The Northern Trust Company Group Name Market Value WPERP - Retirement Fund Total 13,624,336,422 $ WPERP - Health Fund Total 2,356,310,465 $ WPERP Disability Benefit Fund 38,527,443 $ WPERP Death Benefit Fund 31,683,569 $ TOTAL PLAN ASSETS 16,050,857,899 $ LOS ANGELES WATER AND POWER EMPLOYEES’ RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND TOTAL PLAN ASSETS December 31, 2019 N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
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LOS ANGELES WATER AND POWER EMPLOYEES’ …...WPERP - Retirement Fund Total $ 13,624,336,422 WPERP - Health Fund Total $ 2,356,310,465 WPERP Disability Benefit Fund
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The Northern Trust Company
Group Name Market Value
WPERP - Retirement Fund Total 13,624,336,422$
WPERP - Health Fund Total 2,356,310,465$
WPERP Disability Benefit Fund 38,527,443$
WPERP Death Benefit Fund 31,683,569$
TOTAL PLAN ASSETS 16,050,857,899$
LOS ANGELES WATER AND POWER EMPLOYEES’ RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND
TOTAL PLAN ASSETSDecember 31, 2019
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
SCHEDULE OF RELATIVE RETURN - NET OF MANAGEMENT FEES
Portfolio Return YTD 1 Year 3 Year 5 Year 10 YearWPERP - Retirement Fund Total (GOF) 17.93 17.93 10.12 7.75 8.65WPERP - Retirement Fund Total (NOF) 17.68 17.68 9.89 7.53 8.41Less: Estimated Management Fees 0.25 0.25 0.23 0.22 0.24WPERP Retirement Fund Index 17.78 17.78 9.78 7.62 8.63ICE BofAML 3 Months US T-BILL 2.28 2.28 1.67 1.07 0.58Total Fixed Income Index 8.79 8.79 4.26 3.69 4.25MS AC WldxUS IMI Nt 21.63 21.63 9.84 5.71 5.21Russell 3000 31.02 31.02 14.57 11.24 13.42WPERP NCREIF + 50bps (1Q Lag) 6.75 6.75 7.29 9.10 10.13WPERP T-Bill+3% 1-Month Lag 5.39 5.39 4.68 4.07 3.58WPERP Russell 3000+3%(1Q Lag) 6.00 6.00 16.18 13.73 18.80WPERP CPI+3% (1-Month Lag) 5.06 5.06 5.20 4.76 4.85Relative Return - Net of Fees -0.10 -0.10 0.11 -0.10 -0.22
Footnote :1. Total Fixed Income Index is comprised of BC US Universal from Inception to 08/31/15, then the following components from 09/1/15-present : BC US Intermediate Agg x Credit 50%, BC Global Agg Credit USD Hdg 30%, BC Global High Yield USD Hdg 15 %, and Credit Suisse Lev. Loan 5%
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company
Asset Allocation
33.00%
19.00%
26.00%
5.00%
6.00%
5.00% 5.00% 1.00%
Policy Weight and Equivalent Market Value
Total Domestic Equity 4,496.0M ; 33.00%
Total International Equity 2,588.6M ;19.00%
Total Fixed 3,542.3M ; 26.00%
Total Hedge Funds 681.2M ; 5.00%
Total Real Estate 817.5M ; 6.00%
Total Private Equity 681.2M ; 5.00%
Total Real Return 681.2M ; 5.00%
Cash 136.2M ; 1.00%
3.16%
0.44%
-3.02%
-0.46%
0.80%
0.27%
-0.76%
-0.43%
Total Domestic Equity 430.7M
Total International Equity 59.4M
Total Fixed -411.4M
Total Hedge Funds -62.2M
Total Real Estate 109.0M
Total Private Equity 36.3M
Total Real Return -103.7M
Cash -58.1M
Gap to Policy in Percent Weight and Market Value
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
N O R T H E R N T R U S T WPERP - Retirement Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company ¹ Alternative investments ITD is an Internal Rate of Return as of 09/30/2019; for all other investments, it is an annualized Time Weighted Return.
Investment Hierarchy1ITD=IRR
Account / Group Name Vintage Commitment Market Value Portfolio Weight
Target Weight 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years ITD Inception
Date
(Time Weighted Returns)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
SCHEDULE OF RELATIVE RETURN - NET OF MANAGEMENT FEES
Portfolio Return YTD 1 Year 3 Year 5 Year 10 YearWPERP - Health Fund Total (GOF) 18.19 18.19 10.29 7.80 8.67WPERP - Health Fund Total (NOF) 17.97 17.97 10.08 7.59 8.45Less: Estimated Management Fees 0.23 0.23 0.21 0.21 0.22WPERP Health Fund Index 17.78 17.78 9.78 7.62 8.57ICE BofAML 3 Months US T-BILL 2.28 2.28 1.67 1.07 0.58Total Fixed Income Index 8.79 8.79 4.26 3.69 4.25MS AC WldxUS IMI Nt 21.63 21.63 9.84 5.71 5.21Russell 3000 31.02 31.02 14.57 11.24 13.42WPERP NCREIF + 50bps (1Q Lag) 6.75 6.75 7.29 9.10 10.13WPERP T-Bill+3% 1-Month Lag 5.39 5.39 4.68 4.07 3.58WPERP Russell 3000+3%(1Q Lag) 6.00 6.00 16.18 13.73 18.80WPERP CPI+3% (1-Month Lag) 5.06 5.06 5.20 4.76 4.85Relative Return - Net of Fees 0.19 0.19 0.30 -0.03 -0.13
Footnote :1. Total Fixed Income Index is comprised of BC US Universal from Inception to 08/31/15, then the following components from 09/1/15-present : BC US Intermediate Agg x Credit 50%, BC Global Agg Credit USD Hdg 30%, BC Global High Yield USD Hdg 15 %, and Credit Suisse Lev. Loan 5%
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company
Asset Allocation
33.00%
19.00%
26.00%
5.00%
6.00%
5.00% 5.00% 1.00%
Policy Weight and Equivalent Market Value
Total Domestic Equity 777.6M ; 33.00%
Total International Equity 447.7M ; 19.00%
Total Fixed 612.6M ; 26.00%
Total Hedge Funds 117.8M ; 5.00%
Total Real Estate 141.4M ; 6.00%
Total Private Equity 117.8M ; 5.00%
Total Real Return 117.8M ; 5.00%
Cash 23.6M ; 1.00%
3.88%
-0.15%
-3.38%
-0.72%
0.44%
0.72%
-0.85%
0.06%
Total Domestic Equity 91.3M
Total International Equity -3.4M
Total Fixed -79.6M
Total Hedge Funds -17.0M
Total Real Estate 10.3M
Total Private Equity 16.9M
Total Real Return -20.0M
Cash 1.5M
Gap to Policy in Percent Weight and Market Value
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
The Northern Trust Company
Plan Level Attribution - 1 Month
AccountName
BenchmarkName
AccountEnd Weight
BenchmarkEnd Weight
ActiveWeight
AccountRoR
BenchmarkRoR
ExcessRoR
Asset Allocation
SelectionEffect
TotalEffect
Attribution Residual
WPERP - Health Fund Total WPERP Health Fund Index 100.00 100.00 0.00 1.91 2.19 (0.27) 0.08 (0.35) (0.27) 0.00Total Equity -- 55.73 -- -- 3.17 -- -- 0.01 (0.13) (0.11) --Total Domestic Equity Russell 3000 36.88 33.00 3.88 2.62 2.89 (0.27) 0.03 (0.10) (0.07) --Total International Equity MS AC WldxUS IMI Nt 18.85 19.00 (0.15) 4.26 4.41 (0.15) (0.01) (0.03) (0.04) --Total Fixed Total Fixed Income Index 22.62 26.00 (3.38) 0.60 0.60 (0.00) 0.05 (0.00) 0.05 --Total Alternatives -- 20.58 -- -- 0.14 -- -- 0.02 (0.23) (0.21) --Total Real Estate WPERP NCREIF + 50bps (1Q Lag) 6.44 6.00 0.44 0.01 1.53 (1.53) (0.00) (0.10) (0.10) --Total Real Return WPERP CPI+3% (1-Month Lag) 4.15 5.00 (0.85) 1.00 0.51 0.50 0.01 0.02 0.03 --Total Private Equity WPERP Russell 3000+3%(1Q Lag) 5.72 5.00 0.72 (0.44) 2.00 (2.44) (0.00) (0.14) (0.14) --Total Hedge Funds WPERP T-Bill+3% 1-Month Lag 4.28 5.00 (0.72) 0.27 0.37 (0.10) 0.01 (0.00) 0.01 --Cash ICE BofAML 3 Months US T-BILL 1.06 1.00 0.06 0.15 0.14 0.01 (0.00) 0.00 (0.00) --Transition Accounts -- 0.00 -- -- 0.00 -- -- 0.00 0.00 0.00 --
0.00
0.00
3.88
(0.15)
(3.38)
0.00
0.44
(0.85)
0.72
(0.72)
0.06
0.00
(4.0) (2.0) 0.0 2.0 4.0 6.0
ACTIVE WEIGHT (%)
WPERP - HealthFund Total
Total Equity
Total DomesticEquity
Total InternationalEquity
Total Fixed
Total Alternatives
Total Real Estate
Total Real Return
Total Private Equity
Total Hedge Funds
Cash
(0.27)
0.00
(0.27)
(0.15)
(0.00)
0.00
(1.53)
0.50
(2.44)
(0.10)
0.01
0.00
(5.0) 0.0 5.0
EXCESS RETURN (%)
(0.35)
(0.13)
(0.10)
(0.03)
(0.00)
(0.23)
(0.10)
0.02
(0.14)
(0.00)
0.00
0.00
(0.4) (0.2) 0.0 0.2
STOCK SELECTION (%)
0.08
0.01
0.03
(0.01)
0.05
0.02
(0.00)
0.01
(0.00)
0.01
(0.00)
0.00
(0.1) 0.0 0.1 0.1
ASSET ALLOCATION (%)
(0.27)
(0.11)
(0.07)
(0.04)
0.05
(0.21)
(0.10)
0.03
(0.14)
0.01
(0.00)
0.00
(0.4) (0.2) 0.0 0.2
TOTAL EFFECT (%)
N O R T H E R N T R U S T WPERP - Health Fund | 31 December 2019
2009 2010 2011 2012 2013 2014
82.36% MSCI Emerging Markets
IMI ND
29.09% Russell 2000 Growth
25.32% WPERP Russell 3000+3%(1Q Lag)
33.20% WPERP Russell 3000+3%(1Q Lag)
43.30% Russell 2000 Growth
20.84% WPERP Russell 3000+3%(1Q Lag)
43.60% MS AC WldxUS IMI Nt
26.85% Russell 2000
16.10% WPERP NCREIF + 50bps
(1Q Lag)
18.68% MSCI Emerging Markets
IMI ND
38.82% Russell 2000
13.45% Russell 1000 Value
37.21% Russell 1000 Growth
24.50% Russell 2000 Value
7.40% Total Fixed Income
Index
18.05% Russell 2000 Value
34.52% Russell 2000 Value
13.24% Russell 1000
35.35% MSCI World Ex US IMI
Net
19.90% MSCI Emerging Markets
IMI ND
6.39% WPERP CPI+3% (1-
Month Lag)
17.51% Russell 1000 Value
33.55% Russell 3000
13.05% Russell 1000 Growth
34.47% Russell 2000 Growth
17.06% WPERP Russell 3000+3%(1Q Lag)
3.13% WPERP T-Bill+3% 1-
Month Lag
17.04% MS AC WldxUS IMI Nt
33.48% Russell 1000 Growth
12.56% Russell 3000
28.43% Russell 1000
16.93% Russell 3000
2.64% Russell 1000 Growth
16.55% MSCI World Ex US IMI
Net
33.11% Russell 1000
11.79% WPERP NCREIF + 50bps
(1Q Lag)
28.34% Russell 3000
16.71% Russell 1000 Growth
1.73% WPERP Retirement
Fund Index
16.42% Russell 1000
32.53% Russell 1000 Value
6.86% WPERP - Retirement
Fund Total
27.17% Russell 2000
16.10% Russell 1000
1.50% Russell 1000
16.42% Russell 3000
24.60% WPERP Russell 3000+3%(1Q Lag)
6.45% WPERP Retirement
Fund Index
20.87% WPERP - Retirement
Fund Total
15.51% Russell 1000 Value
1.03% Russell 3000
16.35% Russell 2000
21.57% MSCI World Ex US IMI
Net
5.60% Russell 2000 Growth
20.58% Russell 2000 Value
12.73% MS AC WldxUS IMI Nt
0.39% Russell 1000 Value
15.26% Russell 1000 Growth
17.72% WPERP - Retirement
Fund Total
5.56% Total Fixed Income
Index
19.69% Russell 1000 Value
12.30% WPERP Retirement
Fund Index
0.28% WPERP - Retirement
Fund Total
14.59% Russell 2000 Growth
16.32% WPERP Retirement
Fund Index
5.18% WPERP CPI+3% (1-
Month Lag)
19.52% WPERP Retirement
Fund Index
11.78% WPERP - Retirement
Fund Total
0.10% ML 3 Month Treasury Bill
12.06% WPERP Retirement
Fund Index
15.82% MS AC WldxUS IMI Nt
4.89% Russell 2000
8.60% Total Fixed Income
Index
10.66% MSCI World Ex US IMI
Net
-2.91% Russell 2000 Growth
12.01% WPERP - Retirement
Fund Total
11.36% WPERP NCREIF + 50bps
(1Q Lag)
4.22% Russell 2000 Value
4.84% WPERP CPI+3% (1-
Month Lag)
7.16% Total Fixed Income
Index
-4.18% Russell 2000
11.00% WPERP NCREIF + 50bps
(1Q Lag)
4.24% WPERP CPI+3% (1-
Month Lag)
3.05% WPERP T-Bill+3% 1-
Month Lag
3.21% WPERP T-Bill+3% 1-
Month Lag
5.84% WPERP NCREIF + 50bps
(1Q Lag)
-5.50% Russell 2000 Value
5.53% Total Fixed Income
Index
3.08% WPERP T-Bill+3% 1-
Month Lag
0.03% ML 3 Month Treasury Bill
0.21% ML 3 Month Treasury Bill
4.14% WPERP CPI+3% (1-
Month Lag)
-12.66% MSCI World Ex US IMI
Net
4.76% WPERP CPI+3% (1-
Month Lag)
0.07% ML 3 Month Treasury Bill
-1.79% MSCI Emerging Markets
IMI ND
-19.96% WPERP Russell 3000+3%(1Q Lag)
3.12% WPERP T-Bill+3% 1-
Month Lag
-14.31% MS AC WldxUS IMI Nt
3.10% WPERP T-Bill+3% 1-
Month Lag
-1.35% Total Fixed Income
Index
-3.89% MS AC WldxUS IMI Nt
-22.10% WPERP NCREIF + 50bps
(1Q Lag)
0.13% ML 3 Month Treasury Bill
-19.49% MSCI Emerging Markets
IMI ND
0.11% ML 3 Month Treasury Bill
-2.20% MSCI Emerging Markets
IMI ND
-4.45% MSCI World Ex US IMI
Net
Periodic Chart of WPERP Total Plan Indices Total Fund Gross of Fees as of December 31, 2019
6.86 %
17.72 % 12.01 %
0.28 %
11.78 %
20.87 %
201420132012201120102009
2015 2016 2017 2018 Annualized 2009-2019 YTD 2019
14.02% WPERP NCREIF + 50bps
(1Q Lag)
31.74% Russell 2000 Value
36.83% MSCI Emerging Markets
IMI ND
21.06% WPERP Russell 3000+3%(1Q Lag)
18.80% WPERP Russell 3000+3%(1Q Lag)
36.39% Russell 1000 Growth
5.67% Russell 1000 Growth
21.31% Russell 2000
30.21% Russell 1000 Growth
7.69% WPERP NCREIF + 50bps
(1Q Lag)
15.22% Russell 1000 Growth
31.43% Russell 1000
3.45% WPERP CPI+3% (1-
Month Lag)
18.37% WPERP Russell 3000+3%(1Q Lag)
27.81% MS AC WldxUS IMI Nt
5.22% WPERP CPI+3% (1-
Month Lag)
13.54% Russell 1000
31.02% Russell 3000
3.02% WPERP T-Bill+3% 1-
Month Lag
17.34% Russell 1000 Value
25.17% MSCI World Ex US IMI
Net
4.85% WPERP T-Bill+3% 1-
Month Lag
13.42% Russell 3000
28.48% Russell 2000 Growth
2.49% WPERP Russell 3000+3%(1Q Lag)
12.74% Russell 3000
22.22% WPERP Russell 3000+3%(1Q Lag)
1.87% ML 3 Month Treasury Bill
13.01% Russell 2000 Growth
26.54% Russell 1000 Value
1.68% WPERP - Retirement
Fund Total
12.05% Russell 1000
22.17% Russell 2000 Growth
0.07% Total Fixed Income
Index
11.83% Russell 2000
25.52% Russell 2000
0.92% Russell 1000
11.32% Russell 2000 Growth
21.69% Russell 1000
-1.51% Russell 1000 Growth
11.80% Russell 1000 Value
22.91% MSCI World Ex US IMI
Net
0.70% WPERP Retirement
Fund Index
9.90% MSCI Emerging Markets
IMI ND
21.13% Russell 3000
-2.51% WPERP Retirement
Fund Index
10.56% Russell 2000 Value
22.39% Russell 2000 Value
0.48% Russell 3000
9.75% WPERP NCREIF + 50bps
(1Q Lag)
16.54% WPERP - Retirement
Fund Total
-2.84% WPERP - Retirement
Fund Total
10.13% WPERP NCREIF + 50bps
(1Q Lag)
21.63% MS AC WldxUS IMI Nt
0.11% Total Fixed Income
Index
8.37% WPERP Retirement
Fund Index
15.21% WPERP Retirement
Fund Index
-4.78% Russell 1000
8.65% WPERP - Retirement
Fund Total
17.93% WPERP - Retirement
Fund Total
0.05% ML 3 Month Treasury Bill
7.08% Russell 1000 Growth
14.65% Russell 2000
-5.24% Russell 3000
8.63% WPERP Retirement
Fund Index
17.78% WPERP Retirement
Fund Index
-1.38% Russell 2000 Growth
6.95% WPERP - Retirement
Fund Total
13.66% Russell 1000 Value
-8.27% Russell 1000 Value
5.66% MSCI World Ex US IMI
Net
17.64% MSCI Emerging Markets
IMI ND
-1.95% MSCI World Ex US IMI
Net
5.65% Total Fixed Income
Index
7.84% Russell 2000 Value
-9.31% Russell 2000 Growth
5.21% MS AC WldxUS IMI Nt
8.79% Total Fixed Income
Index
-3.83% Russell 1000 Value
4.75% WPERP CPI+3% (1-
Month Lag)
7.43% WPERP NCREIF + 50bps
(1Q Lag)
-11.01% Russell 2000
4.85% WPERP CPI+3% (1-
Month Lag)
6.75% WPERP NCREIF + 50bps
(1Q Lag)
-4.41% Russell 2000
4.41% MS AC WldxUS IMI Nt
5.31% WPERP CPI+3% (1-
Month Lag)
-12.86% Russell 2000 Value
4.25% Total Fixed Income
Index
6.00% WPERP Russell 3000+3%(1Q Lag)
-4.60% MS AC WldxUS IMI Nt
3.33% WPERP T-Bill+3% 1-
Month Lag
4.11% Total Fixed Income
Index
-14.68% MSCI World Ex US IMI
Net
3.60% MSCI Emerging Markets
IMI ND
5.39% WPERP T-Bill+3% 1-
Month Lag
-7.47% Russell 2000 Value
2.95% MSCI World Ex US IMI
Net
3.81% WPERP T-Bill+3% 1-
Month Lag
-14.76% MS AC WldxUS IMI Nt
3.58% WPERP T-Bill+3% 1-
Month Lag
5.06% WPERP CPI+3% (1-
Month Lag)
-13.86% MSCI Emerging Markets
IMI ND
0.33% ML 3 Month Treasury Bill
0.86% ML 3 Month Treasury Bill
-15.04% MSCI Emerging Markets
IMI ND
0.58% ML 3 Month Treasury Bill
2.28% ML 3 Month Treasury Bill
Periodic Chart of WPERP Total Plan Indices Total Fund Gross of Fees as of December 31, 2019
17.93 %
(2.84%)
16.54 %
6.95 % 1.68 %
YTD 20192018201720162015
Disclaimer(s)
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Water and Power Employees' Retirement PlanWatch List Summary
As of December 31, 2019
MTD YTD 1 Year 3 Year 5 Year
Continue On Watch
Fidelity Developed Int'l (SA) 3.38 25.29 25.29 9.85 5.74International Developed Blend 3.40 22.91 22.91 9.49 5.79
LA Capital Emerging (CF) 7.29 17.34 17.34 10.24 4.72MSCI Emg Mkts IM Index (USD) (Net) 7.32 17.65 17.65 11.00 5.30
Macquarie Unconstrained (SA) 0.97 13.21 13.21 5.78 N/A67% B Global Credit/33% B Global High Yield 1.10 12.53 12.53 5.78 5.36
Neuberger Unconstrained (SA) 1.18 13.66 13.66 6.87 N/A67% B Global Credit/33% B Global High Yield 1.10 12.53 12.53 5.78 5.36