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HomeMy WebLinkAbout04.a. Receive Highmark Other Post-Employment Benefits (OPEB) and Pension Prefunding Sub-Trust Reports for the First Quarter of Calendar Year 2024Page 1 of 33 Item 4.a. F__1_448�411C_S0 May 21, 2024 TO: FINANCE COMMITTEE FROM: KEVIN MIZUNO, FINANCE MANAGER REVIEWED BY: PHILIPLEIBER, DEPUTYGM -ADMINISTRATION ROGER S. BAILEY, GENERAL MANAGER SUBJECT: RECEIVE HIGHMARK OTHER POST -EMPLOYMENT BENEFITS (OPEB) AND PENSION PREFUNDING SUB -TRUST REPORTS FOR THE FIRST QUARTER OF CALENDAR YEAR 2024 HighMark joining PFM Asset Management In January 2024 Central San was notified that HighMark, its OPEB and Pension-Prefunding trust investment manager, was joining PFM Asset Management (PFMAM) effective January 1, 2024. It was communicated that this change is part of the larger transfer of HighMark's institutional advisory businesses to PFMAM on that date. This change is ultimately connected to U.S. Bank's acquisition of Union Bank in December 2022 (HighMark being a subsidiary of Union Bank at that time) and U.S. Bank's acquisition of PFMAM a year prior in December 2021. A registered investment advisor with over 40 years of experience advising public and non-profit institutions, PFMAM has over $166 billion in assets under management and over $49 billion in assets under administration. Central San has been assured there will be no change to its investment strategy or portfolio's asset allocation, and investments will continue to be managed by portfolio managers from HighMark, who have joined the PFMAM team. Accordingly, Mr. Andrew Brown continues to be the main point of contact for investment management services for Central San staff. That being said, there were some changes to the format of the quarterly report, which now reflects a format utilized by PFMAM instead of the older Highmark version. Performance Assessment Attached is the Investment Performance Review prepared by PFMAM (Attachment 1) providing a current and prospective outlook on the economy and the markets. In summary, this quarter's report reflects a quarterly return of 3.70 percent and 2.94 percent for Central San's OPEB and Pension Pre -funding sub - trusts, respectively. For the past year (last 12 months), annual returns were 12.51 percent and 9.35 percent for the OPEB and Pension Pre -funding sub -trusts, respectively. The long-term targeted annual returns are 5.75 percent for the OPEB trust and 5.14 percent for the Pension Pre -funding trust. I n comparison, the inception -to -date annual returns have been 8.22 percent and 4.01 percent for the OPEB and Pension Pre - funding sub -trusts respectively. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 154 of 190 Page 2 of 33 Consistent with the Board -approved Fiscal Year (FY) 2022-23 budget plan (and the year prior), the excess of OPEB costs above and beyond the actuarially determined contribution (ADC) was claimed from the OPEB trust following the close of FY2022-23. With total FY2022-23 pay -go retiree OPEB premiums estimated to be approximately $4.6 million, Central San claimed a reimbursement of approximately $81 thousand from the OPEB trust in July 2023. Since then, inclusive of this reimbursement and market gains/losses, the OPEB trust reported a market balance of $88.9 million as of March 31, 2024. As approved by the Board, nearly the entire balance of the Pension Pre -funding trust was liquidated to help finance the payoff of Central San's unfunded actuarial accrued liability (UAAL) totaling approximately $70.8 million. I n October 2023, the Board authorized an additional contribution of $1 million into the pension pre -funding trust utilizing favorable variances from the prior year (FY 2022-23). These contributions commenced in November 2023 and will be spread evenly throughout the remainder of the fiscal year. Inclusive of these newly authorized contributions as well as market gains/losses, the pension pre -funding trust reported a market balance of approximately $0.7 million as of March 31, 2024. Strategic Plan re -In GOAL FOUR: Governance and Fiscal Responsibility Strategy 1 - Promote and uphold ethical behavior, openness, and accessibility, Strategy 3 - Maintain financial stability and sustainability ATTACHMENTS: 1. PFMAM Quarterly Investment Performance Review- Quarter ended 3/31/24 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 155 of 190 Attachment 1 pf m 1 asset management PARS/CCCSD 115P Preliminary Investment Performance Review For the Quarter Ended March 31, 2024 Client Management Team Andrew Brown, CFA, Sr. Investment Strategist/Portfolio Manager PFM Asset Management LLC 1 California Street 1735 Market Street Suite 1000 43rd Floor San Francisco, CA 94111 Philadelphia, PA 19103 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 156 of 190 Attachment 1 Financial Markets & Investment Strategy Review May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 157 of 190 Attachment 1 pfm) asset For the Quarter Ended March 31, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management QTD YTD 1 Year 3 Years 5 Years 7 Years 10 Years S&P 500 10.56% 10.56% 29.88% 11.49% 15.05% 14.09% 12.96% Russell 3000 Index 10. 02 % 10. 02 % 29. 29 % 9. 78 % 14. 34 % 13. 45 % 12. 33 Russell 1000 Value Index 8.99% 8.99% 20.27% 8.11 % 10.31 % 9.16% 9.01 Russell 1000 Index 10.30% 10.30% 29.87% 10.45% 14.76% 13.85% 12.68% Russell 1000 Growth Index 11.41 % 11.41 % 39.00% 12.50% 18.52% 18.06% 15.98% Russell Midcap Index 8.60% 8.60% 22.35% 6.07% 11.10% 10.58% 9.95% Russell 2000 Value Index 2.90% 2.90% 18.75% 2.22% 8.17% 6.55% 6.87% Russell 2000 Index 5.18% 5.18% 19.71% -0.10% 8.10% 7.73% 7.58% Russell 2000 Growth Index 7.58% 7.58% 20.35% -2.68% 7.38% 8.40% 7.89% • eOff- MSCI EAFE (Net) 5.78% 5.78% 15.32% 4.78% 7.33% 6.70% 4.80% MSCI AC World Index (Net) 8.20% 8.20% 23.22% 6.96% 10.92% 10.23% 8.66% MSCI AC World ex USA (Net) 4.69% 4.69% 13.26% 1.94% 5.97% 5.88% 4.25% MSCI AC World ex USA Small Cap (Net) 2.11 % 2.11 % 12.80% 0.38% 6.24% 5.74% 4.74% MSCI EM (Net) 2.37% 2.37% 8.15% -5.05% 2.22% 3.72% 2.95% FTSE NAREI T Equity REI T Index -0.20 % -0.20 % 10.54 % 4.14 % 4.15 % 5.08 % 6.61 FTSE EPRA/NAREIT Developed Index -1.05% -1.05% 8.57% -0.19% 0.75% 3.08% 4.00% FTSE Global Core Infrastructure 50150 Index (Net) 1.55% 1.55% 3.22% 2.91% 3.78% 5.27% 5.60% Bloomberg Commodity Index Total Return 2.19% 2.19% -0.56% 9.11% 6.38% 4.26% -1.56% Blmbg. U.S. Aggregate -0.78% -0.78% 1.70% -2.46% 0.36% 1.06% 1.54% Blmbg. U.S. GovernmenVCredit -0.72% -0.72% 1.74% -2.35% 0.62% 1.27% 1.70% Blmbg. Intermed. U.S. Government/Credit -0.15% -0.15% 2.69% -1.06% 1.09% 1.43% 1.61 Blmbg. U.S. Treasury: 1-3 Year 0.28% 0.28% 2.94% 0.01 % 1.13% 1.20% 1.06% ICE BofAML Global High Yield Constrained (USD) 1.47% 1.47% 11.09% 0.43% 3.12% 3.63% 3.52% Blmbg. Global Aggregate Ex USD -3.21 % -3.21 % -0.71 % -6.53% -2.50% -0.82% -1.38% JPM EMBI Global Diversified 2.04% 2.04% 11.28% -1.39% 0.71 % 1.71 % 3.05% 90 Day U.S. Treasury Bill 1.30% 1.30% 5.35% 2. 65 % 2.06% 1.94 % 1.41 Source: Investment Metrics. Returns are expressed as percentages. Please refer to the last page of this document for important disclosures relating to this material. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 158 of 190 1.1 Attachment 1 pfm) asset management II:I:8xd0]►MLy,VA QUARTERLY MARKET SUMMARY ► In the fourth quarter, U.S. gross domestic product (GDP) grew at an annualized rate of 3.4%, cooling somewhat from the third quarter's 4.9% growth. This growth was supported by both non-residential business investment and consumer spending. Consumer spending added 2.2% and was the largest contributing sector to GDP growth. The continued strength of the U.S. economy is a sharp contrast to other developed markets such as the euro area which stagnated at 0.1 % growth and Japan which expanded just 0.4% during the quarter. ► The U.S. labor market remains strong. While the unemployment rate ticked up slightly it remains at historical lows, ending the quarter at 3.8%. The labor participation rate rose slightly to 62.7%, while average hourly earnings year -over -year (YoY) growth cooled to 4.1 %, which bodes well for easing wage pressures on inflation without a large increase in unemployment. ► Inflation remains somewhat "sticky" as headline inflation (CPI) grew at a YoY rate of 3.2% in February, down from the 3.4% growth at the end of the fourth quarter, but up slightly from January. Core CPI, which excludes volatile food and energy, eased to a near three year low of 3.8%. Both readings remain well above the Fed target of 2%, likely reinforcing the Federal Reserve's (Fed) wait and see approach to rate cuts. 10% 9% 8% 7% a5 6% s U 5% o` >- 4% 0 } 3% 2% 1 % 0% Mar-20 U.S. Inflation Rate Seasonally Adjusted (SA) Mar-21 Mar-22 Mar-23 Core CPI CPI 40% 30 % For the Quarter Ended March 31, 2024 Multi -Asset Class Management U.S. GDP Growth 0 20% d N c10% 4.9%3.4% Q 2.1% 2.0%1.4%1.2%1.5% d 0% In d c -10% u -20% -30 -40 % 0 a 0 M V 0 M 0 0 0 a a 0 0 N M 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2019 2020 2021 2022 2023 2024 Source: Bloomberg. Light blue bars indicate actual numbers; dark blue bars indicate forecasted estimates. 64% 62% 60% 58% Apr-19 U.S. Prime Age Labor Force Participation Rate 25-53 Years Seasonally Adjusted (SA) Apr-20 Apr-21 Apr-22 Apr-23 Source: Bureau of Labor Statistics. Source: Bureau of Labor Statistics. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 159 of 190 1.2 Attachment 1 pfm) asset management WHAT WERE WATCHING QUARTERLY MARKET SUMMARY ► The Federal Open Market Committee (FOMC) continued to hold rates steady in the first quarter at 5.50% as Fed officials need "greater confidence" that inflation is slowing sustainably to 2%. Looking forward, while the committee revised both their projections for growth and inflation slightly higher, three rate cuts are still expected for 2024. Globally, most major central banks also held rates steady, with the European Central Bank (ECB) and the Bank of England (BOE) both pausing despite increasing pressure from poor economic growth. The Central Bank of Japan bucked this trend, raising its key interest rate for the first time in 17 years in March. ► The U.S. saw manufacturing conditions improve during the quarter as U.S. ISM Manufacturing Index turned expansionary with a reading of 50.3 in March, the first non- contractionary result in over a year, as demand increased. The service sector continued to expand through the quarter, though at a slowing pace with a March reading of 51.4. ► The Michigan Consumer Sentiment survey ended the quarter at 79.4, the highest reading since July 2021 as consumer assessments of both current conditions and the economic outlook brightened. This positive outlook suggests continued strength in consumer spending though at what rate is to be determined. The personal savings rate fell in February to 3.6% while consumer debt and delinquency rates steadily increased in the fourth quarter, though overall delinquency rates remain lower than pre-COVID rates. University of Michigan Consumer Sentiment 100 80 60 40 20 0 Mar-20 Mar-21 Source: Bloomberg. Mar-22 Mar-23 Mar-24 I 65 60 55 50 45 40 Mar-20 Mar-21 Source: Bloomberg. For the Quarter Ended March 31, 2024 Multi -Asset Class Management U.S. ISM Manufacturing & Services PMI 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% Mar-22 Manufacturing Services Global Central Bank Rates -1.00% 1 Mar-20 Mar-21 Fed Target Rate Bank of England Target Rate Source: Bloomberg. Mar-23 Mar-24 Mar-22 Mar-23 Mar-24 ECB Target Rate Bank of Canada Target Rate May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 160 of 190 1.3 Attachment 1 pfm) asset For the Quarter Ended March 31, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management DOMESTIC EQUITY ► The S&P 500 Index (S&P) posted a 10.56% return for the first quarter of 2024. As of March 31, 2024, the trailing 1-year return for the index was 29.88%. ► The market capitalization -weighted S&P 500 continued its outperformance over the equal -weighted S&P 500 Index, though the difference was not as wide as we saw in 2023. During the quarter, there were periods of broadening in performance outside of the Magnificent Seven names, but they started to see cracks as Apple and Tesla posted negative returns. Additionally, mid -caps outperformed large -caps in February and March but finished the quarter behind large -caps. ► Within S&P 500, the only GICS sector to post a negative return for the quarter was Real Estate (-0.55%). The next worst performers were Utilities (4.57%), Consumer Discretionary (4.98%) and Healthcare (8.85%). The sectors that led performance over the quarter were Communication Services (15.82%), Energy (13.69%) and Information Technology (12.69%). ► Small -caps, as represented by the Russell 2000 Index, returned 5.2% during the quarter and underperformed mid- and large -caps. The Russell Midcap and Russell 1000 indices returned 8.60% and 10.30%, respectively. ► According to FactSet Earnings Insight (as of March 28, 2024), the expected YoY earnings growth rate for the S&P for the first quarter of 2024 is 3.6%, a slight decline from the December 31, 2023 estimate. For calendar year 2024, analysts are calling for YoY earnings growth of 11.0%. No. As of the end of the quarter, the forward S&P 500 P/E ratio was 23.3, above its 5-year average of 22.2. By comparison the forward S&P 500 P/E ratio was 20.3 in March 2023. S&P 500 Index Performance by Sector Periods Ended March 31. 2024 60% - /0 40% 30% 20% 10% J 0% lic -10% Consumer Disc. Consumer Staples Energy Financials H'Ithcare Industrials Info. Tech Materials Real Estate Telecom Utilities 4.98% 752% 13.69% 12.45% 8.85% 10.97% 12.69% 8.95% -0.55% 15.82% 4.57% N 4.98% 7.52% 13.69% 12.45% 8.85% 10.97% 12.69% 8.95% -0.55% 15.82% 4.57% 28.64 % 7.17 % 17.55 % I 33.38 % I 16.04 Source: Bloomberg. 35 30 0 25 a to 20 15 10 Apr-19 P/E Ratios of Major Stock Indices' Apr-20 Apr-21 Apr-22 Apr-23 S&P 500 S&P 500 5-Year Average Russell 2000 Russell 2000 5-Year Average 30 25 20 0 N 15 d N 10 5 0 Source: Bloomberg. *PIE ratios are calculated based on one-year forward estimates and adjusted to include only positive earnings results for consistency. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 161 of 190 1.4 Attachment 1 pfm) asset For the Quarter Ended March 31, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management NON-U.S. EQUITY ► Markets outside of the United States, as measured by the MSCI ACWI ex-U.S. Index, underperformed their U.S. counterparts, returning 4.69% for the quarter. ► Seven of the 11 sectors posted strong positive returns for the quarter, with Information Technology (11.37%) leading the way, followed by Consumer Discretionary (7.20%) and Industrials (6.95%). Consumer Staples (-3.16%) was the worst performer followed by Utilities (-2.98%) and Materials (-1.64%) for the quarter. ► Developed ex-U.S. Markets, as represented by the MSCI EAFE Index, outperformed emerging markets (EM), represented by the MSCI Emerging Market Index, returning 5.78% versus 2.37% for the quarter. ► MSCI Japan (11.01 %) outperformed the MSCI EAFE Index. Japanese equities rose as better corporate governance practices, strong corporate earnings, and the Bank of Japan accommodative policy stance reinforced positive investor sentiment. Switzerland (-1.24%) was the worst performer of the five largest -weighted countries in the index. The country's strong currency dampened exports, resulting in a drag on many large Swiss firms' earnings. ► Within EM, MSCI Taiwan outperformed the index, soaring 12.50% during the quarter. TSMC and other semiconductor names within the country fared well, bolstered by strong demand for artificial intelligence -enabling processors. Conversely, MSCI China (-0.63%) lagged the index. Despite the rebound in February and the Chinese government's willingness to unleash more stimulus in the economy, investor sentiment remains negative and challenges in the property sector persist. No. Value stocks underperformed growth stocks for the quarter as represented by the broad benchmark. MSCI AC World ex -USA Value returned 3.40% while MSCI AC World ex -USA Growth returned 5.91 %. ► Small -caps, as represented by MSCI ACWI ex-U.S. Small Cap Index, underperformed within the international equity markets, returning 2.11 % for the MSCI ACWI ex-U.S. Sectors Periods Ended March 31, 2024 35% 30 25 % 20% 15% 10% 5% -5 % -10% Consumer Disc. Consumer Staples Energy Financials Healthcare Industrials Info Tech Materials Real Estate Telecom Utilities 7.20% -3.16% 5.25% 5.90% 3.68% 6.95% 11.37% -1.64% -0.26% 2.13% -2.98% t 7.20% 1 -3.16% 5.25% 5.90% 3.68% 6.95% 1 11.37% -1.64% -0.26% 2.13% -2.98% 1 8.59 % -4.64 % 21.39 % 21.39 % 7.54 % 19.80 % 29.44 % 1 4.15 % 6.83 % -2.98% 5.19 Source: Bloomberg. P/E Ratios of MSCI Equity Indices* 26 24 22 20 18 16 14 12 10 8 Apr-19 Apr-20 Apr-21 Apr-22 Apr-23 quarter. MSCI EAFE MSCI EAFE 5-Year Average ► Non -US equities valuations have moved closer to their long-term average across MSCI Emerging Markets MSCI Emerging Markets 5-Year Average international equity markets. As of March 31, 2024, MSCI EAFE's forward P/E Source: Bloomberg. stood at 15.61 versus a five-year average of 15.96. MSCI EM ended the year with a *PIE ratios are calculated based on one-year forward estimates and adjusted to include only positive earnings results for consistency. forward P/E ratio of 12.63, slightly lower than its five-year average of 13.26. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 162 of 190 1.5 Attachment 1 pfm) asset For the Quarter Ended March 31, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management FIXED INCOME ► The U.S. bond market represented by the Bloomberg U.S. Aggregate (Aggregate) Index was down -0.78% in the quarter. The trailing one-year period return is 1.69%. ► The Bloomberg U.S. Treasury Index closed the quarter with a loss of -96%. During the period, the FOMC maintained interest rate levels and continued to signal fewer cuts for 2024 than the market anticipated on the back of some stickier inflationary data. All rates beyond one year rose with the largest increases in intermediate maturities. The curve remains inverted as the Fed Funds rate remains targeted at 5.5%. The 10-year rose to 4.2%, while the 2-year ended at 4.6%. ► Corporate credit had positive relative results for the quarter on the rising rates. The investment -grade (IG) Bloomberg U.S. Corporate (IG Corp) Index lost 0.40% while high yield bonds, as represented by the Bloomberg U.S. Corporate High Yield (HY) Index, gained 1.47%, continuing strong performance from 2023. Spreads declined across all quality buckets with the lowest quality high yield performing best. No. The fixed-rate mortgage market, as measured by the Bloomberg U.S. Mortgage -Backed Securities (MBS) Index, lost 1.04%, on rates rising with much of the market being in lower coupons with higher duration. On the commercial side, the Bloomberg U.S. Agency CMBS Index was relatively better, down 0.29%. ► EM USD sovereign bonds, as represented by the JP Morgan EMBI Global Diversified index, gained 2.04% supported by strong returns in select high yield rated countries. 6.U70 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Source: Bloomberg. 12% 10% 8% U.S. Treasury Yield Curve 3-mo 2-yr 5-yr 10-yr 30-yr Returns for Fixed -Income Segments Periods Ended March 31, 2024 6% 4% 2% 2% Blmbg U.S. Aggregate Blmbg U.S. Treasury Blmbg U.S. MBS Blmbg U.S. Corpora QTD -0.78 % -0.96 % -1.04 % -0.40 % YTD -0.78 % -0.96 % -1.04 % -0.40 % 1 Year 1 1.69% 0.05% 1.38% 4.42% Source: Bloomberg. U.S. High Yield 1.47 % 1.47 % 11.12 % May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 163 of 190 1.6 Attachment 1 pfm) asset For the Quarter Ended March 31, 2024 management QUARTERLY MARKET SUMMARY Multi -Asset Class Management ALTERNATIVES ► Public REITs, as measured by the FTSE NAREIT Equity REITs Index, returned -0.20% in the first quarter of 2024, compared to a 16.22% return in the prior quarter while private real estate, as measured by the NCREIF Property Index, fell -3.02% in the fourth quarter of 2023, resulting in a -7.90% return over the twelve- month period ended December 2023. This was the fifth consecutive quarter of negative returns for the index. Weak performance has been driven by property value declines across sectors. No. Listed infrastructure, as measured by the FTSE Global Core Infrastructure 50/50 Index, gained 1.75% in the first quarter of 2024, compared to a 11.11 % increase in the prior quarter with mixed performance across the major sectors. In 2023, private infrastructure funds raised $65.36 billion, a sharp decline from the $110.91 billion raised in the prior year. The asset class has received attention from investors in recent years due to expectations of stable returns in uncertain market environments, inflation hedging potential, and secular demand tailwinds such as decarbonization and digitization. According to PitchBook, private infrastructure funds posted a return of -3.55% in 03 2023. The asset class has generated an annualized return of 8.45% for the five years ended 03 2023. ► In 2023, private debt funds raised $190.93 billion but experienced a sharp slowdown in fundraising during the second half of the year. The asset class has performed well relative to public fixed income over the long-term and may see more opportunities emerge as tightening lending standards continue to push banks out of the private lending space. According to Cliffwater Direct Lending Index, U.S. middle market loans, a proxy for private debt, posted a return of 2.95% in 04 2023. The asset class has also generated an annualized return of 9.09% for the five years ended Q4 2023. Returns for Private Capital Assets 15% 10% -5% - v io private Real Estate I Infrastructure Private Debt Private Equity QTD -1.37% -3.55% 3.17% 0.58% ■YTD 1 -5.07% 3.46% 8.92% 6.21% 1 Year 1 -8.39% 4.11% 11.15% Source: NCREIF, PitchBook, Cliffwater, Cambridge Associates. As of September 30, 2023, the most recent period for which all index data is available. $1,800 $1,600 $1,400 $1,200 o$1,000 m$800 vs $600 $400 $200 Private Capital Fundraising & Dry Powder ► In 2023, private equity funds raised $554.04 billion, with a majority of the total tightening raised in the second half of the year as inflation eased and monetary g g $0 Closed -End Real Estate ClosedtEndure*** Infrastruct Private Debt Private Equity Venture Capital flattened. Recent private equity performance has weakened due to increasing ■YTD Fundraising ($B)* 1 $98.79 $65.36 1 $190.93 1 $554.04 1 $162.28 leverage costs, slow deal flow and macroeconomic uncertainty. However, Dry Powder ($B)** 1 $450.36 $244.06 1 $506.22 1$1,625.84 1$657.25 longer term performance relative to public equities remains strong. According to Sources: Pitchbook. Cambridge Associates, U.S. private equity posted a return of 0.58% in Q3 2023. * Total capital raised in 2023 as of December 31, 2023 - most recent period for which ALL The asset class has generated an annualized return of 16.98% for the five years fundraising data is available. Cumulative dry powder as of June 30, 2023, unless specified otherwise. ended Q3 2023. *** Closed -End Infrastructure dry powder as of March 31, 2023. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 164 of 190 1.7 Attachment 1 pfm) asset management QUARTERLY MARKET SUMMARY Investment Strategy Overview For the Quarter Ended March 31, 2024 Multi -Asset Class Management U.S. Equities Fed's guidance of higher economic growth and moderating inflation a positive but recent uptick in inflation data warrants attention. Markets Large -Caps • reacted positively to March Fed projections with S&P hitting all time high. Rising valuations are supported by improving earnings growth Mid -Caps �—� expectations but any negative news could lead to a pullback. Mid- and small -cap valuations are attractive and would benefit as investor Small -Caps sentiment/earnings growth expectations improve. Exposure to interest rate sensitive sectors such as regional banks remains a concern. International equities continue to trade at a discount to U.S. equities but Non-U.S. Equities A • slowing economic growth in Europe and China is a headwind. EM equities trade at attractive valuations relative to developed market Developed Markets • equities. We remain cautious on China and are closely monitoring the recent change in investor sentiment towards Chinese equities. Emerging Markets • International small -caps provide exposure to foreign local economies, but International Small -Caps uneven economic growth and geopolitical tensions leads us to be at neutral positioning. Overall, we maintain neutral exposure to international equities. Fixed Income • The Fed's recent guidance points towards soft -landing scenario with three Long -Duration, expected rate cuts in 2024. Yields at short -end of the curve look attractive long-term fell back from highs. We • even as yields the recent expect a Interest Rate -Sensitive further fall in yields as inflation continues to moderate. Sectors Credit markets remain attractive due to strong corporate fundamentals. Credit -Sensitive Sectors • We continue to seek diversified credit exposure and are closely watching signs for any distress in the corporate credit space. Higher interest rates and rising foreclosure for office buildings are Alternatives headwinds for private real estate returns. Public REITs have recovered from the lows in 2023. We expect this trend to continue helped by falling Real Estate • rates and economic soft landing. Private equity is facing headwinds from higher leverage costs and falling Private Equity • valuations. Debt strategies may benefit from banks' tighter lending Private Debt • standards as long as default rates remain low. Increased infrastructure investment in the U.S. post the passing of Jobs Infrastructure • Act and Chips Act a positive for infrastructure. Transition to renewable energy is another tailwind for both private and listed infrastructure while higher interest rates are headwinds. Current outlook Outlook one quarter ago The view expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution (March 31, 2024) and are subject to change. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 165 of 190 1.8 Attachment 1 pfm) asset management Monetary Policy: QUARTERLY MARKET SUMMARY For the Quarter Ended March 31, 2024 Multi -Asset Class Management Factors to Consider Over the Next 6-12 Months • Recent Fed guidance implies three rate cuts in 2024 and points to an economic soft landing but path of rate cuts remains uncertain. • Globally, central banks are nearing the start of rate cutting cycle in reaction to moderating inflation with the Swiss central bank being the first to cut. Financial Conditions: • Financial conditions continue to ease as the Fed pivot remains in play alongside strength in various economic indicators. • With interest rates remaining elevated, we continue to focus on identifying pockets of stress within financial markets. Corporate Fundamentals: • Earnings growth expectations are improving while profit margins are stabilizing at pre -pandemic levels. • Higher cash levels especially across S&P 500 companies, increasing stock buybacks and lower credit default rates are positives. Economic Growth: • M U.S. economic growth is led by consumers and supported by a robust labor market. Recent recovery in manufacturing activity along with continued strength in services a tailwind. Economic growth outside U.S. remain mixed with slower growth projected in Eurozone. Consumer Spending (U.S.): • = Consumer confidence reached a multi -year high following strong wage growth, a resilient labor market, and moderating inflation. Hiring, wage growth, and increased hours worked have all played a role in boosting personal income and spending and we expect consumer strength to continue as labor markets remain healthy. Valuations: • U.S. equity and credit markets have experienced a run up in valuations amid strong corporate fundamentals and continued economic growth. • International equities look attractive but continued economic and geopolitical uncertainty is leading to increased volatility. • Current outlook o Outlook one quarter ago Stance Unfavorable to Risk Assets Inflation: • Inflation continues to moderate but has proven to be stickier than expected, predominantly in housing and service sectors. Globally, inflation has continued to moderate. • Recent upside surprises in the U.S. warrants closer attention but expect moderating trend to continue. Labor Markets: • The labor market remains strong, but we have seen cooling conditions from the extreme levels of 2022. • Strong wage increases reflect a competitive labor market and is a key focus for monetary policy moving forward. Political Risks: • Geopolitical risks continue to remain elevated. U.S./China tensions, Russia/Ukraine war, Israel/Hamas conflict, China's moves in South China Sea and Taiwan Strait further add to risks. • Elections across the globe could also lead to short- term volatility. Stance Favorable to Risk Assets Statements and opinions expressed about the next 6-12 months were developed based on our independent research with information obtained from Bloomberg. The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution (March 31, 2024) and are subject to change. Information is obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its accuracy, completeness, or suitability. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 166 of 190 1.9 Attachment 1 Plan Performance Summary - OPEB May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 167 of 190 Attachment 1 PARS/CCCSD 115P - OPEB As of March 31, 2024 Asset Allocation & Performance Allocation Performance(%) Market 1 Year 1 3 5 10 Since Inception o Value �o Quarter pate Year Years Years Years Inception Date Blended Benchmark - OPEB 3.88 3.88 13.01 3.12 6.49 N/A N/A Domestic Equity 36,113,818 40.62 NIA N/A N/A N/A N/A N/A N/A 02/01/2024 Russell 3000 Index 10.02 10.02 29.29 9.78 14.34 12.33 8.81 iShares S&P 500 Value ETF 4,793,731 5.39 8.01 (72) 8.01 (72) 25.36 (33) 11.98 (12) 13.06 (18) 10.44 (25) 7.70 (69) 02/01/2024 iShares Core S&P 500 ETF 8,626,704 9.70 10.55 (8) 10.55 (8) 29.85 (11) 11.46 (7) 15.02 (10) 12.92 (8) 8.72 (11) 02/01/2024 Vanguard Growth & Income Adm 6,954,464 7.82 12.44 (14) 12.44 (14) 31.75 (28) 11.98 (18) 15.21 (21) 13.03 (13) 9.70 (25) 02/01/2024 iShares S&P 500 Growth ETF 4,514,331 5.08 12.69 (49) 12.69 (49) 33.49 (85) 9.99 (44) 15.57 (55) 14.36 (39) 9.55 (40) 02/01/2024 S&P 500 10.56 10.56 29.88 11.49 15.05 12.96 8.73 iShares Russell Mid -Cap ETF 4,838,623 5.44 8.55 (64) 8.55 (64) 22.16 (46) 5.90 (79) 10.93 (44) 9.78 (18) 10.13 (52) 02/01/2024 Russell Midcap Index 8.60 8.60 22.35 6.07 11.10 9.95 10.17 Undisc Managers Behavioral Val R6 3,191,038 3.59 6.39 (14) 6.39 (14) 21.25 (40) 9.73 (13) 12.70 (15) 9.96 (3) 8.69 (20) 02/01/2024 Emerald Growth Institutional 3,194,926 3.59 5.83 (77) 5.83 (77) 21.02 (37) -1.45 (54) 7.91 (64) 8.79 (38) 9.53 (55) 02/01/2024 Russell 2000 Index 5.18 5.18 19.71 -0.10 8.10 7.58 9.44 MSCI AC World ex USA (Net) 4.69 4.69 13.26 1.94 5.97 4.25 5.74 Dodge & Cox International Stock 893,453 1.01 3.13 (94) 3.13 (94) 13.38 (73) 5.14 (52) 7.30 (36) 4.02 (40) 6.22 (56) 02/01/2024 MFS International Growth R6 931,757 1.05 4.85 (77) 4.85 (77) 10.36 (68) 3.70 (14) 8.02 (36) 7.08 (12) 5.66 (76) 02/01/2024 Vanguard FTSE Developed Markets ETF 4,087,952 4.60 5.16 (50) 5.16 (50) 14.91 (37) 3.97 (37) 7.39 (26) 5.04 (22) 6.47 (38) 02/01/2024 MSCI AC World ex USA (Net) 4.69 4.69 13.26 1.94 5.97 4.25 5.74 Hartford Schroders Emerging Mkts Eq 2,685,621 3.02 3.46 (44) 3.46 (44) 7.24 (64) -6.93 (62) 2.72 (49) N/A 8.32 (15) 02/01/2024 MSCI EM (net) 2.37 2.37 8.15 -5.05 2.22 2.95 7.35 Vanguard Real Estate ETF MSCI US REIT Index 1,060,158 1.19 -1.19 (57) -1.19 (57) 8.50 (47) 1.72 (69) 3.68 (54) 6.20 (48) 3.95 (28) 02/01/2024 -0.32 -0.32 10.37 4.03 4.14 6.54 3.99 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 168 of 190 2.1 Attachment 1 PARS/CCCSD 115P - OPEB As of March 31, 2024 Asset Allocation & Performance Allocation Performance(%) Market 1 Year 1 3 5 10 Since Inception V(all)e o �o Quarter pate Year Years Years Years Inception Date Blmbg. U.S. Aggregate -0.78 -0.78 1.70 -2.46 0.36 1.54 -0.50 PFMAM - Core Fixed Income 27,506,515 30.94 N/A N/A N/A N/A N/A N/A 1.01 (19) 03/01/2024 Blmbg. U.S. Aggregate -0.78 -0.78 1.70 -2.46 0.36 1.54 0.92 Baird Aggregate Bond Inst 4,187,949 4.71 -0.45 (43) -0.45 (43) 2.80 (28) -2.17 (23) 0.81 (28) 1.97 (14) N/A 04/01/2024 iShares Core US Aggregate Bond ETF 1,596,128 1.80 -0.75 (76) -0.75 (76) 1.61 (70) -2.48 (43) 0.32 (63) 1.50 (52) N/A 04/01/2024 Blmbg. U.S. Aggregate -0.78 -0.78 1.70 -2.46 0.36 1.54 N/A Dodge & Cox Income 3,301,255 3.71 -0.32 (54) -0.32 (54) 4.09 (14) -0.92 (8) 1.89 (7) 2.52 (7) -0.24 (43) 02/01/2024 PGIM Total Return Bond R6 3,368,016 3.79 0.14 (19) 0.14 (19) 4.61 (8) -1.68 (18) 0.96 (41) 2.43 (9) -0.11 (28) 02/01/2024 Blmbg. U.S. Aggregate -0.78 -0.78 1.70 -2.46 0.36 1.54 -0.50 MainStay MacKay High Yield Corp Bond Fund 2,010,369 2.26 1.68 (42) 1.68 (42) 9.56 (65) 3.00 (15) 4.40 (20) 4.61 (7) N/A 04/01/2024 ICE BofA High Yield Master 11 1.51 1.51 11.04 2.21 4.03 4.36 N/A Cash Equivalent 1,157,326 i ICE BofA 3 Month U.S. T-Bill 1.29 1.29 5.24 2.58 2.02 1.38 0.86 First American Government Obligation - X 1,157,326 1.30 1.31 (16) 1.31 (16) 5.28 (19) 2.61 (21) 1.95 (18) N/A 0.86 (15) 02/01/2024 ICE BofA 3 Month U.S. T-Bill 1.29 1.29 5.24 2.58 2.02 1.38 0.86 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 169 of 190 2.2 Attachment 1 PARS/CCCSD 115P - OPEB As of March 31, 2024 Calendar Year Comparative Performance Performance(%) 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 Total -.rtfolio 13.27 -14.53 10.05 12.54 18.66 0.30 4.70 Blended Benchmark - OPEB 13.56 -13.74 10.21 12.02 17.66 -3.37 N/A N/A N/A N/A D. Russell 3000 Index 25.96 -19.21 25.66 20.89 31.02 -5.24 21.13 12.74 0.48 12.56 iShares S&P 500 Value ETF 22.02 -5.41 24.67 1.24 31.71 -9.09 15.19 17.17 -3.24 12.14 iShares Core S&P 500 ETF 26.26 -18.13 28.66 18.37 31.44 -4.42 21.79 11.90 1.34 13.62 Vanguard Growth & Income Adm 24.76 -17.11 29.11 18.08 29.77 -4.61 20.80 12.12 2.03 14.16 iShares S&P 500 Growth ETF 29.80 -29.51 31.76 33.21 30.91 -0.17 27.20 6.74 5.33 14.67 S&P 500 26.29 -18.11 28.71 18.40 31.49 -4.38 21.83 11.96 1.38 13.69 iShares Russell Mid -Cap ETF 17.07 -17.43 22.38 16.91 30.31 -9.13 18.32 13.58 -2.57 13.03 Russell Midcap Index 17.23 -17.32 22.58 17.10 30.54 -9.06 18.52 13.80 -2.44 13.22 Undisc Managers Behavioral Val R6 14.57 -1.10 34.50 3.62 23.34 -15.20 13.53 20.97 3.52 5.83 Emerald Growth Institutional 19.06 -24.50 4.04 38.85 28.70 -11.57 28.11 10.89 1.24 7.19 Russell 2000 Index 16.93 -20.44 14.82 19.96 25.53 -11.01 14.65 21.31 -4.41 4.89 MSCI AC World ex USA (Net) 15.62 -16.00 7.82 10.65 21.51 -14.20 27.19 4.50 -5.66 -3.87 Dodge & Cox International Stock 16.70 -6.78 11.03 2.10 22.78 -17.98 23.94 8.26 -11.35 0.08 MFS International Growth R6 14.96 -15.02 9.65 15.82 27.31 -8.79 32.58 2.79 0.40 -5.01 Vanguard FTSE Developed Markets ETF 17.77 -15.35 11.49 10.29 22.08 -14.47 26.44 2.51 -0.21 -5.71 MSCI AC World ex USA (Net) 15.62 -16.00 7.82 10.65 21.51 -14.20 27.19 4.50 -5.66 -3.87 Hartford Schroders Emerging Mkts Eq 9.00 -22.14 -4.93 23.78 22.32 -15.42 N/A N/A N/A N/A MSCI EM (net) 9.83 -20.09 -2.54 18.31 18.42 -14.57 37.28 11.19 -14.92 -2.19 Other Vanguard Real Estate ETF 11.75 -26.20 40.38 -4.72 28.91 -5.95 4.95 8.53 2.37 30.29 MSCI US REIT Index 13.74 -24.51 43.06 -7.57 25.84 -4.57 5.07 8.60 2.52 30.38 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 170 of 190 2.3 Attachment 1 PARS/CCCSD 115P - OPEB As of March 31, 2024 Calendar Year Comparative Performance Performance(%) 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 Blmbg. U.S. Aggregate 5.53 -13.01 -1.55 7.51 8.72 0.01 3.54 2.65 0.55 5.97 PFMAM - Core Fixed Income N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Baird Aggregate Bond Inst 6.43 -13.35 -1.46 8.63 9.48 -0.30 4.20 3.52 0.55 6.89 iShares Core US Aggregate Bond ETF 5.59 -13.06 -1.67 7.42 8.68 -0.05 3.53 2.56 0.48 6.04 Dodge & Cox Income 7.70 -10.87 -0.91 9.45 9.73 -0.31 4.36 5.61 -0.59 5.48 PGIM Total Return Bond R6 7.78 -14.86 -1.15 8.10 11.14 -0.63 6.71 4.83 0.09 7.25 Blmbg. U.S. Aggregate 5.53 -13.01 -1.55 7.51 8.72 0.01 3.54 2.65 0.55 5.97 Mainstay MacKay High Yield Corp Bond Fund 11.97 -7.81 5.35 5.28 13.03 -1.34 6.79 15.99 -1.44 1.75 ICE BofA High Yield Master 11 13.46 -11.22 5.36 6.17 14.41 -2.27 7.48 17.49 -4.64 2.50 ICE BofA 3 Month U.S. T-Bill 5.02 1.46 0.05 0.67 2.28 1.87 0.86 0.33 0.05 0.04 First American Government Obligation - X 5.00 1.54 0.03 0.40 2.12 1.74 0.79 N/A N/A N/A ICE BofA 3 Month U.S. T-Bill 5.02 1.46 0.05 0.67 2.28 1.87 0.86 0.33 0.05 0.04 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 171 of 190 2.4 Attachment 1 PARS/CCCSD 115P - OPEB As of March 31, 2024 Account Reconciliation Total Portfolio 85,666,939 232,278 3,001,100 88,900,317 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 172 of 190 2.5 Attachment 1 PARS/CCCSD 115P - OPEB As of March 31, 2024 Asset Allocation vs. Target Allocation March 31, 2024 TotalValue Domestic Equity International Equity Other Growth Fixed Income Other Income Real Return Cash Equivalent 1.6% 0.4% -0.6 % 2.2% 0.0% 0.0% -3.7 % -6.0% -3.0% 0.0% Allocation Differences December 31, 2023 TotalValue Domestic Equity International Equity Other Growth Fixed Income Other Income Real Return Cash Equivalent -0.5 % 0.4% -0.5 % 3.3% 0.0% 0.0% -2.7 % 3.0% 6.0% -6.0% -3.0% 0.0% Allocation Differences 3.0% 6.0% March 31, 2024 TotalValue December 31, 2023 TotalValue Market Value Allocation Target Market Value Allocation Target ($000) N N ($000) N N Domestic Equity 36,113.82 40.62 39.00 Domestic Equity 32,990.80 38.51 39.00 International Equity 8,598.78 9.67 9.25 International Equity 8,253.81 9.63 9.25 Other Growth 1,060.16 1.19 1.75 Other Growth 1,083.21 1.26 1.75 Fixed Income 41,970.23 47.21 45.00 Fixed Income 41,386.77 48.31 45.00 Other Income - - 0.00 Other Income - - 0.00 Real Return - - 0.00 Real Return - - 0.00 Cash Equivalent 1,157.33 1.30 5.00 Cash Equivalent 1,952.35 2.28 5.00 Total Fund 88,900.32 100.00 100.00 Total Fund 85,666.94 100.00 100.00 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 173 of 190 2.6 Attachment 1 PARS/CCCSD 115P - OPEB As of March 31, 2024 Historical Hybrid Composition - Blended Benchmark - OPEB Aug-2017 Blmbg. U.S. Aggregate 33.5 S&P 500 26.5 ICE BofA 1-3 Yr. Gov/Corp 10.0 Russell 2000 Index 7.5 MSCI EAFE (net) 6.0 FTSE 1 Month T-Bill 5.0 Russell Midcap Index 5.0 MSCI EM (net) 3.3 Wilshire US REIT Index 1.8 ICE BofA High Yield Master II 1.5 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 174 of 190 2.7 Attachment 1 Fixed Income Overview May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 175 of 190 Attachment 1 Portfolio Characteristics As of March 31, 2024 PFMAM - Core Fixed Income vs. Blmbg. U.S. Aggregate 80.0 60.0 42.0 40.0 23.7 20.0 0.0 1 100.0 80.0 69.7 60.0 59.8 40.0 20.0 9.5 8.0 0.0 3.7 2.8 1.5 4.8 3.7 0.8 0.7 3.6 3.5 4.7 1.6 3.9 6.3 5.9 2.8 Pa Pad Pad P P� P� �aa �aa`L �aa� PFMAM - Core Fixed Income Blmbg. U.S. Aggregate 47.0 29.3 29.0 28.1 0.0 0.9 6 ���� G�ea•� \Q�5 PFMAM - Core Fixed Income Blmbg. U.S. Aggregate May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 176 of 190 3.1 Attachment 1 Portfolio Characteristics As of March 31, 2024 PFMAM - Core Fixed Income vs. BImbg. U.S. Aggregate Maturity Distribution 80.0 60.0 48.2 40.0 22.0 8 9 24.8 20.0 17.0 20.6 13.9 13.6 5.5 3.5 n n ANNEV 0.0 0.9 0.0 yc ate PFMAM - Core Fixed Income 40.0 30.0 20.0 10.0 0.0 h `3 Blmbg. U.S. Aggregate h" A' A�15 ��5 O e° Iq c ��5 4", 415 415 415 h 1 �O O PFMAM - Core Fixed Income Blmbg. U.S. Aggregate May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 177 of 190 3.2 Attachment 1 Plan Performance Summary - Pension May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 178 of 190 Attachment 1 PARS/CCCSD 115P - Pension As of March 31, 2024 Asset Allocation & Performance Blended Benchmark - Pension Allocation Performance(%) Market 1 Year 1 3 5 10 Since Inception o Value �o Quarter pate Year Years Years Years Inception Date 2.15 2.15 8.67 1.26 4.21 N/A 4.15 Russell 3000 Index 10.02 10.02 29.29 9.78 14.34 12.33 8.81 iShares S&P 500 Value ETF 22,791 3.30 8.01 (72) 8.01 (72) 25.36 (33) 11.98 (12) 13.06 (18) 10.44 (25) 7.70 (69) 02/01/2024 iShares Core S&P 500 ETF 34,698 5.03 10.55 (8) 10.55 (8) 29.85 (11) 11.46 (7) 15.02 (10) 12.92 (8) 8.72 (11) 02/01/2024 Vanguard Growth & Income Adm 29,525 4.28 12.44 (14) 12.44 (14) 31.75 (28) 11.98 (18) 15.21 (21) 13.03 (13) 9.70 (25) 02/01/2024 iShares S&P 500 Growth ETF 20,603 2.99 12.69 (49) 12.69 (49) 33.49 (85) 9.99 (44) 15.57 (55) 14.36 (39) 9.55 (40) 02/01/2024 S&P 500 10.56 10.56 29.88 11.49 15.05 12.96 8.73 iShares Russell Mid -Cap ETF 21,107 3.06 8.55 (64) 8.55 (64) 22.16 (46) 5.90 (79) 10.93 (44) 9.78 (18) 10.13 (52) 02/01/2024 Russell Midcap Index 8.60 8.60 22.35 6.07 11.10 9.95 10.17 Undisc Managers Behavioral Val R6 14,164 2.05 6.39 (14) 6.39 (14) 21.25 (40) 9.73 (13) 12.70 (15) 9.96 (3) 8.69 (20) 02/01/2024 Emerald Growth Institutional 13,902 2.01 5.83 (77) 5.83 (77) 21.02 (37) -1.45 (54) 7.91 (64) 8.79 (38) 9.53 (55) 02/01/2024 Russell 2000 Index 5.18 5.18 19.71 -0.10 8.10 7.58 9.44 International Equity 42,791 6.20 N/A N/A N/A N/A N/A N/A N/A i MSCI AC World ex USA (Net) 4.69 4.69 13.26 1.94 5.97 4.25 5.74 Dodge & Cox International Stock 6,943 1.01 3.13 (94) 3.13 (94) 13.38 (73) 5.14 (52) 7.30 (36) 4.02 (40) 6.22 (56) 02/01/2024 MFS International Growth R6 6,708 0.97 4.85 (77) 4.85 (77) 10.36 (68) 3.70 (14) 8.02 (36) 7.08 (12) 5.66 (76) 02/01/2024 Vanguard FTSE Developed Markets ETF 17,158 2.49 5.16 (50) 5.16 (50) 14.91 (37) 3.97 (37) 7.39 (26) 5.04 (22) 6.47 (38) 02/01/2024 MSCI AC World ex USA (Net) 4.69 4.69 13.26 1.94 5.97 4.25 5.74 Hartford Schroders Emerging Mkts Eq 11,981 1.74 3.46 (44) 3.46 (44) 7.24 (64) -6.93 (62) 2.72 (49) N/A 8.32 (15) 02/01/2024 MSCI EM (net) 2.37 2.37 8.15 -5.05 2.22 2.95 7.35 Other Vanguard Real Estate ETF 5,189 0.75 -1.19 (57) -1.19 (57) 8.50 (47) 1.72 (69) 3.68 (54) 6.20 (48) 3.95 (28) 02/01/2024 MSCI US REIT Index -0.32 -0.32 10.37 4.03 4.14 6.54 3.99 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 179 of 190 4.1 Attachment 1 PARS/CCCSD 115P - Pension As of March 31, 2024 Asset Allocation & Performance Fixed Income Allocation Market o Value �o i 1 Quarter Year pate 1 Year Performance(%) 3 5 Years Years 10 Years Since Inception Inception Date i i Blmbg. U.S. Aggregate -0.78 -0.78 1.70 -2.46 0.36 1.54 -0.50 Baird Aggregate Bond Inst 121,345 17.58 -0.45 (43) -0.45 (43) 2.80 (28) -2.17 (23) 0.81 (28) 1.97 (14) 0.95 (37) 03/01/2024 Blmbg. U.S. Aggregate -0.78 -0.78 1.70 -2.46 0.36 1.54 0.92 iShares Core US Aggregate Bond ETF 88,930 12.89 -0.75 (76) -0.75 (76) 1.61 (70) -2.48 (43) 0.32 (63) 1.50 (52) -0.58 (72) 02/01/2024 Dodge & Cox Income 116,594 16.90 -0.32 (54) -0.32 (54) 4.09 (14) -0.92 (8) 1.89 (7) 2.52 (7) -0.24 (43) 02/01/2024 PGIM Total Return Bond R6 116,828 16.93 0.14 (19) 0.14 (19) 4.61 (8) -1.68 (18) 0.96 (41) 2.43 (9) -0.11 (28) 02/01/2024 Blmbg. U.S. Aggregate -0.78 -0.78 1.70 -2.46 0.36 1.54 -0.50 MainStay MacKay High Yield Corp Bond Fund 23,380 3.39 1.68 (42) 1.68 (42) 9.56 (65) 3.00 (15) 4.40 (20) 4.61 (7) 1.31 (32) 03/01/2024 ICE BofA High Yield Master 11 1.51 1.51 11.04 2.21 4.03 4.36 1.19 ICE BofA 3 Month U.S. T-Bill 1.29 1.29 5.24 2.58 2.02 1.38 0.86 First American Government Obligation - X 18,216 2.64 1.31 (16) 1.31 (16) 5.28 (19) 2.61 (21) 1.95 (18) N/A 0.86 (15) 02/01/2024 ICE BofA 3 Month U.S. T-Bill 1.29 1.29 5.24 2.58 2.02 1.38 0.86 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 180 of 190 4.2 Attachment 1 PARS/CCCSD 115P - Pension As of March 31, 2024 Calendar Year Comparative Performance Performance(%) 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 Total Portfolio 10.259. Blended Benchmark - Pension 10.29 -12.35 5.50 9.89 13.55 -1.87 N/A N/A N/A N/A D. Russell 3000 Index 25.96 -19.21 25.66 20.89 31.02 -5.24 21.13 12.74 0.48 12.56 iShares S&P 500 Value ETF 22.02 -5.41 24.67 1.24 31.71 -9.09 15.19 17.17 -3.24 12.14 iShares Core S&P 500 ETF 26.26 -18.13 28.66 18.37 31.44 -4.42 21.79 11.90 1.34 13.62 Vanguard Growth & Income Adm 24.76 -17.11 29.11 18.08 29.77 -4.61 20.80 12.12 2.03 14.16 iShares S&P 500 Growth ETF 29.80 -29.51 31.76 33.21 30.91 -0.17 27.20 6.74 5.33 14.67 S&P 500 26.29 -18.11 28.71 18.40 31.49 -4.38 21.83 11.96 1.38 13.69 iShares Russell Mid -Cap ETF 17.07 -17.43 22.38 16.91 30.31 -9.13 18.32 13.58 -2.57 13.03 Russell Midcap Index 17.23 -17.32 22.58 17.10 30.54 -9.06 18.52 13.80 -2.44 13.22 Undisc Managers Behavioral Val R6 14.57 -1.10 34.50 3.62 23.34 -15.20 13.53 20.97 3.52 5.83 Emerald Growth Institutional 19.06 -24.50 4.04 38.85 28.70 -11.57 28.11 10.89 1.24 7.19 Russell 2000 Index 16.93 -20.44 14.82 19.96 25.53 -11.01 14.65 21.31 -4.41 4.89 MSCI AC World ex USA (Net) 15.62 -16.00 7.82 10.65 21.51 -14.20 27.19 4.50 -5.66 -3.87 Dodge & Cox International Stock 16.70 -6.78 11.03 2.10 22.78 -17.98 23.94 8.26 -11.35 0.08 MFS International Growth R6 14.96 -15.02 9.65 15.82 27.31 -8.79 32.58 2.79 0.40 -5.01 Vanguard FTSE Developed Markets ETF 17.77 -15.35 11.49 10.29 22.08 -14.47 26.44 2.51 -0.21 -5.71 MSCI AC World ex USA (Net) 15.62 -16.00 7.82 10.65 21.51 -14.20 27.19 4.50 -5.66 -3.87 Hartford Schroders Emerging Mkts Eq 9.00 -22.14 -4.93 23.78 22.32 -15.42 N/A N/A N/A N/A MSCI EM (net) 9.83 -20.09 -2.54 18.31 18.42 -14.57 37.28 11.19 -14.92 -2.19 Other Vanguard Real Estate ETF 11.75 -26.20 40.38 -4.72 28.91 -5.95 4.95 8.53 2.37 30.29 MSCI US REIT Index 13.74 -24.51 43.06 -7.57 25.84 -4.57 5.07 8.60 2.52 30.38 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 181 of 190 4.3 Attachment 1 PARS/CCCSD 115P - Pension As of March 31, 2024 Calendar Year Comparative Performance Performance(%) 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 Blmbg. U.S. Aggregate 5.53 -13.01 -1.55 7.51 8.72 0.01 3.54 2.65 0.55 5.97 Baird Aggregate Bond Inst 6.43 -13.35 -1.46 8.63 9.48 -0.30 4.20 3.52 0.55 6.89 iShares Core US Aggregate Bond ETF 5.59 -13.06 -1.67 7.42 8.68 -0.05 3.53 2.56 0.48 6.04 Dodge & Cox Income 7.70 -10.87 -0.91 9.45 9.73 -0.31 4.36 5.61 -0.59 5.48 PGIM Total Return Bond R6 7.78 -14.86 -1.15 8.10 11.14 -0.63 6.71 4.83 0.09 7.25 Blmbg. U.S. Aggregate 5.53 -13.01 -1.55 7.51 8.72 0.01 3.54 2.65 0.55 5.97 Mainstay MacKay High Yield Corp Bond Fund 11.97 -7.81 5.35 5.28 13.03 -1.34 6.79 15.99 -1.44 1.75 ICE BofA High Yield Master 11 13.46 -11.22 5.36 6.17 14.41 -2.27 7.48 17.49 -4.64 2.50 ICE BofA 3 Month U.S. T-Bill 5.02 1.46 0.05 0.67 2.28 1.87 0.86 0.33 0.05 0.04 First American Government Obligation - X 5.00 1.54 0.03 0.40 2.12 1.74 0.79 N/A N/A N/A ICE BofA 3 Month U.S. T-Bill 5.02 1.46 0.05 0.67 2.28 1.87 0.86 0.33 0.05 0.04 Returns are gross of investment advisory fees and net of mutual fund fees. Returns are expressed as percentages and for periods over one year are annualized. Asset class level returns may vary from individual underlying manager returns due to cash flows. Total Portfolio returns prior to 1/1/2024 were provided by previous Advisor and believed to be accurate and reliable. Returns for January 2024 were calculated by the legacy performance system of previous Advisor and believed to be accurate and reliable. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 182 of 190 4.4 Attachment 1 PARS/CCCSD 115P - Pension As of March 31, 2024 Account Reconciliation Total Portfolio 174,702 500,484 14,877 690,063 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 183 of 190 4.5 Attachment 1 PARS/CCCSD 115P - Pension As of March 31, 2024 Asset Allocation vs. Target Allocation March 31, 2024 TotalValue Domestic Equity International Equity Other Growth Fixed Income Other Income Real Return Cash Equivalent 0.2% 0.0% 0.0% 2.7% December 31, 2023 TotalValue Domestic Equity International Equity Other Growth Fixed Income Other Income Real Return Cash Equivalent 0.3% 0.0% 0.0% 3.1 % -4.0 % -2.0 % 0.0% 2.0% 4.0% -6.0 % -3.0 % 0.0% 3.0% 6.0% Allocation Differences Allocation Differences March 31, 2024 TotalValue December 31, 2023 TotalValue Market Value Allocation Target Market Value Allocation Target ($000) (%) N ($000) N N Domestic Equity 156.79 22.72 23.00 Domestic Equity 39.32 22.51 23.00 International Equity 42.79 6.20 6.00 International Equity 11.06 6.33 6.00 Other Growth 5.19 0.75 1.00 Other Growth 1.24 0.71 1.00 Fixed Income 467.08 67.69 65.00 Fixed Income 118.95 68.09 65.00 Other Income - - 0.00 Other Income - - 0.00 Real Return - - 0.00 Real Return - - 0.00 Cash Equivalent 18.22 2.64 5.00 Cash Equivalent 4.13 2.36 5.00 Total Fund 690.06 100.00 100.00 Total Fund 174.70 100.00 100.00 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 184 of 190 4.6 Attachment 1 PARS/CCCSD 115P - Pension As of March 31, 2024 Historical Hybrid Composition - Blended Benchmark - Pension Sep-2017 Blmbg. U.S. Aggregate 49.3 S&P 500 15.5 ICE BofA 1-3 Yr. Gov/Corp 14.0 FTSE 1 Month T-Bill 5.0 Russell 2000 Index 4.5 MSCI EAFE (net) 4.0 Russell Midcap Index 3.0 MSCI EM (net) 2.0 ICE BofA High Yield Master II 1.8 Wilshire US REIT Index 1.0 May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 185 of 190 4.7 Attachment 1 IMPORTANT DISCLOSURES This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation, as it was prepared without regard to any specific objectives or financial circumstances. Investment advisory services are provided by PFM Asset Management LLC ("PFMAM"), an investment adviser registered with the U.S. Securities and Exchange Commission and a subsidiary of U.S. Bancorp Asset Management, Inc. ("USBAM"). USBAM is a subsidiary of U.S. Bank National Association ("U.S. Bank"). U.S. Bank is a separate entity and subsidiary of U.S. Bancorp. U.S. Bank is not responsible for and does not guarantee the products, services or performance of PFMAM. The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request. PFMAM professionals have exercised reasonable professional care in the preparation of this performance report. Information in this report is obtained from sources external to PFMAM and is generally believed to be reliable and available to the public; however, we cannot guarantee its accuracy, completeness or suitability. We rely on the client's custodian for security holdings and market values. Transaction dates reported by the custodian may differ from money manager statements. While efforts are made to ensure the data contained herein is accurate and complete, we disclaim all responsibility for any errors that may occur. References to particular issuers are for illustrative purposes only and are not intended to be recommendations or advice regarding such issuers. Fixed income manager and index characteristics are gathered from external sources. When average credit quality is not available, it is estimated by taking the market value weights of individual credit tiers on the portion of the strategy rated by a NRSRO. It is not possible to invest directly in an index. The index returns shown throughout this material do not represent the results of actual trading of investor assets. Third -party providers maintain the indices shown and calculate the index levels and performance shown or discussed. Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause investment performance to be lower than the performance shown. The views expressed within this material constitute the perspective and judgment of PFMAM at the time of distribution and are subject to change. Any forecast, projection, or prediction of the market, the economy, economic trends, and equity or fixed -income markets are based upon certain assumptions and current opinion as of the date of issue and are also subject to change. Some, but not all assumptions are noted in the report. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Opinions and data presented are not necessarily indicative of future events or expected performance. For more information regarding PFMAM's services or entities, please visit www.pfmam.com. © 2024 PFM Asset Management LLC. Further distribution is not permitted without prior written consent. May 21, 2024 Regular FINANCE Committee Meeting Agenda Packet - Page 186 of 190 5