Board of Trustees - Monthly Performance Report - December 31, 2019
All returns are provided by Callan LLC and are annualized for periods greater than one year.
(A)

Market Values as of
12/31/2019*

(B)

(C)

(D)

(E)

(F)

(G)

Returns as of 12/31/2019
1 Month

3 Months

QE

FYTD

CYTD

1 Year

3 Years

5 Years

(6 months)

(12 months)

(12 Months)

(36 Months)

(60 months)

Return Type

68,361,097,083
68,359,274,558

1.71%
1.71%
2.32%
1.78%
0.32%

4.07%
4.07%
5.71%
4.30%
1.31%

5.38%
5.38%
6.57%
5.81%
2.79%

15.71%
15.70%
20.40%
16.57%
7.29%

15.71%
15.70%
20.40%
16.57%
7.29%

9.95%
9.96%
9.46%
9.60%
7.10%

8.31%
8.31%
6.47%
7.09%
6.82%

25,695,512,563

3.86%

9.66%

9.49%

26.53%

26.53%

12.13%

8.32%

Gross

25,693,689,857

3.86%
3.55%
5.15%
4.41%
3.60%
3.55%
3.02%
2.89%

9.66%
9.05%
10.68%
9.20%
8.87%
9.05%
9.69%
9.10%

9.48%
8.85%
8.15%
7.33%
9.88%
8.85%
10.17%
10.37%

26.52%
26.35%
22.09%
21.63%
26.90%
26.35%
30.04%
31.02%

26.52%
26.35%
22.09%
21.63%
26.90%
26.35%
30.04%
31.02%

12.15%
12.09%
10.63%
9.84%
12.09%
12.09%
12.88%
14.57%

8.33%
8.34%
6.17%
5.71%
8.48%
8.34%
10.37%
11.24%

Gross

0.73%
0.58%
-0.01%
-0.07%
0.46%
0.32%
-0.50%
-0.43%
1.88%
2.00%
3.74%
3.07%
0.33%
0.38%
0.09%
-0.27%
3.87%
4.24%
0.15%
0.14%

1.35%
1.02%
0.38%
0.18%
1.53%
1.18%
-1.35%
-1.44%
2.67%
2.61%
4.32%
3.51%
0.70%
0.79%
1.38%
0.80%
4.29%
4.90%
0.49%
0.46%

3.89%
3.53%
2.83%
2.45%
4.55%
4.27%
1.53%
1.65%
3.46%
3.98%
3.51%
3.89%
1.77%
2.15%
7.36%
6.57%
6.41%
5.27%
1.10%
1.03%

13.70%
12.79%
9.66%
8.72%
15.73%
14.54%
7.39%
7.40%
13.56%
14.32%
13.89%
14.31%
7.55%
8.43%
24.14%
23.12%
26.25%
25.75%
2.86%
2.28%

13.70%
12.79%
9.66%
8.72%
15.73%
14.54%
7.39%
7.40%
13.56%
14.32%
13.89%
14.31%
7.55%
8.43%
24.14%
23.12%
26.25%
25.75%
2.86%
2.28%

5.94%
5.48%
4.27%
4.03%
6.31%
5.92%
4.26%
4.31%
5.84%
6.36%
6.55%
6.92%
3.17%
3.32%
8.94%
7.55%
12.86%
10.30%

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

-1.36%
0.90%
1.93%
0.90%
-6.52%
0.90%

2.83%
5.25%
10.15%
5.25%
-7.80%
5.25%

8.98%
9.50%
17.67%
9.50%
-3.43%
9.50%

8.98%
9.50%
17.67%
9.50%
-3.43%
9.50%

19.81%
14.21%
22.81%
14.21%
15.22%
14.21%

21.83%
12.36%
19.54%
9.58%
35.22%
12.36%

3,832,311,319
168,164,490

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

0.64%
1.41%
0.47%
5.62%

0.02%
2.94%
-0.29%
9.68%

0.78%
6.24%
0.47%

0.78%
6.24%
0.47%

2.76%
6.76%
2.64%

6.54%
8.57%
6.46%

45 INFRA. & PRIVATE INCOME ●
7
46 INFRA. & INCOME OPPORTUNITIES ●
47
INFRASTRUCTURE ● 
48
FTSE DEVELOPED CORE INFRA. TRI ●
49
PRIVATE CREDIT●
50
BB US HIGH YIELD 2% ISSUER CAP ●
51
INCOME OPPORTUNITIES● 

5,353,250,189

N/A

2,493,737,178

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

2.06%
2.40%
1.50%
3.10%
1.13%
1.33%
4.42%

3.14%
5.42%
1.85%
6.46%
3.00%
3.87%
6.18%

7.14%
12.79%
7.41%
17.17%
4.50%
6.35%
9.35%

7.14%
12.79%
7.41%
17.17%
4.50%
6.35%
9.35%

11.95%
9.34%
15.12%
11.48%
7.59%
6.07%
5.11%

11.63%
7.30%
16.48%
8.48%
6.35%
5.38%

52 ABSOLUTE RETURN
8
53 ABSOLUTE RETURN BENCHMARK

4,359,107,704

N/A
N/A

2.24%
3.50%

3.07%
2.93%

5.93%
10.38%

5.93%
10.38%

5.02%
4.52%

3.41%
4.91%

1
2
3
4
5

TOTAL FUND ●
TOTAL FUND w/o FX Overlay ●
1
Passive Index Benchmark ●
Performance Benchmark2 ●
3
Total Fund Return Objective

6 PUBLIC EQUITY
7 PUBLIC EQUITY w/o FX Overlay
8 MSCI ACWI IMI
9
INTERNATIONAL EQUITY
10
MSCI ACWI IMI EX-US
11
GLOBAL EQUITY
12
MSCI ACWI IMI
13
DOMESTIC EQUITY
14
RUSSELL 3000 INDEX
15 FIXED INCOME PLUS
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
5
EMD BENCHMARK
26
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 & SPECIAL OPPORTUNITIES●
36 CAMBRIDGE PRIVATE EQUITY●
37
PRIVATE EQUITY●
6
38
PRIVATE EQUITY CUSTOM BENCHMARK ●
39
SPECIAL OPPORTUNITIES●
40
CAMBRIDGE PRIVATE EQUITY●
41 REAL ESTATE●
42 NCREIF TOTAL INDEX●
43
RE SEPARATE ACCTS & DIRECT ●
44
RE FUNDS & CO-INVEST ●

7,409,653,056
10,293,655,023
7,989,993,074
16,186,245,577
4,311,962,834
4,361,007,195
1,243,626,038
1,644,214,869
1,081,231,826
371,300,449
1,658,672,664
825,947,600
688,248,329
9,228,891,060
5,797,599,605
3,431,231,754
4,000,475,809

1,541,866,596
1,317,646,415

Gross
Gross
Gross
Gross

3.31%
3.05%
5.07%
4.60%
3.70%
3.90%
5.55%
6.14%
4.37%
4.57%
2.52%
2.62%
8.64%
5.55%
9.31%
5.61%

Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross

Gross
Gross
Gross

Net

3,537,614,361
0.38%
0.83%
1.66%
9.03%
9.03%
2.82%
2.53%
Gross
54 ASSET ALLOCATION
9
1.12%
2.75%
3.88%
10.68%
10.68%
6.70%
5.33%
55 ASSET ALLOCATION BENCHMARK
2,372,645,445
0.14%
0.47%
1.03%
Gross
56
APF ALLOCATION CASH
439,715,145
0.14%
0.42%
0.93%
2.06%
2.06%
1.56%
0.98%
Gross
57
APF OPERATING CASH
0.14%
0.46%
1.03%
2.28%
2.28%
1.67%
1.07%
58
90 DAY T-BILLS
59,204,550
2.07%
5.39%
5.65%
22.27%
22.27%
Gross
59
ASSET ALLOCATION OVERLAY
10
2.28%
5.89%
6.64%
20.16%
20.16%
Asset Allocation Overlay Benchmark
60
666,049,222
1.33%
1.90%
4.68%
Net
61
RISK PARITY
2.64%
4.24%
5.51%
62
HFR 12% Vol Institutional Index
*
Reported market values represent total fund holdings, which consists of 99.17% APF and 0.83% AMH, and are consistent with the timing of the APF and AMH Financial Statements.
● For investments within Private Equity and Special 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.

 (A)

Market Values as of
12/31/2019*

(B)

(C)

(D)

(E)

(F)

(G)

3 Years

5 Years

Returns as of 12/31/2019
1 Month

3 Months

FYTD

CYTD

1 Year

63 PUBLIC EQUITY

25,695,512,563

3.86%

9.66%

9.49%

26.53%

26.53%

12.13%

8.32%

Gross

64 PUBLIC EQUITY w/o FX Overlay
65 MSCI ACWI IMI
66
INTERNATIONAL EQUITY
67
MSCI ACWI IMI EX-US
68
Macquarie Emerging Markets
69
JP Morgan Emerging Markets
70
Mondrian Investment Partners
71
SSGA MSCI Emerging Markets
72
William Blair Emerging Markets
73
MEASA Fund
74
MSCI Emerging Markets Index
75
DFA Emerging Markets Value
76
MSCI Emerging Markets Value Index
77
DFA Emerging Markets Small Cap
78
MSCI Emerging Markets Small Cap Index
79
Trustbridge Emerging Markets
80
MSCI China Index ND
81
Wells Capital

25,693,689,857

3.86%
3.55%
5.15%
4.41%
7.92%
6.95%
6.72%
7.38%
6.02%
0.45%
7.46%
6.65%
7.04%
6.83%
6.11%
7.27%
8.33%
8.18%

9.66%
9.05%
10.68%
9.20%
16.33%
11.51%
13.21%
11.97%
10.91%
3.03%
11.84%
10.23%
9.94%
10.19%
9.52%
11.90%
14.71%
12.98%

9.48%
8.85%
8.15%
7.33%
15.38%
7.59%
7.89%
7.41%
10.50%
-2.03%
7.09%
3.05%
2.82%
5.29%
4.50%
7.23%
9.29%
9.51%

26.52%
26.35%
22.09%
21.63%
27.48%
24.04%
19.40%
18.78%
30.22%
-0.71%
18.44%
10.59%
11.96%
15.67%
11.51%
23.69%
23.46%
26.96%

26.52%
26.35%
22.09%
21.63%
27.48%
24.04%
19.40%
18.78%
30.22%
-0.71%
18.44%
10.59%
11.96%
15.67%
11.51%
23.69%
23.46%
26.96%

12.15%
12.09%
10.63%
9.84%
17.26%
15.56%
9.75%
11.51%
15.89%

8.33%
8.34%
6.17%
5.71%
9.03%
9.17%
4.23%
5.66%
7.07%

Gross
N/A
Gross

3.15%
3.21%
3.19%
5.59%
4.73%
4.93%
4.53%
4.63%
2.87%
3.60%
4.27%
4.45%
4.52%
3.85%
4.32%
2.78%
3.60%
3.55%
2.83%
3.04%
2.55%
3.00%
3.24%
3.30%
3.43%
4.15%
3.13%
3.83%
3.52%
5.04%
3.52%
3.68%
3.48%
2.58%
3.55%
3.02%
2.89%
3.00%
3.02%
3.00%
3.00%
3.52%
3.20%
4.06%
3.22%
3.25%
1.77%
1.74%
3.02%
2.89%
2.94%
2.91%
2.38%
4.59%
2.75%
2.87%
2.81%
3.28%
2.88%
1.96%
2.41%
2.29%
2.88%
3.01%
5.00%
3.50%
2.88%
3.07%
3.02%

7.22%
8.09%
7.86%
12.23%
11.19%
12.12%
11.27%
11.40%
5.30%
7.56%
10.30%
10.37%
8.21%
13.85%
9.72%
8.09%
8.87%
9.05%
8.73%
8.67%
7.68%
8.56%
8.35%
8.48%
7.62%
10.65%
8.06%
7.15%
8.95%
9.62%
9.08%
7.40%
9.17%
10.38%
9.05%
9.69%
9.10%
9.67%
9.07%
8.33%
8.33%
11.58%
13.82%
12.15%
10.62%
8.57%
6.42%
6.31%
10.62%
9.04%
11.00%
7.83%
9.70%
11.42%
7.41%
7.13%
7.06%
9.30%
9.94%
8.66%
9.44%
11.39%
9.94%
7.18%
15.13%
8.49%
9.94%
9.92%
9.07%

6.30%
6.74%
6.85%
11.63%
11.48%
10.99%
10.99%
11.10%
2.03%
6.02%
8.44%
7.62%
5.17%
11.96%
9.03%
7.60%
9.88%
8.85%
8.08%
8.96%
7.51%
9.14%
8.65%
8.84%
8.01%
9.63%
9.49%
5.82%
8.92%
13.10%
8.46%
7.70%
9.07%
12.56%
8.85%
10.17%
10.37%
11.59%
10.92%
10.15%
10.16%
12.37%
13.53%
10.76%
9.56%
9.69%
7.71%
8.65%
12.27%
10.59%
9.91%
9.43%
11.49%

21.28%
20.53%
22.49%
21.77%
22.83%
25.12%
25.42%
25.41%
11.09%
17.02%
20.01%
19.67%
15.72%
34.40%
32.83%
27.92%
26.90%
26.35%
22.80%
27.73%
29.45%
27.67%
23.98%
24.22%
26.69%
32.99%
26.24%
35.45%
26.60%
28.92%
26.30%
22.98%
25.34%
26.36%
26.35%
30.04%
31.02%
33.05%
31.49%
27.94%
27.98%
38.17%
38.62%
37.55%
31.42%
26.94%
26.24%
30.36%
36.39%
31.43%
25.60%
25.00%
27.01%

21.28%
20.53%
22.49%
21.77%
22.83%
25.12%
25.42%
25.41%
11.09%
17.02%
20.01%
19.67%
15.72%
34.40%
32.83%
27.92%
26.90%
26.35%
22.80%
27.73%
29.45%
27.67%
23.98%
24.22%
26.69%
32.99%
26.24%
35.45%
26.60%
28.92%
26.30%
22.98%
25.34%
26.36%
26.35%
30.04%
31.02%
33.05%
31.49%
27.94%
27.98%
38.17%
38.62%
37.55%
31.42%
26.94%
26.24%
30.36%
36.39%
31.43%
25.60%
25.00%
27.01%

9.24%
8.91%
9.34%
6.56%
8.65%
9.98%
10.65%
10.42%
9.19%
6.36%
8.91%
8.23%
6.89%
17.42%
13.62%
12.34%
12.09%
12.09%
10.08%
12.89%

5.50%
5.47%
5.42%
6.80%
6.93%
8.58%
8.41%
8.17%
6.77%
4.49%
5.46%
6.21%
3.65%
11.13%
8.73%
7.18%
8.48%
8.34%
8.02%
9.13%

12.57%
10.32%
10.45%
11.61%
14.23%

8.74%
7.72%
7.89%
8.19%
9.21%

12.44%
11.59%
12.27%

8.41%
4.81%

12.09%
12.88%
14.57%
15.73%
15.27%
10.96%
10.96%
18.47%
20.75%
22.73%
18.88%
10.26%
10.23%
13.40%
20.49%
15.05%
5.56%
10.29%
9.28%

8.86%
7.04%
6.97%
6.03%
7.30%
6.43%
4.75%
6.75%
7.30%
7.61%
10.16%
7.87%
7.30%
12.31%
10.92%

26.54%
26.26%
26.20%
26.70%
25.52%
30.61%
25.34%
28.48%
25.52%
26.88%
26.30%
22.39%
25.52%
36.38%
31.49%

26.54%
26.26%
26.20%
26.70%
25.52%
30.61%
25.34%
28.48%
25.52%
26.88%
26.30%
22.39%
25.52%
36.38%
31.49%

9.68%
9.05%
9.26%
10.60%
8.59%
11.82%
15.60%
12.49%
8.59%
8.02%
4.89%
4.77%
8.59%
16.69%
15.27%

82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150

Mellon MSCI World ex-USA
DFA International Large Cap
Int'l Passive/Quasi-Passive Custom11
DFA International Small Cap Value
MSCI World ex-USA Small Cap Value Index
DFA International Small Company
SSGA International Developed Small Cap
MSCI World ex-USA Small Cap Index
Acadian Asset Mgmt
MSCI Custom Benchmark12
LSV International Large Cap
Schroders International Large Cap
MSCI All Country World ex-USA Value Index
Johnston International Large Cap
JP Morgan International Large Cap
MSCI World ex-USA Growth Index

GLOBAL EQUITY
MSCI ACWI IMI
AQR Global Equity
SSGA MSCI World
CDAM Global Equity
MSCI World Index
SSGA Russell Fundamental Developed Lrg Co
Russell Fundamental Dvlpd Lrg Co Index
Lazard Asset Management
McKinley Capital Management
RBA Global Equity
WCM Global Equity
MSCI All-Country World Index
APF Tactical Tilts
SSGA MSCI ACWI IMI
APF Global Equities
Arrowstreet Global Equity
Longview Global Equity
MSCI All-Country World IMI

DOMESTIC EQUITY
RUSSELL 3000 INDEX
Mellon S&P 500
S&P 500 Index
Mellon FTSE RAFI US Large Cap
FTSE RAFI US 1000 Index
AGI - Large Cap
SSGA Large Cap
DSM - Large Cap
CastleArk - Large Cap
APF SPDR Yield
APF SPDR Momentum
APF SPDR Low Vol
Russell 1000 Growth Index
Russell 1000 Index
Lyrical - Large Cap
SKBA - Large Cap
LSV - Large Cap Value
APF Domestic Equity
Russell 1000 Value Index
Mellon S&P 400
S&P 400 Index
Jennison Associates LLC
Russell 2000 Index
RBC Asset Mgmt
Eagle Asset Mgmt
Russell 2000 Growth Index
Russell 2000 Index
T Rowe Price
Pzena Investment Mgmt
Russell 2000 Value Index
Russell 2000 Index
AGI Structured Alpha

S&P 500 Index

7,409,653,056
221,881,855
451,713,473
539,097,504
124,161,957
399,409,169
78,845,914
489,539,176
152,685,736
255,833,082
176,293,933
141,486,999
521,841,407
416,105,462
384,770,520
439,964,874
429,913,665
592,043,435
639,319,379
461,608,213
492,960,233
10,293,655,023
1,274,087,102
131,073,835
440,520,029
1,522,756,058
1,040,098,248
323,482,378
345,274,411
425,254,559
2,392,017,745
110,025,105
114,567,377
1,071,258,590
1,103,239,586
7,989,993,074
77,372,705
808,587,137
713,322,431
297,159,969
832,239,280
63,328,725
445,786,090
340,697,905
496,390,321

909,670,384
405,595,531
1,049,908,276
211,774,440
103,119,760
308,787,561
136,579,479
136,316,319

203,024,400
264,123,460

186,208,901

9.22%
8.58%
8.36%
6.71%
19.57%
15.56%

Gross
Gross
Gross
Gross
Gross
Net
Gross
Gross
Gross
Gross

10.37%
11.24%
11.91%
11.70%
9.39%
9.47%
13.57%
13.64%
14.60%
13.71%

14.63%
11.48%
5.32%
9.16%

8.29%
8.92%
9.03%
8.07%
8.23%
10.58%
11.47%
9.34%
8.23%
9.94%
8.74%
6.99%
8.23%

Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross

Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross

Gross
Gross

Net

 (A)

Market Values as of
12/31/2019*
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
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
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215

FIXED INCOME PLUS
PUBLIC INCOME BENCHMARK4
US FIXED INCOME AGGREGATE
BB AGGREGATE
APF Fixed Income - Aggregate
US INVESTMENT GRADE CORPORATE
BB CORPORATE
APF Corporate Bonds
NON US FIXED INCOME
BB GLOBAL TREASURY EX-US
Rogge Global Partners
APF Global Government Bonds
GLOBAL HIGH YIELD
BB US HIGH YIELD 2% ISSUER CAP
Oaktree High Yield
APF High Yield
BB US High Yield 2% Issuer Cap Index
13
HY Fixed Income Custom Blend
Capital Guardian High Yield
14
Cap Guard Custom Blend
EMERGING MARKET DEBT
EMD BENCHMARK5
Investec EMD BL
PGIM EMD BL
EMD Benchmark5
Payden EMD HC
JPM EMBI Global Diversified
Colchester EMD LC
JPM GBI-EM Global Diversified
TIPS
BB US TIPS
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
SSGA REITS
S&P GLOBAL REIT
LISTED INFRASTRUCTURE
S&P GLOBAL LISTED INFRASTRUCTURE
Lazard Listed Infrastructure
FTSE Core Developed Infra (Hedged)
Cohen & Steers Listed Infrastructure
FTSE Core Developed Infra Custom
SSGA Listed Infrastructure
S&P Global Listed Infrastructure
FIXED INCOME PLUS CASH
90 DAY T-BILLS
APF Fixed Income Plus Cash

16,186,245,577
4,311,962,834
4,311,962,834
4,361,007,195
4,361,007,195
1,243,626,038
297,092,469
946,533,569
1,644,214,869
650,700,573
554,733,634

438,780,661
1,081,231,826
245,265,871
420,741,518
205,689,549
209,522,551
371,300,449
235,743,976
135,556,473
1,658,672,664
631,355,275
1,027,317,389
825,947,600
233,012,451
179,551,848
413,383,301
688,248,329
688,248,329

(B)

(C)

(D)

(E)

(F)

(G)

Returns as of 12/31/2019
1 Month

3 Months

FYTD

CYTD

1 Year

3 Years

5 Years

0.73%
0.58%
-0.01%
-0.07%
-0.01%
0.46%
0.32%
0.46%
-0.50%
-0.43%
-0.48%
-0.51%
1.88%
2.00%
1.14%
1.97%
2.00%
2.00%
2.89%
2.00%
3.74%
3.07%
3.89%
3.83%
3.07%
2.53%
2.01%
4.61%
4.13%
0.33%
0.38%
0.10%
0.38%
0.68%
0.70%
0.09%
-0.27%
0.16%
0.05%
-0.27%
3.87%
4.24%
3.03%
3.21%
4.01%
4.00%
4.28%
4.24%
0.15%
0.14%
0.15%

1.35%
1.02%
0.38%
0.18%
0.38%
1.53%
1.18%
1.53%
-1.35%
-1.44%
-1.40%
-1.33%
2.67%
2.61%
2.77%
2.38%
2.61%
2.61%
2.90%
2.61%
4.32%
3.51%
4.06%
4.30%
3.51%
2.91%
1.81%
6.11%
5.20%
0.70%
0.79%
0.56%
0.79%
0.97%
1.00%
1.38%
0.80%
1.61%
1.24%
0.80%
4.29%
4.90%
3.67%
2.80%
3.37%
3.75%
5.07%
4.90%
0.49%
0.46%
0.49%

3.89%
3.53%
2.83%
2.45%
2.83%
4.55%
4.27%
4.55%
1.53%
1.65%
1.55%
1.54%
3.46%
3.98%
4.40%
3.77%
3.98%
3.98%
1.60%
3.98%
3.51%
3.89%

13.70%
12.79%
9.66%
8.72%
9.66%
15.73%
14.54%
15.73%
7.39%
7.40%
7.63%
7.33%
13.56%
14.32%
14.62%
14.03%
14.32%
14.32%
11.32%
14.32%
13.89%
14.31%

13.70%
12.79%
9.66%
8.72%
9.66%
15.73%
14.54%
15.73%
7.39%
7.40%
7.63%
7.33%
13.56%
14.32%
14.62%
14.03%
14.32%
14.32%
11.32%
14.32%
13.89%
14.31%

5.94%
5.48%
4.27%
4.03%
4.27%
6.31%
5.92%
6.31%
4.26%
4.31%
4.37%
4.38%
5.84%
6.36%
5.83%

3.31%
3.05%
3.31%
5.07%
4.60%
5.07%
3.70%
3.90%
3.84%
3.65%
5.55%
6.14%
5.29%

6.36%
6.36%
5.49%
6.37%
6.55%
6.92%

6.14%
6.26%
6.15%
6.21%
4.37%
4.57%

1.77%
2.15%
2.04%
2.15%
1.62%
1.61%
7.36%
6.57%
7.55%
7.25%
6.57%
6.41%
5.27%
7.72%
6.89%
6.90%
6.67%
5.67%
5.27%
1.10%
1.03%
1.10%

7.55%
8.43%
8.33%
8.43%
6.92%
6.85%
24.14%
23.12%
23.68%
24.38%
23.12%
26.25%
25.75%
24.52%
26.34%
27.54%
26.20%
26.74%
25.75%
2.86%
2.28%
2.86%

7.55%
8.43%
8.33%
8.43%
6.92%
6.85%
24.14%
23.12%
23.68%
24.38%
23.12%
26.25%
25.75%
24.52%
26.34%
27.54%
26.20%
26.74%
25.75%
2.86%
2.28%
2.86%

Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross
Gross

Gross
Gross
Gross
Gross
Gross
Gross

3.17%
3.32%
3.35%
3.32%
2.85%
2.79%
8.94%
7.55%
9.65%

2.52%
2.62%
2.66%
2.62%
2.41%
2.36%
8.64%
5.55%
7.65%

Gross

12.86%
10.30%
14.61%
13.43%
14.97%
13.45%

9.31%
5.61%
13.13%
9.42%
8.36%
8.08%

Gross

Gross
Gross
Gross
Gross
Gross

Gross
Gross
Gross
Gross
Gross

ABSOLUTE RETURN
ABSOLUTE RETURN BENCHMARK8

4,359,107,704

N/A
N/A

2.24%
3.50%

3.07%
2.93%

5.93%
10.38%

5.93%
10.38%

5.02%
4.52%

3.41%
4.91%

Net

ASSET ALLOCATION
ASSET ALLOCATION BENCHMARK9
APF ALLOCATION CASH
APF OPERATING CASH
90 DAY T-BILLS
ASSET ALLOCATION OVERLAY
Asset Allocation Overlay Benchmark10
RISK PARITY
HFR 12% Vol Institutional Index
PanAgora
Bridgewater All Weather
BlackRock Market Adv

3,537,614,361

0.38%
1.12%
0.14%
0.14%
0.14%
2.07%
2.28%
1.33%
2.64%
0.39%
2.18%
1.45%

0.83%
2.75%
0.47%
0.42%
0.46%
5.39%
5.89%
1.90%
4.24%
-0.22%
2.99%
3.07%

1.66%
3.88%
1.03%
0.93%
1.03%
5.65%
6.64%
4.68%
5.51%
4.10%
4.78%
5.18%

9.03%
10.68%

9.03%
10.68%

2.82%
6.70%

2.53%
5.33%

Gross

2.06%
2.28%
22.27%
20.16%

2.06%
2.28%
22.27%
20.16%

1.56%
1.67%

0.98%
1.07%

Gross

2,372,645,445
439,715,145
59,204,550
666,049,222
229,181,370
218,874,013
217,993,839

Net
Net
Net
Net

 (A)

219
220
221
222
223
224
225
226
227

PRIVATE EQUITY & SPECIAL OPPORTUNITIES ●
CAMBRIDGE PRIVATE EQUITY ●
PRIVATE EQUITY ●
6
PRIVATE EQUITY CUSTOM BENCHMARK ●
Pathway Capital Mgmt - Direct PE
HarbourVest Legacy
Pathway Capital Mgmt - PE
BlackRock Co-investment Funds
Kelso Hammer LP
Ara Fund I
SPECIAL OPPORTUNITIES ●
CAMBRIDGE PRIVATE EQUITY ●

228
229
230
231
232
233
234
235
236
237
238
239
240
241
242

REAL ESTATE ●
NCREIF TOTAL INDEX ●
RE SEPARATE ACCTS & DIRECT ●
L&B Realty Advisors
Sentinel Real Estate
LaSalle Investment Mgmt-United Kingdom
Lincoln Industrial
CB Richard Ellis - Europe
CS Capital
Heitman Direct
RE FUNDS & CO-INVEST ●
HIG Europe RE II
Heitman Capital
Harbert Europe RE V
Brookfield RE III

243

INFRA. & PRIVATE INCOME ●
INFRA. & INCOME OPPORTUNITIES7 ●
INFRASTRUCTURE ●
FTSE DEVELOPED CORE INFRA. TRI ●
GIP
GIP II
Gateway IFR
G Sachs
EQT II
GIP II Co-Invest 2
ACTIS Energy 3
LS Power III
North Haven
GIP III
GIP III Canary
CIM Fund II
IFR ACTIS Energy 4
IFR Meridiam III
IFR GIP III Zenith
IFR ENCAP FM IV
IFR INFRARED V
IFR NHIP II Bison
IFR GIP III Stetson
IFR EFM Moda
North Haven India
IFR LS Power IV
IFR KKR Infrastructure III
IFR KKR Starlight II
IFR Energy Spec VIII
LS Power Bolt
IFR EQT IV
IFR EQT IV Co-Invest
PRIVATE CREDIT ●
BB US HIGH YIELD 2% ISSUER CAP ●
Crestline Credit Opportunities Fund
Oaktree III Mezzanine Debt
Audax III Mezzanine Debt
Oaktree Opportunities Fund VIII
Crestline Opps Fund
Pathway Capital Mgmt - Direct Private Cred
Audax IV Mezzanine Debt
Aurelius II
Crestline SLF II
King Street Capital
CL Opps Fund IV
INCOME OPPORTUNITIES ●
INFRA. & INCOME OPPORTUNITIES7 ●
American Homes 4 Rent II
Twin Creeks Timber
INC Athyrium III
Generate Capital
INC Broadriver III
Generate Capital II
APF ADAC
Activate Capital
INC OCM Power Opps V

216
217
218

244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298

(B)

(C)

(D)

(E)

(F)

(G)

Returns as of 12/31/2019

Market Values as of
12/31/2019*

1 Month

3 Months

FYTD

CYTD

1 Year

3 Years

5 Years

9,228,891,060

N/A

5,797,599,605

N/A

2,001,562,869
1,022,754,967
2,477,141,188
240,335,910
33,389,085
21,215,754
3,431,231,754

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

-1.50%
0.90%
1.68%
0.90%
-0.77%
3.97%
2.99%
-1.28%
1.69%

2.54%
5.25%
9.65%
5.25%
11.78%
12.92%
8.02%
4.46%
3.97%

8.38%
9.50%
16.60%
9.50%
20.97%
21.80%
14.56%
15.18%
8.57%

8.38%
9.50%
16.60%
9.50%
20.97%
21.80%
14.56%
15.18%
8.57%

19.12%
14.21%
21.74%
14.21%
24.51%
27.14%
19.59%
23.69%
12.40%

21.13%
12.37%
18.47%
9.59%
20.66%
23.40%
15.81%
11.52%

-6.52%
0.90%

-7.80%
5.25%

-3.43%
9.50%

-3.43%
9.50%

15.09%
14.21%

35.13%
12.37%

Net

4,000,475,809

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

-0.28%
2.94%
-0.51%
2.17%
3.75%
-49.67%
4.09%
0.17%
8.29%

0.18%
6.24%
0.02%
3.38%
4.15%
-60.53%
6.34%
-1.19%
18.54%

0.18%
6.24%
0.02%
3.38%
4.15%
-60.53%
6.34%
-1.19%
18.54%

2.27%
6.76%
2.24%
3.83%
-1.32%
-27.14%
12.52%
10.80%
15.46%

6.11%
8.57%
6.09%
8.84%
2.84%
-23.22%
12.99%

Net

3,832,311,319
1,841,710,665
506,749,809
109,558,838
161,178,120
142,200,447
400,073,227
670,840,214
168,164,490
17,149,602
51,053,579
22,855,769
77,105,540

0.49%
1.41%
0.36%
0.80%
2.68%
-26.73%
1.31%
-3.49%
5.82%
-0.15%
4.32%
13.46%
1.47%
9.59%
3.87%

7.24%
13.92%
2.91%
9.52%

1.52%
17.22%
6.13%
-21.11%

1.52%
17.22%
6.13%
-21.11%

5,353,250,189

N/A

2,493,737,178

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

3.14%
5.42%
1.85%
6.46%
2.73%
1.70%
-21.48%
7.83%
13.00%
1.68%
3.16%
11.74%
5.69%
2.09%
-5.41%
7.94%
12.57%
N/A
8.34%
8.11%
7.54%
-0.01%
-45.31%
10.34%
-2.01%

7.13%
12.79%
7.41%
17.17%
19.42%
9.95%
-25.19%
20.30%
13.35%
21.12%
7.63%
10.33%
14.47%
3.58%
5.56%
6.91%
34.32%
N/A
17.92%
22.25%
3.95%
4.53%
-58.85%
38.43%

7.13%
12.79%
7.41%
17.17%
19.42%
9.95%
-25.19%
20.30%
13.35%
21.12%
7.63%
10.33%
14.47%
3.58%
5.56%
6.91%
34.32%
N/A
17.92%
22.25%
3.95%
4.53%
-58.85%
38.43%

11.94%
9.34%
15.12%
11.48%
27.20%
14.85%
-4.87%
23.49%
13.29%
23.19%
3.85%
25.42%
16.90%
7.47%

11.62%
7.30%
16.48%
8.48%
31.55%
15.26%
-3.06%
23.24%
19.71%
24.48%
8.02%
19.77%

Net
N/A
Net

17,069,643
392,088,509
82,056,983
294,322,416
14,998,237
106,593,531
35,605,413
135,233,162
218,219,582
397,155,239
129,743,498
96,414,571
55,254,249
902,205
119,579,519
8,333,069
37,341,823
59,365,989
22,832,096
58,088,140
12,592,308
10,355,585
56,819,850
46,717,448
4,336,139
20,075,344
31,342,630
30,300,000
1,541,866,596

2.06%
2.40%
1.50%
3.10%
1.86%
0.58%
-4.06%
1.75%
9.87%
0.01%
-0.97%
12.61%
2.19%
1.30%
-2.52%
7.39%
-1.68%
N/A
3.10%
8.02%
-0.01%
-0.01%
-22.93%
8.70%
-1.43%
-5.67%
4.48%
-1.56%
-9.24%
1.95%
-9.38%

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

3.00%
3.87%
2.46%
-1.60%
20.61%
7.71%
6.26%
3.81%
4.62%
-0.10%
7.02%
-1.80%

4.50%
6.35%
0.60%
21.31%
28.02%
-12.57%
11.55%
7.76%
8.72%
2.74%

4.50%
6.35%
0.60%
21.31%
28.02%
-12.57%
11.55%
7.76%
8.72%
2.74%

7.59%
6.07%
5.42%
16.61%
12.98%
10.07%
11.53%
8.65%

6.35%
5.38%
4.36%
14.17%
12.55%
4.01%

Net

324,580,759
9,400,300
40,396,979
10,459,699
194,940,587
495,699,425
16,497,263
204,490,081
36,699,532
196,146,702
12,555,269
1,317,646,415

1.13%
1.33%
1.61%
-2.73%
7.63%
-0.18%
3.34%
1.87%
2.37%
-1.23%
4.24%
-2.75%

153,270,332
77,802,598
15,542,508
123,387,299
17,054,140
35,262,946
842,400,094
36,672,434
16,254,064

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

4.41%
2.40%
0.43%
0.28%
3.10%
32.19%
-2.34%
32.74%
1.96%
-5.13%
-2.63%

6.17%
5.42%
1.19%
1.16%
2.23%
32.21%
-3.41%
32.69%
4.43%
-3.56%
-7.24%

9.32%
12.79%
4.27%
-2.13%
4.20%
40.57%
2.67%
34.49%
7.99%

9.32%
12.79%
4.27%
-2.13%
4.20%
40.57%
2.67%
34.49%
7.99%

5.00%
9.34%
1.14%
-1.83%

6.67%
7.30%
4.30%

1.25%
-3.30%
-28.93%
4.40%

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
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
Net

 NOTES and CURRENT BENCHMARK REFERENCES
(Benchmarks applicable in prior periods can be found in the Investment Policy)

* Market Values

Reported market values represent total fund holdings consistent with Financial Statements
As of December 31, 2019, total fund holdings consist of:
Alaska Permanent Fund
99.17%
Alaska Mental Health Trust
0.83%

● Lagged Returns

For investments within the following asset classes, returns are lagged one quarter. Composites that incorporate these investments
and benchmarks associated are also lagged one quarter.
Real Estate
Private Equity and Special Opportunities
Infrastructure and Private Income

1 Passive Benchmark
09/30/2016 to date

60%
20%
10%
10%

MSCI All-Country World Index IMI
BB Global Aggregate Index
FTSE EPRA/NAREIT Rental Index
US TIPs

2 Performance Benchmark
06/30/2017 to date

39%
12%
11%
6%
6%
5%
4%
3%
3%
2%
2%
2%
1%
1%
0.5%
0.5%

MSCI ACWI IMI
Cambridge Private Equity (1 Q Lagged)
NCREIF Total Index (1 Q Lagged)
BB US Corporate
BB Aggregate
HFRI Total HFOF Universe
FTSE Developed Core Infrastructure TRI (1 Q Lagged)
BB US High Yield 2% Issuer Cap (1 Q Lagged)
90 Day T-Bills
S&P Global REIT
BB US High Yield 2% Issuer Cap
BB Global Treasury ex-US
S&P Global Listed Infrastructure
BC US TIPs
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified TRI

3 Total Fund Return Objective

100%

Consumer Price Index (All Urban Consumers, U.S. City Average, All Items, Unadjusted Index) plus 5%

4 Public Income Benchmark
09/30/2016 to date

25%
25%
10%
10%
10%
5%
5%
5%
2.5%
2.5%

BB Aggregate
BB US Corporate
S&P Global REIT
BB US High Yield 2% Issuer Cap
BB Global Treasure ex-US
S&P Global Listed Infrastructure
BB US TIPs
90 Day T-Bills
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified

5 EMD Benchmark
09/30/2016 to date

50%
50%

JPM EMBI Global Diversified
JPM GBI-EM Global Diversified

6 Private Equity Custom Benchmark
09/30/2016 to date

100%

Cambridge Private Equity (1 Q Lagged)

7 Infra. & Income Opportunities Benchmark
09/30/2016 to date

60%
40%

FTSE Developed Core Infrastructure TRI (1 Q Lagged)
BB US High Yield 2% Issuer Cap (1 Q Lagged)

8 Absolute Return Benchmark
09/30/2016 to date

100%

HFRI Total HFOF Universe

9 Asset Allocation Benchmark
06/30/2018 to date

60%
40%

Performance Benchmark
90 Day T-Bills

10 Asset Allocation Overlay Benchmark
06/30/2018 to date

65%
35%

MSCI ACWI IMI Net Unhedged
BB US Aggregate

11 Int'l Passive/Quasi Passive Custom

100%

MSCI World ex US

12 MSCI Custom Benchmark
4/30/2016 to date

65%

MSCI World ex US Value TRI

13 HY Fixed Income Custom Blend
7/31/2016 to date

100%

BB US High Yield 2% Issuer Cap Index

14 Cap Guard Custom Blend
3/31/2017 to date

100%

BB US High Yield 2% Issuer Cap Index