IPS DISCLAIMER MC 457 GOVT PLAN NON-ERISA 3(21) IPS NOVEMBER 2020 SAGEVIEW DRAFT 3.1.2021 UPDA.PDF

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DISCLAIMER
The specimen Investment Policy Statement (“IPS”) provided by SageView Advisory Group
(“SageView”) is intended solely as a sample document. The Committee should use its discretion
and independent judgment in determining the need and content of an IPS document.
It is the Committee’s sole responsibility to:
• Determine its authority to review and adopt an IPS document.
• Carefully review any IPS document to ensure it is consistent with the Committee’s policies
and procedures.
The Committee should consider whether it is prudent to retain legal counsel for issues relating to
the review and/or adoption of an IPS document.

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Investment Policy Statement
INVESTMENT POLICY
STATEMENT
Maricopa County
Maricopa County 457 Deferred Compensation Plan
November 2020
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Investment Policy Statement
Table of Contents
Purpose of the Investment Policy Statement ....................................................................................... 4
Purpose of the Plan ............................................................................................................................... 4
Statement of Responsibilities ............................................................................................................... 4
Investment Choices ............................................................................................................................... 5
Default Investment Alternative ......................................................................................................... 5
Self-Directed Brokerage Account ...................................................................................................... 6
Selection of Investment Alternatives .................................................................................................... 6
Evaluation Methodology ........................................................................................................................ 7
Other Investment Evaluation Criteria ............................................................................................... 8
Monitoring of Investment Policy and Investment Performance ........................................................ 10
ADOPTION ............................................................................................................................................. 11
APPENDIX A – Categories and Benchmarks ...................................................................................... 12
APPENDIX B –SageView Investment Ranking Criteria ...................................................................... 14
APPENDIX C –SageView Index Funds Ranking Criteria ..................................................................... 16
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Purpose of the Investment Policy Statement
This Investment Policy Statement establishes the policies and guidelines for the Maricopa County
457 Deferred Compensation Plan (the “Plan”) and is intended to assist the Retirement Plan
Committee (the “Committee”) in effectively selecting, monitoring and evaluating investment
alternatives made available to participants under the Plan. It outlines and prescribes a prudent
and acceptable investment philosophy and sets out the investment management procedures.
Purpose of the Plan
The Plan was established to provide a retirement savings program for eligible employees of
Maricopa County (the “Plan Sponsor”). The Plan is maintained for the exclusive purpose of
benefiting the Plan participants and their beneficiaries. The Plan intends to operate in accordance
with all applicable state and federal laws and regulations.
The goal of the Plan is to provide a framework for eligible employees of the Plan Sponsor to
establish a savings and investment program for their retirement. While Plan participants are
ultimately responsible for their own investment decisions, the Plan, in conjunction with an
Investment Consultant, will endeavor to provide an appropriate range of investment alternatives,
allowing each individual participant to invest in accordance with his or her own time horizons, risk
tolerance, and retirement goals.
In evaluating the investment alternatives, the Plan will take into account all Plan demographics.
The Plan is specifically intended to:
 Promote retirement savings while encouraging a high overall participation rate and
consistent saving habits
 Provide Plan participants with a wide and suitable range of asset categories and investment
alternatives that are intended to help participants meet their retirement goals and
investment objectives
 Attract and retain outstanding employees
 Obtain Plan investment alternatives at reasonable costs
Statement of Responsibilities
The following parties associated with the Plan, appointed by the Plan Sponsor, shall discharge their
respective responsibilities in accordance with all applicable fiduciary standards as follows: (1) in
the sole interest of the Plan participants and beneficiaries; (2) with the care, skill, prudence and
diligence under the circumstances then prevailing that a prudent person acting in like capacity and
familiar with such matters would use in the conduct of an enterprise of a like character and of like
aims.
A. Retirement Plan Committee: The members of the Retirement Plan Committee (“the
Committee”) are Plan fiduciaries and supervise the investment of the assets of the Plan,
and make decisions concerning investment alternatives available under the Plan. In
adopting this Investment Policy Statement, it is the intention of the Committee that the
oversight of the investment portion of the Plan will be the responsibility of the Committee.
The Committee, along with the Investment Consultant, shall be responsible for the Plan-
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level investment selection process, as set forth in this Investment Policy Statement, but is
not responsible for the individual fund performance and does not guarantee positive
investment results.
B. Trustee: The Trustee of the Plan is charged with safekeeping the securities as well as
collecting and disbursing the Plan assets and periodic accounting statements.
C. Recordkeeper: The Recordkeeper has responsibilities that include, but are not limited to,
the following: maintaining participant records, administering participant directions,
reporting to the Plan Sponsor, reporting to participants, allocating contributions,
administering loans, and preparing the required regulatory documents.
D. Investment Consultant: The Investment Consultant is charged with the responsibility of
advising the Committee on investment policy, advising on the selection of investment
alternatives, providing performance analysis and monitoring services, and educating the
Committee on economic and investment trends that may impact the performance of the
selected and available investment alternatives. The Investment Consultant, along with the
Committee, shall be responsible for the Plan-level investment selection process, as set forth
in this Investment Policy Statement, but is not responsible for the individual fund
performance and does not guarantee investment results.
Investment Choices
The Plan intends to provide a broad range of investment alternatives. This includes having, at a
minimum, three diversified investment alternatives that are sufficient in permitting the participants
to materially affect the potential return and degree of risk on their accounts, and to minimize the
risk of large losses. Diversification, however, does not ensure a profit or protect against loss in a
declining market.
All investment choices will be publicly available mutual funds, institutional trusts, or similar
vehicles. All investments being offered will fluctuate in value with market conditions and, when
redeemed, may be worth more or less than the amount originally invested. The chosen investment
alternatives were selected on the basis of their compatibility with Plan participants’ needs and
regulatory recommendations. Each of the chosen investment alternatives is designed to follow a
specific stated investment objective.
Default Investment Alternative
Although the Committee intends that participants will direct the investment of their assets held
under the Plan, there may be circumstances under which participants do not provide direction
regarding the investment of their individual accounts. In such instances, participant accounts will
be invested in the Plan’s default investment alternative. The Committee will attempt for the Plan
to comply with the Pension Protection Act of 2006 by offering a default investment alternative that
complies with all the conditions required of a default investment alternative.
The Committee may elect to utilize a multi-asset class investment alternative, such as target-date
funds, as the default investment option. Periodically, as participant demographics or market
conditions require, the Committee shall review and document the process for monitoring and
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selecting the default investment option, taking into account such factors as the philosophy and
goals of the Plan Sponsor as well as the needs and abilities of the participants and beneficiaries.
The Plan’s default investment option is the Vanguard Institutional Target Date Funds. The specific
target date portfolio for a participant or beneficiary who fails to make an investment election will
be based on the participant’s or beneficiary’s date of birth and an assumed normal retirement
date of age 65.
Self-Directed Brokerage Account
In an effort to provide investment flexibility, a self-directed brokerage option is offered in the Plan.
The Plan’s self-directed brokerage option allows participants to invest in any publicly-traded
security including stocks, bonds, and mutual funds, with the following exceptions: short sales,
options, futures, limited partnerships, currency trading, and margin trades. The Committee will
evaluate the self-directed option provider in the areas of costs, service capabilities, and participant
satisfaction.
Neither the Investment Consultant nor the Committee has any fiduciary or co-fiduciary
responsibility regarding the purchase, sale, retention, or recommendation for purchase, sale or
retention of any stocks, bonds, mutual funds or other investments that may be purchased or sold
by a Plan participant by means of a self-directed brokerage account. The Investment Consultant
and Committee shall have no responsibility to monitor or oversee the choices made by the
participants with respect to such accounts. Additionally, the Investment Consultant and Committee
shall have no duties or responsibilities whatsoever with respect to recommending whether a self-
directed brokerage account option should be provided as an option under the Plan, or for
monitoring the continued suitability of such a self-directed brokerage account option as an
available investment option under the Plan.
Selection of Investment Alternatives
The Investment Consultant takes a two-tiered approach to investment alternative selection.
Quantitative and qualitative screens are used as follows:
Quantitative Screening (including but not limited to):
 Investment track record
 Investment risk
 Investment risk/return
 Investment style analysis
 Performance consistency
 Investment cost
 Turnover ratio
Qualitative Screening (Investments that pass the quantitative screens will be reviewed for
characteristics that include but are not limited to):
 Investment-style variations
 Portfolio concentration
 Asset size and growth
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Interviews with portfolio managers and/or analysts will also be conducted if deemed necessary.
Selected alternatives will be reviewed by the Investment Consultant to ensure that there are no
additional factors that would make them unsuitable for inclusion in the Plan. Each alternative will
also be examined to ensure that it appropriately complements the overall diversification and risk
and return parameters of the entire Plan investment lineup.
In addition to diversification and risk tolerance considerations, investment expenses will be
considered in the selection of investment alternatives. The Committee will review all costs
associated with the management of the Plan’s investment program. These costs include the
following:
 Expense ratios of each investment alternative against the appropriate peer group
 Trustee and custodial fees for holding assets, collecting income and paying disbursements
 Plan administrative fees, including record keeping fees and other fees associated with
services the Plan receives, such as compliance testing fees, audit fees, fees for
communication services, etc.
Evaluation Methodology
The Committee may use the following criteria in selecting and monitoring Plan investment
alternatives. Each Plan investment alternative (other than those held in a Self-Directed Brokerage
Account) will be evaluated on an ongoing basis using several measures that quantify the expenses,
historical returns, and risk-adjusted performance of each investment alternative within its peer
group. The full list of criteria that may be used for evaluation is included as Appendix B of this
document and may be updated by the Committee, as necessary.
As noted in Appendix A, whenever possible, each investment alternative is benchmarked to a
specific market index, and performance is evaluated and compared to a relevant peer group using
Morningstar category classifications. Each criterion for an investment alternative is given a peer
group ranking, shown as a percentage. As an example, a criterion ranking of 10% indicates an
investment alternative is in the top 10% of its peer group for said criterion. The rankings for all
criteria are then weighted and averaged to give an investment alternative its average ranking
score. The lower the average ranking score, the better. In general, an investment alternative with
an average ranking score of 25% would be more attractive than a comparable investment
alternative with a ranking score of 50%. An overall ranking score is used to indicate where an
investment alternative places in relation to the scores of the other investment alternatives in its
category. Generally, investment alternatives are divided into categories of deciles and quartiles.
Please see Appendix B – SageView Investment Ranking Criteria for more detail.
Peer group rankings generally require a three-year history to ensure an accurate evaluation of the
investment alternative. Any investment alternative with fewer than three years of history will
generally not be evaluated using this method. In the event there is a sufficiently similar investment
alternative, the Committee may elect to use its history for evaluation purposes. Sufficiently similar
investment alternatives may include:
• Alternate share classes of the same product.
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• Other products, such as collective investment trusts (CITs), separate accounts or
recordkeeper sub-advised investment alternatives, that are managed by the same portfolio
management team according to a substantially similar investment strategy.
In addition to the quantitative methodology described in Appendix B, many qualitative criteria and
possible warning signs are monitored in order to highlight an investment alternative’s potential
exposure to risk that may make it unsuitable as a retirement Plan investment option. The warning
signs may include (but are not limited to):
 Above-average operating expenses
 Above-average style drift (as determined by returns-based and holdings-based analyses)
 High degrees of portfolio concentration among individual holdings
 High degrees of portfolio concentration among economic sectors
 Above-average performance volatility
 Above-average portfolio turnover
 Below-average Alpha
 Below-average manager tenure and/or above-average turnover
 Rapid growth in assets
 Significantly positive or negative cash flows
 Unusual levels of corporate scrutiny; poor public perception
 For bond portfolios, very low average credit quality relative to peers
 For bond portfolios, significantly above- or below-average portfolio durations
 Recent changes to or concerns with the firm structure / ownership
 Recent changes to or concerns with the corporate management team structure
Other Investment Evaluation Criteria
The Committee recognizes that certain investment alternatives present challenges in monitoring,
given the nature of the investment alternative’s portfolio and peer group. Thus, there are several
instances where investment alternatives will not fit neatly into the monitoring framework set forth
herein. Therefore, the Committee must consider additional or different factors when evaluating
certain investments. The following are common examples of investments requiring a different point
of view, whether the Committee has included them in the current menu or may consider doing so
in the future.
Multi-asset class investments. For multi-asset class investment alternatives, such as target-date
funds, the asset allocation and glide path should be evaluated taking into account factors such as
generally accepted investment theories and prevailing investment industry practices, and goals of
the plan, the philosophy of the fiduciaries regarding asset class diversification and the desired
relationship of risk (or volatility) and potential return, and the needs and abilities of the participants
and beneficiaries. The Committee, with the assistance of the Investment Consultant, expects to
engage in a process to identify and consider those goals, preferences, needs and abilities and to
select a default investment (if a default is necessary) consistent with that analysis.
As the process for comparing multi-asset class investments, including target-date or Risk-Based
funds, differs from the process used for other investment selections in several respects. Criteria
listed elsewhere in this Investment Policy Statement may not apply to those particular investments.
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Index fund. The goal of an index fund is to closely mirror the performance of a predetermined index
at a reasonable cost. The criteria which may be used to evaluate index funds is set forth in
Appendix C and may be updated from time-to-time at the Committee’s discretion.
Each index fund will be compared to a standard index for its respective category classification and
assigned a ranking in each of the four criterions. The rankings for all criteria are then weighted and
averaged to give an investment alternative its average ranking score. Index funds with an average
ranking score in the top 75% of the investment alternative’s in a category are given a passing score
(“Pass”), while investment alternatives below in the lowest 25% of investment alternatives are
given a failing score (“Fail”).
Stable value investments: The goal of a stable value fund is to preserve capital. Stable value
investments come in several structures: pooled/comingled funds, insurance separate accounts,
and guaranteed investment contracts (GICs)/insurance general accounts or derivatives thereof.
One investment characteristic of these products is their investment in various sectors of the bond
market. Thus, part of the evaluation will hinge on the evaluation of the underlying bond portfolio.
The other important characteristic is financial credit worthiness of the insurance companies that
issue wrap contracts to protect the book value of the bond portfolios. Some additional unique
(albeit not exhaustive) metrics and characteristics that warrant evaluation include market-to-book
value ratio, participant /plan sponsor withdrawal restrictions, crediting rate and wrap structure.
For insurance general accounts, the Committee should at a minimum review the crediting rate,
withdrawal restrictions, and credit worthiness ratings of the insurer.
In addition, the Committee shall maintain a “Watch List” for investment alternatives that are not
meeting certain objectives. An investment alternative may be placed on the “Watch List” when the
Committee and/or the Investment Consultant determines that the fund selected for the Plan fails
to meet the performance benchmarks set forth above in the Evaluation Methodology for some
period of time to be determined by the Investment Consultant and Committee.
The Committee may consider the following procedure for the Watch List:
Whenever an investment alternative falls into the 3rd quartile based on SageView’s scoring
system, it may be placed on the Watch List. The alternative will be monitored and may remain
on the Watch List for four consecutive quarters, even if its performance improves. If the
alternative remains in the 3rd quartile for four consecutive quarters, a detailed review of the
alternative should be made and a recommendation to replace or retain the alternative should
be presented to the Committee. The alternative may be reviewed sooner at the Committee’s
discretion.
Whenever an investment alternative falls into the 4th quartile based on SageView’s scoring
system, a detailed review of the alternative should be made at the next Committee meeting,
and a recommendation to replace (or retain) the fund should be presented.
Investment alternatives that fail to meet qualitative criteria (i.e.: manager changes, fund
company reorganizations, strategy changes) may also be put on the Watch List by the
Committee.
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The Committee shall have the authority to establish, modify, amend, or adjust acceptable
performance measurement standards by which each investment alternative is to be evaluated.
Final selection, replacement and/or removal of an investment alternative shall be completed only
after conducting a thorough review of the identified investment alternative.
Note: The provisions of this Investment Policy Statement are guidelines only. The fiduciaries are
not required to follow them. Instead, fiduciaries are expected to exercise independent judgment
for the benefit of the participants.
Monitoring of Investment Policy and Investment Performance
The Committee, with the assistance of the Investment Consultant, will review the Plan’s Investment
Policy and monitor each investment alternative on an ongoing basis. The Committee reserves the
right to amend the Investment Policy Statement at any time it deems such amendment to be
necessary or to comply with changes in applicable law as these changes affect the investment of
the Plan’s assets. Until revised or amended by the Committee, the Investment Policy Statement
shall remain in effect.
If there is any conflict between the Investment Policy Statement and the Plan, the terms and
conditions of the Plan will control.
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ADOPTION
Maricopa County Retirement Plan Committee Members:
{UPDATE COMMITTEE MEMBERS LIST OF NAMES IF AVAILABLE, ODD NUMBER SUGGESTED}
____________________________________ _________________________ March 1, 2021
Charlotte Marz (Date)
____________________________________ _________________________ March 1, 2021
Michael Fulton (Date)
_________________________________ _________________________ March 1, 2021
Jan Plank (Date)
____________________________________ _________________________ March 1, 2021
Bridget Harper (Date)
____________________________________ _________________________ March 1, 2021
Frances Dairman (Date)
____________________________________ _________________________ March 1, 2021
Max Porter (Date)
____________________________________ _________________________ March 1, 2021
Lee Ann Bohn (Date)
____________________________________ _________________________ March 1, 2021
Alicia Snarr (Date)
____________________________________ _________________________ March 1, 2021
Monica Pimentel (Date)
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APPENDIX A – Categories and Benchmarks
Investment categories are defined based on their Morningstar category classifications, which also
serve as the peer groups against which investments are assessed. The following list of investment
categories and their corresponding benchmarks which may be used in the investment alternative
evaluation process, includes but is not limited to:
Investment Alternative Benchmark/Index
Category
Money Market-Taxable ICE Bank of America Merrill Lynch 3-Month Treasury Bill Index
ICE Bank of America Merrill Lynch 3-Month Treasury Bill Index
Stable Value Bloomberg Barclays Stable Income Market Index
ICE Bank of America Merrill Lynch 3-Month Treasury Bill Index
Guaranteed Account Bloomberg Barclays Stable Income Market Index
Bond
Ultrashort Bond Bloomberg Barclays US Govt/Credit 1-3 Yr TR USD
Short-Term Bond Bloomberg Barclays US Govt/Credit 1-3 Yr TR USD
Short Government Bloomberg Barclays Government 1-5 Yr TR USD
Intermediate Government Bloomberg Barclays US Govt/Mortgage TR USD
Intermediate Core Bond Bloomberg Barclays US Agg Bond TR USD
Intermediate Core-Plus Bond Bloomberg Barclays US Agg Bond TR USD
Long Government Bloomberg Barclays US Government Long TR USD
Long-Term Bond Bloomberg Barclays US Govt/Credit Long TR USD
Inflation-Protected Bond Bloomberg Barclays US Treasury US TIPS TR USD
Corporate Bond Bloomberg Barclays US Credit TR USD
Multisector Bond Bloomberg Barclays US Agg Bond TR USD
High Yield Bond Bloomberg Barclays US HY 2% Issuer Cap TR USD
Bank Loan Credit Suisse Leveraged Loan TR USD
World Bond Bloomberg Barclays Global Aggregate TR USD
Emerging Markets Bond JPM EMBI Global TR USD
Nontraditional Bond Wilshire Liquid Alts TR
Large Cap
Large Value Russell 1000 Value TR USD
Large Blend S&P 500 Index
Russell 3000 Index
CRSP U.S. Total Market Index
Large Growth Russell 1000 Growth TR USD
Mid-Cap
Mid-Cap Value Russell Mid Cap Value TR USD
Mid-Cap Blend Russell Mid Cap TR USD
S&P Mid Cap 400 Index
MSCI U.S. Mid Cap 450 Index
CRSP U.S. Mid Cap Index
S&P Completion Index
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Investment Alternative Benchmark/Index
Category
DJ US Completion Total Stock Market Index
Mid-Cap Growth Russell Mid Cap Growth TR USD
Small-Cap
Small Value Russell 2000 Value TR USD
Small Cap Blend Russell 2000 TR USD
S&P Small Cap 600 Index
MSCI U.S. Small Cap 1750 Index
CRSP U.S. Small Cap Index
Small Growth Russell 2000 Growth TR USD
World Stock
World Stock MSCI ACWI NR USD
International
Foreign Large Value MSCI ACWI ex USA Value NR USD
Foreign Large Blend MSCI ACWI ex USA NR USD
Foreign Large Growth MSCI ACWI ex USA Growth NR USD
Foreign Small/Mid Value MSCI ACWI ex USA SMID Value NR USD
Foreign Small/Mid Blend MSCI ACWI ex USA SMID NR USD
Foreign Small/Mid Growth MSCI ACWI ex USA SMID Growth NR USD
Diversified Emerging Markets MSCI EM NR USD
Target Date
Target Date S&P Target Date Indexes
Risk-based/Hybrid
Allocation—15% to 30% Equity 23% Russell 3000 TR USD/77% Bloomberg Barclays US Agg
Bond TR USD
Allocation—30% to 50% Equity 40% Russell 3000 TR USD/60% Bloomberg Barclays US Agg
Bond TR USD
Allocation 50% to 70% Equity 60% Russell 3000 TR USD/40% Bloomberg Barclays US Agg
Bond TR USD
Allocation—70% to 85% Equity 78% Russell 3000 TR USD/22% Bloomberg Barclays US Agg
Bond TR USD
Allocation—85%+ Equity 93% Russell 3000 TR USD/7% Bloomberg Barclays US Agg
Bond TR USD
World Allocation 60% MSCI ACWI NR/40% Bloomberg Barclays Global Agg TR
Specialty
Real Estate FTSE NAREIT Equity REITs TR USD
Global Real Estate FTSE EPRA/NAREIT Developed NR USD
Commodities Broad Basket Bloomberg Commodity TR USD
Long-Short Equity Barclay Hedge Fund Index
Market Neutral BofAML US Treasury Bill 3 Mon TR USD
Multialternative Wilshire Liquid Alts TR
Natural Resources S&P North American Natural Resources TR
Tactical Allocation 50% MSCI ACWI NR / 50% Bloomberg Barclays US Agg Bond
TR USD
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Appendix updated: November 2020
APPENDIX B –SageView Investment Ranking Criteria
The criteria used to evaluate each plan investment alternative, except as otherwise noted in the
Investment Policy Statement, may include, but not limited to, the following:
1. Total Return (trailing 1, 3, 5 and 10 year returns) – measures the performance of an
investment over a given period, including income from dividends and interest, plus any
appreciation or depreciation in the market value of the investment. Total return values
longer than 1 year are typically annualized for ease of comparison.
2. Rolling Period Returns – A single period return measures performance over one specified
time frame, such as five years. A rolling period return divides a longer time frame into
smaller time periods. A rolling 12-month return over five years would start out by calculating
a single period return over the first twelve months. Next, it would calculate the 12-month
return for months 2-13. The process would continue until finally reaching the 12-month
period spanning months 48-60. The final rolling 12-month return figure would reflect the
average of all of the rolling periods returns over that five-year time period.
3. Batting Average – Batting average is calculated by (1) tallying the number of months in a
given observation window where the investment return is greater than the return of the peer
group median return and (2) dividing this amount by the total number of months in the
observation window. The result is a ratio that ranges between 0 and 1. A batting average of
greater than 0.50 signifies that the investment has outperformed the peer group more
frequently than it has underperformed, irrespective of the magnitude of any
outperformance or underperformance. A 10-year observation window is used in calculating
batting average, unless the investment does not have sufficient performance history, in
which case an inception-to-date figure is calculated.
4. Modified Sharpe Ratio – The standard Sharpe Ratio calculation is calculated by subtracting
the risk-free rate of return (the US Treasury Bill is typically used) from the portfolio return
and dividing the result by the portfolio’s standard deviation. A higher Sharpe ratio indicates
that the portfolio was able to generate a higher return per unit of risk. Modified Sharpe
Ratio is a related statistic that is equal to the Sharpe Ratio under normal circumstances.
However, the Modified Sharpe calculation adds an exponent to the denominator that
effectively raises the denominator to the -1 power in circumstances in which an
investment’s excess return is negative. This modification ensures that investments with
both negative excess returns and higher standard deviations rank lower than investment
with negative excess returns and lower standard deviations. Under the standard Sharpe
Ratio calculation, the opposite is true.
5. Alpha – A risk-adjusted measure of performance, that is equal to the difference between a
portfolio’s actual return and its expected performance given its level of risk as measured
by beta. Alpha can also be viewed as an abnormal level of return in excess of what might
be predicted by an equilibrium pricing model like the Capital Asset Pricing Model (CAPM).
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6. Up Market Capture Ratio – A ratio that measures the overall performance of a portfolio
during rising markets. This measure analyzes how well a portfolio (or an investment
manager) performed relative to its benchmark index during periods when the benchmark
rose. For example, an up-market capture ratio of 108% (for a given period of time) means
that the portfolio gained 8% more than its benchmark during the specified time period.
7. Down Market Capture Ratio – A ratio that measures the overall performance of a portfolio
during falling markets. This measure analyzes how well a portfolio (or an investment
manager) performed relative to its benchmark index during periods when the benchmark
fell. For example, a down-market capture ratio of 95% (for a given period of time) means
that the portfolio lost 5% less than its benchmark during the specified time period.
8. R-Squared (style consistency) – A statistical measure that ranges from zero to 100 and
measures the percentage of portfolio’s performance that is explained by the movement of
its benchmark index. R-Squared is helpful in assessing the reliability of alpha and beta in
explaining a portfolio risk and return characteristics. An r-squared of 100 would mean that
the portfolio’s performance movements are perfectly correlated with those of the
benchmark over time and would suggest that alpha and beta may be relied upon with a
high degree of confidence.
9. Expense Ratio – The percentage of investment alternative assets, net of reimbursements,
used to pay for operating expenses and management fees, including 12b-1 fees,
administrative fees, and all other asset-based costs incurred by the investment alternative,
except brokerage costs. Investment alternative expenses are reflected in the alternative's
NAV. Sales charges are not included in the expense ratio. The Prospectus Net Expense Ratio
is collected annually from an alternative's prospectus.
Appendix updated: November 2020
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APPENDIX C –SageView Index Funds Ranking Criteria
The criteria used to evaluate each Index Fund alternative may include, but not limited to, the
following:
1. Expense Ratio – The percentage of investment alternative assets, net of reimbursements,
used to pay for operating expenses and management fees, including 12b-1 fees,
administrative fees, and all other asset-based costs incurred by the investment alternative,
except brokerage costs. Investment alternative expenses are reflected in the alternative's
NAV. Sales charges are not included in the expense ratio. The Prospectus Net Expense Ratio
is collected annually from an alternative's prospectus.
2. Tracking Error – A measure of the difference in returns between an investment and a
benchmark. Tracking error is reported as a standard deviation of the difference between
the returns of an investment and its benchmark.
3. R-Squared – A statistical metric that ranges from zero to 100 and measures the percentage
of portfolio’s performance that is explained by the movement of its benchmark index. R-
Squared is helpful in assessing the reliability of alpha and beta in explaining a portfolio risk
and return characteristics. An r-squared of 100 would mean that the portfolio’s
performance movements are perfectly correlated with those of the benchmark over time
and would suggest that alpha and beta may be relied upon with a high degree of confidence.
4. Beta – A measure of the volatility, or systematic risk, of an investment in comparison to a
market index as a whole. Beta is calculated using regression analysis. Beta represents the
tendency of an investment’s returns to respond to moves in the market or index that it’s
calculated against. A beta of 1 indicates that the investment’s price moves with the market.
A beta of less than 1 means that the investment is theoretically less volatile than the
market. A beta of greater than 1 indicates that the investment’s price is theoretically more
volatile than the market. The reliability of an investment’s beta is a function of the
investment’s r-squared value in relation to the benchmark. A high r-squared value signifies
that the beta measures is reliable, while a low r-squared signifies that it is potentially
inaccurate.
Appendix updated: November 2020
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