Section_J_Attachment_II_-_REIT_July_29_2015.docx

ATTACHMENT II – TECHNICAL APPROACH - QUESTIONNAIRE

Offerors are instructed to answer each question below thoroughly. For each table embedded in the questions below, please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the Offeror has completed the tables in the required Excel format, the Offeror shall replicate the tables under the corresponding questions in Section J, Attachments II and II as part of the proposal submission. Offerors shall also ensure that the populated Tables in Attachments II and III are completely legible within its proposal. Offerors shall not edit any of the existing formats of the spreadsheets except if required for Table 2 and/or Table 4. See Section L.5.

A. INVESTMENT PHILOSOPHY

1. Describe your investment philosophy, including your basic investment beliefs and assumptions reflected in your investment strategy. Please discuss your views about market efficiency in the U.S. REIT sector.

2. Why do you believe this philosophy will be successful in the future? Provide any evidence or research that supports this belief.

3. Describe your investment strategy (e.g., bottom-up, top-down, fundamental, quantitative, etc.) in detail, the performance objectives the strategy seeks to achieve, the benchmark against which the strategy has historically been managed against, and the benchmark with the highest correlation to the 1, 3 and 5 year performance record of the strategy.

4. Explain how you earn excess return. Describe the unique competencies of your firm. What are the sources of value-added performance (e.g., security selection, sector selection, geographic exposure, market timing, information advantage, etc.) of this strategy? What is your expected excess return over the required benchmark (the FTSE NAREIT Equity REITs Index)?

5. Describe the circumstances or market conditions that would favor the prospective return, on both a relative and absolute basis, of your investment strategy. Under what conditions would you expect diminished prospective return potential for your investment strategy, and how would you position your portfolio in such an environment?

B. INVESTMENT PROCESS

1. Describe how you source investment ideas:

a. What is the universe of securities considered for investment? Are there any non-benchmark areas that you normally include in your investable universe or benchmark areas that you normally exclude?

b. What is the fund’s market capitalization focus?

c. What securities do you exclude from the investment universe (e.g., what is the market cap or average daily volume that is too small to invest in)? What sectors or industries do you exclude?

d. What types of public real estate (e.g., equity REITs, REOCs, mortgage REITs) are used and in what proportion?

e. Describe how you generate investment ideas and what sources are used. Do you identify major secular trends to guide the search process? What proportion of total investment ideas are identified internally? To what extent do you use external sources to generate investment ideas and, if so, what are those sources?

f. Describe any quantitative screening used, the factors screened, and why those factors are considered important in identifying superior investments.

2. Describe your investment research process:

a. What are the specific purposes of internal research activities (e.g., confirm intrinsic value, estimate free cash flow, estimate total expected return, perform stress tests on cash flow, etc.)?

b. Describe the structure and organization of your firm’s research capability. Are the research analysts centralized or dedicated to this mandate or team? If research coverage is specialized, please indicate the segregation of coverage within the team. State the location(s) where such research is carried out and what specific research is conducted at each location. Please include biographies for each member of your research team within the staffing section of the RFP.

c. What research activities (e.g., rigorous financial analysis, company/property visits, market analysis, etc.) are conducted to evaluate investment ideas? Please be specific. What output is produced (e.g., investment reports, financial forecast spreadsheets, occupancy models, etc.)? Is a detailed financial model prepared and updated for each investment candidate and portfolio company? Please provide a representative sample of your research product.

d. How is research disseminated and evaluated? Are there recurring meetings to review investment recommendations or is the process more ad hoc and fluid? What recurring meetings/disciplines support the investment process?

e. Does your research process incorporate top-down macroeconomic information used to determine portfolio positioning or factor exposure such as beta, sector, inflation sensitivity, interest rate sensitivity, or size? If so, please describe.

i. What data sources do you use to inform sector weighting or inflation or interest rate sensitivity?

ii. What is you comparative advantage in interpreting this macro information?

iii. How do you evaluate the effectiveness of your macro calls in your attribution?

f. Describe how you cover your investable universe. How is ongoing monitoring conducted once invested?

g. If your strategy relies on quantitative models or screens to generate research ideas, alpha signals or to assist in portfolio construction, please answer the following questions concerning data collection:

i. What data sources do you rely on for 1) financial data; 2) company-specific information; 3) market valuation tools (e.g. HOLT); 4) market technical (e.g. price momentum, STARMINE for consensus estimates); 5) other investment data such as bond prices or underlying derivatives; 6) other (e.g. S&P rankings)?

ii. Are you accessing proprietary data not available to the outside public?

iii. Please articulate what makes your information gathering process unique relative to other strategies that rely on quantitative models.

iv. What kind of back-end checks do you incorporate to ascertain the quality and the meaningfulness of data?

h. Describe the major investment research and technology initiatives implemented in the past three years. How did these initiatives enhance your firm’s capabilities?

i. Describe how the firm evaluates its internal investment research effort and ensures consistent and uniform adherence to high due diligence standards by all its analysts. Describe how the firm achieves and maintains an information advantage through its research effort.

3. Describe your security selection and divestment process.

a. What has been the idea generation rate for each of the past 3 years (since 06/30/12)? Specifically, how many eligible investment recommendations were made by analysts supporting the portfolio in each of the past 3 years?

b. Describe the decision-making process for the purchase of a security. Who is involved in considering the security for purchase? What information is considered? Is technical analysis considered? What criteria must be satisfied to purchase a security? Who makes the final decision to invest in or reject a proposed investment?

c. Describe the decision-making process for the sale of a portfolio holding. Who is involved in considering the sale of a position? What information is considered? Is technical analysis considered? What criteria must be satisfied to sell a security? Who makes the final decision to sell a security? Describe your sell discipline.

d. Do you expect to add value by trading around positions based on price movements? Do you tend to let your winners run and occupy the largest weights in the portfolio, or do you actively reinvest into positions with more uncertainty, but more upside?

e. Describe the following attributes in terms of relative important in your evaluation of a security. Discuss how you evaluate each attribute:

i. Region selection

ii. Company Focus/Strategy

iii. Management Quality

iv. Property Quality

v. Capital Structure/Balance Sheet

vi. Price

vii. Other (please specify)

4. Describe the role of quantitative modeling within the investment process if applicable.

a. Provide a brief description of the underlying factors used to model return expectations along with the forecasting techniques used to process the data.

b. How dynamic is the process with respect to weightings, factor choices and modeling techniques?

c. Why do you believe your approach to modeling publicly available information is superior to your competitors? How are you processing information such a fashion that can be considered proprietary versus a straight factor-loading approach?

d. What qualitative information or subjective judgments do you incorporate into the modeling process? If applicable, please provide an example of a past qualitative input or instance where the model was overridden.

e. Does your process seek to formulate investment rationales for highly-ranked or bottom-ranked securities or assets before portfolio implementation? How do you treat information that is not easily “captured” by the model?

f. How often are model forecasts generated?

g. Please describe the process for enhancing your quantitative model(s).

h. With what frequency is the model(s) reviewed for enhancement?

i. Please provide a timeline of past enhancements to your model(s).

5. Describe your portfolio construction and management process.

a. How many securities are typically held in your portfolio? What is the average position size? What is the average holding period for an individual security?

b. Describe how your firm’s investment process evaluates liquidity constraints for the subject product’s universe of stocks. What rules does the firm employ in its process to ensure an appropriate level of liquidity exists for the portfolio holdings? Does liquidity affect the level of turnover in the portfolio? In the past, has there been an adjustment to the firm’s process to address liquidity limitations due to growth of the size of its assets under management?

c. What is the expected level of annual portfolio turnover of the strategy (both name and dollar terms) over a full market cycle?

d. Describe the quantitative and qualitative process used to establish and manage exposure levels in a portfolio to maximize risk-adjusted returns. Who determines security and sector weightings? How are those exposures established and changed? What factors are considered in making those decisions?

e. Describe how you use benchmark tracking error to construct and manage a portfolio.

f. Describe in detail your use of derivative instruments (e.g., options, futures, forwards, ETFs, etc.) to manage portfolio exposures, achieve performance objectives, or modify portfolio or security risk. Discuss how such investments contribute to implementing successfully your investment strategy. Explain the risks involved in using derivatives.

g. What is the role of cash in your portfolio? Do you adjust cash levels to manage portfolio risk? Would you accept a 5% cash constraint? If not, why? Please fill out in the table below:

Table 1 – Extent of Cash Holdings in the Portfolio by Year*

Average %

Maximum %

Minimum %

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

h. To what extent, and in what form, does your strategy rely on the use of financial leverage to achieve its objectives, if at all?

6. Describe your portfolio monitoring and evaluation process.

a. Describe what activities and analysis you conduct to evaluate the performance of your portfolio and to improve your investment process. How frequent in this self-evaluation conducted?

b. Provide a geographic breakdown of BOTH the proposed product and its benchmark in the table below. Please also provide in an excel format and specify the benchmark used.

Table 2 – Regional Exposure (%) of Portfolio and Benchmark by Quarter*

If these regional categories do not conform to your stated benchmark, you may alter the regional categories to fit the benchmark.

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

c. Provide the portfolio characteristics for BOTH the proposed product and its benchmark in the table below for the given periods. Please also provide in an excel format and specify the benchmark used.

Table 3 –Statistics of Portfolio and Benchmark by Quarter*

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

Provide the sector allocations of BOTH the proposed product and its benchmark at the end of the periods indicated in the following table. Please also provide in an excel format and specify the benchmark used.

Table 4 – Sector Exposure (%) of Portfolio and Benchmark by Quarter*

If these property sector categories do not conform to your stated benchmark, you may alter the property sector categories to fit the benchmark.

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

7. Please provide your internal guidelines for the proposed product under a fully discretionary basis.

a. What are the maximum and minimum security and sector exposures versus the benchmark? What is the maximum and minimum number of securities allowed?

b. What is the permissible range of exposures to out of benchmark securities? What is the formal constraint?

8. Under what circumstances would your firm deviate from its discipline?

9. Provide the market capitalization percentage breakdown for the holdings in the subject product and benchmark for the following ending periods.

Table 5 – Market Capitalization Exposure (%) of Portfolio and Benchmark by Quarter*

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

C. BENCHMARK

1. What index/benchmark is recommended for performance evaluation purposes for the subject product you would manage?

a. What specific factors led to the selection of this recommended index/benchmark?

b. State the associated pros and cons of the recommended benchmark.

2. What is the expected annualized tracking error for the anticipated portfolio over a one-year period and over a market cycle (i.e., 3 to 5 years)? How is tracking error measured and managed?

3. If the benchmark that the proposed product has historically been benchmarked to is different than PBGC’s preferred benchmark (FTSE NAREIT Equity REITs Index), describe how you intend to manage the portfolio against PBGC’s benchmark. How will the investment process change? Will alpha and tracking error targets be affected?

D. PORTFOLO RISK MANAGEMENT

1. Briefly describe your risk control procedures for the total portfolio. Please distinguish the portfolio management process from the security selection process.

2. Describe any risk measurement models used and how this analysis is incorporated in the portfolio management process. Do you explicitly constrain systematic factor risk (e.g. market risk, size, style, etc.)?

3. Describe the use of stress testing or scenario analysis in managing the portfolio.

4. Does the investment process incorporate discreet risk parameters (e.g., standard deviation, drawdown potential, etc.)? If so, describe any acceptable tolerances for those parameters for this Product.

5. Describe the use of any other quantitative tools or models (not covered above) used in managing and monitoring the portfolio.

6. Do you use an optimizer for portfolio construction? If so, please discuss your optimization process. How often is the portfolio rebalanced and what is the process for doing so?

7. Who is responsible for risk monitoring? Do you maintain an internal, dedicated risk team? If so, who does that team report to and what is the process for monitoring and effecting portfolio changes when necessary? Please describe the interaction between risk professionals within your firm and the investment team responsible for this strategy. Provide an example of a risk report for the proposed REIT fund.

8. Describe your process for managing and monitoring liquidity.

E. TRADING

1. Is your firm, its parent, or other affiliates a broker/dealer?

a. Does your firm trade for client accounts through this broker/dealer?

b. If so, state how much trading, and the reason for trading with this related party.

2. Outline your internal trading capabilities, as follows:

a. Number and experience of trading staff. Is the trading staff segmented by product/asset class?

b. Number of dedicated REIT traders. Describe their experience and tenure at the firm as well as the sector(s) they are responsible for trading. Provide biographical information of the senior trading personnel in an attachment.

c. Current actual trading volume.

d. Current capability for trading volume and asset levels.

e. Procedures for monitoring and minimizing trading costs of securities. Are external transactions cost analysis firms used? Which ones?

3. Provide your estimate of average commissions per share, market impact per share, and any other transaction and custodian costs incurred for the different types of trades you have executed for this subject product.

4. In what instances would you use proxy securities to build your desired portfolio (e.g. ETFs, futures)?

5. Discuss your policy regarding, and current use of, "soft dollars", directed trades and recapture programs. If you have soft dollar relationships with broker-dealers, disclose the percent of trades executed tied to soft dollar relationships and a list of resources funded by soft dollars.

6. Provide a description of your trading platform, including systems (proprietary and off-the-shelf) for execution and processing. Describe the allocation objectives and implementation procedures across all accounts. What is the process by which trades are allocated? Describe both the tactic of allocating the initial trade as well as the strategy of building positions across accounts.

7. Describe how you monitor compliance with client and firm guidelines, including systems/software you use. What processes do you have in place for ensuring pre- and post-trade guideline compliance? What functions are automated? What process do you have in place for human verification? Who signs off on final trading? Describe the oversight procedures that would minimize the risk of traders acting outside of their given latitude in executing trades.

8. Has your firm violated an investment guideline over the past three years? Explain the violation(s) and how the issue(s) was (were) resolved.

9. Indicate any enhancements your firm is contemplating to its REIT trading capabilities.

10. Does your firm affirm its own trades? If not, who does and why?

11. For the subject product, provide a summary of trade execution performance over the last year. Describe how performance is measured and indicate if this is evaluated internally or externally. If externally, what service or services are used? Include details on how this information is integrated into the overall trading strategy.

F. CUSTODY

1. PBGC prefers to invest in a separate account for this mandate. What type of investment structure is your firm proposing for the subject fund (separate account or commingled trust fund)? Is your firm amenable to opening a separate account?

2. If a commingled trust fund structure is proposed, where is the fund custodied? Is the custodian affiliated with you? How many years has the firm been in the custody business? Provide total assets and equity assets in custody by year, for each of the past 5 calendar years.

3. If a commingled trust fund structure is proposed, please provide a copy of the trust agreement, any trust fund prospectus or offering documents, and any other commingled fund documentation.

G. PROXY VOTING

1. Describe your proxy voting process.

2. Do you use third parties to assist in the process?

3. Do you have a committee that sets proxy voting policies? If so, name the members, their titles and provide bios.

4. Do you have a separate committee that addresses proxy votes? If so, name the members, their titles and provide bios.

5. Please provide a copy of your most recent proxy voting policies.

6. Describe situations where you are likely to vote against management’s recommendation on a proxy vote.

H. SAMPLE PORTFOLIO

1. Submit a sample portfolio as of 06/30/15, in the following format, for the proposed product. Provide in an Excel spreadsheet.

CUSIP #

Cost

Total Market Value

Table 6 – Portfolio Holdings as of 06/30/2015*

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

I. PERFORMANCE (Simulated results are not acceptable.)

(Note: All performance data must also be provided on a computer disk in a Microsoft Excel file where all formulas are visible.)

Provide quarterly, annual and long-term performance on a total return basis in a manner consistent with the Global Investment Performance Standards (GIPS) as espoused by the Chartered Financial Analyst Institute (CFAI) to the extent possible.

1. Provide quarterly and annual performance on a total return basis GROSS OF FEES for the proposed product in a manner consistent with the Global Investment Performance Standards (GIPS) as espoused by the Chartered Financial Analyst Institute (CFAI) to the extent possible. Provide necessary certifications that all performance is GIPS compliant. If they are not compliant, explain why not. Simulated returns are not acceptable and the proposed active U.S. REIT strategy must include a continuous track record. In the table, please provide data to at least two decimal places. Please use composite performance and present all performance data against the composite’s stated benchmark (the benchmark used to calculate the information ratio in Volume I, Mandatories).

Table 7 – Performance of Portfolio and Benchmark by Month, Quarter, Year and Annual Statistics* Quarterly Returns

Annual Returns

Additional Annual Statistics

Qtr end

Year End

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

2. Provide the same information on an annualized basis over the following periods. List the inception date of the product.

Table 8 – Annualized Returns of Portfolio and Benchmark*

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

3. Provide in the format below the annual returns for the best and worst performing accounts contained in the above composite. Please use GIPS standards

Table 9 – Annualized Returns of Best and Worst Performing Portfolios in Relevant Composite* Subject Product Performance Annualized Returns

YTD 2015

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

4. Provide the average of all rolling 36-month Information Ratios over the last ten years, or since inception if track record is less than ten years through 06/30/15, using the methodology below: (Please attach an excel spreadsheet formatted as follows.)

Table 10 – Rolling 36 Month Information Ratio Calculation*

The rolling 36-month average Information Ratio must be calculated as follows: calculate the monthly geometric[footnoteRef:1] excess return for each month of performance. Then, calculate the annualized 36-month excess return for each rolling 36-month period. Divide this by the annualized standard deviation[footnoteRef:2] of excess returns for each rolling 36-month period. Finally, calculate a simple average of these results. For example, if the product has 24 rolling 36-month periods since inception, provide the simple average of those 24 Information Ratios. [1: Geometric Excess ((1+A/100)/(1+B/100))-1 A – Monthly Product Return B – Monthly Index Return ] [2: To annualize risk – must multiply by square root of 12 (for monthly)]

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

5. Please provide the key risk statistics (using a monthly basis) of the product in the table below. (See definitions and required formulas in your calculations below the table).

Table 11 – Risk Statistics for 3, 5, 10 Year and Since Inception Timeframes*

Alpha

Beta

R2

Up-Market Capture

Down-Market Capture

Standard Deviation - Portfolio

Standard Deviation - Benchmark

Tracking Error

Information Ratio

Sharpe Ratio

"Batting Average"

Alpha - The incremental return of a portfolio over the benchmark.

Alpha (α) = X - Y X = the annualized return for the manager Y = the annualized return for the index

Beta - This is a measure of a portfolio’s volatility. Statistically, beta is the covariance of the portfolio in relation to the market.

Beta (β) = [(n)*Σ(xi*yi)] - (Σ xi)(Σ yi)]/[(n)*Σ(yi2) – (Σ yi) 2] n = the number of observations xi = the return of the first data series (ith observation) yi = the return of the second data series (ith observation) Generally, xi = the portfolio's return series and yi will be a specified index (benchmark)

R-Squared - Otherwise known as the Coefficient of Determination, this statistic, like beta, is a measure of a portfolio’s movement in relation to the appropriate benchmark.

R-Squared = (r)2

(r) = {[(n)*Σ (xi*yi)] - (Σ xi)(Σ yi)}/{[(n)*Σ(yi2) - (Σ yi)] *[(n)*Σ(xi2) - (Σ xi)]} n = the number of observations xi = the return of the first data series (ith observation) yi = the return of the second data series (ith observation) Generally, xi = the manager's return series and yi will be a specified index (benchmark)

Upside Market Capture Ratio - A measure of the portfolio’s performance in up markets relative to the market itself. The return for the market for each quarter is considered an up market if it is greater than or equal to zero. The Upside Capture Ratio is calculated by dividing the return of the portfolio during the up market periods by the return of the market for the same period. The number of up periods for a given series (x1, … , xn) is the number of positive (and zero) returns in the series.

UMC Ratio = { (1+Rm1)*(1+Rmi)^1/N } – 1/{ (1+Ry1)*(1+Ryi)^1/N } – 1 Rm = return for time period when benchmark (Ry) is positive or zero N = Number of years (e.g. 6 quarters = 1.5 years; 20 months = 1.667 years)

Downside Market Capture Ratio - A measure of the portfolio’s performance in down markets relative to the market itself. A market is considered down if the return for the benchmark is less than zero. The Downside Capture Ratio is calculated by dividing the return of the portfolio during the down market periods by the return of the market during the same periods. The number of down periods for a given series (x1, … , xn) is the number of negative returns in the series.

DMC Ratio = { (1+Rm1)*(1+Rmi)^1/N } – 1/{ (1+Ry1)*(1+Ryi)^1/N } – 1 Rm = return for time period when benchmark (Ry) is negative N = Number of years (e.g. 6 quarters = 1.5 years; 20 months = 1.667 years)

Standard Deviation - A measure of the average deviations of a return series from its mean.

StDev = [[ Σ (xi-X)2 ] ½]/n Ann StDev = SD * √(Ny) xi = the ith observation X = mean return for series n = the number of observations Ny = the number of periods in a year (4 if quarterly data, 12 if monthly data)

Tracking Error – The standard deviation of the excess returns of the portfolio versus its benchmark.

Information Ratio - This statistic is computed by subtracting the return of the market from the return of the portfolio to determine the excess return. The excess return is then divided by the standard deviation of the excess returns (or Tracking Error) to produce the information ratio.

IR = Excess Return/Tracking Error

Excess Return = Annualized Manager Return - Annualized Index Return Tracking Error = Standard Deviation of Excess Return

Sharpe Ratio - This statistic is computed by subtracting the return of the risk-free index (typically 91-day T-bill or some other cash benchmark) from the return of the portfolio to determine the risk-adjusted excess return. This excess return is then divided by the standard deviation of the portfolio.

Sharpe = [Ann Rtn(x) – Ann Rtn(Rf)]/Standard Deviation of x

Batting Average - Batting average is a measure of the frequency of success. This ratio is calculated by taking the number of periods where the portfolio equals or outperforms the selected benchmark, divided by the total number of periods.

Batting Average = numOutperform/numTotal numOutperform = the number of observations where the portfolio outperforms the benchmark numTotal = the number of total observations

* Please fill out the corresponding table within the provided Excel file, named “Section J Attachment IV REIT Tables – FIRM NAME.” Once the table is completed in the required Excel format, the Offeror shall replicate the data in the table above. See Section L.5.

6. If you have done an attribution analysis of your proposed product’s investment return variance (both positive and negative) from the stated benchmark return, please provide the annual attribution for each year of performance presented above as an attachment. In the attribution analysis, identify the contributions of sector, security selection, out of benchmark allocations, and other. In addition to providing the attribution, please provide commentary of the reasons for significant performance variance from the benchmark that you think will help us understand the performance of the product. Attribution should be reflective of how the portfolio manager makes investment decisions. If a Brinson attribution is the most informative tool that the portfolio manager uses, please provide that. If not, please provide the most appropriate attribution.

7. Describe your attribution model and provide the name of the vendor, if appropriate.

8. Is your firm in compliance with the CFAI GIPS? Provide a description of any non-compliance. (IT IS IMPERATIVE THAT THIS QUESTION BE ANSWERED THOROUGHLY AND ACCURATELY).

9. If the performance above was managed against a benchmark that is different from PBGC’s preferred benchmark (the FTSE NAREIT Equity REIT Index), explain how performance will differ versus PBGC’s preferred benchmark going forward. Provide an estimate for alpha and tracking error versus the FTSE NARET Equity REITs Index.

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