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HomeMy WebLinkAboutReports - 2019.12.17 - 32667<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="1" EffectiveDate="09/30/2019" Interval="3" Description="Quarterly Report" /> Investment Performance Review Period Ending September 30, 2019 Oakland County ERS Defined Benefit Plan Executive Summary Page 1 Asset Allocation Vs. Policy Targets Page 12 Asset Allocation Pie Charts Page 14 Historical Asset Allocation Page 16 Financial Reconciliation Page 18 Performance Review Trailing Periods Page 21 Comparative Performance IRR Page 25 Total Fund Analysis Page 27 SSgA S&P 500 Page 29 SSgA S&P 500 Equal Weighted Page 31 T. Rowe Price Page 33 Wedge Capital Partners Page 35 TimesSquare Page 37 Lee Munder -LMCGl Page 39 Loomis Small Cap Page 41 Lazard Page 43 Pictet Page 45 Berkeley Street Page 47 ABS Global Page 49 CS McKee Page 51 Loomis Fixed Income Page 53 Franklin Templeton Page 55 Morgan Stanley Page 57 Prudential PRISA II Page 59 Benchmark History Page 61 Definitions & Disclosure Pages Page 63 Table Of Contents EXECUTIVE SUMMARY: 3Q 2019 Market Summary: Broad asset class returns were mixed during the 3rd quarter with more conservative segments faring better during this period. The Federal Reserve and slowing global economic growth played major roles in the market’s performance. Equities advanced in July in anticipation of rate cuts from the Fed. However, the U.S. central bank indicated additional stimulus was not anticipated, causing investors to fear a recession in coming quarters; the stock market sold off and the yield curve inverted further. As evidence of the slowing global economy mounted, the Fed suggested more accommodative policies would be forthcoming. Stocks rallied and interest rates rose to finish the quarter. Large cap posted positive results, but small caps and international markets ended in negative territory. Fixed income provided the strongest returns. Over the past 12 months core fixed income is up over 10%, handily beating all major equity indices, some of which are down over this period. Conclusions/Recommendations: 1. The Total Fund returned 0.86% during the quarter, performing in line with the Policy Index and ranking near the median fund in the public fund universe. 2. The Total Fund posted a return of 4.31% over the past year, ranking near the median fund in the peer group but under performing the Policy Index by 0.73%. The under performance may be partial attributed to weak performance from several of the active managers, particularly Templeton (global fixed income). Over the past five years the Fund has performed well, ranking in the top third of the universe and performing in line with the Policy Index. 3. Wedge under performed for the fifth consecutive quarter; the manager trails the benchmark by 6.11% over the past year. Wedge struggled with stock selection within Consumer Durables, Energy, and Basic Materials. This manager was placed on “Watch” last quarter due to weak relative performance; they will be closely monitored in the coming months. 4. Pictet exceeded their benchmark by 0.56% and ranked in the top half of the peer group this quarter. The manager benefited from strong stock selection within the Consumer Staples and Technology sectors. This quarter’s results have improved the manager’s longer-term performance. 5. Templeton trailed performance expectations this quarter. The manager has struggled this year due to an underweight to the US market and overweight to EM markets. The manager has mixed results longer term. 6. At quarter end all allocations were within policy ranges and near target allocations. The following managers have not reported results for the third quarter: JP Morgan Euro, Walton Street, and Dune. Managers on Watch: Wedge Capital 7. AndCo recommends no changes at this time. Page 1 3rd Quarter 2019 Market Environment Page 2 Broad asset class returns were mixed during the 3rd quarter of 2019 with both US large cap equity and fixed income indices extending their year-to-date gains while US small cap and international indices declined.Volatility was high during the period as investors weighed the effects of ongoing trade disruption and slowing global economic data against the announcement of several new central bank stimulus measures.US stocks continued their year-to-date outperformance relative to international stocks during the period.US markets faced headwinds from continued escalation in the ongoing trade dispute with China,slowing economic data,particularly with regards to manufacturing,and political uncertainty following a late quarter impeachment inquiry against President Donald Trump.However,markets were supported by easing monetary policy from the Federal Reserve (Fed)which cut interest rates twice during the period.In general,lower risk assets performed better through the period as investors weighed the increased risk of a recession.Within domestic equity markets,large cap stocks outperformed small cap equities during the quarter with the S&P 500 Index returning 1.7%versus a -2.4%return on the small cap Russell 2000 Index.US equity returns over the 1-year period were positive for large and mid-cap stocks,returning 4.3%and 3.2%respectively, but small cap stocks posted a loss,falling -8.9%. International markets posted negative returns for the 3rd quarter.Similar to US markets,international returns were impacted by continued weakness in economic data,heightened geopolitical uncertainly around global trade and Brexit and newly announced stimulus measures from global central banks including the European Central Bank (ECB)and Peoples Bank of China (PBoC).International returns also faced headwinds from a strengthening US dollar (USD)which appreciated against most major currencies during the period.Developed markets continued their outperformance relative to emerging markets during the period with the MSCI EAFE Index falling -1.1% versus a -4.2%decline for the MSCI Emerging Markets Index.Both developing and emerging markets posted slight losses over the 1-year period,returning -1.3%and -2.0%respectively. Fixed income returns outperformed equities during the 3rd quarter as investors looked for relative safety amid the equity market volatility.The broad market Bloomberg Barclays Aggregate Index gained 2.3%as interest rates fell following central bank stimulus from the Fed and other global central banks. The US Treasury Yield Curve also inverted in August,contributing to growing concern around the potential for an upcoming recession.Investment grade corporate issues were the best performing securities for the third quarter in a row,returning 3.0%,outperforming Treasury and securitized issues.Corporate issues benefitted from their relatively high duration and yield.The bond market has meaningfully outperformed the equity market over the trailing 1-year period with the Bloomberg Barclays Aggregate posting a solid 10.3%return. Source: Investment Metrics The Market Environment Major Market Index Performance As of September 30, 2019 0.6% 3.0% 1.4% 1.3% 2.4% 2.3% -2.4% 0.5% 1.4% 1.2% 1.7% -4.2% -1.1% -1.8% -5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0%3.0%4.0% 3-Month T-Bill Bbg Barclays Corp IG Bbg Barclays MBS Bbg Barclays US TIPS Bbg Barclays US Govt Bbg Barclays US Agg Russell 2000 Russell MidCap Russell 1000 Russell 3000 S&P 500 MSCI Emerg Mkts MSCI EAFE MSCI ACWxUS Quarter Performance 2.4% 13.0% 7.8% 7.1% 10.4% 10.3% -8.9% 3.2% 3.9% 2.9% 4.3% -2.0% -1.3% -1.2% -10.0%-5.0%0.0%5.0%10.0%15.0% 3-Month T-Bill Bbg Barclays Corp IG Bbg Barclays MBS Bbg Barclays US TIPS Bbg Barclays US Govt Bbg Barclays US Agg Russell 2000 Russell MidCap Russell 1000 Russell 3000 S&P 500 MSCI Emerg Mkts MSCI EAFE MSCI ACWxUS 1-Year Performance Page 3 Source: Investment Metrics The Market Environment Domestic Equity Style Index Performance As of September 30, 2019 US equity returns were modestly positive during the 3rd quarter,but results varied considerably across the style and capitalization spectrum.Data released during the quarter showed signs that the US economy could be slowing down.Weakening metrics around manufacturing and sentiment were particularly concerning and employment,typically a bright spot for the US economy,missed expectations for the pace of new jobs and hours worked.A likely contributor to the softening economic data is the ongoing trade war between the US and China.Despite last quarter’s agreement to cease escalations following a meeting between President Trump and President Jinping at the G20 summit,the 3rd quarter saw the announcement and implementation of a series of new tariffs from both the US and China. Additionally,in response to new tariffs,the PBoC allowed the yuan to depreciate to its lowest level since 2008 leading US Treasury officials to accuse China of currency manipulation.Even with the apparent breakdown in relations between the two sides,both China and the US agreed to continue negotiations set to take place in October.Markets also reacted to the late quarter announcement of a formal impeachment inquiry against President Trump following a whistle blower report alleging that President Trump pressured the government of Ukraine to investigate the son of political opponent Joe Biden.Despite these substantial headwinds,the US equity market found support from Fed easing of monetary policy in the form of two separate interest rate cuts and ended the period with a gain.The Russell 3000 Index returned 1.2%and 2.9%for the quarter and 1-year period respectively. During the quarter,higher market cap stocks outperformed lower market cap stocks across the style spectrum.The large cap Russell 1000 Index gained 1.4%during the period versus a -2.4%return for the small cap Russell 2000 Index.Investors may have been attracted to large cap names as a result of the quarter’s volatility as large cap stocks are typically viewed as less risky than their small cap counterparts.When viewed over the most recent 1-year period, large cap stocks significantly outperformed small cap stocks with the Russell 1000 posting a 3.9%gain while the while the Russell 2000 had considerable losses,declining -8.9%. In general,value stocks outperformed growth stocks during the 3rd quarter as investors gravitated toward the relative safety these securities typically provide. However,large cap growth stocks slightly outperformed large cap value stocks due to favorable holdings in the technology and industrials sectors as well as a large underweight to the underperforming energy sector.The Russell 1000 Growth Index was the best performing style index for the period,returning 1.5%,with the small cap growth index posting the lowest relative return,a loss of -4.2%.Results over the 1-year period are mixed with value stocks outperforming in large and small cap and growth stocks outperforming in mid- cap. -4.2% -2.4% -0.6% -0.7% 0.5% 1.2% 1.5% 1.4% 1.4% 1.1% 1.2% 1.2% -5.0%-4.0%-3.0%-2.0%-1.0%0.0%1.0%2.0% 2000 Growth 2000 Index 2000 Value MidCap Growth MidCap Index MidCap Value 1000 Growth 1000 Index 1000 Value 3000 Growth 3000 Index 3000 Value Quarter Performance -Russell Style Series -9.6% -8.9% -8.2% 5.2% 3.2% 1.6% 3.7% 3.9% 4.0% 2.7% 2.9% 3.1% -12.0%-10.0%-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0% 2000 Growth 2000 Index 2000 Value MidCap Growth MidCap Index MidCap Value 1000 Growth 1000 Index 1000 Value 3000 Growth 3000 Index 3000 Value 1-Year Performance -Russell Style Series Page 4 Sector performance was mixed across large cap sectors for the 3rd quarter. There were gains for eight out of eleven sectors within the Russell 1000 Index during the period with six sectors outpacing the return of the index. Defensive sectors such as utilities,real estate and consumer staples were the best performers through the quarter returning 8.3%,7.8%and 5.9% respectively as investors looked toward these sectors for their higher yields and lower historical volatility.Energy,health care and materials stocks were the worst performers during the period.Energy stocks fell -6.9%as crude oil prices fell during the period despite a sharp upward spike in September following a terrorist attack in Saudi Arabia that temporarily reduced the country’s oil production,causing a large disruption in supply.Health care stocks also lagged,declining -2.8%,as discussions in Washington around the potential for increased regulation on drug pricing acted as a headwind. Health care reform has also been a major topic of discussion among candidates for the 2020 US Presidential election,creating additional uncertainty within the sector.Materials returned -0.2%as demand concerns weighed on the economically sensitive sector.Returns over the 1-year period were also generally positive with eight out of eleven sectors posting gains. Similar to the quarter’s results,defensive sectors outperformed by a considerable margin.Utilities,real estate and consumer staples performed well returning 26.3%,22.1%and 16.0%respectively.Technology returns were also strong gaining 8.2%.Energy,health care and materials were the only sectors to post negative results over the 1-year period with energy falling -21.4%,health care dropping -4.0%and materials returning -0.2%. Quarterly results for small cap sectors were worse than their large capitalization counterparts with all eleven sectors trailing their corresponding large cap equivalents.Five of eleven economic sectors produced gains during the period with seven of eleven sectors outpacing the Russell 2000 Index return for the quarter.Similar to large caps,defensive sectors performed well as investors gravitated toward their relative safety and higher yields.Utilities were the best performers,returning 5.4%followed closely by REITs and consumer staples which returned 5.1%and 4.3%respectively. The cyclically oriented energy sector was the largest detractor for the period, posting a loss of -20.6%.Health care and communication services stocks also experienced notable declines,falling -9.2%and -8.2%respectively.Over the trailing 1-year period,returns were broadly negative.Utilities,real estate and technology were the only sectors to post gains returning 20.1%7.3%and 6.1%.The energy sector was an outlier in terms of negative returns dropping -48.8%during the period.There were also notable losses in health care, communication services and materials which declined -21.4%,-19.4%and - 18.7%respectively. The Market Environment GICS Sector Performance & (Sector Weight) As of September 30, 2019 Source: Morningstar Direct As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. 26.3% 22.1% -0.2% 8.2% 1.1% -4.0% 4.1% -21.4% 16.0% 1.8% 5.6% 8.3% 7.8% -0.2% 2.6% 0.8% -2.8% 2.1% -6.9% 5.9% 0.5% 2.0% -25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0%30.0% Utilities (3.2%) Real Estate (3.8%) Materials (2.9%) Info Technology (22.0%) Industrials (9.7%) Health Care (13.7%) Financials (13.2%) Energy (4.5%) Consumer Staples (6.8%) Consumer Disc (10.4%) Comm Services (9.8%) Russell 1000 Quarter 1-Year 20.1% 7.3% -18.7% 6.1% -5.3% -21.4% -5.2% -48.8% -6.0% -9.8% -19.4% 5.4% 5.1% -5.5% 1.0% -0.4% -9.2% -0.5% -20.6% 4.3% 0.5% -8.2% -50.0%-40.0%-30.0%-20.0%-10.0%0.0%10.0%20.0%30.0% Utilities (4.0%) Real Estate (7.7%) Materials (3.8%) Info Technology (14.2%) Industrials (15.7%) Health Care (16.3%) Financials (17.9%) Energy (3.4%) Consumer Staples (2.9%) Consumer Disc (11.3%) Comm Services (2.7%) Russell 2000 Quarter 1-Year Page 5 The Market Environment Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000 As of September 30, 2019 Source: Morningstar Direct Top 10 Weighted Stocks Top 10 Weighted Stocks Russell 1000 Weight 1-Qtr Return 1-Year Return Sector Russell 2000 Weight 1-Qtr Return 1-Year Return Sector Microsoft Corp 3.82%4.1%22.9%Information Technology NovoCure Ltd 0.34%18.3%42.7%Health Care Apple Inc 3.68%13.6%0.8%Information Technology Haemonetics Corp 0.33%4.8%10.1%Health Care Amazon.com Inc 2.61%-8.3%-13.3%Consumer Discretionary Trex Co Inc 0.28%26.8%18.1%Industrials Facebook Inc A 1.55%-7.7%8.3%Communication Services Science Applications International 0.27%1.3%10.4%Information Technology Berkshire Hathaway Inc B 1.48%-2.4%-2.8%Financials Portland General Electric Co 0.26%4.8%27.2%Utilities JPMorgan Chase & Co 1.36%6.0%7.4%Financials ONE Gas Inc 0.26%7.0%19.5%Utilities Alphabet Inc Class C 1.35%12.8%2.1%Communication Services First Industrial Realty Trust Inc 0.26%8.3%29.3%Real Estate Alphabet Inc A 1.33%12.8%1.2%Communication Services Southwest Gas Holdings Inc 0.26%2.2%18.2%Utilities Johnson & Johnson 1.25%-6.4%-3.8%Health Care Maximus Inc 0.25%6.9%20.4%Information Technology Procter & Gamble Co 1.12%14.2%54.0%Consumer Staples Teladoc Health Inc 0.25%2.0%-21.6%Health Care Top 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter) Russell 1000 Weight 1-Qtr Return 1-Year Return Sector Russell 2000 Weight 1-Qtr Return 1-Year Return Sector Insulet Corp 0.04%38.2%55.7%Health Care NextCure Inc 0.00%105.9%N/A Health Care CyrusOne Inc 0.03%37.9%28.8%Real Estate Dova Pharmaceuticals Inc 0.01%98.2%33.3%Health Care KLA Corp 0.09%35.7%61.1%Information Technology WW International Inc 0.09%98.0%-47.5%Consumer Discretionary New York Community Bancorp Inc 0.02%27.6%28.7%Financials R.R.Donnelley & Sons Co 0.01%94.7%-27.6%Industrials Entegris Inc 0.02%26.3%63.9%Information Technology Infinera Corp 0.05%87.3%-25.3%Information Technology Pilgrims Pride Corp 0.01%26.2%77.1%Consumer Staples Lannett Co Inc 0.02%84.8%135.8%Health Care Western Digital Corp 0.06%25.4%5.6%Information Technology Owens & Minor Inc 0.02%81.6%-64.4%Health Care DocuSign Inc 0.03%24.6%17.8%Information Technology Allakos Inc 0.08%81.5%74.8%Health Care Target Corp 0.19%24.4%24.3%Consumer Discretionary Solid Biosciences Inc 0.01%79.8%-78.1%Health Care XPO Logistics Inc 0.02%23.8%-37.3%Industrials Ardelyx Inc 0.01%74.7%8.0%Health Care Bottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter) Russell 1000 Weight 1-Qtr Return 1-Year Return Sector Russell 2000 Weight 1-Qtr Return 1-Year Return Sector 2U Inc 0.00%-56.7%-78.3%Information Technology Tocagen Inc 0.00%-90.1%-95.8%Health Care PG&E Corp 0.02%-56.4%-78.3%Utilities Waitr Holdings Inc Class A 0.00%-79.6%-88.1%Consumer Discretionary Covetrus Inc 0.00%-51.4%N/A Health Care McDermott International Inc 0.02%-79.1%-89.0%Energy Sarepta Therapeutics Inc 0.02%-50.4%-53.4%Health Care Sonim Technologies Inc 0.00%-77.0%N/A Information Technology Nektar Therapeutics Inc 0.01%-48.8%-70.1%Health Care Synlogic Inc 0.00%-74.8%-83.9%Health Care DXC Technology Co 0.03%-46.2%-67.9%Information Technology Mallinckrodt PLC 0.01%-73.7%-91.8%Health Care Antero Resources Corp 0.00%-45.4%-82.9%Energy Clovis Oncology Inc 0.01%-73.6%-86.6%Health Care Range Resources Corp 0.00%-45.0%-77.3%Energy Bloom Energy Corp Class A 0.01%-73.5%-90.5%Industrials Pluralsight Inc Class A 0.00%-44.6%-47.5%Information Technology Chaparral Energy Inc Class A 0.00%-71.5%-92.4%Energy Fluor Corp 0.01%-42.5%-66.1%Industrials Pacific Drilling SA 0.01%-69.3%-99.7%Energy Page 6 Source: MSCI Global Index Monitor (Returns are Net) Broad international equity returns were negative in USD terms for the 3rd quarter as US investors in international markets faced a meaningful headwind from a USD that strengthened against most major currencies.In local currency terms,developed markets were generally positive while emerging markets posted losses.The MSCI ACWI ex US Index gained 0.7%in local currency terms,but a USD investor experienced a loss of -1.8%due to the currency effect.Similar to US markets,international equity markets balanced headwinds from slowing economic data and concerns around global trade with tailwinds from central bank shifts toward more accommodative policies.Among others, the ECB and PBoC announced new stimulus measures during the quarter. The ECB cut its policy rate and committed to a new quantitative easing program and the PBoC announced new stimulus measures designed to encourage bank lending and reduce borrowing costs as it tries to counteract a cooling economy and the effects of its ongoing trade war with the US.The recent USD strength can also be seen over the 1-year period with USD returns trailing most local currency returns.Returns for the MSCI ACWI ex US Index were 1.3%in local currency terms and -1.2%in USD terms for the trailing year. Results for developed market international indices were generally positive in local currency terms,but negative in USD terms for the 3rd quarter,with the MSCI EAFE Index returning 1.8%and -0.9%respectively.Outside of central bank policy and trade,there were notable developments within the political sphere.In Europe,Christine Lagarde was nominated to succeed Mario Draghi as the head of the ECB.Japanese stocks rose as election results appeared to support continuity for Prime Minister Abe’s ongoing policy efforts.In the UK, pro-Brexit Boris Johnson was appointed to prime minister,replacing Theresa May.The UK continues to face uncertainty around Brexit as its late October deadline to agree to a withdrawal agreement with the European Union (EU) quickly approaches.Stocks in Hong Kong fell as the government dealt with major pro-democracy protests throughout the quarter.The MSCI EAFE Index returned 1.6%and -1.3%for the last twelve months in local currency and USD terms respectively. Emerging markets continued their trend of 2019 underperformance relative to developed markets during the 3rd quarter,posting negative returns in both local currency and USD terms.The MSCI Emerging Markets Index fell -2.1% and -4.2%respectively.As expected,geopolitical tensions around trade continued to put pressure on emerging market stocks.Countries with greater sensitivities to commodity prices or a strong USD tended to underperform during the period.Argentina’s stock market fell -46.8%as primary elections in the country saw the defeat of the country’s current market friendly president. One year returns for the MSCI Emerging Market Index were -0.2%in local currency terms and -2.0%in USD terms. The Market Environment International and Regional Market Index Performance (Country Count) As September 30, 2019 12.9% -2.9% 3.9% -0.2% -4.0% 4.9% 1.6% 1.9% 1.3% 6.7% -3.9% 0.9% -2.0% -2.2% -0.9% -1.3% -1.0% -1.2% -6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0% EM Latin Amer (6) EM Asia (9) EM EMEA (11) Emerging Mkt (26) Pacific (5) Europe & ME (16) EAFE (21) WORLD x US (22) AC World x US (48) 1-Year Performance USD Local Currency 0.9% -2.3% -3.3% -2.1% 1.4% 2.0% 1.8% 1.8% 0.7% -5.6% -3.4% -7.0% -4.2% 0.2% -1.8% -1.1% -0.9% -1.8% -8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0% EM Latin Amer (6) EM Asia (9) EM EMEA (11) Emerging Mkt (26) Pacific (5) Europe & ME (16) EAFE (21) WORLD x US (22) AC World x US (48) Quarter Performance USD Local Currency Page 7 The Market Environment US Dollar International Index Attribution & Country Detail As of September 30, 2019 Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD) As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. MSCI -EAFE Sector Weight Quarter Return 1-Year Return Communication Services 5.4%-0.9%-0.7% Consumer Discretionary 11.5%0.3%-2.0% Consumer Staples 12.0%1.9%6.9% Energy 5.1%-6.5%-14.5% Financials 18.6%-2.6%-6.3% Health Care 11.6%2.4%4.3% Industrials 14.7%-2.0%-2.1% Information Technology 6.7%-0.5%1.8% Materials 7.0%-5.4%-5.7% Real Estate 3.6%-1.3%4.3% Utilities 3.8%2.4%13.2% Total 100.0%-1.1%-1.3% MSCI -ACWIxUS Sector Weight Quarter Return 1-Year Return Communication Services 6.8%-2.9%-1.0% Consumer Discretionary 11.4%-0.7%-1.6% Consumer Staples 10.2%1.5%6.8% Energy 6.7%-4.6%-9.8% Financials 21.6%-3.6%-3.2% Health Care 8.5%1.1%0.9% Industrials 11.9%-2.5%-2.4% Information Technology 8.9%2.2%4.1% Materials 7.3%-6.5%-7.2% Real Estate 3.2%-3.1%5.0% Utilities 3.5%1.3%12.6% Total 100.0%-1.8%-1.2% MSCI -Emerging Mkt Sector Weight Quarter Return 1-Year Return Communication Services 11.6%-5.2%-2.5% Consumer Discretionary 13.1%-3.1%0.1% Consumer Staples 6.9%-0.8%3.0% Energy 7.7%-4.0%-2.3% Financials 24.7%-8.0%1.6% Health Care 2.6%-6.6%-24.2% Industrials 5.4%-5.2%-4.4% Information Technology 15.1%5.6%3.9% Materials 7.3%-10.7%-15.9% Real Estate 2.9%-8.8%6.8% Utilities 2.8%-3.6%7.2% Total 100.0%-4.2%-2.0% MSCI-EAFE MSCI-ACWIxUS Quarter 1-Year Country Weight Weight Return Return Japan 24.6%16.5%3.1%-4.7% United Kingdom 16.4%11.0%-2.5%-2.9% France 11.4%7.6%-1.7%-1.6% Switzerland 9.4%6.3%0.3%12.0% Germany 8.5%5.7%-4.0%-7.1% Australia 7.0%4.7%-1.4%6.1% Netherlands 4.0%2.7%2.4%9.5% Hong Kong 3.5%2.4%-11.9%-1.8% Spain 2.9%2.0%-3.8%-3.5% Sweden 2.6%1.7%-4.8%-8.0% Italy 2.3%1.6%-0.1%3.9% Denmark 1.8%1.2%-1.0%2.3% Singapore 1.3%0.9%-5.8%-0.2% Belgium 1.0%0.7%3.4%-0.8% Finland 1.0%0.7%-1.8%-9.3% Norway 0.7%0.4%-3.4%-13.4% Israel 0.6%0.4%-3.7%-12.5% Ireland 0.5%0.4%-0.6%-4.6% New Zealand 0.2%0.2%-2.9%10.0% Austria 0.2%0.2%-3.1%-16.0% Portugal 0.2%0.1%1.6%-2.5% Total EAFE Countries 100.0%67.0%-1.1%-1.3% Canada 7.0%0.5%3.0% Total Developed Countries 74.0%-0.9%-1.0% China 8.3%-4.7%-3.9% Korea 3.2%-4.5%-13.8% Taiwan 3.0%5.2%-0.2% India 2.3%-5.2%4.7% Brazil 2.0%-4.6%25.4% South Africa 1.2%-12.6%-6.4% Russia 1.0%-1.4%18.0% Thailand 0.8%-6.0%-0.9% Saudi Arabia 0.7%-9.5%4.0% Mexico 0.7%-1.7%-14.8% Indonesia 0.5%-5.2%11.9% Malaysia 0.5%-6.3%-10.4% Philippines 0.3%-4.6%13.1% Poland 0.3%-12.1%-12.2% Qatar 0.3%-0.2%5.0% Chile 0.3%-7.3%-16.8% United Arab Emirates 0.2%-0.2%-0.3% Turkey 0.2%11.7%16.5% Colombia 0.1%-6.1%-7.3% Peru 0.1%-9.3%-4.0% Greece 0.1%-3.1%6.8% Hungary 0.1%-3.9%3.4% Argentina 0.1%-46.8%-32.3% Czech Republic 0.0%-10.1%-12.6% Egypt 0.0%7.4%21.5% Pakistan 0.0%1.1%-32.7% Total Emerging Countries 26.0%-4.2%-2.0% Total ACWIxUS Countries 100.0%-1.8%-1.2% Page 8 Source: Bloomberg The Market Environment Domestic Bond Sector & Broad/Global Bond Market Performance (Duration) As of September 30, 2019 Broad fixed income benchmarks continued their trend of 2019 gains during the 3rd quarter.Interest rates fell across the US Treasury Yield Curve through the quarter as the Fed continued to shift toward an easing of monetary policy in an attempt to combat slowing economic data.The Fed cut short-term interest rates twice during the period following their July and September meetings.In addition,it ended its balance sheet reduction plan in September which represents a further easing of monetary policy.After its September meeting, the Fed issued a statement commenting that future changes to monetary policy are not on a preset course and will be evaluated as the Fed receives new information on the state of the economy,but that Fed officials “will continue to monitor the implications of incoming information for the economic outlook and will act as appropriate to sustain the expansion.”The Fed response provided market support in a quarter where we saw the formal inversion of the yield curve.Treasury yields on 2-year issues briefly surpassed the yield on 10-year issues in August.This inversion of the yield curve has historically preceded a recession within the next 6-24 months.However,the magnitude of the inversion was mild and short in duration with rates on the 10- year Treasury rising above the yield of the 2-year by early September.The bellwether Bloomberg Barclays US Aggregate Index posted positive returns for both the 3rd quarter and the 1-year period,returning 2.3%and 10.3% respectively. Within investment grade credit,lower quality issues outperformed higher quality issues during the quarter.Lower quality issues benefitted from their higher durations as interest rates fell during the quarter.On an absolute basis, without negating the duration differences in the sub-indices,Baa rated credit was the best performing investment grade credit quality segment returning 3.3%for the quarter,while AAA was the worst performing,returning 2.0%. High yield issues returned 1.3%for the quarter as these issues did not commensurately benefit from the drop in interest rates due to their relatively low durations.Returns over the 1-year period show lower quality securities outperforming higher quality issues with Baa rated issues returning 13.5% versus a 9.3%return for AAA securities. Investment grade corporates outperformed the more defensive Treasury and mortgage backed sectors of the Bloomberg Barclays US Aggregate Index’s three broad sectors during the 3rd quarter.Investment grade corporate credit returned 3.0%,as they benefitted from their higher sensitivity to interest rates, low credit spreads and high investor demand for yield.When viewed over the 1-year period,corporate credit outperformed both Treasuries and mortgage backed securities.Corporate issues returned 13.0%versus a 7.8%return for mortgages and 10.5%gain on Treasury securities. 0.6% -0.6% 1.4% 2.3% 1.3% 3.0% 1.4% 2.4% 1.3% 3.3% 2.9% 2.6% 2.0% -1.0%0.0%1.0%2.0%3.0%4.0% Multiverse (7.0) Global Agg x US (8.4) Intermediate Agg (3.6) Aggregate (5.8) U.S. TIPS (4.9) U.S. Corporate IG (7.8) U.S. Mortgage (2.7) U.S. Treasury (6.6) U.S. High Yield (3.1) Baa (7.9) A (7.8) AA (6.6) AAA (5.0) Quarter Performance 7.5% 5.3% 8.1% 10.3% 7.1% 13.0% 7.8% 10.5% 6.4%13.5% 12.6% 11.0% 9.3% 0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0% Multiverse (7.0) Global Agg x US (8.4) Intermediate Agg (3.6) Aggregate (5.8) U.S. TIPS (4.9) U.S. Corporate IG (7.8) U.S. Mortgage (2.7) U.S. Treasury (6.6) U.S. High Yield (3.1) Baa (7.9) A (7.8) AA (6.6) AAA (5.0) 1-Year Performance Page 9 Source: US Department of Treasury, FRED (Federal Reserve of St. Louis) The Market Environment Market Rate & Yield Curve Comparison As of September 30, 2019 Global fixed income returns underperformed their domestic counterparts during the 3rd quarter.These indices have lower,or in some cases (Germany, Japan),negative yields,but have higher durations.Given their higher durations,these issues would be expected to perform relatively well during periods of falling rates,however,the returns of these indices are also significantly influenced by fluctuations in their currency denomination relative to the USD.As mentioned,the USD appreciated against most other developed currencies during the quarter,acting as a headwind to global bond indices. The return on global bonds,as represented by the Bloomberg Barclays Global Aggregate ex US Index,was -0.6%.Global bonds also trailed over the 1-year period with the Global Aggregate ex US Index returning 5.3%versus a 10.3% return on the domestically focused Bloomberg Barclays Aggregate Index.As global growth has shown signs of stalling,several international central banks have started to step back from more restrictive postures.The ECB and the PBoC have moved toward an easing of monetary policy and implemented various stimulus programs designed to support their respective economies. The Bank of England and the Bank of Japan made no major policy changes during the quarter as they continue to review macroeconomic data within their respective countries. Much of the index performance detailed in the bar graphs on the previous page is visible on a time series basis by reviewing the line graphs to the right. The ‘1-Year Trailing Market Rates’chart illustrates that over the last year,the 10-year Treasury yield (green line)fell from high’s greater than 3.0%,to yields below 1.5%before ending the quarter at 1.68%.The blue line illustrates changes in the BAA OAS (Option Adjusted Spread).This measure quantifies the additional yield premium that investors require to purchase and hold non- Treasury issues.This line illustrates an abrupt increase in credit spreads during the 4th quarter of 2018 as investors moved to higher quality assets during the quarter’s risk-off environment.Subsequently,spreads declined steadily,remaining somewhat range bound with increases in May and August. There was little change through the quarter with spreads tightening by about 1 basis point.Spread tightening is equivalent to an interest rate decrease on corporate bonds,which produces an additional tailwind for corporate bond index returns.The green band across the graph illustrates the decrease in the Federal Funds Rate due to the recent easing in US monetary policy.The rate cuts in July and September have pushed the Fed Funds Rate to 1-year lows. The lower graph provides a snapshot of the US Treasury yield curve at the end of each of the last four calendar quarters.The downward shift in interest rates as well as a general flattening of the yield curve are clearly visible over the last quarter.As mentioned,the yield curve continues to invert as yields on shorter- and middle-term maturities fell less than interest rates at the long-end of the curve. 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr Treasury Yield Curve 12/31/2018 3/31/2019 6/30/2019 9/30/2019 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 1-Year Trailing Market Rates Fed Funds Rate TED Spread 3-Month Libor BAA OAS 10yr Treasury 10yr TIPS Page 10 Page Intentionally Left Blank Page 11 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.4%) Total Real Asset (10.2%) Total Fixed Income Composite (35.3%) Total Long/Short Equity Composite (6.0%) Total International Equity (14.1%) Total Domestic Equity (33.9%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Minimum Allocation (%) Maximum Allocation (%) Target Allocation (%) Min. Rebal. ($000) Max. Rebal. ($000) Target Rebal. ($000) Total Fund Composite 745,492,528 100.0 N/A N/A 100.0 --- Total Domestic Equity 252,746,779 33.9 10.0 50.0 37.5 -178,197,526 119,999,485 26,812,919 Total International Equity 105,202,074 14.1 5.0 20.0 12.5 -67,927,448 43,896,431 -12,015,508 Total Long/Short Equity Composite 44,819,934 6.0 0.0 7.5 5.0 -44,819,934 11,092,006 -7,545,307 Total Fixed Income Composite 263,340,605 35.3 10.0 55.0 35.0 -188,791,352 146,680,285 -2,418,220 Total Real Asset 76,386,058 10.2 0.0 15.0 10.0 -76,386,058 35,437,821 -1,836,806 Total Cash Composite 2,997,078 0.4 0.0 5.0 0.0 -2,997,078 34,277,548 -2,997,078 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of September 30, 2019 Page 12 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.4%) Total Real Asset (10.2%) Total Fixed Income Composite (35.3%) Total Long/Short Equity Composite (6.0%) Total International Equity (14.1%) Total Small Cap Equity Composite (6.4%) Total Mid Cap Equity Composite (7.9%) Total Large Cap Equity Composite (19.6%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 745,492,528 100.0 100.0 - Total Large Cap Equity Composite 146,328,255 19.6 20.0 2,770,251 Total Mid Cap Equity Composite 58,548,861 7.9 7.5 -2,636,921 Total Small Cap Equity Composite 47,869,663 6.4 7.5 8,042,276 Total International Equity 105,202,074 14.1 15.0 6,621,805 Total Long/Short Equity Composite 44,819,934 6.0 5.0 -7,545,307 Total Fixed Income Composite 263,340,605 35.3 35.0 -2,418,220 Total Real Asset 76,386,058 10.2 10.0 -1,836,806 Total Cash Composite 2,997,078 0.4 0.0 -2,997,078 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of September 30, 2019 Page 13 Asset Allocation By Segment as of June 30, 2019 : $749,027,934 Asset Allocation By Segment as of September 30, 2019 : $745,492,528 Allocation Segments Market Value Allocation Domestic Equity 247,801,455 33.1¢ International Equity 104,210,174 13.9¢ Domestic Fixed Income 212,082,124 28.3¢ Global Fixed Income 37,166,498 5.0¢ Real Estate 72,518,864 9.7¢ Hedge Fund 44,307,310 5.9¢ Private Equity 14,796,239 2.0¢ Cash Equivalent 16,145,270 2.2¢ Allocation Segments Market Value Allocation Domestic Equity 249,123,205 33.4¢ International Equity 103,103,205 13.8¢ Domestic Fixed Income 216,042,012 29.0¢ Global Fixed Income 36,227,780 4.9¢ Real Estate 74,152,259 9.9¢ Hedge Fund 44,819,934 6.0¢ Private Equity 14,763,117 2.0¢ Cash Equivalent 7,261,016 1.0¢ Asset Allocation Summary Total Fund Composite As of September 30, 2019 NONE Page 14 Asset Allocation By Manager as of June 30, 2019 : $749,027,934 Asset Allocation By Manager as of September 30, 2019 : $745,492,528 Allocation Market Value Allocation CS McKee 136,516,563 18.2¢ Loomis Fixed Income 82,887,627 11.1¢ T. Rowe Price 70,932,407 9.5¢ Pictet 48,554,976 6.5¢ ABS Global 44,307,310 5.9¢ Morgan Stanley 44,209,752 5.9¢ Lazard 38,473,964 5.1¢ Franklin Templeton 37,166,498 5.0¢ SSgA S&P 500 37,000,840 4.9¢ SSgA S&P 500 Equal Weighted Index 36,224,241 4.8¢ Lee Munder (LMCG)25,191,156 3.4¢ Loomis Small Cap 23,820,622 3.2¢ Berkeley Street 19,472,491 2.6¢ Prudential PRISA II 19,025,075 2.5¢ Reinhart Partners 15,149,183 2.0¢ Great Lakes SmidCap 14,719,327 2.0¢ Wedge Capital Partners 14,289,184 1.9¢ TimesSquare 14,072,313 1.9¢ Churchill Senior Loan Fund 12,605,427 1.7¢ Alidade Capital Fund IV 3,462,874 0.5¢ Walton Street Real Estate 3,402,665 0.5¢ Private Markets Cash 3,301,507 0.4¢ AEW Real Estate 2,300,906 0.3¢ ValStone Opportunity Fund V 2,190,812 0.3¢ JPM Euro Property 117,592 0.0¢ Cash and Equivalents Account -367,378 0.0¢ Dune Real Estate IV -0.0¢ Allocation Market Value Allocation CS McKee 139,925,447 18.8¢ Loomis Fixed Income 74,658,060 10.0¢ T. Rowe Price 72,086,314 9.7¢ Pictet 48,276,973 6.5¢ Morgan Stanley 44,833,926 6.0¢ ABS Global 44,819,934 6.0¢ SSgA S&P 500 37,628,762 5.0¢ Lazard 37,590,425 5.0¢ SSgA S&P 500 Equal Weighted Index 36,613,179 4.9¢ Franklin Templeton 36,227,780 4.9¢ Lee Munder (LMCG)25,302,071 3.4¢ Loomis Small Cap 22,567,592 3.0¢ Berkeley Street 19,334,677 2.6¢ Prudential PRISA II 19,295,324 2.6¢ Reinhart Partners 15,138,306 2.0¢ Great Lakes SmidCap 14,824,135 2.0¢ Wedge Capital Partners 14,408,448 1.9¢ TimesSquare 14,177,972 1.9¢ Churchill Senior Loan Fund 12,529,318 1.7¢ Walton Street Real Estate 3,456,783 0.5¢ Alidade Capital Fund IV 3,455,383 0.5¢ Private Markets Cash 2,991,544 0.4¢ AEW Real Estate 2,555,642 0.3¢ ValStone Opportunity Fund V 2,233,799 0.3¢ Dune Real Estate IV 437,610 0.1¢ JPM Euro Property 117,592 0.0¢ Cash and Equivalents Account 5,534 0.0¢ Asset Allocation Summary Total Fund Composite As of September 30, 2019 NONE Page 15 Asset Allocation Attributes Sep-2019 Jun-2019 Mar-2019 Dec-2018 Sep-2018 ($)%($)%($)%($)%($)% Total Fund Composite 745,492,528 100.00 749,027,934 100.00 741,903,342 100.00 706,294,991 100.00 760,349,975 100.00 Total Equity Composite 402,768,787 54.03 402,208,014 53.70 403,832,622 54.43 363,744,922 51.50 422,897,242 55.62 Total Domestic Equity 252,746,779 33.90 251,399,273 33.56 256,607,159 34.59 230,654,389 32.66 272,380,948 35.82 Total Large Cap Equity Composite 146,328,255 19.63 144,157,488 19.25 153,414,386 20.68 134,037,634 18.98 155,284,989 20.42 SSgA S&P 500 37,628,762 5.05 37,000,840 4.94 35,472,927 4.78 31,216,390 4.42 36,091,569 4.75 SSgA S&P 500 Equal Weighted Index 36,613,179 4.91 36,224,241 4.84 34,869,208 4.70 30,325,699 4.29 35,301,653 4.64 T. Rowe Price 72,086,314 9.67 70,932,407 9.47 83,072,251 11.20 72,495,546 10.26 83,891,767 11.03 Total Mid Cap Equity Composite 58,548,861 7.85 58,230,007 7.77 55,942,763 7.54 49,319,089 6.98 58,711,307 7.72 Seizert Capital Partners -0.00 -0.00 13,700 0.00 14,081,495 1.99 16,465,395 2.17 Wedge Capital Partners 14,408,448 1.93 14,289,184 1.91 14,025,189 1.89 12,432,194 1.76 15,095,855 1.99 TimesSquare 14,177,972 1.90 14,072,313 1.88 12,959,863 1.75 11,088,467 1.57 13,055,234 1.72 Munder Capital -0.00 -0.00 28,944,011 3.90 11,716,933 1.66 14,094,823 1.85 Great Lakes SmidCap 14,824,135 1.99 14,719,327 1.97 -0.00 -0.00 -0.00 Reinhart Partners 15,138,306 2.03 15,149,183 2.02 -0.00 -0.00 -0.00 Total Small Cap Equity Composite 47,869,663 6.42 49,011,778 6.54 47,250,009 6.37 47,297,666 6.70 58,384,652 7.68 Lee Munder (LMCG)25,302,071 3.39 25,191,156 3.36 24,585,456 3.31 21,624,390 3.06 26,669,123 3.51 RBC Global -0.00 -0.00 -0.00 -0.00 1,131 0.00 Loomis Small Cap 22,567,592 3.03 23,820,622 3.18 22,664,554 3.05 25,673,276 3.63 31,714,398 4.17 Total International Equity 105,202,074 14.11 106,501,431 14.22 103,801,045 13.99 92,007,481 13.03 105,845,250 13.92 Lazard 37,590,425 5.04 38,473,964 5.14 37,211,429 5.02 33,626,699 4.76 37,429,973 4.92 Pictet 48,276,973 6.48 48,554,976 6.48 47,434,093 6.39 41,580,643 5.89 50,247,950 6.61 Berkeley Street 19,334,677 2.59 19,472,491 2.60 19,155,524 2.58 16,800,139 2.38 18,167,327 2.39 Total Long/Short Equity Composite 44,819,934 6.01 44,307,310 5.92 43,424,418 5.85 41,083,053 5.82 44,671,044 5.88 ABS Global 44,819,934 6.01 44,307,310 5.92 43,424,418 5.85 41,083,053 5.82 44,671,044 5.88 Total Fixed Income Composite 263,340,605 35.32 269,176,115 35.94 262,301,846 35.36 268,430,617 38.01 263,164,570 34.61 Total Domestic Fixed Income 214,583,507 28.78 219,404,190 29.29 212,900,161 28.70 212,925,268 30.15 210,999,380 27.75 CS McKee 139,925,447 18.77 136,516,563 18.23 132,495,660 17.86 135,264,868 19.15 133,488,785 17.56 Loomis Fixed Income 74,658,060 10.01 82,887,627 11.07 80,404,502 10.84 77,660,400 11.00 77,510,594 10.19 Total Global Fixed 36,227,780 4.86 37,166,498 4.96 36,690,403 4.95 42,731,158 6.05 42,133,494 5.54 Franklin Templeton 36,227,780 4.86 37,166,498 4.96 36,690,403 4.95 42,731,158 6.05 42,133,494 5.54 Historical Asset Allocation Total Fund As of September 30, 2019 Page 16 Historical Asset Allocation Total Fund As of September 30, 2019 Sep-2019 Jun-2019 Mar-2019 Dec-2018 Sep-2018 ($)%($)%($)%($)%($)% Private Fixed Income 12,529,318 1.68 12,605,427 1.68 12,711,282 1.71 12,774,191 1.81 10,031,696 1.32 Churchill Senior Loan Fund 12,529,318 1.68 12,605,427 1.68 12,711,282 1.71 12,774,191 1.81 10,031,696 1.32 Total Real Asset 76,386,058 10.25 74,709,676 9.97 73,088,509 9.85 72,029,817 10.20 69,523,111 9.14 Total Real Estate 74,152,259 9.95 72,518,864 9.68 70,892,168 9.56 69,907,399 9.90 67,458,896 8.87 Morgan Stanley 44,833,926 6.01 44,209,752 5.90 43,419,565 5.85 42,875,404 6.07 42,048,803 5.53 JPM Euro Property 117,592 0.02 117,592 0.02 119,897 0.02 150,572 0.02 291,306 0.04 Prudential PRISA II 19,295,324 2.59 19,025,075 2.54 18,804,197 2.53 18,492,320 2.62 18,280,851 2.40 Alidade Capital Fund IV 3,455,383 0.46 3,462,874 0.46 3,441,195 0.46 3,666,960 0.52 2,680,656 0.35 Walton Street Real Estate 3,456,783 0.46 3,402,665 0.45 3,343,270 0.45 3,280,813 0.46 3,006,105 0.40 AEW Real Estate 2,555,642 0.34 2,300,906 0.31 1,764,044 0.24 1,441,330 0.20 1,151,175 0.15 Private Investments 2,233,799 0.30 2,190,812 0.29 2,196,341 0.30 2,122,418 0.30 2,064,215 0.27 ValStone Opportunity Fund V 2,233,799 0.30 2,190,812 0.29 2,196,341 0.30 2,122,418 0.30 2,064,215 0.27 Total Cash Composite 2,997,078 0.40 2,934,129 0.39 2,680,365 0.36 2,089,635 0.30 4,765,052 0.63 Cash and Equivalents Account 5,534 0.00 -367,378 -0.05 80,553 0.01 80,351 0.01 46,673 0.01 Private Markets Cash 2,991,544 0.40 3,301,507 0.44 2,599,812 0.35 2,009,284 0.28 4,718,379 0.62 Page 17 Financial Reconciliation Market Value 07/01/2019 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 09/30/2019 Total Fund Composite 749,027,934 -411,494 -10,000,000 -313,390 -3,555 3,298,030 3,072,015 745,492,528 Total Equity Composite 402,208,014 -5,000 43,494 --110,205 -2,005 1,130,662 -496,172 402,768,787 Total Domestic Equity 251,399,273 -5,000 ---3,063 -1,309 766,379 590,499 252,746,779 Total Large Cap Equity Composite 144,157,488 ----3,063 -120 336,596 1,837,354 146,328,255 SSgA S&P 500 37,000,840 ------627,922 37,628,762 SSgA S&P 500 Equal Weighted Index 36,224,241 ----3,063 --392,001 36,613,179 T. Rowe Price 70,932,407 -----120 336,596 817,431 72,086,314 Total Mid Cap Equity Composite 58,230,007 -5,000 ----686 300,124 24,416 58,548,861 Seizert Capital Partners --------- Wedge Capital Partners 14,289,184 -5,000 ----241 126,858 -2,353 14,408,448 TimesSquare 14,072,313 -----57 77,168 28,547 14,177,972 Munder Capital --------- Great Lakes SmidCap 14,719,327 -----51 41,328 63,531 14,824,135 Reinhart Partners 15,149,183 -----337 54,770 -65,310 15,138,306 Total Small Cap Equity Composite 49,011,778 -----503 129,659 -1,271,270 47,869,663 Lee Munder (LMCG)25,191,156 -----183 110,175 924 25,302,071 Loomis Small Cap 23,820,622 -----320 19,484 -1,272,194 22,567,592 Total International Equity 106,501,431 -43,494 --107,143 -696 364,283 -1,599,294 105,202,074 Lazard 38,473,964 -----696 226,768 -1,109,612 37,590,425 Pictet 48,554,976 ----63,649 -137,514 -351,868 48,276,973 Berkeley Street 19,472,491 -43,494 --43,494 ---137,815 19,334,677 Total Long/Short Equity Composite 44,307,310 ------512,623 44,819,934 ABS Global 44,307,310 ------512,623 44,819,934 Total Fixed Income Composite 269,176,115 -10,297,553 ----1,498 1,734,052 2,729,489 263,340,605 Total Domestic Fixed Income 219,404,190 -10,000,000 ----1,498 1,734,052 3,446,763 214,583,507 CS McKee 136,516,563 -----1,045 1,092,048 2,317,881 139,925,447 Loomis Fixed Income 82,887,627 -10,000,000 ----453 642,005 1,128,882 74,658,060 Total Global Fixed 37,166,498 -------938,718 36,227,780 Franklin Templeton 37,166,498 -------938,718 36,227,780 Financial Reconciliation Total Fund 1 Quarter Ending September 30, 2019 Page 18 Financial Reconciliation Total Fund 1 Quarter Ending September 30, 2019 Market Value 07/01/2019 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 09/30/2019 Private Fixed Income 12,605,427 -297,553 -----221,444 12,529,318 Churchill Senior Loan Fund 12,605,427 -297,553 -----221,444 12,529,318 Total Real Asset 74,709,676 594,175 ---203,185 -435,986 849,406 76,386,058 Total Real Estate 72,518,864 594,175 ---203,185 -435,986 806,419 74,152,259 Morgan Stanley 44,209,752 ----135,433 -435,986 323,621 44,833,926 JPM Euro Property 117,592 -------117,592 Prudential PRISA II 19,025,075 ----56,002 --326,250 19,295,324 Alidade Capital Fund IV 3,462,874 -83,083 -----75,592 3,455,383 Walton Street Real Estate 3,402,665 65,877 ---11,750 ---10 3,456,783 AEW Real Estate 2,300,906 173,770 -----80,966 2,555,642 Private Investments 2,190,812 ------42,987 2,233,799 ValStone Opportunity Fund V 2,190,812 ------42,987 2,233,799 Total Cash Composite 2,934,129 9,708,378 368,000 -10,000,000 --51 -2,670 -10,708 2,997,078 Cash and Equivalents Account -367,378 10,005,000 368,000 -10,000,000 --51 759 -796 5,534 Private Markets Cash 3,301,507 -296,622 -----3,429 -9,912 2,991,544 Page 19 -12.0 -4.0 4.0 12.0 20.0 28.0 36.0 44.0 52.0 60.0 68.0 76.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Fund Composite 33.90 (69)14.11 (56)28.78 (41)4.86 (28)7.99 (60)9.95 (32)0.40 (84)˜ 5th Percentile 60.19 25.25 49.70 9.14 40.86 14.40 8.93 1st Quartile 49.77 18.86 33.20 4.89 18.98 10.26 2.55 Median 41.06 14.46 25.86 4.13 10.57 9.01 1.38 3rd Quartile 30.17 11.71 19.87 2.51 5.22 5.54 0.67 95th Percentile 16.80 6.90 12.67 0.14 1.76 2.99 0.09 Plan Sponsor TF Asset Allocation Total Fund Composite Vs. All Public Plans-Total Fund As of September 30, 2019 Page 20 Asset Allocation & Performance Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Fund Composite (Gross)745,492,528 100.0 0.86 (48)4.31(51)12.40(58)4.31(51)7.90 (53)6.77 (33)7.95 (42)8.44(39)8.34(44)10/01/1986 Total Fund Policy Index 0.92 (43)5.04(29)12.88(49)5.04(29)7.55 (65)6.69 (38)8.09 (35)8.83(20)8.79(10) Difference -0.06 -0.73 -0.48 -0.73 0.35 0.08 -0.14 -0.39 -0.45 All Public Plans-Total Fund Median 0.84 4.32 12.75 4.32 7.97 6.41 7.74 8.15 8.20 Total Fund Composite (Net)745,492,528 100.0 0.82 3.95 12.13 3.95 7.46 6.44 7.71 8.27 8.29 10/01/1986 Total Fund Policy Index 0.92 5.04 12.88 5.04 7.55 6.69 8.09 8.83 8.79 Difference -0.10 -1.09 -0.75 -1.09 -0.09 -0.25 -0.38 -0.56 -0.50 Total Equity Composite 402,768,787 54.0 0.16 0.89 17.27 0.89 9.75 7.97 10.35 10.60 9.51 10/01/1986 Total Equity Index 0.03 0.92 17.51 0.92 10.66 8.84 11.68 11.83 9.89 Difference 0.13 -0.03 -0.24 -0.03 -0.91 -0.87 -1.33 -1.23 -0.38 Total Fixed Income Composite 263,340,605 35.3 1.65 8.85 7.74 8.85 3.75 3.43 3.17 4.47 6.39 10/01/1986 Total Fixed Income Index 2.05 9.87 8.38 9.87 2.71 3.21 2.45 3.51 6.19 Difference -0.40 -1.02 -0.64 -1.02 1.04 0.22 0.72 0.96 0.20 Total Real Asset 76,386,058 10.2 1.71 7.92 5.63 7.92 9.57 10.65 11.06 9.80 4.97 07/01/2008 NCREIF Fund Index-ODCE (VW)1.31 5.60 3.77 5.60 7.31 9.35 10.30 10.86 5.39 Difference 0.40 2.32 1.86 2.32 2.26 1.30 0.76 -1.06 -0.42 Total Cash Composite 2,997,078 0.4 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2019 Page 21 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2019 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Equity 252,746,779 33.9 Total Large Cap Equity Composite 146,328,255 19.6 1.51 (45)4.73(32)21.33(31)4.73(32)13.34 (42)11.04 (35)13.43 (38)13.34(41)10.30(41)07/01/2008 IM U.S. Large Cap Equity (SA+CF) Median 1.40 3.26 19.96 3.26 12.85 10.36 13.07 13.12 10.11 SSgA S&P 500 (1.5 bps)37,628,762 5.0 1.70 (43)4.27(37)20.55(40)4.27(37)13.44 (31)10.90 (34)13.33 (43)13.31(40)13.31(40)10/01/2009 S&P 500 Index 1.70 (43)4.25(39)20.55(40)4.25(39)13.39 (35)10.84 (36)13.26 (49)13.24(45)13.24(45) Difference 0.00 0.02 0.00 0.02 0.05 0.06 0.07 0.07 0.07 IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 3.02 19.93 3.02 12.74 10.36 13.22 13.12 13.12 SSgA S&P 500 Equal Weighted Index (4bps)36,613,179 4.9 1.08 (67)3.75(44)20.77(37)3.75(44)N/A N/A N/A N/A 3.92(60)02/01/2018 S&P 500 Equal Weighted 0.77 (76)3.40(47)20.10(48)3.40(47)11.05 (80)9.46 (69)13.14 (54)13.41(34)3.67(61) Difference 0.31 0.35 0.67 0.35 N/A N/A N/A N/A 0.25 IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 3.02 19.93 3.02 12.74 10.36 13.22 13.12 4.55 T. Rowe Price (25 bps)72,086,314 9.7 1.63 (46)5.17(31)21.70(28)5.17(31)14.48 (17)11.89 (18)14.07 (19)13.77(23)13.77(23)10/01/2009 S&P 500 Index 1.70 (43)4.25(39)20.55(40)4.25(39)13.39 (35)10.84 (36)13.26 (49)13.24(45)13.24(45) Difference -0.07 0.92 1.15 0.92 1.09 1.05 0.81 0.53 0.53 IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 3.02 19.93 3.02 12.74 10.36 13.22 13.12 13.12 Total Mid Cap Equity Composite 58,548,861 7.9 0.56 (42)-0.20(61)18.81(66)-0.20(61)9.67 (62)7.81 (72)11.30 (79)11.95(81)9.14(85)07/01/2008 IM U.S. Mid Cap Equity (SA+CF) Median 0.05 1.71 21.11 1.71 11.37 9.57 12.81 13.26 10.24 Wedge Capital Partners (75 bps)14,408,448 1.9 0.87 (63)-4.51(84)15.94(81)-4.51(84)7.04 (79)6.90 (69)11.35 (61)12.65(45)7.62(68)05/01/2007 Russell Midcap Value Index 1.22 (55)1.60(43)19.47(51)1.60(43)7.82 (70)7.55 (54)11.63 (60)12.29(54)6.87(90) Difference -0.35 -6.11 -3.53 -6.11 -0.78 -0.65 -0.28 0.36 0.75 IM U.S. Mid Cap Value Equity (SA+CF) Median 1.28 0.65 19.49 0.65 9.03 7.69 12.00 12.34 8.17 TimesSquare (80 bps)14,177,972 1.9 0.75 (19)8.60(23)27.87(38)8.60(23)15.42 (44)11.80 (47)14.40 (29)14.21(45)14.69(52)09/01/2009 Russell Midcap Growth Index -0.67 (44)5.20(46)25.23(47)5.20(46)14.50 (54)11.12 (59)13.80 (46)14.08(51)14.59(53) Difference 1.42 3.40 2.64 3.40 0.92 0.68 0.60 0.13 0.10 IM U.S. Mid Cap Growth Equity (SA+CF) Median -0.84 4.37 24.41 4.37 14.89 11.53 13.52 14.09 14.70 Great Lakes SmidCap 14,824,135 2.0 0.71 (12)N/A N/A N/A N/A N/A N/A N/A -1.64(49)05/01/2019 Russell 2500 Index -1.28 (67)-4.04(51)17.72(29)-4.04(51)9.51 (24)8.57 (19)11.43 (24)12.22(19)-1.80(53) Difference 1.99 N/A N/A N/A N/A N/A N/A N/A 0.16 IM U.S. SMID Cap Core Equity (MF) Median -0.50 -3.98 17.21 -3.98 8.26 6.74 10.19 10.80 -1.69 Reinhart Partners 15,138,306 2.0 -0.07 (23)N/A N/A N/A N/A N/A N/A N/A 2.75(2)05/01/2019 Russell 2500 Index -1.28 (67)-4.04(51)17.72(29)-4.04(51)9.51 (24)8.57 (19)11.43 (24)12.22(19)-1.80(53) Difference 1.21 N/A N/A N/A N/A N/A N/A N/A 4.55 IM U.S. SMID Cap Core Equity (MF) Median -0.50 -3.98 17.21 -3.98 8.26 6.74 10.19 10.80 -1.69 Page 22 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2019 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Small Cap Equity Composite 47,869,663 6.4 -2.33 (61)-5.61(42)16.51(46)-5.61(42)9.91 (41)8.75 (53)10.51 (75)11.21(83)9.57(64)07/01/2008 IM U.S. Small Cap Equity (SA+CF) Median -1.52 -7.03 15.88 -7.03 9.17 8.90 11.70 12.52 10.10 Lee Munder (70 bps)25,302,071 3.4 0.44 (38)-5.12(38)17.01(37)-5.12(38)7.01 (51)8.50 (31)10.67 (59)10.97(77)8.88(39)09/01/2005 Russell 2000 Value Index -0.57 (58)-8.24(62)12.82(74)-8.24(62)6.54 (63)7.17 (60)9.35 (82)10.06(90)6.46(91) Difference 1.01 3.12 4.19 3.12 0.47 1.33 1.32 0.91 2.42 IM U.S. Small Cap Value Equity (SA+CF) Median -0.27 -6.71 15.73 -6.71 7.10 7.68 10.97 11.74 8.32 Loomis Small Cap (90 bps)22,567,592 3.0 -5.26 (68)-6.14(51)15.94(63)-6.14(51)15.38 (34)12.22 (33)13.70 (43)N/A 14.17(38)09/01/2012 Russell 2000 Growth Index -4.17 (53)-9.63(72)15.34(66)-9.63(72)9.79 (77)9.08 (78)11.43 (83)12.25(83)11.75(81) Difference -1.09 3.49 0.60 3.49 5.59 3.14 2.27 N/A 2.42 IM U.S. Small Cap Growth Equity (SA+CF) Median -3.90 -5.91 17.99 -5.91 13.28 11.17 13.33 13.94 13.59 Total International Equity 105,202,074 14.1 -1.16 (35)-0.30(40)14.59(28)-0.30(40)6.56 (50)4.70 (41)6.47 (53)6.11(56)3.70(60)07/01/2008 Total International Equity Index -1.70 (47)-0.72(44)12.06(49)-0.72(44)6.85 (44)3.39 (63)5.50 (69)4.62(84)2.33(85) Difference 0.54 0.42 2.53 0.42 -0.29 1.31 0.97 1.49 1.37 IM International Equity (SA+CF) Median -1.83 -1.40 11.83 -1.40 6.53 4.07 6.58 6.33 4.05 Lazard (75 bps)37,590,425 5.0 -2.29 (61)0.45(35)11.80(51)0.45(35)7.01 (41)4.64 (42)7.33 (38)7.24(33)5.44(42)09/01/2006 MSCI AC World ex USA -1.70 (47)-0.72(44)12.06(49)-0.72(44)6.85 (44)3.39 (63)5.50 (69)4.93(79)3.57(80) Difference -0.59 1.17 -0.26 1.17 0.16 1.25 1.83 2.31 1.87 IM International Equity (SA+CF) Median -1.83 -1.40 11.83 -1.40 6.53 4.07 6.58 6.33 5.00 Pictet (65 bps)48,276,973 6.5 -0.44 (29)-3.28(72)16.66(17)-3.28(72)5.76 (70)4.74 (31)6.60 (62)5.60(75)1.38(89)01/01/2008 MSCI EAFE Index -1.00 (37)-0.82(40)13.35(51)-0.82(40)7.01 (40)3.77 (55)6.62 (61)5.39(80)1.90(80) Difference 0.56 -2.46 3.31 -2.46 -1.25 0.97 -0.02 0.21 -0.52 IM International Large Cap Core Equity (SA+CF) Median -1.42 -1.56 13.38 -1.56 6.45 3.87 6.82 6.26 2.37 Berkeley Street (95 bps)19,334,677 2.6 -0.71 (7)6.43(15)15.09(13)6.43(15)8.02 (25)5.11 (14)N/A N/A 4.69(38)11/01/2012 MSCI Emerging Markets Index -4.11 (61)-1.63(66)6.23(62)-1.63(66)6.37 (45)2.71 (56)2.79 (78)3.73(82)2.91(76) Difference 3.40 8.06 8.86 8.06 1.65 2.40 N/A N/A 1.78 IM Emerging Markets Equity (SA+CF) Median -3.64 0.05 8.12 0.05 5.96 3.07 4.09 5.01 4.13 Total Long/Short Equity Composite 44,819,934 6.0 1.16 (34)0.33(44)9.10(44)0.33(44)4.93 (48)3.64 (53)4.50 (64)N/A 4.13(71)10/01/2010 IM Long/Short Equity (MF) Median 0.54 -0.58 8.10 -0.58 4.86 3.87 5.26 6.21 6.32 ABS Global (100 bps)44,819,934 6.0 1.16 (34)0.33(44)9.10(44)0.33(44)4.93 (48)3.77 (51)5.82 (40)N/A 4.98(65)10/01/2010 HFRI FOF: Strategic Index -1.61 (81)-0.99(53)5.86(70)-0.99(53)3.27 (67)1.97 (75)3.40 (83)2.81(85)2.70(89) Difference 2.77 1.32 3.24 1.32 1.66 1.80 2.42 N/A 2.28 IM Long/Short Equity (MF) Median 0.54 -0.58 8.10 -0.58 4.86 3.87 5.26 6.21 6.32 Page 23 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2019 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Fixed Income 214,583,507 28.8 2.34 (50)9.99(84)9.00(52)9.99(84)3.57 (37)N/A N/A N/A 3.42(32)08/01/2016 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.34 10.48 9.01 10.48 3.38 3.76 3.13 4.37 3.19 CS McKee (35 bps)139,925,447 18.8 2.50 (15)10.47(51)9.02(49)10.47(51)3.34 (54)3.77 (50)3.04 (62)N/A 4.04(65)02/01/2010 Blmbg. Barc. U.S. Aggregate Index 2.27 (73)10.30(70)8.52(83)10.30(70)2.92 (92)3.38 (91)2.72 (92)3.75(94)3.70(95) Difference 0.23 0.17 0.50 0.17 0.42 0.39 0.32 N/A 0.34 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.34 10.48 9.01 10.48 3.38 3.76 3.13 4.37 4.26 Loomis Fixed Income (30 bps)74,658,060 10.0 2.08 (91)9.17(96)8.96(53)9.17(96)4.02 (12)3.71 (56)3.96 (9)N/A 5.71(3)04/01/2010 Blmbg. Barc. U.S. Aggregate Index 2.27 (73)10.30(70)8.52(83)10.30(70)2.92 (92)3.38 (91)2.72 (92)3.75(94)3.73(95) Difference -0.19 -1.13 0.44 -1.13 1.10 0.33 1.24 N/A 1.98 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.34 10.48 9.01 10.48 3.38 3.76 3.13 4.37 4.26 Total Global Fixed 36,227,780 4.9 -2.53 (97)2.18(90)0.75(96)2.18(90)3.93 (49)N/A N/A N/A 3.64(56)08/01/2016 IM Global Fixed Income (SA+CF) Median 1.24 7.34 8.32 7.34 3.90 3.39 3.35 4.28 3.86 Franklin Templeton (60 bps)36,227,780 4.9 -2.53 (97)2.18(90)0.75(96)2.18(90)3.96 (48)0.89 (95)1.91 (69)N/A 2.75(88)04/01/2010 JPM Global Government Bond Index 1.14 (53)8.72(33)6.58(72)8.72(33)1.23 (95)2.08 (79)0.78 (92)2.01(98)2.44(94) Difference -3.67 -6.54 -5.83 -6.54 2.73 -1.19 1.13 N/A 0.31 IM Global Fixed Income (SA+CF) Median 1.24 7.34 8.32 7.34 3.90 3.39 3.35 4.28 4.20 Total Real Estate 74,152,259 9.9 1.70 (61)7.91(34)5.64(39)7.91(34)9.63 (24)N/A N/A N/A 9.38(N/A)09/01/2016 IM U.S. Open End Private Real Estate (SA+CF) Median 1.80 7.05 5.34 7.05 8.43 9.97 11.13 11.67 N/A Morgan Stanley (84 bps)44,833,926 6.0 1.72 (60)7.85(34)5.50(42)7.85(34)9.06 (30)10.99 (31)12.12 (35)12.54(31)6.60(15)01/01/2008 NCREIF Fund Index-ODCE (VW)1.31 (87)5.60(90)3.77(90)5.60(90)7.31 (82)9.35 (78)10.30 (76)10.86(69)5.31(71) Difference 0.41 2.25 1.73 2.25 1.75 1.64 1.82 1.68 1.29 IM U.S. Open End Private Real Estate (SA+CF) Median 1.80 7.05 5.34 7.05 8.43 9.97 11.13 11.67 5.63 Prudential PRISA II (85 bps)19,295,324 2.6 1.71 (60)6.79(71)5.26(56)6.79(71)8.55 (43)10.74 (34)11.72 (38)N/A 12.12(38)10/01/2011 NCREIF Property Index 1.41 (83)6.24(87)4.80(75)6.24(87)6.76 (87)8.57 (91)9.29 (92)9.77(96)9.50(93) Difference 0.30 0.55 0.46 0.55 1.79 2.17 2.43 N/A 2.62 IM U.S. Open End Private Real Estate (SA+CF) Median 1.80 7.05 5.34 7.05 8.43 9.97 11.13 11.67 11.35 JPM Euro Property 117,592 0.0 0.00 (100)-22.05(100)-21.90(100)-22.05(100)-0.94 (100)2.25 (100)1.67 (100)-0.72(100)-1.19(100)04/01/2009 NCREIF Property Index 1.41 (83)6.24(87)4.80(75)6.24(87)6.76 (87)8.57 (91)9.29 (92)9.77(96)8.38(78) Difference -1.41 -28.29 -26.70 -28.29 -7.70 -6.32 -7.62 -10.49 -9.57 IM U.S. Open End Private Real Estate (SA+CF) Median 1.80 7.05 5.34 7.05 8.43 9.97 11.13 11.67 9.52 Total Cash Composite 2,997,078 0.4 Cash and Equivalents Account (No fee)5,534 0.0 Private Markets Cash 2,991,544 0.4 Page 24 Comparative Performance - IRR QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date ValStone Opportunity Fund V 1.96 8.22 5.25 8.22 5.15 8.07 N/A N/A 7.74 08/27/2014 Alidade Capital Fund IV 2.21 6.29 6.01 6.29 N/A N/A N/A N/A 4.81 04/20/2017 Walton Street Real Estate -0.35 7.14 4.16 7.14 N/A N/A N/A N/A 10.91 05/24/2017 AEW Real Estate 3.40 24.46 13.84 24.46 N/A N/A N/A N/A 10.91 09/28/2017 Churchill Senior Loan Fund 1.78 7.20 5.62 7.20 N/A N/A N/A N/A 7.65 12/07/2017 Comparative Performance - IRR Alternative Investments As of September 30, 2019 Page 25 Page Intentionally Left Blank Page 26 Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund Comparative Performance -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Total Fund Composite 0.86 (48)4.31 (51)4.31 (51)5.57 (61)7.90 (53)8.30 (54)6.77 (33)˜ Total Fund Policy Index 0.92 (43)5.04 (29)5.04 (29)6.02 (45)7.55 (65)8.33 (50)6.69 (38)˜ Median 0.84 4.32 4.32 5.83 7.97 8.33 6.41 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 Return2018 2017 2016 2015 2014 Total Fund Composite -3.86 (44)14.09 (68)8.21 (32)1.40 (13)6.38 (56)˜ Total Fund Policy Index -3.67 (41)13.76 (72)8.17 (33)0.67 (29)7.26 (35)˜ Median -4.15 15.21 7.46 -0.14 6.62 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Total Fund Composite 3.10 (66)8.09 (59)-7.20 (43)2.39 (63)1.07 (49)0.11 (27) Total Fund Policy Index 3.32 (43)8.26 (55)-6.94 (37)2.70 (45)1.24 (42)-0.44 (58) All Public Plans-Total Fund Median 3.26 8.43 -7.53 2.58 1.03 -0.32 As of September 30, 2019 Performance Review Total Fund Composite NONE Page 27 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 3.0 6.0 9.0 12.0 15.0 Total Fund Composite (%)3.0 6.0 9.0 12.0 15.0 Total Fund Policy Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Total Fund Composite 20 4 (20%)11 (55%)5 (25%)0 (0%)˜ Total Fund Policy Index 20 5 (25%)9 (45%)6 (30%)0 (0%)˜ 7.40 7.60 7.80 8.00 8.20 Return (%)6.00 6.20 6.40 6.60 6.80 7.00 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 7.90 6.13˜ Total Fund Policy Index 7.55 6.31˜ Median 7.97 6.84¾ 6.20 6.40 6.60 6.80 7.00 Return (%)6.0 6.2 6.4 6.6 6.8 7.0 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 6.77 6.22˜ Total Fund Policy Index 6.69 6.33˜ Median 6.41 6.87¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 1.02 99.06 91.72 0.62 0.31 1.02 0.96 4.00 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.95 1.00 4.08 90 Day U.S. Treasury Bill 6.31 8.83 -7.57 1.54 -0.95 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 0.95 98.21 94.61 0.26 0.07 0.93 0.97 3.84 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.91 1.00 3.87 90 Day U.S. Treasury Bill 6.32 5.96 -4.67 0.95 -0.91 N/A 0.00 0.01 As of September 30, 2019 Performance Review Total Fund Composite NONE Page 28 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 1.70 (43)4.27 (37)4.27 (37)10.90 (31)13.44 (31)13.96 (23)10.90 (34)˜ S&P 500 Index 1.70 (43)4.25 (39)4.25 (39)10.87 (33)13.39 (35)13.90 (26)10.84 (36)˜ Median 1.54 3.02 3.02 9.86 12.74 12.92 10.36 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2018 2017 2016 2015 2014 SSgA S&P 500 -4.35 (36)21.86 (50)12.07 (32)1.47 (49)13.73 (43)˜ S&P 500 Index -4.38 (37)21.83 (51)11.96 (34)1.38 (52)13.69 (44)˜ Median -5.20 21.83 10.52 1.43 13.42 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 SSgA S&P 500 4.31 (46)13.64 (38)-13.51 (44)7.73 (32)3.42 (35)-0.74 (62) S&P 500 Index 4.30 (49)13.65 (38)-13.52 (46)7.71 (34)3.43 (33)-0.76 (63) IM U.S. Large Cap Core Equity (SA+CF) Median 4.21 13.19 -13.79 7.13 2.90 -0.45 Performance Review As of September 30, 2019 SSgA S&P 500 NONE Page 29 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 4.0 8.0 12.0 16.0 20.0 24.0 SSgA S&P 500 (%)4.0 8.0 12.0 16.0 20.0 24.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count SSgA S&P 500 20 0 (0%)15 (75%)5 (25%)0 (0%)˜ S&P 500 Index 20 0 (0%)15 (75%)5 (25%)0 (0%)˜ 12.60 12.90 13.20 13.50 13.80 Return (%)12.20 12.24 12.28 12.32 12.36 12.40 12.44 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 13.44 12.24˜ S&P 500 Index 13.39 12.25˜ Median 12.74 12.41¾ 10.20 10.40 10.60 10.80 11.00 Return (%)10.64 10.71 10.78 10.85 10.92 10.99 11.06 11.13 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 10.90 10.72˜ S&P 500 Index 10.84 10.72˜ Median 10.36 11.01¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.03 100.16 99.96 0.04 1.41 0.99 1.00 8.05 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.98 1.00 8.05 90 Day U.S. Treasury Bill 12.03 4.91 -3.26 1.55 -0.98 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.05 100.24 99.97 0.05 1.20 0.86 1.00 7.48 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.85 1.00 7.48 90 Day U.S. Treasury Bill 11.82 3.37 -2.07 0.96 -0.85 N/A 0.00 0.01 Performance Review As of September 30, 2019 SSgA S&P 500 NONE Page 30 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 Equal Weighted Index 1.08 (67)3.75 (44)3.75 (44)N/A N/A N/A N/A˜ S&P 500 Equal Weighted 0.77 (76)3.40 (47)3.40 (47)8.55 (69)11.05 (80)12.30 (63)9.46 (69)˜ Median 1.54 3.02 3.02 9.86 12.74 12.92 10.36 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2018 2017 2016 2015 2014 SSgA S&P 500 Equal Weighted Index N/A N/A N/A N/A N/A˜ S&P 500 Equal Weighted -7.64 (82)18.90 (80)14.80 (13)-2.20 (84)14.49 (32)˜ Median -5.20 21.83 10.52 1.43 13.42 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 SSgA S&P 500 Equal Weighted Index 3.89 (61)15.00 (11)-14.10 (57)5.43 (83)2.88 (52)N/A S&P 500 Equal Weighted 3.72 (66)14.91 (13)-13.90 (55)5.42 (83)2.80 (55)-1.01 (69) IM U.S. Large Cap Core Equity (SA+CF) Median 4.21 13.19 -13.79 7.13 2.90 -0.45 Performance Review As of September 30, 2019 SSgA S&P 500 Equal Weighted Index NONE Page 31 Page Intentionally Left Blank Page 32 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR T. Rowe Price 1.63 (46)5.17 (31)5.17 (31)11.62 (21)14.48 (17)14.86 (11)11.89 (18)˜ S&P 500 Index 1.70 (43)4.25 (39)4.25 (39)10.87 (33)13.39 (35)13.90 (26)10.84 (36)˜ Median 1.54 3.02 3.02 9.86 12.74 12.92 10.36 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2018 2017 2016 2015 2014 T. Rowe Price -3.96 (29)24.38 (22)10.94 (47)3.61 (25)12.91 (59)˜ S&P 500 Index -4.38 (37)21.83 (51)11.96 (34)1.38 (52)13.69 (44)˜ Median -5.20 21.83 10.52 1.43 13.42 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 T. Rowe Price 4.50 (39)14.59 (17)-13.58 (47)7.19 (50)3.71 (23)-0.03 (35) S&P 500 Index 4.30 (49)13.65 (38)-13.52 (46)7.71 (34)3.43 (33)-0.76 (63) IM U.S. Large Cap Core Equity (SA+CF) Median 4.21 13.19 -13.79 7.13 2.90 -0.45 Performance Review As of September 30, 2019 T. Rowe Price NONE Page 33 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 4.0 8.0 12.0 16.0 20.0 24.0 T. Rowe Price (%)4.0 8.0 12.0 16.0 20.0 24.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count T. Rowe Price 20 11 (55%)8 (40%)1 (5%)0 (0%)˜ S&P 500 Index 20 0 (0%)15 (75%)5 (25%)0 (0%)˜ 11.97 12.54 13.11 13.68 14.25 14.82 Return (%)12.18 12.24 12.30 12.36 12.42 12.48 12.54 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 14.48 12.49˜ S&P 500 Index 13.39 12.25˜ Median 12.74 12.41¾ 9.69 10.20 10.71 11.22 11.73 12.24 Return (%)10.64 10.71 10.78 10.85 10.92 10.99 11.06 11.13 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 11.89 10.96˜ S&P 500 Index 10.84 10.72˜ Median 10.36 11.01¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk T. Rowe Price 1.05 102.90 97.42 0.94 0.93 1.06 1.00 7.99 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.98 1.00 8.05 90 Day U.S. Treasury Bill 12.03 4.91 -3.26 1.55 -0.98 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk T. Rowe Price 1.04 103.60 98.22 0.85 0.94 0.92 1.01 7.49 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.85 1.00 7.48 90 Day U.S. Treasury Bill 11.82 3.37 -2.07 0.96 -0.85 N/A 0.00 0.01 Performance Review As of September 30, 2019 T. Rowe Price NONE Page 34 Peer Group Analysis - IM U.S. Mid Cap Value Equity (SA+CF) Comparative Performance -16.00 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Wedge Capital 0.87 (63)-4.51 (84)-4.51 (84)1.66 (87)7.04 (79)8.14 (90)6.90 (69)˜ Russell Midcap Value 1.22 (55)1.60 (43)1.60 (43)5.14 (52)7.82 (70)10.10 (50)7.55 (54)˜ Median 1.28 0.65 0.65 5.27 9.03 10.10 7.69 -36.00 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2018 2017 2016 2015 2014 Wedge Capital -15.51 (76)19.55 (16)15.12 (79)-5.78 (76)18.52 (2)˜ Russell Midcap Value -12.29 (47)13.34 (75)20.00 (44)-4.78 (61)14.75 (18)˜ Median -12.55 15.63 18.22 -3.21 11.86 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Wedge Capital 1.88 (80)12.82 (75)-17.64 (77)3.04 (67)2.98 (34)-3.32 (90) Russell Midcap Value Index 3.19 (62)14.37 (43)-14.95 (34)3.30 (58)2.41 (46)-2.50 (82) IM U.S. Mid Cap Value Equity (SA+CF) Median 3.38 13.97 -16.34 3.55 2.32 -1.56 Performance Review As of September 30, 2019 Wedge Capital NONE Page 35 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 8.0 16.0 24.0 32.0 Wedge Capital (%)0.0 8.0 16.0 24.0 32.0 Russell Midcap Value Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Wedge Capital 20 4 (20%)6 (30%)7 (35%)3 (15%)˜ Russell Midcap Value 20 0 (0%)5 (25%)14 (70%)1 (5%)˜ 6.50 7.15 7.80 8.45 9.10 9.75 Return (%)12.96 13.20 13.44 13.68 13.92 14.16 14.40 14.64 Risk (Standard Deviation %) Return Standard Deviation Wedge Capital 7.04 13.67˜ Russell Midcap Value 7.82 13.21˜ Median 9.03 14.27¾ 6.76 7.02 7.28 7.54 7.80 8.06 Return (%)12.25 12.50 12.75 13.00 13.25 13.50 13.75 14.00 Risk (Standard Deviation %) Return Standard Deviation Wedge Capital 6.90 13.53˜ Russell Midcap Value 7.55 12.51˜ Median 7.69 13.57¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Wedge Capital 3.03 99.16 103.65 -0.73 -0.21 0.46 1.01 10.07 Russell Midcap Value Index 0.00 100.00 100.00 0.00 N/A 0.52 1.00 9.14 90 Day U.S. Treasury Bill 13.22 5.25 -3.14 1.54 -0.52 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Wedge Capital 3.45 103.35 109.40 -0.85 -0.14 0.49 1.05 9.53 Russell Midcap Value Index 0.00 100.00 100.00 0.00 N/A 0.57 1.00 8.18 90 Day U.S. Treasury Bill 12.51 3.46 -2.09 0.96 -0.57 N/A 0.00 0.01 Performance Review As of September 30, 2019 Wedge Capital NONE Page 36 Peer Group Analysis - IM U.S. Mid Cap Growth Equity (SA+CF) Comparative Performance -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR TimesSquare 0.75 (19)8.60 (23)8.60 (23)14.39 (41)15.42 (44)14.27 (44)11.80 (47)˜ Russell Midcap Growth -0.67 (44)5.20 (46)5.20 (46)12.87 (57)14.50 (54)13.68 (48)11.12 (59)˜ Median -0.84 4.37 4.37 13.43 14.89 13.36 11.53 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2018 2017 2016 2015 2014 TimesSquare -3.59 (46)23.71 (62)8.62 (24)1.57 (43)6.52 (71)˜ Russell Midcap Growth -4.75 (53)25.27 (53)7.33 (36)-0.20 (59)11.90 (23)˜ Median -4.30 25.42 5.64 1.04 8.69 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 TimesSquare 8.59 (18)16.88 (76)-15.06 (22)6.97 (63)3.22 (62)2.81 (56) Russell Midcap Growth Index 5.40 (69)19.62 (42)-15.99 (34)7.57 (49)3.16 (63)2.17 (66) IM U.S. Mid Cap Growth Equity (SA+CF) Median 6.35 18.86 -16.71 7.48 3.86 2.98 Performance Review As of September 30, 2019 TimesSquare NONE Page 37 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 6.0 12.0 18.0 24.0 30.0 TimesSquare (%)0.0 6.0 12.0 18.0 24.0 30.0 Russell Midcap Growth Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count TimesSquare 20 0 (0%)15 (75%)5 (25%)0 (0%)˜ Russell Midcap Growth 20 0 (0%)13 (65%)7 (35%)0 (0%)˜ 14.26 14.57 14.88 15.19 15.50 15.81 Return (%)11.75 12.22 12.69 13.16 13.63 14.10 14.57 15.04 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 15.42 12.59˜ Russell Midcap Growth 14.50 14.18˜ Median 14.89 14.58¾ 11.10 11.40 11.70 12.00 Return (%)11.88 12.21 12.54 12.87 13.20 13.53 13.86 14.19 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 11.80 12.27˜ Russell Midcap Growth 11.12 13.48˜ Median 11.53 13.70¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 3.08 91.94 77.35 2.51 0.19 1.09 0.87 7.72 Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 0.92 1.00 9.05 90 Day U.S. Treasury Bill 14.18 3.83 -4.12 1.54 -0.92 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 2.89 92.27 81.18 1.72 0.16 0.90 0.89 7.33 Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 0.78 1.00 8.52 90 Day U.S. Treasury Bill 13.47 2.65 -2.74 0.95 -0.78 N/A 0.00 0.01 Performance Review As of September 30, 2019 TimesSquare NONE Page 38 Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF) Comparative Performance -25.00 -20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lee Munder (LMCG)0.44 (38)-5.12 (38)-5.12 (38)1.52 (46)7.01 (51)9.75 (46)8.50 (31)˜ Russell 2000 Value -0.57 (58)-8.24 (62)-8.24 (62)0.16 (61)6.54 (63)9.48 (48)7.17 (60)˜ Median -0.26 -6.65 -6.65 1.03 7.10 9.23 7.68 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2018 2017 2016 2015 2014 Lee Munder (LMCG)-14.62 (53)8.71 (68)27.80 (39)0.41 (12)5.23 (55)˜ Russell 2000 Value -12.86 (37)7.84 (75)31.74 (16)-7.47 (78)4.22 (66)˜ Median -14.26 11.56 26.14 -4.29 5.71 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Lee Munder (LMCG)2.46 (46)13.69 (37)-18.92 (47)1.80 (48)7.53 (21)-3.80 (87) Russell 2000 Value Index 1.38 (71)11.93 (70)-18.67 (44)1.60 (51)8.30 (16)-2.64 (68) IM U.S. Small Cap Value Equity (SA+CF) Median 2.29 12.86 -19.10 1.65 5.59 -1.79 Performance Review As of September 30, 2019 Lee Munder (LMCG) NONE Page 39 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 5.0 10.0 15.0 20.0 25.0 Lee Munder (LMCG) (%)0.0 5.0 10.0 15.0 20.0 25.0 Russell 2000 Value Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lee Munder (LMCG)20 3 (15%)9 (45%)6 (30%)2 (10%)˜ Russell 2000 Value 20 0 (0%)6 (30%)9 (45%)5 (25%)˜ 6.40 6.60 6.80 7.00 7.20 Return (%)16.60 16.80 17.00 17.20 17.40 17.60 17.80 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)7.01 16.83˜ Russell 2000 Value 6.54 17.43˜ Median 7.10 17.54¾ 6.44 6.90 7.36 7.82 8.28 8.74 Return (%)14.80 15.00 15.20 15.40 15.60 15.80 16.00 16.20 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)8.50 15.14˜ Russell 2000 Value 7.17 15.94˜ Median 7.68 16.01¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lee Munder (LMCG)2.95 95.06 91.14 0.73 0.12 0.40 0.95 11.27 Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A 0.36 1.00 11.43 90 Day U.S. Treasury Bill 17.46 3.72 -2.82 1.55 -0.36 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lee Munder (LMCG)3.18 94.76 85.79 1.70 0.35 0.55 0.93 9.72 Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A 0.45 1.00 10.31 90 Day U.S. Treasury Bill 15.97 2.47 -1.90 0.97 -0.45 N/A 0.00 0.01 Performance Review As of September 30, 2019 Lee Munder (LMCG) NONE Page 40 Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF) Comparative Performance -28.00 -22.00 -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Loomis Small Cap -5.26 (68)-6.14 (51)-6.14 (51)10.66 (42)15.38 (34)13.46 (43)12.22 (33)˜ Russell 2000 Growth -4.17 (53)-9.63 (72)-9.63 (72)4.60 (78)9.79 (77)10.37 (74)9.08 (78)˜ Median -3.90 -5.91 -5.91 9.53 13.28 12.95 11.17 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2018 2017 2016 2015 2014 Loomis Small Cap 0.85 (22)27.83 (32)6.87 (80)2.78 (22)1.74 (67)˜ Russell 2000 Growth -9.31 (77)22.17 (57)11.32 (52)-1.38 (55)5.60 (35)˜ Median -4.27 23.66 11.40 -0.75 4.32 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Loomis Small Cap 6.04 (34)15.40 (69)-19.05 (22)8.54 (35)9.39 (40)4.92 (23) Russell 2000 Growth Index 2.75 (81)17.14 (53)-21.65 (66)5.52 (73)7.23 (73)2.30 (60) IM U.S. Small Cap Growth Equity (SA+CF) Median 4.58 17.42 -20.69 7.71 8.77 2.99 Performance Review As of September 30, 2019 Loomis Small Cap NONE Page 41 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 10.0 20.0 30.0 Loomis Small Cap (%)0.0 10.0 20.0 30.0 Russell 2000 Growth Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Small Cap 17 0 (0%)13 (76%)4 (24%)0 (0%)˜ Russell 2000 Growth 20 0 (0%)4 (20%)14 (70%)2 (10%)˜ 8.00 10.00 12.00 14.00 16.00 18.00 Return (%)15.93 16.20 16.47 16.74 17.01 17.28 17.55 17.82 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 15.38 16.34˜ Russell 2000 Growth 9.79 17.23˜ Median 13.28 17.49¾ 8.00 10.00 12.00 14.00 Return (%)15.80 16.00 16.20 16.40 16.60 16.80 17.00 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 12.22 16.07˜ Russell 2000 Growth 9.08 16.77˜ Median 11.17 16.64¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 4.00 107.36 83.37 5.84 1.21 0.87 0.92 10.48 Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.54 1.00 11.91 90 Day U.S. Treasury Bill 17.25 3.57 -3.15 1.55 -0.54 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 4.25 103.67 90.01 3.53 0.64 0.74 0.93 10.50 Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.55 1.00 11.64 90 Day U.S. Treasury Bill 16.78 2.24 -1.99 0.97 -0.55 N/A 0.00 0.01 Performance Review As of September 30, 2019 Loomis Small Cap NONE Page 42 Peer Group Analysis - IM International Equity (SA+CF) Comparative Performance -16.00 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lazard -2.29 (61)0.45 (34)0.45 (34)2.99 (18)7.01 (41)7.47 (53)4.64 (42)˜ MSCI AC World ex USA (Net)-1.80 (50)-1.23 (49)-1.23 (49)0.26 (47)6.33 (53)7.06 (60)2.90 (72)˜ Median -1.84 -1.44 -1.44 -0.01 6.53 7.71 4.05 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2018 2017 2016 2015 2014 Lazard -11.01 (17)28.22 (62)0.35 (75)-0.80 (47)-0.52 (35)˜ MSCI AC World ex USA (Net)-14.20 (44)27.19 (68)4.50 (47)-5.66 (66)-3.87 (64)˜ Median -14.86 30.57 3.90 -1.72 -2.53 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Lazard 3.40 (37)10.66 (49)-10.16 (38)0.68 (40)-3.47 (60)1.92 (22) MSCI AC World ex USA (Net)2.98 (45)10.31 (55)-11.46 (47)0.71 (39)-2.61 (50)-1.18 (72) IM International Equity (SA+CF) Median 2.63 10.54 -11.80 0.11 -2.69 -0.09 Performance Review As of September 30, 2019 Lazard NONE Page 43 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date -6.0 0.0 6.0 12.0 18.0 Lazard (%)-6.0 0.0 6.0 12.0 18.0 MSCI AC World ex USA (Net) (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lazard 20 1 (5%)9 (45%)10 (50%)0 (0%)˜ MSCI AC World ex USA (Net)20 0 (0%)0 (0%)14 (70%)6 (30%)˜ 6.00 6.30 6.60 6.90 7.20 Return (%)10.36 10.73 11.10 11.47 11.84 12.21 12.58 12.95 Risk (Standard Deviation %) Return Standard Deviation Lazard 7.01 10.85˜ MSCI AC World ex USA (Net)6.33 11.29˜ Median 6.53 12.47¾ 2.36 2.95 3.54 4.13 4.72 5.31 Return (%)11.07 11.48 11.89 12.30 12.71 13.12 13.53 Risk (Standard Deviation %) Return Standard Deviation Lazard 4.64 11.26˜ MSCI AC World ex USA (Net)2.90 12.37˜ Median 4.05 13.03¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 2.59 97.70 91.94 1.03 0.23 0.54 0.94 7.06 MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.47 1.00 7.58 90 Day U.S. Treasury Bill 11.33 4.79 -4.47 1.56 -0.47 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 2.97 92.72 80.99 1.98 0.52 0.37 0.89 7.31 MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.22 1.00 8.24 90 Day U.S. Treasury Bill 12.37 3.11 -2.37 0.96 -0.22 N/A 0.00 0.01 Performance Review As of September 30, 2019 Lazard NONE Page 44 Peer Group Analysis - IM International Large Cap Core Equity (SA+CF) Comparative Performance -10.00 -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Pictet -0.44 (29)-3.28 (72)-3.28 (72)-1.05 (74)5.76 (70)7.40 (35)4.74 (31)˜ MSCI EAFE Index -1.00 (37)-0.82 (40)-0.82 (40)1.20 (37)7.01 (40)7.02 (45)3.77 (55)˜ Median -1.42 -1.56 -1.56 0.38 6.45 6.78 3.87 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2018 2017 2016 2015 2014 Pictet -19.45 (96)29.12 (30)3.50 (23)6.24 (9)-11.26 (100)˜ MSCI EAFE Index -13.36 (36)25.62 (62)1.51 (51)-0.39 (56)-4.48 (58)˜ Median -14.64 26.48 1.52 0.25 -3.70 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Pictet 2.54 (78)14.28 (7)-17.10 (97)-1.42 (97)0.35 (10)-1.78 (79) MSCI EAFE Index 3.97 (33)10.13 (71)-12.50 (31)1.42 (37)-0.97 (33)-1.41 (69) IM International Large Cap Core Equity (SA+CF) Median 3.58 10.85 -13.18 1.01 -1.81 -0.87 Performance Review As of September 30, 2019 Pictet NONE Page 45 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date -5.0 0.0 5.0 10.0 15.0 20.0 Pictet (%)-5.0 0.0 5.0 10.0 15.0 20.0 MSCI EAFE Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Pictet 20 6 (30%)3 (15%)8 (40%)3 (15%)˜ MSCI EAFE Index 20 0 (0%)4 (20%)16 (80%)0 (0%)˜ 5.74 6.15 6.56 6.97 7.38 Return (%)10.32 10.75 11.18 11.61 12.04 12.47 12.90 13.33 Risk (Standard Deviation %) Return Standard Deviation Pictet 5.76 12.78˜ MSCI EAFE Index 7.01 10.91˜ Median 6.45 11.52¾ 3.30 3.63 3.96 4.29 4.62 4.95 Return (%)11.76 12.00 12.24 12.48 12.72 12.96 13.20 13.44 Risk (Standard Deviation %) Return Standard Deviation Pictet 4.74 13.22˜ MSCI EAFE Index 3.77 12.15˜ Median 3.87 12.16¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 3.85 106.98 118.90 -1.85 -0.25 0.38 1.12 8.88 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.54 1.00 7.24 90 Day U.S. Treasury Bill 10.95 4.15 -5.72 1.56 -0.54 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 3.73 106.94 101.86 0.87 0.29 0.34 1.05 8.68 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.29 1.00 8.15 90 Day U.S. Treasury Bill 12.15 2.65 -2.96 0.96 -0.29 N/A 0.00 0.01 Performance Review As of September 30, 2019 Pictet NONE Page 46 Peer Group Analysis - IM Emerging Markets Equity (SA+CF) Comparative Performance -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Berkeley Street -0.71 (7)6.43 (15)6.43 (15)1.36 (21)8.02 (25)12.29 (10)5.11 (14)˜ MSCI Emerging Markets -4.11 (61)-1.63 (66)-1.63 (66)-1.04 (46)6.37 (45)8.98 (49)2.71 (56)˜ Median -3.64 0.05 0.05 -1.24 5.96 8.89 3.07 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2018 2017 2016 2015 2014 Berkeley Street -14.36 (38)37.00 (48)13.42 (26)-11.62 (42)-3.83 (83)˜ MSCI Emerging Markets -14.25 (36)37.75 (42)11.60 (40)-14.60 (67)-1.82 (70)˜ Median -15.24 36.81 10.32 -12.64 -0.09 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Berkeley Street 1.65 (49)14.02 (13)-7.53 (57)-3.19 (61)-6.08 (15)1.86 (49) MSCI Emerging Markets Index 0.74 (75)9.97 (54)-7.40 (53)-0.95 (34)-7.86 (42)1.47 (57) IM Emerging Markets Equity (SA+CF) Median 1.56 10.12 -7.25 -2.31 -8.27 1.77 Performance Review As of September 30, 2019 Berkeley Street NONE Page 47 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date -16.0 -8.0 0.0 8.0 16.0 24.0 Berkeley Street (%)-16.0 -8.0 0.0 8.0 16.0 24.0 MSCI Emerging Markets Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Berkeley Street 16 5 (31%)9 (56%)2 (13%)0 (0%)˜ MSCI Emerging Markets 20 0 (0%)5 (25%)13 (65%)2 (10%)˜ 5.60 6.30 7.00 7.70 8.40 9.10 Return (%)13.60 13.68 13.76 13.84 13.92 14.00 14.08 14.16 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 8.02 14.03˜ MSCI Emerging Markets 6.37 13.85˜ Median 5.96 13.70¾ 1.64 2.46 3.28 4.10 4.92 5.74 Return (%)14.60 14.80 15.00 15.20 15.40 15.60 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 5.11 15.08˜ MSCI Emerging Markets 2.71 15.43˜ Median 3.07 14.78¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 6.25 90.95 76.84 2.22 0.25 0.51 0.91 8.92 MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.41 1.00 8.98 90 Day U.S. Treasury Bill 13.89 3.62 -4.44 1.56 -0.41 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 5.31 95.42 82.67 2.61 0.43 0.34 0.92 9.47 MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.19 1.00 10.01 90 Day U.S. Treasury Bill 15.42 2.31 -2.22 0.96 -0.19 N/A 0.00 0.01 Performance Review As of September 30, 2019 Berkeley Street NONE Page 48 Peer Group Analysis - IM Long/Short Equity (MF) Comparative Performance -20.00 -16.00 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR ABS Global 1.16 (34)0.33 (44)0.33 (44)2.02 (60)4.93 (48)3.38 (65)3.77 (51)˜ HFRI FOF: Strategic Index -1.61 (81)-0.99 (53)-0.99 (53)0.63 (73)3.27 (67)2.75 (75)1.97 (75)˜ Median 0.54 -0.58 -0.58 3.01 4.86 4.61 3.87 -28.00 -22.00 -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 Return2018 2017 2016 2015 2014 ABS Global -6.49 (56)12.86 (37)-3.38 (87)4.00 (18)4.85 (44)˜ HFRI FOF: Strategic Index -6.67 (57)11.22 (50)-0.05 (75)-0.54 (53)3.08 (59)˜ Median -5.80 11.21 4.58 -0.31 3.97 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 ABS Global 2.03 (47)5.70 (56)-8.03 (42)0.75 (83)0.34 (60)0.57 (25) HFRI FOF: Strategic Index 1.30 (61)6.21 (52)-6.47 (28)-0.62 (90)0.00 (66)0.41 (28) IM Long/Short Equity (MF) Median 1.87 6.37 -9.13 2.96 0.94 -0.76 Performance Review As of September 30, 2019 ABS Global NONE Page 49 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date -4.0 0.0 4.0 8.0 12.0 16.0 ABS Global (%)-4.0 0.0 4.0 8.0 12.0 16.0 HFRI FOF: Strategic Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count ABS Global 20 0 (0%)10 (50%)9 (45%)1 (5%)˜ HFRI FOF: Strategic Index 20 0 (0%)0 (0%)16 (80%)4 (20%)˜ 2.36 2.95 3.54 4.13 4.72 5.31 Return (%)3.84 4.48 5.12 5.76 6.40 7.04 7.68 8.32 8.96 Risk (Standard Deviation %) Return Standard Deviation ABS Global 4.93 5.99˜ HFRI FOF: Strategic Index 3.27 4.84˜ Median 4.86 8.26¾ 1.30 1.95 2.60 3.25 3.90 4.55 Return (%)4.48 5.04 5.60 6.16 6.72 7.28 7.84 8.40 8.96 Risk (Standard Deviation %) Return Standard Deviation ABS Global 3.77 6.22˜ HFRI FOF: Strategic Index 1.97 5.13˜ Median 3.87 8.12¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 2.46 125.65 109.00 1.22 0.68 0.58 1.13 4.10 HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.37 1.00 3.29 90 Day U.S. Treasury Bill 4.89 11.61 -11.96 1.56 -0.37 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 2.86 121.53 97.86 1.66 0.63 0.47 1.08 4.45 HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.22 1.00 3.80 90 Day U.S. Treasury Bill 5.14 7.57 -6.34 0.96 -0.22 N/A 0.00 0.01 Performance Review As of September 30, 2019 ABS Global NONE Page 50 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR CS McKee 2.50 (15)10.47 (51)10.47 (51)4.80 (42)3.34 (54)3.86 (57)3.77 (50)˜ Bl. Barclays U.S. Aggregate 2.27 (73)10.30 (70)10.30 (70)4.38 (85)2.92 (92)3.49 (90)3.38 (91)˜ Median 2.34 10.48 10.48 4.71 3.38 3.97 3.76 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 Return2018 2017 2016 2015 2014 CS McKee 0.09 (47)3.77 (66)2.90 (63)1.50 (11)6.02 (64)˜ Bl. Barclays U.S. Aggregate 0.01 (61)3.54 (85)2.65 (77)0.55 (75)5.97 (67)˜ Median 0.07 4.06 3.12 0.83 6.17 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 CS McKee 3.04 (77)3.23 (49)1.33 (57)0.12 (62)-0.01 (28)-1.33 (42) Blmbg. Barc. U.S. Aggregate Index 3.08 (71)2.94 (83)1.64 (23)0.02 (84)-0.16 (73)-1.46 (67) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 3.14 3.22 1.39 0.18 -0.09 -1.37 Performance Review As of September 30, 2019 CS McKee Composite Return Data NONE Page 51 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 0.0 1.5 3.0 4.5 6.0 CS McKee (%)0.0 1.5 3.0 4.5 6.0 Blmbg. Barc. U.S. Aggregate Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count CS McKee 20 0 (0%)9 (45%)10 (50%)1 (5%)˜ Bl. Barclays U.S. Aggregate 20 0 (0%)0 (0%)0 (0%)20 (100%)˜ 2.80 3.00 3.20 3.40 3.60 Return (%)3.04 3.08 3.12 3.16 3.20 3.24 3.28 3.32 3.36 Risk (Standard Deviation %) Return Standard Deviation CS McKee 3.34 3.12˜ Bl. Barclays U.S. Aggregate 2.92 3.30˜ Median 3.38 3.25¾ 3.20 3.40 3.60 3.80 4.00 Return (%)2.80 2.85 2.90 2.95 3.00 3.05 3.10 Risk (Standard Deviation %) Return Standard Deviation CS McKee 3.77 2.85˜ Bl. Barclays U.S. Aggregate 3.38 3.05˜ Median 3.76 3.02¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 0.36 101.00 88.62 0.57 1.09 0.60 0.94 1.67 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.44 1.00 1.88 90 Day U.S. Treasury Bill 3.20 17.41 -16.80 1.44 -0.44 N/A 0.03 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 0.41 100.28 85.49 0.63 0.92 1.00 0.93 1.42 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.81 1.00 1.61 90 Day U.S. Treasury Bill 3.00 11.01 -12.64 0.89 -0.81 N/A 0.02 0.01 Performance Review As of September 30, 2019 CS McKee Composite Return Data NONE Page 52 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Loomis Fixed Income 2.08 (91)9.17 (96)9.17 (96)4.71 (50)4.02 (12)5.33 (4)3.71 (56)˜ Bl. Barclays U.S. Aggregate 2.27 (73)10.30 (70)10.30 (70)4.38 (85)2.92 (92)3.49 (90)3.38 (91)˜ Median 2.34 10.48 10.48 4.71 3.38 3.97 3.76 -6.00 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 Return2018 2017 2016 2015 2014 Loomis Fixed Income -0.15 (75)5.76 (3)7.45 (2)-2.80 (100)7.18 (12)˜ Bl. Barclays U.S. Aggregate 0.01 (61)3.54 (85)2.65 (77)0.55 (75)5.97 (67)˜ Median 0.07 4.06 3.12 0.83 6.17 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Loomis Fixed Income 3.09 (66)3.53 (16)0.19 (97)0.57 (7)-0.26 (89)-0.65 (8) Blmbg. Barc. U.S. Aggregate Index 3.08 (71)2.94 (83)1.64 (23)0.02 (84)-0.16 (73)-1.46 (67) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 3.14 3.22 1.39 0.18 -0.09 -1.37 Performance Review As of September 30, 2019 Loomis Fixed Income NONE Page 53 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 2.0 4.0 6.0 8.0 Loomis Fixed Income (%)0.0 2.0 4.0 6.0 8.0 Blmbg. Barc. U.S. Aggregate Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Fixed Income 20 14 (70%)2 (10%)2 (10%)2 (10%)˜ Bl. Barclays U.S. Aggregate 20 0 (0%)0 (0%)0 (0%)20 (100%)˜ 2.34 2.73 3.12 3.51 3.90 4.29 Return (%)2.80 2.88 2.96 3.04 3.12 3.20 3.28 3.36 3.44 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 4.02 2.93˜ Bl. Barclays U.S. Aggregate 2.92 3.30˜ Median 3.38 3.25¾ 3.20 3.40 3.60 3.80 4.00 Return (%)3.01 3.08 3.15 3.22 3.29 3.36 3.43 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 3.71 3.37˜ Bl. Barclays U.S. Aggregate 3.38 3.05˜ Median 3.76 3.02¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 1.24 99.32 63.19 1.58 0.84 0.86 0.82 1.68 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.44 1.00 1.88 90 Day U.S. Treasury Bill 3.20 17.41 -16.80 1.44 -0.44 N/A 0.03 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 2.25 96.48 78.45 0.89 0.15 0.83 0.84 1.82 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.81 1.00 1.61 90 Day U.S. Treasury Bill 3.00 11.01 -12.64 0.89 -0.81 N/A 0.02 0.01 Performance Review As of September 30, 2019 Loomis Fixed Income NONE Page 54 Peer Group Analysis - IM Global Fixed Income (SA+CF) Comparative Performance -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 17.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Franklin Templeton -2.53 (97)2.18 (90)2.18 (90)0.51 (89)3.96 (48)3.27 (87)0.89 (95)˜ JPM Global Government Bond 1.14 (53)8.72 (33)8.72 (33)3.41 (60)1.23 (95)3.23 (87)2.08 (79)˜ Median 1.24 7.34 7.34 3.76 3.90 4.66 3.39 -20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 Return2018 2017 2016 2015 2014 Franklin Templeton 1.72 (7)2.22 (96)6.19 (47)-4.75 (80)1.83 (59)˜ JPM Global Government Bond -0.65 (30)6.83 (59)1.57 (90)-2.61 (54)0.67 (76)˜ Median -1.80 7.57 5.85 -2.32 2.73 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Franklin Templeton 1.30 (92)2.04 (89)1.42 (10)1.31 (34)-2.54 (69)1.58 (25) JPM Global Government Bond Index 3.49 (33)1.82 (92)2.01 (4)-1.70 (96)-3.04 (76)2.18 (14) IM Global Fixed Income (SA+CF) Median 3.10 3.83 -0.99 0.56 -0.85 0.25 Performance Review As of September 30, 2019 Franklin Templeton NONE Page 55 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date -6.0 -3.0 0.0 3.0 6.0 9.0 Franklin Templeton (%)-6.0 -3.0 0.0 3.0 6.0 9.0 JPM Global Government Bond Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Franklin Templeton 20 0 (0%)6 (30%)7 (35%)7 (35%)˜ JPM Global Government Bond 20 0 (0%)1 (5%)4 (20%)15 (75%)˜ 0.00 1.00 2.00 3.00 4.00 5.00 Return (%)3.69 4.10 4.51 4.92 5.33 5.74 6.15 6.56 6.97 Risk (Standard Deviation %) Return Standard Deviation Franklin Templeton 3.96 6.31˜ JPM Global Government Bond 1.23 5.32˜ Median 3.90 4.12¾ 0.00 1.00 2.00 3.00 4.00 Return (%)4.29 4.62 4.95 5.28 5.61 5.94 6.27 6.60 6.93 Risk (Standard Deviation %) Return Standard Deviation Franklin Templeton 0.89 6.33˜ JPM Global Government Bond 2.08 5.09˜ Median 3.39 4.60¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Franklin Templeton 9.78 -5.09 -67.81 4.86 0.28 0.40 -0.49 4.21 JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A -0.03 1.00 3.81 90 Day U.S. Treasury Bill 5.24 9.65 -11.35 1.51 0.03 N/A 0.02 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Franklin Templeton 9.26 -27.52 -56.30 1.94 -0.12 0.02 -0.38 4.45 JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A 0.25 1.00 3.36 90 Day U.S. Treasury Bill 5.04 6.31 -7.63 0.94 -0.25 N/A 0.01 0.01 Performance Review As of September 30, 2019 Franklin Templeton NONE Page 56 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 17.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Morgan Stanley 1.72 (60)7.85 (34)7.85 (34)8.50 (46)9.06 (30)9.49 (33)10.99 (31)˜ NCREIF Fund Index-ODCE 1.31 (87)5.60 (90)5.60 (90)7.13 (83)7.31 (82)7.99 (84)9.35 (78)˜ Median 1.80 7.05 7.05 8.35 8.43 9.15 9.97 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 Return2018 2017 2016 2015 2014 Morgan Stanley 9.05 (40)9.86 (13)9.98 (47)15.93 (37)15.49 (26)˜ NCREIF Fund Index-ODCE 8.35 (52)7.62 (63)8.77 (81)15.02 (52)12.50 (76)˜ Median 8.42 8.08 9.63 15.23 13.59 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Morgan Stanley 2.11 (4)1.57 (82)2.23 (14)2.22 (46)2.06 (67)2.25 (45) NCREIF Fund Index-ODCE (VW)1.00 (90)1.42 (84)1.76 (51)2.09 (54)2.05 (67)2.20 (52) IM U.S. Open End Private Real Estate (SA+CF) Median 1.46 1.99 1.76 2.10 2.22 2.21 Performance Review As of September 30, 2019 Morgan Stanley NONE Page 57 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 3.0 6.0 9.0 12.0 15.0 18.0 Morgan Stanley (%)3.0 6.0 9.0 12.0 15.0 18.0 NCREIF Fund Index-ODCE (VW) (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Morgan Stanley 20 3 (15%)17 (85%)0 (0%)0 (0%)˜ NCREIF Fund Index-ODCE 20 0 (0%)0 (0%)18 (90%)2 (10%)˜ 6.49 7.08 7.67 8.26 8.85 9.44 Return (%)0.50 0.60 0.70 0.80 0.90 1.00 1.10 1.20 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 9.06 0.59˜ NCREIF Fund Index-ODCE 7.31 0.71˜ Median 8.43 1.12¾ 8.96 9.52 10.08 10.64 11.20 11.76 Return (%)1.54 1.61 1.68 1.75 1.82 1.89 1.96 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 10.99 1.64˜ NCREIF Fund Index-ODCE 9.35 1.57˜ Median 9.97 1.87¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.63 123.20 N/A 5.68 2.62 8.03 0.45 0.00 NCREIF Fund Index-ODCE (VW)0.00 100.00 N/A 0.00 N/A 5.73 1.00 0.00 90 Day U.S. Treasury Bill 0.98 21.46 N/A 3.70 -5.73 N/A -0.30 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.74 116.91 N/A 2.13 2.08 4.86 0.94 0.00 NCREIF Fund Index-ODCE (VW)0.00 100.00 N/A 0.00 N/A 4.19 1.00 0.00 90 Day U.S. Treasury Bill 1.93 10.61 N/A 2.94 -4.19 N/A -0.22 0.00 Performance Review As of September 30, 2019 Morgan Stanley NONE Page 58 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 17.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Prudential PRISA II 1.71 (60)6.79 (71)6.79 (71)8.68 (41)8.55 (43)9.44 (34)10.74 (34)˜ NCREIF Property Index 1.41 (83)6.24 (87)6.24 (87)6.70 (91)6.76 (87)7.37 (89)8.57 (91)˜ Median 1.80 7.05 7.05 8.35 8.43 9.15 9.97 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 Return2018 2017 2016 2015 2014 Prudential PRISA II 9.43 (29)8.05 (54)10.37 (40)17.35 (28)14.21 (30)˜ NCREIF Property Index 6.72 (85)6.96 (82)7.97 (88)13.33 (75)11.82 (82)˜ Median 8.42 8.08 9.63 15.23 13.59 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 1 Qtr Ending Dec-2018 1 Qtr Ending Sep-2018 1 Qtr Ending Jun-2018 1 Qtr Ending Mar-2018 Prudential PRISA II 1.47 (42)1.98 (54)1.45 (73)2.29 (43)2.25 (48)3.12 (8) NCREIF Property Index 1.51 (35)1.80 (73)1.37 (76)1.67 (80)1.81 (87)1.70 (87) IM U.S. Open End Private Real Estate (SA+CF) Median 1.46 1.99 1.76 2.10 2.22 2.21 Performance Review As of September 30, 2019 Prudential PRISA II NONE Page 59 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 3.0 6.0 9.0 12.0 15.0 18.0 Prudential PRISA II (%)3.0 6.0 9.0 12.0 15.0 18.0 NCREIF Property Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Prudential PRISA II 20 3 (15%)17 (85%)0 (0%)0 (0%)˜ NCREIF Property Index 20 0 (0%)0 (0%)0 (0%)20 (100%)˜ 6.30 6.93 7.56 8.19 8.82 9.45 Return (%)0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 8.55 1.10˜ NCREIF Property Index 6.76 0.29˜ Median 8.43 1.12¾ 7.50 8.25 9.00 9.75 10.50 11.25 Return (%)1.20 1.40 1.60 1.80 2.00 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 10.74 1.89˜ NCREIF Property Index 8.57 1.31˜ Median 9.97 1.87¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 0.93 125.67 N/A -7.83 1.81 5.35 2.48 0.00 NCREIF Property Index 0.00 100.00 N/A 0.00 N/A 9.16 1.00 0.00 90 Day U.S. Treasury Bill 0.55 23.14 N/A 4.63 -9.16 N/A -0.46 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 1.06 124.55 N/A 0.31 1.92 4.26 1.21 0.00 NCREIF Property Index 0.00 100.00 N/A 0.00 N/A 4.43 1.00 0.00 90 Day U.S. Treasury Bill 1.66 11.55 N/A 2.99 -4.43 N/A -0.24 0.00 Performance Review As of September 30, 2019 Prudential PRISA II NONE Page 60 Total Policy Historical Hybrid Composition Allocation Mandate Weight (%) Oct-1986 Oakland County Historical Policy Data 100.00 Oct-2013 S&P 500 Index 25.00 Russell Midcap Index 7.50 Russell 2000 Index 7.50 MSCI AC World ex USA 15.00 Blmbg. Barc. U.S. Aggregate Index 30.00 JPM Global Government Bond Index 5.00 NCREIF Fund Index-ODCE (VW) (Net)10.00 Jul-2017 S&P 500 Index 23.00 Russell Midcap Index 7.50 Russell 2000 Index 7.50 MSCI AC World ex USA 15.00 Blmbg. Barc. U.S. Aggregate Index 30.00 JPM Global Government Bond Index 5.00 Blmbg. Barc. U.S. Corp High Yield 2.00 NCREIF Fund Index-ODCE (VW)10.00 Total Equity Historical Hybrid Composition Allocation Mandate Weight (%) Jan-1979 Russell 3000 Index 90.00 MSCI EAFE Index 10.00 Jul-2017 S&P 500 Index 45.00 Russell Midcap Index 13.75 Russell 2000 Index 13.75 MSCI AC World ex USA 27.50 Total International Equity Historical Hybrid Composition Allocation Mandate Weight (%) Jan-1970 MSCI EAFE Index 100.00 Oct-2012 MSCI AC World ex USA 100.00 Benchmark History Investment Policy Benchmarks As of September 30, 2019 Page 61 Total Fixed Income Historical Hybrid Composition Allocation Mandate Weight (%) Jan-1986 Blmbg. Barc. U.S. Aggregate Index 85.00 JPM Global Government Bond Index 15.00 Jul-2017 Blmbg. Barc. U.S. Aggregate Index 80.00 JPM Global Government Bond Index 15.00 Blmbg. Barc. U.S. Corp High Yield 5.00 Benchmark History Investment Policy Benchmarks As of September 30, 2019 Page 62 Report Statistics Definitions and Descriptions Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period. Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's non-systemic return, or its historical performance not explained by movements of the market. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the product’s performance. Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against. Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. A higher factor is indicative of a riskier product. Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the Information Ratio, the more the manager has added value to the portfolio. Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index. R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has historically moved in the same direction as the appropriate benchmark. Return - Compounded rate of return for the period. Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A higher value demonstrates better historical risk-adjusted performance. Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period. Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund to date. It is a good measure of performance before the end of a fund’s life Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark. Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance. Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance. Page 63 Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 64 CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENO