A
A 2001303744/480059_0/480059/399861
Cover-Full Image-InsideWMCNONO
Emerging Markets Systematic Equity
Wellington Management Company LLP
Los Angeles Department of Water and Power
23 May 2018Michael P. McElroy, CFA Managing Director and Investment Director, Equity Product Management Charles C. Ruch, CFA Managing Director and Relationship Manager
1
Copyright © 2017 All Rights Reserved2001070596/451746_0/451746/451746A
A
Representing Wellington ManagementTitle Line 2
Michael P. McElroy, CFAManaging Director and Investment Director, Equity Product Management
Mike works closely with investors to help ensure the integrity of their investment approach. This includes meeting with the team on a regular basis and providing oversight of portfolio positioning, performance, and risk exposures, as well as managing business issues such as capacity, fees, and guidelines.
Prior to joining Wellington Management in 2013, Mike worked at Batterymarch Financial Management, where he was senior portfolio manager and head of global equities.
Mike received both an MS in management and an MS in transportation planning from the Massachusetts Institute of Technology (1992), and a BS in applied mathematics from the Massachusetts Institute of Technology (1987). In addition, he holds the Chartered Financial Analyst designation.
Charles C. Ruch, CFAManaging Director and Relationship Manager
Charlie works with clients in the western US, including endowments, foundations, public funds, and corporate pension plans. Charlie is responsible for assisting clients with long-term investment strategy and policy issues, evaluating portfolio risks and performance, and meeting with clients to discuss investment- and business-related issues on a regular basis.
Charlie joined Wellington Management in 2006 as a portfolio communications manager, covering specific investment products and assisting with investment-related communications to clients. Prior to joining Wellington Management, he was a research associate at Oppenheimer & Co.
Charlie graduated from Harvard Business School with an MBA (2005). He earned his BA in history and science from Harvard University (1997) and was a DAAD fellow at the Technische Universität München in Germany (1998). Additionally, Charlie holds the Chartered Financial Analyst designation.
A Los Angeles Department ofWater and Power A23 May 2018 A1 1
Copyright © 2018 All Rights Reserved2000635965/479845_1/G1039/G1039
A Los Angeles Department ofWater and Power A23 May 2018
Wellington Management todayTitle Line 2A trusted advisor and strategic partner to clients worldwide
BY THE NUMBERS
BusinessUS$1,078 billion of client assets under management
2,200+ clients
60+ countries in which clients are based
People and portfolios701 investment professionals
17 years of experience, on average
160 partners all active at the firm
Heritage: key dates1928 Wellington Fund – first
US balanced fund
1979 Establishment of private partnership
1994 First long – short strategy launched
2014 First dedicated private equity strategy
As of 31 March 2018
OWNERSHIP MODELLong-term perspective of a private partnership structure
Attract and retain investment talent
Independent: No public shareholders, no outside capital
Interests aligned with clients
BUSINESS MODELSingular focus on investment management
Diversification by asset class, geography, and client type
Research for client benefit only
Commitment to bringing the right resources to each client
INVESTMENT MODELComprehensive capabilities
Rigorous proprietary research
Career analysts
Global resources
Empowered portfolio teams
CULTUREOpen, collaborative
Performance driven
Professional/collegial
High standards, ethics, and integrity
Global diversity and inclusion
Contributors to firm
sustainability
A1 2
Copyright © 2018 All Rights Reserved
A Los Angeles Department ofWater and Power A23 May 2018
Depth, experience, and continuity create interpretation advantageTitle Line 2
As of 31 March 2018
2000003966/480059_0/G1039/G1039
Avg years of professional experience Total number of investment professionals: 701Avg years with Wellington Management
Research Credit Analysis 40Derivatives 4
ESG Research 6Global Industry Analysis 48
Macroanalysis 5Quantitative Analysis 20Research Associates 44
Technical Analysis 3
Equities Portfolio Management 58Research Analysis 64
Product Management 39Portfolio Analysis 13
Fixed Income Portfolio Management 61Strategy 10
Quantitative Analysis 10Product Management 44
Portfolio Analysis 31
Multi-Strategy Portfolio Management 24Research Analysis 23
Product Management 16Portfolio Analysis 8
Alternatives Commodities 3Currency 2
Product Management 15
Additional resources Investment Analytics 3
Trading 57
Management 50
0 5 10 15 20 25
Investors draw on rigorous, proprietary research
We conduct research through fundamental; environmental, social, and corporate governance (ESG); quantitative; macro; and technical lenses
A1 3
Copyright © 2018 All Rights Reserved2000635968/479845_1/G2911/G2911
A Los Angeles Department ofWater and Power A23 May 2018
Representative client listTitle Line 2
As of 31 March 2018 | Clients included on the list above were selected based on client type, account size, and/or other nonperformance-based criteria to show a list of representative clients. This list does not represent an endorsement of the firm or its services.
Corporate Retirement Plans
AbbVie Inc.Afore BanamexAir CanadaAmerican Electric Power SystemCanadian PacificCanada Post Pension PlanCargill, Inc.CoINVEST LimitedDow ChemicalGaishoku-Sangyo JF Pension FundGeneral MillsGraymont, Inc.Hallmark Cards, Inc.International Paper CompanyITV Pension SchemeLaerernes PensionMedtronic, Inc.Merck & CompanyMKS InstrumentsMolson Coors Brewing CompanyNational Provident FundPG&E CorporationRoll GroupRoyal Bank of CanadaSiemens CorporationSPF BeheerTELUSTextron, Inc.TransCanada PipeLines
Insurance (general account assets)
Assured Guaranty Corp.HiscoxMortgage Guaranty Insurance CorporationSamsung Fire & Marine Insurance Co. Ltd
Endowments, Foundations, and Family Offices
Chicago Symphony OrchestraJewish Foundation of Greater TorontoMassachusetts Institute of TechnologyMercy HealthRenaissance Charitable FoundationStanhope CapitalUniversity of Kentucky
Public Sector, Sovereign, and Taft-Hartley
Alberta Teachers’ Retirement FundBritish Columbia Investment Management CorporationFlintshire County CouncilGovernment of BermudaHospital Authority Provident Fund SchemeMassachusetts Laborers’ Pension FundOhio Carpenters’ Pension FundOklahoma Teachers Retirement SystemOregon Laborers – Employers Pension Trust FundState of OregonTreasurer of the State of North Carolina
Subadvisory Relationships
GAMNikko Asset ManagementUOB Asset Management LtdVanguard
A1 4
Copyright © 2018 All Rights Reserved2001300741/480059_0/479845/451746A
A
Los Angeles Department of Water and PowerTitle Line 2Relationship review
Investment assignment Emerging Markets Systematic Equity
Portfolio inception 30 September 2016
Relationship team Charles Ruch, CFA; Stephen Crisan, CFA
31 March 2018 Market values
Employees’ Retirement Plan portfolio $357.4 million
Employees’ Health Plan portfolio 59.54 million
EMSE – total strategy AUM 2.5 billion
Wellington – total firm AUM 1,078 billion
A Los Angeles Department ofWater and Power A23 May 2018 A1 5
Copyright © 2018 All Rights Reserved2001303753/480059_0/411669/411669A
-
Title Line 1Title Line 2Portfolio Management TeamEmerging Markets Systematic Equity
David J. Elliott, CFA, FRM Co-Director, Quantitative Investment Group Senior Managing Director BS, University of Massachusetts (Amherst) 29 years of professional experience 23 years with Wellington Management
Mark A. Yarger, CFA Quantitative AnalystManaging Director MBA, Babson College 29 years of professional experience 18 years with Wellington Management
Michael P. McElroy, CFA Investment DirectorManaging Director MS, Massachusetts Institute of Technology (Sloan) 31 years of professional experience 4 years with Wellington Management
- Los Angeles Department ofWater and Power _23 May 2018 A1 6
Copyright © 2018 All Rights Reserved2001303754/480059_0/411669/411669A
-
Title Line 1Title Line 2Specialized research evolves the processEmerging Markets Systematic Equity
“We seek to find investment opportunities in the gap between how markets should behave and how they do behave.” – CHRISTOPHER GROHE, CFA
“ Our research is ongoing. It is the ceaseless pursuit of truth in a changing world.”
– OWEN LAMONT, PhD
“We all write code. We have no silos between factor research and portfolio management. Self-sufficiency can eliminate bottlenecks and allows us to prototype and test ideas rapidly.” – TOM BOK, PhD
Mark A. Yarger, CFAMBA, Babson College29 years experience
Christopher R. Grohe, CFAMBA, Massachusetts Institute of Technology23 years experience
David J. Elliott, CFA, FRMBS, University of Massachusetts, Amherst
29 years experience
Donald S. TunnellMBA, University of Chicago30 years experience
Sharon Gu, CFAMS, Cornell University
8 years experience
Michael P. McElroy, CFAMS, Massachusetts Institute of Technology31 years experience
Yang Du, PhDPhD, Northeastern University
8 years experience
Owen Lamont, PhDPhD, Massachusetts Institute of Technology26 years of experience
David Goddeau, PhDPhD, Massachusetts Institute of Technology
36 years experience
Josh Graver, PhDPhD, Princeton University 10 years of experience
Cheryl D. DavisMA, Bentley University
21 years experience
Andrew T. Liu, CFABA, Williams College7 years of experience
Reza Shabani, PhDPhD, University of California, Berkeley 5 years of experience
Wei XuMS, Tsinghua University10 years of experience
PORTFOLIO OPERATIONAL MANAGEMENT
PORTFOLIO OPERATIONAL MANAGEMENT
RESEARCH INFRASTRUCTURE
MACHINE LEARNING
MULTI- ASSETS
BEHAVIORALFINANCE
PORTFOLIO ENGINEERING
PORTFOLIO MANAGEMENT
PORTFOLIO OVERSIGHT
FACTOR MODELS & SHORTING
FACTOR TIMING
OUR RESEARCH PASSION
SHORT TERM MODEL
ALTERNATIVE DATA
RESEARCH ANALYTICS
- Los Angeles Department ofWater and Power _23 May 2018 A1 7
2
Copyright © 2018 All Rights Reserved2001303677/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic Equity (EMSE)What role can EMSE play and what is our competitive advantage?
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Based on the net performance of the Emerging Markets Systematic Equity Composite since inception on 30 September 2009. The inception date of the Wellington Emerging Markets Systematic Equity Fund is 23 November 2015. See performance pages enclosed for full details
Why should clients consider EMSE? Employs a systematic approach to investing in emerging markets equities
Systematic approaches have historically been effective in emerging markets
Low alpha correlation with other emerging markets approaches
Consistent historical performance across a range of market environments
What is our competitive advantage? Contextual alpha model
Uses a proprietary framework to weight factors at the stock level based on company-specific indicators
Risk management
A holistic approach based on EM-specific risk drivers, which considers both historical and forward-looking indicators; enables portfolio risk to be focused on stock-specific drivers and allows for more responsive risk adjustments
Transaction cost management
EM costs average about twice those of developed markets; model integrates cost considerations into every trading decision
- Los Angeles Department ofWater and Power _23 May 2018 A1 8
Copyright © 2018 All Rights Reserved2001303752/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment philosophy, approach, and objective
Investment philosophy
We believe…
Certain stock-level factors are strongly associated with future relative performance
The use of multiple factors is important
Optimizing the opportunity set requires managing the returns, risks, and costs
Tools and techniques must constantly evolve to be successful
Approach and investment objective
We seek long-term results in excess of the MSCI Emerging Markets IMI Net Index. EMSE employs an integrated set of proprietary emerging markets alpha sources, a proprietary risk framework, and proprietary trading techniques which seek to minimize cost in pursuit of a consistent alpha orientation with attractive upside and downside capture.
- Los Angeles Department ofWater and Power _23 May 2018 A1 9
Copyright © 2018 All Rights Reserved2001303755/480059_0/411669/411669A
-
Title Line 1Title Line 2Collaboration: Systematic process benefits from fundamental insightsEmerging Markets Systematic Equity
Outcomes/ Model enhancements
Quality factor signals reconfigured for REITs
Contextual model differentiates stocks based on issuer characteristics and importance of specific factors
New insight drives quant research
REITs tend to rely on issuing new shares to fund their growth
A tech company behaves more like a utility, with stable cash flow and dividends
“ Good ideas are the lifeblood of research. Having access to a deep team of experts at Wellington Management helps shape our research agenda and improve our systematic process.” – Don Tunnell
Conventional view
Companies that issue shares typically underperform those that buy them back
All companies in a sector generally respond to the same pricing and behavioral dynamics
- Los Angeles Department ofWater and Power _23 May 2018 A1 10
Copyright © 2018 All Rights Reserved2001303757/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment process
The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be outside of stated ranges. | QRM – proprietary quantitative risk model used in the process. | QE Model – proprietary quantitative equity model used in the process.
3 proprietary models inform the optimizer
Optimizer maximizes return/risk subject to costs
Portfolio reflects optimal expected risk adjusted return after costs
Proprietary Quantitative Equity (QE) Models
Proprietary Risk Model (QRM)
Proprietary Transaction Cost Model
Alpha forecast
Risk forecast
Transaction cost prediction
Portfolio Optimization
EMSEportfolio
> 150 names, Sector/Country weights
±5% of index,Tracking risk 2 – 4%
- Los Angeles Department ofWater and Power _23 May 2018 A1 11
Copyright © 2018 All Rights Reserved2001303758/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic EquityQuantitative Equity ModelSecurity evaluation – Diverse alpha sources
Fair value
Contextual Alpha ModelStocks classified along a spectrum of information uncertainty and assigned unique factor weights
Pure value
Management behavior
Earnings quality
Long-term momentum
Short-term momentum
Situations & events
QE Model forecasts
Short-Term ModelAims to predict relative performance of global equities, with a time horizon of 1 – 4 weeks
- Los Angeles Department ofWater and Power _23 May 2018 A1 12
Copyright © 2018 All Rights Reserved2001303760/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic Equity Proprietary Quantitative Risk Model (QRM) Specifically tuned to proprietary alpha engine
Sources: S&P, Wellington Management, third party risk model | Market data represents the S&P 500 Index. | Chart data: December 2000 – October 2017
Benefits
Improved risk prediction accuracy
Faster response to changes in risk regimes
Potential outcomes
More efficient alpha transfer from alignment with alpha model
Crowd avoidance via differentiated portfolio holdings
0
20
40
60
80
Total risk prediction: Market predicted vs realized risk comparison (3-month windows) Standard deviation of returns (%)
Realized risk
Predicted risk (3rd party generic model)
Predicted risk (QRM)
- Los Angeles Department ofWater and Power _23 May 2018 A1 13
Copyright © 2018 All Rights Reserved2001303761/480059_0/411669/411669A
-
Title Line 1Title Line 2How we control transaction costsEmerging Markets Systematic Equity
For illustrative purposes only.
Proprietary transaction cost modelIntegrates cost considerations into every trading decision
Tuned to our trading style
Incorporates country-specific fees, taxes, commissions, and stamp duties
Minimal-impact execution processPatient trade horizon/low liquidity consumption
Efficient execution by our Global Program trading desk
Transaction cost monitoringProprietary cost reporting tool delivers comprehensive cost analytics T+1
Visualization tools summarize execution patterns and allow drill-down into individual orders
Sample report
- Los Angeles Department ofWater and Power _23 May 2018 A1 14
Copyright © 2018 All Rights Reserved2001303762/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic EquityPortfolio construction and risk controls
The characteristics presented are sought during the portfolio management process. Actual experience may not reflect all of these characteristics, or may be outside of stated ranges.
Benchmark: MSCI Emerging Markets Index
Position size Number of holdings
Relative weight ±3% Number of holdings Typically > 150
Sector weights Other
Typically within ±5% of the MSCI Emerging Markets Index sector weight
Cash Typically < 5%
Derivatives To equitize cash
Country weights
Typically within ±5% of the MSCI Emerging Markets Index country weight
Regular portfolio and risk reviews by Product Management and Investment Review Group
Market cap size limitations
Within the range of the benchmark
- Los Angeles Department ofWater and Power _23 May 2018 A1 15
Copyright © 2017 All Rights Reserved2001070595/451989_1/451746/451746A
A
Los Angeles Dept of Water and PowerTitle Line 2Summary of guidelines
The portfolios have been in compliance with investment guidelines since the inception of the accounts (September 2016)• Benchmark:MSCIEmergingMarketsIMIND• Permittedinvestments:securitiesofnon-UScompaniesdoingbusinessinemergingmarkets,includingREITsanddepositaryreceipts;ETF’salsopermitted.
• Minimummarketcapitalizationforeligibleinvestments:$100million• 144Asecuritieswithoutregistrationrightslimitedto10%ofportfolio• Non-currencyderivativesarenotpermittedwithouttheconsentofthePlan• Currencyhedgingpermitted,upto25%ofportfoliovalue• Nogreaterthan7%investedinasingleissuer• Securitieswithgreaterthan10%ofoutstandingsharesheldbyWellingtonare
not permitted• Turnovernormallylessthan200%fortwelvemonthperiods• Trailingtwelvemonthprice-to-earningsnormallywithin±.5xrangeofbenchmark• Averagedividendyieldnormallywithin±.5xofbenchmark• Betanormallysimilartobenchmarkonarolling24-monthbasis
A Los Angeles Department ofWater and Power A23 May 2018 A1 16
3
Copyright © 2018 All Rights Reserved2001305060/480059_0/480059/451989A
A
Market OverviewTitle Line 2Update and Outlook
We believe the environment well-suited for systematic techniques
Our Emerging Markets stock selection model was positive in Q1 2018
Momentum and value themes were strongest contributors
Quality theme was flat for the quarter
A Los Angeles Department ofWater and Power A23 May 2018 A1 17
Copyright © 2018 All Rights Reserved2001303771/480059_0/411669/411669A
-
Title Line 1Title Line 2
% of months 51 40 27 52 30 40 43 51 44 46% time O/P 64 63 78 59 57 65 58 60 52 59
% of months 49 60 73 48 70 60 57 49 56 54% time O/P 61 63 57 67 65 61 66 65 71 66
Emerging Markets Systematic Equity CompositeGross performance in various market environments
Inception date: 30 September 2009 | Sources: Wellington Management, FactSet | The charts show the average monthly return of the Emerging Markets Systematic Equity Composite during positive and negative environments for each factor. The specific factors were selected because they were deemed to be relevant to this approach. Not all factors that exist are shown. | Please refer to the notes page for market environments for additional information | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other indirect expenses, and include reinvestment of dividends and other earnings. If all expenses were reflected, the performance shown would be lower. Actual fees will vary depending on, among other things, the applicable fee schedule and account size. Composite returns have the potential to be adjusted until reviewed and finalized 30 days following each calendar quarter end period. For use in one-on-one presentations only. This supplemental information complements the GIPS® compliant presentation provided in the attachment. Please refer to the Important Disclosures page for additional information.
0.0
10.0
20.0
30.0
40.0
50.0
Smallup
Lowgrowth
Valuedown
Lowvol
Contrarian Lowquality
EMdown
Fallingoil
Fallinggold
Fallingcommodities
0.0
10.0
20.0
30.0
40.0
50.0
Largeup
Highgrowth
Valueup
Highvol
Momentum Highquality
EMup
Risingoil
Risinggold
Risingcommodities
Average monthly active return (bps, USD), since inception as of 31 December 2017
Average monthly active return (bps, USD), since inception as of 31 December 2017
- Los Angeles Department ofWater and Power _23 May 2018 A1 18
Copyright © 2018 All Rights Reserved2001303774/480059_0/411669/411669A
-
Title Line 1Title Line 2Notes page for market environments
Large up/Small up: evaluated by using the Size factor returns from MSCI Barra’s Global Equity Model (GEM2L)
High growth/Low growth: evaluated by using the Growth factor returns from MSCI Barra’s Global Equity Model (GEM2L)
Value up/Value down: evaluated by using the Value factor returns from MSCI Barra’s Global Equity Model (GEM2L)
High vol/Low vol: evaluated by using the Volatility factor returns from Barra’s Global Equity Model (GEM2L)
Momentum/Contrarian: evaluated using the Momentum factor returns from Barra’s Global Equity Model (GEM2L)
High quality/Low quality: evaluated by comparing the returns of top quintile “quality” (i.e., several aggregated valuation metrics including debt-to-equity ratio, ROIC, earnings stability, dividend yield, dividend growth, and accruals over time) versus companies with bottom quintile “quality” within the MSCI Emerging Markets Index
EM up/EM down: evaluated using 1-month % total return of the MSCI Emerging Markets Index
Rising oil/Falling oil: evaluated using 1-month % change in NYMEX West Texas Intermediate spot price
Rising gold/Falling gold: evaluated using 1-month % change in COMEX spot price
Rising commodities/Falling commodities: evaluated using 1-month % change of the Goldman Sachs Commodity Index (GSCI)
- Los Angeles Department ofWater and Power _23 May 2018 A1 19
Copyright © 2018 All Rights Reserved2001303776/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic Equity CompositeGross performance in various sector environments
Inception date: 30 September 2009| Sources: Wellington Management, FactSet | Benchmark: MSCI Emerging Markets Index | The charts show the average monthly active return of the Emerging Markets Systematic Equity Composite during leading and lagging environments for each sector. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE. Gross performance results are net of commissions and other direct expenses, but before (gross of) advisory fees, custody charges, withholding taxes, and other indirect expenses, and include reinvestment of dividends and other earnings. If all expenses were reflected, the performance shown would be lower. Actual fees will vary depending on, among other things, the applicable fee schedule and account size. Composite returns have the potential to be adjusted until reviewed and finalized 30 days following each calendar quarter end period. For use in one-on-one presentations only. This supplemental information complements the GIPS® compliant presentation provided in the attachment. Please refer to the Important Disclosures page for additional information.
% of months 43 45 59 52 40 60 41 59 53 59% time O/P 56 56 66 65 55 61 61 60 71 62
% of months 57 55 41 48 60 40 59 41 47 41% time O/P 68 69 59 60 68 65 64 66 53 63
0.0
10.0
20.0
30.0
40.0
Consdiscretionary
Consstaples
Energy Financials Healthcare
Industrials Infotechnology
Materials Telecomsvcs
Utilities
0.0
10.0
20.0
30.0
40.0
Consdiscretionary
Consstaples
Energy Financials Healthcare
Industrials Infotechnology
Materials Telecomsvcs
Utilities
Sectors leading the broad marketAverage monthly active return (bps, USD), since inception as of 31 December 2017
Sectors lagging the broad marketAverage monthly active return (bps, USD), since inception as of 31 December 2017
- Los Angeles Department ofWater and Power _23 May 2018 A1 20
4
Copyright © 2018 All Rights Reserved2001304167/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment returns
Inception date: 30 September 2016 | Sums may not total due to rounding. | Performance returns for periods one year or less are not annualized. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.
As of 31 March 2018 (%, USD)
1Q18 1 yrSince inception
LA Water & Power Employees' Retirement Plan (gross)
1.5 25.9 23.8
LA Water & Power Employees' Retirement Plan (net)
1.4 25.2 23.1
MSCI Emerging Markets IMI Net 1.3 24.1 20.6
Active return (net vs benchmark) 0.1 1.1 2.5
YTD 201730 Sep 2016 –31 Dec 2016
LA Water & Power Employees' Retirement Plan (gross)
1.5 41.6 -4.1
LA Water & Power Employees' Retirement Plan (net)
1.4 40.8 -4.3
MSCI Emerging Markets IMI Net 1.3 36.8 -4.4
Active return (net vs benchmark) 0.1 4.0 0.2
- Los Angeles Department ofWater and Power _23 May 2018 A1 21
Copyright © 2018 All Rights Reserved2001304168/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic EquityInvestment returns
Inception date: 30 September 2016 | Sums may not total due to rounding. | Performance returns for periods one year or less are not annualized. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.
As of 31 March 2018 (%, USD)
1Q18 1 yrSince inception
LA Water & Power Employees' Health Plan (gross)
1.7 25.9 23.9
LA Water & Power Employees' Health Plan (net)
1.5 25.2 23.2
MSCI Emerging Markets IMI Net 1.3 24.1 20.6
Active return (net vs benchmark) 0.3 1.1 2.6
YTD 201730 Sep 2016 –31 Dec 2016
LA Water & Power Employees' Health Plan (gross)
1.7 41.4 -4.2
LA Water & Power Employees' Health Plan (net)
1.5 40.7 -4.3
MSCI Emerging Markets IMI Net 1.3 36.8 -4.4
Active return (net vs benchmark) 0.3 3.8 0.2
- Los Angeles Department ofWater and Power _23 May 2018 A1 22
Copyright © 2018 All Rights Reserved2001303764/480059_0/411669/411669A
-
Title Line 1Title Line 2LA Water & Power Employees' Retirement Plan
†MSCI Emerging Markets IMI Net. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.
Performance review (USD): One year as of 31 March 2018Portfolio: 25.9%; Benchmark†: 24.1%
Sector allocation Security selectionSector attribution (bps)
Country allocation Security selectionCountry attribution (bps)
-200
-100
0
100
200
300
Consdiscretionary
Industrials Realestate
Materials Energy Utilities Telecomsvcs
Consstaples
Healthcare
Financials Infotechnology
-100
-80
-60
-40
-20
0
20
40
60
Russia Mexico Malaysia Thailand Colombia Peru S Korea Poland China S Africa
- Los Angeles Department ofWater and Power _23 May 2018 A1 23
Copyright © 2018 All Rights Reserved2001303968/480059_0/411669/411669A
-
Title Line 1Title Line 2LA Water & Power Employees’ Retirement PlanPerformance review (USD): One year as of 31 March 2018Portfolio: 25.9%; Benchmark: 24.1%
Benchmark: MSCI Emerging Markets IMI Net. | *Represents securities not held in the portfolio during the period. | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.
Company Sector Country End weight (%)
Period return (%)
Relative impact (bps)
Geely Automobile Cons discretionary China 0.1 88.5 79
LG Electronics Cons discretionary S Korea 1.5 69.4 51
China Mobile Telecom svcs China 1.3 -7.0 37
Steinhoff Intl* Cons discretionary S Africa 0.0 -94.2 34
Anhui Conch Cement Materials China 0.9 63.6 33
KWG Property Real estate China 0.1 110.6 32
Sberbank Russia Financials Russia 1.4 67.3 30
General Interface Solutions Info technology Taiwan 0.0 73.9 27
Shimao Property Real estate China 0.0 77.9 27
Agile Group Real estate China 0.0 132.8 27
Company Sector Country End weight (%)
Period return (%)
Relative impact (bps)
Tencent Info technology China 3.3 82.3 -67
Alibaba Info technology China 1.9 70.2 -52
Ping An Insurance* Financials China 0.0 85.5 -35
Celltrion* Health care S Korea 0.0 267.6 -31
NetEase Info technology China 0.0 -3.9 -28
Dr Reddy's Laboratories Health care India 0.0 -21.4 -25
Telekomunikasi Indonesia Telecom svcs Indonesia 0.3 -13.8 -25
Polski Koncern Nafto Energy Poland 0.9 -0.1 -25
Telkom SA SOC Telecom svcs S Africa 0.0 -31.3 -24
Itau Unibanco Financials Brazil 0.0 -1.1 -23
Top relative contributors
Top relative detractors
- Los Angeles Department ofWater and Power _23 May 2018 A1 24
Copyright © 2018 All Rights Reserved2001303934/480059_0/411669/411669A
-
Title Line 1Title Line 2LA Water & Power Employees’ Retirement PlanPerformance review (USD): One year as of 31 March 2018Portfolio: 25.9%; Benchmark: 24.1%
Benchmark: MSCI Emerging Markets IMI Net | Source: Wellington Management Quantitative Investment Group | Data calculating cumulative allocation impact of exposures to proprietary Quantitative Risk Model (QRM) factors | PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS AND AN INVESTMENT CAN LOSE VALUE.
-200 -100 0 100 200 300 400 500
Specific
Industry
Other (trading & costs)
Region
Currency
Style
Country
QE model
Quantitative Risk Model factor attribution, cumulative gross active return (bps)
- Los Angeles Department ofWater and Power _23 May 2018 A1 25
Copyright © 2018 All Rights Reserved2001303766/480059_0/411669/411669A
-
Title Line 1Title Line 2LA Water & Power Employees' Retirement PlanSector weights
†MSCI Emerging Markets IMI.
0
5
10
15
20
25
30
35
Financials Utilities Telecomsvcs
Energy Materials Consdiscretionary
Realestate
Consstaples
Infotechnology
Industrials Healthcare
% of equity as of 31 March 2018
Overweight Underweight
Portfolio Benchmark†
- Los Angeles Department ofWater and Power _23 May 2018 A1 26
Copyright © 2018 All Rights Reserved2001303767/480059_0/411669/411669A
-
Title Line 1Title Line 2LA Water & Power Employees' Retirement PlanCountry weights
†MSCI Emerging Markets IMI. | Other represents additional countries held by the portfolio or benchmark.| The country/region data includes ETF holdings which are classified based upon their country of domicile and do not reflect classifications of underlying holdings. ETFs may be held for a variety of reasons, including but not limited to providing exposure to a specific country or to equitize cash.
0
10
20
30
40
% of equity as of 31 March 2018
Overweight Underweight
Portfolio Benchmark†
- Los Angeles Department ofWater and Power _23 May 2018 A1 27
5
Copyright © 2018 All Rights Reserved2001300746/479845_1/479845/452344
A Los Angeles Department ofWater and Power A23 May 2018
Los Angeles Department of Water and PowerTitle Line 2Change in market value through 31 March 2018
Employees’ Retirement Plan portfolio ($ mil)
Employees’ Health Plan portfolio ($ mil)
Initial funding (cash and in-kind transfers) – September 2016
265.35 44.19
Contributions – September 2016 to March 2018
0.61 0.10
Withdrawls – September 2016 to March 2018
-0.16 -0.05
Capital appreciation and income 91.30 15.20
Ending market value 357.42 59.54
A1 28
Copyright © 2018 All Rights Reserved2001303768/480059_0/411669/411669A
-
Title Line 1Title Line 2LA Water & Power Employees' Retirement PlanTop ten active positions
Benchmark: MSCI Emerging Markets IMI | Sums may not total due to rounding.
As of 31 March 2018
Company Industry Country % of equities
% of benchmark
Active position (%)
Wal-Mart de Mexico Food & stpls retailing Mexico 1.7 0.2 1.5
Taiwan Semiconductor Semiconductors & semi equip Taiwan 1.8 3.3 -1.5
Alibaba Internet software & svcs China 1.9 3.3 -1.4
LG Electronics Househld durables S Korea 1.6 0.2 1.4
China Construction Bank Banks China 0.0 1.4 -1.4
Tencent Internet software & svcs China 3.4 4.7 -1.3
Mobile Telesystems Wireless telecom svcs Russia 1.4 0.1 1.3
YY Internet software & svcs China 1.2 0.1 1.2
TIM Participacoes Wireless telecom svcs Brazil 1.1 0.1 1.1
Infosys Limited IT svcs India 1.5 0.5 1.1
Total 15.7 13.8
Number of equity names: 212
- Los Angeles Department ofWater and Power _23 May 2018 A1 29
Copyright © 2018 All Rights Reserved2001303969/480059_0/411669/411669A
-
Title Line 1Title Line 2LA Water & Power Employees’ Retirement PlanPortfolio characteristics
†MSCI Emerging Markets IMI | Sums may not total due to rounding. | If access products are held by the portfolio they may not be included in the calculation of characteristic data. Access products are instruments used to gain access to equity markets not otherwise available and may include (but are not limited to) instruments such as warrants, total return swaps, p-notes, or zero strike options. Please refer to the Important Disclosures page for additional information.
As of 31 March 2018Portfolio Benchmark†
Size
Asset-weighted market cap (USD, bil) 65.1 90.0
Over USD 50 bil (%) 22 34
USD 20 – 50 bil (%) 17 17
USD 10 – 20 bil (%) 23 16
USD 2 – 10 bil (%) 29 24
Under USD 2 bil (%) 9 10
Valuation
Projected EPS growth – median (5-yr, %) 10.0 14.0
Projected P/E – median (x) 9.5 11.9
P/E trailing ex negatives – median (x) 9.6 12.0
Price/book (x) 1.3 1.7
Price to cash flow ratio 5.3 7.2
Yield (%) 3.1 2.4
ROE (1-yr, %) 17.0 16.9
Debt % of equity (%) 92.7 96.1
Risk
Projected beta – equity 0.94
Projected tracking risk (%) 2.27
Projected R² 0.97
- Los Angeles Department ofWater and Power _23 May 2018 A1 30
6
Copyright © 2017 All Rights Reserved2001070594/451989_1/451746/451746A
A
Los Angeles Dept of Water and PowerTitle Line 2Investment management fee schedule
On all assets• 57basispointsperannum
A Los Angeles Department ofWater and Power A23 May 2018 A1 31
7
Copyright © 2018 All Rights Reserved2001303931/480059_0/411669/411669A
-
Title Line 1Title Line 2Emerging Markets Systematic EquityKey considerations
Wellington Management uses quantitative investment models in the management of this investment strategy. All quantitative investment models have risks related to mistakes in coding software (e.g., software bugs) and inaccurate or stale data inputs. Because our quantitative investment models are complex, some of these issues may not be detected for a prolonged period before being corrected. In addition, quantitative investment models are susceptible to temporary disruptions due to technological failures (e.g., systems, communications or power outages). These risks may have a negative impact on the investment performance of this investment approach.
Wellington Management has adopted controls that we believe are reasonably designed to mitigate (but not eliminate) these risks. These controls include monitoring the quantitative investment model’s data inputs and results, the review and testing of systems changes made to the model, and the implementation of business continuity procedures.
- Los Angeles Department ofWater and Power _23 May 2018 A1 32
Copyright © 2018 All Rights Reserved2001303935/480059_0/411669/411669A
-
Title Line 1Title Line 2Important disclosures
Additional performance informationPast results are not necessarily indicative of future results. There can be no assurance nor should it be assumed that future investment performance of any strategy will conform to any performance examples set forth in this material or that the portfolio’s underlying investments will be able to avoid losses. The investment results and any portfolio compositions set forth in this material are provided for illustrative purposes only and may not be indicative of the future investment results or future portfolio composition. The composition, size of, and risks associated with an investment in the strategy may differ substantially from the examples set forth in this material. An investment can lose value.
Impact of feesIllustration of impact of fees: If USD100,000 was invested and experienced a 10% annual return compounded monthly for ten years, its ending value, without giving effect to the deduction of advisory fees, would be USD270,704 with an annualized compounded return of 10.47%. If an advisory fee of 0.95% of average net assets per year were deducted monthly for the ten-year period, the annualized compounded return would be 9.43% and the ending USD value would be USD246,355. Information regarding the firm's advisory fees is available upon request.
Selection of representative accountThe current representative account became effective on 1 October 2009 because it was the only account at the time of selection. For data shown prior to the current representative account effective date, data of the representative account(s) deemed appropriate for the time period was used. Further information regarding former representative accounts can be provided upon request. Each client account is individually managed; individual holdings will vary for each account and there is no guarantee that a particular account will have the same characteristics as described. Actual results may vary for each client due to specific client guidelines, holdings, and other factors. In limited circumstances, the designated representative account may have changed over time, for reasons including, but not limited to, account termination, imposition of significant investment restrictions, or material asset size fluctuations.
Access productsIf access products are held by the portfolio they may not be included in the calculation of characteristic data. Access products are instruments used to gain access to equity markets not otherwise available and may include (but are not limited to) instruments such as warrants, total return swaps, p-notes, or zero strike options.
- Los Angeles Department ofWater and Power _23 May 2018 A1 33
Copyright © 2018 All Rights Reserved2001303671/480059_0/411669/411669A
Wellington Management Composite: Emerging Markets Systematic Equity Schedule of Performance Returns from 01 October 2009 to 31 December 2017
Page 1 of 2 EMEQUANTTOT ©2018 Wellington Management Company LLP. All rights reserved. Generated on: 09 April 2018
Period Gross Return (%)
Net Return (%)
Benchmark Return (%)
Number of Portfolios
Internal Dispersion (%)
Composite Mkt.Value (USD Mil)
Total Firm Assets (USD Mil)
2009 1 9.30 9.07 8.58 < 6 N/M 12 537,384 2010 22.09 21.08 19.20 < 6 N/M 26 633,922 2011 -14.96 -15.69 -18.17 < 6 N/M 21 651,496 2012 24.08 23.04 18.64 < 6 N/M 35 757,903 2013 1.16 0.31 -2.27 < 6 N/M 193 834,441 2014 -0.40 -1.24 -1.82 6 N/M 466 914,109 2015 -13.25 -14.00 -14.60 7 1.1 498 926,949 2016 11.88 10.98 11.60 9 0.7 886 979,210 2017 42.04 41.08 37.75 13 1.2 2,021 1,080,307
Benchmark: MSCI Emerging Markets 1 Returns reflect performance beginning 01 October 2009. Partial year returns are not annualized. N/M: For years where there are less than six portfolios throughout the performance period, Internal Dispersion is not meaningful. Composite Description: Portfolios included in the Emerging Markets Systematic Equity Composite seek to achieve consistent, long-term total returns in excess of the MSCI Emerging Markets Index by using quantitative stock selection within a risk-managed portfolio construction approach. Composite Creation Date: The composite creation date is August 2009. Composite Membership: All fully discretionary, fee paying portfolios are eligible for inclusion in the composite. Fee Schedule: Effective October 2016 the institutional separate account fee schedule for this product is: Market Value Annual Fee On the first US$50 million 0.70% On the next US$50 million 0.65 Over US$100 million 0.60 Benchmark Definition: MSCI Emerging Markets is a free float-adjusted market capitalization index that captures large and mid cap representation across Emerging Markets countries. Firm: For purposes of GIPS® compliance, the Firm is defined as all portfolios managed by Wellington Management Company LLP, an independently owned, SEC-registered investment adviser, as well as its affiliates (collectively, Wellington Management). Wellington Management provides investment advisory services to institutions around the world. GIPS®: Wellington Management claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Wellington Management has been independently verified for the periods 1 January 1993 to 31 December 2016. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS® standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. Performance Calculation: Gross performance results are net of trading expenses. Returns are gross of withholding taxes on dividends, interest and capital gains. Returns, market values, and assets are reported in USD except when otherwise noted. Returns, market values and assets reported in currencies other than USD are calculated by converting the USD monthly return and assets using the appropriate exchange rate (official 4:00 p.m. London closing spot rates). Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Net of fees performance reflects the deduction of the highest tier investment management fee ("model fee") that would be charged based on the fee schedule appropriate to you for this mandate, without the benefit of breakpoints and is calculated by subtracting 1/12th of the model fee from monthly gross composite returns. Please be advised that the composite may include members that are effectively subject to higher management fees that are inapplicable to you. Performance net of model fees is intended to provide the most appropriate example of the impact management fees would have for you. Pool investors will experience costs in excess of investment management fees, such as operating expenses and custodial fees. These indirect costs are not reflected in the model fee, or net of fees performance. Internal Dispersion: The dispersion measure presented is the asset-weighted standard deviation. The asset-weighted standard deviation measures the dispersion of individual portfolio returns relative to the asset-weighted composite return. Only portfolios that have been included in the composite for the full period are included in the standard deviation calculation. Limitations imposed by client guidelines or by law on a portfolio's ability to invest in certain securities or instruments, such as IPO securities, and/or implementation of the firm's Trade Allocation Policies and Procedures, may cause the portfolio's performance to differ from that of the composite.
-
_23 May 2018 A1 34
Copyright © 2018 All Rights Reserved2001303673/480059_0/411669/411669A
Wellington Management Composite: Emerging Markets Systematic Equity Schedule of Performance Returns from 01 October 2009 to 31 December 2017
Page 2 of 2 EMEQUANTTOT ©2018 Wellington Management Company LLP. All rights reserved. Generated on: 09 April 2018
External Dispersion: The dispersion measure presented is the three-year annualized ex-post standard deviation. It measures the variability of the composite and the benchmark(s) over the preceding 36-month period. For periods prior to 1 January 2011, the Firm was not required to present the three-year annualized ex-post standard deviation.
3-Year Standard Deviation (%) Year Composite Benchmark 2011 N/A* N/A* 2012 21.51 21.49 2013 19.29 19.03 2014 15.38 14.99 2015 14.39 14.04 2016 16.38 16.07 2017 15.89 15.36
*N/A for performance periods with less than 36 months of data based on composite inception date. Composite Listing: Wellington Management's list of composite descriptions is available upon request. Other Matters: This material contains summary information regarding the investment approach described herein and is not a complete description of the investment objectives, policies, guidelines, or portfolio management and research that supports this investment approach. Any decision to engage Wellington Management should be based upon a review of the terms of the investment management agreement and the specific investment objectives, policies, and guidelines that apply under the terms of such agreement. Past Performance: Past results are not necessarily indicative of future results and an investment can lose value.
-
_23 May 2018 A1 35
8
Copyright © 2017 All Rights Reserved2001076672/479845_1/451989/451989A
A
GlossaryTitle Line 2Investment Terms
Contextual alpha model – The model incorporates risk information, sentiment information and trading information to rank stocks on a “difficult-to-value” (DTV) spectrum, which then translates into the recipe that we use to form the alpha forecast at the stock level
Pure value – cyclical value factors such as P/E, P/B, etc.
Fair value – absolute value factors such as dividend discount models
Earnings quality – accrual growth compared to cashflows, operating cashflows compared to assets, etc
Management behavior – capital stewardship factors – changes in external financing, share issuance/repurchase, etc.
Short-term momentum – price momentum, sentiment, and momentum of other financial statement items (sales, earnings, dividends) – typically over 1-3 month period
Long-term momentum – price momentum – typically over 3-12 month period
A Los Angeles Department ofWater and Power A23 May 2018 A1 36
9
Wellington Management Company LLP Page 1 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Cash and Cash Equivalents
Equities
Cash
Short-Term Cash Equivalents
Energy
Energy
-5,014
*
24,100
1,609,756
10,273
112,728
6,375,529
10,950,700
743,043
1,312,489
33,002
95,914
158,125
76,800
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
0.304
0.020
0.084
0.034
0.252
100.000
0.095
0.746
1.905
7.331
9.097
7.109
4.797
100.000
0.155
0.878
2.485
10.390
19.330
9.198
4.866
-1,524
472
135,856
352
28,457
6,375,529
1,043,722
554,405
2,499,869
241,951
872,500
1,124,181
368,427
-1,509
462
135,859
352
28,456
6,381,495
1,694,207
652,315
3,261,029
342,891
1,854,018
1,454,503
373,709
-0.02
0.01
2.08
0.01
0.43
97.50
0.48
0.19
0.93
0.10
0.53
0.42
0.11
6.25
4.40
3.29
6.63
0.25
12.72
1.50
2.77
9.05
5.82
0.73
3.13
6.42
4.27
Total Cash and Cash Equivalents 6,539,141
Total Cash
Total Short-Term Cash Equivalents
163,612
6,375,529
6,545,116
163,621
6,381,495
2.50
97.50
1.66
7.67
1.50
Pct Total
*
*
0.04
*
0.01
1.79
0.48
0.18
0.92
0.10
0.52
0.41
0.10
1.84
0.05
1.79
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
Brazilian Real
Indonesian Rupiah
Philippine Peso
South African Rand
Taiwan Dollar (New)
Turkish Lira (New)
COLTV STIF 1.5026%
Adaro Energy Tbk PT
China Petro&Chem-H
China Shenhua Energy
Cosan Ltd -Cl A Shrs
Ecopetrol SA ADR
Exxaro Resources Ltd
Gazprom Oao GDR
********
************
************
************
************
************
100.00
Brazil
Indonesia
Philippines
South Africa
Taiwan
Turkey
United States
Indonesia
China
China
Brazil
Colombia
South Africa
Russia
Country
Wellington Management Company LLP Page 2 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Materials
Materials
43,216
107,400
134,254
224,537
311,400
123,433
12,005
2,719,300
356,433
622,400
743,542
12,345
595,387
23,600
467,484
745,633
317,971
17,767
167,044
335,537
122,390
3,986
65,947
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
9.618
5.941
17.064
1.392
2.277
11.618
135.864
0.308
4.754
1.975
2.472
30.514
3.199
14.071
2.231
3.462
0.764
14.657
3.366
2.216
3.729
42.492
29.591
10.920
6.442
24.558
1.649
3.662
17.653
197.955
0.512
4.890
2.934
2.324
27.345
5.447
14.442
2.646
3.721
1.051
16.200
3.317
2.390
3.290
47.847
23.889
415,642
638,019
2,290,932
312,455
709,155
1,434,072
1,631,052
838,758
1,694,462
1,229,011
1,837,680
376,690
1,904,644
332,076
1,043,045
2,581,588
242,897
260,404
562,244
743,495
456,374
169,374
1,951,451
471,938
691,850
3,297,068
370,372
1,140,240
2,178,926
2,376,447
1,391,391
1,742,957
1,826,198
1,728,225
337,570
3,243,097
340,835
1,236,743
2,774,674
334,253
287,825
554,114
801,933
402,663
190,718
1,575,381
0.14
0.20
0.94
0.11
0.33
0.62
0.68
0.40
0.50
0.52
0.49
0.10
0.93
0.10
0.35
0.79
0.10
0.08
0.16
0.23
0.12
0.05
0.45
3.07
0.00
3.57
3.54
3.71
3.62
3.79
7.14
1.08
5.72
2.11
0.00
3.50
0.00
8.02
6.45
3.26
0.52
0.00
2.29
0.52
1.47
10.94
Total Energy 19,736,293
Total Energy 19,736,293
26,848,284
26,848,284
7.68
7.68
4.03
4.03
Pct Total
0.13
0.19
0.93
0.10
0.32
0.61
0.67
0.39
0.49
0.51
0.49
0.09
0.91
0.10
0.35
0.78
0.09
0.08
0.16
0.23
0.11
0.05
0.44
7.54
7.54
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
MOL Hunga O&G NYRT
Petrobras Pref
Polski Koncern Nafto
Polskie Gornictwo
PTT Explor & Prodtn
PTT PCL FGN
SK Innovation Co Ltd
Star Petroleum Refin
Surgutneftegas ADR
Thai Oil PCL Frgn
United Tractors Tbk
Anglo Amer Platinum
Anhui Conch Cement
Braskem Sa-Pref A
Eregli Demir Celik
Formosa Chem & Fiber
Grand Pacific Petro
Grasim Ind GDR RgSS
Grupo Mexico SAB-B
Harmony Gld Mng ADR
Hindalco Indu SRg144
Hyundai Steel Co
Kumba Iron Ore Ltd
************
************
Hungary
Brazil
Poland
Poland
Thailand
Thailand
South Korea
Thailand
Russia
Thailand
Indonesia
South Africa
China
Brazil
Turkey
Taiwan
Taiwan
India
Mexico
South Africa
India
South Korea
South Africa
Country
Wellington Management Company LLP Page 3 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Industrials
Capital Goods
1,218,302
409,600
406,953
11,872
1,234,239
35,686
1,756,739
7,153
127,700
6,445
157,248
159,693
123,943
465,034
2,007,156
34,105
11,376
1,374,235
414,495
721,109
1,318,588
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
0.824
1.094
2.060
218.125
2.020
15.015
0.565
54.089
6.254
10.898
11.383
10.953
4.983
0.816
1.490
32.217
55.552
0.678
2.512
0.685
0.846
1.496
1.032
2.135
305.376
3.022
15.090
0.608
49.150
10.037
8.680
17.570
14.015
5.224
0.693
1.399
36.730
80.777
0.683
4.304
1.298
1.121
1,003,655
448,023
838,511
2,589,582
2,493,216
535,817
992,833
386,900
798,602
70,235
1,789,928
1,749,081
617,580
379,668
2,989,895
1,098,774
631,955
931,607
1,041,329
494,204
1,115,096
1,822,416
422,847
869,036
3,625,421
3,729,952
538,502
1,067,702
351,570
1,281,764
55,943
2,762,847
2,238,094
647,486
322,335
2,808,070
1,252,660
918,917
937,947
1,784,001
935,654
1,478,483
0.52
0.12
0.25
1.04
1.07
0.15
0.31
0.10
0.37
0.02
0.79
0.64
0.19
0.09
0.80
0.36
0.26
0.27
0.51
0.27
0.42
3.57
5.81
3.27
2.46
3.76
10.45
7.85
2.38
1.13
1.57
13.45
2.35
2.39
1.85
3.28
1.53
1.51
7.20
3.69
2.93
3.54
Total Materials 22,571,585
Total Materials
Total Capital Goods
22,571,585
11,049,189
28,607,805
28,607,805
13,323,647
8.19
8.19
3.81
5.18
5.18
3.09
Pct Total
0.51
0.12
0.24
1.02
1.05
0.15
0.30
0.10
0.36
0.02
0.78
0.63
0.18
0.09
0.79
0.35
0.26
0.26
0.50
0.26
0.42
8.04
8.04
3.74
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
Nine Dragons Paper H
Oriental Union Chem
Petronas Chem Group
POSCO
PTT Global Chemical
Severstal -GDR RgSS
Sinopec Shanghai Pet
Soc Quimca Y Min ADR
Suzano Papel e Cel
Tata Steel GDR RgSS
Vedanta Ltd -ADR
Barloworld Ltd
Beijing Enterprises
China Railway Grp -H
Citic Ltd
Han Wha Corporation
LG Corp
Sime Darby Bhd
Tekfen Holding AS
Trakya Cam Sanayii
Weichai Power Co Ltd
************
************
************
China
Taiwan
Malaysia
South Korea
Thailand
Russia
China
Chile
Brazil
India
India
South Africa
China
China
China
South Korea
South Korea
Malaysia
Turkey
Turkey
China
Country
Wellington Management Company LLP Page 4 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Consumer Discretionary
Transportation
Automobiles & Components
Consumer Durables & Apparel
2,419,129
297,276
662,912
118,520
2,794,690
76,975
1,010,000
7,515
58,992
18,823
766,299
373,023
80,113
15,880
560,206
52,924
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
0.769
2.147
0.505
5.370
1.104
0.903
1.435
69.559
31.810
33.915
0.891
0.770
3.937
15.651
2.394
60.633
1.016
2.288
0.549
6.028
1.161
2.880
1.842
46.252
29.083
25.700
1.184
0.477
5.046
15.209
3.561
102.730
1,859,475
638,156
334,694
636,441
3,086,092
69,526
1,449,511
522,735
1,876,547
638,383
683,046
287,344
315,381
248,532
1,340,959
3,208,956
2,457,905
680,169
364,047
714,459
3,243,967
221,658
1,860,862
347,584
1,715,688
483,751
907,065
177,831
404,224
241,525
1,995,051
5,436,887
0.70
0.19
0.10
0.20
0.93
0.06
0.53
0.10
0.49
0.14
0.26
0.05
0.12
0.07
0.57
1.56
3.05
1.47
3.39
4.68
0.00
1.28
0.00
2.74
2.58
0.05
3.98
0.00
2.48
0.00
1.04
0.37
Total Industrials 14,517,956
Total Transportation
Total Automobiles & Components
3,468,766
8,325,839
17,540,227
4,216,580
8,780,574
5.02
1.21
2.51
3.10
3.10
1.06
Pct Total
0.69
0.19
0.10
0.20
0.91
0.06
0.52
0.10
0.48
0.14
0.25
0.05
0.11
0.07
0.56
1.53
4.93
1.18
2.47
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
AirAsia BHD
Malaysia Airports
Sinotrans Co LTD
TAV Havalimanlari Ho
Dongfeng Motor Grp H
Geely Automobile Hol
Guangzhou Automobile
Halla Holding Corp
Kia Motors Corp
Tata Motors Ltd-ADR
Tianneng Power Inter
Amtran Technology Co
Anta Sports Products
Arezzo Industria
Haier Electronics Gr
LG Electronics
************
************
************
************
************
************
Malaysia
Malaysia
China
Turkey
China
China
China
South Korea
South Korea
India
China
Taiwan
China
Brazil
China
South Korea
Country
Wellington Management Company LLP Page 5 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Consumer Staples
Consumer Services
Media
Retailing
188,802
175,452
36,227
18,333
361,950
3,779,521
139,497
1,911
5,815
8,181
158,901
144,338
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
10.437
2.215
17.381
191.583
0.972
0.658
8.307
203.881
89.546
113.948
6.298
2.173
10.522
2.257
21.719
244.063
0.935
0.681
6.210
209.588
86.875
99.916
9.123
2.733
1,970,555
388,704
629,662
3,512,297
351,834
2,485,213
1,158,749
389,617
520,709
932,212
1,000,785
313,708
1,986,522
395,992
786,805
4,474,405
338,569
2,574,474
866,295
400,523
505,178
817,409
1,449,596
394,487
0.57
0.11
0.23
1.28
0.10
0.74
0.25
0.11
0.14
0.23
0.41
0.11
0.93
2.46
0.00
0.20
0.00
1.92
0.00
1.34
0.86
1.60
0.39
1.68
Total Consumer Discretionary 27,381,058
Total Consumer Durables & Apparel
Total Consumer Services
Total Media
Total Retailing
5,401,173
2,359,259
4,493,793
6,800,994
32,026,347
8,255,519
2,382,514
5,599,778
7,007,962
9.16
2.36
0.68
1.60
2.01
0.83
0.61
1.19
0.16
1.20
Pct Total
0.56
0.11
0.22
1.26
0.10
0.72
0.24
0.11
0.14
0.23
0.41
0.11
9.00
2.32
0.67
1.57
1.97
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
********
********
********
Estacio Participacoe
Genting Bhd
JYP Entertainment Co
Naspers Limited
RS PCL
Beauty Community PCL
Cia Hering
CJ O Shopping Co Ltd
Hyundai Dept Store
Hyundai Home Shoppin
Via Varejo SA
Zhongsheng Group Hld
************
************
************
************
************
************
Brazil
Malaysia
South Korea
South Africa
Thailand
Thailand
Brazil
South Korea
South Korea
South Korea
Brazil
China
Country
Wellington Management Company LLP Page 6 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Health Care
Food & Staples Retailing
Food Beverage & Tobacco
Household & Personal Products
Health Care Equipment & Services
18,588
110,794
2,325,080
64,911
111,010
936,444
211,908
15,207
77,704
1,489
277,115
957,704
138,182
140,237
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
20.576
12.916
2.289
2.771
6.530
0.427
5.455
99.869
6.509
277.176
0.037
2.153
10.777
9.841
18.150
15.370
2.534
3.427
6.577
0.419
5.264
93.817
6.613
287.081
0.029
2.349
9.263
14.319
382,468
1,431,003
5,322,811
179,880
724,895
399,521
1,155,924
1,518,713
505,801
412,715
10,370
2,061,710
1,489,136
1,380,059
337,375
1,702,854
5,892,470
222,482
730,069
392,306
1,115,528
1,426,682
513,875
427,464
8,153
2,249,982
1,280,001
2,008,058
0.10
0.49
1.69
0.06
0.21
0.11
0.32
0.41
0.15
0.12
*
0.64
0.37
0.57
2.64
1.77
1.64
0.56
0.71
2.29
3.59
4.00
1.96
1.31
8.03
3.49
0.42
Total Consumer Staples 16,975,004
Total Food & Staples Retailing
Total Food Beverage & Tobacco
Total Household & Personal Products
7,136,283
6,969,527
2,869,194
18,307,299
7,932,699
7,086,541
3,288,059
5.24
2.27
2.03
0.94
2.72
1.71
4.36
1.61
Pct Total
0.09
0.48
1.66
0.06
0.21
0.11
0.31
0.40
0.14
0.12
*
0.63
0.36
0.56
5.14
2.23
1.99
0.92
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
********
BIM Birlesik Magazal
Clicks Group Ltd
Wal-Mart de Mexico
China Mengniu Dairy
Easy Bio Inc
GFPT Pcl
Gudang Garam Tbk Pt
KT&G Corp
Kuala Lumpur Kp MALD
NongShim Co Ltd
Thaifoods Group PCL Wts 05-18-20 9.50
Uni-President Enterp
Hengan Intl Group
TCI Co Ltd
************
************
************
************
************
************
Turkey
South Africa
Mexico
China
South Korea
Thailand
Indonesia
South Korea
Malaysia
South Korea
Thailand
Taiwan
China
Taiwan
Country
Wellington Management Company LLP Page 7 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Financials
Pharma, Biotech & Life Sciences
Banks
54,081
383,857
135,896
12,318
120,959
31,263
2,827,562
94,632
6,594,000
4,174,469
6,589,893
8,886,401
20,507
2,131,290
243,476
106,013
10,988,900
5,195,131
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
31.331
2.380
2.919
79.556
11.258
25.981
0.407
5.714
0.438
0.463
0.477
0.269
17.402
0.807
8.546
8.632
0.044
0.673
29.221
2.492
3.083
100.385
10.880
20.899
0.296
4.606
0.568
0.630
0.538
0.261
16.010
0.784
12.008
9.757
0.046
0.683
1,694,398
913,657
396,746
979,968
1,361,790
812,242
1,149,408
540,745
2,890,390
1,933,959
3,143,465
2,387,506
356,854
1,720,787
2,080,704
915,151
479,516
3,497,772
1,580,307
956,665
419,031
1,236,538
1,316,006
653,376
835,843
435,884
3,747,212
2,630,363
3,543,360
2,323,664
328,320
1,670,098
2,923,675
1,034,370
502,851
3,548,017
0.45
0.27
0.12
0.35
0.38
0.19
0.24
0.12
1.07
0.75
1.01
0.66
0.09
0.48
0.84
0.30
0.14
1.02
2.93
1.50
1.96
0.51
3.07
2.00
1.60
2.42
4.99
2.95
5.20
2.97
5.64
5.79
0.00
2.21
7.00
6.07
Total Health Care 7,848,954
Total Health Care Equipment & Services
Total Pharma, Biotech & Life Sciences
2,608,054
5,240,900
7,433,650
2,536,972
4,896,678
2.13
0.73
1.40
2.05
2.39
1.88
Pct Total
0.44
0.27
0.12
0.35
0.37
0.18
0.23
0.12
1.05
0.74
1.00
0.65
0.09
0.47
0.82
0.29
0.14
1.00
2.09
0.71
1.38
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
St Shine Optical Co
Top Glove Corp Bhd
Guangzhou Baiyunshan
Huons Co Ltd
Hypermarcas SA
Richter Gedeon Nyrt.
Sihuan Pharmaceutica
YiChang HEC ChangJia
Agricult Bk China-H
Bank Negara Indonesi
Bank Of China Ltd -H
Bank Rakyat Indonesi
Barclays Africa Grou
Bk of Communications
Bk Santander Brasil
BNK Financial Group
BPD Jawa Timur TBK P
China Citic Bank -H
************
************
************
************
************
Taiwan
Malaysia
China
South Korea
Brazil
Hungary
China
China
China
Indonesia
China
Indonesia
South Africa
China
Brazil
South Korea
Indonesia
China
Country
Wellington Management Company LLP Page 8 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Diversified Financials
1,617,878
1,197,500
1,234,000
2,143,084
3,671,559
1,143,140
649,882
58,231
2,129,735
163,062
584,300
60,537
257,882
406,469
10,670
266,945
17,818
750,732
230,865
504,361
325,024
578,735
99,025
503,707
6,566,326
472,000
1,415,766
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
0.469
1.111
0.628
1.448
0.661
1.650
5.907
27.000
0.645
11.421
4.227
36.518
1.398
2.164
37.667
10.291
47.250
0.479
1.769
1.743
2.660
1.242
10.388
2.494
0.366
2.129
0.439
0.480
0.972
0.766
1.859
0.727
1.368
6.088
42.921
0.858
14.401
4.149
56.947
2.343
2.740
44.990
18.630
42.875
0.490
1.719
2.870
2.762
1.643
13.744
3.533
0.363
2.095
0.420
758,994
1,330,796
774,770
3,102,127
2,425,367
1,885,612
3,839,143
1,572,226
1,373,080
1,862,292
2,469,965
2,210,714
360,544
879,604
401,906
2,747,240
841,896
359,802
408,457
879,166
864,621
718,925
1,028,678
1,256,206
2,404,414
1,004,915
621,499
777,162
1,164,192
944,961
3,983,654
2,669,584
1,563,816
3,956,577
2,499,360
1,826,270
2,348,252
2,424,328
3,447,411
604,089
1,113,902
480,040
4,973,185
763,939
368,195
396,834
1,447,598
897,603
951,069
1,361,025
1,779,395
2,384,469
988,708
595,292
0.22
0.33
0.27
1.14
0.76
0.45
1.13
0.72
0.52
0.67
0.69
0.99
0.17
0.32
0.14
1.42
0.22
0.11
0.11
0.41
0.26
0.27
0.39
0.51
0.68
0.28
0.17
5.99
4.34
3.76
3.48
4.01
0.88
0.00
3.39
4.46
4.02
0.00
3.16
6.83
5.19
80.54
1.71
3.17
3.52
3.91
5.57
3.81
0.74
4.10
3.69
6.22
5.17
6.38
Total Banks 52,502,030 63,214,976 18.09 3.91
Pct Total
0.22
0.33
0.27
1.12
0.75
0.44
1.11
0.70
0.51
0.66
0.68
0.97
0.17
0.31
0.13
1.40
0.21
0.10
0.11
0.41
0.25
0.27
0.38
0.50
0.67
0.28
0.17
17.76
Account ID: Reporting Currency Code:
Portfolio Manager:
********
****************
China Everbright Ban
China Minsheng Bank
Chongqing Rural Co-H
CIMB Group Holdings
CTBC Financial Hldg
Federal Bank Lt RgSS
Grupo Fin Banorte SA
Hana Financial Group
Ind&Comm Bk China-H
Industrial Bk Korea
Itausa-Invest Pref
KB Financial Group
Kiatnakin Fin Frgn
Malayan Banking MALD
OTP Bank Plc
Sberbank-Sponsor ADR
Shinhan Financial
Taishin Finl Holding
Thanachart Capital P
Tisco Fin Group-NVDR
Turkiye Garanti Bk
Turkiye Vakiflar Ban
Woori Bank
Chailease Holding Co
China Cinda Asset-H
China Everbright Ltd
China Huarong Asset
************
************
China
China
China
Malaysia
Taiwan
India
Mexico
South Korea
China
South Korea
Brazil
South Korea
Thailand
Malaysia
Hungary
Russia
South Korea
Taiwan
Thailand
Thailand
Turkey
Turkey
South Korea
Taiwan
China
China
China
Country
Wellington Management Company LLP Page 9 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Information Technology
Insurance
Software & Services
1,150,000
160,224
5,331,400
2,480,581
1,202,962
355,677
7,084
131,668
10,560
43,255
4,651,694
288,816
3,957,373
36,482
5,607
8,812
6,734
302,791
224,502
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
1.522
7.705
0.147
0.449
1.584
1.023
63.418
5.573
35.712
12.793
0.414
1.783
0.274
109.872
85.074
239.505
56.064
15.872
29.392
1.718
9.818
0.100
0.458
1.780
1.029
60.981
5.807
36.495
12.595
0.468
1.751
0.394
183.540
85.940
223.190
54.320
17.850
52.190
1,750,551
1,234,455
784,489
1,113,514
1,905,946
363,794
449,250
733,849
377,121
553,365
1,925,496
514,845
1,083,269
4,008,348
477,009
2,110,516
377,533
4,806,025
6,598,532
1,976,026
1,573,034
535,413
1,135,774
2,141,295
365,961
431,992
764,635
385,387
544,787
2,175,212
505,629
1,560,853
6,695,906
481,866
1,966,750
365,793
5,404,819
11,716,680
0.57
0.45
0.15
0.33
0.61
0.10
0.12
0.22
0.11
0.16
0.62
0.14
0.45
1.92
0.14
0.56
0.10
1.55
3.35
3.99
1.73
2.11
4.12
3.85
2.45
3.54
2.26
3.86
1.88
1.34
3.07
3.04
0.00
0.00
0.00
0.69
2.18
0.22
Total Financials 70,579,009
Total Diversified Financials
Total Insurance
10,170,044
7,906,935
83,058,839
10,968,112
8,875,751
23.77
3.14
2.54
3.83
4.26
2.72
Pct Total
0.56
0.44
0.15
0.32
0.60
0.10
0.12
0.21
0.11
0.15
0.61
0.14
0.44
1.88
0.14
0.55
0.10
1.52
3.29
23.33
3.08
2.49
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
Fubon Financial Hldg
Krungthai Card FRG
Metro Pacific Invest
Yuanta Financial Hld
Cathay Fin Hldg Co
China Life Insurance
Dongbu Insurance Co
Hanwha Life Insuranc
Hyundai Marine & Fir
IRB Brasil Resseguro
People's Insurance-H
PICC Property & C-H
Shin Kong Financial
Alibaba Group Holdin
Autohome Inc-Adr
Baidu Inc - Spon ADR
DuzonBIzon Co Ltd
Infosys Tech Ltd ADR
Tencent Holdings Ltd
************
************
************
************
Taiwan
Thailand
Philippines
Taiwan
Taiwan
Taiwan
South Korea
South Korea
South Korea
Brazil
China
China
Taiwan
China
China
China
South Korea
India
China
Country
Wellington Management Company LLP Page 10 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Technology Hardware & Equipment
Semiconductors,Semiconductor Eqpmt
186,399
746,531
14,501
41,109
313,046
2,680,632
254,438
1,563,113
924,304
699,888
3,003,675
365,500
2,814,058
486,414
5,447
57,908
1,635,018
46,316
75,521
992,468
30,724
2,690,355
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
2.665
5.025
30.459
81.105
3.566
0.850
8.993
0.399
0.806
2.753
0.394
2.817
0.595
2.753
1,562.201
6.271
0.722
9.522
4.889
2.112
50.823
0.156
2.899
5.160
45.330
105.200
3.382
0.852
9.415
0.468
1.715
2.744
0.348
4.568
0.511
2.511
2,308.847
6.276
0.859
17.903
4.625
2.308
48.950
0.124
496,680
3,751,013
441,686
3,334,134
1,116,434
2,277,429
2,288,103
623,048
744,772
1,926,889
1,184,661
1,029,597
1,674,757
1,339,018
8,509,309
363,136
1,180,113
441,007
369,233
2,095,978
1,561,471
418,974
540,318
3,852,100
657,330
4,324,667
1,058,625
2,284,656
2,395,419
731,779
1,585,046
1,920,329
1,045,625
1,669,556
1,437,811
1,221,165
12,576,290
363,452
1,404,712
829,199
349,300
2,290,808
1,503,940
332,511
0.15
1.10
0.19
1.24
0.30
0.65
0.69
0.21
0.45
0.55
0.30
0.48
0.41
0.35
3.60
0.10
0.40
0.24
0.10
0.66
0.43
0.10
1.39
0.30
0.00
0.00
4.19
2.82
5.46
10.99
3.30
4.75
4.93
4.46
6.61
5.46
3.50
5.46
4.79
2.87
0.00
3.12
0.00
0.00
Total Software & Services
Total Technology Hardware & Equipment
26,401,476
25,067,506
36,006,229
30,872,965
10.30
8.83
0.46
4.22
Pct Total
0.15
1.08
0.18
1.21
0.30
0.64
0.67
0.21
0.45
0.54
0.29
0.47
0.40
0.34
3.53
0.10
0.39
0.23
0.10
0.64
0.42
0.09
10.11
8.67
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
Travelsky Technology
Wipro Ltd-ADR
WNS Hldgs Ltd ADR
YY Inc ADR
Accton Tech Corp
Acer Inc
Asustek Computer Inc
AU Optronics Corp
E Ink Holdings Inc
Foxconn Technology
Hannstar Display Co
Kingboard Chemical
Lenovo Group Ltd
Pegatron Corp
Samsung Electronics
Simplo Technology Co
Wistron Corp
Yageo Corporation
Yangtze Optical Fibr
Chipbond Technology
Daqo New Energy ADR
GCL Poly Energy Hldg
************
************
************
************
China
India
India
China
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
Taiwan
China
China
Taiwan
South Korea
Taiwan
Taiwan
Taiwan
China
Taiwan
China
China
Country
Wellington Management Company LLP Page 11 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Telecommunication Services
Utilities
Telecommunication Services
Utilities
556,249
36,638
96,176
1,175,542
48,481
755,892
516,113
4,484,686
439,329
17,146
4,307,184
184,067
555,700
255,142
175,711
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
2.810
11.358
5.506
2.528
38.551
5.905
9.555
0.499
9.467
222.396
0.325
17.292
2.270
1.842
4.301
3.148
10.632
4.236
2.452
76.274
8.437
9.168
0.441
11.390
219.064
0.261
21.670
2.576
1.825
4.005
1,562,802
416,145
529,537
2,972,345
1,868,997
4,463,893
4,931,597
2,237,913
4,159,255
3,813,204
1,401,417
3,182,884
1,261,290
469,978
755,723
1,751,334
389,539
407,372
2,882,713
3,697,819
6,377,523
4,731,513
1,977,118
5,003,957
3,756,066
1,126,266
3,988,732
1,431,217
465,532
703,669
0.50
0.11
0.12
0.82
1.06
1.82
1.35
0.57
1.43
1.07
0.32
1.14
0.41
0.13
0.20
3.95
4.52
1.62
6.29
1.23
3.25
4.45
3.32
6.18
4.28
3.80
0.72
0.00
6.11
4.55
Total Information Technology
Total Telecommunication Services
67,359,124
19,726,270
Total Semiconductors,Semiconductor Eqpmt
Total Telecommunication Services
15,890,142
19,726,270
86,512,752
20,583,652
19,633,558
20,583,652
24.76
5.89
5.62
5.89
2.39
3.98
3.05
3.98
Pct Total
0.49
0.11
0.11
0.81
1.04
1.79
1.33
0.56
1.41
1.06
0.32
1.12
0.40
0.13
0.20
24.30
5.78
5.52
5.78
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
********
********
Nanya Technology
Phison Electronics C
Pixart Imaging Inc
Radiant Opto-Electro
SK Hynix Inc
Taiwan Semiconductor
China Mobile HK Ltd
China Telecom Corp
Mobile Telesys ADR
SK Telecom Co Ltd
Telekomunikasi Indon
Tim Participacoes SA
CEMIG Pref
China Resources Pow
EDP - Energias do Br
************
************
************
************
Taiwan
Taiwan
Taiwan
Taiwan
South Korea
Taiwan
China
China
Russia
South Korea
Indonesia
Brazil
Brazil
China
Brazil
Country
Wellington Management Company LLP Page 12 of
Data last updated on: APR-05-2018
RMHLDETSCEQ 13
Pooled Vehicle
Real Estate
Real Estate
61,600
146,465
113,814
132,835
31,604
88,230
58,034
937,275
169,755
128,473
224,652
286,707
1,587,425
318,228
312,907
5,130,000
369,256
5,190,941
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
4.490
3.565
9.735
6.128
6.643
26.925
21.943
3.660
7.219
31.038
1.694
2.125
1.947
0.685
1.055
0.097
6.269
0.156
5.374
2.811
11.620
6.400
8.932
40.600
19.664
4.199
6.538
34.130
1.499
1.004
2.398
1.363
1.521
0.090
4.220
0.236
276,612
522,118
1,108,015
814,033
209,934
2,375,611
1,273,430
3,430,545
1,225,458
3,987,499
380,468
609,365
3,090,882
217,905
330,069
499,954
2,314,783
809,767
331,019
411,776
1,322,519
850,144
282,283
3,582,138
1,141,181
3,935,198
1,109,874
4,384,783
336,729
287,947
3,806,203
433,857
476,041
461,113
1,558,207
1,223,608
0.09
0.12
0.38
0.24
0.08
1.03
0.33
1.13
0.32
1.25
0.10
0.08
1.09
0.12
0.14
0.13
0.45
0.35
0.00
1.97
1.71
2.61
1.54
2.29
2.01
1.32
0.00
1.15
0.00
15.42
7.11
0.00
3.43
1.15
12.07
4.97
Total Utilities
Total Pooled Vehicle
13,722,745
3,987,499
Total Utilities 13,722,745
15,566,549
4,384,783
15,566,549
4.45
1.25
4.45
1.76
1.15
1.76
Pct Total
0.09
0.12
0.37
0.24
0.08
1.01
0.32
1.11
0.31
1.23
0.09
0.08
1.07
0.12
0.13
0.13
0.44
0.34
4.37
1.23
4.37
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
********
********
********
Eletropaulo Metropol
Energa SA
Enersis Americas ADR
Enersis Chile ADR
ENN Energy Holdings
Gail India Limi RgSS
Reliance Infras RgSS
Tenaga Nasional Bhd
Transmissora Alianca
iShares MSCI India I
Fibra Uno Administra
Fortress REIT Ltd-B
Growthpoint Properti
KWG Property Holding
Logan Property Hldgs
Megaworld Corp
Resilient Property I
Yuexiu Property Co
************
************
************
************
************
Brazil
Poland
Chile
Chile
China
India
India
Malaysia
Brazil
India
Mexico
South Africa
South Africa
China
China
Philippines
South Africa
China
Country
Wellington Management Company LLP Page 13 13of
Data last updated on: APR-05-2018
RMHLDETSCEQ
Security Shares orPar Value Unit Cost Unit Price Cost
Pct Asset Class YieldMarket Value
LA Water & Power Employees' Retirement Pla68H2USDQEM Emerging Markets QE
Holdings Detail by Sector-EquityMarch 31, 2018
Total Equities 292,658,691
Total Real Estate 8,253,194
Total Real Estate 8,253,194
349,453,890
8,583,703
8,583,703
2.46
2.46
3.15
6.82
6.82
Total Assets 299,197,832 355,999,006
Pct Total
98.16
2.41
2.41
100.00 3.12
Account ID: Reporting Currency Code:
Portfolio Manager:
********
********
********
********
Market Value for Fixed Income and Cash Equivalents includes estimated Accrued Interest.Yield number represents Dividend Yield for Equity Securities and Yield to Maturity for Fixed Income Securities.Yield totals are market value weighted averages.* Indicates a non-zero value that rounds to zero.The prices that are provided are indicative prices based on best available market information. All prices are provided in accordance with our Pricing Policy and should not be considered transaction prices to which a security could necessarily be entered into or liquidated. Clients and Custodian banks should independently price these securities and use WMC's recommended prices for informational and/or reconciliation purposes only.This information is confidential and the recipient agrees to use this information solely for the lawful and appropriate purpose(s) intended by the parties.
100.00
Country
Copyright © 2018 All Rights Reserved2000000298/479845_1/G1422/G1422
A Los Angeles Department ofWater and Power A23 May 2018
Important noticeTitle Line 2
©2018 Wellington Management. All rights reserved. | As of April 2018
Wellington Management Company llp (WMC) is an independently owned investment adviser registered with the US Securities and Exchange Commission (SEC). WMC is also a commodity trading advisor (CTA) registered with the US Commodity Futures Trading Commission. In certain circumstances, WMC provides commodity trading advice to clients in reliance on exemptions from CTA registration. In the US for ERISA clients, WMC is providing this material solely for sales and marketing purposes and not as an investment advice fiduciary under ERISA or the Internal Revenue Code. WMC has a financial interest in offering its products and services and is not committing to provide impartial investment advice or give advice in a fiduciary capacity in connection with those sales and marketing activities. WMC, along with its affiliates (collectively, Wellington Management), provides investment management and investment advisory services to institutions around the world. Located in Boston, Massachusetts, Wellington Management also has offices in Chicago, Illinois; Radnor, Pennsylvania; San Francisco, California; Beijing; Frankfurt; Hong Kong; London; Luxembourg; Singapore; Sydney; Tokyo; Toronto; and Zurich. This material is prepared for, and authorized for internal use by, designated institutional and professional investors and their consultants or for such other use as may be authorized by Wellington Management. This material and/or its contents are current at the time of writing and may not be reproduced or distributed in whole or in part, for any purpose, without the express written consent of Wellington Management. This material is not intended to constitute investment advice or an offer to sell, or the solicitation of an offer to purchase shares or other securities. Investors should always obtain and read an up-to-date investment services description or prospectus before deciding whether to appoint an investment manager or to invest in a fund. Any views expressed herein are those of the author(s), are based on available information, and are subject to change without notice. Individual portfolio management teams may hold different views and may make different investment decisions for different clients.
In Canada, this material is provided by Wellington Management Canada ulc, a British Columbia unlimited liability company registered in the provinces of Alberta, British Columbia, Manitoba, New Brunswick, Newfoundland and Labrador, Nova Scotia, Ontario, Prince Edward Island, Quebec, and Saskatchewan in the categories of Portfolio Manager and Exempt Market Dealer. In the UK, this material is provided by Wellington Management International Limited (WMIL), a firm authorized and regulated by the Financial Conduct Authority (FCA). This material is directed only at persons (Relevant Persons) who are classified as eligible counterparties or professional clients under the rules of the FCA. This material must not be acted on or relied on by persons who are not Relevant Persons. Any investment or investment service to which this material relates is available only to Relevant Persons and will be engaged in only with Relevant Persons. In Germany, this material is provided by Wellington Management International Limited, Niederlassung Deutschland, the German branch of WMIL, which is authorized and regulated by the FCA and in respect of certain aspects of its activities by the Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin). This material is directed only at persons (Relevant Persons) who are classified as eligible counterparties or professional clients under the German Securities Trading Act. This material does not constitute investment advice, a solicitation to invest in financial instruments or financial analysis within the meaning of Section 34b of the German Securities Trading Act. It does not meet all legal requirements designed to guarantee the independence of financial analyses and is not subject to any prohibition on dealing ahead of the publication of financial analyses. This material does not constitute a prospectus for the purposes of the German Capital Investment Code, the German Securities Sales Prospectus Act or the German Securities Prospectus Act. In Hong Kong, this material is provided to you by Wellington Management Hong Kong Limited (WM Hong Kong), a corporation licensed by the Securities and Futures Commission to conduct Type 1 (dealing in securities), Type 2 (dealing in futures contracts), Type 4 (advising on securities), and Type 9 (asset management) regulated activities, on the basis that you are a Professional Investor as defined in the Securities and Futures Ordinance. By accepting this material you acknowledge and agree that this material is provided for your use only and that you will not distribute or otherwise make this material available to any person. In Singapore, this material is provided for your use only by Wellington Management Singapore Pte Ltd (WM Singapore) (Registration Number 201415544E). WM Singapore is regulated by the Monetary Authority of Singapore under a Capital Markets Services Licence to conduct fund management activities and is an exempt financial adviser. By accepting this material you represent that you are a non-retail investor and that you will not copy, distribute or otherwise make this material available to any person. In Australia, Wellington Management Australia Pty Ltd (WM Australia) (ABN19 167 091 090) has authorized the issue of this material for use solely by wholesale clients (as defined in the Corporations Act 2001). By accepting this material, you acknowledge and agree that this material is provided for your use only and that you will not distribute or otherwise make this material available to any person. Wellington Management Company llp is exempt from the requirement to hold an Australian financial services licence (AFSL) under the Corporations Act 2001 in respect of financial services. A registered investment adviser regulated by the SEC, among others, is exempt from the need to hold an AFSL for financial services provided to Australian wholesale clients on certain conditions. Financial services provided by Wellington Management Company llp are regulated by the SEC under the laws and regulatory requirements of the United States, which are different from the laws applying in Australia. In Japan, Wellington Management Japan Pte Ltd (WM Japan) (Registration Number 199504987R) has been registered as a Financial Instruments Firm with registered number: Director General of Kanto Local Finance Bureau (Kin-Sho) Number 428. WM Japan is a member of the Japan Investment Advisers Association (JIAA) and the Investment Trusts Association, Japan (ITA). WMIL, WM Hong Kong, WM Japan, and WM Singapore are also registered as investment advisers with the SEC; however, they will comply with the substantive provisions of the US Investment Advisers Act only with respect to their US clients.
A1 A14