 0.00 -0.00 -0.26 -0.13 0.45 0.00 0.06 -0.00 0.01 -0.00 -0.03 -0.00 0.36 Index - Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return - Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] * [ Index Sector Return - Index Total Return ] Trading Effect -0.18% [ Actual Return -2.57% ] - [ Buy Hold Return -2.39% ] 202 City of Clearwater Employees Pension Fund Real Estate Comp as of 12/31/16 196 Simon Ppty Group Inc Prologis Inc Public Storage Inc Equity Residential P Avalonbay Cmntys Inc Vornado Rlty Tr Equinix Inc Senior Hsg Pptys Tr Weingarten Realty In Ddr Corp GICS Sector % Port Financials Financials Financials Financials Financials Financials Telecom Services Financials Financials Financials 8.94 6.17 5.81 5.67 5.28 4.59 3.72 3.56 2.95 2.92 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Real Estate Comp Policy Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Real Estate Comp Policy Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.54 -0.77 121,543 806 693 123,042 6.35 8.06 117,206 -2,302 8,138 123,042 6.35 8.06 117,206 -2,302 8,138 123,042 11.26 13.60 81,344 9,267 32,431 123,042 10.33 12.39 68,499 9,219 45,325 123,042 5.85 7.05 19,347 7,329 96,367 123,042 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 203 City of Clearwater Employees Pension Fund Real Estate Comp as of 12/31/16 197 Cash & Equiv $357 0.29% Real Estate $85,748 69.69% Domestic Equity $36,938 30.02% Periods from 4/08 to 12/16 Alpha Beta R-Squared -0.23 0.98 0.99 Annualized Return% -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 28.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 R 1 T Annualized Standard Deviation% R Real Estate Comp 1 Policy Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.85 7.05 0.24 24.93 25.55 0.15 0.23 0.27 0.00 -0.40 Asset Allocation ($000) Risk/Return Analysis 204 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/16 198 High 1st Qt Median 3rd Qt Low R Real Estate Comp Net Ret Rank 1 Policy Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years 6.44 2.27 0.80 -2.97 -7.91 0.54 53 -0.77 61 22.91 10.16 8.05 3.60 -14.98 6.35 63 8.06 49 22.76 12.57 9.90 4.06 -11.63 6.35 59 8.19 53 23.06 14.14 11.99 6.42 -9.42 11.26 57 13.60 27 25.66 13.31 10.95 6.67 -5.20 10.00 63 11.65 42 23.15 13.08 11.45 8.91 -2.87 10.33 63 12.39 31 22.37 13.48 11.26 6.77 -3.41 10.08 63 12.26 37 22.42 14.10 11.69 5.79 -3.52 12.79 42 14.00 26 16.75 10.70 6.23 2.43 -12.17 14.21 17 15.79 9 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% R 1 R 1 R 1 R 1 R 1 R 1 R 1 R 1 R 1 205 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 199 High 1st Qt Median 3rd Qt Low R Real Estate Comp Net Ret Rank 1 Policy Index Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 22.91 10.16 8.05 3.60 -14.98 6.35 63 8.06 49 32.72 15.91 11.17 2.44 -21.27 6.35 60 8.33 55 37.91 21.11 13.34 8.77 -10.78 21.77 24 25.22 22 32.06 14.95 10.40 2.97 -6.80 6.29 62 6.02 63 32.05 17.62 11.44 5.63 -7.03 11.69 48 15.41 32 34.44 17.10 11.39 2.47 -15.86 8.85 59 11.62 49 30.94 18.57 13.85 1.00 -26.38 30.51 5 24.96 13 38.62 -0.46 -27.53 -34.25 -61.97 24.68 15 29.20 12 -70% -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% R 1 R 1 R 1 R 1 R 1 R 1 R 1 R 1 206 City of Clearwater Employees Pension Fund Risk Measure Summary Real Estate Comp Quarterly Periods Ending 12/31/16 200 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.53 -1.41 0.50 0.54 2.73 6.35 6.35 2.02 0.39 0.72 0.86 2.98 15.25 3.87 -0.46 2 2 -0.77 4.72 8.06 8.06 5.81 1.33 2 10 0.75 0.43 0.33 -4.20 9.53 4.86 21.77 6.97 0.77 0.20 0.95 1.60 14.49 2.60 -0.88 4 8 -5.18 11.15 8.06 25.22 8.89 1.51 3 17 0.78 0.44 0.35 -4.20 9.53 4.86 21.77 6.11 0.77 0.19 0.95 1.67 13.27 2.26 -0.89 5 15 -5.18 11.15 6.02 25.22 7.77 1.58 7 27 0.91 0.96 0.41 -37.93 33.98 -45.85 118.01 26.45 0.98 -0.23 0.99 0.27 7.39 2.86 -0.40 9 25 -40.40 35.93 -45.65 115.40 26.72 0.31 207 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios 201Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 R 1 MedianRiskMedian Return Historical Standard Deviation of Return 3 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank R Real Estate Comp 1 Policy Index Median 11.26 57 6.97 45 13.60 27 8.89 50 11.99 9.12 Annualized Rate of Return0.0 4.0 8.0 12.0 16.0 20.0 24.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 R 1 MedianRiskMedian Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank R Real Estate Comp 1 Policy Index Median 10.33 63 6.11 39 12.39 31 7.77 48 11.45 8.73 208 City of Clearwater Employees Pension Fund Security Capital as of 12/31/16 202 Simon Ppty Group Inc Prologis Inc Public Storage Inc Equity Residential P Avalonbay Cmntys Inc Vornado Rlty Tr Equinix Inc Senior Hsg Pptys Tr Weingarten Realty In Ddr Corp GICS Sector % Port Financials Financials Financials Financials Financials Financials Telecom Services Financials Financials Financials 8.94 6.17 5.81 5.67 5.28 4.59 3.72 3.56 2.95 2.92 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Security Capital Wilshire RESI Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Security Capital Wilshire RESI Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -2.51 -2.20 38,998 -689 -998 37,311 5.71 7.62 49,962 -14,653 2,003 37,311 5.71 7.62 49,962 -14,653 2,003 37,311 13.79 14.05 42,289 -22,356 17,378 37,311 11.71 12.24 41,960 -29,302 24,653 37,311 6.49 6.96 19,347 -54,111 72,076 37,311 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 209 City of Clearwater Employees Pension Fund Security Capital as of 12/31/16 203 Cash & Equiv $373 1.00% Domestic Equity $36,938 99.00% Periods from 4/08 to 12/16 Alpha Beta R-Squared -0.09 1.00 0.99 Annualized Return% -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 s1 T Annualized Standard Deviation% s Security Capital 1 Wilshire RESI T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 6.49 6.96 0.24 27.32 27.49 0.15 0.23 0.24 0.00 -0.19 Asset Allocation ($000) Risk/Return Analysis 210 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/16 204 High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years 6.44 2.27 0.80 -2.97 -7.91 -2.51 69 -2.20 67 22.91 10.16 8.05 3.60 -14.98 5.71 67 7.62 54 22.76 12.57 9.90 4.06 -11.63 5.20 68 6.21 59 23.06 14.14 11.99 6.42 -9.42 13.79 27 14.05 25 25.66 13.31 10.95 6.67 -5.20 10.61 54 10.95 50 23.15 13.08 11.45 8.91 -2.87 11.71 45 12.24 34 22.37 13.48 11.26 6.77 -3.41 10.89 58 11.62 43 22.42 14.10 11.69 5.79 -3.52 13.64 30 13.97 26 16.75 10.70 6.23 2.43 -12.17 14.96 15 15.77 9 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 211 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 205 High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank 2016 2015 2014 2013 2012 2011 2010 2009 22.91 10.16 8.05 3.60 -14.98 5.71 67 7.62 54 32.72 15.91 11.17 2.44 -21.27 4.70 67 4.81 66 37.91 21.11 13.34 8.77 -10.78 33.13 8 31.53 11 32.06 14.95 10.40 2.97 -6.80 1.60 85 2.15 81 32.05 17.62 11.44 5.63 -7.03 16.22 29 17.55 25 34.44 17.10 11.39 2.47 -15.86 6.86 65 8.56 61 30.94 18.57 13.85 1.00 -26.38 31.62 4 29.12 7 38.62 -0.46 -27.53 -34.25 -61.97 24.68 15 29.20 12 -70% -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 212 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios 206Annualized Rate of Return0.0 4.0 8.0 12.0 16.0 20.0 24.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 s1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Security Capital 1 Wilshire RESI Median 11.71 45 11.93 75 12.24 34 11.71 72 11.45 8.73 Annualized Rate of Return0.0 4.0 8.0 12.0 16.0 20.0 24.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 s1MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/16 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Security Capital 1 Wilshire RESI Median 11.71 45 11.93 75 12.24 34 11.71 72 11.45 8.73 213 City of Clearwater Employees Pension Fund December 31, 2016 207 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank 12/16 9/16 6/16 3/16 12/15 23.06 14.14 11.99 6.42 -9.42 13.79 27 14.05 25 25.42 14.37 12.09 7.27 -9.40 14.37 25 14.61 23 30.43 14.84 12.78 7.94 -8.49 13.41 41 14.07 28 29.90 14.62 12.08 6.60 -10.11 11.35 56 11.35 56 28.83 14.89 12.01 6.70 -12.53 12.30 47 12.09 49 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% s 1 s 1 s 1 s 1 s 1 Security Capital Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -3.0% -2.5% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% -0.1 -0.4 -0.3 -0.4 -0.7 0.8 -0.4 -0.3 0.6 -0.2 0.2 0.7 0.1 -0.6 0.2 0.2 -1.3 -0.9 0.7 -0.3 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. Wilshire RESI 214 City of Clearwater Employees Pension Fund Risk Measure Summary Security Capital Quarterly Periods Ending 12/31/16 208 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 2 2 0.80 0.91 0.25 -2.51 5.06 5.71 5.71 7.29 0.83 -0.16 0.98 0.74 6.47 1.73 -1.10 2 2 -2.20 5.99 7.62 7.62 8.64 0.84 4 8 0.99 1.00 0.58 -10.12 15.81 3.87 33.13 13.73 1.02 -0.13 0.99 0.99 13.33 1.28 -0.15 4 8 -9.61 15.03 4.81 31.53 13.33 1.04 8 12 0.97 1.01 0.40 -10.12 15.81 1.60 33.13 11.93 1.01 -0.16 0.99 0.97 11.44 1.14 -0.41 8 12 -9.61 15.03 2.15 31.53 11.71 1.04 12 22 0.98 0.99 0.38 -37.93 33.98 -45.85 118.01 28.24 1.00 -0.09 0.99 0.28 7.95 2.16 -0.19 12 22 -40.40 35.93 -45.65 115.40 28.25 0.30 215 City of Clearwater Employees Pension Fund USAA as of 12/31/16 209 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/15 USAA NCREIF ODCE Fund Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/15 USAA NCREIF ODCE Fund Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 5.59 2.11 10,397 -122 574 10,850 12.34 8.76 5,136 4,509 1,205 10,850 12.34 8.76 5,136 4,509 1,205 10,850 11.10 10.74 5,000 4,434 1,415 10,850 Portfolio Performance (%) 216 City of Clearwater Employees Pension Fund USAA as of 12/31/16 210 Cash & Equiv $-23 -0.21% Real Estate $10,873 100.21% Periods from 6/15 to 12/16 Alpha Beta R-Squared N/A N/A N/A Annualized Return% 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 u1 T Annualized Standard Deviation% u USAA 1 NCREIF ODCE Fund I T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.10 10.74 0.25 3.61 1.45 0.06 3.00 7.23 0.00 0.07 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 217 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/16 211 High 1st Qt Median 3rd Qt Low u USAA Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank Last Qtr Last Year 6.44 2.27 0.80 -2.97 -7.91 5.59 6 2.11 27 22.91 10.16 8.05 3.60 -14.98 12.34 17 8.76 39 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 u 1 218 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 212 High 1st Qt Median 3rd Qt Low u USAA Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank 2016 22.91 10.16 8.05 3.60 -14.98 12.34 17 8.76 39 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 219 City of Clearwater Employees Pension Fund Risk Measure Summary USAA Quarterly Periods Ending 12/31/16 213 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.41 0.75 0.54 5.59 12.34 12.34 4.33 1.38 0.07 0.36 2.78 8.70 4.36 0.77 0 4 2.07 2.18 8.76 8.76 0.09 92.25 0 6 1.03 0.50 0.54 5.59 7.78 12.34 3.61 0.56 1.20 0.13 3.00 19.25 4.18 0.07 0 6 2.07 3.68 8.76 11.81 1.45 7.23 220 City of Clearwater Employees Pension Fund Multi Employer Property Trust as of 12/31/16 214 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Multi Employer Property Trust NCREIF ODCE Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Multi Employer Property Trust NCREIF ODCE Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.41 2.11 43,452 0 611 44,062 8.02 8.76 40,792 0 3,270 44,062 8.02 8.76 40,792 0 3,270 44,062 10.72 12.06 27,710 5,000 11,353 44,062 9.71 12.21 23,665 5,000 15,398 44,062 10.64 13.16 0 25,000 19,062 44,062 Portfolio Performance (%) 221 City of Clearwater Employees Pension Fund Multi Employer Property Trust as of 12/31/16 215 Cash & Equiv $6 0.01% Real Estate $44,056 99.99% Periods from 9/10 to 12/16 Alpha Beta R-Squared -0.23 0.89 0.65 Annualized Return% 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 M 1 T Annualized Standard Deviation% M Multi Employer Property 1 NCREIF ODCE T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.64 13.16 0.12 1.94 1.53 0.05 5.42 8.51 0.00 -1.76 Asset Allocation ($000) Risk/Return Analysis 222 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/16 216 High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank O NCREIF ODCE Fund Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years 6.44 2.27 0.80 -2.97 -7.91 1.41 39 2.11 27 22.91 10.16 8.05 3.60 -14.98 8.02 50 8.76 39 22.76 12.57 9.90 4.06 -11.63 9.99 49 11.84 30 23.06 14.14 11.99 6.42 -9.42 10.72 62 12.06 48 25.66 13.31 10.95 6.67 -5.20 11.00 49 12.53 32 23.15 13.08 11.45 8.91 -2.87 9.71 70 12.21 34 22.37 13.48 11.26 6.77 -3.41 10.25 62 12.83 32 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% M O M O M O M O M O M O M O 223 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 217 High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank O NCREIF ODCE Fund Index Net Ret Rank 2016 2015 2014 2013 2012 2011 22.91 10.16 8.05 3.60 -14.98 8.02 50 8.76 39 32.72 15.91 11.17 2.44 -21.27 12.00 47 15.01 32 37.91 21.11 13.34 8.77 -10.78 12.21 57 12.49 56 32.06 14.95 10.40 2.97 -6.80 11.83 42 13.94 30 32.05 17.62 11.44 5.63 -7.03 4.70 78 10.94 54 34.44 17.10 11.39 2.47 -15.86 12.99 44 15.99 27 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% M O M O M O M O M O M O 224 City of Clearwater Employees Pension Fund December 31, 2016 218 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank 1 NCREIF ODCE Net Ret Rank 12/16 9/16 6/16 3/16 12/15 23.06 14.14 11.99 6.42 -9.42 10.72 62 12.06 48 25.42 14.37 12.09 7.27 -9.40 11.36 59 12.45 47 30.43 14.84 12.78 7.94 -8.49 11.95 57 12.99 46 29.90 14.62 12.08 6.60 -10.11 12.28 48 13.62 34 28.83 14.89 12.01 6.70 -12.53 12.01 50 13.81 35 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% M 1 M 1 M 1 M 1 M 1 Multi Employer Property Trust Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -11.0% -10.0% -9.0% -8.0% -7.0% -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% -1.2 -0.5 -1.7 -2.4 -0.7 -1.2 0.0 0.0 0.3 -0.6 0.1 -0.1 -0.5 -1.1 -0.5 -0.6 0.6 -0.4 -0.2 -0.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. NCREIF ODCE 225 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 12/31/16 219Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 M 1 MedianRiskMedian Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Multi Employer Property Trust 1 NCREIF ODCE Median 10.72 62 1.21 2 12.06 48 1.31 6 11.99 9.12 226 City of Clearwater Employees Pension Fund Risk Measure Summary Multi Employer Property Trust Quarterly Periods Ending 12/31/16 220 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 0.91 0.25 1.41 2.74 8.02 8.02 1.14 0.93 -0.03 0.80 6.74 8.30 1.08 -0.65 0 4 2.07 2.18 8.76 8.76 0.09 92.25 0 12 0.89 0.25 1.41 3.31 8.02 12.62 1.21 0.81 0.22 0.81 8.73 13.00 0.95 -1.30 0 12 2.07 3.82 8.76 15.01 1.31 9.12 1 19 0.80 0.15 -0.12 3.53 4.70 12.79 1.80 0.86 -0.17 0.54 5.34 11.13 1.42 -1.61 0 20 2.07 3.86 8.76 15.01 1.18 10.26 1 24 0.81 0.12 -0.12 4.72 4.70 15.44 1.94 0.89 -0.23 0.65 5.42 11.84 1.31 -1.76 0 25 2.07 4.99 8.76 18.27 1.53 8.51 227 City of Clearwater Employees Pension Fund Molpus Woodlands Group as of 12/31/16 221 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11 Molpus Woodlands Group NCREIF Timberland Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11 Molpus Woodlands Group NCREIF Timberland Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.00 1.18 9,970 1,685 0 11,655 0.48 2.70 9,782 1,826 47 11,655 0.48 2.70 9,782 1,826 47 11,655 3.34 6.01 7,579 3,270 806 11,655 5.08 7.08 2,874 6,982 1,799 11,655 4.21 6.45 111 9,790 1,754 11,655 Portfolio Performance (%) 228 City of Clearwater Employees Pension Fund Molpus Woodlands Group as of 12/31/16 222 Real Estate $11,655 100.00% Periods from 6/11 to 12/16 Alpha Beta R-Squared 0.23 0.51 0.17 Annualized Return% -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 M 1 T Annualized Standard Deviation% M Molpus Woodlands Group 1 NCREIF Timberland Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.21 6.45 0.11 4.90 4.51 0.04 0.84 1.41 0.00 -0.47 Asset Allocation ($000) Risk/Return Analysis 229 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/16 223 High 1st Qt Median 3rd Qt Low M Molpus Woodlands Group Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 6.44 2.27 0.80 -2.97 -7.91 0.00 57 1.18 44 22.91 10.16 8.05 3.60 -14.98 0.48 84 2.70 78 22.76 12.57 9.90 4.06 -11.63 1.55 79 3.83 75 23.06 14.14 11.99 6.42 -9.42 3.34 83 6.01 76 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% M 1 M 1 M 1 M 1 230 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 224 High 1st Qt Median 3rd Qt Low M Molpus Woodlands Group Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 2016 2015 2014 2013 2012 22.91 10.16 8.05 3.60 -14.98 0.48 84 2.70 78 32.72 15.91 11.17 2.44 -21.27 2.64 73 4.97 65 37.91 21.11 13.34 8.77 -10.78 7.02 79 10.50 68 32.06 14.95 10.40 2.97 -6.80 15.16 24 9.68 52 32.05 17.62 11.44 5.63 -7.03 0.77 87 7.75 69 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% M 1 M 1 M 1 M 1 M 1 231 City of Clearwater Employees Pension Fund December 31, 2016 225 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low M Molpus Woodlands Group Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 12/16 9/16 6/16 3/16 12/15 23.06 14.14 11.99 6.42 -9.42 3.34 83 6.01 76 25.42 14.37 12.09 7.27 -9.40 4.42 81 7.64 73 30.43 14.84 12.78 7.94 -8.49 5.35 82 7.77 76 29.90 14.62 12.08 6.60 -10.11 7.91 71 7.72 72 28.83 14.89 12.01 6.70 -12.53 8.15 71 8.36 69 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% M 1 M 1 M 1 M 1 M 1 Molpus Woodlands Group Value Added Analysis - Net of Fee 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% -0.7 -0.9 0.9 -5.7 -1.4 6.9 2.3 -2.6 -0.6 -0.9 -1.8 0.1 -1.4 -0.3 -1.6 1.2 -0.3 -0.7 0.0 -1.2 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. NCREIF Timberland Index 232 City of Clearwater Employees Pension Fund Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 12/31/16 226Annualized Rate of Return0.0 1.8 3.6 5.4 7.2 9.0 10.8 12.6 14.4 16.2 18.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 M 1 MedianRiskMedian Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank M Molpus Woodlands Group 1 NCREIF Timberland Index Median 3.34 83 3.87 32 6.01 76 3.10 29 11.99 9.12 233 City of Clearwater Employees Pension Fund Risk Measure Summary Molpus Woodlands Group Quarterly Periods Ending 12/31/16 227 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 1 3 0.35 2.10 0.25 -0.55 0.68 0.48 0.48 1.05 0.40 -0.20 0.33 0.15 0.38 1.05 -2.08 1 3 -0.26 1.18 2.70 2.70 1.32 1.80 3 9 0.58 2.10 0.25 -0.87 6.14 0.48 7.02 3.87 1.09 -0.76 0.81 0.83 2.95 1.70 -1.50 1 11 -0.26 6.02 2.70 10.64 3.10 1.90 6 14 0.73 2.10 0.30 -0.87 7.86 0.48 16.17 4.67 0.46 0.45 0.14 1.06 10.67 4.82 -0.41 1 19 -0.26 6.02 2.70 10.64 3.77 1.85 8 14 0.68 2.02 0.27 -1.35 7.86 -2.71 16.17 4.65 0.51 0.23 0.17 0.88 7.98 4.63 -0.47 2 20 -0.35 6.02 1.13 10.64 3.73 1.70 234 City of Clearwater Employees Pension Fund Hancock as of 12/31/16 228 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/12 Hancock NCREIF Timberland Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/12 Hancock NCREIF Timberland Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 0.00 1.18 8,151 -68 0 8,083 -1.27 2.70 6,462 1,717 -96 8,083 -1.27 2.70 6,462 1,717 -96 8,083 2.57 6.01 3,766 3,918 399 8,083 5.27 7.67 1,263 5,856 963 8,083 Portfolio Performance (%) 235 City of Clearwater Employees Pension Fund Hancock as of 12/31/16 229 Real Estate $8,083 100.00% Periods from 5/12 to 12/16 Alpha Beta R-Squared -1.64 1.61 0.74 Annualized Return% -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 H 1 T Annualized Standard Deviation% H Hancock 1 NCREIF Timberland Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.27 7.67 0.12 7.62 4.86 0.04 0.68 1.55 0.00 -0.46 Asset Allocation ($000) Risk/Return Analysis 236 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/16 230 High 1st Qt Median 3rd Qt Low H Hancock Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 6.44 2.27 0.80 -2.97 -7.91 0.00 57 1.18 44 22.91 10.16 8.05 3.60 -14.98 -1.27 87 2.70 78 22.76 12.57 9.90 4.06 -11.63 1.58 79 3.83 75 23.06 14.14 11.99 6.42 -9.42 2.57 84 6.01 76 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% H 1 H 1 H 1 H 1 237 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 231 High 1st Qt Median 3rd Qt Low H Hancock Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 2016 2015 2014 2013 22.91 10.16 8.05 3.60 -14.98 -1.27 87 2.70 78 32.72 15.91 11.17 2.44 -21.27 4.51 67 4.97 65 37.91 21.11 13.34 8.77 -10.78 4.58 83 10.50 68 32.06 14.95 10.40 2.97 -6.80 8.91 55 9.68 52 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% H 1 H 1 H 1 H 1 238 City of Clearwater Employees Pension Fund December 31, 2016 232 Cumulative Performance Comparison Total Returns of Real Estate Portfolios High 1st Qt Median 3rd Qt Low H Hancock Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank 12/16 9/16 6/16 3/16 12/15 23.06 14.14 11.99 6.42 -9.42 2.57 84 6.01 76 25.42 14.37 12.09 7.27 -9.40 6.49 78 7.64 73 30.43 14.84 12.78 7.94 -8.49 6.56 80 7.77 76 29.90 14.62 12.08 6.60 -10.11 6.54 75 7.72 72 28.83 14.89 12.01 6.70 -12.53 5.98 79 8.36 69 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% H 1 H 1 H 1 H 1 H 1 Hancock Value Added Analysis - Net of Fee 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% -1.3 2.2 -3.5 -1.2 -1.4 5.6 -1.2 -1.6 -1.6 -1.1 -2.3 -0.9 -0.9 3.7 -0.2 -1.3 -1.2 -1.2 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. NCREIF Timberland Index 239 City of Clearwater Employees Pension Fund Risk Measure Summary Hancock Quarterly Periods Ending 12/31/16 233 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 3 1 -0.26 1.89 0.00 -0.52 0.00 -1.27 -1.27 0.48 0.07 -0.44 0.02 -3.29 -24.22 1.02 -3.81 1 3 -0.26 1.18 2.70 2.70 1.32 1.80 8 4 0.45 1.89 0.08 -0.54 5.67 -1.27 4.72 4.37 0.96 -0.76 0.50 0.56 2.54 3.08 -1.07 1 11 -0.26 6.02 2.70 10.64 3.10 1.90 11 7 0.73 1.89 0.17 -1.83 11.90 -1.27 12.16 7.44 1.61 -1.59 0.74 0.73 3.37 4.53 -0.43 1 17 -0.26 6.02 2.70 10.64 3.88 1.94 240 City of Clearwater Employees Pension Fund U.S. Real Estate Investment Fund as of 12/31/16 234 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/15 U.S. Real Estate Investment Fund NCREIF ODCE Fund Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/15 U.S. Real Estate Investment Fund NCREIF ODCE Fund Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 4.53 2.11 10,600 0 481 11,081 10.72 8.76 5,708 4,299 1,073 11,081 10.72 8.76 5,708 4,299 1,073 11,081 10.72 8.76 5,708 4,299 1,073 11,081 Portfolio Performance (%) 241 City of Clearwater Employees Pension Fund U.S. Real Estate Investment Fund as of 12/31/16 235 Real Estate $11,081 100.00% Periods from 12/15 to 12/16 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 u 1 T Annualized Standard Deviation% u U.S. Real Estate Investm 1 NCREIF ODCE Fund I T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.72 8.76 0.33 5.48 3.62 0.05 1.90 2.33 0.00 0.50 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 242 City of Clearwater Employees Pension Fund Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/16 236 High 1st Qt Median 3rd Qt Low u U.S. Real Estate Investment Fund Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs Last 4 Qtrs 6.44 2.27 0.80 -2.97 -7.91 4.53 8 2.11 27 13.87 4.53 2.56 -3.47 -8.33 8.31 9 4.22 29 18.82 7.16 4.56 0.61 -10.50 10.02 13 6.44 31 22.91 10.16 8.05 3.60 -14.98 10.72 22 8.76 39 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 u 1 u 1 u 1 243 City of Clearwater Employees Pension Fund Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 237 High 1st Qt Median 3rd Qt Low u U.S. Real Estate Investment Fund Net Ret Rank 1 NCREIF ODCE Fund Index Net Ret Rank 2016 22.91 10.16 8.05 3.60 -14.98 10.72 22 8.76 39 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% u 1 244 City of Clearwater Employees Pension Fund December 31, 2016 238 U.S. Real Estate Investment Fund Value Added Analysis - Net of Fee 3/16 6/16 9/16 12/16 -2.5% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% -1.5 -0.5 1.5 2.4 Cumulative Value AddedQuarterly Value Added vs. NCREIF ODCE Fund Index 245 City of Clearwater Employees Pension Fund Risk Measure Summary U.S. Real Estate Investment Fund Quarterly Periods Ending 12/31/16 239 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 0 4 1.22 0.50 0.64 4.53 10.72 10.72 3.59 1.17 0.12 0.36 2.90 8.89 3.66 0.50 0 4 2.07 2.18 8.76 8.76 0.09 92.25 0 4 1.22 0.50 0.64 4.53 10.72 10.72 3.59 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ity of ClearwaterCity of Clearwater March 13, 2017March 13, 2017 Calendar Year 2016Investment Performance Calendar Year 2016Investment Performance Total Fund 6.63% 79th percentile Benchmark 7.32% 65nd percentile Minus 0.69% Total Fund 6.63% 79th percentile Benchmark 7.32% 65nd percentile Minus 0.69% Calendar Year 2016Investment Performance Calendar Year 2016Investment Performance Domestic Equity 9.61% 66th Benchmark 11.96% 50th Minus 2.35% Domestic Equity 9.61% 66th Benchmark 11.96% 50th Minus 2.35% Calendar Year 2016Investment Performance Calendar Year 2016Investment Performance International Equity 2.78% 58th Benchmark 4.50% 48th Minus 1.72% International Equity 2.78% 58th Benchmark 4.50% 48th Minus 1.72% Calendar Year 2016Investment Performance Calendar Year 2016Investment Performance Domestic Fixed Income 5.01% 32nd Benchmark 2.65% 57th Plus 2.36% Domestic Fixed Income 5.01% 32nd Benchmark 2.65% 57th Plus 2.36% Calendar Year 2016Investment Performance Calendar Year 2016Investment Performance Real Estate 6.35% 63rd Benchmark 8.06% 49th Minus 1.71% Real Estate 6.35% 63rd Benchmark 8.06% 49th Minus 1.71% Calendar Year 2016Investment Performance Calendar Year 2016Investment Performance Three Year Return Total Fund 5.42% 27 th Five Year Return Total Fund 9.48% 21 st Ten Year Return Total Fund 6.51% 6 th Three Year Return Total Fund 5.42% 27 th Five Year Return Total Fund 9.48% 21 st Ten Year Return Total Fund 6.51% 6 th Individual ManagerPerformanceCalendar 2016 Individual ManagerPerformanceCalendar 2016 VOYA LCG 4.26% 56th NT Russell1000 LCV 17.03% 25th Eagle Capital LCV 10.16% 91st Mann & Nap LCV 13.85% 58th Artisan MCG -0.63% 99th VOYA LCG 4.26% 56th NT Russell1000 LCV 17.03% 25th Eagle Capital LCV 10.16% 91st Mann & Nap LCV 13.85% 58th Artisan MCG -0.63% 99th Individual ManagerPerformanceIndividual ManagerPerformance Wedge MCV 14.46% 83 rd Riverbridge SCG 13.29% 56 th Atlanta SCV 18.02% 92 nd Systematic SCV 28.72% 35 th Wedge MCV 14.46% 83 rd Riverbridge SCG 13.29% 56 th Atlanta SCV 18.02% 92 nd Systematic SCV 28.72% 35 th Individual ManagerPerformanceIndividual ManagerPerformance International: Eaton Vance EM 12.76% 36 th WCM EAFE - 1.00% 84 th TS & W EAFE - 0.19% 80 th International: Eaton Vance EM 12.76% 36 th WCM EAFE - 1.00% 84 th TS & W EAFE - 0.19% 80 th Individual ManagerPerformanceIndividual ManagerPerformance Fixed Income: Dodge Cox 5.55% 29 th WAMCO 3.66% 44 th Fixed Income: Dodge Cox 5.55% 29 th WAMCO 3.66% 44 th Individual ManagerPerformanceIndividual ManagerPerformance Real Estate: MEPT Core 8.02% 50th USAA Core Plus 12.34% 17th U.S. Real E.Core Plus 10.72% 22nd Molpus Timber -0.48% 84th Hancock Timber -1.27% 87th SEC CAP REITS 5.71% 67th Real Estate: MEPT Core 8.02% 50th USAA Core Plus 12.34% 17th U.S. Real E.Core Plus 10.72% 22nd Molpus Timber -0.48% 84th Hancock Timber -1.27% 87th SEC CAP REITS 5.71% 67th Calendar 2017Calendar 2017 New Infrastructure Manager •IFM Global Infrastructure, L.P. •Trustees approved January 2016 •$30 million commitment •Still on waiting list / queue New Infrastructure Manager •IFM Global Infrastructure, L.P. •Trustees approved January 2016 •$30 million commitment •Still on waiting list / queue City of Clearwater Employees’ Pension Plan City of Clearwater Employees’ Pension Plan