London Borough of Enfield › documents › s78657 › Appendix 1.pdf · Excess Return -1.78 -2.59...

September 30, 2019

London Borough of Enfield

Investment Risk & Analytical Services

Table of ContentsSection 1. London Borough of EnfieldLondon Borough of Enfield 5

1.1. Investment Hierarchy 6

1.2. Market Value Summary - One Month 9

1.3. Asset Class Performance 11

1.4. Policy Level Attribution Overview 13

1.5. Policy Level Attribution Detail - One Month 14

1.6. Growth Over Time-Inception to Date 17

Section 2. Blackrock PooledBlackrock Pooled 18


2.2. Regional Performance - LEFD02 20


Section 3. Henderson GlobalHenderson Global 22



Section 4. London LGPSLondon LGPS 25



28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

Section 5. LongView PartnersLongView Partners

5.1. Asset Class Performance

5.2. Growth Over Time-Inception to Date

Section 6. MFS Global EquityMFS Global Equity



Section 7. Blackrock IL GiltsBlackrock IL Gilts



Section 8. CQS MAC A GBPCQS MAC A GBP



Section 9. EPOCH InvestmentEPOCH Invetsment



Section 10. Insight BondsInsight Bonds



45

Section 11. WesternWestern 46

11.1.Asset Class Performance 47

11.2.Regional Performance - LEFD03 48

11.3.Greatest Asset Impact 49

11.4.Growth Over Time-Inception to Date 52

Section 12. CBRE Long Income FundCBRE Long Income Fund 53


Section 13. M&G Inflation Opportunities FdM&G Inflation Opportunities Fd 55



Section 14. CFM StratusCFM Stratus 58



Section 15. Davidson KemperDavidson Kemper 61



Section 16. LansdowneLansdowne 64


Section 16. LansdowneLansdowne 64


Section 17. York CapitalYork Capital 67



Section 18. Adams StreetAdams Street 70



Section 19. Antin InfrastructureAntin Infrastructure 73



Section 20. INPPINPP 76



Section 21. Blackrock UK FDBlackrock UK FD 79



Section 22. Brockton Capital FundBrockton Capital Fund 82



Section 23. Legal & General PropertyLegal & General Property 85



Section 24. PE Cash & Other AssetsPE Cash & Other Assets 88



Section 25. UT Cash & Other AssetsUT Cash & Other Assets 91



Section 26. AppendixAppendix 94

26.1.Disclaimer(s) 95

September 30, 2019


S E C T I O N 1



N O R T H E R N T R U S T London Borough of Enfield September 30, 2019

6 of 95 | Investment Risk & Analytical Services Category: Total Fund Gross of Fees

Investment Hierarchy% Rate of Return

Account/Group

EndingMarket Value

GBPEndingWeight

OneMonth

ThreeMonths

Yearto Date

OneYear

ThreeYears

FiveYears

Inceptionto Date

InceptionDate

London Borough of Enfield 1,264,292,932 100.00 0.41 3.04 12.02 7.20 7.79 8.98 8.59 31/03/1987Enfield Strategic BM 0.08 2.79 10.96 6.45 6.21 8.44 - 31/03/1987

Excess Return 0.33 0.24 1.06 0.75 1.57 0.54 - 31/03/1987

Total Equities 504,276,204 39.89 0.65 2.95 20.78 7.85 12.65 13.35 9.49 31/03/1987Enfield Equities BM 0.97 3.18 19.71 7.44 11.76 12.73 - 31/03/1987

Excess Return -0.32 -0.23 1.06 0.41 0.89 0.62 - 31/03/1987

Blackrock Pooled 185,789,933 14.70 1.16 3.91 21.58 7.79 12.35 13.33 14.08 31/03/2009LEFD02 Blackrock Blended BM 1.12 3.77 20.90 7.11 11.75 12.77 13.10 31/03/2009

Excess Return 0.05 0.14 0.68 0.68 0.60 0.56 0.99 31/03/2009

Henderson Global 28,339,742 2.24 -1.15 -4.69 5.25 - - - 7.32 24/10/2018LEFD05018 MSCI EM Mrkts ND 0.71 -1.11 9.44 - - - 12.82 24/10/2018

Excess Return -1.87 -3.58 -4.18 - - - -5.50 24/10/2018

London LGPS 81,671,238 6.46 -0.87 0.66 21.84 6.58 14.10 - 14.10 30/09/2016LEFD05016 MSCI ACWI ND 0.91 3.25 20.09 7.28 11.65 - 11.65 30/09/2016

Excess Return -1.78 -2.59 1.75 -0.70 2.45 - 2.45 30/09/2016

LongView Partners 83,898,496 6.64 3.28 4.68 16.98 - - - 16.08 24/10/2018LEFD05019 MSCI ACWI ND 0.91 3.25 20.09 - - - 16.60 24/10/2018

Excess Return 2.37 1.42 -3.12 - - - -0.52 24/10/2018

MFS Global Equity 123,768,260 9.79 -0.36 3.82 26.01 13.33 12.96 14.69 14.53 31/07/2010LEFD05005 MSCI ACWI ND 0.91 3.25 20.09 7.28 11.65 12.67 11.72 31/07/2010

Excess Return -1.27 0.57 5.92 6.05 1.30 2.03 2.82 31/07/2010

Trilogy 808,535 0.06 - - - - - - - 30/09/2007LEFD04 MSCI ACWI ND - - - - - - - 30/09/2007

Excess Return - - - - - - - 30/09/2007

Total Bonds and Index Linked 275,602,866 21.80 -0.02 3.41 9.22 9.31 3.23 5.52 6.29 30/06/2005Enfield Bonds & IL BM 0.02 3.61 8.80 9.50 3.76 - - 30/06/2005

Excess Return -0.04 -0.20 0.42 -0.19 -0.53 - - 30/06/2005

Blackrock IL Gilts 93,123,992 7.37 -0.08 3.60 7.41 8.66 2.40 3.44 5.73 30/09/2005LEFD01 Blended Benchmark -0.07 3.51 7.29 8.53 2.32 7.37 7.99 30/09/2005

Excess Return -0.01 0.09 0.12 0.13 0.09 -3.93 -2.26 30/09/2005

CQS MAC A GBP 0 0.00 0.29 0.48 4.96 - - - 3.68 30/11/2018LEFD09001 3 Month GBP Libor 0.00 0.15 0.71 - - - 0.80 30/11/2018

Excess Return 0.28 0.33 4.26 - - - 2.87 30/11/2018



% Rate of Return

Account/Group

EndingMarket Value

GBPEndingWeight

OneMonth

ThreeMonths

Yearto Date

OneYear

ThreeYears

FiveYears

Inceptionto Date

InceptionDate

51,900,795 4.11 0.12 - - - - - 0.12 31/08/20190.07 - - - - - 0.07 31/08/2019

EPOCH Investment LEFD05020 3 Month GBP Libor Excess Return 0.05 - - - - - 0.05 31/08/2019

Insight Bonds 30,563,889 2.42 -0.91 -0.47 -0.96 -2.32 -1.31 -0.31 0.20 31/12/2013LEFD05006 Libor 3 Month GBP+4% 0.39 1.19 3.76 5.03 4.74 3.27 2.90 31/12/2013

Excess Return -1.30 -1.66 -4.72 -7.35 -6.05 -3.58 -2.71 31/12/2013

Western 100,014,190 7.91 0.09 6.02 17.12 16.75 5.15 7.73 6.90 31/03/2003LEFD03 ML Stg Non-Gilts 10+ -0.04 6.35 16.87 16.84 4.78 8.53 - 31/03/2003

Excess Return 0.13 -0.33 0.25 -0.09 0.38 -0.80 - 31/03/2003

Inflation Protection Illiquids 96,000,809 7.59 2.47 4.23 9.88 - - - 9.34 30/11/2018Enfield Inflation lliquids BM -0.03 0.91 3.32 - - - 3.86 30/11/2018

Excess Return 2.50 3.33 6.56 - - - 5.48 30/11/2018

CBRE Long Income Fund 18,485,220 1.46 -0.00 0.05 0.05 - - - 0.05 17/12/2018LEFD06007 BMK 0.00 0.05 0.05 - - - 0.05 17/12/2018

Excess Return -0.00 -0.00 -0.00 - - - -0.00 17/12/2018

M&G Inflation Opportunities Fd 77,515,589 6.13 3.07 5.21 11.58 12.42 7.26 9.80 7.84 30/04/2013LEFD05010 UK RPI +2.5% -0.03 1.09 3.76 4.93 5.69 4.98 4.93 30/04/2013

Excess Return 3.10 4.12 7.82 7.50 1.57 4.83 2.91 30/04/2013

Total Hedge Funds 123,399,279 9.76 -0.42 -0.10 0.57 -3.94 0.35 1.85 5.06 31/07/2007Enfield Hedge Funds BM -0.36 1.66 2.61 3.97 1.71 3.92 - 31/07/2007

Excess Return -0.06 -1.76 -2.03 -7.91 -1.36 -2.06 - 31/07/2007

CFM Stratus 26,339,095 2.08 -4.08 -2.62 8.81 1.83 1.32 - -2.21 31/12/2015LEFD06004 Libor 3 Month GBP 0.07 0.22 0.77 1.03 0.73 - 0.70 31/12/2015

Excess Return -4.15 -2.84 8.04 0.80 0.58 - -2.91 31/12/2015

Davidson Kemper 30,028,922 2.38 -1.04 4.77 8.53 9.35 6.68 - 6.22 30/11/2014LEFD05004 Libor 3 Month USD -0.99 3.91 5.57 8.83 3.98 - 3.24 30/11/2014

Excess Return -0.06 0.86 2.96 0.51 2.71 - 2.98 30/11/2014

Lansdowne 47,017,569 3.72 2.51 -2.05 -8.24 -14.04 -3.11 -0.27 5.08 30/09/2007LEFD05009 Libor 3 Mnth GBP 0.07 0.22 0.77 1.03 0.73 4.81 3.05 30/09/2007

Excess Return 2.44 -2.27 -9.01 -15.07 -3.84 -5.08 2.03 30/09/2007

York Capital 20,013,694 1.58 -1.17 1.03 2.22 -2.10 5.73 0.86 5.34 31/12/2009LEFD05011 Libor 3 Mnth USD -0.99 3.91 5.57 8.83 3.98 0.94 3.14 31/12/2009

Excess Return -0.18 -2.88 -3.35 -10.93 1.75 -0.08 2.20 31/12/2009

Private Equity 77,604,031 6.14 3.74 8.41 13.41 21.83 17.69 16.53 12.38 31/03/2007Enfield PE BM 0.91 3.25 20.09 7.28 11.65 13.01 - 31/03/2007

Excess Return 2.83 5.16 -6.68 14.54 6.04 3.52 - 31/03/2007



% Rate of Return

Account/Group

EndingMarket Value

GBPEndingWeight

OneMonth

ThreeMonths

Yearto Date

OneYear

ThreeYears

FiveYears

Inceptionto Date

InceptionDate

Adams Street 77,604,031 6.14 3.74 8.41 13.41 21.83 17.69 13.48 11.04 31/12/2004LEFD06005 MSCI ACWI ND 0.91 3.25 20.09 7.28 11.65 8.96 7.44 31/12/2004

Excess Return 2.83 5.16 -6.68 14.54 6.04 4.52 3.61 31/12/2004

Infrastructure 64,438,837 5.10 -3.74 3.83 6.89 8.10 0.58 - 1.69 30/06/2016Enfield Infrastructure BM -4.38 5.35 5.00 6.40 3.14 - 3.80 30/06/2016

Excess Return 0.64 -1.52 1.90 1.69 -2.56 - -2.10 30/06/2016

Antin Infrastructure 18,964,363 1.50 -2.16 0.10 12.05 12.01 - - 5.89 31/12/2017

INPP 45,474,474 3.60 -4.38 5.35 5.00 6.40 3.13 8.86 8.36 31/12/2008LEFD05015 Fund returns -4.38 5.35 5.00 6.40 3.13 3.13 3.26 31/12/2008

Excess Return -0.00 -0.00 -0.00 -0.00 0.00 5.73 5.10 31/12/2008

Property 76,065,405 6.02 0.17 0.46 2.25 2.89 5.87 5.91 9.09 31/03/1987Enfield Property BM -0.08 0.40 1.31 2.22 6.75 7.53 - 31/03/1987

Excess Return 0.25 0.06 0.94 0.67 -0.88 -1.63 - 31/03/1987

Blackrock UK FD 37,516,227 2.97 0.25 0.20 0.75 1.84 3.92 5.17 3.54 31/07/2002LEFD05012 IPD All Balncd Prpty -0.08 0.40 1.31 2.22 6.75 7.53 6.63 31/07/2002

Excess Return 0.33 -0.20 -0.55 -0.37 -2.83 -2.37 -3.08 31/07/2002

Brockton Capital Fund 4,665,420 0.37 0.00 1.21 14.26 14.69 16.69 - 6.40 30/11/2014LEFD06001 IPD All Balncd Prpty -0.08 0.40 1.31 2.22 6.75 - 3.99 30/11/2014

Excess Return 0.08 0.81 12.96 12.47 9.94 - 2.41 30/11/2014

Legal & General Property 33,883,759 2.68 0.10 0.66 2.48 2.62 5.92 6.59 7.08 31/01/2010LEFD05013 IPD All Balncd Prpty -0.08 0.40 1.31 2.22 6.75 7.53 7.70 31/01/2010

Excess Return 0.18 0.26 1.17 0.41 -0.83 -0.94 -0.62 31/01/2010

Cash 46,905,500 3.71 -0.71 2.54 3.51 4.11 3.03 - 2.99 30/06/2016

Cash & Other Transition Assets 55,588 0.00 -0.26 -30.62 -14.85 - - - -14.72 30/11/2018

Goldman Sachs cash funds 29,558,356 2.34 -0.69 3.00 5.18 6.93 3.37 - 3.26 30/06/2016

PE Cash & Other Assets 11,414,290 0.90 -1.05 3.14 2.85 2.98 1.61 - 2.04 30/06/2016LEFD06002 LIBID 7 Day 0.05 0.14 0.43 0.58 0.36 - 0.35 30/06/2016

Excess Return -1.10 3.00 2.42 2.40 1.25 - 1.70 30/06/2016

UT Cash & Other Assets 5,877,266 0.46 -0.24 0.46 0.49 0.49 11.35 - 10.45 30/06/2016LEFD05002 LIBID 7 Day 0.05 0.14 0.43 0.58 0.36 - 0.35 30/06/2016

Excess Return -0.28 0.31 0.06 -0.09 11.00 - 10.11 30/06/2016


9 of 95 | Investment Risk & Analytical Services Category: Total Fund Gross of Fees • Currency: GBP

Market Value Summary - One Month

Account/Group31/08/2019

Market Value Net Contribution* Income Fees Appreciation30/09/2019

Market ValueLondon Borough of Enfield 1,258,846,659 310,000 2,519,287 0 2,616,986 1,264,292,932Total Equities 500,995,958 0 987,738 0 2,292,508 504,276,204Blackrock Pooled 183,656,060 0 21 0 2,133,852 185,789,933Henderson Global 28,670,720 0 174,515 0 -505,493 28,339,742London LGPS 82,389,155 0 257,524 0 -975,441 81,671,238LongView Partners 81,232,557 0 567,682 0 2,098,257 83,898,496MFS Global Equity 124,219,994 0 0 0 -451,733 123,768,260Trilogy 827,472 0 -12,003 0 -6,934 808,535

Total Bonds and Index Linked 275,657,488 0 334,757 0 -389,379 275,602,866Blackrock IL Gilts 93,196,887 0 0 0 -72,895 93,123,992CQS MAC A GBP 51,689,861 -51,838,966 0 0 149,105 0EPOCH Investment 0 51,838,966 61,829 0 0 51,900,795Insight Bonds 30,843,613 0 0 0 -279,724 30,563,889Western 99,927,128 0 272,928 0 -185,865 100,014,190

Inflation Protection Illiquids 90,904,639 2,790,000 0 0 2,306,171 96,000,809CBRE Long Income Fund 15,695,221 2,790,000 0 0 -1 18,485,220M&G Inflation Opportunities Fd 75,209,418 0 0 0 2,306,171 77,515,589

Total Hedge Funds 123,924,336 0 0 0 -525,056 123,399,279CFM Stratus 27,459,566 0 0 0 -1,120,471 26,339,095Davidson Kemper 30,345,680 0 0 0 -316,759 30,028,922Lansdowne 45,867,931 0 0 0 1,149,638 47,017,569York Capital 20,251,158 0 0 0 -237,464 20,013,694

Private Equity 75,964,787 -1,196,138 0 0 2,835,381 77,604,031Adams Street 75,964,787 -1,196,138 0 0 2,835,381 77,604,031

Infrastructure 66,941,524 0 1,037,254 0 -3,539,940 64,438,837Antin Infrastructure 19,383,875 0 0 0 -419,511 18,964,363INPP 47,557,649 0 1,037,254 0 -3,120,429 45,474,474

Property 76,022,547 -84,392 115,571 0 11,679 76,065,405Blackrock UK FD 37,507,029 -84,392 115,571 0 -21,981 37,516,227Brockton Capital Fund 4,665,420 0 0 0 0 4,665,420Legal & General Property 33,850,099 0 0 0 33,660 33,883,759

Cash 48,435,380 -1,199,470 43,968 0 -374,378 46,905,500Cash & Other Transition Assets 55,735 0 -8 0 -138 55,588Goldman Sachs cash funds 29,451,860 310,000 41,292 0 -244,796 29,558,356PE Cash & Other Assets 11,120,545 406,138 2,389 0 -114,781 11,414,290


10 of 95 | Investment Risk & Analytical Services Category: Total Fund Gross of Fees • Currency: GBP

Market Value Summary - One Month

Account/Group31/08/2019

Market Value Net Contribution* Income Fees Appreciation30/09/2019

Market ValueUT Cash & Other Assets 7,807,241 -1,915,608 295 0 -14,662 5,877,266

*Net Contributions include Cash Contributions/Distributions, Security Deliveries/Receipts, Fees/Fee Rebates, Inter Account transfers for Consolidations & Benefits Payments. Copied History or Backloaded Data may not display the correct Contributions/Withdrawals creating misrepresentation.


11 of 95 | Investment Risk & Analytical Services

Asset Class PerformanceASSET CLASS ENDING WEIGHTS MARKET VALUE SUMMARY OVER TIME

1 MoBeginning Market Value 1,258,847Net Contribution 310Income 2,519Fees 0Appreciation 2,617Ending Market Value 1,264,293

*Market Values are in 000s.

Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDEquity 503,934,750 39.86 0.66 2.95 20.79 7.70 8.65

Common Stock 503,934,750 39.86 0.66 2.95 20.79 7.92 8.72Fixed Income 356,805,219 28.22 0.64 3.78 9.64 9.53 3.31

Marketable Bonds 148,161,345 11.72 0.12 4.06 12.80 10.70 3.11Inflation Linked Bonds 77,515,589 6.13 3.07 5.21 11.58 12.42 7.26Other Fixed Income 123,687,880 9.78 -0.28 2.56 5.21 5.72 1.47Fixed Derivatives 7,440,405 0.59 2.20 3.86 4.26 6.34 -5.08

Index Linked Gilts 901,270 0.07 0.08 3.12 6.53 8.79 1.55Real Estate 89,885,206 7.11 0.14 0.34 1.38 2.03 4.75Private Equity 82,269,450 6.51 3.52 7.98 13.44 21.38 18.04Hedge Funds 123,399,279 9.76 -0.42 -0.10 0.57 -3.94 15.65Other Assets 0 0.00Cash & Short Term Deriv. 50,216,721 3.97 -0.66 2.56 4.04 6.56 3.63Pending Cash -288,718 -0.02 - - - - - - -Futures Offsets -7,382,367 -0.58 - - - - - - -Foreign Exchange 113,285 0.01 - - - - - - -Infrastructure 64,438,837 5.10 -3.74 3.83 6.89 8.10 0.58Total Fund Gross of Fees 1,264,292,932 100.00 0.41 3.04 12.02 7.20 7.79 8.98 8.59



Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDEnfield Strategic BM 0.08 2.79 10.96 6.45 6.21 8.44 Excess Return 0.33 0.24 1.06 0.75 1.57 0.54

Excess is calculated using arithmetic methodology


13 of 95 | Investment Risk & Analytical Services Category: Total Fund Gross of Fees • Index : Enfield Secondary BM • Analysis : Enfield PLA• Consolidation : London Borough of Enfield (Carved Out)

Policy Level Attribution Overview

Rate of Return RelativeAsset Allocation

RelativeStock SelectionTime Period Group Index Relative Residual

One Month 0.41 0.25 0.16 -0.06 0.21 0.01

The above Attribution Model is based on the Geometric methodology.


14 of 95 | Investment Risk & Analytical Services Category: Total Fund Gross of Fees • Analysis : Enfield PLA

Policy Level Attribution Detail - One Month

The above Attribution model is based on Geometric methodology. The chart depicts the Top & Bottom accounts/groups based on Beginning Weight. The vertical dotted line represents the total consolidated result for a given metric.



Policy Level Attribution - One MonthWeights Rate of Returns Attribution Effects

BeginningWeights Return Contribution

RelativeAsset

Allocation

RelativeStock

Selection

London Borough of Enfield 100.00 0.41 0.41 -0.06 0.21

Enfield Secondary BM 100.00 0.25 0.25

MFS Global Equity 9.87 -0.36 -0.04 -0.00 -0.13

LEFD05005 MSCI ACWI ND 10.27 0.91 0.09

Blackrock Pooled 14.59 1.16 0.17 -0.01 0.01

LEFD02 Blackrock Blended BM 15.19 1.12 0.17

Trilogy 0.07 - 0.00 - -

LEFD04 MSCI ACWI ND 0.00 - 0.00

London LGPS 6.54 -0.87 -0.06 -0.00 -0.12

LEFD05016 MSCI ACWI ND 6.81 0.91 0.06

M&G Inflation Opportunities Fd 5.97 3.07 0.18 0.00 0.18

LEFD05010 UK RPI +2.5% 6.22 -0.03 -0.00

CBRE Long Income Fund 1.25 -0.00 -0.00 0.00 -0.00

LEFD06007 BMK 1.49 0.00 0.00

Insight Bonds 2.45 -0.91 -0.02 -0.00 -0.03

LEFD05006 Libor 3 Month GBP+4%

2.55 0.39 0.01

Blackrock IL Gilts 7.40 -0.08 -0.01 0.00 -0.00

LEFD01 Blended Benchmark 7.71 -0.07 -0.01

Western 7.94 0.09 0.01 0.00 0.01

LEFD03 ML Stg Non-Gilts 10+ 8.26 -0.04 -0.00

CFM Stratus 2.18 -4.08 -0.09 0.00 -0.09

LEFD06004 Libor 3 Month GBP 2.27 0.07 0.00

Davidson Kemper 2.41 -1.04 -0.03 0.00 -0.00

LEFD05004 Libor 3 Month USD 2.51 -0.99 -0.02

York Capital 1.61 -1.17 -0.02 0.00 -0.00

LEFD05011 Libor 3 Mnth USD 1.67 -0.99 -0.02

Lansdowne 3.64 2.51 0.09 0.00 0.09

LEFD05009 Libor 3 Mnth GBP 3.79 0.07 0.00

Adams Street 6.03 3.74 0.23 -0.00 0.17

LEFD06005 MSCI ACWI ND 6.27 0.91 0.06

INPP 3.78 -4.38 -0.17 0.01 -0.00

LEFD05015 Fund returns 3.93 -4.38 -0.17



Weights Rate of Returns Attribution Effects

BeginningWeights Return Contribution

RelativeAsset

Allocation

RelativeStock

Selection

Antin Infrastructure 1.54 -2.16 -0.03 -0.04 0.00

2.98 0.25 0.01 0.00 0.01Blackrock UK FDLEFD05012 IPD All Balncd Prpty 3.10 -0.08 -0.00

2.69 0.10 0.00 0.00 0.00Legal & General PropertyLEFD05013 IPD All Balncd Prpty 2.80 -0.08 -0.00

0.37 0.00 0.00 0.00 0.00Brockton Capital FundLEFD06001 IPD All Balncd Prpty 0.41 -0.08 -0.00

0.62 0.00 -0.00UT Cash & Other AssetsLEFD05002 LIBID 7 Day 0.50

-0.240.05

-0.000.00

Goldman Sachs cash funds 2.34 -0.69 -0.02 -0.02 0.00

0.88 0.00 -0.01PE Cash & Other AssetsLEFD06002 LIBID 7 Day 0.88

-1.050.05

-0.010.00

HSBC / NT PE cash account 0.00 - 0.00 0.00 0.00

6.45 3.28 0.21 -0.00 0.15LongView PartnersLEFD05019 MSCI ACWI ND 6.72 0.91 0.06

2.28 -0.00 -0.04Henderson GlobalLEFD05018 MSCI EM Mrkts ND 2.37

-1.150.71

-0.030.02

Cash & Other Transition Assets 0.00 -0.26 -0.00 -0.00 0.00

4.11 0.29 0.00 0.00 0.00CQS MAC A GBPLEFD09001 3 Month GBP Libor 0.00 - 0.00

0.00 0.12 0.00 0.00 0.00EPOCH Investment LEFD05020 3 Month GBP Libor 4.28 0.07 0.00

The above Attribution Model is based on the Geometric methodology.



Growth Over Time - Inception to Date

September 30, 2019

Blackrock Pooled

S E C T I O N 2

Blackrock Pooled


N O R T H E R N T R U S T Blackrock Pooled September 30, 2019



1 MoBeginning Market Value 183,656Net Contribution 0Income 0Fees 0Appreciation 2,134Ending Market Value 185,790


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDEquity 185,754,648 99.98 1.16 3.91 21.59 7.80 12.35

Common Stock 185,754,648 99.98 1.16 3.91 21.59 7.80 12.35 Cash & Short Term Deriv. 35,285 0.02 0.06 0.18 0.54 0.71 0.46 Total Fund Gross of Fees 185,789,933 100.00 1.16 3.91 21.58 7.79 12.35 13.33 14.08LEFD02 Blackrock Blended BM 1.12 3.77 20.90 7.11 11.75 12.77 13.10Excess Return 0.05 0.14 0.68 0.68 0.60 0.56 0.99



20 of 95 | Investment Risk & Analytical Services Analysis: LEFD02

Regional PerformanceBase Rates of Return

Category

EndingMarket value

GBP - GOFEndingWeight

TargetWeight

OneMonth

ThreeMonths

Yearto Date

OneYear

ThreeYears

FiveYears

Inceptionto Date

Blackrock Pooled 185,789,933 100.00 100.00 1.16 3.91 21.58 7.79 12.35 13.33 14.08LEFD02 Blackrock Blended Bmk 1.12 3.77 20.90 7.11 11.75 12.77 13.10Excess Return 0.05 0.14 0.68 0.68 0.60 0.56 0.99Total Fund - Foreign Exchange 185,789,933 100.00 100.00 1.16 3.91 21.58 7.79 12.35 - -FTSE AW ND 1.12 3.77 20.90 7.11 11.75 12.77 13.10Excess Return 0.05 0.14 0.68 0.68 0.60 - -Equity 185,754,648 99.98 0.00 1.16 3.91 21.59 7.80 12.35 - -Blackrock World ex UK 173,174,163 93.21 93.34 1.04 4.11 22.14 8.38 13.12 - -FTSE A-W Developed x UK ND 0.98 3.96 21.40 7.55 12.40 13.66 14.03Excess Return 0.05 0.15 0.74 0.83 0.72 - -Blackrock Emerging Mkt - - 0.00 - - - - - - -MSCI Emerging Markets ND - - - - - - -Excess Return - - - - - - -UK Equity 12,580,485 6.77 6.66 2.94 1.27 14.40 2.73 6.84 - -FTSE All Share GBP 2.95 1.27 14.41 2.68 6.76 6.79 11.03Excess Return -0.01 -0.00 -0.01 0.04 0.08 - -

Cash & Short Term Deriv. 35,285 0.02 0.00 0.06 0.18 0.54 0.71 0.46 - -• Excess is calculated using arithmetic methodology

September 30, 2019

Henderson Global

S E C T I O N 3

Henderson Global


N O R T H E R N T R U S T Henderson Global September 30, 2019



1 MoBeginning Market Value 28,671Net Contribution 0Income 175Fees 0Appreciation -505Ending Market Value 28,340


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDEquity 28,339,742 100.00 -1.15 -4.69 5.25 7.32

Common Stock 28,339,742 100.00 -1.15 -4.69 5.25 7.32Total Fund Gross of Fees 28,339,742 100.00 -1.15 -4.69 5.25 7.32LEFD05018 MSCI EM Mrkts ND 0.71 -1.11 9.44 12.82Excess Return -1.87 -3.58 -4.18 -5.50


N O R T H E R N T R U S T Henderson Global September 30, 2019



September 30, 2019

London LGPS

S E C T I O N 4

London LGPS


N O R T H E R N T R U S T London LGPS September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDEquity 81,671,238 100.00 -0.87 0.66 21.84 6.58 14.10 14.10

Common Stock 81,671,238 100.00 -0.87 0.66 21.84 6.58 14.10 14.10Total Fund Gross of Fees 81,671,238 100.00 -0.87 0.66 21.84 6.58 14.10 14.10LEFD05016 MSCI ACWI ND 0.91 3.25 20.09 7.28 11.65 11.65Excess Return -1.78 -2.59 1.75 -0.70 2.45 2.45


N O R T H E R N T R U S T London LGPS September 30, 2019



September 30, 2019

LongView Partners

S E C T I O N 5

LongView Partners


N O R T H E R N T R U S T LongView Partners September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDEquity 83,898,496 100.00 3.28 4.68 16.98 16.08

Common Stock 83,898,496 100.00 3.28 4.68 16.98 16.08Total Fund Gross of Fees 83,898,496 100.00 3.28 4.68 16.98 16.08LEFD05019 MSCI ACWI ND 0.91 3.25 20.09 16.60Excess Return 2.37 1.42 -3.12 -0.52


N O R T H E R N T R U S T LongView Partners September 30, 2019



September 30, 2019

MFS Global Equity

S E C T I O N 6

MFS Global Equity


N O R T H E R N T R U S T MFS Global Equity September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDEquity 123,768,260 100.00 -0.36 3.82 26.01 13.33 12.96

Common Stock 123,768,260 100.00 -0.36 3.82 26.01 13.33 12.96 Total Fund Gross of Fees 123,768,260 100.00 -0.36 3.82 26.01 13.33 12.96 14.69 14.53LEFD05005 MSCI ACWI ND 0.91 3.25 20.09 7.28 11.65 12.67 11.72Excess Return -1.27 0.57 5.92 6.05 1.30 2.03 2.82


N O R T H E R N T R U S T MFS Global Equity September 30, 2019



September 30, 2019

Blackrock IL Gilts

S E C T I O N 7

Blackrock IL Gilts


N O R T H E R N T R U S T Blackrock IL Gilts September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDFixed Income 93,123,991 100.00 -0.08 3.60 7.41 8.66 2.40

Other Fixed Income 93,123,991 100.00 -0.08 3.60 7.41 8.66 2.40Cash & Short Term Deriv. 1 0.00Total Fund Gross of Fees 93,123,992 100.00 -0.08 3.60 7.41 8.66 2.40 3.44 5.73LEFD01 Blended Benchmark -0.07 3.51 7.29 8.53 2.32 7.37 7.99Excess Return -0.01 0.09 0.12 0.13 0.09 -3.93 -2.26


N O R T H E R N T R U S T Blackrock IL Gilts September 30, 2019



September 30, 2019

CQS MAC A GBP

S E C T I O N 8

CQS MAC A GBP


N O R T H E R N T R U S T CQS MAC A GBP September 30, 2019


Asset Class PerformanceMARKET VALUE SUMMARY OVER TIME

1 MoBeginning Market Value 51,690Net Contribution -51,839Income 0Fees 0Appreciation 149Ending Market Value 0


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDFixed Income 0 0.29 0.48 4.96 3.68

Marketable Bonds 0 0.29 0.48 4.96 3.68Total Fund Gross of Fees 0 0.29 0.48 4.96 3.68LEFD09001 3 Month GBP Libor 0.00 0.15 0.71 0.80Excess Return 0.28 0.33 4.26 2.87


N O R T H E R N T R U S T CQS MAC A GBP September 30, 2019



September 30, 2019

EPOCH Invetsment

S E C T I O N 9

EPOCH InvestmentInvestment Risk & Analytical Services

N O R T H E R N T R U S T EPOCH Investment September 30, 2019



1 MoBeginning Market ValueNet Contribution 51,839IncomeFees 0AppreciationEnding Market Value 51,901


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDFixed Income 51,900,795 100.00 0.12 0.12

Marketable Bonds 51,900,795 100.00 0.12 0.12Total Fund Gross of Fees 51,900,795 100.00 0.12 0.12LEFD05020 3 Month GBP Libor 0.07 0.07Excess Return 0.05 0.05


N O R T H E R N T R U S T EPOCH Investment September 30, 2019



September 30, 2019

Insight Bonds

S E C T I O N 10

Insight Bonds


N O R T H E R N T R U S T Insight Bonds September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDFixed Income 30,563,889 100.00 -0.91 -0.47 -0.96 -2.32 -1.31

Other Fixed Income 30,563,889 100.00 -0.91 -0.47 -0.96 -2.32 -1.31 Total Fund Gross of Fees 30,563,889 100.00 -0.91 -0.47 -0.96 -2.32 -1.31 -0.31 0.20LEFD05006 Libor 3 Month GBP+4% 0.39 1.19 3.76 5.03 4.74 3.27 2.90Excess Return -1.30 -1.66 -4.72 -7.35 -6.05 -3.58 -2.71


N O R T H E R N T R U S T Insight Bonds September 30, 2019



September 30, 2019

Western

S E C T I O N 11

Western


N O R T H E R N T R U S T Western September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDFixed Income 103,700,955 103.69 0.11 5.87 16.46 16.20 4.73

Marketable Bonds 96,260,550 96.25 -0.04 5.99 17.40 16.76 4.96Fixed Derivatives 7,440,405 7.44 2.20 3.86 4.26 6.34 -5.20

Index Linked Gilts 901,270 0.90 0.08 3.12 6.53 8.79 1.98Other Assets 0 0.00Cash & Short Term Deriv. 2,969,766 2.97 0.69 2.58 3.52 3.80 1.10Pending Cash -288,718 -0.29 - - - - - - -Futures Offsets -7,382,367 -7.38 - - - - - - -Foreign Exchange 113,285 0.11 - - - - - - -Total Fund Gross of Fees 100,014,190 100.00 0.09 6.02 17.12 16.75 5.15 7.73 6.90LEFD03 ML Stg Non-Gilts 10+ -0.04 6.35 16.87 16.84 4.78 8.53Excess Return 0.13 -0.33 0.25 -0.09 0.38 -0.80



48 of 95 | Investment Risk & Analytical Services Analysis: LEFD03

Regional PerformanceBase Rates of Return

Category

EndingMarket value

GBP - GOFEndingWeight

TargetWeight

OneMonth

ThreeMonths

Yearto Date

OneYear

ThreeYears

FiveYears

Inceptionto Date

Western 100,014,190 100.00 100.00 0.09 6.02 17.12 16.75 5.15 7.73 6.90LEFD03 ML Stg Non-Gilts 10+ -0.04 6.35 16.87 16.84 4.78 8.53 -Excess Return 0.13 -0.33 0.25 -0.09 0.38 -0.80 -Total Fund - Foreign Exchange 99,900,905 99.89 100.00 0.04 6.13 17.21 17.05 5.34 - -Blended Benchmark -0.04 6.35 16.87 16.84 4.78 8.53 -Excess Return 0.08 -0.22 0.34 0.21 0.56 - -Fixed Income 103,700,955 103.69 0.00 0.11 5.87 16.46 16.20 4.73 - -Marketable Bonds 96,260,550 96.25 0.00 -0.04 5.99 17.40 16.76 4.96 - -Government Bonds 9,811,187 9.81 0.00 -0.23 5.70 12.39 14.76 3.87 - -Corporates 86,449,362 86.44 0.00 -0.02 6.02 18.02 16.87 5.05 - -

Fixed Derivatives 7,440,405 7.44 0.00 2.20 3.86 4.26 6.34 -5.20 - -Index Linked Gilts 901,270 0.90 0.00 0.08 3.12 6.53 8.79 1.98 - -Cash & Short Term Deriv. 2,969,766 2.97 0.00 0.69 2.58 3.52 3.80 1.10 - -Foreign Exchange 113,285 0.11 0.00 - - - - - - -Futures Offsets -7,382,367 -7.38 0.00 - - - - - - -Pending Cash -288,718 -0.29 0.00 0.01 -0.00 -0.00 -0.00 103.32 - -

• Excess is calculated using arithmetic methodology



Greatest Asset Impact - One Month

TOP LARGEST HOLDINGS

Asset Description Sector/Industry Country30/09/2019

Market Value Gain/Loss30/09/2019

WeightBase

ReturnContribution

to FIFUT DEC 19 LIF LONG GILT Fixed Derivatives United Kingdom 10,604,960 8,649 10.23 0.08 0.01EUROPEAN INVT BK 3.875% BDS DUE ... Government Bonds United Kingdom 3,965,930 1,630 3.82 0.04 0.00EURO INV BANK 2.5% SNR 31/10/202... Government Bonds United Kingdom 2,097,055 3,781 2.02 0.18 0.00ENEL FIN INT NV 5.75% GTD SNR 14... Corporates Italy 1,837,397 -2,194 1.77 -0.12 -0.00ANHEUSER-BUSCH INB 2.85% GTD SNR... Corporates Belgium 1,813,225 -3,119 1.75 -0.17 -0.00WELLS FARGO & CO 4.875% SUB 29/1... Corporates United States 1,726,397 -6,865 1.66 -0.40 -0.01CITIGROUP INC 7.375% SNR 01/09/2... Corporates United States 1,718,431 -12,405 1.66 -0.72 -0.01COOPERATIEVE RABOB 5.375% SNR MT... Corporates Netherlands 1,643,092 21,979 1.58 1.36 0.02UK(GOVT OF) 4.5% BDS 07/09/2034 ... Government Bonds United Kingdom 1,590,672 -7,612 1.53 -0.37 -0.01BK OF AMERICA CORP 7% SNR EMTN ... Corporates United States 1,590,569 -6,389 1.53 -0.40 -0.01

SubTotal 28,587,728 -2,546 27.57 -0.00

LARGEST POSITIVE IMPACT



WeightBase

ReturnContribution

to FIFUT DEC 19 EURX EUR-BUND Fixed Derivatives Germany -4,470,546 153,227 -4.31 -3.41 0.15GE CAP UK FDG UNLI 8% GTD SNR 14... Corporates United States 1,421,077 35,675 1.37 2.58 0.03HSBC HOLDINGS PLC 6% SUB 29/03/4... Corporates United Kingdom 1,419,088 27,743 1.37 1.99 0.03HSBC HOLDINGS PLC 7% SUB 07/04/3... Corporates United Kingdom 1,311,986 27,214 1.27 2.12 0.03FUT DEC 19 CBT UL T-BONDS Fixed Derivatives United States -622,921 25,558 -0.60 -3.94 0.02COOPERATIEVE RABOB 5.375% SNR MT... Corporates Netherlands 1,643,092 21,979 1.58 1.36 0.02AVIVA 6.875%-FRN LT2 20/05/58 GB... Corporates United Kingdom 739,333 17,121 0.71 2.37 0.02FUT DEC 19 EURO BUXL BND Fixed Derivatives Germany -384,839 16,662 -0.37 -4.23 0.01LEGAL & GENERAL GROUP BNDS 5.5% ... Corporates United Kingdom 437,666 14,205 0.42 3.35 0.01THE WELLCOME TRUST 2.517% SNR 07... Corporates United Kingdom 717,252 13,762 0.69 1.96 0.01

SubTotal 2,211,190 353,145 2.13 0.34



LARGEST NEGATIVE IMPACT



WeightBase

ReturnContribution

to FIELECTRICITE DE FRANCE ... Corporates France 1,530,721 -27,217 1.48 -1.75 -0.03FUT DEC 19 10 YR T-NOTES Fixed Derivatives United States 951,726 -21,685 0.92 -2.23 -0.02FUT DEC 19 CBT 5Y T-NOTE Fixed Derivatives United States 966,878 -18,272 0.93 -1.85 -0.02ELECTRICITE DE FRANCE 5.125% 22/... Corporates France 1,054,472 -16,185 1.02 -1.47 -0.02ELEC DE FRANCE 6.0% 23/01/2114 Corporates France 1,006,403 -13,040 0.97 -1.28 -0.01CITIGROUP INC 7.375% SNR 01/09/2... Corporates United States 1,718,431 -12,405 1.66 -0.72 -0.01FUT DEC 19 U.S. T-BONDS Fixed Derivatives United States 395,145 -11,925 0.38 -2.93 -0.01MUENCHENER RUECKVE 3.25%-FRN SUB... Corporates Germany 0 -18,824 0.00 -4.26 -0.01TESCO PROPERTY FIN 4 PLC 5.8006%... Corporates United Kingdom 1,516,386 -11,282 1.46 -0.74 -0.01E.ON INTERNATIONAL 5.875% SNR MT... Corporates Germany 695,316 -10,447 0.67 -1.48 -0.01

SubTotal 9,835,480 -161,281 9.48 -0.15

BEST PERFORMERS



WeightBase

ReturnContribution

to FILEGAL & GENERAL GROUP BNDS 5.5% ... Corporates United Kingdom 437,666 14,205 0.42 3.35 0.01PRUDENTIAL 5.7%-FRN LT2 19/12/20... Corporates United Kingdom 389,069 10,992 0.38 2.91 0.01GE CAP UK FDG UNLI 8% GTD SNR 14... Corporates United States 1,421,077 35,675 1.37 2.58 0.03CREDIT AGRICOLE SA 7.5% ... Corporates France 424,718 10,119 0.41 2.41 0.01AVIVA 6.875%-FRN LT2 20/05/58 GB... Corporates United Kingdom 739,333 17,121 0.71 2.37 0.02HSBC HOLDINGS PLC 7% SUB 07/04/3... Corporates United Kingdom 1,311,986 27,214 1.27 2.12 0.03HSBC HOLDINGS PLC 6% SUB 29/03/4... Corporates United Kingdom 1,419,088 27,743 1.37 1.99 0.03THE WELLCOME TRUST 2.517% SNR 07... Corporates United Kingdom 717,252 13,762 0.69 1.96 0.01CAMBRIDGE(UNIVERSI 2.35% SNR 27/... Corporates United Kingdom 838,655 13,474 0.81 1.63 0.01OXFORD UNIVER 2.544% SNR 08/12/2... Corporates United Kingdom 480,637 7,104 0.46 1.50 0.01

SubTotal 8,179,482 177,408 7.89 0.17



WORST PERFORMERS



WeightBase

ReturnContribution

to FIORANGE 1.375% 04/09/2049 Corporates France 0 -15,874 0.00 -5.64 -0.01MUENCHENER RUECKVE 3.25%-FRN SUB... Corporates Germany 0 -18,824 0.00 -4.26 -0.01FUT DEC 19 EURO BUXL BND Fixed Derivatives Germany -384,839 16,662 -0.37 -4.23 0.01FUT DEC 19 CBT UL T-BONDS Fixed Derivatives United States -622,921 25,558 -0.60 -3.94 0.02FUT DEC 19 EURX EUR-BUND Fixed Derivatives Germany -4,470,546 153,227 -4.31 -3.41 0.15CVS HEALTH CORP 5.05% DUE 03-25-... Corporates United States 267,283 -9,403 0.26 -3.34 -0.01HCA INC 5.25% DUE 06-15-2049 Corporates United States 188,603 -5,889 0.18 -3.03 -0.01FUT DEC 19 U.S. T-BONDS Fixed Derivatives United States 395,145 -11,925 0.38 -2.93 -0.01DEVON ENERGY CORP FIXED 5% DUE ... Corporates United States 285,088 -7,082 0.27 -2.42 -0.01FUT DEC 19 10 YR T-NOTES Fixed Derivatives United States 951,726 -21,685 0.92 -2.23 -0.02

SubTotal -3,390,459 104,767 -3.27 0.11Fixed Income 103,700,955 0.11

September 30, 2019

CBRE Long Income Fund

S E C T I O N 12

CBRE Long Income Fund


N O R T H E R N T R U S T CBRE Long Income Fund September 30, 2019



1 MoBeginning Market Value 15,695Net Contribution 2,790Income 0Fees 0Appreciation -0Ending Market Value 18,485


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDReal Estate 18,485,220 100.00 -0.00 0.05 0.05 0.05Total Fund Gross of Fees 18,485,220 100.00 -0.00 0.05 0.05 0.05LEFD06007 BMK 0.00 0.05 0.05 0.05Excess Return -0.00 -0.00 -0.00 -0.00


September 30, 2019

M&G Inflation Opportunities Fd

S E C T I O N 13

M&G Inflation Opportunities Fd


N O R T H E R N T R U S T M&G Inflation Opportunities Fd September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDFixed Income 77,515,589 100.00 3.07 5.21 11.58 12.42 7.26

Inflation Linked Bonds 77,515,589 100.00 3.07 5.21 11.58 12.42 7.26 Total Fund Gross of Fees 77,515,589 100.00 3.07 5.21 11.58 12.42 7.26 9.80 7.84LEFD05010 UK RPI +2.5% -0.03 1.09 3.76 4.93 5.69 4.98 4.93Excess Return 3.10 4.12 7.82 7.50 1.57 4.83 2.91


N O R T H E R N T R U S T M&G Inflation Opportunities Fd September 30, 2019



September 30, 2019

CFM Stratus

S E C T I O N 14

CFM Stratus


N O R T H E R N T R U S T CFM Stratus September 30, 2019



1 MoBeginning Market Value 27,460Net Contribution 0Income 0Fees 0Appreciation -1,120Ending Market Value 26,339


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDHedge Funds 26,339,095 100.00 -4.08 -2.62 8.81 1.83 1.32 Total Fund Gross of Fees 26,339,095 100.00 -4.08 -2.62 8.81 1.83 1.32 -2.21LEFD06004 Libor 3 Month GBP 0.07 0.22 0.77 1.03 0.73 0.70Excess Return -4.15 -2.84 8.04 0.80 0.58 -2.91


N O R T H E R N T R U S T CFM Stratus September 30, 2019



September 30, 2019

Davidson Kemper

S E C T I O N 15

Davidson Kemper


N O R T H E R N T R U S T Davidson Kemper September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDHedge Funds 30,028,922 100.00 -1.04 4.77 8.53 9.35 6.68 Total Fund Gross of Fees 30,028,922 100.00 -1.04 4.77 8.53 9.35 6.68 6.22LEFD05004 Libor 3 Month USD -0.99 3.91 5.57 8.83 3.98 3.24Excess Return -0.06 0.86 2.96 0.51 2.71 2.98


N O R T H E R N T R U S T Davidson Kemper September 30, 2019



September 30, 2019

Lansdowne

S E C T I O N 16

Lansdowne


N O R T H E R N T R U S T Lansdowne September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDHedge Funds 47,017,569 100.00 2.51 -2.05 -8.24 -14.04 -3.11 Total Fund Gross of Fees 47,017,569 100.00 2.51 -2.05 -8.24 -14.04 -3.11 -0.27 5.08LEFD05009 Libor 3 Mnth GBP 0.07 0.22 0.77 1.03 0.73 4.81 3.05Excess Return 2.44 -2.27 -9.01 -15.07 -3.84 -5.08 2.03


N O R T H E R N T R U S T Lansdowne September 30, 2019



September 30, 2019

York Capital

S E C T I O N 17

York Capital


N O R T H E R N T R U S T York Capital September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDHedge Funds 20,013,694 100.00 -1.17 1.03 2.22 -2.10 5.73 Total Fund Gross of Fees 20,013,694 100.00 -1.17 1.03 2.22 -2.10 5.73 0.86 5.34LEFD05011 Libor 3 Mnth USD -0.99 3.91 5.57 8.83 3.98 0.94 3.14Excess Return -0.18 -2.88 -3.35 -10.93 1.75 -0.08 2.20


N O R T H E R N T R U S T York Capital September 30, 2019



September 30, 2019

Adams Street

S E C T I O N 18

Adams Street


N O R T H E R N T R U S T Adams Street September 30, 2019



1 MoBeginning Market Value 75,965Net Contribution -1,196Income 0Fees 0Appreciation 2,835Ending Market Value 77,604


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDPrivate Equity 77,604,031 100.00 3.74 8.41 13.41 21.83 17.69 Total Fund Gross of Fees 77,604,031 100.00 3.74 8.41 13.41 21.83 17.69 13.48 11.04LEFD06005 MSCI ACWI ND 0.91 3.25 20.09 7.28 11.65 8.96 7.44Excess Return 2.83 5.16 -6.68 14.54 6.04 4.52 3.61


N O R T H E R N T R U S T Adams Street September 30, 2019



September 30, 2019

Antin Infrastructure

S E C T I O N 19

Antin Infrastructure


N O R T H E R N T R U S T Antin Infrastructure September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDInfrastructure 18,964,363 100.00 -2.16 0.10 12.05 12.01 5.89Total Fund Gross of Fees 18,964,363 100.00 -2.16 0.10 12.05 12.01 5.89Excess is calculated using arithmetic methodology

N O R T H E R N T R U S T Antin Infrastructure September 30, 2019



September 30, 2019

INPP

S E C T I O N 20

INPP


N O R T H E R N T R U S T INPP September 30, 2019



1 MoBeginning Market Value 47,558Net Contribution 0Income 1,037Fees 0Appreciation -3,120Ending Market Value 45,474


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDInfrastructure 45,474,474 100.00 -4.38 5.35 5.00 6.40 3.13 Total Fund Gross of Fees 45,474,474 100.00 -4.38 5.35 5.00 6.40 3.13 8.86 8.36LEFD05015 Fund returns -4.38 5.35 5.00 6.40 3.13 3.13 3.26Excess Return -0.00 -0.00 -0.00 -0.00 0.00 5.73 5.10


N O R T H E R N T R U S T INPP September 30, 2019



September 30, 2019

Blackrock UK FD

S E C T I O N 21

Blackrock UK FD


N O R T H E R N T R U S T Blackrock UK FD September 30, 2019



1 MoBeginning Market Value 37,507Net Contribution -84Income 116Fees 0Appreciation -22Ending Market Value 37,516


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDReal Estate 37,516,227 100.00 0.25 0.20 0.75 1.84 3.92 Total Fund Gross of Fees 37,516,227 100.00 0.25 0.20 0.75 1.84 3.92 5.17 3.54LEFD05012 IPD All Balncd Prpty -0.08 0.40 1.31 2.22 6.75 7.53 6.63Excess Return 0.33 -0.20 -0.55 -0.37 -2.83 -2.37 -3.08


N O R T H E R N T R U S T Blackrock UK FD September 30, 2019



September 30, 2019

Brockton Capital Fund

S E C T I O N 22

Brockton Capital Fund


N O R T H E R N T R U S T Brockton Capital Fund September 30, 2019



1 MoBeginning Market Value 4,665Net Contribution 0Income 0Fees 0Appreciation 0Ending Market Value 4,665


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDPrivate Equity 4,665,420 100.00 0.00 1.21 14.26 14.69 16.69 Total Fund Gross of Fees 4,665,420 100.00 0.00 1.21 14.26 14.69 16.69 6.40LEFD06001 IPD All Balncd Prpty -0.08 0.40 1.31 2.22 6.75 3.99Excess Return 0.08 0.81 12.96 12.47 9.94 2.41


N O R T H E R N T R U S T Brockton Capital Fund September 30, 2019



September 30, 2019

Legal & General Property

S E C T I O N 23

Legal & General Property


N O R T H E R N T R U S T Legal & General Property September 30, 2019



1 MoBeginning Market Value 33,850Net Contribution 0Income 0Fees 0Appreciation 34Ending Market Value 33,884


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDReal Estate 33,883,759 100.00 0.10 0.66 2.48 2.62 5.92 Total Fund Gross of Fees 33,883,759 100.00 0.10 0.66 2.48 2.62 5.92 6.59 7.08LEFD05013 IPD All Balncd Prpty -0.08 0.40 1.31 2.22 6.75 7.53 7.70Excess Return 0.18 0.26 1.17 0.41 -0.83 -0.94 -0.62


N O R T H E R N T R U S T Legal & General Property September 30, 2019



September 30, 2019

PE Cash & Other Assets

S E C T I O N 24

PE Cash & Other Assets


N O R T H E R N T R U S T PE Cash & Other Assets September 30, 2019





Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDCash & Short Term Deriv. 11,414,290 100.00 -1.05 3.15 2.86 3.17 1.68 2.11Pending Cash 0 0.00 - - - - - - -Total Fund Gross of Fees 11,414,290 100.00 -1.05 3.14 2.85 2.98 1.61 2.04LEFD06002 LIBID 7 Day 0.05 0.14 0.43 0.58 0.36 0.35Excess Return -1.10 3.00 2.42 2.40 1.25 1.70


N O R T H E R N T R U S T PE Cash & Other Assets September 30, 2019



September 30, 2019

UT Cash & Other Assets

S E C T I O N 25

UT Cash & Other Assets


N O R T H E R N T R U S T UT Cash & Other Assets September 30, 2019



1 MoBeginning Market Value 7,807Net Contribution -1,916Income 0Fees 0Appreciation -15Ending Market Value 5,877


Asset Class End MV End Wt 1 Mo 3 Mos YTD 1 Yr 3 Yrs 5 Yrs ITDCash & Short Term Deriv. 5,877,266 100.00 -0.24 0.46 0.49 0.49 11.34 10.43Pending Cash 0 0.00 - - - - - - -Total Fund Gross of Fees 5,877,266 100.00 -0.24 0.46 0.49 0.49 11.35 10.45LEFD05002 LIBID 7 Day 0.05 0.14 0.43 0.58 0.36 0.35Excess Return -0.28 0.31 0.06 -0.09 11.00 10.11


N O R T H E R N T R U S T UT Cash & Other Assets September 30, 2019



September 30, 2019

Appendix

S E C T I O N 26

Appendix




Disclaimer(s)

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London Borough of EnfieldInvestment HierarchyMarket Value Summary - One MonthAsset Class PerformancePolicy Level Attribution OverviewPolicy Level Attribution Detail - One MonthGrowth Over Time-Inception to Date

Blackrock PooledAsset Class PerformanceRegional Performance - LEFD02Growth Over Time-Inception to Date

Henderson GlobalAsset Class PerformanceGrowth Over Time-Inception to Date

London LGPSAsset Class PerformanceGrowth Over Time-Inception to Date

LongView PartnersAsset Class PerformanceGrowth Over Time-Inception to Date

MFS Global EquityAsset Class PerformanceGrowth Over Time-Inception to Date

Blackrock IL GiltsAsset Class PerformanceGrowth Over Time-Inception to Date

CQS MAC A GBPAsset Class PerformanceGrowth Over Time-Inception to Date

EPOCH InvetsmentAsset Class PerformanceGrowth Over Time-Inception to Date

Insight BondsAsset Class PerformanceGrowth Over Time-Inception to Date

WesternAsset Class PerformanceRegional Performance - LEFD03Greatest Asset ImpactGrowth Over Time-Inception to Date

CBRE Long Income FundAsset Class Performance

M&G Inflation Opportunities FdAsset Class PerformanceGrowth Over Time-Inception to Date

CFM StratusAsset Class PerformanceGrowth Over Time-Inception to Date

Davidson KemperAsset Class PerformanceGrowth Over Time-Inception to Date

LansdowneAsset Class PerformanceGrowth Over Time-Inception to Date

York CapitalAsset Class PerformanceGrowth Over Time-Inception to Date

Adams StreetAsset Class PerformanceGrowth Over Time-Inception to Date

Antin InfrastructureAsset Class PerformanceGrowth Over Time-Inception to Date

INPPAsset Class PerformanceGrowth Over Time-Inception to Date

Blackrock UK FDAsset Class PerformanceGrowth Over Time-Inception to Date

Brockton Capital FundAsset Class PerformanceGrowth Over Time-Inception to Date

Legal & General PropertyAsset Class PerformanceGrowth Over Time-Inception to Date

PE Cash & Other AssetsAsset Class PerformanceGrowth Over Time-Inception to Date

UT Cash & Other AssetsAsset Class PerformanceGrowth Over Time-Inception to Date

AppendixDisclaimer(s)

London Borough of Enfield › documents › s78657 › Appendix 1.pdf · Excess Return -1.78 -2.59...

Documents

Transcript of London Borough of Enfield › documents › s78657 › Appendix 1.pdf · Excess Return -1.78 -2.59...