Board of Trustees - Monthly Performance Report - May 31, 2018
All returns are annualized (for periods greater than one year), gross of fees (before fees) unless otherwise noted, and provided by Callan Associates, Inc.

(A)

Market Values as
of 5/31/2018*

(B)

(C)

(D)

(E)

(F)

(G)

3 Years

5 Years

Returns as of 5/31/2018
1 Month

3 Months

CYTD

FYTD

1 Year

1 TOTAL FUND ●
2 TOTAL FUND without FX Overlay ●
1
3 Passive Index Benchmark ●
2
4 Performance Benchmark ●
3
5 Total Fund Return Objective

65,866,115,300

0.35%
0.35%
0.35%
0.29%
0.81%

0.25%
0.25%
0.26%
0.20%
2.23%

1.07%
1.08%
-0.05%
0.78%
4.05%

9.58%
9.60%
8.02%
8.03%
7.27%

10.10%
10.12%
8.39%
8.59%
7.80%

7.45%
7.45%
5.95%
6.29%
6.90%

8.25%
8.25%
6.40%
7.04%
6.55%

6 PUBLIC EQUITIES with FX Overlay

27,226,382,938

0.71%

-0.21%

1.01%

13.01%

13.86%

8.23%

9.08%

27,221,799,466

0.71%
0.39%
-1.81%
-2.12%
1.35%
0.39%
2.68%
2.82%

-0.23%
-0.56%
-2.42%
-2.28%
0.16%
-0.56%
1.57%
1.14%

1.04%
0.43%
-0.98%
-1.68%
1.45%
0.43%
2.53%
2.55%

13.06%
11.82%
11.98%
9.95%
12.43%
11.82%
14.50%
14.03%

13.90%
12.48%
12.69%
10.30%
12.77%
12.48%
16.14%
15.06%

8.24%
7.75%
6.66%
5.20%
7.93%
7.75%
10.78%
10.72%

9.09%
9.08%
6.20%
5.86%
9.52%
9.08%
13.10%
12.85%

0.24%

0.62%

-1.76%

0.85%

0.92%

0.31%
0.65%
0.71%
0.49%
0.54%
-0.01%
0.04%
0.15%
-0.03%
-3.57%
-2.96%
0.43%
0.43%
2.07%
2.13%
-1.20%
-1.97%
0.16%
0.15%

0.74%
0.44%
0.61%
-0.36%
-0.14%
1.05%
1.09%
0.21%
0.02%
-5.00%
-4.48%
1.37%
1.42%
6.72%
6.36%
2.90%
0.42%
0.42%
0.42%

-1.61%
-1.66%
-1.50%
-3.00%
-2.70%
0.92%
1.13%
-0.11%
-0.24%
-3.90%
-3.84%
-0.36%
-0.42%
-1.83%
-2.33%
-3.11%
-5.32%
0.66%
0.64%

0.70%
-0.26%
-0.27%
-0.17%
-0.25%
2.38%
2.85%
2.31%
2.21%
0.53%
0.13%
1.64%
1.70%
3.01%
1.72%
2.15%
-0.95%
1.09%
1.19%

0.77%
-0.34%
-0.37%
0.22%
0.06%
2.03%
2.42%
2.05%
2.35%
0.73%
0.29%
0.76%
0.74%
4.25%
2.66%
1.12%
-1.11%
1.20%
1.28%

1.59%
1.39%
3.04%
2.63%
2.75%
3.08%
4.26%
4.87%
3.48%
3.59%
1.39%
1.46%
7.99%
3.62%
6.77%
2.76%

2.16%
1.98%
3.65%
3.05%
3.49%
3.81%
4.39%
4.88%
1.52%
1.37%
0.79%
0.86%
6.22%
5.20%

N/A
N/A
N/A
N/A
N/A

N/A
N/A
N/A
N/A
N/A

4.71%
4.84%
4.82%
4.49%
4.82%

18.94%
17.97%
14.63%
20.46%
14.63%

19.80%
19.83%
16.11%
19.73%
16.11%

13.47%
17.49%
6.78%
8.48%
11.73%

21.80%
19.07%
10.31%

4,100,267,941

N/A
N/A

N/A
N/A

1.89%
1.80%

5.00%
5.33%

5.71%
5.87%

8.83%
8.53%

9.76%
9.81%

4,332,980,415

N/A

N/A

4.07%

13.96%

14.87%

13.01%

11.70%

43 INFRA. & INCOME OPPORTUNITIES ●
44
INFRASTRUCTURE ● ◊
45
PUBLIC/PRIVATE CREDIT ●
46
INCOME OPPORTUNITIES ● ‡

2,407,411,716
1,170,572,803
754,995,896

N/A
N/A
N/A
N/A

N/A
N/A
N/A
N/A

1.39%
6.11%
2.09%
-4.58%

7.36%
18.93%
7.72%
1.70%

7.95%
20.32%
7.97%
2.28%

5.66%
20.37%
6.22%
7.79%

7.86%
15.81%
7.19%

47 ABSOLUTE RETURN

2,690,268,050

N/A

1.31%

2.11%

6.62%

6.28%

3.36%

3.43%

N/A

0.93%

1.41%

6.33%

6.64%

6.13%

6.11%

0.16%
0.91%
0.14%
0.15%
0.50%
-0.29%
0.29%

-0.17%
1.08%
0.38%
0.42%
-0.54%
-0.64%
0.20%

-0.70%
-1.23%
0.57%
0.64%

3.12%
-0.93%
1.14%
1.19%

2.99%

1.71%

2.26%

1.20%
1.28%

0.56%
0.62%

0.35%
0.39%

-0.63%
0.78%

5.43%
8.03%

5.10%
8.59%

3.75%
6.29%

4.78%
7.04%

7 PUBLIC EQUITIES
8 MSCI ACWI IMI
9
INTERNATIONAL EQUITIES
10
MSCI ACWI IMI EX-US
11
GLOBAL EQUITIES
12
MSCI ACWI IMI
13
DOMESTIC EQUITIES
14
RUSSELL 3000 INDEX
15 FIXED INCOME PLUS

8,026,004,304
10,871,937,204
8,323,376,223

◊†‡

13,954,969,035
4

16 PUBLIC INCOME BENCHMARK
17
US FIXED INCOME AGGREGATE
18
BB AGGREGATE
19
US INVESTMENT GRADE CORPORATE
20
BB CORPORATE
21
NON US FIXED INCOME
22
BB GLOBAL TREASURY EX-US
23
GLOBAL HIGH YIELD
24
BB US HIGH YIELD 2% ISSUER CAP
25
EMERGING MARKET DEBT
26
EMD BENCHMARK 5
27
TIPS
28
BB US TIPS
29
REITS † ‡
30
S&P GLOBAL REIT
31
LISTED INFRASTRUCTURE ◊
32
S&P GLOBAL LISTED INFRASTRUCTURE
33
FIXED INCOME PLUS CASH
34
90 DAY T-BILLS
35 PRIVATE EQUITY & GROWTH OPPORTUNITIES ●
36
PRIVATE EQUITY ●
37
PRIVATE EQUITY CUSTOM BENCHMARK6 ●
38
GROWTH OPPORTUNITIES ●
39
CAMBRIDGE PRIVATE EQUITY ●
†‡

40 REAL ESTATE ●
41 NCREIF TOTAL INDEX ●
42 INFRA. & INCOME OPPORTUNITIES ●

◊‡

3,758,058,468
3,644,593,662
1,279,715,299
1,447,353,924
835,691,241
253,303,930
1,349,750,369
643,453,238
743,048,903

7,390,092,275
4,556,464,603
2,833,627,671

7

48 ABSOLUTE RETURN BENCHMARK

8

49 ASSET ALLOCATION
50
APF FI LIQUIDITY
51
APF ASSET ALLOCATION CASH
52
90 DAY T-BILLS
53
ASSET ALLOCATION CASH OVERLAY
54
MULTI-STRATEGY
55
Performance Benchmark ●
1

2

3
4

5
6
7

8

*

●
◊
†
‡

6,171,570,931
537,307,706
964,884,512
2,139,982,068
2,529,396,646

Passive Benchmark is a blended benchmark (60% MSCI All-Country World Index IMI; 20% BB Global Aggregate Index; 10% FTSE EPRA/NAREIT Rental Index; 10% US TIPs)
from 9/30/2016 to date. Prior periods are described in Investment Policy.
Performance Benchmark is a blended benchmark (38% MSCI ACWI IMI; 11% NCREIF Total Index (1Q Lagged); 12% Cambridge Private Equity (1Q Lagged); 6% BB US
Corporate; 6% BB Aggregate; 5% HFRI Total HFOF Universe; 2% BB US High Yield 2% Issuer Cap; 2% BB US High Yield 2% Issuer Cap (1Q Lagged); 3% 90 Day T-Bills; 4%
FTSE Developed Core Infrastructure TRI (1Q Lagged); 2% S&P Global REIT; 2% BB Global Agg ex-US; 1% S&P Global Listed Infrastructure; 0.5% JPM EMBI Global Div; 0.5%
JPM GBI-EM Global Div TRI; 1% BC US TIPS) from 6/30/2017 to date. Prior periods are described in Investment Policy.
Total Fund Return Objective is the Consumer Price Index (All Urban Consumers, U.S. City Average, All Items, Unadjusted Index) plus 5%.
Public Income Plus Benchmark is a blended benchmark (25% BB Aggregate; 25% BB US Corporate; 10% S&P Global REIT; 10% BB US High Yield 2% Issuer Cap; 10% BB
Global Agg ex-US; 5% S&P Global Listed Infrastructure; 2.5% JPM EMBI Global Div; 2.5% JPM GBI-EM Global Div TRI; 5% BB US TIPS; 5% 90 Day T-Bills) from 9/30/2016
EMD Benchmark is 50% JPM EMBI Global Diversified and 50% JPM GBI-EM Global Diversified.
Private Equity Custom Benchmark is 60% Russell 3000 (1Q Lagged) and 40% MSCI EAFE (1Q Lagged) through 9/30/2016 then Cambridge Private Equity (1Q Lagged)
Infrastructure, Private Credit and Income Opportunities Benchmark is a blended benchmark (60% FTSE Developed Core Infrastructure TRI (1Q Lagged); 40% BB US High Yield
2% Issuer Cap (1Q Lagged)) from 9/30/2016 to date.
Absolute Return Benchmark is LIBOR + 4% through 6/30/2013, LIBOR + 6% from 7/1/2013 through 6/30/2015, LIBOR + 5% from 7/1/2015 through 9/30/2016, and
HFRI Total HFOF Universe thereafter.
Reported market values represent total fund holdings, which consists of 99.16% APF and 0.84% AMH, and are consistent with the timing of the APF and AMH Financial
For investments within Private Equity and Growth Opportunities, Real Estate, and Infrastructure, Private Credit, and Income Opportunities asset classes, returns are lagged one
(1) quarter. Composites that incorporate these investments as well as associated benchmarks are also lagged one (1) quarter.
Public infrastructure investments are included with Infrastructure prior to 9/30/2016 and Fixed Income Plus thereafter.
REITs are included with Real Estate prior to 9/30/2016 and Fixed Income Plus thereafter.
American Homes 4 Rent became a public investment on 7/31/2013. It is included in Income Opportunities from inception to 7/31/2013, Real Estate from 8/1/2013 to
9/30/2016, and Fixed Income Plus from 10/1/2016 to date.

 (A)

Market Values as
of 5/31/2018*
56 PUBLIC EQUITIES with FX Overlay
57 PUBLIC EQUITIES
58 MSCI ACWI IMI
59
INTERNATIONAL EQUITIES
60
MSCI ACWI IMI EX-US
61
Macquarie Emerging Markets
62
JP Morgan Emerging Markets
63
Lee Munder Emerging Markets
64
Mondrian Investment Partners
65
SSGA MSCI Emerging Markets
66
William Blair Emerging Markets
67
MEASA Fund
68
MSCI Emerging Markets Index
69
DFA Emerging Markets Value
70
MSCI Emerging Markets Value Index
71
DFA Emerging Markets Small Cap
72
MSCI Emerging Markets Small Cap Index
73
Trustbridge Emerging Markets
74
MSCI All China Net Total Return Index
75
Wells Capital
76
MSCI All China Net Total Return Index
77
Mellon MSCI World ex-USA
78
DFA International Large Cap
79
Int'l Passive/Quasi-Passive Custom 1
80
DFA International Small Cap Value
81
MSCI World ex-USA Small Cap Value Index
82
DFA International Small Company
83
SSGA International Developed Small Cap
84
MSCI World ex-USA Small Cap Index
85
Acadian Asset Mgmt
86
MSCI Custom Benchmark2
87
LSV International Large Cap
88
Schroders International Large Cap
89
MSCI All Country World ex-USA Value Index
90
Johnston International Large Cap
91
JP Morgan International Large Cap
92
MSCI World ex-USA Growth Index
93
GLOBAL EQUITIES
94
MSCI ACWI IMI
95
AQR Global Equity
96
SSGA MSCI World
97
CDAM Global Equity
98
MSCI World Index
99
SSGA Russell Fundamental Developed Lrg Co
100
Russell Fundamental Dvlpd Lrg Co Index
101
Lazard Asset Management4
102
McKinley Capital Management
103
RBA Global Equity
104
WCM Global Equity
105
MSCI All-Country World Index
106
APF Tactical Tilts
107
SSGA MSCI ACWI IMI
108
APF Global Equities
109
Arrowstreet Global Equity
110
Longview Global Equity
111
MSCI All-Country World IMI
112
DOMESTIC EQUITIES
113
RUSSELL 3000 INDEX
114
Mellon S&P 500
115
S&P 500 Index
116
Mellon FTSE RAFI US Large Cap
117
FTSE RAFI US 1000 Index
118
AGI - Large Cap
119
SSGA Large Cap
120
DSM - Large Cap
121
CastleArk - Large Cap
122
APF SPDR Yield
123
APF SPDR Momentum
124
APF SPDR Low Vol
125
Russell 1000 Growth Index
126
Russell 1000 Index
127
Lyrical - Large Cap
128
SKBA - Large Cap
129
LSV - Large Cap Value
130
Russell 1000 Value Index
131
Mellon S&P 400
132
S&P 400 Index
133
Jennison Associates LLC
134
Russell 2000 Index
135
RBC Asset Mgmt
136
Eagle Asset Mgmt
137
Russell 2000 Growth Index
138
Russell 2000 Index
139
T Rowe Price
140
Pzena Investment Mgmt
141
Russell 2000 Value Index
142
Russell 2000 Index
143
AGI Structured Alpha
144
S&P 500 Index
1
2
3
4

*

(B)

(C)

(D)

(E)

(F)

(G)

3 Years

5 Years

Returns as of 5/31/2018
1 Month

3 Months

CYTD

FYTD

1 Year

27,226,382,938

0.71%

-0.21%

1.01%

13.01%

13.86%

8.23%

9.08%

27,221,799,466

0.71%
0.39%
-1.81%
-2.12%
-3.63%
-2.09%
0.00%
-5.17%
-3.55%
-2.67%
N/A
-3.54%
-4.27%
-4.81%
-2.42%
-2.08%
4.77%
0.12%
3.23%
0.12%
-1.78%
-2.21%
-1.90%
-2.94%
-2.43%
-0.98%
-0.63%
-0.71%
-1.02%
-3.82%
-3.61%
-2.37%
-4.07%
3.41%
0.39%
-0.01%
1.35%
0.39%
0.33%
0.69%
-0.17%
0.63%
-0.30%
-0.31%
-0.42%
0.44%
1.84%
2.09%
0.12%
1.50%
0.41%
0.60%
0.63%
0.61%
0.39%
2.68%
2.82%
2.41%
2.41%
1.55%
1.55%
3.77%
3.83%
4.67%
5.60%
2.10%
2.13%
1.27%
4.38%
2.55%
-1.80%
0.28%
0.90%
0.59%
4.12%
4.13%
5.50%
6.07%
6.90%
6.09%
6.30%
6.07%
3.98%
8.50%
5.82%
6.07%
2.81%
2.41%

-0.23%
-0.56%
-2.42%
-2.28%
-6.06%
-5.86%
0.00%
-6.48%
-5.71%
-5.68%

1.04%
0.43%
-0.98%
-1.68%
-2.42%
-2.38%
0.00%
-4.92%
-2.55%
-3.42%

13.06%
11.82%
11.98%
9.95%
13.67%
14.01%
0.00%
4.72%
12.20%
14.64%

13.90%
12.48%
12.69%
10.30%
14.09%
15.30%
0.00%
4.79%
14.19%
16.16%

8.24%
7.75%
6.66%
5.20%
9.24%
10.69%
0.00%
3.83%
6.07%
6.32%

9.09%
9.08%
6.20%
5.86%

-5.76%
-4.99%
-5.85%
-4.33%
-3.43%
4.94%
-5.48%
-0.10%
-5.48%
-1.14%
-1.48%
-1.38%
-2.71%
-1.51%
-0.84%
-0.14%
-0.30%
-1.77%
-3.14%
-3.25%
-2.43%
-3.84%
3.72%
-0.70%
0.34%
0.16%
-0.56%
-0.37%
-0.32%
-2.35%
-0.44%
-0.05%
0.05%
-0.27%
-1.16%
-1.19%
1.68%
-1.08%
-0.81%
-0.47%
-0.64%
-1.27%

-2.61%
-0.72%
-2.42%
-2.31%
-2.03%
11.23%
-3.13%
5.51%
-3.13%
-1.42%
-1.35%
-1.69%
-2.99%
-1.97%
-0.28%
0.48%
0.30%
1.01%
-3.43%
-2.00%
-1.19%
-3.18%
5.44%
-0.36%
0.01%
1.45%
0.43%
1.14%
0.65%
-4.37%
0.48%
-0.41%
-0.41%
0.40%
2.69%
1.81%
3.95%
0.11%
0.87%
0.51%
0.31%
1.24%

12.89%
13.47%
9.96%
13.35%
13.05%
47.26%
11.98%
29.13%
11.98%
8.52%
10.53%
8.23%
8.96%
10.31%
12.30%
13.97%
13.84%
14.16%
6.00%
9.69%
8.28%
6.96%
20.20%
10.87%
10.42%
12.43%
11.82%
14.17%
11.51%

14.03%
13.83%
10.08%
14.35%
13.93%
51.18%
17.21%
36.13%
17.21%
8.65%
11.23%
8.33%
10.52%
11.36%
13.11%
14.46%
14.20%
15.33%
6.73%
10.26%
9.19%
7.55%
21.31%
9.62%
9.88%
12.77%
12.48%
14.22%
12.01%

6.17%

4.52%

4.58%
5.30%
4.24%
8.64%
7.91%
10.14%
9.81%
9.55%
9.50%
4.06%
5.14%
6.72%
3.23%
11.78%
7.18%
5.39%
7.93%
7.75%
9.91%
8.14%

5.97%
6.42%
5.65%
10.61%
8.48%
10.66%
10.09%
9.78%
7.99%
5.54%

11.14%
11.42%
11.54%
10.68%
15.12%

11.57%
11.77%
11.89%
10.53%
15.04%

7.65%
7.55%
7.68%
6.80%
8.41%

9.40%
9.30%
9.44%
9.20%
10.48%

11.33%
10.44%
11.93%

11.84%
12.01%
12.59%

7.52%
4.40%

8.88%

-0.56%
1.57%
1.14%
0.19%
0.19%
0.46%
0.45%
1.25%
0.84%
2.22%
5.49%
2.36%
0.77%
0.73%
1.88%
0.57%
-4.93%
-0.22%
-1.09%
-0.85%
4.81%
4.82%
7.90%
8.37%
10.73%
6.97%
7.83%
8.37%
7.18%
13.30%
8.98%
8.37%
1.39%
0.19%

0.43%
2.53%
2.55%
2.03%
2.02%
-0.12%
-0.13%
5.71%
4.68%
7.49%
12.00%
0.80%
1.08%
-0.19%
6.23%
2.19%
-6.47%
0.35%
-0.82%
-1.93%
3.04%
3.05%
8.38%
6.90%
10.07%
9.54%
8.85%
6.90%
3.10%
9.72%
4.81%
6.90%
1.79%
2.02%

11.82%
14.50%
14.03%
13.73%
13.67%
11.07%
11.02%
20.35%
15.94%
22.44%
30.25%
10.86%
13.87%
9.03%
21.34%
13.80%
2.12%
15.82%
12.24%
6.51%
13.02%
13.03%
18.86%
16.73%
18.21%
21.63%
20.92%
16.73%
13.87%
17.99%
12.42%
16.73%
14.63%
13.67%

12.48%
16.14%
15.06%
14.44%
14.38%
12.37%
12.32%
20.11%
17.78%
24.73%
30.37%
12.55%
14.41%
10.41%
21.02%
14.60%
4.73%
18.01%
15.22%
8.25%
14.85%
14.86%
20.80%
20.76%
20.46%
23.76%
25.08%
20.76%
16.33%
20.43%
16.35%
20.76%
15.50%
14.38%

7.75%
10.78%
10.72%
10.91%
10.97%
9.21%
9.30%
13.12%
11.77%
14.34%
16.16%

13.10%
12.85%
12.94%
12.98%
11.54%
11.59%
15.91%
15.01%
16.85%
15.54%

13.93%
10.70%
4.87%
11.18%

15.69%
12.91%
12.39%
11.44%

7.45%
10.27%
10.25%
10.83%
10.98%
12.21%
13.72%
10.81%
10.98%
13.79%
13.89%
11.04%
10.98%

10.09%
12.20%
12.17%
13.31%
12.18%
12.56%
13.87%
13.33%
12.18%
11.87%
14.99%
10.96%
12.18%

8,026,004,304
191,905,054
399,138,369
14,359
544,461,352
118,849,191
403,994,011
100,174,697
493,712,568
158,614,802
290,907,232
179,549,866
565,032,868
558,426,829
428,886,008
435,798,553
428,416,007
535,665,053
573,255,004
618,363,778
416,493,311
584,019,434
10,871,937,204
1,575,400,860
182,170,020
295,070,198
1,623,081,526
1,202,681,136
597,285,986
308,316,150
413,435,101
2,804,226,307
167,845,149
102,768,731
806,445,061
788,991,588
8,323,376,223
958,763,923
640,763,623
914,151,931
228,857,519
719,516,226
347,355,238
396,781,183
413,297,685
406,792,186

655,611,592
362,963,792
884,916,185
179,963,184
298,203,414
174,999,668
202,274,896

187,070,757
202,610,107

148,483,113

1.20%
4.63%

9.52%
9.08%
10.98%

Int'l Passive/Quasi-Passive Custom Benchmark is MSCI EAFE through 5/26/10 then MSCI World ex US thereafter.
MSCI Custom Blend benchmark is MSCI EAFE TRI through 2/28/11, MSCI World ex-USA TRI through 4/30/2016, then MSCI World ex-USA Value TRI thereafter.
MSCI World ex-USA/MSCI EAFE benchmark is MSCI EAFE TRI through 2/28/11 then MSCI World ex-USA TRI thereafter.
Lazard global equity accounts' annual fees do not include fees paid on imbedded mutual fund positions.
Reported market values represent total fund holdings, which consists of 99.16% APF and 0.84% AMH, and are consistent with the timing of the APF and AMH Financial Statements.

 (A)

Market Values as
of 5/31/2018*
145 FIXED INCOME PLUS ◊ † ‡

13,954,969,035

167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193

APF TIPS
BB U.S. TIPS
Alaska Permanent Capital Mgmt
BB U.S. TIPS 1-10 Year Index

REITS † ‡
S&P GLOBAL REIT
AEW Global RE Securities
American Homes 4 Rent †
MSCI US REIT Index
REIT Benchmark4
SSGA REITS
S&P GLOBAL REIT

LISTED INFRASTRUCTURE ◊
S&P GLOBAL LISTED INFRASTRUCTURE
Lazard Listed Infrastructure
FTSE Core Developed Infrastructure (Hedged)
Cohen & Steers Listed Infrastructure
FTSE Core Developed Infrastructure Custom
SSGA Listed Infrastructure
S&P Global Listed Infrastructure

(D)

(E)

1 Month

3 Months

CYTD

FYTD

1 Year

-1.76%

0.85%

0.92%

743,013,400
835,691,241

0.31%
0.65%
0.71%
0.65%
0.49%
0.54%
0.49%
-0.01%
0.04%
-0.02%
0.14%
0.15%
-0.03%
-0.06%
0.44%
0.17%
-0.03%
-0.03%
0.16%
0.15%
0.16%
-3.57%

0.74%
0.44%
0.61%
0.44%
-0.36%
-0.14%
-0.36%
1.05%
1.09%
1.11%
1.16%
0.21%
0.02%
-0.04%
0.66%
0.12%
0.02%
0.02%
0.42%
0.42%
0.42%
-5.00%

-1.61%
-1.66%
-1.50%
-1.66%
-3.00%
-2.70%
-3.00%
0.92%
1.13%
0.99%
0.99%
-0.11%
-0.24%
-0.58%
0.78%
-0.37%
-0.24%
-0.24%
0.66%
0.64%
0.66%
-3.90%

0.70%
-0.26%
-0.27%
-0.26%
-0.17%
-0.25%
-0.17%
2.38%
2.85%
2.79%
2.62%
2.31%
2.21%
1.43%
4.19%
1.62%
2.21%
2.21%
1.09%
1.19%
1.09%
0.53%

0.77%
-0.34%
-0.37%
-0.34%
0.22%
0.06%
0.22%
2.03%
2.42%
2.48%
2.23%
2.05%
2.35%
1.44%
3.32%
1.85%
2.35%
2.35%
1.20%
1.28%
1.20%
0.73%

640,799,142

-2.96%
-3.64%

-4.48%
-4.93%

-3.84%
-3.59%

0.13%
0.91%

-2.96%
-3.34%
-1.16%
0.43%
0.43%
0.44%
0.43%
0.47%
0.46%
2.07%
2.13%
2.11%
-1.39%
3.94%
2.27%
2.20%
2.13%
-1.20%
-1.97%
-2.14%
1.44%
1.48%
0.52%
-1.80%
-1.97%

-4.48%
-5.23%
-2.07%
1.37%
1.42%
1.44%
1.42%
1.14%
1.15%
6.72%
6.36%
7.09%
4.07%
9.55%
7.24%
6.60%
6.36%
2.90%
0.42%
5.15%
6.12%
4.98%
4.20%
0.71%
0.42%

-3.84%
-4.97%
-3.27%
-0.36%
-0.42%
-0.40%
-0.42%
0.01%
-0.07%
-1.83%
-2.33%
-1.25%
-8.55%
-3.09%
-1.36%
-1.91%
-2.33%
-3.11%
-5.32%
-2.20%
-0.14%
-0.03%
-1.27%
-4.95%
-5.32%

3,758,058,468
3,758,058,468
3,644,593,662
3,644,593,662
1,279,715,299
350,556,547
929,158,752
1,447,353,924
580,692,124
404,745,462
461,916,338

743,048,903

194,892,099
253,303,930
126,274,202
127,029,728
1,349,750,369
521,621,322
33,304,128

794,824,919
643,453,238
187,598,955
141,229,383
314,603,949

(F)

(G)

3 Years

5 Years

Returns as of 5/31/2018
0.62%

2

EMD BENCHMARK
Capital Guardian HY EM Gov't
HY Emerging Markets Benchmark3
APF Emerging Market Debt
BB EMD Hard Currency AGG
TIPS
BB US TIPS

(C)

0.24%

1

146 PUBLIC INCOME BENCHMARK
147
US FIXED INCOME AGGREGATE
148
BB AGGREGATE
149
APF Fixed Income - Aggregate
150
US INVESTMENT GRADE CORPORATE
151
BB CORPORATE
152
APF Corporate Bonds
153
NON US FIXED INCOME
154
BB GLOBAL TREASURY EX-US
155
Rogge Global Partners
156
APF Global Government Bonds
157
GLOBAL HIGH YIELD
158
BB US HIGH YIELD 2% ISSUER CAP
159
Oaktree High Yield
159
Capital Guardian High Yield
160
APF High Yield
161
BB US High Yield 2% Issuer Cap Index
162
HY Fixed Income Custom Blend1
163
FIXED INCOME PLUS CASH
164
90 DAY T-BILLS
165
APF Fixed Income Plus Cash
166
EMERGING MARKET DEBT

(B)

1.59%
1.39%
1.59%
3.04%
2.63%
3.04%
2.75%
3.08%
3.02%
2.64%
4.26%
4.87%
3.62%
6.07%

2.16%
1.98%
2.16%
3.65%
3.05%
3.65%
3.49%
3.81%
3.59%
3.48%
4.39%
4.88%
3.79%
5.98%

4.87%
4.99%

4.88%
5.12%

3.48%

1.52%

0.29%
1.11%

3.59%
3.61%

1.37%
1.59%

0.13%

0.29%

3.60%

1.10%

1.64%
1.70%
1.72%
1.70%
1.22%
1.17%
3.01%
1.72%
4.71%
-11.10%
-0.81%
3.88%
2.58%
1.72%
2.15%
-0.95%
3.08%
3.56%
6.29%
3.59%
-0.25%
-0.95%

0.76%
0.74%
0.82%
0.74%
0.41%
0.36%
4.25%
2.66%
6.25%
-10.51%
1.30%
5.00%
3.63%
2.66%
1.12%
-1.11%
0.33%
1.92%
5.42%
2.72%
-0.21%
-1.11%

1.39%
1.46%
1.56%
1.46%
1.22%
1.22%
7.99%
3.62%
5.74%
5.29%
4.86%
5.15%

0.79%
0.86%
0.91%
0.86%
0.66%
0.59%
6.22%
5.20%
7.24%
5.27%
6.90%
6.62%

6.77%
2.76%
10.59%
6.05%
6.06%
5.98%

194 ABSOLUTE RETURN
195 ABSOLUTE RETURN BENCHMARK

2,690,268,050

N/A
N/A

1.31%
0.93%

2.11%
1.41%

6.62%
6.33%

6.28%
6.64%

3.36%
6.13%

3.43%
6.11%

196 ASSET ALLOCATION
197
APF FI LIQUIDITY
198
APF ASSET ALLOCATION CASH
199
90 DAY T-BILLS
200
ASSET ALLOCATION CASH OVERLAY
201
MULTI-STRATEGY
202
Performance Benchmark ●
203
Bridgewater
204
AQR
205
Goldman Sachs
206
CPI + 5%

6,171,570,931
537,307,706
964,884,512

0.16%
0.91%
0.14%
0.15%
0.50%
-0.29%
0.29%
0.90%
-1.54%
-0.19%
0.81%

-0.17%
1.08%
0.38%
0.42%
-0.54%
-0.64%
0.20%
0.36%
-1.92%
-0.31%
2.23%

-0.70%
-1.23%
0.57%
0.64%

3.12%
-0.93%
1.14%
1.19%

2.99%

1.71%

2.26%

1.20%
1.28%

0.56%
0.62%

0.35%
0.39%

-0.63%
0.78%
1.38%
-1.77%
-1.47%
4.05%

5.43%
8.03%
7.41%
4.53%
4.36%
7.27%

5.10%
8.59%
6.50%
4.00%
4.80%
7.80%

3.75%
6.29%
3.09%
5.76%
2.47%
6.90%

4.78%
7.04%
5.40%
6.47%
4.22%
6.55%

1
2
3
4

*
●
◊
†
‡

2,139,982,068
2,529,396,646
854,089,688
855,095,053
820,211,905

Net

Net

HY Fixed Income Custom Blend is BB Global High Yield Corporate Index through 7/31/2016 then BB US High Yield 2% Issuer Cap Index thereafter.
EMD Benchmark is 50% JPM EMBI Global Diversified and 50% JPM GBI-EM Global Diversified.
HY Emerging Markets Benchmark is 50% JP Morgan Emerging Markets Bond Index Global and 50% JP Morgan Government Bond Index-Emerging Markets Global Diversified.
REIT Benchmark is UBS Global Real Estate Investors Index through 12/31/2014 then FTSE EPRA/NAREIT Developed Rental Index thereafter.
Reported market values represent total fund holdings, which consists of 99.16% APF and 0.84% AMH, and are consistent with the timing of the APF and AMH Financial Statements.
For investments within Private Equity and Growth Opportunities, Real Estate, and Infrastructure, Private Credit, and Income Opportunities asset classes, returns are lagged one (1) quarter.
Composites that incorporate these investments as well as associated benchmarks are also lagged one (1) quarter.
Public infrastructure investments are included with Infrastructure prior to 9/30/2016 and Fixed Income Plus thereafter.
REITs are included with Real Estate prior to 9/30/2016 and Fixed Income Plus thereafter.
American Homes 4 Rent became a public investment on 7/31/2013. It is included in Income Opportunities from inception to 7/31/2013, Real Estate from 8/1/2013 to 9/30/2016, and
Fixed Income Plus from 10/1/2016 to date.

 (A)

Market Values as
of 5/31/2018*
207 PRIVATE EQUITY & GROWTH OPPORTUNITIES ●
208 CAMBRIDGE PRIVATE EQUITY ●
209
PRIVATE EQUITY ●
210
PRIVATE EQUITY CUSTOM BENCHMARK ●
211
Pathway Capital Mgmt - Direct PE
212
Rapid Partners LP
213
Kelso Hammer LP
214
HarbourVest Legacy
215
Pathway Capital Mgmt - PE
216
BlackRock Co-investment Funds
217
GROWTH OPPORTUNITIES ●
218
CAMBRIDGE PRIVATE EQUITY ●

7,390,092,275

219 REAL ESTATE ● † ‡
220 NCREIF TOTAL INDEX ●
221
L&B Realty Advisors
222
Sentinel Real Estate
223
LaSalle Investment Mgmt-United Kingdom
224
Lincoln Industrial
225
CB Richard Ellis - Europe
226
CS Capital

4,100,267,941

227 INFRA. & INCOME OPPORTUNITIES ● ◊ ‡
228 INFRA. & INCOME OPPORTUNITIES ●
229
INFRASTRUCTURE ● ◊
230
FTSE DEVELOPED CORE INFRA. TRI ●
231
GIP
232
GIP II
233
Gateway IFR
234
G Sachs
235
EQT II
236
GIP II Co-Invest 2
237
ACTIS Energy 3
238
LS Power III
239
North Haven
240
Twin Creeks Timber
241
GIP III
242
GIP III Canary
243
CIM Fund II
244
IFR ACTIS Energy 4
245
IFR Meridiam III
246
IFR GIP III Zenith
247
IFR ENCAP FM IV
248
IFR INFRARED V
249
IFR NHIP II Bison
250
FTSE Core Developed Infrastructure TRI
251
PUBLIC/PRIVATE CREDIT ●
252
BB US HIGH YIELD 2% ISSUER CAP ●
253
INCOME OPPORTUNITIES ● ‡
254
American Homes 4 Rent II
255
Athyrium III
256
Generate Capital
257
Broadriver III
258
APF ADAC

4,332,980,415

*
●
◊
†
‡

4,556,464,603
888,708,283
77,332,472
31,674,700
1,152,811,091
2,208,562,932
197,375,126
2,833,627,671

2,098,116,999
1,043,438,733
250,091,201
93,573,101
176,290,530
438,757,376

2,407,411,716
186,719,594
388,362,494
289,416,866
347,986,437
35,678,301
93,736,793
47,851,237
140,217,127
162,675,334
89,173,093
257,490,589
106,387,414
72,812,776
21,306,913
288,769
100,541,695
830,569
16,135,715
49,800,000
1,170,572,803
754,995,896
162,871,206
7,295,338
84,792,718
2,415,702
497,620,932

(B)

(C)

(D)

(E)

(F)

(G)

3 Years

5 Years

Returns as of 5/31/2018
3 Months

CYTD

FYTD

1 Year

4.55%
4.82%
4.58%
1.58%
6.81%
-10.50%
5.23%
5.78%
4.10%
1.07%
4.49%
4.82%

4.55%
4.82%
4.58%
4.82%
6.81%
-10.50%
5.23%
5.78%
4.10%
1.07%
4.49%
4.82%

18.24%
14.63%
17.09%
14.63%
26.40%
-9.80%
12.55%
21.05%
13.71%
21.12%
20.03%
14.63%

23.48%
19.13%
22.27%
16.11%
29.41%
-3.43%
13.14%
27.75%
18.48%
25.22%
25.38%
19.13%

12.39%
12.20%
17.07%
6.78%
20.48%

21.24%
13.82%
18.25%
10.31%
18.90%

20.94%
14.28%
3.86%
6.28%
12.20%

19.90%
16.73%

1.80%
1.80%
1.09%
1.38%
5.19%
7.00%
4.37%
5.08%

1.80%
1.80%
1.09%
1.38%
5.19%
7.00%
4.37%
5.08%

4.74%
5.33%
3.91%
-1.17%
20.23%
16.80%
19.26%
10.62%

6.46%
6.96%
5.19%
0.80%
22.39%
18.18%
31.51%
14.72%

9.10%
9.38%
11.30%
6.82%
-12.01%
15.16%
21.07%

9.86%
10.19%
11.62%
7.92%

4.07%
1.39%
6.11%
1.98%
3.94%
3.66%
5.08%
15.78%
4.67%
5.08%
3.98%
N/A
2.63%
0.74%
1.31%
5.53%
-0.66%
-3.17%
N/A

4.07%
1.39%
6.11%
1.98%
3.94%
3.66%
5.08%
15.78%
4.67%
5.08%
3.98%
N/A
2.63%
0.74%
1.31%
5.53%
-0.66%
-3.17%
N/A

13.95%
7.36%
18.93%
9.12%
43.78%
13.36%
16.84%
29.73%
27.81%
13.68%
10.32%
20.77%
28.90%
-5.09%
-9.58%
8.28%
0.29%
N/A

16.93%
12.67%
22.94%
16.16%
47.98%
17.77%
17.10%
30.65%
28.44%
13.67%
16.91%
19.78%
32.42%
-3.57%
8.04%
34.58%

13.40%
5.91%
20.40%
5.49%
43.40%
16.81%
10.07%
23.49%
27.18%
26.09%
17.04%
18.45%
13.28%

11.98%
8.85%
15.93%
10.81%
35.88%
22.58%
-0.43%
19.67%

1.98%
2.09%
0.47%
-4.61%
-5.97%
0.40%
-0.44%

1.98%
2.09%
0.47%
-4.61%
-5.97%
0.40%
-0.44%

9.12%
7.72%
4.68%
1.56%
0.43%

16.16%
9.34%
7.50%
3.20%
2.05%

5.49%
6.74%
6.36%
7.56%
7.15%

10.81%
7.59%
5.78%

Various
Net
Gross
Net
Net
Net
Net

Reported market values represent total fund holdings, which consists of 99.16% APF and 0.84% AMH, and are consistent with the timing of the APF and AMH Financial Statements.
For investments within Private Equity and Growth Opportunities, Real Estate, and Infrastructure, Private Credit, and Income Opportunities asset classes, returns are lagged one (1) quarter.
Composites that incorporate these investments as well as associated benchmarks are also lagged one (1) quarter.
Public infrastructure investments are included with Infrastructure prior to 9/30/2016 and Fixed Income Plus thereafter.
REITs are included with Real Estate prior to 9/30/2016 and Fixed Income Plus thereafter.
American Homes 4 Rent became a public investment on 7/31/2013. It is included in Income Opportunities from inception to 7/31/2013, Real Estate from 8/1/2013 to 9/30/2016, and
Fixed Income Plus from 10/1/2016 to date.

Net
Net
Net
Net
Net
Net

Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net
Net