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Home My WebLink AboutReports - 2019.12.31 - 33097<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="1" EffectiveDate="12/31/2019" Interval="3" Description="Quarterly Report" /> Investment Performance Review Period Ending December 31, 2019 Oakland County ERS Defined Benefit Plan Executive Summary Page 1 Asset Allocation Vs. Policy Targets Page 14 Asset Allocation Pie Charts Page 16 Historical Asset Allocation Page 18 Financial Reconciliation Page 20 Performance Review Trailing Periods Page 23 Comparative Performance IRR Page 27 Total Fund Analysis Page 29 SSgA S&P 500 Page 31 SSgA S&P 500 Equal Weighted Page 33 T. Rowe Price Page 35 Wedge Capital Partners Page 37 TimesSquare Page 39 Lee Munder -LMCGl Page 41 Loomis Small Cap Page 43 Lazard Page 45 Pictet Page 47 Berkeley Street Page 49 ABS Global Page 51 CS McKee Page 53 Loomis Fixed Income Page 55 Franklin Templeton Page 57 Morgan Stanley Page 59 Prudential PRISA II Page 61 Benchmark History Page 63 Definitions & Disclosure Pages Page 65 Table Of Contents EXECUTIVE SUMMARY: 4Q 2019 Market Summary: The dual inspiration of a possible resolution to the trade war and stimulus from central banks drove the equity markets into full rally mode during the fourth quarter. The encouraging tone on US-China trade negotiations boosted the prospects of stronger global economic growth across the developed and emerging markets. Equities were further aided by a rate cut from the US Federal Reserve and continued stimulus from other major central banks. Domestically, small caps and growth led the way this quarter, as is often the case during strong “risk on” periods. The S&P 500 returned 9.1% during the quarter, lagging the Russell 2000’s 9.9% gain (Russell 2000 Growth returned 11.4%). International markets benefited from a declining dollar with the Emerging Markets generating the biggest gains; the MSCI EAFE index rose 8.2% and the MSCI EM Index posted an 11.8%. After three quarters of strong performance to start 2019, the fixed income markets took a breather this quarter. Interest rates trended modestly higher as additional rate cuts were not anticipated. The BB US Aggregate Index returned 0.2% for the quarter; treasuries were the weakest segment (-0.8%) and investment grade corporates the strongest (1.2%). 2019 was a great year for investors – fixed income was up over 8% and equities return 20 – 30%. Conclusions/Recommendations: 1. The Total Fund returned 4.88% 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 17.89% over the past year, ranking near the median fund in the peer group but under performing the Policy Index by 0.52%. The underperformance may be partial attributed to weak performance from several of the active managers, particularly Wedge and Templeton (global fixed income). Over the past five years the Fund has performed well, ranking in the top half of the universe and performing in line with the Policy Index. 3. Wedge under performed for the six consecutive quarter; the manager significantly trails their benchmark and peer group expectation over the past year. Wedge struggled with stock selection within Retail and Basic Materials this quarter. The manager was placed on “Watch” two quarters due to weak relative performance; they will be closely monitored in the coming months. 4. Berkeley Street exceeded their benchmark by 0.96% and ranked in the top quartile of the peer group this quarter. The manager benefited from strong stock selection in China, India, and Brazil and within the Consumer Discretionary and Communication Services sectors. The manager outperformed by 11% in 2019 and exceeds longer-term performance expectations. 5. Templeton rebounded this quarter, outperforming their benchmark this quarter. The excess performance is attributed to exposure to EM Debt and less interest rate risk as yields trended higher. Longer-term, the managers results are mixed versus performance expectations. 6. At quarter end all allocations were within policy ranges and near target allocations. The following managers have not reported results for the fourth quarter: JP Morgan Euro, AEW Real Estate, and Alidade. Managers on Watch: Wedge Capital 7. AndCo recommends no changes at this time. Page 1 AndCoFirm UpdateFirst and foremost, “Thank you” for giving AndCo the opportunity to serve you.On behalf of our entire organization, we are extremely grateful and appreciativeof our client partnerships and will continue working hard to maintain yourtrustand confidence. Our mission statement reads “To represent the sole interest ofour clients by redefining independence.” We’re happy to report that we remainsteadfast in this core belief and continue to build an organization with a servicemodel that is independent, singularly focused, customized and passionatelydelivered.2020 is a big year for AndCo. We are celebrating our 20-year anniversary ofserving our valuable clients. As we start 2020, we are 89 people strongadvising approximately $92 billion in client assets – a record high. In 2019wehired 9 new team members. All departments within AndCo have grown overthe years as we thoughtfully invest in our firm to provide the services youexpect. We have included our organizational chart in this report which yourconsultant will review to provide you a visualization of our continuedcommitment to service and quality.2020 will also represent another year of significant investment in theorganization. As a result, your feedback is invaluable as we continue to focusour reinvestment in areas that will enhance our services to clients. We wouldlike to thank everyone for their participation in our client survey last year. Yourhonesty and candor allowed us to accurately assess where we are strong andwhere there are opportunities for improvement. The areas where our clientsindicate potential room for improvement drive much of our investment andfocus.Thisisaprimaryreasonwhywehired7newteammembersinourresearch group last year to help promote investment ideas and support ourconsultants. Today, we have 19 dedicated research analysts. As 2020progresses, we are targeting additional investments within our finance,compliance, human resources, information technology, marketing and researchdepartments.Moreover, each January we have our annual firmwide retreat. This retreat isagreat time for all of our employees to spend time together and for us toreinforce everyone’s understanding of AndCo’s primary purpose, share resultshighlighted by our strategic goals, and review areas of focus for the upcomingyear. Since the inception of AndCo, the idea has been to make the firm amultigenerational organization owned and operated by its employees. As aresult, since 2015, along with the strategic elements of our annual retreat, wealso announce new partners of the firm to support our succession plan and thelong-term sustainability of the organization. Today we have a total of 10partners controlling 100% of the company. This year we added two newpartners Kim Spurlin and Evan Scussel. Kim has been on our ExecutiveLeadership team for the past 7 years and currently serves as our CFO. Evanhas been on our research team for 7 years and was recently promoted to aResearch Director. We couldn’t be happier for both Kim and Evan.The evolution of our firm would not be possible without great client partners likeyou. Our name reminds us who we work for every day “Our Client” &Co. Youwill always be our first priority. As we continue to discuss strategic decisionsregarding our firm, please know every decision is filtered through the followingquestion “How does this benefit our clients?” and if it doesn’t benefit you,wedon’t do it, it’s that simple. We said this last year and we’ll say it again nextyear. If this commitment ever falters, you need to find a new consultant.We know each of our clients is facing many challenges and we want to bethere to help support you through all environments. We are honored andhumbled that you have chosen AndCo as your partner. We do not take thatrelationship and responsibility for granted and will continue to work tirelessly toexceed your expectations.On behalf of AndCo, thank you for your valued partnership and the opportunityto serve you.Mike Welker, CFA®CEOPage 2 Organizational ChartPARTNERSHIPAustin Brewer, CFAPublic Fixed IncomeBen Baldridge, CFA, CAIAPrivate & Hedged Fixed IncomeDavid JulierReal Estate & Real AssetsElizabeth WolfeCapital Markets & Asset AllocationEvan Scussel, CFA, CAIAPrivate & Public EquityJeffrey KaranskyPublic EquityJeremy FischPublic Multi Assets & Fixed IncomeJoseph Ivaszuk Operational Due DiligenceJosue Christiansen, CIPMPublic EquityJulie Baker, CFAPrivate & Hedged EquityJustin Ellsesser, CFA, CAIAPrivate EquityKadmiel Onodje, CAIAHedged & Public Multi AssetsKai Petersen, CFAAsset Liability & Capital MarketsKevin Laake, CFAPrivate EquityMatthew OgrenPublic Fixed IncomePhilip Schmitt, CIMAFixed Income & Capital MarketsRob Mills, CAIAReal Estate & Real AssetsTim Kominiarek, CAIAPrivate Equity & InfrastructureZac Chichinski, CFA, CIPMPublic EquityRESEARCHDonna SullivanAlbert SauerlandAmy FosterAnnie LopezBrooke Wilson, CIPMDavid Gough, CPFADonnell LehrerGrace NiebrzydowskiJeff PruniskiJohn Rodak, CIPMJunyan PengKim HummelMary Ann JohnsonMeghan HainesMisha BellRosemarie KieskowskiYoon Lee-ChoiCLIENT SOLUTIONS Annette BidartBrad Hess, CFABrendon Vavrica, CFPBrian GreenBrian KingChris Kuhn, CFA, CAIAChristiaan Brokaw, CFADave West, CFADoug AndersonGwelda SwilleyIan JonesCONSULTINGJames RossJeff Kuchta, CFAJennifer BrozstekJennifer Gainfort, CFAJoe Carter, CPFAJohn McCann, CIMAJohn MellingerJohn Thinnes, CFA, CAIAJon Breth, CFPJustin Lauver, Esq.Kerry Richardville, CFAMary NyeMichael FleinerMichael Holycross, CIMAMike BostlerPaul Murray, CPFAPeter BrownTim NashTim WaltersTony KayTrevor JacksonTyler Grumbles, CFA, CIPM21 CFA5 CIPM8 CAIA33ADVANCEDDEGREES89EMPLOYEESOPERATIONSFINANCEBrandie RiveraOPERATIONSDan Osika, CFAJerry CamelI.T.Jamie UttMARKETINGBonnie BurgessKim GoodearlTala ChinMike Welker, CFABryan Bakardjiev, CFADavid RaySara SearleTroy Brown, CFAINVESTMENT POLICY COMMITTEEUpdated as of 01/13/20Mike Welker, CFABryan Bakardjiev, CFADan JohnsonDavid RayDonna SullivanEvan Scussel, CFA, CAIAJason PurdyKim Spurlin, CPA Steve GordonTroy Brown, CFALEADERSHIP & MANAGEMENTMike Welker, CFACEOBryan Bakardjiev, CFACOOKim Spurlin, CPA CFOSara SearleCCORachel Brignoni, MHRCHROSteve GordonPartnerTroy Brown, CFAExecutive DirectorDavid Ray Executive DirectorDan JohnsonConsulting DirectorDerek Tangeman, CFP, CIMAMarketing DirectorEvan Scussel, CFA, CAIAResearch DirectorJack EvattConsulting DirectorJacob PeacockConsulting DirectorJason PurdyI.T. DirectorPhilip Schmitt, CIMAResearch DirectorPage 3 4th Quarter 2019 Market EnvironmentPage 4 Broad asset class returns were positive during the 4thquarter of 2019 with theexception of the US Gov’t bond index. Both US and international equitymarkets benefited from positive developments concerning trade disruptions.Generally, the dispersion between US and international developed equitieswas muted during the quarter. Emergingmarkets significantly outperformed aspreviously noted trade tensions between the US and China eased. Monetarypolicy remained supportive with the Federal Reserve (Fed) cutting rates onceduring the period in addition to providing liquidity to the market throughsecurity purchases which acted as a catalyst to risk assets. Within domesticequity markets, the performance dispersion between large cap and small capstocks reversed during the quarter with the S&P 500 Index returning 9.1%versus a return of 9.9% for the small cap Russell 2000 Index. 2019performance of US equity markets was the highest since 2013 with large andmid-cap stocks returning 31.5% and 30.5%, respectively, while small capstocks posted a return of 25.5%.International equity market returns were strong during the 4thquarter. Similarto US markets, international performance was impacted by continuedmonetary policy relief from the Bank of Japan and the European Central Bank,positive developments around global trade, and likely resolution on Brexit.International returns were also buoyed by a weakening US dollar (USD) whichdeclined against most major currencies during the period. Emerging marketsoutperformed relative to developed markets during the period with the MSCIEmerging Markets Index posting a gain of 11.8% compared to a return of 8.2%for the MSCI EAFE Index. Both developed and emerging markets postedstrong returns over the 1-year period, returning 22.0% and 18.4% respectively.Fixed income index performance was muted during the 4thquarter. The broadmarket Bloomberg Barclays Aggregate Index managed to gain 0.2% asinvestors favored equities and interest rates were generally flat duringthequarter as concerns over an immanent US recession eased. Investment gradecorporate bonds delivered solid performance for the 4thquarter returning 1.2%,which outperformed Treasury andsecuritized issues. Corporate bondsbenefitted from the same increased investor risk appetite that fueled equityreturns during the quarter. Overall, the bond market delivered strong trailing 1-year returns with the Bloomberg Barclays Aggregate posting a return of 8.7%.Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of December 31, 20190.5%1.2%0.7%0.8%-0.8%0.2%9.9%7.1%9.0%9.1%9.1%11.8%8.2%8.9%-2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUSQuarter Performance2.3%14.5%6.4%8.4%6.8%8.7%25.5%30.5%31.4%31.0%31.5%18.4%22.0%21.5%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0%3-Month T-BillBbg Barclays Corp IGBbg Barclays MBSBbg Barclays US TIPSBbg Barclays US GovtBbg Barclays US AggRussell 2000Russell MidCapRussell 1000Russell 3000S&P 500MSCI Emerg MktsMSCI EAFEMSCI ACWxUS1-Year PerformancePage 5 Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of December 31, 2019Against the largely positive global economic backdrop detailed on the previouspage, the US equity market delivered strong gains across the capitalizationand style spectrum for the 4thquarter of 2019. Growth stocks outperformedvalue stocks for the full capitalization range during the period. Further,asisoften the case during periods of strong “risk-on” performance, small cap growthstocks outpaced large cap growth stocks due primarily to an expectation thatsmaller companies have accelerated earnings growth relative to largecompanies.The Russell 2000 Growth Index was the best performing style index for theperiod, returning 11.4%, while large cap and mid-cap growth returned a solid10.6% and 8.2% respectively. The outperformance of small cap stocks acrossthe style spectrum for the period represented a reversal from previousquarters. The small cap Russell 2000 Index gained 9.9% during the periodversus a 9.0% return for the large cap Russell 1000 Index.When viewed over the most recent 1-year period, large cap stocks significantlyoutperformed small cap stocks with the Russell 1000 posting a strong 31.4%gain while the Russell 2000 delivered a solid 25.5% return. Unsurprisingly,given the recent strong market environment, value stocks also trailed theirgrowth counterparts over the trailing 1-year period. The technology-heavyRussell 1000 Growth Index was the best performing index over the 1-yearperiod delivering a stellar 36.5% return compared to a return of 26.5% for theRussell 1000 Value Index11.4%9.9%8.5%8.2%7.1%6.4%10.6%9.0%7.4%10.7%9.1%7.5%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series28.5%25.5%22.4%35.5%30.5%27.1%36.4%31.4%26.5%35.8%31.0%26.3%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 6 Performance was positive across alleleven large cap economic sectors forthe 4th quarter but four outpaced the return of the broader Russell 1000Index. The more economically sensitive sectors, such as technology,financials and communication services posted returns of 14.1%, 9.9% and9.2%, respectively, as investors’ expectations of future economic growthimproved. Health care stocks ralliedas the cost and drug pricing rhetoricfromDemocratic Presidential candidates softened. Technology was also a leaderwith stocks such as Apple experiencing strong holiday sales and Microsoftmaking a strong earnings announcement. Not surprisingly, defensive sectorssuch as consumer staples, industrials and energy underperformed thebroader market during the period. All eleven economic sectors were alsopositive over the 1-year trailing period with each sector posting a returninexcess of 20% for the year. Similar to the quarter’s results, economicallysensitive sectors outpaced defensive ones by a considerable margin. Thetechnology sector was 2019’s standout performer, posting an impressive49.6% for the year. The sector was buoyed by Apple’s 89.0% return andMicrosoft’s 57.6% return for the year. The financial sector, which returned31.8% for the year, also experienced strong earnings as recessionary fearssubsided and the US yield curve moved toward a more normal, positivelyslope. The only other economic sector to outperform the broader Russell1000 index return of 31.4% for the 1-year period was the communicationservices sector, which posted a return of 32.9% for the year.Quarterly results for small cap sectors were mixed compared to their largecap counterparts with seven of the eleven economic sectors outpacing theircorresponding large cap equivalents. Ten of the eleven small cap sectorsproduced positive absolute returnsduring the quarter, but similar to large capperformance, only three sectors managed to outpace the broad Russell 2000Index. Economically sensitive sectors were also the strongest performersinthe small cap space as investors expressed an appetite for risk. The healthcare sector was the quarter’s standout, posting a return of 22.4% for thequarter. The technology and materials sectors also posted double-digitperformance for the period with returns of 11.7% and 11.5% respectively.While not a significant weight in the index, the utilities, which are considereddefensive, was the only negative sector, posting a loss of -1.6%. Over thetrailing 1-year period, returns were broadly positive with only the highlycyclical energy sector, largely tied to oil prices, producing negativeperformance with a return of -6.3%. Similar to large cap performance,technology led the way with the sector returning a stellar 42.7% for the year.Returns were also impressive in the industrials, health care and real estatesectors, which posted gains of 29.9%, 29.4% and 29.1%, respectively, andfinished ahead of the Russell 2000 index return of 25.5% for the year.The Market EnvironmentGICS Sector Performance & (Sector Weight)As of December 31, 2019Source: Morningstar DirectAs 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. 25.6%29.1%22.9%49.6%30.0%21.4%31.8%10.6%26.9%27.9%32.9%0.5%0.3%6.4%14.1%5.7%14.4%9.9%5.8%3.5%5.5%9.2%0.0% 10.0% 20.0% 30.0% 40.0% 50.0%Utilities (3.3%)Real Estate (3.9%)Materials (2.8%)Info Technology (22.4%)Industrials (9.7%)Health Care (13.5%)Financials (13.2%)Energy (4.1%)Consumer Staples (6.9%)Consumer Disc (10.1%)Comm Services (9.9%)Russell 1000Quarter1-Year20.5%29.1%23.0%42.7%29.9%29.4%21.8%-6.3%15.9%21.5%9.4%-1.6%3.4%11.5%11.7%7.8%22.4%7.3%7.6%7.1%8.6%5.3%-10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0%Utilities (3.9%)Real Estate (8.2%)Materials (3.9%)Info Technology (13.6%)Industrials (16.2%)Health Care (16.7%)Financials (18.1%)Energy (3.1%)Consumer Staples (3.0%)Consumer Disc (11.0%)Comm Services (2.4%)Russell 2000Quarter1-YearPage 7 The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of December 31, 2019Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorApple Inc 4.40% 31.5% 89.0% Information Technology NovoCure Ltd 0.35%12.7% 151.7% Health CareMicrosoft Corp 4.02% 13.8% 57.6% Information Technology The Medicines Co 0.30% 69.9% 343.8% Health CareAmazon.com Inc 2.57% 6.4% 23.0% Consumer Discretionary Generac Holdings Inc 0.29% 28.4% 102.4% IndustrialsFacebook Inc A 1.65% 15.3% 56.6% Communication Services Lumentum Holdings Inc 0.29% 48.1% 88.8%Information TechnologyBerkshire Hathaway Inc B 1.49% 8.9% 10.9% Financials Teladoc Health Inc 0.29% 23.6% 68.9% Health CareJPMorgan Chase & Co 1.46% 19.4% 47.3% Financials Arrowhead Pharmaceuticals Inc 0.28% 125.1% 410.7% Health CareAlphabet Inc A 1.35% 9.7% 28.2% Communication Services Haemonetics Corp 0.28% -8.9% 14.8% Health CareAlphabet Inc Class C 1.35% 9.7% 29.1% Communication Services Marriott Vacations Worldwide Corp 0.25%24.8% 85.9% Consumer DiscretionaryJohnson & Johnson1.31% 13.5% 16.2% Health Care Performance Food Group Co 0.25% 11.9% 59.5%Consumer StaplesVisa Inc Class A 1.08% 9.4% 43.3% Information Technology Trex Co Inc0.25% -1.2% 51.4% IndustrialsTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorTesla Inc 0.20% 73.7% 25.7% Consumer Discretionary Constellation Pharmaceuticals Inc 0.03% 629.3% 1074.8% Health CareSarepta Therapeutics Inc 0.03% 71.3% 18.2% Health Care Forty Seven Inc 0.04% 513.2% 150.4% Health CareUbiquiti Inc 0.01% 60.1% 91.6% Information Technology ChemoCentryx Inc 0.08% 483.3% 262.5% Health CareAdvanced Micro Devices Inc 0.16%58.2% 148.4% Information Technology Axsome Therapeutics Inc 0.12% 410.7% 3565.2% Health CareQorvo Inc 0.05% 56.8% 91.4% Information Technology Kodiak Sciences Inc 0.08% 400.3% 913.4% Health CareZillow Group Inc A 0.01% 54.8% 45.5% Communication Services Karuna Therapeutics Inc 0.02% 361.6% N/A Health CareAlign Technology Inc 0.07% 54.2% 33.2%Health Care Intra-Cellular Therapies Inc 0.07% 359.3% 201.2% Health CareZillow Group Inc C 0.02% 54.1% 45.5%Communication Services Synthorx Inc 0.03% 329.6% 302.1% Health CareTransocean Ltd 0.01% 53.9% -0.9% Energy Mersana Therapeutics Inc 0.01% 262.7% 40.4% Health CareSkyworks Solutions Inc 0.07% 53.2%84.1% Information Technology VBI Vaccines Inc 0.01% 192.9% -13.8% Health CareBottom 10 Performing Stocks (by Quarter) Bottom 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorBeyond Meat Inc 0.01% -49.1% N/A Consumer Staples resTORbio Inc 0.00%-83.1% -82.7% Health CareSage Therapeutics Inc 0.01% -48.5% -24.6% Health Care TransEnterix Inc 0.00% -81.8% -95.0% Health CareChesapeake Energy Corp 0.00% -41.4%-60.7% Energy Unit Corp 0.00% -79.4% -95.1% EnergyServiceMaster Global Holdings Inc 0.02% -30.8% 5.2% Consumer Discretionary Cyclerion Therapeutics Inc Ord Shrs 0.00% -77.6% N/A Health CareTwitter Inc 0.08% -22.2% 11.5% Communication Services Waitr Holdings Inc Class A 0.00% -74.9% -97.1% Consumer DiscretionaryTaubman Centers Inc 0.01% -22.1% -27.0% Real Estate Intelsat SA 0.02%-69.2% -67.1% Communication ServicesElastic NV 0.01% -21.9% -10.0% Information Technology Contura Energy Inc 0.01% -67.6% -86.2% EnergyEtsy Inc 0.02% -21.6% -6.9% Consumer Discretionary McDermott International Inc 0.01% -66.5% -89.7% EnergySinclair Broadcast Group Inc 0.01%-21.5% 29.0% Communication Services Pareteum Corp 0.00% -66.1%-74.1% Communication ServicesVentas Inc 0.07% -19.9%3.4% Real Estate Exela Technologies Inc 0.00%-65.4% -89.5% Information TechnologyPage 8 Source: MSCI Global Index Monitor (Returns are Net)Broad international equity returns were positive in both local currency and USDterms for the 4th quarter as investors benefited from a broad “risk-on”environment. US investors also benefited as the USD weakened relative tomost major developed and emerging market currencies during the period.Within the broader currency moves that boosted USD return, the British poundand the Euro appreciated relative to the USD during the quarter which actedasa headwind to holdings in those sub-markets. However, the macro impact ofthe USD weakness for the period was positive for US investors for the broadmarket international indexes. The MSCI EAFE and ACWI ex US Indexesreturned 8.2% and 7.9% respectively for the quarter. Similar to US markets,international equity markets were buoyed by loose central bank monetarypolicies which supplied the markets with liquidity. Christine Lagarde assumedthe presidency of the European Central Bank (ECB) and announced thatinterest rates would remain negative at -0.5% while the Bank of Japan’s keyrate also remains in negative territory at -0.1%. The People’s Bank of Chinaannounced during the quarter that it would continue with its prudent monetarypolicy with the goal of providing stimulus measures as needed.As previously noted, results for developed market indexes were stronglypositive for the 4th quarter. European stocks moved higher on expectationsofa trade resolution between China and the US. In the UK, Prime Minster BorisJohnson received a resounding mandate in recent elections resulting in a largemajority in Parliament. The results make it highly likely that the UK will leavethe European Union. The decrease in Brexit uncertainty led the British poundto rally against most major currencies. In contrast, the economy in Hong Kongfell into recession as continued political protests and the Chinese government’sresponse detracted from growth. While not as strong as US equity marketreturns, each of the broad, developed market benchmarks posted returns inexcess of 20% for the trailing 1-year period.For the 4th quarter, emerging markets reversed the recent trend and managedto outperform developed international markets. The MSCI Emerging MarketsIndex returned a strong USD return of 11.8%. As previously noted, theprospect of reduced trade tensions between the US and China stoked returnsin emerging markets. As a result, countries with greater sensitivities tocommodity prices and global trade activity performed well during the period. Asevidence, Russia and Brazil, both large energy exporters, returned 16.6%and15.6%, respectively, during the quarter. For the full year, emerging marketsdelivered strong returns in both local currency and USD terms. The MSCIEmerging Markets Index climbed 18.4%in local currency and 18.1% in USDterms. The narrow performance differential between local currency and USDemerging market returns is also observable across each of the internationalbenchmarks for the 1-year period as the year’s currency volatility largelybalanced out.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As December 31, 20197.0%10.8%5.7%9.5%6.4%4.5%5.2%5.0%8.0%10.5%12.5%9.9%11.8%7.0%8.8%8.2%7.9%8.9%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)Quarter PerformanceUSDLocal Currency19.7%19.1%12.7%18.1%18.5%23.6%21.7%21.6%26.8%17.5%19.2%15.5%18.4%19.3%23.6%22.0%22.5%26.9%0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0%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 PerformanceUSDLocal CurrencyPage 9 The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of December 31, 2019Source: 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 ReturnCommunication Services 5.2% 4.8% 12.7%Consumer Discretionary 11.6% 9.4% 24.8%Consumer Staples 11.3% 1.9% 18.9%Energy 4.9% 3.8% 7.6%Financials 18.6% 8.4% 17.7%Health Care 12.2% 12.4% 30.7%Industrials 15.0% 10.0% 26.2%Information Technology 7.1% 12.6% 37.7%Materials 7.1% 10.5% 22.9%Real Estate 3.5% 4.2% 14.8%Utilities 3.7% 5.3% 19.2%Total 100.0% 8.2% 22.0%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 6.7% 7.0% 12.1%Consumer Discretionary 11.8% 11.4% 27.7%Consumer Staples 9.4% 1.9% 17.5%Energy 6.5% 6.5% 14.8%Financials 21.4% 8.1% 17.2%Health Care 8.9% 12.5% 27.7%Industrials 11.9% 9.6% 24.0%Information Technology 9.4% 15.5% 40.7%Materials 7.4% 10.8% 18.6%Real Estate 3.2% 7.3% 17.1%Utilities 3.4% 4.8% 17.4%Total 100.0% 8.9% 26.9%MSCI - Emerging Mkt Sector WeightQuarter Return 1-Year ReturnCommunication Services 11.0% 9.8% 11.2%Consumer Discretionary 14.2% 16.7% 35.1%Consumer Staples 6.3% 2.6% 10.7%Energy 7.4% 9.8% 19.8%Financials 24.2% 9.8% 12.6%Health Care 2.8% 14.7% 3.7%Industrials 5.3% 7.8% 7.1%Information Technology 15.7% 18.9% 41.6%Materials 7.4% 12.3% 5.9%Real Estate 3.0% 17.6% 23.9%Utilities 2.6% 4.3% 7.9%Total 100.0% 11.8% 18.4%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 24.5% 16.1% 7.6% 19.6%United Kingdom 16.5%10.8% 10.0% 21.1%France 11.4% 7.5% 8.5% 25.7%Switzerland 9.3% 6.1% 7.6% 32.3%Germany 8.7% 5.7% 9.9% 20.8%Australia 6.8% 4.5% 4.3% 22.9%Netherlands 4.0%2.6% 7.4% 32.1%Hong Kong 3.5% 2.3% 7.3% 10.3%Spain 2.8% 1.9% 6.0% 12.0%Sweden 2.7% 1.8% 13.1% 21.2%Italy 2.3% 1.5% 8.1% 27.3%Denmark 1.8% 1.2% 13.1% 28.2%Singapore 1.3% 0.8% 7.4% 15.0%Belgium 1.0% 0.7% -1.1% 20.3%Finland 0.9% 0.6% 3.0% 9.5%Norway 0.6% 0.4% 4.3% 10.4%Ireland 0.6% 0.4% 18.5% 37.5%Israel 0.6% 0.4% 7.2% 9.6%New Zealand 0.3% 0.2% 17.4% 38.2%Austria 0.2% 0.2% 8.0% 14.5%Portugal 0.2% 0.1% 8.7% 23.7%Total EAFE Countries 100.0% 65.8% 8.2% 22.0%Canada 6.7% 4.9% 27.5%Total Developed Countries 72.5% 7.9% 22.5%China 9.4% 14.7% 23.5%Korea 3.2% 13.4% 12.5%Taiwan 3.2% 17.9% 36.4%India 2.4% 5.3% 7.6%Brazil 2.1% 14.2% 26.3%South Africa 1.3% 13.1% 10.0%Russia 1.1% 16.8% 50.9%Saudi Arabia 0.7% 2.7% 7.2%Thailand 0.7% -0.9% 9.5%Mexico 0.6% 6.2% 11.4%Indonesia 0.5% 7.0% 9.1%Malaysia 0.5% 3.1% -2.0%Philippines 0.3% 2.9% 10.5%Qatar 0.3% 2.2% -1.0%Poland 0.2% 4.1% -5.9%Chile 0.2% -8.8% -16.9%United Arab Emirates 0.2% -1.5% 4.0%Turkey 0.1% -0.1% 11.1%Colombia 0.1% 14.4% 30.8%Peru 0.1% 6.0% 4.8%Greece 0.1% 12.7% 43.2%Hungary 0.1% 22.2% 19.4%Argentina 0.0% 15.4% -20.8%Czech Republic0.0% 8.9% 4.2%Egypt 0.0% 5.6% 41.8%Pakistan 0.0% 26.5% 9.7%Total Emerging Countries 27.5% 11.8% 18.4%Total ACWIxUS Countries 100.0% 8.9% 26.9%Page 10 Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of December 31, 2019Fixed income markets extended their gains in the 4th quarter, except for USTreasury bonds which declined during the period. Interest rates rose modestlyacross the US Treasury Yield Curve through the quarter as investors’confidence generally improved which resulted in bond prices falling. TheFedcontinued to provide liquidity by cutting short-term interest rates by 25basispoints to between 1.50% and 1.75% in October. The Fed began expanding itsbalance sheet by purchasing securities to provide the market with liquiditywhich is another form of monetary easing. The Fed made no changes tomonetary policy at their December meeting and signaled that they wouldremain on hold but would continue to monitor the economy closely for anyfurther deterioration. Importantly, the US Treasury Yield Curve normalizedbetween the 2-year and 10-year issues which suggests that the threat of animminent recession has been reduced. An inverted yield curve has historicallypreceded a recession within the next 6-24 months. The bellwether BloombergBarclays US Aggregate Index added0.2% during the 4th quarter whilereturning 8.7% for the 1-year period ending in December.Within investment grade credit, lower quality issues resumed theiroutperformance over higher quality issues as investors’ appetites for riskincreased during the quarter. Bonds rated Baa were the best performinginvestment grade credit quality segment returning 1.7% for the quarter, whileAAA was the worst performing, returning -0.2%. High yield corporate bondsoutpaced all other credit sectors during the quarter returning 2.6%. For the fullyear both investment grade and high yield bonds delivered strong performancereturning 14.5% and 14.3% respectively.Performance across defensive sectorssuch as US Treasury bonds, mortgagebacked securities and TIPS were mixed during the quarter mostly due to theirduration profiles. Rising interest rates during the quarter acted as a headwindto performance. As a result, US Treasury bonds, mortgage bonds and TIPSreturned -0.8%, 0.7% and 0.8% respectively. Overall, fears of rising inflationremain relatively low while expectations for a positive economic environmentremain strong. As a result, for the full 1-year period, US Treasury, mortgagesand TIPS returned 6.9%, 6.4% and 8.4% respectively, trailing all corporatecredit sectors significantly over the full year.0.6%0.7%0.5%0.2%0.8%1.2%0.7%-0.8%2.6%1.7%0.7%0.0%-0.2%-1.0% 0.0% 1.0% 2.0% 3.0%Multiverse (7.0)Global Agg x US (8.2)Intermediate Agg (3.7)Aggregate (5.9)U.S. TIPS (4.7)U.S. Corporate IG (7.9)U.S. Mortgage (3.2)U.S. Treasury (6.5)U.S. High Yield (3.0)Baa (8.0)A (7.8)AA (6.8)AAA (5.1)Quarter Performance 7.1%5.1%6.7%8.7%8.4%14.5%6.4%6.9%14.3%16.4%13.0%9.5%6.7%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0%Multiverse (7.0)Global Agg x US (8.2)Intermediate Agg (3.7)Aggregate (5.9)U.S. TIPS (4.7)U.S. Corporate IG (7.9)U.S. Mortgage (3.2)U.S. Treasury (6.5)U.S. High Yield (3.0)Baa (8.0)A (7.8)AA (6.8)AAA (5.1)1-Year PerformancePage 11 Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of December 31, 2019Global fixed income returns were positive during the 4th quarter. Generally,global central bank monetary policy remains supportive as low economicgrowth persists in much of the world outside of the US. As a result, negativeinterest rates persist in much of Europe and Japan. However, the number ofbonds with negative yields declined in recent months as future expectations foreconomic growth improved. As mentioned previously, we saw currencyvolatility increase during the quarter with the USD moving lower against mostmajor developed and emerging market currencies. The depreciation of theUSD acted as a catalyst for US investors compared to local investors. Globalbonds, as represented by the Bloomberg Barclays Global Aggregate ex USIndex, returned was 0.7% during the quarter which outperformed US bondsrepresented by the Bloomberg Barclays Aggregate Index. For the full 1-yearperiod, global bonds underperformed domestic bonds 5.1% versus 8.7%respectively.Much of the index performance detailed in the bar graphs on the previouspage 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, the10-year Treasury yield (green line) fell from highs near 2.8%, to yields below1.5% before ending the quarter at 1.92%. The blue line illustrates changesinthe BAA OAS (Option Adjusted Spread). This measure quantifies theadditional yield premium that investors require to purchase and hold non-Treasury issues. This line illustrates the continued decline from nearly2.5% inthe 1st quarter of 2019 to less than 1.6% in 4th quarter as investors sought outhigher yielding assets and concerns regarding trade and the potential forarecession in the US declined. Spreads tightened by about 24 basis pointsduring the quarter. Spread tightening is equivalent to an interest rate decreaseon corporate bonds, which produces an additional tailwind for corporate bondindex returns. The green band across the graph illustrates the decrease intheFederal Funds Rate due to the recent easing in US monetary policy. The Fedcut the Fed Funds Rate three times during the year on fears that economicgrowth was decelerating.The lower graph provides a snapshot of the US Treasury Yield Curve at theend of each of the last four calendar quarters. Interest rates were broadlylower over the full year as the Fed cut interest rates and expectations of futureeconomic growth declined. During the year, the US Treasury curve wasinverted between 2-year and 10-year rates. After multiple rate cuts, the curvefinished the year with a more normalized shape with the long end of the curvehigher than the short end.0.000.501.001.502.002.503.003.501 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve3/31/20196/30/20199/30/201912/31/20190.000.501.001.502.002.503.003.504.00Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-191-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPSPage 12 Page Intentionally Left Blank Page 13 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 (0.5%) Total Real Asset (10.3%) Total Fixed Income Composite (32.2%) Total Long/Short Equity Composite (6.2%) Total International Equity (15.0%) Total Domestic Equity (35.8%) 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 763,716,054 100.0 N/A N/A 100.0 --- Total Domestic Equity 273,689,503 35.8 10.0 50.0 35.0 -197,317,897 108,168,525 -6,388,884 Total International Equity 114,380,810 15.0 5.0 20.0 15.0 -76,195,007 38,362,401 176,599 Total Long/Short Equity Composite 47,372,632 6.2 0.0 7.5 5.0 -47,372,632 9,906,072 -9,186,830 Total Fixed Income Composite 246,209,275 32.2 10.0 55.0 35.0 -169,837,669 173,834,555 21,091,344 Total Real Asset 78,490,849 10.3 0.0 15.0 10.0 -78,490,849 36,066,559 -2,119,244 Total Cash Composite 3,572,986 0.5 0.0 5.0 0.0 -3,572,986 34,612,817 -3,572,986 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of December 31, 2019 Page 14 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 (0.5%) Total Real Asset (10.3%) Total Fixed Income Composite (32.2%) Total Long/Short Equity Composite (6.2%) Total International Equity (15.0%) Total Small Cap Equity Composite (6.9%) Total Mid Cap Equity Composite (8.1%) Total Large Cap Equity Composite (20.9%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 763,716,054 100.0 100.0 - Total Large Cap Equity Composite 159,314,955 20.9 20.0 -6,571,744 Total Mid Cap Equity Composite 61,944,948 8.1 7.5 -4,666,244 Total Small Cap Equity Composite 52,429,600 6.9 7.5 4,849,104 Total International Equity 114,380,810 15.0 15.0 176,599 Total Long/Short Equity Composite 47,372,632 6.2 5.0 -9,186,830 Total Fixed Income Composite 246,209,275 32.2 35.0 21,091,344 Total Real Asset 78,490,849 10.3 10.0 -2,119,244 Total Cash Composite 3,572,986 0.5 0.0 -3,572,986 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of December 31, 2019 Page 15 Asset Allocation By Segment as of September 30, 2019 : $745,464,983 Asset Allocation By Segment as of December 31, 2019 : $763,716,054 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 74,124,715 9.9¢ Hedge Fund 44,819,934 6.0¢ Private Equity 14,763,117 2.0¢ Cash Equivalent 7,261,016 1.0¢ Allocation Segments Market Value Allocation Domestic Equity 269,784,781 35.3¢ International Equity 112,325,009 14.7¢ Domestic Fixed Income 195,447,788 25.6¢ Global Fixed Income 36,622,276 4.8¢ Real Estate 67,816,273 8.9¢ Hedge Fund 47,372,632 6.2¢ Private Equity 15,079,780 2.0¢ Cash Equivalent 19,267,514 2.5¢ Asset Allocation Summary Total Fund Composite As of December 31, 2019 NONE Page 16 Asset Allocation By Manager as of September 30, 2019 : $745,464,983 Asset Allocation By Manager as of December 31, 2019 : $763,716,054 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 3,516,426 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 349,939 0.0¢ JPM Euro Property 118,075 0.0¢ Cash and Equivalents Account 5,534 0.0¢ Allocation Market Value Allocation CS McKee 122,116,111 16.0¢ T. Rowe Price 78,836,581 10.3¢ Loomis Fixed Income 75,065,684 9.8¢ Pictet 51,792,423 6.8¢ ABS Global 47,372,632 6.2¢ Morgan Stanley 45,518,879 6.0¢ SSgA S&P 500 41,040,977 5.4¢ Lazard 40,760,952 5.3¢ SSgA S&P 500 Equal Weighted Index 39,437,397 5.2¢ Franklin Templeton 36,622,276 4.8¢ Lee Munder (LMCG)27,553,773 3.6¢ Loomis Small Cap 24,875,827 3.3¢ Berkeley Street 21,827,435 2.9¢ Prudential PRISA II 19,653,114 2.6¢ Reinhart Partners 15,950,793 2.1¢ Great Lakes SmidCap 15,705,181 2.1¢ TimesSquare 15,357,065 2.0¢ Wedge Capital Partners 14,931,908 2.0¢ Churchill Senior Loan Fund 12,405,204 1.6¢ Alidade Capital Fund IV 3,745,756 0.5¢ Private Markets Cash 3,567,398 0.5¢ Walton Street Real Estate 3,273,220 0.4¢ ValStone Opportunity Fund V 2,674,576 0.4¢ AEW Real Estate 2,642,958 0.3¢ Dune Real Estate IV 864,272 0.1¢ JPM Euro Property 118,075 0.0¢ Cash and Equivalents Account 5,587 0.0¢ Asset Allocation Summary Total Fund Composite As of December 31, 2019 NONE Page 17 Asset Allocation Attributes Dec-2019 Sep-2019 Jun-2019 Mar-2019 Dec-2018 ($)%($)%($)%($)%($)% Total Fund Composite 763,716,054 100.00 745,464,983 100.00 749,027,934 100.00 741,903,342 100.00 706,294,991 100.00 Total Equity Composite 435,442,945 57.02 402,768,787 54.03 402,208,014 53.70 403,832,622 54.43 363,744,922 51.50 Total Domestic Equity 273,689,503 35.84 252,746,779 33.90 251,399,273 33.56 256,607,159 34.59 230,654,389 32.66 Total Large Cap Equity Composite 159,314,955 20.86 146,328,255 19.63 144,157,488 19.25 153,414,386 20.68 134,037,634 18.98 SSgA S&P 500 41,040,977 5.37 37,628,762 5.05 37,000,840 4.94 35,472,927 4.78 31,216,390 4.42 SSgA S&P 500 Equal Weighted Index 39,437,397 5.16 36,613,179 4.91 36,224,241 4.84 34,869,208 4.70 30,325,699 4.29 T. Rowe Price 78,836,581 10.32 72,086,314 9.67 70,932,407 9.47 83,072,251 11.20 72,495,546 10.26 Total Mid Cap Equity Composite 61,944,948 8.11 58,548,861 7.85 58,230,007 7.77 55,942,763 7.54 49,319,089 6.98 Seizert Capital Partners -0.00 -0.00 -0.00 13,700 0.00 14,081,495 1.99 Wedge Capital Partners 14,931,908 1.96 14,408,448 1.93 14,289,184 1.91 14,025,189 1.89 12,432,194 1.76 TimesSquare 15,357,065 2.01 14,177,972 1.90 14,072,313 1.88 12,959,863 1.75 11,088,467 1.57 Munder Capital -0.00 -0.00 -0.00 28,944,011 3.90 11,716,933 1.66 Great Lakes SmidCap 15,705,181 2.06 14,824,135 1.99 14,719,327 1.97 -0.00 -0.00 Reinhart Partners 15,950,793 2.09 15,138,306 2.03 15,149,183 2.02 -0.00 -0.00 Total Small Cap Equity Composite 52,429,600 6.87 47,869,663 6.42 49,011,778 6.54 47,250,009 6.37 47,297,666 6.70 Lee Munder (LMCG)27,553,773 3.61 25,302,071 3.39 25,191,156 3.36 24,585,456 3.31 21,624,390 3.06 Loomis Small Cap 24,875,827 3.26 22,567,592 3.03 23,820,622 3.18 22,664,554 3.05 25,673,276 3.63 Total International Equity 114,380,810 14.98 105,202,074 14.11 106,501,431 14.22 103,801,045 13.99 92,007,481 13.03 Lazard 40,760,952 5.34 37,590,425 5.04 38,473,964 5.14 37,211,429 5.02 33,626,699 4.76 Pictet 51,792,423 6.78 48,276,973 6.48 48,554,976 6.48 47,434,093 6.39 41,580,643 5.89 Berkeley Street 21,827,435 2.86 19,334,677 2.59 19,472,491 2.60 19,155,524 2.58 16,800,139 2.38 Total Long/Short Equity Composite 47,372,632 6.20 44,819,934 6.01 44,307,310 5.92 43,424,418 5.85 41,083,053 5.82 ABS Global 47,372,632 6.20 44,819,934 6.01 44,307,310 5.92 43,424,418 5.85 41,083,053 5.82 Total Fixed Income Composite 246,209,275 32.24 263,340,605 35.33 269,176,115 35.94 262,301,846 35.36 268,430,617 38.01 Total Domestic Fixed Income 197,181,795 25.82 214,583,507 28.79 219,404,190 29.29 212,900,161 28.70 212,925,268 30.15 CS McKee 122,116,111 15.99 139,925,447 18.77 136,516,563 18.23 132,495,660 17.86 135,264,868 19.15 Loomis Fixed Income 75,065,684 9.83 74,658,060 10.01 82,887,627 11.07 80,404,502 10.84 77,660,400 11.00 Total Global Fixed 36,622,276 4.80 36,227,780 4.86 37,166,498 4.96 36,690,403 4.95 42,731,158 6.05 Franklin Templeton 36,622,276 4.80 36,227,780 4.86 37,166,498 4.96 36,690,403 4.95 42,731,158 6.05 Historical Asset Allocation Total Fund As of December 31, 2019 Page 18 Historical Asset Allocation Total Fund As of December 31, 2019 Dec-2019 Sep-2019 Jun-2019 Mar-2019 Dec-2018 ($)%($)%($)%($)%($)% Private Fixed Income 12,405,204 1.62 12,529,318 1.68 12,605,427 1.68 12,711,282 1.71 12,774,191 1.81 Churchill Senior Loan Fund 12,405,204 1.62 12,529,318 1.68 12,605,427 1.68 12,711,282 1.71 12,774,191 1.81 Total Real Asset 78,490,849 10.28 76,358,514 10.24 74,709,676 9.97 73,088,509 9.85 72,029,817 10.20 Total Real Estate 75,816,273 9.93 74,124,715 9.94 72,518,864 9.68 70,892,168 9.56 69,907,399 9.90 Morgan Stanley 45,518,879 5.96 44,833,926 6.01 44,209,752 5.90 43,419,565 5.85 42,875,404 6.07 JPM Euro Property 118,075 0.02 118,075 0.02 117,592 0.02 119,897 0.02 150,572 0.02 Prudential PRISA II 19,653,114 2.57 19,295,324 2.59 19,025,075 2.54 18,804,197 2.53 18,492,320 2.62 Alidade Capital Fund IV 3,745,756 0.49 3,455,383 0.46 3,462,874 0.46 3,441,195 0.46 3,666,960 0.52 Walton Street Real Estate 3,273,220 0.43 3,516,426 0.47 3,402,665 0.45 3,343,270 0.45 3,280,813 0.46 AEW Real Estate 2,642,958 0.35 2,555,642 0.34 2,300,906 0.31 1,764,044 0.24 1,441,330 0.20 Dune Real Estate IV 864,272 0.11 349,939 0.05 -0.00 -0.00 -0.00 Private Investments 2,674,576 0.35 2,233,799 0.30 2,190,812 0.29 2,196,341 0.30 2,122,418 0.30 ValStone Opportunity Fund V 2,674,576 0.35 2,233,799 0.30 2,190,812 0.29 2,196,341 0.30 2,122,418 0.30 Total Cash Composite 3,572,986 0.47 2,997,078 0.40 2,934,129 0.39 2,680,365 0.36 2,089,635 0.30 Cash and Equivalents Account 5,587 0.00 5,534 0.00 -367,378 -0.05 80,553 0.01 80,351 0.01 Private Markets Cash 3,567,398 0.47 2,991,544 0.40 3,301,507 0.44 2,599,812 0.35 2,009,284 0.28 Page 19 Financial Reconciliation Market Value 10/01/2019 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 12/31/2019 Total Fund Composite 745,464,983 -797,028 -18,000,000 -300,376 -8,408 3,991,949 31,770,878 763,716,054 Total Equity Composite 402,768,787 -47,016 --113,848 -7,730 1,412,357 31,336,363 435,442,945 Total Domestic Equity 252,746,779 -----6,268 890,905 20,058,087 273,689,503 Total Large Cap Equity Composite 146,328,255 -----5,093 372,632 12,619,161 159,314,955 SSgA S&P 500 37,628,762 -----1,868 -3,414,083 41,040,977 SSgA S&P 500 Equal Weighted Index 36,613,179 -----3,118 -2,827,335 39,437,397 T. Rowe Price 72,086,314 -----107 372,632 6,377,742 78,836,581 Total Mid Cap Equity Composite 58,548,861 -----679 379,110 3,017,657 61,944,948 Wedge Capital Partners 14,408,448 -----265 147,005 376,721 14,931,908 TimesSquare 14,177,972 -----185 39,996 1,139,283 15,357,065 Great Lakes SmidCap 14,824,135 -----54 70,607 810,494 15,705,181 Reinhart Partners 15,138,306 -----175 121,502 691,160 15,950,793 Total Small Cap Equity Composite 47,869,663 -----495 139,164 4,421,268 52,429,600 Lee Munder (LMCG)25,302,071 -----189 114,650 2,137,241 27,553,773 Loomis Small Cap 22,567,592 -----306 24,514 2,284,027 24,875,827 Total International Equity 105,202,074 -47,016 --113,848 -1,462 521,452 8,725,577 114,380,810 Lazard 37,590,425 -----1,462 224,919 2,947,070 40,760,952 Pictet 48,276,973 ----66,832 -296,533 3,285,749 51,792,423 Berkeley Street 19,334,677 -47,016 --47,016 --2,492,758 21,827,435 Total Long/Short Equity Composite 44,819,934 ------2,552,699 47,372,632 ABS Global 44,819,934 ------2,552,699 47,372,632 Total Fixed Income Composite 263,340,605 -18,300,274 ----674 2,134,483 -964,865 246,209,275 Total Domestic Fixed Income 214,583,507 -18,000,000 ----674 1,589,302 -990,340 197,181,795 CS McKee 139,925,447 -18,000,000 ----456 978,925 -787,805 122,116,111 Loomis Fixed Income 74,658,060 -----218 610,378 -202,535 75,065,684 Total Global Fixed 36,227,780 -----545,181 -150,685 36,622,276 Franklin Templeton 36,227,780 -----545,181 -150,685 36,622,276 Financial Reconciliation Total Fund 1 Quarter Ending December 31, 2019 Page 20 Financial Reconciliation Total Fund 1 Quarter Ending December 31, 2019 Market Value 10/01/2019 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 12/31/2019 Private Fixed Income 12,529,318 -300,274 -----176,160 12,405,204 Churchill Senior Loan Fund 12,529,318 -300,274 -----176,160 12,405,204 Total Real Asset 76,358,514 574,051 ---186,528 -442,609 1,302,203 78,490,849 Total Real Estate 74,124,715 590,418 ---186,528 -442,609 845,059 75,816,273 Morgan Stanley 44,833,926 ----116,374 -442,609 358,718 45,518,879 JPM Euro Property 118,075 -------118,075 Prudential PRISA II 19,295,324 ----56,779 --414,569 19,653,114 Alidade Capital Fund IV 3,455,383 290,373 ------3,745,756 Walton Street Real Estate 3,516,426 -336,975 ---13,375 --107,143 3,273,220 AEW Real Estate 2,555,642 87,316 ------2,642,958 Dune Real Estate IV 349,939 549,704 ------35,371 864,272 Private Investments 2,233,799 -16,367 -----457,144 2,674,576 ValStone Opportunity Fund V 2,233,799 -16,367 -----457,144 2,674,576 Total Cash Composite 2,997,078 17,726,223 750,012 -18,000,000 --4 2,499 97,177 3,572,986 Cash and Equivalents Account 5,534 17,249,988 750,012 -18,000,000 --4 57 -5,587 Private Markets Cash 2,991,544 476,235 ----2,442 97,177 3,567,398 Page 21 -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 35.84 (65)14.98 (55)25.82 (47)4.80 (24)8.18 (59)9.93 (23)0.47 (80) 5th Percentile 60.98 26.69 47.56 8.90 39.48 13.81 5.93 1st Quartile 50.42 19.91 31.92 4.77 19.11 9.85 2.44 Median 41.32 15.23 24.70 3.93 10.93 8.63 1.39 3rd Quartile 30.26 12.39 18.85 2.40 4.95 5.43 0.61 95th Percentile 16.77 7.79 12.01 0.21 1.73 2.62 0.06 Plan Sponsor TF Asset Allocation Total Fund Composite Vs. All Public Plans-Total Fund As of December 31, 2019 Page 22 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)763,716,054 100.0 4.88 (66)4.88 (66)17.88(58)17.88(58)8.94 (63)7.25 (41)8.41 (42)8.61(35)8.43(36)10/01/1986 Total Fund Policy Index 4.89 (66)4.89 (66)18.40(52)18.40(52)9.07 (59)7.16 (45)8.67 (33)8.98(20)8.87(9) Difference -0.01 -0.01 -0.52 -0.52 -0.13 0.09 -0.26 -0.37 -0.44 All Public Plans-Total Fund Median 5.19 5.19 18.52 18.52 9.37 7.04 8.07 8.26 8.27 Total Fund Composite (Net)763,716,054 100.0 4.84 4.84 17.55 17.55 8.53 6.91 8.17 8.43 8.38 10/01/1986 Total Fund Policy Index 4.89 4.89 18.40 18.40 9.07 7.16 8.67 8.98 8.87 Difference -0.05 -0.05 -0.85 -0.85 -0.54 -0.25 -0.50 -0.55 -0.49 Total Equity Composite 435,442,945 57.0 8.13 8.13 26.80 26.80 11.75 8.92 11.25 10.94 9.70 10/01/1986 Total Equity Index 8.90 8.90 27.97 27.97 12.47 9.78 12.91 12.19 10.09 Difference -0.77 -0.77 -1.17 -1.17 -0.72 -0.86 -1.66 -1.25 -0.39 Total Fixed Income Composite 246,209,275 32.2 0.46 0.46 8.24 8.24 4.26 3.36 3.07 4.41 6.36 10/01/1986 Total Fixed Income Index 0.20 0.20 8.59 8.59 4.11 2.97 2.49 3.54 6.15 Difference 0.26 0.26 -0.35 -0.35 0.15 0.39 0.58 0.87 0.21 Total Real Asset 78,490,849 10.3 2.27 2.27 7.99 7.99 8.88 10.30 11.02 10.52 5.06 07/01/2008 NCREIF Fund Index-ODCE (VW)1.51 1.51 5.34 5.34 7.09 8.97 10.17 11.42 5.41 Difference 0.76 0.76 2.65 2.65 1.79 1.33 0.85 -0.90 -0.35 Total Cash Composite 3,572,986 0.5 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 2019 Page 23 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 2019 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Equity 273,689,503 35.8 Total Large Cap Equity Composite 159,314,955 20.9 8.88 (46)8.88 (46)32.10(33)32.10(33)15.27 (41)11.86 (35)14.87 (37)13.64(40)10.88(41)07/01/2008 IM U.S. Large Cap Equity (SA+CF) Median 8.71 8.71 30.20 30.20 14.60 11.11 14.43 13.43 10.70 SSgA S&P 500 (1.5 bps)41,040,977 5.4 9.07 (31)9.07 (31)31.49(34)31.49(34)15.30 (32)11.75 (31)14.81 (38)13.63(39)13.92(40)10/01/2009 S&P 500 Index 9.07 (31)9.07 (31)31.49(35)31.49(35)15.27 (33)11.70 (36)14.73 (47)13.56(44)13.86(44) Difference 0.00 0.00 0.00 0.00 0.03 0.05 0.08 0.07 0.06 IM U.S. Large Cap Core Equity (SA+CF) Median 8.20 8.20 29.96 29.96 14.43 11.21 14.65 13.45 13.73 SSgA S&P 500 Equal Weighted Index (4bps)39,437,397 5.2 7.72 (67)7.72 (67)30.10(48)30.10(48)N/A N/A N/A N/A 7.50(62)02/01/2018 S&P 500 Equal Weighted 7.61 (71)7.61 (71)29.24(58)29.24(58)12.38 (82)9.77 (78)13.88 (68)13.53(47)7.20(66) Difference 0.11 0.11 0.86 0.86 N/A N/A N/A N/A 0.30 IM U.S. Large Cap Core Equity (SA+CF) Median 8.20 8.20 29.96 29.96 14.43 11.21 14.65 13.45 8.38 T. Rowe Price (25 bps)78,836,581 10.3 9.36 (24)9.36 (24)33.09(14)33.09(14)16.71 (13)12.82 (11)15.59 (19)14.12(23)14.41(24)10/01/2009 S&P 500 Index 9.07 (31)9.07 (31)31.49(35)31.49(35)15.27 (33)11.70 (36)14.73 (47)13.56(44)13.86(44) Difference 0.29 0.29 1.60 1.60 1.44 1.12 0.86 0.56 0.55 IM U.S. Large Cap Core Equity (SA+CF) Median 8.20 8.20 29.96 29.96 14.43 11.21 14.65 13.45 13.73 Total Mid Cap Equity Composite 61,944,948 8.1 5.80 (87)5.80 (87)25.70(83)25.70(83)10.03 (63)7.82 (80)11.85 (84)11.96(84)9.47(89)07/01/2008 IM U.S. Mid Cap Equity (SA+CF) Median 7.20 7.20 30.01 30.01 12.09 9.77 13.49 13.46 10.73 Wedge Capital Partners (75 bps)14,931,908 2.0 3.63 (99)3.63 (99)20.16(97)20.16(97)6.67 (86)5.65 (93)11.22 (80)12.23(56)7.77(71)05/01/2007 Russell Midcap Value Index 6.36 (66)6.36 (66)27.06(61)27.06(61)8.10 (65)7.62 (67)12.00 (64)12.41(51)7.25(90) Difference -2.73 -2.73 -6.90 -6.90 -1.43 -1.97 -0.78 -0.18 0.52 IM U.S. Mid Cap Value Equity (SA+CF) Median 7.06 7.06 28.71 28.71 8.69 8.32 12.79 12.42 8.51 TimesSquare (80 bps)15,357,065 2.0 8.32 (35)8.32 (35)38.50(35)38.50(35)18.21 (47)12.75 (41)15.20 (45)14.35(50)15.20(51)09/01/2009 Russell Midcap Growth Index 8.17 (38)8.17 (38)35.47(55)35.47(55)17.36 (52)11.60 (54)14.81 (50)14.24(52)15.09(56) Difference 0.15 0.15 3.03 3.03 0.85 1.15 0.39 0.11 0.11 IM U.S. Mid Cap Growth Equity (SA+CF) Median 7.53 7.53 35.79 35.79 17.71 11.82 14.80 14.32 15.20 Great Lakes SmidCap (55 bps)15,705,181 2.1 5.94 (91)5.94 (91)N/A N/A N/A N/A N/A N/A 4.21(76)05/01/2019 Russell 2500 Index 8.54 (19)8.54 (19)27.77(25)27.77(25)10.33 (16)8.93 (12)12.26 (15)12.58(15)6.58(26) Difference -2.60 -2.60 N/A N/A N/A N/A N/A N/A -2.37 IM U.S. SMID Cap Core Equity (MF) Median 7.07 7.07 25.74 25.74 8.37 6.98 10.68 11.05 5.71 Reinhart Partners (65 bps)15,950,793 2.1 5.37 (92)5.37 (92)N/A N/A N/A N/A N/A N/A 8.27(7)05/01/2019 Russell 2500 Index 8.54 (19)8.54 (19)27.77(25)27.77(25)10.33 (16)8.93 (12)12.26 (15)12.58(15)6.58(26) Difference -3.17 -3.17 N/A N/A N/A N/A N/A N/A 1.69 IM U.S. SMID Cap Core Equity (MF) Median 7.07 7.07 25.74 25.74 8.37 6.98 10.68 11.05 5.71 Page 24 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 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 52,429,600 6.9 9.53 (31)9.53 (31)27.61(37)27.61(37)9.92 (44)9.12 (48)11.86 (64)11.90(78)10.22(61)07/01/2008 IM U.S. Small Cap Equity (SA+CF) Median 8.52 8.52 25.85 25.85 8.81 9.01 12.63 12.96 10.69 Lee Munder (70 bps)27,553,773 3.6 8.90 (29)8.90 (29)27.42(24)27.42(24)5.76 (49)8.70 (27)11.39 (52)11.27(77)9.36(37)09/01/2005 Russell 2000 Value Index 8.49 (38)8.49 (38)22.39(74)22.39(74)4.77 (68)6.99 (62)10.13 (78)10.56(85)6.95(92) Difference 0.41 0.41 5.03 5.03 0.99 1.71 1.26 0.71 2.41 IM U.S. Small Cap Value Equity (SA+CF) Median 7.96 7.96 25.15 25.15 5.55 7.67 11.52 12.09 8.76 Loomis Small Cap (90 bps)24,875,827 3.3 10.23 (41)10.23 (41)27.80(58)27.80(58)18.11 (35)12.60 (33)15.52 (36)N/A 15.17(37)09/01/2012 Russell 2000 Growth Index 11.39 (27)11.39 (27)28.48(51)28.48(51)12.49 (71)9.34 (80)13.08 (80)13.01(81)12.98(77) Difference -1.16 -1.16 -0.68 -0.68 5.62 3.26 2.44 N/A 2.19 IM U.S. Small Cap Growth Equity (SA+CF) Median 9.39 9.39 28.49 28.49 15.84 11.53 14.73 14.44 14.57 Total International Equity 114,380,810 15.0 8.79 (71)8.79 (71)24.67(38)24.67(38)11.01 (47)7.27 (40)6.87 (52)6.84(51)4.38(60)07/01/2008 Total International Equity Index 8.99 (67)8.99 (67)22.13(53)22.13(53)10.40 (53)6.01 (62)5.93 (69)5.29(79)3.05(85) Difference -0.20 -0.20 2.54 2.54 0.61 1.26 0.94 1.55 1.33 IM International Equity (SA+CF) Median 9.98 9.98 22.55 22.55 10.67 6.61 6.96 6.84 4.81 Lazard (75 bps)40,760,952 5.3 8.44 (77)8.44 (77)21.23(61)21.23(61)11.42 (42)6.61 (50)7.67 (38)7.90(32)5.98(43)09/01/2006 MSCI AC World ex USA 8.99 (67)8.99 (67)22.13(53)22.13(53)10.40 (53)6.01 (62)5.93 (69)5.45(76)4.17(80) Difference -0.55 -0.55 -0.90 -0.90 1.02 0.60 1.74 2.45 1.81 IM International Equity (SA+CF) Median 9.98 9.98 22.55 22.55 10.67 6.61 6.96 6.84 5.64 Pictet (65 bps)51,792,423 6.8 7.42 (88)7.42 (88)25.32(36)25.32(36)9.23 (71)7.46 (23)6.71 (69)6.23(74)1.96(89)01/01/2008 MSCI EAFE Index 8.21 (74)8.21 (74)22.66(58)22.66(58)10.11 (48)6.18 (50)6.85 (63)6.00(78)2.53(78) Difference -0.79 -0.79 2.66 2.66 -0.88 1.28 -0.14 0.23 -0.57 IM International Large Cap Core Equity (SA+CF) Median 9.00 9.00 23.87 23.87 9.94 6.17 7.14 6.72 3.09 Berkeley Street (95 bps)21,827,435 2.9 12.89 (22)12.89 (22)29.92(8)29.92(8)15.09 (17)8.85 (11)5.56 (34)N/A 6.30(33)11/01/2012 MSCI Emerging Markets Index 11.93 (37)11.93 (37)18.90(57)18.90(57)11.99 (42)6.01 (54)3.64 (75)4.04(84)4.43(74) Difference 0.96 0.96 11.02 11.02 3.10 2.84 1.92 N/A 1.87 IM Emerging Markets Equity (SA+CF) Median 11.37 11.37 19.40 19.40 11.37 6.21 4.77 5.33 5.49 Total Long/Short Equity Composite 47,372,632 6.2 5.70 (24)5.70 (24)15.31(38)15.31(38)6.76 (41)4.05 (57)5.34 (65)N/A 4.64(73)10/01/2010 IM Long/Short Equity (MF) Median 4.05 4.05 13.04 13.04 5.91 4.44 6.21 6.22 6.69 ABS Global (100 bps)47,372,632 6.2 5.70 (24)5.70 (24)15.31(38)15.31(38)6.76 (41)4.10 (57)6.40 (46)N/A 5.47(67)10/01/2010 HFRI FOF: Strategic Index 4.54 (40)4.54 (40)10.53(67)10.53(67)4.69 (63)2.66 (70)3.81 (80)3.08(87)3.11(88) Difference 1.16 1.16 4.78 4.78 2.07 1.44 2.59 N/A 2.36 IM Long/Short Equity (MF) Median 4.05 4.05 13.04 13.04 5.91 4.44 6.21 6.22 6.69 Page 25 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 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 197,181,795 25.8 0.28 (34)0.28 (34)9.30(46)9.30(46)4.52 (37)N/A N/A N/A 3.26(28)08/01/2016 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.21 0.21 9.19 9.19 4.39 3.45 3.06 4.26 2.97 CS McKee (35 bps)122,116,111 16.0 0.12 (68)0.12 (68)9.16(53)9.16(53)4.28 (59)3.44 (52)3.00 (59)N/A 3.95(63)02/01/2010 Blmbg. Barc. U.S. Aggregate Index 0.18 (57)0.18 (57)8.72(77)8.72(77)4.03 (85)3.05 (89)2.72 (88)3.75(91)3.62(92) Difference -0.06 -0.06 0.44 0.44 0.25 0.39 0.28 N/A 0.33 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.21 0.21 9.19 9.19 4.39 3.45 3.06 4.26 4.12 Loomis Fixed Income (30 bps)75,065,684 9.8 0.55 (13)0.55 (13)9.55(30)9.55(30)4.98 (8)3.86 (16)3.78 (8)N/A 5.62(3)04/01/2010 Blmbg. Barc. U.S. Aggregate Index 0.18 (57)0.18 (57)8.72(77)8.72(77)4.03 (85)3.05 (89)2.72 (88)3.75(91)3.66(92) Difference 0.37 0.37 0.83 0.83 0.95 0.81 1.06 N/A 1.96 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.21 0.21 9.19 9.19 4.39 3.45 3.06 4.26 4.12 Total Global Fixed 36,622,276 4.8 1.09 (65)1.09 (65)1.85(99)1.85(99)1.93 (95)N/A N/A N/A 3.69(57)08/01/2016 IM Global Fixed Income (SA+CF) Median 1.59 1.59 9.49 9.49 5.28 3.74 3.41 4.22 3.93 Franklin Templeton (60 bps)36,622,276 4.8 1.09 (65)1.09 (65)1.85(99)1.85(99)1.93 (95)1.38 (95)1.58 (78)N/A 2.79(83)04/01/2010 JPM Global Government Bond Index -0.52 (98)-0.52 (98)6.02(89)6.02(89)4.01 (84)2.16 (86)0.97 (91)2.15(95)2.32(92) Difference 1.61 1.61 -4.17 -4.17 -2.08 -0.78 0.61 N/A 0.47 IM Global Fixed Income (SA+CF) Median 1.59 1.59 9.49 9.49 5.28 3.74 3.41 4.22 4.16 Total Real Estate 75,816,273 9.9 1.73 (44)1.73 (44)7.42(41)7.42(41)8.69 (34)N/A N/A N/A 9.19(N/A)09/01/2016 IM U.S. Open End Private Real Estate (SA+CF) Median 1.67 1.67 7.14 7.14 8.10 9.59 10.92 12.32 N/A Morgan Stanley (84 bps)45,518,879 6.0 1.79 (43)1.79 (43)7.38(42)7.38(42)8.76 (33)10.40 (34)11.93 (31)12.97(35)6.62(19)01/01/2008 NCREIF Fund Index-ODCE (VW)1.51 (69)1.51 (69)5.34(81)5.34(81)7.09 (76)8.97 (74)10.17 (71)11.42(75)5.33(76) Difference 0.28 0.28 2.04 2.04 1.67 1.43 1.76 1.55 1.29 IM U.S. Open End Private Real Estate (SA+CF) Median 1.67 1.67 7.14 7.14 8.10 9.59 10.92 12.32 5.73 Prudential PRISA II (85 bps)19,653,114 2.6 2.15 (31)2.15 (31)7.52(40)7.52(40)8.33 (44)10.49 (33)11.66 (34)N/A 12.02(37)10/01/2011 NCREIF Property Index 1.55 (64)1.55 (64)6.42(68)6.42(68)6.70 (78)8.25 (84)9.14 (88)10.18(93)9.41(89) Difference 0.60 0.60 1.10 1.10 1.63 2.24 2.52 N/A 2.61 IM U.S. Open End Private Real Estate (SA+CF) Median 1.67 1.67 7.14 7.14 8.10 9.59 10.92 12.32 11.18 JPM Euro Property 118,075 0.0 0.00 (100)0.00 (100)-21.58(100)-21.58(100)2.50 (100)2.37 (100)1.65 (100)-0.25(100)-1.13(100)04/01/2009 NCREIF Property Index 1.55 (64)1.55 (64)6.42(68)6.42(68)6.70 (78)8.25 (84)9.14 (88)10.18(93)8.34(77) Difference -1.55 -1.55 -28.00 -28.00 -4.20 -5.88 -7.49 -10.43 -9.47 IM U.S. Open End Private Real Estate (SA+CF) Median 1.67 1.67 7.14 7.14 8.10 9.59 10.92 12.32 9.29 Total Cash Composite 3,572,986 0.5 Cash and Equivalents Account (No fee)5,587 0.0 Private Markets Cash 3,567,398 0.5 Page 26 Comparative Performance - IRR QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date ValStone Opportunity Fund V 20.57 20.57 26.82 26.82 12.96 11.61 N/A N/A 11.38 08/27/2014 Alidade Capital Fund IV 0.00 0.00 5.97 5.97 N/A N/A N/A N/A 4.27 04/20/2017 Walton Street Real Estate 2.76 2.76 8.89 8.89 N/A N/A N/A N/A 11.92 05/24/2017 AEW Real Estate 0.00 0.00 12.85 12.85 N/A N/A N/A N/A 8.72 09/28/2017 Churchill Senior Loan Fund 1.42 1.42 7.14 7.14 N/A N/A N/A N/A 7.40 12/07/2017 Dune Real Estate IV -7.99 -7.99 N/A N/A N/A N/A N/A N/A -24.20 08/22/2019 Comparative Performance - IRR Alternative Investments As of December 31, 2019 Page 27 Page Intentionally Left Blank Page 28 Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund Comparative Performance -1.00 2.00 5.00 8.00 11.00 14.00 17.00 20.00 23.00 26.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Total Fund Composite 4.88 (66)4.88 (66)17.88 (58)6.46 (56)8.94 (63)8.76 (58)7.25 (41) Total Fund Policy Index 4.89 (66)4.89 (66)18.40 (52)6.80 (41)9.07 (59)8.84 (55)7.16 (45) Median 5.19 5.19 18.52 6.59 9.37 8.93 7.04 -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 (45)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 (36) Median -4.15 15.21 7.45 -0.15 6.62 1 Qtr Ending Sep-2019 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 Total Fund Composite 0.86 (48)3.10 (66)8.09 (59)-7.20 (43)2.39 (63)1.07 (49) Total Fund Policy Index 0.92 (43)3.32 (44)8.26 (55)-6.94 (37)2.70 (45)1.24 (42) All Public Plans-Total Fund Median 0.83 3.27 8.41 -7.54 2.59 1.03 As of December 31, 2019 Performance Review Total Fund Composite 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 Under Performance Earliest Date Latest Date 4.0 6.0 8.0 10.0 12.0 Total Fund Composite (%)4.0 6.0 8.0 10.0 12.0 Total Fund Policy Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 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 6 (30%)8 (40%)6 (30%)0 (0%) 8.80 9.00 9.20 9.40 9.60 Return (%)6.00 6.20 6.40 6.60 6.80 7.00 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 8.94 6.17 Total Fund Policy Index 9.07 6.22 Median 9.37 6.72¾ 7.07 7.14 7.21 7.28 7.35 Return (%)6.0 6.2 6.4 6.6 6.8 7.0 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 7.25 6.24 Total Fund Policy Index 7.16 6.36 Median 7.04 6.86¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 0.64 99.32 100.55 0.00 -0.18 1.15 0.99 4.00 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 1.16 1.00 3.97 90 Day U.S. Treasury Bill 6.23 9.28 -8.37 1.68 -1.16 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 98.12 94.10 0.28 0.08 0.99 0.97 3.84 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.96 1.00 3.87 90 Day U.S. Treasury Bill 6.34 6.50 -4.68 1.03 -0.96 N/A 0.00 0.01 As of December 31, 2019 Performance Review Total Fund Composite NONE Page 30 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 9.07 (31)9.07 (31)31.49 (34)12.15 (28)15.30 (32)14.48 (28)11.75 (31) S&P 500 Index 9.07 (31)9.07 (31)31.49 (35)12.13 (29)15.27 (33)14.43 (30)11.70 (36) Median 8.20 8.20 29.96 10.87 14.43 13.59 11.21 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return 2019 2018 2017 2016 2015 SSgA S&P 500 31.49 (34)-4.35 (36)21.86 (50)12.07 (32)1.47 (49) S&P 500 Index 31.49 (35)-4.38 (37)21.83 (51)11.96 (34)1.38 (52) Median 29.96 -5.17 21.83 10.52 1.43 1 Qtr Ending Sep-2019 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 SSgA S&P 500 1.70 (42)4.31 (47)13.64 (38)-13.51 (45)7.73 (32)3.42 (35) S&P 500 Index 1.70 (42)4.30 (49)13.65 (38)-13.52 (46)7.71 (34)3.43 (33) IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 4.23 13.19 -13.79 7.13 2.90 Performance Review As of December 31, 2019 SSgA S&P 500 NONE Page 31 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 6.0 9.0 12.0 15.0 18.0 21.0 SSgA S&P 500 (%)6.0 9.0 12.0 15.0 18.0 21.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count SSgA S&P 500 20 0 (0%)16 (80%)4 (20%)0 (0%) S&P 500 Index 20 0 (0%)16 (80%)4 (20%)0 (0%) 14.21 14.50 14.79 15.08 15.37 15.66 Return (%)12.60 12.63 12.66 12.69 12.72 12.75 12.78 12.81 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 15.30 12.64 S&P 500 Index 15.27 12.65 Median 14.43 12.76¾ 11.00 11.20 11.40 11.60 11.80 12.00 Return (%)10.98 11.04 11.10 11.16 11.22 11.28 11.34 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 11.75 11.03 S&P 500 Index 11.70 11.04 Median 11.21 11.27¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.02 100.09 100.00 0.02 1.13 1.12 1.00 7.98 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.12 1.00 7.98 90 Day U.S. Treasury Bill 11.95 5.25 -3.41 1.68 -1.12 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 0.05 100.22 99.98 0.05 1.13 0.91 1.00 7.48 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.91 1.00 7.48 90 Day U.S. Treasury Bill 11.87 3.67 -2.08 1.04 -0.91 N/A 0.00 0.01 Performance Review As of December 31, 2019 SSgA S&P 500 NONE Page 32 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 Equal Weighted Index 7.72 (67)7.72 (67)30.10 (48)N/A N/A N/A N/A S&P 500 Equal Weighted 7.61 (71)7.61 (71)29.24 (58)9.26 (73)12.38 (82)12.98 (63)9.77 (78) Median 8.20 8.20 29.96 10.87 14.43 13.59 11.21 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return 2019 2018 2017 2016 2015 SSgA S&P 500 Equal Weighted Index 30.10 (48)N/A N/A N/A N/A S&P 500 Equal Weighted 29.24 (58)-7.64 (82)18.90 (80)14.80 (13)-2.20 (84) Median 29.96 -5.17 21.83 10.52 1.43 1 Qtr Ending Sep-2019 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 SSgA S&P 500 Equal Weighted Index 1.08 (66)3.89 (61)15.00 (11)-14.10 (57)5.43 (83)2.88 (52) S&P 500 Equal Weighted 0.77 (76)3.72 (66)14.91 (13)-13.90 (55)5.42 (83)2.80 (55) IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 4.23 13.19 -13.79 7.13 2.90 Performance Review As of December 31, 2019 SSgA S&P 500 Equal Weighted Index NONE Page 33 Page Intentionally Left Blank Page 34 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR T. Rowe Price 9.36 (24)9.36 (24)33.09 (14)13.06 (15)16.71 (13)15.24 (12)12.82 (11) S&P 500 Index 9.07 (31)9.07 (31)31.49 (35)12.13 (29)15.27 (33)14.43 (30)11.70 (36) Median 8.20 8.20 29.96 10.87 14.43 13.59 11.21 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return 2019 2018 2017 2016 2015 T. Rowe Price 33.09 (14)-3.96 (29)24.38 (22)10.94 (47)3.61 (25) S&P 500 Index 31.49 (35)-4.38 (37)21.83 (51)11.96 (34)1.38 (52) Median 29.96 -5.17 21.83 10.52 1.43 1 Qtr Ending Sep-2019 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 T. Rowe Price 1.63 (46)4.50 (40)14.59 (17)-13.58 (47)7.19 (50)3.71 (23) S&P 500 Index 1.70 (42)4.30 (49)13.65 (38)-13.52 (46)7.71 (34)3.43 (33) IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 4.23 13.19 -13.79 7.13 2.90 Performance Review As of December 31, 2019 T. Rowe Price 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count T. Rowe Price 20 12 (60%)7 (35%)1 (5%)0 (0%) S&P 500 Index 20 0 (0%)16 (80%)4 (20%)0 (0%) 13.50 14.25 15.00 15.75 16.50 17.25 Return (%)12.60 12.66 12.72 12.78 12.84 12.90 12.96 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 16.71 12.88 S&P 500 Index 15.27 12.65 Median 14.43 12.76¾ 10.60 11.13 11.66 12.19 12.72 13.25 Return (%)10.98 11.04 11.10 11.16 11.22 11.28 11.34 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 12.82 11.29 S&P 500 Index 11.70 11.04 Median 11.21 11.27¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk T. Rowe Price 0.89 104.53 98.57 1.12 1.43 1.21 1.01 7.95 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.12 1.00 7.98 90 Day U.S. Treasury Bill 11.95 5.25 -3.41 1.68 -1.12 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 1.04 103.78 98.34 0.89 0.99 0.98 1.01 7.49 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.91 1.00 7.48 90 Day U.S. Treasury Bill 11.87 3.67 -2.08 1.04 -0.91 N/A 0.00 0.01 Performance Review As of December 31, 2019 T. Rowe Price NONE Page 36 Peer Group Analysis - IM U.S. Mid Cap Value Equity (SA+CF) Comparative Performance -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Wedge Capital 3.63 (99)3.63 (99)20.16 (97)0.76 (93)6.67 (86)8.72 (94)5.65 (93) Russell Midcap Value 6.36 (66)6.36 (66)27.06 (61)5.57 (53)8.10 (65)10.96 (61)7.62 (67) Median 7.06 7.06 28.71 5.66 8.69 11.27 8.32 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return 2019 2018 2017 2016 2015 Wedge Capital 20.16 (97)-15.51 (76)19.55 (16)15.12 (79)-5.78 (76) Russell Midcap Value 27.06 (61)-12.29 (47)13.34 (74)20.00 (43)-4.78 (61) Median 28.71 -12.55 15.61 18.21 -3.23 1 Qtr Ending Sep-2019 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 Wedge Capital 0.87 (66)1.88 (81)12.82 (76)-17.64 (77)3.04 (67)2.98 (34) Russell Midcap Value Index 1.22 (58)3.19 (62)14.37 (43)-14.95 (35)3.30 (58)2.41 (45) IM U.S. Mid Cap Value Equity (SA+CF) Median 1.52 3.38 13.97 -16.33 3.55 2.31 Performance Review As of December 31, 2019 Wedge Capital 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 Wedge Capital (%)0.0 6.0 12.0 18.0 24.0 30.0 Russell Midcap Value Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Wedge Capital 20 3 (15%)6 (30%)7 (35%)4 (20%) Russell Midcap Value 20 0 (0%)4 (20%)15 (75%)1 (5%) 6.21 6.90 7.59 8.28 8.97 9.66 Return (%)12.50 12.75 13.00 13.25 13.50 13.75 14.00 14.25 Risk (Standard Deviation %) Return Standard Deviation Wedge Capital 6.67 13.47 Russell Midcap Value 8.10 12.79 Median 8.69 13.90¾ 4.45 5.34 6.23 7.12 8.01 8.90 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 5.65 13.41 Russell Midcap Value 7.62 12.51 Median 8.32 13.62¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Wedge Capital 3.14 97.60 106.17 -1.44 -0.40 0.43 1.02 10.03 Russell Midcap Value Index 0.00 100.00 100.00 0.00 N/A 0.55 1.00 9.03 90 Day U.S. Treasury Bill 12.80 6.05 -3.31 1.67 -0.55 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Wedge Capital 3.42 97.16 109.40 -2.00 -0.50 0.40 1.04 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 3.90 -2.09 1.05 -0.57 N/A 0.00 0.01 Performance Review As of December 31, 2019 Wedge Capital NONE Page 38 Peer Group Analysis - IM U.S. Mid Cap Growth Equity (SA+CF) Comparative Performance -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR TimesSquare 8.32 (35)8.32 (35)38.50 (35)15.56 (42)18.21 (47)15.74 (38)12.75 (41) Russell Midcap Growth 8.17 (38)8.17 (38)35.47 (55)13.59 (62)17.36 (52)14.77 (52)11.60 (54) Median 7.53 7.53 35.79 14.36 17.71 14.95 11.82 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 60.00 Return 2019 2018 2017 2016 2015 TimesSquare 38.50 (35)-3.59 (46)23.71 (62)8.62 (24)1.57 (43) Russell Midcap Growth 35.47 (55)-4.75 (53)25.27 (53)7.33 (36)-0.20 (59) Median 35.79 -4.30 25.42 5.64 1.04 1 Qtr Ending Sep-2019 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 TimesSquare 0.75 (21)8.59 (18)16.88 (76)-15.06 (22)6.97 (63)3.22 (62) Russell Midcap Growth Index -0.67 (46)5.40 (70)19.62 (42)-15.99 (34)7.57 (49)3.16 (63) IM U.S. Mid Cap Growth Equity (SA+CF) Median -0.84 6.41 18.86 -16.71 7.48 3.86 Performance Review As of December 31, 2019 TimesSquare 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 TimesSquare (%)0.0 5.0 10.0 15.0 20.0 25.0 Russell Midcap Growth Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 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%) 17.11 17.40 17.69 17.98 18.27 18.56 Return (%)12.09 12.48 12.87 13.26 13.65 14.04 14.43 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 18.21 12.40 Russell Midcap Growth 17.36 13.88 Median 17.71 14.13¾ 11.20 11.60 12.00 12.40 12.80 13.20 Return (%)11.90 12.24 12.58 12.92 13.26 13.60 13.94 14.28 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 12.75 12.36 Russell Midcap Growth 11.60 13.53 Median 11.82 13.84¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 3.01 93.29 77.67 2.69 0.18 1.29 0.88 7.51 Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 1.11 1.00 8.74 90 Day U.S. Treasury Bill 13.89 4.16 -4.59 1.68 -1.11 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 2.82 93.91 80.59 2.15 0.31 0.95 0.90 7.33 Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 0.81 1.00 8.52 90 Day U.S. Treasury Bill 13.51 2.99 -2.76 1.03 -0.81 N/A 0.00 0.01 Performance Review As of December 31, 2019 TimesSquare NONE Page 40 Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF) Comparative Performance -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lee Munder (LMCG)8.90 (29)8.90 (29)27.42 (24)4.31 (39)5.76 (49)10.88 (48)8.70 (27) Russell 2000 Value 8.49 (38)8.49 (38)22.39 (74)3.27 (48)4.77 (68)10.95 (47)6.99 (62) Median 7.96 7.96 25.15 3.04 5.55 10.59 7.67 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return 2019 2018 2017 2016 2015 Lee Munder (LMCG)27.42 (24)-14.62 (53)8.71 (68)27.80 (39)0.41 (12) Russell 2000 Value 22.39 (74)-12.86 (36)7.84 (75)31.74 (16)-7.47 (78) Median 25.15 -14.28 11.59 26.14 -4.31 1 Qtr Ending Sep-2019 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 Lee Munder (LMCG)0.44 (37)2.46 (46)13.69 (37)-18.92 (47)1.80 (48)7.53 (21) Russell 2000 Value Index -0.57 (59)1.38 (72)11.93 (70)-18.67 (44)1.60 (51)8.30 (16) IM U.S. Small Cap Value Equity (SA+CF) Median -0.24 2.30 12.86 -19.09 1.62 5.59 Performance Review As of December 31, 2019 Lee Munder (LMCG) 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 5.0 10.0 15.0 20.0 Lee Munder (LMCG) (%)0.0 5.0 10.0 15.0 20.0 Russell 2000 Value Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lee Munder (LMCG)20 3 (15%)10 (50%)6 (30%)1 (5%) Russell 2000 Value 20 0 (0%)5 (25%)10 (50%)5 (25%) 4.29 4.62 4.95 5.28 5.61 5.94 Return (%)15.20 15.40 15.60 15.80 16.00 16.20 16.40 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)5.76 15.44 Russell 2000 Value 4.77 15.68 Median 5.55 16.13¾ 6.72 7.28 7.84 8.40 8.96 9.52 Return (%)14.82 15.01 15.20 15.39 15.58 15.77 15.96 16.15 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)8.70 15.09 Russell 2000 Value 6.99 15.74 Median 7.67 15.90¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lee Munder (LMCG)2.72 98.39 92.75 1.09 0.33 0.33 0.97 11.21 Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A 0.27 1.00 11.28 90 Day U.S. Treasury Bill 15.68 4.77 -2.97 1.67 -0.27 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)3.04 97.02 86.90 1.99 0.49 0.56 0.94 9.72 Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A 0.44 1.00 10.30 90 Day U.S. Treasury Bill 15.76 2.86 -1.91 1.06 -0.44 N/A 0.00 0.01 Performance Review As of December 31, 2019 Lee Munder (LMCG) NONE Page 42 Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF) Comparative Performance -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Loomis Small Cap 10.23 (41)10.23 (41)27.80 (58)13.53 (42)18.11 (35)15.19 (43)12.60 (33) Russell 2000 Growth 11.39 (27)11.39 (27)28.48 (51)7.95 (76)12.49 (71)12.20 (78)9.34 (80) Median 9.39 9.39 28.49 12.00 15.84 14.78 11.53 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 60.00 Return 2019 2018 2017 2016 2015 Loomis Small Cap 27.80 (58)0.85 (23)27.83 (33)6.87 (80)2.78 (22) Russell 2000 Growth 28.48 (51)-9.31 (77)22.17 (58)11.32 (52)-1.38 (55) Median 28.49 -4.24 23.81 11.40 -0.77 1 Qtr Ending Sep-2019 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 Loomis Small Cap -5.26 (67)6.04 (34)15.40 (70)-19.05 (22)8.54 (36)9.39 (40) Russell 2000 Growth Index -4.17 (52)2.75 (81)17.14 (53)-21.65 (66)5.52 (73)7.23 (73) IM U.S. Small Cap Growth Equity (SA+CF) Median -4.13 4.57 17.46 -20.69 7.71 8.79 Performance Review As of December 31, 2019 Loomis Small Cap 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Small Cap 18 0 (0%)14 (78%)4 (22%)0 (0%) Russell 2000 Growth 20 0 (0%)3 (15%)15 (75%)2 (10%) 10.00 12.00 14.00 16.00 18.00 20.00 Return (%)15.25 15.50 15.75 16.00 16.25 16.50 16.75 17.00 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 18.11 15.50 Russell 2000 Growth 12.49 16.37 Median 15.84 16.59¾ 8.00 10.00 12.00 14.00 Return (%)15.77 15.96 16.15 16.34 16.53 16.72 16.91 17.10 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 12.60 16.03 Russell 2000 Growth 9.34 16.76 Median 11.53 16.66¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 3.86 108.36 83.54 5.99 1.24 1.05 0.92 10.06 Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.70 1.00 11.36 90 Day U.S. Treasury Bill 16.39 4.03 -3.56 1.69 -0.70 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 4.20 103.97 90.01 3.66 0.67 0.76 0.93 10.50 Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.56 1.00 11.64 90 Day U.S. Treasury Bill 16.76 2.55 -1.99 1.05 -0.56 N/A 0.00 0.01 Performance Review As of December 31, 2019 Loomis Small Cap NONE Page 44 Peer Group Analysis - IM International Equity (SA+CF) Comparative Performance -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lazard 8.44 (77)8.44 (77)21.23 (61)3.87 (28)11.42 (42)8.54 (59)6.61 (50) MSCI AC World ex USA (Net)8.92 (69)8.92 (69)21.51 (59)2.11 (51)9.87 (62)8.50 (59)5.51 (73) Median 9.99 9.99 22.56 2.12 10.67 9.13 6.61 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return 2019 2018 2017 2016 2015 Lazard 21.23 (61)-11.01 (17)28.22 (62)0.35 (75)-0.80 (47) MSCI AC World ex USA (Net)21.51 (59)-14.20 (44)27.19 (68)4.50 (48)-5.66 (66) Median 22.56 -14.81 30.54 4.00 -1.72 1 Qtr Ending Sep-2019 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 Lazard -2.29 (61)3.40 (37)10.66 (49)-10.16 (38)0.68 (40)-3.47 (60) MSCI AC World ex USA (Net)-1.80 (50)2.98 (45)10.31 (55)-11.46 (48)0.71 (39)-2.61 (50) IM International Equity (SA+CF) Median -1.83 2.60 10.49 -11.77 0.10 -2.67 Performance Review As of December 31, 2019 Lazard 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 -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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lazard 20 0 (0%)10 (50%)10 (50%)0 (0%) MSCI AC World ex USA (Net)20 0 (0%)0 (0%)14 (70%)6 (30%) 9.52 10.08 10.64 11.20 11.76 Return (%)10.08 10.50 10.92 11.34 11.76 12.18 12.60 13.02 Risk (Standard Deviation %) Return Standard Deviation Lazard 11.42 10.62 MSCI AC World ex USA (Net)9.87 11.34 Median 10.67 12.45¾ 5.07 5.46 5.85 6.24 6.63 7.02 Return (%)11.07 11.48 11.89 12.30 12.71 13.12 13.53 Risk (Standard Deviation %) Return Standard Deviation Lazard 6.61 11.28 MSCI AC World ex USA (Net)5.51 12.43 Median 6.61 13.12¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 2.46 97.99 84.82 2.22 0.54 0.92 0.91 6.63 MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.74 1.00 7.42 90 Day U.S. Treasury Bill 11.39 4.99 -4.86 1.71 -0.74 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 2.85 92.54 83.13 1.62 0.32 0.53 0.89 7.14 MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.41 1.00 8.07 90 Day U.S. Treasury Bill 12.42 3.31 -2.52 1.05 -0.41 N/A 0.00 0.01 Performance Review As of December 31, 2019 Lazard NONE Page 46 Peer Group Analysis - IM International Large Cap Core Equity (SA+CF) Comparative Performance -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Pictet 7.42 (88)7.42 (88)25.32 (36)0.47 (82)9.23 (71)7.77 (54)7.46 (23) MSCI EAFE Index 8.21 (74)8.21 (74)22.66 (58)3.09 (39)10.11 (48)7.89 (47)6.18 (50) Median 9.00 9.00 23.87 2.52 9.94 7.84 6.17 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return 2019 2018 2017 2016 2015 Pictet 25.32 (36)-19.45 (96)29.12 (31)3.50 (24)6.24 (9) MSCI EAFE Index 22.66 (58)-13.36 (37)25.62 (63)1.51 (51)-0.39 (56) Median 23.87 -14.63 26.49 1.52 0.25 1 Qtr Ending Sep-2019 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 Pictet -0.44 (26)2.54 (78)14.28 (8)-17.10 (97)-1.42 (97)0.35 (10) MSCI EAFE Index -1.00 (35)3.97 (33)10.13 (70)-12.50 (31)1.42 (37)-0.97 (32) IM International Large Cap Core Equity (SA+CF) Median -1.47 3.59 10.85 -13.16 1.01 -1.76 Performance Review As of December 31, 2019 Pictet 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Pictet 20 6 (30%)2 (10%)11 (55%)1 (5%) MSCI EAFE Index 20 0 (0%)5 (25%)15 (75%)0 (0%) 9.00 9.30 9.60 9.90 10.20 10.50 Return (%)10.25 10.66 11.07 11.48 11.89 12.30 12.71 13.12 Risk (Standard Deviation %) Return Standard Deviation Pictet 9.23 12.50 MSCI EAFE Index 10.11 10.80 Median 9.94 11.54¾ 5.52 5.98 6.44 6.90 7.36 7.82 Return (%)11.88 12.10 12.32 12.54 12.76 12.98 13.20 13.42 Risk (Standard Deviation %) Return Standard Deviation Pictet 7.46 13.13 MSCI EAFE Index 6.18 12.14 Median 6.17 12.19¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 3.79 105.21 115.52 -1.69 -0.16 0.64 1.11 8.54 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.79 1.00 7.05 90 Day U.S. Treasury Bill 10.84 4.51 -6.33 1.71 -0.79 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 3.68 106.89 100.71 1.07 0.36 0.53 1.04 8.46 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.47 1.00 7.97 90 Day U.S. Treasury Bill 12.14 2.93 -3.16 1.05 -0.47 N/A 0.00 0.01 Performance Review As of December 31, 2019 Pictet NONE Page 48 Peer Group Analysis - IM Emerging Markets Equity (SA+CF) Comparative Performance -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Berkeley Street 12.89 (22)12.89 (22)29.92 (8)5.49 (7)15.09 (17)14.67 (11)8.85 (11) MSCI Emerging Markets 11.93 (37)11.93 (37)18.90 (57)0.97 (47)11.99 (42)11.89 (44)6.01 (54) Median 11.37 11.37 19.40 0.80 11.37 11.39 6.21 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return 2019 2018 2017 2016 2015 Berkeley Street 29.92 (8)-14.36 (39)37.00 (48)13.42 (27)-11.62 (42) MSCI Emerging Markets 18.90 (57)-14.25 (37)37.75 (42)11.60 (40)-14.60 (67) Median 19.40 -15.23 36.81 10.35 -12.65 1 Qtr Ending Sep-2019 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 Berkeley Street -0.71 (8)1.65 (49)14.02 (13)-7.53 (57)-3.19 (60)-6.08 (16) MSCI Emerging Markets Index -4.11 (60)0.74 (74)9.97 (54)-7.40 (53)-0.95 (34)-7.86 (42) IM Emerging Markets Equity (SA+CF) Median -3.65 1.55 10.08 -7.30 -2.30 -8.27 Performance Review As of December 31, 2019 Berkeley Street 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Berkeley Street 17 6 (35%)9 (53%)2 (12%)0 (0%) MSCI Emerging Markets 20 0 (0%)6 (30%)14 (70%)0 (0%) 10.00 12.00 14.00 16.00 Return (%)13.77 13.86 13.95 14.04 14.13 14.22 14.31 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 15.09 13.89 MSCI Emerging Markets 11.99 14.18 Median 11.37 13.83¾ 5.88 6.86 7.84 8.82 9.80 Return (%)14.80 15.00 15.20 15.40 15.60 15.80 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 8.85 15.16 MSCI Emerging Markets 6.01 15.66 Median 6.21 14.95¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 3.91 101.59 83.86 3.50 0.69 0.96 0.94 7.99 MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.75 1.00 8.58 90 Day U.S. Treasury Bill 14.23 3.46 -5.16 1.71 -0.75 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 5.32 95.68 79.68 3.26 0.49 0.57 0.91 9.09 MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.38 1.00 9.79 90 Day U.S. Treasury Bill 15.65 2.38 -2.50 1.05 -0.38 N/A 0.00 0.01 Performance Review As of December 31, 2019 Berkeley Street NONE Page 50 Peer Group Analysis - IM Long/Short Equity (MF) Comparative Performance -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR ABS Global 5.70 (24)5.70 (24)15.31 (38)3.84 (51)6.76 (41)4.13 (59)4.10 (57) HFRI FOF: Strategic Index 4.54 (40)4.54 (40)10.53 (67)1.57 (68)4.69 (63)3.48 (69)2.66 (70) Median 4.05 4.05 13.04 4.07 5.91 5.25 4.44 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return 2019 2018 2017 2016 2015 ABS Global 15.31 (38)-6.49 (56)12.86 (37)-3.38 (87)4.00 (18) HFRI FOF: Strategic Index 10.53 (67)-6.67 (57)11.22 (51)-0.05 (75)-0.54 (53) Median 13.04 -5.80 11.25 4.58 -0.31 1 Qtr Ending Sep-2019 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 ABS Global 1.16 (34)2.03 (47)5.70 (56)-8.03 (42)0.75 (83)0.34 (60) HFRI FOF: Strategic Index -1.73 (82)1.30 (61)6.21 (52)-6.47 (28)-0.62 (90)0.00 (66) IM Long/Short Equity (MF) Median 0.54 1.87 6.37 -9.13 2.96 0.94 Performance Review As of December 31, 2019 ABS Global 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 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%) 3.60 4.32 5.04 5.76 6.48 7.20 Return (%)4.06 4.64 5.22 5.80 6.38 6.96 7.54 8.12 8.70 Risk (Standard Deviation %) Return Standard Deviation ABS Global 6.76 6.11 HFRI FOF: Strategic Index 4.69 4.99 Median 5.91 8.10¾ 2.32 2.90 3.48 4.06 4.64 5.22 Return (%)4.32 4.86 5.40 5.94 6.48 7.02 7.56 8.10 8.64 Risk (Standard Deviation %) Return Standard Deviation ABS Global 4.10 6.28 HFRI FOF: Strategic Index 2.66 5.22 Median 4.44 8.11¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 2.45 125.11 107.15 1.43 0.83 0.83 1.13 4.09 HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.61 1.00 3.29 90 Day U.S. Treasury Bill 5.03 11.53 -12.01 1.71 -0.61 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 2.79 118.57 101.98 1.24 0.52 0.51 1.08 4.45 HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.33 1.00 3.80 90 Day U.S. Treasury Bill 5.22 8.12 -6.41 1.05 -0.33 N/A 0.00 0.01 Performance Review As of December 31, 2019 ABS Global NONE Page 52 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -4.00 -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 0.12 (68)0.12 (68)9.16 (53)4.53 (50)4.28 (59)3.93 (61)3.44 (52) Bl. Barclays U.S. Aggregate 0.18 (57)0.18 (57)8.72 (77)4.27 (83)4.03 (85)3.68 (86)3.05 (89) Median 0.21 0.21 9.19 4.52 4.39 4.10 3.45 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 Return 2019 2018 2017 2016 2015 CS McKee 9.16 (53)0.09 (46)3.77 (64)2.90 (62)1.50 (11) Bl. Barclays U.S. Aggregate 8.72 (77)0.01 (61)3.54 (83)2.65 (75)0.55 (76) Median 9.19 0.07 4.04 3.10 0.82 1 Qtr Ending Sep-2019 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 CS McKee 2.50 (14)3.04 (76)3.23 (49)1.33 (57)0.12 (61)-0.01 (28) Blmbg. Barc. U.S. Aggregate Index 2.27 (70)3.08 (70)2.94 (83)1.64 (25)0.02 (84)-0.16 (72) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.33 3.13 3.21 1.40 0.18 -0.09 Performance Review As of December 31, 2019 CS McKee 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count CS McKee 20 0 (0%)10 (50%)10 (50%)0 (0%) Bl. Barclays U.S. Aggregate 20 0 (0%)0 (0%)0 (0%)20 (100%) 3.80 4.00 4.20 4.40 4.60 Return (%)2.74 2.76 2.78 2.80 2.82 2.84 2.86 2.88 2.90 Risk (Standard Deviation %) Return Standard Deviation CS McKee 4.28 2.77 Bl. Barclays U.S. Aggregate 4.03 2.87 Median 4.39 2.84¾ 2.80 3.00 3.20 3.40 3.60 Return (%)2.75 2.80 2.85 2.90 2.95 3.00 3.05 3.10 Risk (Standard Deviation %) Return Standard Deviation CS McKee 3.44 2.84 Bl. Barclays U.S. Aggregate 3.05 3.04 Median 3.45 3.01¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 0.34 100.42 89.30 0.41 0.70 0.95 0.96 1.12 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.83 1.00 1.21 90 Day U.S. Treasury Bill 2.81 18.12 -29.49 1.57 -0.83 N/A 0.03 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 0.42 100.12 85.40 0.60 0.89 0.85 0.93 1.42 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.67 1.00 1.61 90 Day U.S. Treasury Bill 2.98 12.28 -14.66 0.99 -0.67 N/A 0.02 0.01 Performance Review As of December 31, 2019 CS McKee NONE Page 54 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -4.00 -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 0.55 (13)0.55 (13)9.55 (30)4.59 (47)4.98 (8)5.59 (4)3.86 (16) Bl. Barclays U.S. Aggregate 0.18 (57)0.18 (57)8.72 (77)4.27 (83)4.03 (85)3.68 (86)3.05 (89) Median 0.21 0.21 9.19 4.52 4.39 4.10 3.45 -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 Return 2019 2018 2017 2016 2015 Loomis Fixed Income 9.55 (30)-0.15 (76)5.76 (3)7.45 (2)-2.80 (100) Bl. Barclays U.S. Aggregate 8.72 (77)0.01 (61)3.54 (83)2.65 (75)0.55 (76) Median 9.19 0.07 4.04 3.10 0.82 1 Qtr Ending Sep-2019 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 Loomis Fixed Income 2.08 (91)3.09 (66)3.53 (15)0.19 (97)0.57 (7)-0.26 (89) Blmbg. Barc. U.S. Aggregate Index 2.27 (70)3.08 (70)2.94 (83)1.64 (25)0.02 (84)-0.16 (72) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 2.33 3.13 3.21 1.40 0.18 -0.09 Performance Review As of December 31, 2019 Loomis Fixed Income 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 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%) 3.63 3.96 4.29 4.62 4.95 5.28 Return (%)2.40 2.48 2.56 2.64 2.72 2.80 2.88 2.96 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 4.98 2.48 Bl. Barclays U.S. Aggregate 4.03 2.87 Median 4.39 2.84¾ 2.70 2.97 3.24 3.51 3.78 4.05 Return (%)3.01 3.08 3.15 3.22 3.29 3.36 3.43 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 3.86 3.34 Bl. Barclays U.S. Aggregate 3.05 3.04 Median 3.45 3.01¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 1.23 97.79 47.16 1.79 0.73 1.33 0.78 1.05 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.83 1.00 1.21 90 Day U.S. Treasury Bill 2.81 18.12 -29.49 1.57 -0.83 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 2.19 103.29 75.58 1.28 0.36 0.85 0.84 1.79 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.67 1.00 1.61 90 Day U.S. Treasury Bill 2.98 12.28 -14.66 0.99 -0.67 N/A 0.02 0.01 Performance Review As of December 31, 2019 Loomis Fixed Income NONE Page 56 Peer Group Analysis - IM Global Fixed Income (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 Franklin Templeton 1.09 (65)1.09 (65)1.85 (99)1.78 (90)1.93 (95)2.98 (94)1.38 (95) JPM Global Government Bond -0.52 (98)-0.52 (98)6.02 (89)2.63 (79)4.01 (84)3.39 (91)2.16 (86) Median 1.59 1.59 9.47 3.98 5.30 5.18 3.74 -20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 Return 2019 2018 2017 2016 2015 Franklin Templeton 1.85 (99)1.72 (7)2.22 (96)6.19 (48)-4.75 (80) JPM Global Government Bond 6.02 (89)-0.65 (30)6.83 (59)1.57 (90)-2.61 (54) Median 9.47 -1.79 7.62 5.88 -2.31 1 Qtr Ending Sep-2019 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 Franklin Templeton -2.53 (96)1.30 (93)2.04 (89)1.42 (10)1.31 (35)-2.54 (69) JPM Global Government Bond Index 1.14 (53)3.49 (33)1.82 (93)2.01 (3)-1.70 (96)-3.04 (76) IM Global Fixed Income (SA+CF) Median 1.25 3.10 3.87 -1.07 0.61 -0.83 Performance Review As of December 31, 2019 Franklin Templeton 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 Under Performance Earliest Date Latest Date -6.0 -3.0 0.0 3.0 6.0 Franklin Templeton (%)-6.0 -3.0 0.0 3.0 6.0 JPM Global Government Bond Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Franklin Templeton 20 0 (0%)5 (25%)7 (35%)8 (40%) JPM Global Government Bond 20 0 (0%)1 (5%)4 (20%)15 (75%) 0.00 2.00 4.00 6.00 Return (%)3.42 3.80 4.18 4.56 4.94 5.32 5.70 6.08 6.46 Risk (Standard Deviation %) Return Standard Deviation Franklin Templeton 1.93 5.82 JPM Global Government Bond 4.01 4.12 Median 5.30 3.85¾ 0.77 1.54 2.31 3.08 3.85 4.62 Return (%)4.16 4.48 4.80 5.12 5.44 5.76 6.08 6.40 6.72 Risk (Standard Deviation %) Return Standard Deviation Franklin Templeton 1.38 6.30 JPM Global Government Bond 2.16 5.11 Median 3.74 4.61¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Franklin Templeton 8.22 1.17 -47.57 4.14 -0.24 0.07 -0.49 4.22 JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A 0.58 1.00 2.09 90 Day U.S. Treasury Bill 4.11 10.77 -18.49 1.65 -0.58 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Franklin Templeton 9.26 -23.42 -58.95 2.47 -0.08 0.08 -0.38 4.38 JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A 0.24 1.00 3.39 90 Day U.S. Treasury Bill 5.07 7.03 -7.99 1.03 -0.24 N/A 0.01 0.01 Performance Review As of December 31, 2019 Franklin Templeton 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 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Morgan Stanley 1.79 (43)1.79 (43)7.38 (42)8.21 (46)8.76 (33)9.06 (31)10.40 (34) NCREIF Fund Index-ODCE 1.51 (69)1.51 (69)5.34 (81)6.83 (79)7.09 (76)7.51 (78)8.97 (74) Median 1.67 1.67 7.14 8.02 8.10 8.38 9.59 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 Return 2019 2018 2017 2016 2015 Morgan Stanley 7.38 (42)9.05 (38)9.86 (13)9.98 (45)15.93 (36) NCREIF Fund Index-ODCE 5.34 (81)8.35 (51)7.62 (61)8.77 (79)15.02 (50) Median 7.14 8.35 8.07 9.47 15.01 1 Qtr Ending Sep-2019 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 Morgan Stanley 1.72 (54)2.11 (4)1.57 (79)2.23 (13)2.22 (44)2.06 (65) NCREIF Fund Index-ODCE (VW)1.31 (79)1.00 (87)1.42 (80)1.76 (49)2.09 (52)2.05 (65) IM U.S. Open End Private Real Estate (SA+CF) Median 1.79 1.43 1.99 1.75 2.09 2.20 Performance Review As of December 31, 2019 Morgan Stanley 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 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 Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Morgan Stanley 20 4 (20%)16 (80%)0 (0%)0 (0%) NCREIF Fund Index-ODCE 20 0 (0%)0 (0%)19 (95%)1 (5%) 6.49 7.08 7.67 8.26 8.85 9.44 Return (%)0.45 0.54 0.63 0.72 0.81 0.90 0.99 1.08 1.17 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 8.76 0.56 NCREIF Fund Index-ODCE 7.09 0.70 Median 8.10 1.03¾ 9.12 9.60 10.08 10.56 11.04 Return (%)1.44 1.53 1.62 1.71 1.80 1.89 1.98 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 10.40 1.43 NCREIF Fund Index-ODCE 8.97 1.53 Median 9.59 1.85¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.63 122.78 N/A 5.72 2.50 8.40 0.42 0.00 NCREIF Fund Index-ODCE (VW)0.00 100.00 N/A 0.00 N/A 5.79 1.00 0.00 90 Day U.S. Treasury Bill 0.91 23.99 N/A 3.36 -5.79 N/A -0.24 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.62 115.35 N/A 2.60 2.16 5.05 0.86 0.00 NCREIF Fund Index-ODCE (VW)0.00 100.00 N/A 0.00 N/A 4.05 1.00 0.00 90 Day U.S. Treasury Bill 1.89 12.10 N/A 2.97 -4.05 N/A -0.22 0.00 Performance Review As of December 31, 2019 Morgan Stanley NONE Page 60 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 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Prudential PRISA II 2.15 (31)2.15 (31)7.52 (40)8.47 (38)8.33 (44)8.84 (36)10.49 (33) NCREIF Property Index 1.55 (64)1.55 (64)6.42 (68)6.57 (81)6.70 (78)7.01 (82)8.25 (84) Median 1.67 1.67 7.14 8.02 8.10 8.38 9.59 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 Return 2019 2018 2017 2016 2015 Prudential PRISA II 7.52 (40)9.43 (28)8.05 (52)10.37 (39)17.35 (27) NCREIF Property Index 6.42 (68)6.72 (81)6.96 (79)7.97 (85)13.33 (73) Median 7.14 8.35 8.07 9.47 15.01 1 Qtr Ending Sep-2019 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 Prudential PRISA II 1.71 (54)1.47 (38)1.98 (52)1.45 (70)2.29 (41)2.25 (46) NCREIF Property Index 1.41 (76)1.51 (31)1.80 (70)1.37 (74)1.67 (77)1.81 (87) IM U.S. Open End Private Real Estate (SA+CF) Median 1.79 1.43 1.99 1.75 2.09 2.20 Performance Review As of December 31, 2019 Prudential PRISA II NONE Page 61 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 Prudential PRISA II (%)4.0 8.0 12.0 16.0 20.0 NCREIF Property Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 12/19 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%) 5.94 6.48 7.02 7.56 8.10 8.64 Return (%)0.00 0.20 0.40 0.60 0.80 1.00 1.20 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 8.33 1.02 NCREIF Property Index 6.70 0.29 Median 8.10 1.03¾ 7.50 8.25 9.00 9.75 10.50 11.25 Return (%)1.00 1.20 1.40 1.60 1.80 2.00 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 10.49 1.86 NCREIF Property Index 8.25 1.25 Median 9.59 1.85¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 0.87 123.73 N/A -6.08 1.78 5.77 2.19 0.00 NCREIF Property Index 0.00 100.00 N/A 0.00 N/A 9.65 1.00 0.00 90 Day U.S. Treasury Bill 0.51 25.37 N/A 4.11 -9.65 N/A -0.37 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 1.06 126.25 N/A 0.08 1.99 4.17 1.25 0.00 NCREIF Property Index 0.00 100.00 N/A 0.00 N/A 4.37 1.00 0.00 90 Day U.S. Treasury Bill 1.59 13.12 N/A 3.04 -4.37 N/A -0.24 0.00 Performance Review As of December 31, 2019 Prudential PRISA II NONE Page 62 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 December 31, 2019 Page 63 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 December 31, 2019 Page 64 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 65 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. 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