Tacoma Employees’ Retirement System
Universe Comparison Analysis
For the Period June 30, 2010
Andrew Junkin, CFA, CAIA
Managing Director
Tom Toth, CFA
Vice President
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Summary
Wilshire has created a custom peer universe from which to compare the performance of Tacoma Employees’ Retirement
System (“TERS, the “System”). The universe was created by screening Wilshire’s extensive pension fund database for
those funds that had assets between $500 million and $5 billion. The following is a summary of the data.
Total Fund Return
• The System’s total fund return ranks in the third quartile for the quarter; in the first quartile for the one-year period; in the
second quartile for the two-year period; in the third quartile for the three-year period; in the second quartile for the fiveyear period; and in the first quartile for the ten-year period (page 6).
• From a risk/return standpoint, the System produced a slightly above-median return while incurring more volatility relative
to its peers over a five-year period (page 7).
• The System’s rolling three-year performance has ranked below the peer median for the last two years (page 8).
Asset Allocation Return*
• The System’s policy (asset allocation) return is negative over the three-year period and positive over the five-year period.
The policy return ranks in the fourth quartile for both the three-year and five-year periods, with returns of -5.34% and
1.77%, respectively (page 9). Over the five-year period, TERS’ policy return had a higher level of volatility versus its
peers (page 10).
• TERS’ allocation (weight, not return) to US equities ranks in the second quartile relative to its peers for the quarter; in the
third quartile for the one-year period; and in the second quartile for the three- and five-year periods. TERS’ allocation to
non-US equities ranks in the second quartile for the quarter and one-year periods; and in the third quartile for the threeand five-year periods (page 11-14).
* The asset allocation returns shown in this report reflect returns that were derived by regressing the System’s total
fund performance over time and therefore may differ from the System’s actual asset allocation return.
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Summary (continued)
• The System’s allocation (weight, not return) to investment grade fixed income ranks in the second quartile for the
quarter, one-, and three-year periods; and in the third quartile for the five-year period (pages 11-14).
• The System’s allocation (weight, not return) to real estate ranks in the second quartile for the quarter, one-, and
three-year periods; and in the first quartile for the five-year period (pages 11-14).
Implementation Return
• The System’s implementation return, which takes into consideration investment structure, style, and active
management, is positive over both the three- and five-year periods, with returns of 0.88% and 1.39%, respectively.
The implementation return ranks in the first quartile for both the three- and five-year periods (page 15). The fiveyear implementation return was obtained with an elevated level of volatility relative to its peers (page 16).
Asset Class Performance
US EQUITY
• The US equity segment performance ranks on the median (fiftieth percentile) for the quarter; in the second quartile
for the one-year period; in the fourth quartile for the two-year period; in the third quartile for the three-year period; in
the second quartile for the five-year period; and in the first quartile for the ten-year period (page 17). The US equity
segment’s rolling three-year performance has recently ranked on or just slightly below the universe median (page
18).
INTERNATIONAL EQUITY
• The non-US equity segment performance ranks in the third quartile for the quarter; in the first quartile for the oneyear period; in the fourth quartile for the two- and three-year periods; in the third quartile for the five-year period;
and in the fourth quartile for the ten-year period (page 19). The non-US equity segment’s rolling three-year
performance has fallen below the universe median over the past couple of years (page 20).
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Summary (continued)
FIXED INCOME
• The fixed income segment performance ranks in the second quartile for the quarter; in the first quartile for the one-year
period; at the twenty-fifth percentile for the two-year period; in the second quartile for the three-year period; in the first
quartile for the five-year period; and in the second quartile for the ten-year period (page 21). The fixed income
segment’s rolling three-year return has been above the universe median since 2005 (page 22).
REAL ESTATE
• The real estate segment (which consists solely of REITs), when compared to the total real estate peer universe, ranks in
the fourth quartile for the quarter; in the first quartile for the one- and two-year periods; in the fourth quartile for the
three- and five-year periods; and in the first quartile for the ten-year period (page 23). The real estate segment’s rolling
three-year return has fallen below the universe median since around mid-2007 (page 24).
Manager Net-of-Fee Returns
US Equity
• Northern Trust Large Cap Core’s performance when compared to a domestic large core equity universe ranks in the
second quartile for the quarter and one-year periods; in the third quartile for the two- and three-year periods; and in the
fourth quartile for the five- and ten-year periods (page 25). Over a five-year period, the Northern Trust Large Cap Core
fund has had a below-median return while incurring slightly less than median-level volatility relative to its peers (page
27).
• Northern Trust Large Cap Growth’s performance when compared to a domestic large growth equity universe ranks at
the median (fiftieth percentile) for the quarter; in the second quartile for the one-, two-, and three-year periods; in the
third quartile for the five-year period; and in the fourth quartile for the ten-year period (page 28). Over a five-year period,
the Northern Trust Large Cap Growth fund has had a below-median return while incurring less than median-level
volatility relative to its peers (page 30).
• Northern Trust Small Cap Core’s performance when compared to a domestic small cap equity universe ranks in the third
quartile for the quarter, one-, two-, three-, and five-year periods; and in the fourth quartile for the ten-year period (page
31). Over a five-year period, the Northern Trust Small Cap Core
fund has had a below median
return while incurring less than median-level volatility
relative to its peers (page 33).
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Summary (continued)
Manager Net-of-Fee Returns
US Equity (continued)
• INTECH’s performance when compared to a domestic equity enhanced index universe ranks in the second quartile for
the quarter; in the third quartile for the one- and two-year periods; and in the second quartile for the three- and five-year
periods (page 34). Over a five-year period, the INTECH fund has had a near median-level (forty-ninth percentile) return
while incurring less volatility relative to its peers (page 36).
• Research Affiliates’ performance when compared to a domestic equity enhanced index universe ranks in the third
quartile for the quarter; in the first quartile for the one- and two-year periods; in the third quartile for the three-year
period; and in the second quartile for the five-year period (page 37). Over a five-year period, the Research Affiliates fund
has had an above-median return while incurring more volatility relative to its peers (page 39).
Non-US Equity
• Northern Trust EAFE Index fund’s performance when compared to an EAFE universe ranks in the fourth quartile for the
quarter; and in the third quartile for the one-, two-, three-, and five-year periods (page 40). Over a five-year period, the
Northern Trust EAFE Index fund has had a below-median return while incurring less volatility relative to its peers (page
42).
• Northern Trust Emerging Markets fund’s performance when compared to an emerging markets universe ranks in the
third quartile for the quarter, one-, and two-year periods; and in the second quartile for the three-year period (page 43).
Over a three-year period, the Northern Trust Emerging Markets fund has had an above-median return while incurring
slightly less volatility relative to its peers (page 44).
• TT International’s performance when compared to an EAFE universe ranks in the fourth quartile for the quarter; in the
third quartile for the one-year period; in the fourth quartile for the two- and three-year periods; in the second quartile for
the five-year period; and in the fourth quartile for the ten-year period (page 45). Over a five-year period, the TT
International fund has had an above-median return while incurring more volatility relative to its peers (page 47).
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Summary (continued)
Manager Net-of-Fee Returns
Fixed Income
• MetWest’s performance when compared to a core/core-plus fixed income universe ranks in the first quartile for the quarter,
one-, two-, three-, and five-year periods (page 48). Over a five-year period, the MetWest fund has had an above-median
return while incurring more volatility relative to its peers (page 50).
• BlackRock’s performance when compared to a core-only fixed income universe ranks in the second quartile for the quarter;
and in the third quartile for the one-, two-, three-, five-, and ten-year periods (page 51). Over a five-year period, the
BlackRock fund has had a below-median return while incurring less volatility relative to its peers. (page 53.)
• Post Advisory Group’s performance when compared to a high yield fixed income universe ranks in the second quartile for the
quarter; and in the third quartile for the one-, two-, three-, and five-year periods (page 54). Over a five-year period, the Post
Advisory Group fund has had a below-median return while incurring less volatility relative to its peers (page 56).
Real Estate
• Adelante Capital’s performance when compared to a real estate securities universe ranks in the first quartile for the quarter;
in the third quartile for the one-year period; and in the fourth quartile for the two-, three-, five-, and ten-year periods (page
57). Over a five-year period, the Adelante Capital fund has had a below-median return while incurring slightly more volatility
relative to its peers (page 59).
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Total Return Ranking
Versus Pension Fund Universe with Plan Assets from $500M-$5B
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Total Return vs Risk
Versus Pension Fund Universe with Plan Assets from $500M-$5B
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Rolling 3-year Performance
Versus Pension Fund Universe with Plan Assets from $500M-$5B
8
Policy Return Ranking
9
Policy Return vs Risk
10
Asset Allocation Ranking (Quarter)
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Asset Allocation Ranking (1-year)
12
Asset Allocation Ranking (3-year)
13
Asset Allocation Ranking (5-year)
14
Implementation Return Ranking
15
Implementation Return vs Risk
16
US Equity Return Ranking
17
Rolling 3-year Performance (US Equity)
18
Non-US Equity Return Ranking
19
Rolling 3-year Performance (Non-US Equity)
20
US Fixed Income Return Ranking
21
Rolling 3-year Performance (US Fixed Income)
22
Real Estate Return Ranking
23
Rolling 3-year Performance (Real Estate)
24
Northern Trust Large Cap Core Return Ranking
Domestic Equity: Large Core Universe
25
Northern Trust Large Cap Core 3-Year Floating Ranking
Domestic Equity: Large Core Universe
26
5-year Return vs Risk (Northern Trust Large Cap Core)
Domestic Equity: Large Core Universe
27
Northern Trust Large Cap Growth Return Ranking
Domestic Equity: Large Growth Universe
28
Northern Trust Large Growth 3-Year Floating Ranking
Domestic Equity: Large Growth Universe
29
5-year Return vs Risk (Northern Trust Large Cap Growth)
Domestic Equity: Large Growth Universe
30
Northern Trust Small Cap Return Ranking
Domestic Equity: Small Cap Core Universe
31
Northern Trust Small Cap 3-Year Floating Ranking
Domestic Equity: Small Cap Core Universe
32
5-year Return vs Risk (Northern Trust Small Cap)
Domestic Equity: Small Cap Core Universe
33
INTECH Return Ranking
Domestic Equity: Enhanced Index Universe
34
INTECH 3-Year Floating Ranking
Domestic Equity: Enhanced Index Universe
35
5-year Return vs Risk (INTECH)
Domestic Equity: Enhanced Index Universe
36
Research Affiliates Return Ranking
Domestic Equity: Enhanced Index Universe
37
Research Affiliates 3-Year Floating Ranking
Domestic Equity: Enhanced Index Universe
38
5-year Return vs Risk (Research Affiliates)
Domestic Equity: Enhanced Index Universe
39
Northern Trust EAFE Return Ranking
International Equity: EAFE Universe
40
Northern Trust EAFE 5-Year Floating Ranking
International Equity: EAFE Universe
41
5-year Return vs Risk (Northern Trust EAFE)
International Equity: EAFE Universe
42
Northern Trust Emerging Markets Return Ranking
International Equity: Emerging Markets Universe
43
3-year Return vs Risk (Northern Trust Emerging Markets)
International Equity: Emerging Markets Universe
44
TT International Return Ranking
International Equity: EAFE Universe
45
TT International 3-Year Floating Ranking
International Equity: EAFE Universe
46
5-year Return vs Risk (TT International)
International Equity: EAFE Universe
47
MetWest Return Ranking
Fixed Income: Core/Core Plus Universe
48
MetWest 3-Year Floating Ranking
Fixed Income: Core/Core Plus Universe
49
5-year Return vs Risk (MetWest)
Fixed Income: Core/Core Plus Universe
50
BlackRock Return Ranking
Fixed Income: Core Universe
51
BlackRock 3-Year Floating Ranking
Fixed Income: Core Universe
52
5-year Return vs Risk (BlackRock)
Fixed Income: Core Universe
53
Post Advisory Group Return Ranking
Fixed Income: High Yield Universe
54
Post Advisory Group 3-Year Floating Ranking
Fixed Income: High Yield Universe
55
5-year Return vs Risk (Post Advisory Group)
Fixed Income: High Yield Universe
56
Adelante Capital Return Ranking
Real Estate: REIT Universe
57
Adelante Capital 3-Year Floating Ranking
Real Estate: REIT Universe
58
5-year Return vs Risk (Adelante Capital)
Real Estate: REIT Universe
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