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Home My WebLink AboutReports - 2020.12.17 - 33744<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="1" EffectiveDate="09/30/2020" Interval="3" Description="Quarterly Report" /> Investment Performance Review Period Ending September 30, 2020 Oakland County ERS Defined Benefit Plan Executive Summary Page 1 Asset Allocation Vs. Policy Targets Page 12 Asset Allocation Pie Charts Page 14 Historical Asset Allocation Page 16 Financial Reconciliation Page 18 Performance Review Trailing Periods Page 21 Comparative Performance IRR Page 25 Total Fund Analysis Page 27 SSgA S&P 500 Page 29 SSgA S&P 500 Equal Weighted Page 31 T. Rowe Price Page 33 TimesSquare Page 37 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 67 Table Of Contents EXECUTIVE SUMMARY: 3Q 2020 Market Summary: The US equity markets continued to recover during the third quarter and reached new highs in early September. Stocks were buoyed by the continued assistance from the government and the uneven reopening of the economy. As the quarter came to an end, the markets retreated as a second stimulus package stalled in Washington; the S&P was up 8.9% for the quarter and 5.6% year to date. However, these results have been skewed by the performance of a handful of stocks – Amazon, Apple, Facebook, Google, and Microsoft. To demonstrate the return differential, large cap growth stocks (Russell 1000 Growth Index) are +24.3% year-to-date while large cap value stocks (Russell 1000 Value Index) are -11.6% over the same period. Small caps and international stocks have lagged large cap stocks during the recovery; during the quarter, the Russell 2000 Index gained 4.9% (-8.7% YTD) and the MSCI EAFE Index rose 4.8% (-7.1% YTD). The fixed income markets were relatively uneventful during the quarter as interest rates were range bound and spreads continued to tighten, although at a slower pace. For the quarter, the BB Aggregate Index rose 0.6% (6.8% YTD) and the BB Corporate High Yield Index gained 4.6% (0.6% YTD). Conclusions/Recommendations: 1. The Total Fund gained 4.28% during the quarter, performing in line with the Policy Index and ranking in the bottom half of the public fund universe. The Fund was hindered by relatively weak results from the equity allocation. 2. The Total Fund was up 5.10% over the past year, ranking near the fourth quartile of the peer group and trailing the Policy Index. Longer-term, the Fund has performed relatively well, generally ranking in the top half of the universe but trailing the Policy Index. 3. Great Lakes rebounded this quarter, out performing their benchmark and ranking in the top quartile of their peer group. The manager benefited from an overweight to Consumer Discretionary and underweight to Financials. Great Lakes trails performance expectations after five quarters. 4. Reinhart continued to struggle this quarter, under performing their benchmark and ranking near the bottom of the SMID Core universe. The manager struggled from poor stock selection within the Consumer Discretionary, and Financials sectors. Reinhart trails performance expectations after five quarters. 5. CS McKee and Loomis, Sayles (fixed income) out performed the BB US Aggregate Index this quarter. Both managers benefited from an underweight to Treasuries during the quarter. Longer-term both managers exceed performance expectations. 6. Franklin Templeton continued their weak performance during the quarter. PIMCO Diversied Income has been selected as a replacement for this mandate and the transfer should occur during the 4th quarter. 7. At quarter end all allocations were within policy ranges and near target allocations. All managers have reported results for the third quarter. 8. See the Asset/Manager Summary for additional comments and recommendations. Page 1 3rd Quarter 2020 Market EnvironmentPage 2 Source: Investment MetricsThe Market EnvironmentMajor Market Index PerformanceAs of September 30, 2020Broad asset class returns were positive in the 3rd quarter continuing theirrebound from the 2nd quarter. In general, US monetary policy remainssupportive as the Federal Reserve Bank (Fed) continues to hold interest ratesnear zero with the goal of providing the markets with liquidity. Importantly, theFed indicated that interest rates in the US would remain low for an extendedperiod as GDP growth and business activity remains subdued as the COVID-19 pandemic lingers. The Fed also commented that it was comfortableallowing inflation to exceed its 2% target in the near-term with the goal ofaveraging its target over the long-term. The final reading of US GDP growth inthe 2nd quarter showed the economy contracted by -31.4%. Whileexpectations for growth in the 3rd quarter vary widely, the general outlook isfor a strong positive reading. Within domestic equity markets, we saw areversal during the quarter with large cap stocks outperforming small capstocks with the S&P 500 returning 8.9% compared to 4.9% for the Russell2000 Index. Over the trailing 1-year period, large cap stocks significantlyoutperformed both small and mid-cap stocks with the S&P 500 returning15.1% while small and mid-cap stocks returned 0.4% and 4.6%, respectively.Similar to US markets, international markets posted strong returns for theperiod despite concerns about a potential “second wave” of the pandemicflowing through Europe. While neither the European Central Bank nor theBank of England changed their policies, global central banks remainaccommodative and prepared to provide additional support if required.International investors also benefited from a weakening USD which declinedagainst most major currencies during the period. Emerging market economiescontinued to outperform relative to developed markets during the period withChina showing signs of improvement. For the quarter, the MSCI EmergingMarket Index returned 9.6% compared to 4.8% for the MSCI EAFE Index.Following the strong quarter, both developed and emerging market indicesturned positive over the 1-year trailing period with the developed market indexreturning 0.5% and the emerging market index returning 10.5%.Fixed income returns were mixed during the 3rd quarter as interest ratesremained relatively stable. For the quarter, the BB US Aggregate Indexreturned 0.6% while the BB Corporate Investment Grade Index returned 1.5%.TIPS were an area of strength during the quarter, benefiting from higherinflation expectations. For the trailing 1-year period, fixed income returns weresolid with the BB US Aggregate Index returning 7.0%, while corporate bondsreturned 7.9%. TIPS outperformed nominal bonds by posting a respectable10.1% return over the trailing 1-year period as investors’ inflation expectationsrose.1.1%7.9%4.4%10.1%8.0%7.0%0.4%4.6%16.0%15.0%15.1%10.5%0.5%3.0%0.0% 5.0% 10.0% 15.0% 20.0%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 Performance0.0%1.5%0.1%3.0%0.2%0.6%4.9%7.5%9.5%9.2%8.9%9.6%4.8%6.3%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 PerformancePage 3 Source: Investment MetricsThe Market EnvironmentDomestic Equity Style Index PerformanceAs of September 30, 2020Continuing their recent trend, US equitiesposted their second straight quarterof positive returns across the style and market capitalization spectrum. Duringthe quarter, large cap stocks resumed their leadership, outpacing both mid andsmall-cap stocks as investors gravitated toward large companies for theirrelatively attractive profitability profile, lower leverage, and diversified businessmodels. The Russell 1000 Index returned 9.5% compared with 7.5% and 4.9%for the Russell MidCap and Russell 2000 indices, respectively. While small capstocks have historically performed well in periods following a recession, therelative uncertainty surrounding the path of global economic growth and theupcoming US Presidential election pushed investors toward the relative safetyof large cap stocks.Growth stocks maintained their dominance relative to value-oriented stocksacross all market capitalizations for the 3rd quarter. The Russell 1000 GrowthIndex returned 13.2% and was the best performing index across style andmarket capitalization for the period. The index benefitted from favorablerelative weightings to consumer discretionary, materials and technology-related companies, which powered large cap returns during the period. Smallcap value stocks trailed their index peers during the quarter with the Russell2000 Value Index returning 2.6%. Exposures to financial-related companiesand real estate acted as a headwind as those sectors lagged during the period.When viewed over the trailing 1-year period, the performance dispersionbetween large cap and small cap stocks across styles is glaring. While some ofthe difference in relative performance between market capitalizations can beattributed to the drawdown experienced during the 1st quarter, large capstocks have benefited from investors favoring companies with healthierfinancial profiles that can weather a protracted period of weak growth due tothe pandemic. Additionally, the sector weights within the respective indices anda tilt towards growth-oriented, higher P/E companies in large caps has actedas a tailwind for growth index performance.Results over the trailing 1-year reflect the continued strength of growthcompared to value benchmarks with each growth index earning double digitgains while each value index posted negative results for the period. The widestperformance gap was in the large cap space with the Russell 1000 GrowthIndex returning 37.5%, which outpacedthe large cap value benchmark bymore than 40% for the year. The dispersion between both mid and small capgrowth benchmarks was also substantial relative to their value counterpartswith each growth index outpacing its respective value benchmark by more than30% for the year.7.2%4.9%2.6%9.4%7.5%6.4%13.2%9.5%5.6%12.9%9.2%5.4%0.0% 5.0% 10.0% 15.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 ValueQuarter Performance - Russell Style Series15.7%0.4%-14.9%23.2%4.6%-7.3%37.5%16.0%-5.0%36.1%15.0%-5.7%-20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0%2000 Growth2000 Index2000 ValueMidCap GrowthMidCap IndexMidCap Value1000 Growth1000 Index1000 Value3000 Growth3000 Index3000 Value1-Year Performance - Russell Style SeriesPage 4 Ten of eleven economic sectors within the large cap Russell 1000 Index werepositive for the 3rd quarter with only the energy sector posting a negativereturn. Five sectors outpaced the return of the broad index during the period.Growth-oriented sectors such as consumer discretionary, materials andtechnology were some of the best performers for the quarter returning 19.0%,12.4%, and 12.1%, respectively. The energy sector continues to lag due toreduced consumption and the threat of bankruptcies resulting from stubbornlylow oil prices. While the sectors were positive, financials and real estate werelaggards relative to the broad index results, posting returns of 4.0% and 1.5%respectively. With the Fed indicating that interest rates will remain lower forlonger, both sectors faced headwinds due to their sensitivity to US interestrates.Over the trailing 1-year period, technology-related and consumer discretionarystocks were the best performers returning 47.8% and 37.4% respectively. Forthe full-year, five sectors exceeded the return of the broad benchmark:technology, consumer discretionary, health care, communication services, andmaterials. In contrast, traditional value sectors such as energy, financials, realestate and utilities posted returnsof -45.0%, -13.1%, -11.1%, and -6.1%,respectively, for the trailing 1-year period. This sector performance shows astaggering dispersion of more than 90%from best to worst performing sectorin the large cap benchmark.Five of eleven small cap sectors posted returns greater than the Russell 2000Index for the 3rd quarter. Similar to large cap stocks, sectors sensitive to theconsumer and improving economic conditions were the primary drivers ofreturn during the quarter. That said, only the consumer discretionary sectoroutpaced its large cap counterpart during the period, returning 19.2%compared to 19.0%.As previously noted, small cap stocks have significantly trailed large caps overthe previous 1-year period. Specifically, energy-related companies have facedsignificant headwinds due primarily to low oil prices while interest ratesensitive sectors such as financials and real estate have failed to producegains as a result of historically low US interest rates. The lone bright spot hasbeen health care stocks which outperformed their large cap equivalents bymore than 14% over the period (37.5% versus 22.9%).The Market EnvironmentGICS Sector Performance & (Sector Weight)As of September 30, 2020Source: 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. -6.1%-11.1%10.1%47.8%1.3%22.9%-13.1%-45.0%7.6%37.4%19.3%5.8%1.5%12.4%12.1%12.0%6.3%4.0%-19.3%10.3%19.0%9.3%-50.0% -30.0% -10.0% 10.0% 30.0% 50.0%Utilities (2.9%)Real Estate (3.3%)Materials (2.6%)Info Technology (27.7%)Industrials (8.3%)Health Care (14.3%)Financials (9.9%)Energy (2.4%)Consumer Staples (6.4%)Consumer Disc (11.8%)Comm Services (10.4%)Russell 1000Quarter1-Year-20.6%-20.5%-7.1%11.7%1.0%37.5%-23.9%-50.9%9.0%13.3%-15.6%-3.9%0.0%6.4%2.4%10.8%5.0%-2.7%-6.1%8.4%19.2%-1.3%-60.0% -40.0% -20.0% 0.0% 20.0% 40.0%Utilities (3.4%)Real Estate (6.9%)Materials (4.1%)Info Technology (14.0%)Industrials (14.9%)Health Care (20.2%)Financials (15.8%)Energy (2.2%)Consumer Staples (3.4%)Consumer Disc (12.6%)Comm Services (2.6%)Russell 2000Quarter1-YearPage 5 The Market EnvironmentTop 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000As of September 30, 2020Source: Morningstar DirectTop 10 Weighted StocksTop 10 Weighted StocksRussell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorApple Inc 6.04% 27.2% 108.9% Information Technology Penn National Gaming Inc 0.59% 138.0% 290.3% Consumer DiscretionaryMicrosoft Corp 5.02% 3.6% 53.0% Information Technology Sunrun Inc 0.49%290.8% 361.4% IndustrialsAmazon.com Inc 4.25% 14.1%81.4% Consumer Discretionary Caesars Entertainment Inc 0.41% 39.9% 40.6% Consumer DiscretionaryFacebook Inc A 2.00% 15.3% 47.1% Communication Services MyoKardia Inc 0.37% 41.1% 161.4% Health CareAlphabet Inc A 1.40% 3.4% 20.0% Communication Services Novavax Inc 0.35% 30.0% 2058.4% Health CareAlphabet Inc Class C 1.39% 4.0% 20.6% Communication Services iRhythm Technologies Inc 0.35% 105.5% 221.3% Health CareBerkshire Hathaway Inc Class B 1.32% 19.3% 2.4%Financials LHC Group Inc 0.34% 21.9% 87.2% Health CareJohnson & Johnson 1.25%6.6% 18.2% Health Care Mirati Therapeutics Inc 0.33% 45.4% 113.1% Health CareProcter & Gamble Co 1.08% 17.0% 14.6% Consumer Staples Churchill Downs Inc 0.33% 23.0% 33.3% Consumer DiscretionaryVisa Inc Class A 1.08% 3.7% 17.0% Information Technology Momenta Pharmaceuticals Inc 0.33% 57.7% 304.9% Health CareTop 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter)Russell 1000 Weight1-Qtr Return1-Year ReturnSector Russell 2000 Weight1-Qtr Return1-Year ReturnSectorImmunomedics Inc 0.06% 139.9% 541.3% Health Care Whiting Petroleum Corp 0.00% 1430.1% 115.3% EnergyL Brands Inc 0.02% 112.5% 67.3% Consumer Discretionary Seres Therapeutics Inc 0.08% 494.7% 606.0% Health CareTesla Inc 1.01% 98.7% 790.5% Consumer Discretionary Vivint Solar Inc 0.11% 327.8% 547.6% IndustrialsNovoCure Ltd 0.04% 87.7% 48.8% Health Care Tupperware Brands Corp 0.05% 324.4% 27.0%Consumer DiscretionaryPinterest Inc 0.05% 87.2% 56.9% Communication Services Eastman Kodak Co 0.01% 295.5% 234.1% Information TechnologyLivongo Health Inc 0.02% 86.3% 703.0% Health Care Sunrun Inc 0.49% 290.8% 361.4% IndustrialsCarvana Co Class A 0.04% 85.6% 238.0% Consumer Discretionary Cassava Sciences Inc 0.01% 273.7% 859.2% Health CareZoom Video Communications Inc 0.25% 85.4% 516.9% Information Technology Owens & Minor Inc 0.08% 229.6% 332.8% Health CareFedEx Corp 0.19% 79.9% 75.8% Industrials Gogo Inc 0.03% 192.4%53.2% Communication ServicesZillow Group Inc A 0.02% 76.7% 243.7% Communication Services Pacific Biosciences of California Inc 0.09% 186.1% 91.3% 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 ReturnSectorOccidental Petroleum Corp 0.03% -45.2% -75.5% Energy Satsuma Pharmaceuticals Inc Ord. Shr. 0.00% -86.5% -74.1% Health CareCoty Inc Class A 0.00% -39.6% -73.8%Consumer Staples Akebia Therapeutics Inc 0.02% -81.5% -36.0% Health CareBiomarin Pharmaceutical Inc 0.04% -38.3% 12.9% Health Care Corbus Pharmaceuticals Holdings Inc 0.01% -78.5% -63.0% Health CareReata Pharmaceuticals Inc A 0.01% -37.6% 21.3% Health Care Odonate Therapeutics Inc 0.01% -68.3% -48.4% Health CareMurphy Oil Corp 0.00% -34.8% -58.0% Energy Tricida Inc 0.01% -67.0% -70.7% Health CareAgios Pharmaceuticals Inc 0.01% -34.6% 8.0% Health Care Abeona Therapeutics Inc 0.00% -65.0% -54.9% Health CareMarathon Oil Corp 0.01% -33.2% -66.4% Energy Mallinckrodt PLC 0.00% -63.7% -59.6% Health CareKirby Corp 0.01% -32.5% -56.0% Industrials Nemaura Medical Inc 0.00% -61.6% -51.4% Health CareHollyFrontier Corp 0.01% -31.6% -61.8% Energy Express, Inc. 0.00% -60.4% -82.3% Consumer DiscretionaryAlteryx Inc Class A 0.02% -30.9% 5.7% Information Technology Unity Biotechnology Inc 0.01% -60.1% -43.3% Health CarePage 6 Source: MSCI Global Index Monitor (Returns are Net)Nearly all broad international equity indices posted positive returns in bothUSD and local currency terms for the 3rd quarter. Similar to US markets,international markets continued tobenefit from sustained monetary and fiscalstimulus in addition to economic recovery following the onset of the pandemic.Importantly, US investors benefitedfrom the foreign exchange element ofinvesting internationally as the USD declined relative to most developedmarket currencies during the quarter.For the 3rd quarter, emerging markets outperformed developed markets bynearly 5%. The MSCI Emerging Markets Index gained 9.6% in USD and 8.7%in local currency terms for the period. Emerging markets were led higher byChina (12.5% for the quarter) which showed signs of accelerating economicgrowth during the quarter and represents more than 10% of 26 countryemerging market benchmark. Developed international markets also deliveredsolid returns during the period with the MSCI EAFE Index rising by 4.8% inUSD and 1.2% in local currency returns.Trailing 1-year returns for international developed markets were mixed both interms of USD and local currency returns. In contrast, emerging market returnswere broadly positive during the period despite both EMEA and Latin Americaposting negative returns in both USD and local currency terms. For the year,the MSCI EAFE Index returned 0.5% in USD and -4.7% in local currencyreturns while the MSCI Emerging Markets Index returned 10.5% and 12.5%,respectively.During the trailing 1-year period, the USD weakened against most majorinternational developed and emerging market currencies which positivelycontributed to returns in USD terms. Despite this, emerging markets in LatinAmerica were adversely affected as a result of the decisions by Argentina andEcuador to restructure their sovereign debt which resulted in local currencyweakness and declining asset values.The Market EnvironmentInternational and Regional Market Index Performance (Country Count)As September 30, 2020-0.9%10.6%2.5%8.7%2.9%0.3%1.2%1.5%3.5%-1.3%11.9%1.8%9.6%5.4%4.5%4.8%4.9%6.3%-5.0% 0.0% 5.0% 10.0% 15.0%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 Currency-11.6%19.7%-5.4%12.5%-0.2%-7.2%-4.7%-4.5%0.0%-29.4%21.5%-12.1%10.5%2.6%-0.8%0.5%0.2%3.0%-30.0% -20.0% -10.0% 0.0% 10.0% 20.0%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 7 The Market EnvironmentUS Dollar International Index Attribution & Country DetailAs of September 30, 2020Source: 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 5.5% 4.1% 1.4%Consumer Discretionary 11.9% 9.7% 3.4%Consumer Staples 11.9% 4.5% 0.7%Energy 2.8% -13.4% -42.7%Financials 15.1% -1.3% -16.9%Health Care 14.4% 2.9% 20.4%Industrials 15.2% 10.3% 5.3%Information Technology 8.6% 8.1% 23.7%Materials 7.6% 10.8% 10.9%Real Estate 3.1% 2.9% -15.5%Utilities 4.0% 3.0% 5.9%Total 100.0% 4.8% 0.5%MSCI - ACWIxUS Sector Weight Quarter Return 1-Year ReturnCommunication Services 7.5% 3.3% 11.8%Consumer Discretionary 13.8% 16.5% 18.1%Consumer Staples 9.7% 4.6% 0.2%Energy 4.2% -7.6% -33.5%Financials 16.9% -0.2% -17.2%Health Care 10.5% 2.6% 22.2%Industrials 11.7% 9.9% 4.5%Information Technology 11.7% 13.4% 34.6%Materials 7.9% 11.1% 12.0%Real Estate 2.7% 2.3% -14.1%Utilities 3.4% 2.0% 0.2%Total 100.0% 6.3% 3.0%MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year ReturnCommunication Services 12.7% 2.5% 25.4%Consumer Discretionary 20.2% 26.8% 48.4%Consumer Staples 6.1% 4.3% -2.7%Energy 5.4% -0.5% -19.2%Financials 17.2% -0.5% -19.0%Health Care 4.3% 1.9% 47.0%Industrials 4.4% 2.9% -6.7%Information Technology 18.5% 20.5% 41.9%Materials 6.9% 11.6% 8.0%Real Estate 2.4% 0.9% -7.8%Utilities 2.0% -4.4% -18.4%Total 100.0% 9.6% 10.5%MSCI-EAFE MSCI-ACWIxUS Quarter 1- YearCountry Weight Weight Return ReturnJapan 25.8% 16.5% 6.9% 6.9%United Kingdom 13.3% 8.5% -0.2% -15.8%France 10.7% 6.8% 2.8% -6.2%Switzerland 10.4% 6.6% 5.1% 11.0%Germany 9.6% 6.2% 8.3% 10.0%Australia 6.6% 4.2% 2.8% -7.7%Netherlands 4.4% 2.8% 5.9% 12.6%Sweden 3.3% 2.1% 14.6% 22.4%Hong Kong 3.3% 2.1% 1.6% -1.6%Denmark 2.5% 1.6% 15.3% 42.5%Spain 2.3% 1.4% -3.8% -21.0%Italy 2.2% 1.4% 1.3% -10.1%Finland 1.1% 0.7% 11.9% 12.7%Singapore 1.0% 0.7% -1.0% -16.4%Belgium 1.0% 0.6% 2.0% -23.2%Ireland 0.7% 0.5% 14.5% 20.7%Israel 0.6% 0.4% -2.0% 3.5%Norway 0.6% 0.4% 8.2% -13.8%New Zealand 0.3% 0.2% -1.0% 24.4%Portugal 0.2% 0.1% -3.4% 2.3%Austria 0.2% 0.1% -4.8% -29.1%Total EAFE Countries 100.0% 63.8% 4.8% 0.5%Canada6.5% 6.2% -3.0%Total Developed Countries 70.3% 4.9% 0.2%China12.5% 12.5% 33.6%Taiwan3.8% 16.5% 35.0%Korea3.6% 12.8% 18.6%India2.5% 15.0% 0.5%Brazil1.4% -3.3% -32.5%South Africa 1.1% 3.7% -11.1%Russia0.9% -4.7% -16.0%Saudi Arabia 0.8% 9.3% -2.9%Thailand0.5% -14.1% -30.2%Malaysia0.5% 2.6% -2.9%Mexico0.5% 4.6% -20.5%Indonesia 0.4% -6.9% -25.4%Qatar0.2% 7.5% -2.6%Philippines 0.2% -2.7% -18.7%Poland0.2% -0.9% -20.9%United Arab Emirates 0.2% 6.2% -11.8%Chile0.2% -4.2% -33.0%Turkey0.1% -15.7% -30.0%Peru0.1% 3.5% -22.2%Hungary0.1% -8.9% -22.5%Colombia 0.1% -1.3% -37.6%Argentina 0.0% 6.7% 7.3%Greece0.0% 3.3% -29.3%Czech Republic 0.0% -6.2% -22.1%Egypt0.0% 4.6% -13.8%Pakistan0.0% 12.4% -2.6%Total Emerging Countries 29.7% 9.6% 10.5%Total ACWIxUS Countries 100.0% 6.3% 3.0%Page 8 Source: BloombergThe Market EnvironmentDomestic Bond Sector & Broad/Global Bond Market Performance (Duration)As of September 30, 2020During the 3rd quarter, each fixed income benchmark posted positive resultsand returns were led by lower quality high yield bonds, international bondsand TIPS. During the period, US interest rates were roughly unchanged asinvestors vacillated between concerns related to the pandemic and apositive outlook on future economic growth. Despite declining during themonth of September, US high yield bonds delivered strong returns for thequarter with the Bloomberg Barclays (BB) US High Yield Index returning4.6%. High quality global bonds outperformed US bonds during the periodlargely due to a declining USD.During the quarter, the broad Bloomberg Barclays (BB) US Aggregate Indexreturned 0.6%. The primary contributorof performance to the index duringthe period were US Corporate IG bonds which delivered 1.5%. Despite near-record issuance, investors continue to gravitate towards corporate credit forits higher return potential as US interest rates look to remain low for sometime. US TIPS also performed well during the quarter with the BB US TIPSIndex returning 3.0% as investors remained concerned about the potentialfor rising US inflation as a result of the fiscal and monetary stimulus providedto combat the pandemic.Over the trailing 1-year period, each of the domestic and international fixedincome indices delivered positive absolute returns. Longer duration, higherquality investment grade bonds outperformed lower quality, shorter durationhigh yield bonds as global interest rates fell while investors looked for lessvolatile assets. US TIPS were the best performing bonds with the BB USTIPS Index returning 10.1% followed by US Treasury bonds which returned8.0%. High Yield bonds performed worst, returning 3.3% during the periodas they continued to recover from the spread-widening drawdown during the1st quarter.For the full year, both domestic and global bonds performed well. The USBB Aggregate Bond Index returned 7.0% compared to 5.5% for the BBGlobal Aggregate ex-US Index. Despite lower interest rates in both Europeand Japan, global bonds delivered solid returns primarily due to a decline inthe USD compared to most major developed currencies.2.7%4.1%0.5%0.6%3.0%1.5%0.1%0.2%4.6%2.1%1.2%0.9%0.2%0.0% 1.0% 2.0% 3.0% 4.0% 5.0%Multiverse (7.2)Global Agg x US (8.3)Intermediate Agg (3.5)Aggregate (6.1)U.S. TIPS (5.2)U.S. Corporate IG (8.7)U.S. Mortgage (2.1)U.S. Treasury (7.2)U.S. High Yield (3.7)Baa (8.6)A (8.5)AA (8.4)AAA (5.1)Quarter Performance 6.0%5.5%5.7%7.0%10.1%7.9%4.4%8.0%3.3%7.0%8.4%6.9%6.6%0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%Multiverse (7.2)Global Agg x US (8.3)Intermediate Agg (3.5)Aggregate (6.1)U.S. TIPS (5.2)U.S. Corporate IG (8.7)U.S. Mortgage (2.1)U.S. Treasury (7.2)U.S. High Yield (3.7)Baa (8.6)A (8.5)AA (8.4)AAA (5.1)1-Year PerformancePage 9 Source: US Department of Treasury, FRED (Federal Reserve of St. Louis)The Market EnvironmentMarket Rate & Yield Curve ComparisonAs of September 30, 2020Much of the index performance detailed in the bar graphs on the previouspage is visible on a time series basis by reviewing the yield graph to theright. The ‘1-Year Trailing Market Rates’ chart illustrates that over the lastyear, the 10-year Treasury yield (green line) fell from yields of greater than1.5%, to a low of roughly 0.5% before ending the quarter at roughly 0.7%. Adecline in yields acts as a tailwind for bond performance. The blue lineillustrates changes in the BAA OAS (Option Adjusted Spread). This measurequantifies the additional yield premium that investors require to purchaseand hold non-Treasury investment grade issues. This line illustrates thedramatic increase in credit spreads in early 2020 as investors requiredadditional compensation to hold riskier credit assets following the onset ofthe pandemic. Since that time, spreads have steadily declined as marketshave largely normalized following the aggressive actions taken by theTreasury and Fed. During the quarter, the BB US High Yield OAS spread fellby roughly 1.1% but is still widen than pre-pandemic levels. Similar toTreasury yield declines, spread tightening in corporate bonds is equivalent toan interest rate decrease, which causes bond prices to rise. The green bandacross the graph illustrates the Fed Funds Rate. Following the onset of thepandemic, the Fed began aggressively cutting interest rates during the 1stquarter to between 0.0% to 0.25%, where it has remained since then.The lower graph provides a snapshot of the US Treasury yield curve at theend of each of the last four calendar quarters. US interest rates were broadlyhigher at the end of 2019. Following the onset of the pandemic, interestrates fell dramatically as the Fed took unprecedented action to stimulate theeconomy. While short-term interest rates have remained anchored near0.0%, intermediate-term interest rates between 2-years and 7-years declinedas concerns over future US economic growth increased. Additionally, theFed has indicated that US interest rates will remain low for the foreseeablefuture in an effort to provide the market with liquidity. Longer-term USTreasury interest rates moved slightlyhigher during the most recent quarteras investors balanced the Fed’s statements with the need to increase theamount of US Treasury bond issuance to fund both the annual budget deficitand additional stimulus.0.000.501.001.502.002.503.001 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yrTreasury Yield Curve12/31/20193/31/20206/30/20209/30/2020-1.50-0.500.501.502.503.504.505.506.50Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-201-Year Trailing Market RatesFed Funds RateTED Spread3-Month LiborBAA OAS10yr Treasury10yr TIPSPage 10 Page Intentionally Left Blank Page 11 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (1.0%) Total Real Asset (10.3%) Total Fixed Income Composite (33.2%) Total Long/Short Equity Composite (5.8%) Total International Equity (14.1%) Total Domestic Equity (35.6%) 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 721,478,221 100.0 N/A N/A 100.0 --- Total Domestic Equity 257,185,254 35.6 10.0 50.0 35.0 -185,037,432 103,553,856 -4,667,877 Total International Equity 101,523,203 14.1 5.0 20.0 15.0 -65,449,292 42,772,441 6,698,530 Total Long/Short Equity Composite 41,838,108 5.8 0.0 7.5 5.0 -41,838,108 12,272,759 -5,764,197 Total Fixed Income Composite 239,461,252 33.2 10.0 55.0 35.0 -167,313,430 157,351,769 13,056,125 Total Real Asset 74,180,548 10.3 0.0 15.0 10.0 -74,180,548 34,041,185 -2,032,726 Total Cash Composite 7,289,856 1.0 0.0 5.0 0.0 -7,289,856 28,784,055 -7,289,856 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of September 30, 2020 Page 12 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (1.0%) Total Real Asset (10.3%) Total Fixed Income Composite (33.2%) Total Long/Short Equity Composite (5.8%) Total International Equity (14.1%) Total Small Cap Equity Composite (6.8%) Total Mid Cap Equity Composite (7.8%) Total Large Cap Equity Composite (21.1%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 721,478,221 100.0 100.0 - Total Large Cap Equity Composite 151,952,674 21.1 20.0 -7,657,030 Total Mid Cap Equity Composite 56,137,408 7.8 7.5 -2,026,541 Total Small Cap Equity Composite 49,095,172 6.8 7.5 5,015,694 Total International Equity 101,523,203 14.1 15.0 6,698,530 Total Long/Short Equity Composite 41,838,108 5.8 5.0 -5,764,197 Total Fixed Income Composite 239,461,252 33.2 35.0 13,056,125 Total Real Asset 74,180,548 10.3 10.0 -2,032,726 Total Cash Composite 7,289,856 1.0 0.0 -7,289,856 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of September 30, 2020 Page 13 Asset Allocation By Segment as of June 30, 2020 : $705,251,546 Asset Allocation By Segment as of September 30, 2020 : $721,478,221 Allocation Segments Market Value Allocation Domestic Equity 247,945,397 35.2¢ International Equity 97,242,916 13.8¢ Domestic Fixed Income 186,793,021 26.5¢ Global Fixed Income 34,226,625 4.9¢ Real Estate 68,133,455 9.7¢ Hedge Fund 46,519,307 6.6¢ Private Equity 14,991,665 2.1¢ Cash Equivalent 9,399,161 1.3¢ Allocation Segments Market Value Allocation Domestic Equity 253,338,622 35.1¢ International Equity 99,277,485 13.8¢ Domestic Fixed Income 189,442,833 26.3¢ Global Fixed Income 34,112,455 4.7¢ Real Estate 69,629,222 9.7¢ Hedge Fund 41,838,108 5.8¢ Private Equity 16,936,521 2.3¢ Cash Equivalent 16,902,974 2.3¢ Asset Allocation Summary Total Fund Composite As of September 30, 2020 NONE Page 14 Asset Allocation By Manager as of June 30, 2020 : $705,251,546 Asset Allocation By Manager as of September 30, 2020 : $721,478,221 Allocation Market Value Allocation CS McKee 110,211,308 15.6¢ Loomis Fixed Income 80,236,136 11.4¢ T. Rowe Price 76,484,653 10.8¢ ABS Global 46,519,307 6.6¢ Pictet 42,457,883 6.0¢ SSgA S&P 500 39,759,874 5.6¢ Morgan Stanley 37,045,887 5.3¢ Lazard 35,592,856 5.0¢ SSgA S&P 500 Equal Weighted Index 34,812,293 4.9¢ Franklin Templeton 34,226,625 4.9¢ Loomis Small Cap 24,752,893 3.5¢ Lee Munder (LMCG)21,673,792 3.1¢ Berkeley Street 20,921,163 3.0¢ Prudential PRISA II 19,316,971 2.7¢ TimesSquare 15,975,763 2.3¢ Great Lakes SmidCap 13,428,454 1.9¢ Reinhart Partners 13,053,923 1.9¢ Churchill Senior Loan Fund 11,241,029 1.6¢ iShares Russell Mid Cap Value (IWS)10,935,248 1.6¢ Alidade Capital Fund IV 4,955,634 0.7¢ Walton Street Real Estate 3,180,562 0.5¢ AEW Real Estate 2,670,137 0.4¢ ValStone Opportunity Fund V 2,155,744 0.3¢ Hamilton Lane Scondary Fund V LP 1,594,892 0.2¢ Private Markets Cash 1,083,462 0.2¢ Dune Real Estate IV 902,348 0.1¢ JPM Euro Property 61,917 0.0¢ Cash and Equivalents Account 792 0.0¢ Nuance Mid Cap Value -0.0¢ Marathon Distressed Credit Fund LP -0.0¢ Allocation Market Value Allocation CS McKee 111,182,007 15.4¢ Loomis Fixed Income 81,781,595 11.3¢ T. Rowe Price 71,504,741 9.9¢ SSgA S&P 500 43,309,403 6.0¢ ABS Global 41,838,108 5.8¢ Pictet 41,413,457 5.7¢ Lazard 37,701,340 5.2¢ Morgan Stanley 37,440,076 5.2¢ SSgA S&P 500 Equal Weighted Index 37,138,531 5.1¢ Franklin Templeton 34,112,455 4.7¢ Loomis Small Cap 26,923,719 3.7¢ Berkeley Street 22,408,405 3.1¢ Lee Munder (LMCG)22,171,453 3.1¢ Prudential PRISA II 19,343,114 2.7¢ TimesSquare 17,496,772 2.4¢ Great Lakes SmidCap 14,415,082 2.0¢ Reinhart Partners 12,976,442 1.8¢ Churchill Senior Loan Fund 12,385,195 1.7¢ Nuance Mid Cap Value 11,249,111 1.6¢ Private Markets Cash 7,285,989 1.0¢ Alidade Capital Fund IV 5,064,781 0.7¢ Walton Street Real Estate 3,271,608 0.5¢ AEW Real Estate 3,147,875 0.4¢ ValStone Opportunity Fund V 2,193,415 0.3¢ Hamilton Lane Scondary Fund V LP 1,767,532 0.2¢ Dune Real Estate IV 1,299,851 0.2¢ Marathon Distressed Credit Fund LP 590,379 0.1¢ JPM Euro Property 61,917 0.0¢ Cash and Equivalents Account 3,867 0.0¢ iShares Russell Mid Cap Value (IWS)-0.0¢ Asset Allocation Summary Total Fund Composite As of September 30, 2020 NONE Page 15 Asset Allocation Attributes Sep-2020 Jun-2020 Mar-2020 Dec-2019 Sep-2019 ($)%($)%($)%($)%($)% Total Fund Composite 721,478,221 100.00 705,251,546 100.00 647,981,995 100.00 763,934,666 100.00 745,464,983 100.00 Total Equity Composite 400,546,565 55.52 396,368,103 56.20 332,451,250 51.31 435,442,945 57.00 402,768,787 54.03 Total Domestic Equity 257,185,254 35.65 250,876,894 35.57 205,070,848 31.65 273,689,503 35.83 252,746,779 33.90 Total Large Cap Equity Composite 151,952,674 21.06 151,056,820 21.42 125,049,513 19.30 159,314,955 20.85 146,328,255 19.63 SSgA S&P 500 43,309,403 6.00 39,759,874 5.64 32,988,836 5.09 41,040,977 5.37 37,628,762 5.05 SSgA S&P 500 Equal Weighted Index 37,138,531 5.15 34,812,293 4.94 28,687,302 4.43 39,437,397 5.16 36,613,179 4.91 T. Rowe Price 71,504,741 9.91 76,484,653 10.85 63,373,375 9.78 78,836,581 10.32 72,086,314 9.67 Total Mid Cap Equity Composite 56,137,408 7.78 53,393,388 7.57 42,758,792 6.60 61,944,948 8.11 58,548,861 7.85 iShares Russell Mid Cap Value (IWS)-0.00 10,935,248 1.55 -0.00 -0.00 -0.00 Wedge Capital Partners -0.00 -0.00 9,125,522 1.41 14,931,908 1.95 14,408,448 1.93 Nuance Mid Cap Value 11,249,111 1.56 -0.00 -0.00 -0.00 -0.00 TimesSquare 17,496,772 2.43 15,975,763 2.27 12,446,528 1.92 15,357,065 2.01 14,177,972 1.90 Great Lakes SmidCap 14,415,082 2.00 13,428,454 1.90 10,600,944 1.64 15,705,181 2.06 14,824,135 1.99 Reinhart Partners 12,976,442 1.80 13,053,923 1.85 10,585,798 1.63 15,950,793 2.09 15,138,306 2.03 Total Small Cap Equity Composite 49,095,172 6.80 46,426,686 6.58 37,262,543 5.75 52,429,600 6.86 47,869,663 6.42 Lee Munder (LMCG)22,171,453 3.07 21,673,792 3.07 18,348,518 2.83 27,553,773 3.61 25,302,071 3.39 Loomis Small Cap 26,923,719 3.73 24,752,893 3.51 18,914,025 2.92 24,875,827 3.26 22,567,592 3.03 Total International Equity 101,523,203 14.07 98,971,903 14.03 84,744,525 13.08 114,380,810 14.97 105,202,074 14.11 Lazard 37,701,340 5.23 35,592,856 5.05 30,831,403 4.76 40,760,952 5.34 37,590,425 5.04 Pictet 41,413,457 5.74 42,457,883 6.02 37,050,738 5.72 51,792,423 6.78 48,276,973 6.48 Berkeley Street 22,408,405 3.11 20,921,163 2.97 16,862,384 2.60 21,827,435 2.86 19,334,677 2.59 Total Long/Short Equity Composite 41,838,108 5.80 46,519,307 6.60 42,635,877 6.58 47,372,632 6.20 44,819,934 6.01 ABS Global 41,838,108 5.80 46,519,307 6.60 42,635,877 6.58 47,372,632 6.20 44,819,934 6.01 Total Fixed Income Composite 239,461,252 33.19 235,915,098 33.45 239,867,886 37.02 246,209,275 32.23 263,340,605 35.33 Total Domestic Fixed Income 192,963,602 26.75 190,447,444 27.00 193,786,985 29.91 197,181,795 25.81 214,583,507 28.79 CS McKee 111,182,007 15.41 110,211,308 15.63 117,678,129 18.16 122,116,111 15.99 139,925,447 18.77 Loomis Fixed Income 81,781,595 11.34 80,236,136 11.38 76,108,856 11.75 75,065,684 9.83 74,658,060 10.01 Total Global Fixed 34,112,455 4.73 34,226,625 4.85 34,379,112 5.31 36,622,276 4.79 36,227,780 4.86 Franklin Templeton 34,112,455 4.73 34,226,625 4.85 34,379,112 5.31 36,622,276 4.79 36,227,780 4.86 Historical Asset Allocation Total Fund As of September 30, 2020 Page 16 Historical Asset Allocation Total Fund As of September 30, 2020 Sep-2020 Jun-2020 Mar-2020 Dec-2019 Sep-2019 ($)%($)%($)%($)%($)% Private Fixed Income 12,385,195 1.72 11,241,029 1.59 11,701,789 1.81 12,405,204 1.62 12,529,318 1.68 Churchill Senior Loan Fund 12,385,195 1.72 11,241,029 1.59 11,701,789 1.81 12,405,204 1.62 12,529,318 1.68 Total Real Asset 74,180,548 10.28 71,884,091 10.19 70,962,436 10.95 78,709,461 10.30 76,358,514 10.24 Total Real Estate 70,219,601 9.73 68,133,455 9.66 68,848,136 10.63 76,034,885 9.95 74,124,715 9.94 Morgan Stanley 37,440,076 5.19 37,045,887 5.25 37,746,029 5.83 45,518,879 5.96 44,833,926 6.01 JPM Euro Property 61,917 0.01 61,917 0.01 66,576 0.01 113,676 0.01 118,075 0.02 Prudential PRISA II 19,343,114 2.68 19,316,971 2.74 19,855,338 3.06 19,653,114 2.57 19,295,324 2.59 Alidade Capital Fund IV 5,064,781 0.70 4,955,634 0.70 4,323,805 0.67 3,846,298 0.50 3,455,383 0.46 Walton Street Real Estate 3,271,608 0.45 3,180,562 0.45 3,157,731 0.49 3,273,220 0.43 3,516,426 0.47 AEW Real Estate 3,147,875 0.44 2,670,137 0.38 2,649,728 0.41 2,765,427 0.36 2,555,642 0.34 Dune Real Estate IV 1,299,851 0.18 902,348 0.13 1,048,929 0.16 864,272 0.11 349,939 0.05 Marathon Distressed Credit Fund LP 590,379 0.08 -0.00 -0.00 -0.00 -0.00 H.I.G. Bayside Loan Opportunity VI -0.00 -0.00 -0.00 -0.00 -0.00 Private Investments 3,960,947 0.55 3,750,636 0.53 2,114,300 0.33 2,674,576 0.35 2,233,799 0.30 ValStone Opportunity Fund V 2,193,415 0.30 2,155,744 0.31 2,114,300 0.33 2,674,576 0.35 2,233,799 0.30 Hamilton Lane Scondary Fund V LP 1,767,532 0.24 1,594,892 0.23 -0.00 -0.00 -0.00 Portfolio Adv Seconary Agg VI -0.00 -0.00 -0.00 -0.00 -0.00 Total Cash Composite 7,289,856 1.01 1,084,254 0.15 4,700,423 0.73 3,572,986 0.47 2,997,078 0.40 Cash and Equivalents Account 3,867 0.00 792 0.00 756,786 0.12 5,587 0.00 5,534 0.00 Private Markets Cash 7,285,989 1.01 1,083,462 0.15 3,943,637 0.61 3,567,398 0.47 2,991,544 0.40 Page 17 Financial Reconciliation Market Value 07/01/2020 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 09/30/2020 Total Fund Composite 705,251,546 -533,500 -14,196,947 -246,412 -3,996 2,826,963 27,313,566 721,478,221 Total Equity Composite 396,368,103 -21,000,010 50,956 --112,131 -2,167 1,100,665 24,141,148 400,546,565 Total Domestic Equity 250,876,894 -12,000,010 ---4,939 -1,225 706,798 17,607,737 257,185,254 Total Large Cap Equity Composite 151,056,820 -12,000,000 ---4,939 -154 317,642 12,583,304 151,952,674 SSgA S&P 500 39,759,874 ----1,933 --3,551,461 43,309,403 SSgA S&P 500 Equal Weighted Index 34,812,293 ----3,006 --2,329,243 37,138,531 T. Rowe Price 76,484,653 -12,000,000 ----154 317,642 6,702,600 71,504,741 Total Mid Cap Equity Composite 53,393,388 -10 ----462 242,192 2,502,300 56,137,408 iShares Russell Mid Cap Value (IWS)10,935,248 -11,470,255 ----2 535,005 - Nuance Mid Cap Value -11,470,245 ----89 129,474 -350,519 11,249,111 TimesSquare 15,975,763 -----133 30,269 1,490,874 17,496,772 Great Lakes SmidCap 13,428,454 -----39 39,170 947,497 14,415,082 Reinhart Partners 13,053,923 -----202 43,278 -120,557 12,976,442 Total Small Cap Equity Composite 46,426,686 -----610 146,964 2,522,133 49,095,172 Lee Munder (LMCG)21,673,792 -----179 124,727 373,112 22,171,453 Loomis Small Cap 24,752,893 -----431 22,236 2,149,021 26,923,719 Total International Equity 98,971,903 -3,000,000 50,956 --107,193 -941 393,867 5,214,611 101,523,203 Lazard 35,592,856 -----941 212,262 1,897,164 37,701,340 Pictet 42,457,883 -3,000,000 ---56,237 -181,606 1,830,205 41,413,457 Berkeley Street 20,921,163 -50,956 --50,956 --1,487,242 22,408,405 Total Long/Short Equity Composite 46,519,307 -6,000,000 -----1,318,801 41,838,108 ABS Global 46,519,307 -6,000,000 -----1,318,801 41,838,108 Total Fixed Income Composite 235,915,098 65,844 ----1,467 1,161,849 2,319,928 239,461,252 Total Domestic Fixed Income 190,447,444 -344,705 ----1,467 1,161,849 1,700,481 192,963,602 CS McKee 110,211,308 -344,705 ----1,058 669,356 647,105 111,182,007 Loomis Fixed Income 80,236,136 -----409 492,493 1,053,375 81,781,595 Total Global Fixed 34,226,625 -------114,170 34,112,455 Franklin Templeton 34,226,625 -------114,170 34,112,455 Financial Reconciliation Total Fund 1 Quarter Ending September 30, 2020 Page 18 Financial Reconciliation Total Fund 1 Quarter Ending September 30, 2020 Market Value 07/01/2020 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 09/30/2020 Private Fixed Income 11,241,029 410,549 -----733,617 12,385,195 Churchill Senior Loan Fund 11,241,029 410,549 -----733,617 12,385,195 Total Real Asset 71,884,091 591,077 482,544 -16,947 -134,281 -564,173 809,891 74,180,548 Total Real Estate 68,133,455 591,077 482,544 -16,947 -134,281 -564,173 599,580 70,219,601 Morgan Stanley 37,045,887 ----77,439 -365,885 105,744 37,440,076 JPM Euro Property 61,917 -------61,917 Prudential PRISA II 19,316,971 ----56,842 -198,288 -115,303 19,343,114 Alidade Capital Fund IV 4,955,634 -160,231 -----269,378 5,064,781 Walton Street Real Estate 3,180,562 ------91,046 3,271,608 AEW Real Estate 2,670,137 406,603 -----71,135 3,147,875 Dune Real Estate IV 902,348 344,705 -----52,798 1,299,851 Marathon Distressed Credit Fund LP --472,829 ----117,550 590,379 H.I.G. Bayside Loan Opportunity VI --9,716 -16,947 ---7,232 - Private Investments 3,750,636 ------210,311 3,960,947 ValStone Opportunity Fund V 2,155,744 ------37,671 2,193,415 Hamilton Lane Scondary Fund V LP 1,594,892 ------172,640 1,767,532 Portfolio Adv Seconary Agg VI --------- Total Cash Composite 1,084,254 20,343,089 --14,180,000 --363 276 42,599 7,289,856 Cash and Equivalents Account 792 14,182,954 --14,180,000 --363 483 -3,867 Private Markets Cash 1,083,462 6,160,135 -----207 42,599 7,285,989 Page 19 -12.0 -4.0 4.0 12.0 20.0 28.0 36.0 44.0 52.0 60.0 68.0 76.0 Allocation (%)US Equity Global ex-US Equity US Fixed Global Ex-US Fixed Income Alternatives Real Estate - Public - Private Cash And Cash Equivalents Total Fund Composite 35.65 (67)10.97 (76)26.75 (49)4.73 (26)8.15 (75)9.65 (23)1.01 (57) 5th Percentile 60.73 26.00 57.05 14.96 48.89 13.02 7.13 1st Quartile 50.18 18.33 33.32 4.83 24.00 9.55 2.49 Median 41.43 14.73 26.07 2.87 16.40 7.07 1.25 3rd Quartile 31.14 10.98 19.95 0.62 7.91 4.14 0.62 95th Percentile 14.53 6.05 12.84 0.02 2.12 2.16 0.07 Plan Sponsor TF Asset Allocation Total Fund Composite Vs. All Public Plans-Total Fund As of September 30, 2020 Page 20 Asset Allocation & Performance Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Fund Composite (Gross)721,478,221 100.0 4.28 (81)5.10(82)0.18(87)5.10(82)5.41(74)7.65 (66)6.89 (53)7.93(43)8.24(41)10/01/1986 Total Fund Policy Index 4.42 (79)7.77(47)2.74(45)7.77(47)6.60(44)8.22 (45)7.24 (39)8.52(21)8.76(9) Difference -0.14 -2.67 -2.56 -2.67 -1.19 -0.57 -0.35 -0.59 -0.52 All Public Plans-Total Fund Median 5.15 7.50 2.47 7.50 6.34 8.08 6.95 7.70 8.13 Total Fund Composite (Net)721,478,221 100.0 4.24 4.96 0.08 4.96 5.09 7.29 6.63 7.75 8.19 10/01/1986 Total Fund Policy Index 4.42 7.77 2.74 7.77 6.60 8.22 7.24 8.52 8.76 Difference -0.18 -2.81 -2.66 -2.81 -1.51 -0.93 -0.61 -0.77 -0.57 Total Equity Composite 400,546,565 55.5 6.37 4.74 -3.14 4.74 5.34 9.18 7.92 9.89 9.37 10/01/1986 Total Equity Index 7.48 8.45 -0.41 8.45 7.22 10.90 9.83 11.65 9.84 Difference -1.11 -3.71 -2.73 -3.71 -1.88 -1.72 -1.91 -1.76 -0.47 Total Fixed Income Composite 239,461,252 33.2 1.48 5.98 5.49 5.98 4.85 4.63 4.10 4.13 6.38 10/01/1986 Total Fixed Income Index 1.11 6.80 6.59 6.80 5.10 4.14 3.75 3.40 6.21 Difference 0.37 -0.82 -1.10 -0.82 -0.25 0.49 0.35 0.73 0.17 Total Real Asset 74,180,548 10.3 1.89 3.09 0.53 3.09 6.70 8.02 9.94 9.98 4.81 07/01/2008 NCREIF Fund Index-ODCE (VW)0.48 1.39 -0.11 1.39 5.18 6.64 8.60 10.27 5.06 Difference 1.41 1.70 0.64 1.70 1.52 1.38 1.34 -0.29 -0.25 Total Cash Composite 7,289,856 1.0 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2020 Page 21 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2020 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Equity 257,185,254 35.6 Total Large Cap Equity Composite 151,952,674 21.1 8.65 (48)12.17(52)3.02(53)12.17(52)10.92(51)13.60 (47)12.37 (45)13.59(47)10.45(51)07/01/2008 IM U.S. Large Cap Equity (SA+CF) Median 8.41 13.02 3.97 13.02 10.93 13.11 12.05 13.46 10.46 SSgA S&P 500 (1.5 bps)43,309,403 6.0 8.93 (36)15.12(38)5.54(39)15.12(38)12.29(31)14.19 (24)12.72 (36)13.79(41)13.47(41)10/01/2009 S&P 500 Index 8.93 (36)15.15(37)5.57(38)15.15(37)12.28(32)14.15 (27)12.68 (39)13.74(44)13.41(44) Difference 0.00 -0.03 -0.03 -0.03 0.01 0.04 0.04 0.05 0.06 IM U.S. Large Cap Core Equity (SA+CF) Median 7.99 12.46 3.22 12.46 10.66 13.11 12.14 13.54 13.21 SSgA S&P 500 Equal Weighted Index (4bps)37,138,531 5.1 6.69 (71)1.47(89)-5.80(91)1.47(89)N/A N/A N/A N/A 3.00(86)02/01/2018 S&P 500 Equal Weighted 6.75 (71)2.50(86)-4.75(88)2.50(86)6.49(85)10.27 (83)9.68 (86)12.03(81)3.23(84) Difference -0.06 -1.03 -1.05 -1.03 N/A N/A N/A N/A -0.23 IM U.S. Large Cap Core Equity (SA+CF) Median 7.99 12.46 3.22 12.46 10.66 13.11 12.14 13.54 7.41 T. Rowe Price (25 bps)71,504,741 9.9 9.40 (25)16.08(31)6.14(34)16.08(31)13.09(22)15.10 (14)13.49 (16)14.48(22)13.98(27)10/01/2009 S&P 500 Index 8.93 (36)15.15(37)5.57(38)15.15(37)12.28(32)14.15 (27)12.68 (39)13.74(44)13.41(44) Difference 0.47 0.93 0.57 0.93 0.81 0.95 0.81 0.74 0.57 IM U.S. Large Cap Core Equity (SA+CF) Median 7.99 12.46 3.22 12.46 10.66 13.11 12.14 13.54 13.21 Total Mid Cap Equity Composite 56,137,408 7.8 5.14 (72)-4.11(70)-9.37(69)-4.11(70)2.26(70)7.01 (74)7.04 (77)9.84(82)8.00(87)07/01/2008 IM U.S. Mid Cap Equity (SA+CF) Median 6.78 4.10 -2.66 4.10 6.61 9.70 9.12 11.74 9.67 Nuance Mid Cap Value (75 bps)11,249,111 1.6 N/A N/A N/A N/A N/A N/A N/A N/A -1.63(100)08/01/2020 Russell Midcap Value Index 6.40 (36)-7.30(50)-12.84(48)-7.30(50)0.82(52)6.38 (56)6.63 (64)9.71(63)1.60(45) Difference N/A N/A N/A N/A N/A N/A N/A N/A -3.23 IM U.S. Mid Cap Value Equity (SA+CF) Median 5.74 -7.32 -13.11 -7.32 0.87 6.62 7.09 10.24 1.49 TimesSquare (80 bps)17,496,772 2.4 9.52 (43)23.41(48)13.94(54)23.41(48)17.33(47)16.04 (43)13.83 (43)14.90(50)15.45(53)09/01/2009 Russell Midcap Growth Index 9.37 (47)23.23(48)13.92(54)23.23(48)16.23(55)15.53 (52)13.25 (51)14.55(52)15.34(55) Difference 0.15 0.18 0.02 0.18 1.10 0.51 0.58 0.35 0.11 IM U.S. Mid Cap Growth Equity (SA+CF) Median 9.16 21.97 14.28 21.97 16.72 15.65 13.31 14.88 15.71 Great Lakes SmidCap (55 bps)14,415,082 2.0 7.35 (18)-2.76(43)-8.21(26)-2.76(43)N/A N/A N/A N/A -3.09(48)05/01/2019 Russell 2500 Index 5.88 (28)2.22(13)-5.82(16)2.22(13)4.45(16)8.97 (16)7.70 (16)10.81(15)0.27(15) Difference 1.47 -4.98 -2.39 -4.98 N/A N/A N/A N/A -3.36 IM U.S. SMID Cap Core Equity (MF) Median 4.75 -3.66 -9.89 -3.66 0.94 6.64 5.75 8.82 -3.32 Reinhart Partners (65 bps)12,976,442 1.8 -0.59 (98)-14.27(90)-18.64(87)-14.27(90)N/A N/A N/A N/A -8.57(77)05/01/2019 Russell 2500 Index 5.88 (28)2.22(13)-5.82(16)2.22(13)4.45(16)8.97 (16)7.70 (16)10.81(15)0.27(15) Difference -6.47 -16.49 -12.82 -16.49 N/A N/A N/A N/A -8.84 IM U.S. SMID Cap Core Equity (MF) Median 4.75 -3.66 -9.89 -3.66 0.94 6.64 5.75 8.82 -3.32 Page 22 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2020 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 49,095,172 6.8 5.75 (45)2.56(40)-6.36(42)2.56(40)4.47(39)8.74 (45)6.95 (50)10.08(58)8.98(52)07/01/2008 IM U.S. Small Cap Equity (SA+CF) Median 5.16 -1.96 -9.39 -1.96 1.80 8.05 6.90 10.65 9.16 Lee Munder (70 bps)22,171,453 3.1 2.30 (55)-12.37(47)-19.53(52)-12.37(47)-3.34(49)4.92 (43)4.83 (35)7.76(76)7.32(36)09/01/2005 Russell 2000 Value Index 2.56 (50)-14.88(65)-21.54(69)-14.88(65)-5.13(69)4.11 (59)3.27 (77)7.09(90)4.89(92) Difference -0.26 2.51 2.01 2.51 1.79 0.81 1.56 0.67 2.43 IM U.S. Small Cap Value Equity (SA+CF) Median 2.52 -13.21 -19.33 -13.21 -3.59 4.46 4.33 8.71 6.82 Loomis Small Cap (90 bps)26,923,719 3.7 8.77 (55)19.31(55)8.24(59)19.31(55)13.47(51)14.61 (55)11.27 (60)N/A 14.79(50)09/01/2012 Russell 2000 Growth Index 7.16 (66)15.71(61)3.88(66)15.71(61)8.18(73)11.42 (75)9.22 (79)12.34(83)12.23(81) Difference 1.61 3.60 4.36 3.60 5.29 3.19 2.05 N/A 2.56 IM U.S. Small Cap Growth Equity (SA+CF) Median 8.98 20.82 11.01 20.82 13.47 15.08 11.67 14.74 14.79 Total International Equity 101,523,203 14.1 5.59 (75)-0.49(74)-8.53(74)-0.49(74)0.45(65)6.30 (64)3.73 (65)5.20(61)3.35(69)07/01/2008 Total International Equity Index 6.36 (68)3.45(62)-5.08(61)3.45(62)1.65(54)6.74 (58)3.66 (66)4.59(73)2.42(85) Difference -0.77 -3.94 -3.45 -3.94 -1.20 -0.44 0.07 0.61 0.93 IM International Equity (SA+CF) Median 8.32 7.07 -2.45 7.07 2.18 7.52 4.81 6.01 4.39 Lazard (75 bps)37,701,340 5.2 5.93 (73)0.31(72)-7.49(71)0.31(72)2.09(51)6.00 (66)4.35 (56)6.14(48)5.07(52)09/01/2006 MSCI AC World ex USA 6.36 (68)3.45(62)-5.08(61)3.45(62)1.65(54)6.74 (58)3.66 (66)4.48(74)3.56(79) Difference -0.43 -3.14 -2.41 -3.14 0.44 -0.74 0.69 1.66 1.51 IM International Equity (SA+CF) Median 8.32 7.07 -2.45 7.07 2.18 7.52 4.81 6.01 5.14 Pictet (65 bps)41,413,457 5.7 4.56 (84)-7.68(100)-14.06(100)-7.68(100)-3.31(98)4.20 (91)2.15 (96)4.21(95)0.64(99)01/01/2008 MSCI EAFE Index 4.88 (82)0.93(72)-6.73(70)0.93(72)1.11(59)5.77 (60)3.49 (69)5.11(75)1.82(75) Difference -0.32 -8.61 -7.33 -8.61 -4.42 -1.57 -1.34 -0.90 -1.18 IM International Large Cap Core Equity (SA+CF) Median 6.49 3.86 -4.56 3.86 2.30 6.39 4.38 6.11 2.73 Berkeley Street (95 bps)22,408,405 3.1 7.11 (76)15.90(29)2.66(31)15.90(29)5.99(23)13.00 (15)6.12 (27)N/A 6.04(31)11/01/2012 MSCI Emerging Markets Index 9.70 (53)10.91(45)-0.91(47)10.91(45)2.79(45)9.37 (43)4.12 (53)2.87(69)3.89(65) Difference -2.59 4.99 3.57 4.99 3.20 3.63 2.00 N/A 2.15 IM Emerging Markets Equity (SA+CF) Median 9.88 9.77 -1.21 9.77 2.44 8.83 4.29 4.07 4.61 Total Long/Short Equity Composite 41,838,108 5.8 2.84 (62)6.73(33)0.98(39)6.73(33)3.57(45)4.04 (57)4.16 (51)4.39(71)4.39(71)10/01/2010 IM Long/Short Equity (MF) Median 4.56 1.54 -1.88 1.54 2.93 4.32 4.19 5.55 5.55 ABS Global (100 bps)41,838,108 5.8 2.84 (62)6.73(33)0.98(39)6.73(33)3.57(45)4.04 (57)4.78 (37)5.15(62)5.15(62)10/01/2010 HFRI FOF: Strategic Index 5.89 (33)8.18(27)3.50(28)8.18(27)3.05(49)3.79 (61)3.41 (58)3.23(78)3.23(78) Difference -3.05 -1.45 -2.52 -1.45 0.52 0.25 1.37 1.92 1.92 IM Long/Short Equity (MF) Median 4.56 1.54 -1.88 1.54 2.93 4.32 4.19 5.55 5.55 Page 23 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2020 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Fixed Income 192,963,602 26.7 1.50 (19)8.41(20)8.11(22)8.41(20)5.96(27)N/A N/A N/A 4.60(20)08/01/2016 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.11 7.53 7.31 7.53 5.64 4.70 4.44 4.16 4.22 CS McKee (35 bps)111,182,007 15.4 1.19 (38)7.61(48)7.48(45)7.61(48)5.73(44)4.60 (56)4.37 (57)4.08(59)4.37(67)02/01/2010 Blmbg. Barc. U.S. Aggregate Index 0.62 (85)6.98(77)6.79(73)6.98(77)5.24(90)4.18 (93)3.97 (94)3.64(94)4.00(94) Difference 0.57 0.63 0.69 0.63 0.49 0.42 0.40 0.44 0.37 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.11 7.53 7.31 7.53 5.64 4.70 4.44 4.16 4.53 Loomis Fixed Income (30 bps)81,781,595 11.3 1.93 (8)9.54(3)8.95(4)9.54(3)6.30(5)6.16 (3)5.29 (5)5.50(3)6.07(2)04/01/2010 Blmbg. Barc. U.S. Aggregate Index 0.62 (85)6.98(77)6.79(73)6.98(77)5.24(90)4.18 (93)3.97 (94)3.64(94)4.04(95) Difference 1.31 2.56 2.16 2.56 1.06 1.98 1.32 1.86 2.03 IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.11 7.53 7.31 7.53 5.64 4.70 4.44 4.16 4.55 Total Global Fixed 34,112,455 4.7 -0.33 (99)-5.84(99)-6.85(98)-5.84(99)-1.65(97)N/A N/A N/A 1.28(97)08/01/2016 IM Global Fixed Income (SA+CF) Median 3.42 4.82 2.93 4.82 4.29 4.98 3.93 3.82 4.15 Franklin Templeton (60 bps)34,112,455 4.7 -0.33 (99)-5.84(99)-6.85(98)-5.84(99)-1.65(97)1.38 (96)0.53 (95)1.68(94)1.90(96)04/01/2010 JPM Global Government Bond Index 2.54 (70)6.69(33)7.25(18)6.69(33)4.49(45)3.91 (81)2.47 (86)2.05(90)2.83(92) Difference -2.87 -12.53 -14.10 -12.53 -6.14 -2.53 -1.94 -0.37 -0.93 IM Global Fixed Income (SA+CF) Median 3.42 4.82 2.93 4.82 4.29 4.98 3.93 3.82 4.43 Total Real Estate 70,219,601 9.7 1.69 (7)2.59(27)0.56(35)2.59(27)6.52(26)N/A N/A N/A 7.66(N/A)09/01/2016 IM U.S. Open End Private Real Estate (SA+CF) Median 0.48 1.84 0.17 1.84 5.80 7.07 9.27 10.97 N/A Morgan Stanley (84 bps)37,440,076 5.2 1.27 (17)2.21(39)0.42(42)2.21(39)6.36(31)8.00 (27)10.15 (28)11.89(36)6.25(16)01/01/2008 NCREIF Fund Index-ODCE (VW)0.48 (50)1.39(67)-0.11(59)1.39(67)5.18(66)6.64 (66)8.60 (59)10.27(67)5.00(75) Difference 0.79 0.82 0.53 0.82 1.18 1.36 1.55 1.62 1.25 IM U.S. Open End Private Real Estate (SA+CF) Median 0.48 1.84 0.17 1.84 5.80 7.07 9.27 10.97 5.38 Prudential PRISA II (85 bps)19,343,114 2.7 0.43 (54)1.43(67)-0.71(75)1.43(67)6.20(40)7.79 (32)10.06 (29)N/A 10.88(34)10/01/2011 NCREIF Property Index 0.74 (30)2.00(47)0.45(38)2.00(47)5.11(68)6.28 (76)7.98 (88)9.37(89)8.64(88) Difference -0.31 -0.57 -1.16 -0.57 1.09 1.51 2.08 N/A 2.24 IM U.S. Open End Private Real Estate (SA+CF) Median 0.48 1.84 0.17 1.84 5.80 7.07 9.27 10.97 9.90 JPM Euro Property 61,917 0.0 0.00 (82)-13.71(100)-10.37(100)-13.71(100)-5.62(100)-2.65 (100)0.50 (100)-1.67(100)-2.31(100)04/01/2009 NCREIF Property Index 0.74 (30)2.00(47)0.45(38)2.00(47)5.11(68)6.28 (76)7.98 (88)9.37(89)7.81(75) Difference -0.74 -15.71 -10.82 -15.71 -10.73 -8.93 -7.48 -11.04 -10.12 IM U.S. Open End Private Real Estate (SA+CF) Median 0.48 1.84 0.17 1.84 5.80 7.07 9.27 10.97 8.43 Total Cash Composite 7,289,856 1.0 Cash and Equivalents Account (No fee)3,867 0.0 Private Markets Cash 7,285,989 1.0 Page 24 Comparative Performance - IRR QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date ValStone Opportunity Fund V 1.75 9.93 -10.25 9.93 7.84 8.25 N/A N/A 8.09 08/27/2014 Alidade Capital Fund IV 5.54 6.87 4.26 6.87 5.61 N/A N/A N/A 5.57 04/20/2017 Walton Street Real Estate 2.86 4.74 1.81 4.74 8.26 N/A N/A N/A 9.47 05/24/2017 AEW Real Estate 2.53 8.56 3.79 8.56 9.79 N/A N/A N/A 9.78 09/28/2017 Churchill Senior Loan Fund 6.50 2.68 1.22 2.68 N/A N/A N/A N/A 5.76 12/07/2017 Dune Real Estate IV 5.65 -16.95 -11.74 -16.95 N/A N/A N/A N/A -23.10 08/22/2019 Hamilton Lane Scondary Fund V LP 10.82 N/A N/A N/A N/A N/A N/A N/A 20.25 04/28/2020 Marathon Distressed Credit Fund LP N/A N/A N/A N/A N/A N/A N/A N/A 24.86 09/10/2020 H.I.G. Bayside Loan Opportunity VI N/A N/A N/A N/A N/A N/A N/A N/A N/A Portfolio Adv Seconary Agg VI N/A N/A N/A N/A N/A N/A N/A N/A N/A Comparative Performance - IRR Alternative Investments As of September 30, 2020 Page 25 Page Intentionally Left Blank Page 26 Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund Comparative Performance -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Total Fund Composite 4.28 (81)5.10 (82)5.10 (82)4.70 (78)5.41 (74)7.19 (66)7.65 (66) Total Fund Policy Index 4.42 (79)7.77 (47)7.77 (47)6.40 (38)6.60 (44)7.61 (53)8.22 (45) Median 5.15 7.50 7.50 5.98 6.34 7.69 8.08 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 Return2019 2018 2017 2016 2015 Total Fund Composite 17.92 (59)-3.86 (45)14.09 (68)8.21 (32)1.40 (13) Total Fund Policy Index 18.40 (53)-3.67 (41)13.76 (73)8.17 (34)0.67 (29) Median 18.58 -4.15 15.21 7.47 -0.16 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Total Fund Composite 11.29 (64)-13.67 (59)4.91 (67)0.86 (48)3.10 (66)8.09 (59) Total Fund Policy Index 11.69 (59)-11.90 (30)4.89 (68)0.92 (42)3.32 (43)8.26 (55) All Public Plans-Total Fund Median 12.24 -13.15 5.25 0.83 3.26 8.43 As of September 30, 2020 Performance Review Total Fund Composite NONE Page 27 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 5.0 10.0 15.0 Total Fund Composite (%)0.0 5.0 10.0 15.0 Total Fund Policy Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Total Fund Composite 20 4 (20%)10 (50%)6 (30%)0 (0%) Total Fund Policy Index 20 6 (30%)8 (40%)6 (30%)0 (0%) 5.20 5.60 6.00 6.40 6.80 Return (%)9.40 9.60 9.80 10.00 10.20 10.40 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 5.41 9.94 Total Fund Policy Index 6.60 9.59 Median 6.32 10.26¾ 7.40 7.60 7.80 8.00 8.20 8.40 Return (%)8.0 8.2 8.4 8.6 8.8 9.0 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 7.65 8.38 Total Fund Policy Index 8.22 8.18 Median 8.08 8.77¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 1.05 96.73 105.95 -1.29 -1.04 0.41 1.03 7.38 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.54 1.00 6.70 90 Day U.S. Treasury Bill 9.69 6.73 -6.32 1.76 -0.54 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 1.13 96.89 100.67 -0.64 -0.45 0.78 1.02 5.91 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.86 1.00 5.42 90 Day U.S. Treasury Bill 8.26 5.43 -5.28 1.25 -0.86 N/A -0.01 0.01 As of September 30, 2020 Performance Review Total Fund Composite NONE Page 28 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 8.93 (36)15.12 (38)15.12 (38)9.56 (34)12.29 (31)13.86 (32)14.19 (24) S&P 500 Index 8.93 (36)15.15 (37)15.15 (37)9.57 (33)12.28 (32)13.83 (34)14.15 (27) Median 7.99 12.46 12.46 8.02 10.66 12.83 13.11 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2019 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 29.99 -5.15 21.84 10.63 1.43 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 SSgA S&P 500 20.53 (46)-19.61 (44)9.07 (31)1.70 (42)4.31 (49)13.64 (39) S&P 500 Index 20.54 (46)-19.60 (43)9.07 (32)1.70 (42)4.30 (50)13.65 (39) IM U.S. Large Cap Core Equity (SA+CF) Median 20.36 -20.05 8.22 1.53 4.30 13.20 Performance Review As of September 30, 2020 SSgA S&P 500 NONE Page 29 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 0.0 5.0 10.0 15.0 20.0 SSgA S&P 500 (%)0.0 5.0 10.0 15.0 20.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count SSgA S&P 500 20 0 (0%)19 (95%)1 (5%)0 (0%) S&P 500 Index 20 0 (0%)19 (95%)1 (5%)0 (0%) 10.26 10.80 11.34 11.88 12.42 12.96 Return (%)21.02 21.04 21.06 21.08 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 12.29 21.03 S&P 500 Index 12.28 21.03 Median 10.66 21.07¾ 12.60 12.96 13.32 13.68 14.04 14.40 Return (%)16.38 16.45 16.52 16.59 16.66 16.73 16.80 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 14.19 16.45 S&P 500 Index 14.15 16.44 Median 13.11 16.72¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.02 100.05 100.04 0.00 0.31 0.65 1.00 11.92 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.65 1.00 11.92 90 Day U.S. Treasury Bill 17.59 3.64 -2.96 1.77 -0.65 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.03 100.12 99.96 0.03 1.07 0.89 1.00 9.56 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.89 1.00 9.55 90 Day U.S. Treasury Bill 14.83 3.10 -2.65 1.25 -0.89 N/A 0.00 0.01 Performance Review As of September 30, 2020 SSgA S&P 500 NONE Page 30 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 EW Idx 6.69 (71)1.47 (89)1.47 (89)2.60 (84)N/A N/A N/A S&P 500 Equal Weighted 6.75 (71)2.50 (86)2.50 (86)2.95 (83)6.49 (85)8.85 (88)10.27 (83) Median 7.99 12.46 12.46 8.02 10.66 12.83 13.11 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2019 2018 2017 2016 2015 SSgA S&P 500 EW Idx 30.10 (50)N/A N/A N/A N/A S&P 500 Equal Weighted 29.24 (59)-7.64 (82)18.90 (80)14.80 (13)-2.20 (84) Median 29.99 -5.15 21.84 10.63 1.43 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 SSgA S&P 500 EW Idx 21.36 (32)-27.25 (98)7.72 (68)1.08 (65)3.89 (63)15.00 (11) S&P 500 Equal Weighted 21.73 (29)-26.70 (96)7.61 (71)0.77 (75)3.72 (68)14.91 (13) IM U.S. Large Cap Core Equity (SA+CF) Median 20.36 -20.05 8.22 1.53 4.30 13.20 Performance Review As of September 30, 2020 SSgA S&P 500 EW Idx NONE Page 31 Page Intentionally Left Blank Page 32 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR T. Rowe Price 9.40 (25)16.08 (31)16.08 (31)10.49 (24)13.09 (22)14.87 (17)15.10 (14) S&P 500 Index 8.93 (36)15.15 (37)15.15 (37)9.57 (33)12.28 (32)13.83 (34)14.15 (27) Median 7.99 12.46 12.46 8.02 10.66 12.83 13.11 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2019 2018 2017 2016 2015 T. Rowe Price 33.09 (15)-3.96 (29)24.38 (23)10.94 (47)3.61 (24) S&P 500 Index 31.49 (35)-4.38 (37)21.83 (51)11.96 (34)1.38 (52) Median 29.99 -5.15 21.84 10.63 1.43 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 T. Rowe Price 20.69 (42)-19.61 (44)9.36 (25)1.63 (45)4.50 (41)14.59 (18) S&P 500 Index 20.54 (46)-19.60 (43)9.07 (32)1.70 (42)4.30 (50)13.65 (39) IM U.S. Large Cap Core Equity (SA+CF) Median 20.36 -20.05 8.22 1.53 4.30 13.20 Performance Review As of September 30, 2020 T. Rowe Price NONE Page 33 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 0.0 5.0 10.0 15.0 20.0 25.0 T. Rowe Price (%)0.0 5.0 10.0 15.0 20.0 25.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count T. Rowe Price 20 15 (75%)5 (25%)0 (0%)0 (0%) S&P 500 Index 20 0 (0%)19 (95%)1 (5%)0 (0%) 10.40 11.20 12.00 12.80 13.60 Return (%)21.00 21.06 21.12 21.18 21.24 21.30 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 13.09 21.24 S&P 500 Index 12.28 21.03 Median 10.66 21.07¾ 12.35 13.00 13.65 14.30 14.95 15.60 Return (%)16.38 16.45 16.52 16.59 16.66 16.73 16.80 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 15.10 16.70 S&P 500 Index 14.15 16.44 Median 13.11 16.72¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk T. Rowe Price 0.99 102.36 99.78 0.57 0.79 0.69 1.02 12.09 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.65 1.00 11.92 90 Day U.S. Treasury Bill 17.59 3.64 -2.96 1.77 -0.65 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk T. Rowe Price 1.14 103.13 99.68 0.65 0.78 0.93 1.02 9.75 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.89 1.00 9.55 90 Day U.S. Treasury Bill 14.83 3.10 -2.65 1.25 -0.89 N/A 0.00 0.01 Performance Review As of September 30, 2020 T. Rowe Price NONE Page 34 Peer Group Analysis - IM U.S. Mid Cap Value Equity (SA+CF) Comparative Performance -25.00 -20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Nuance Mid Cap Value N/A N/A N/A N/A N/A N/A N/A Russell Midcap Value Index 6.40 (36)-7.30 (50)-7.30 (50)-2.95 (53)0.82 (52)3.82 (69)6.38 (56) Median 5.74 -7.32 -7.32 -2.77 0.87 4.84 6.62 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2019 2018 2017 2016 2015 Nuance Mid Cap Value N/A N/A N/A N/A N/A Russell Midcap Value Index 27.06 (62)-12.29 (47)13.34 (75)20.00 (44)-4.78 (61) Median 28.88 -12.58 15.63 18.22 -3.21 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Nuance Mid Cap Value N/A N/A N/A N/A N/A N/A Russell Midcap Value Index 19.95 (53)-31.71 (54)6.36 (67)1.22 (59)3.19 (62)14.37 (43) IM U.S. Mid Cap Value Equity (SA+CF) Median 20.06 -31.39 7.04 1.45 3.38 13.96 Performance Review As of September 30, 2020 Nuance Mid Cap Value NONE Page 35 Page Intentionally Left Blank Page 36 Peer Group Analysis - IM U.S. Mid Cap Growth Equity (SA+CF) Comparative Performance -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 60.00 70.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR TimesSquare 9.52 (43)23.41 (48)23.41 (48)15.77 (36)17.33 (47)17.37 (50)16.04 (43) Russell Midcap Growth 9.37 (47)23.23 (48)23.23 (48)13.86 (50)16.23 (55)16.62 (54)15.53 (52) Median 9.16 21.97 21.97 13.76 16.72 17.20 15.65 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 60.00 Return2019 2018 2017 2016 2015 TimesSquare 38.50 (35)-3.59 (46)23.71 (63)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 Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 TimesSquare 28.36 (61)-18.95 (47)8.32 (35)0.75 (20)8.59 (17)16.88 (76) Russell Midcap Growth Index 30.26 (49)-20.04 (62)8.17 (39)-0.67 (46)5.40 (70)19.62 (42) IM U.S. Mid Cap Growth Equity (SA+CF) Median 29.98 -19.21 7.53 -0.83 6.39 18.93 Performance Review As of September 30, 2020 TimesSquare NONE Page 37 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 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%)10 (50%)10 (50%)0 (0%) 16.00 16.40 16.80 17.20 17.60 Return (%)18.36 18.72 19.08 19.44 19.80 20.16 20.52 20.88 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 17.33 18.77 Russell Midcap Growth 16.23 20.28 Median 16.72 20.25¾ 15.40 15.60 15.80 16.00 16.20 Return (%)15.36 15.68 16.00 16.32 16.64 16.96 17.28 17.60 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 16.04 15.91 Russell Midcap Growth 15.53 17.08 Median 15.65 17.31¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 3.48 93.38 83.61 2.18 0.19 0.86 0.91 12.19 Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 0.76 1.00 12.92 90 Day U.S. Treasury Bill 20.38 2.89 -3.49 1.78 -0.76 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 3.18 93.66 84.52 1.61 0.08 0.94 0.92 10.08 Russell Midcap Growth Index 0.00 100.00 100.00 0.00 N/A 0.86 1.00 10.77 90 Day U.S. Treasury Bill 17.15 2.52 -2.97 1.24 -0.86 N/A 0.00 0.01 Performance Review As of September 30, 2020 TimesSquare NONE Page 38 Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF) Comparative Performance -25.00 -20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Great Lakes SmidCap 7.35 (18)-2.76 (43)-2.76 (43)N/A N/A N/A N/A Russell 2500 Index 5.88 (28)2.22 (13)2.22 (13)-0.96 (15)4.45 (16)7.64 (19)8.97 (16) Median 4.75 -3.66 -3.66 -3.79 0.94 5.26 6.64 -36.00 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2019 2018 2017 2016 2015 Great Lakes SmidCap N/A N/A N/A N/A N/A Russell 2500 Index 27.77 (25)-10.00 (25)16.81 (27)17.59 (55)-2.90 (29) Median 25.74 -12.15 15.42 17.94 -3.84 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Great Lakes SmidCap 26.67 (22)-32.50 (73)5.94 (91)0.71 (12)N/A N/A Russell 2500 Index 26.56 (24)-29.72 (33)8.54 (19)-1.28 (67)2.96 (41)15.82 (25) IM U.S. SMID Cap Core Equity (MF) Median 23.86 -30.32 7.09 -0.50 2.88 14.31 Performance Review As of September 30, 2020 Great Lakes SmidCap NONE Page 39 Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF) Comparative Performance -25.00 -20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Reinhart Partners -0.59 (98)-14.27 (90)-14.27 (90)N/A N/A N/A N/A Russell 2500 Index 5.88 (28)2.22 (13)2.22 (13)-0.96 (15)4.45 (16)7.64 (19)8.97 (16) Median 4.75 -3.66 -3.66 -3.79 0.94 5.26 6.64 -36.00 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2019 2018 2017 2016 2015 Reinhart Partners N/A N/A N/A N/A N/A Russell 2500 Index 27.77 (25)-10.00 (25)16.81 (27)17.59 (55)-2.90 (29) Median 25.74 -12.15 15.42 17.94 -3.84 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Reinhart Partners 23.32 (56)-33.63 (77)5.37 (92)-0.07 (23)N/A N/A Russell 2500 Index 26.56 (24)-29.72 (33)8.54 (19)-1.28 (67)2.96 (41)15.82 (25) IM U.S. SMID Cap Core Equity (MF) Median 23.86 -30.32 7.09 -0.50 2.88 14.31 Performance Review As of September 30, 2020 Reinhart Partners NONE Page 40 Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF) Comparative Performance -34.00 -28.00 -22.00 -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lee Munder (LMCG)2.30 (55)-12.37 (47)-12.37 (47)-8.82 (45)-3.34 (49)1.80 (51)4.92 (43) Russell 2000 Value 2.56 (50)-14.88 (65)-14.88 (65)-11.62 (73)-5.13 (69)0.73 (66)4.11 (59) Median 2.52 -13.21 -13.21 -9.41 -3.59 1.81 4.46 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2019 2018 2017 2016 2015 Lee Munder (LMCG)27.42 (24)-14.62 (54)8.71 (68)27.80 (41)0.41 (12) Russell 2000 Value 22.39 (75)-12.86 (37)7.84 (75)31.74 (17)-7.47 (77) Median 25.07 -14.11 11.66 26.77 -4.31 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Lee Munder (LMCG)18.12 (76)-33.41 (36)8.90 (29)0.44 (37)2.46 (47)13.69 (36) Russell 2000 Value Index 18.91 (70)-35.66 (60)8.49 (38)-0.57 (59)1.38 (72)11.93 (70) IM U.S. Small Cap Value Equity (SA+CF) Median 20.93 -34.82 7.96 -0.24 2.31 12.86 Performance Review As of September 30, 2020 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 -20.0 -10.0 0.0 10.0 20.0 30.0 Lee Munder (LMCG) (%)-20.0 -10.0 0.0 10.0 20.0 30.0 Russell 2000 Value Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lee Munder (LMCG)20 3 (15%)10 (50%)7 (35%)0 (0%) Russell 2000 Value 20 0 (0%)4 (20%)13 (65%)3 (15%) -5.58 -4.96 -4.34 -3.72 -3.10 -2.48 -1.86 Return (%)22.08 22.40 22.72 23.04 23.36 23.68 24.00 24.32 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)-3.34 22.54 Russell 2000 Value -5.13 23.23 Median -3.59 23.94¾ 3.78 4.05 4.32 4.59 4.86 5.13 Return (%)19.22 19.53 19.84 20.15 20.46 20.77 21.08 21.39 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)4.92 19.63 Russell 2000 Value 4.11 20.57 Median 4.46 20.99¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lee Munder (LMCG)3.71 98.45 93.09 1.57 0.45 -0.10 0.96 18.28 Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A -0.17 1.00 19.31 90 Day U.S. Treasury Bill 23.32 3.68 -2.16 1.68 0.17 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)3.54 93.99 89.86 0.93 0.16 0.29 0.94 14.60 Russell 2000 Value Index 0.00 100.00 100.00 0.00 N/A 0.25 1.00 15.61 90 Day U.S. Treasury Bill 20.66 2.54 -1.94 1.21 -0.25 N/A 0.00 0.01 Performance Review As of September 30, 2020 Lee Munder (LMCG) NONE Page 42 Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF) Comparative Performance -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 60.00 70.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Loomis Small Cap 8.77 (55)19.31 (55)19.31 (55)5.82 (54)13.47 (51)16.35 (44)14.61 (55) Russell 2000 Growth 7.16 (66)15.71 (61)15.71 (61)2.26 (70)8.18 (73)11.25 (76)11.42 (75) Median 8.98 20.82 20.82 6.13 13.47 15.57 15.08 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 60.00 Return2019 2018 2017 2016 2015 Loomis Small Cap 27.80 (59)0.85 (23)27.83 (33)6.87 (79)2.78 (22) Russell 2000 Growth 28.48 (51)-9.31 (78)22.17 (57)11.32 (52)-1.38 (56) Median 28.50 -4.27 23.71 11.40 -0.74 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Loomis Small Cap 30.87 (61)-23.96 (54)10.23 (40)-5.26 (67)6.04 (33)15.40 (70) Russell 2000 Growth Index 30.58 (62)-25.76 (67)11.39 (27)-4.17 (51)2.75 (80)17.14 (54) IM U.S. Small Cap Growth Equity (SA+CF) Median 32.76 -23.60 9.43 -4.14 4.57 17.46 Performance Review As of September 30, 2020 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 -8.0 0.0 8.0 16.0 24.0 32.0 Loomis Small Cap (%)-8.0 0.0 8.0 16.0 24.0 32.0 Russell 2000 Growth Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Small Cap 20 0 (0%)15 (75%)5 (25%)0 (0%) Russell 2000 Growth 20 0 (0%)1 (5%)17 (85%)2 (10%) 6.00 8.00 10.00 12.00 14.00 16.00 Return (%)22.00 22.25 22.50 22.75 23.00 23.25 23.50 23.75 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 13.47 22.38 Russell 2000 Growth 8.18 22.79 Median 13.47 23.48¾ 10.00 12.00 14.00 16.00 Return (%)18.90 19.17 19.44 19.71 19.98 20.25 20.52 20.79 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 14.61 19.20 Russell 2000 Growth 11.42 19.96 Median 15.08 20.38¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 4.37 106.29 89.64 5.22 1.08 0.61 0.96 15.56 Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.39 1.00 16.42 90 Day U.S. Treasury Bill 22.90 2.88 -2.77 1.74 -0.39 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 4.16 101.27 88.24 3.51 0.65 0.75 0.94 13.07 Russell 2000 Growth Index 0.00 100.00 100.00 0.00 N/A 0.59 1.00 14.07 90 Day U.S. Treasury Bill 20.04 2.22 -2.33 1.23 -0.59 N/A 0.00 0.01 Performance Review As of September 30, 2020 Loomis Small Cap NONE Page 44 Peer Group Analysis - IM International Equity (SA+CF) Comparative Performance -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lazard 5.93 (73)0.31 (73)0.31 (73)0.38 (62)2.09 (51)5.29 (62)6.00 (66) MSCI AC World ex USA (Net)6.25 (70)3.00 (64)3.00 (64)0.86 (60)1.16 (57)5.49 (60)6.23 (64) Median 8.45 7.09 7.09 2.21 2.10 6.47 7.52 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2019 2018 2017 2016 2015 Lazard 21.23 (61)-11.01 (18)28.22 (62)0.35 (75)-0.80 (48) MSCI AC World ex USA (Net)21.51 (59)-14.20 (44)27.19 (68)4.50 (49)-5.66 (66) Median 22.56 -14.83 30.73 4.20 -1.71 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Lazard 15.45 (75)-24.36 (55)8.44 (76)-2.29 (61)3.40 (37)10.66 (48) MSCI AC World ex USA (Net)16.12 (70)-23.36 (46)8.92 (69)-1.80 (49)2.98 (44)10.31 (54) IM International Equity (SA+CF) Median 18.26 -23.77 10.07 -1.86 2.59 10.47 Performance Review As of September 30, 2020 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 -5.0 0.0 5.0 10.0 15.0 Lazard (%)-5.0 0.0 5.0 10.0 15.0 MSCI AC World ex USA (Net) (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lazard 20 0 (0%)8 (40%)12 (60%)0 (0%) MSCI AC World ex USA (Net)20 0 (0%)0 (0%)14 (70%)6 (30%) 0.80 1.20 1.60 2.00 2.40 Return (%)15.40 15.84 16.28 16.72 17.16 17.60 18.04 18.48 Risk (Standard Deviation %) Return Standard Deviation Lazard 2.09 16.09 MSCI AC World ex USA (Net)1.16 16.00 Median 2.10 17.96¾ 5.50 6.00 6.50 7.00 7.50 8.00 Return (%)13.44 13.86 14.28 14.70 15.12 15.54 15.96 16.38 Risk (Standard Deviation %) Return Standard Deviation Lazard 6.00 14.11 MSCI AC World ex USA (Net)6.23 14.37 Median 7.52 15.95¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 2.88 98.37 93.66 0.98 0.33 0.11 0.99 12.55 MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.05 1.00 12.25 90 Day U.S. Treasury Bill 16.11 3.91 -3.66 1.71 -0.05 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 2.87 94.41 93.49 0.02 -0.09 0.40 0.96 10.28 MSCI AC World ex USA (Net)0.00 100.00 100.00 0.00 N/A 0.41 1.00 10.18 90 Day U.S. Treasury Bill 14.45 2.96 -2.93 1.22 -0.41 N/A -0.01 0.01 Performance Review As of September 30, 2020 Lazard NONE Page 46 Peer Group Analysis - IM International Large Cap Core Equity (SA+CF) Comparative Performance -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Pictet 4.56 (84)-7.68 (100)-7.68 (100)-5.51 (98)-3.31 (98)2.23 (96)4.20 (91) MSCI EAFE Index 4.88 (82)0.93 (72)0.93 (72)0.05 (65)1.11 (59)5.46 (59)5.77 (60) Median 6.49 3.86 3.86 1.20 2.30 6.07 6.39 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2019 2018 2017 2016 2015 Pictet 25.32 (35)-19.45 (96)29.12 (31)3.50 (26)6.24 (8) MSCI EAFE Index 22.66 (57)-13.36 (38)25.62 (61)1.51 (52)-0.39 (56) Median 23.69 -14.36 26.34 1.63 0.33 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Pictet 14.75 (77)-28.37 (100)7.42 (87)-0.44 (29)2.54 (78)14.28 (8) MSCI EAFE Index 15.08 (73)-22.72 (54)8.21 (73)-1.00 (38)3.97 (34)10.13 (69) IM International Large Cap Core Equity (SA+CF) Median 16.77 -22.55 8.96 -1.42 3.60 10.85 Performance Review As of September 30, 2020 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 -16.0 -8.0 0.0 8.0 16.0 Pictet (%)-16.0 -8.0 0.0 8.0 16.0 MSCI EAFE Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Pictet 20 6 (30%)2 (10%)9 (45%)3 (15%) MSCI EAFE Index 20 0 (0%)6 (30%)14 (70%)0 (0%) -6.00 -4.00 -2.00 0.00 2.00 4.00 Return (%)14.07 14.74 15.41 16.08 16.75 17.42 18.09 18.76 Risk (Standard Deviation %) Return Standard Deviation Pictet -3.31 17.99 MSCI EAFE Index 1.11 15.21 Median 2.30 16.08¾ 3.60 4.32 5.04 5.76 6.48 7.20 Return (%)13.00 13.52 14.04 14.56 15.08 15.60 16.12 16.64 Risk (Standard Deviation %) Return Standard Deviation Pictet 4.20 16.01 MSCI EAFE Index 5.77 13.89 Median 6.39 14.37¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 4.63 97.63 117.20 -4.22 -0.85 -0.18 1.15 14.85 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.04 1.00 11.79 90 Day U.S. Treasury Bill 15.31 3.81 -4.18 1.71 -0.04 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 4.13 104.13 113.06 -1.93 -0.28 0.27 1.12 12.17 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.39 1.00 9.96 90 Day U.S. Treasury Bill 13.96 2.73 -3.47 1.21 -0.39 N/A -0.01 0.01 Performance Review As of September 30, 2020 Pictet NONE Page 48 Peer Group Analysis - IM Emerging Markets Equity (SA+CF) Comparative Performance -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Berkeley Street 7.11 (76)15.90 (29)15.90 (29)11.06 (20)5.99 (23)9.93 (25)13.00 (15) MSCI Emerging Markets 9.70 (53)10.91 (45)10.91 (45)4.45 (51)2.79 (45)7.49 (44)9.37 (43) Median 9.88 9.77 9.77 4.52 2.44 6.96 8.83 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2019 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 (66) Median 19.53 -15.23 36.81 10.37 -12.66 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Berkeley Street 24.07 (27)-22.75 (25)12.89 (21)-0.71 (8)1.65 (48)14.02 (13) MSCI Emerging Markets Index 18.18 (63)-23.57 (38)11.93 (38)-4.11 (61)0.74 (74)9.97 (53) IM Emerging Markets Equity (SA+CF) Median 19.42 -24.88 11.38 -3.63 1.54 10.08 Performance Review As of September 30, 2020 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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Berkeley Street 20 9 (45%)9 (45%)2 (10%)0 (0%) MSCI Emerging Markets 20 0 (0%)9 (45%)11 (55%)0 (0%) 0.00 2.00 4.00 6.00 8.00 Return (%)18.40 18.60 18.80 19.00 19.20 19.40 19.60 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 5.99 18.85 MSCI Emerging Markets 2.79 18.69 Median 2.44 19.30¾ 8.00 10.00 12.00 14.00 Return (%)17.20 17.24 17.28 17.32 17.36 17.40 17.44 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 13.00 17.32 MSCI Emerging Markets 9.37 17.23 Median 8.83 17.39¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 4.20 104.61 92.06 3.23 0.74 0.31 0.98 12.64 MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.15 1.00 13.03 90 Day U.S. Treasury Bill 18.80 2.82 -3.91 1.72 -0.15 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 5.39 100.84 83.01 3.84 0.62 0.73 0.96 10.67 MSCI Emerging Markets Index 0.00 100.00 100.00 0.00 N/A 0.54 1.00 11.01 90 Day U.S. Treasury Bill 17.31 2.12 -3.12 1.22 -0.54 N/A 0.00 0.01 Performance Review As of September 30, 2020 Berkeley Street NONE Page 50 Peer Group Analysis - IM Long/Short Equity (MF) Comparative Performance -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR ABS Global 2.84 (62)6.73 (33)6.73 (33)3.48 (39)3.57 (45)5.38 (42)4.04 (57) HFRI FOF: Strategic Index 5.89 (33)8.18 (27)8.18 (27)3.43 (39)3.05 (49)4.45 (50)3.79 (61) Median 4.56 1.54 1.54 1.14 2.93 4.43 4.32 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2019 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 10.52 (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 Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 ABS Global 9.11 (51)-10.00 (29)5.70 (24)1.16 (35)2.03 (47)5.70 (56) HFRI FOF: Strategic Index 10.90 (38)-11.87 (36)4.53 (40)-1.73 (83)1.30 (61)6.21 (52) IM Long/Short Equity (MF) Median 9.11 -15.37 4.03 0.54 1.87 6.37 Performance Review As of September 30, 2020 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 ABS Global (%)-4.0 0.0 4.0 8.0 12.0 HFRI FOF: Strategic Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 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%)1 (5%)15 (75%)4 (20%) 3.00 3.30 3.60 3.90 Return (%)7.56 8.10 8.64 9.18 9.72 10.26 10.80 11.34 11.88 Risk (Standard Deviation %) Return Standard Deviation ABS Global 3.57 8.40 HFRI FOF: Strategic Index 3.05 8.72 Median 2.93 11.13¾ 3.60 3.80 4.00 4.20 4.40 4.60 Return (%)7.03 7.40 7.77 8.14 8.51 8.88 9.25 9.62 Risk (Standard Deviation %) Return Standard Deviation ABS Global 4.04 7.50 HFRI FOF: Strategic Index 3.79 7.35 Median 4.32 9.29¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 2.84 102.64 98.30 0.78 0.17 0.26 0.91 6.34 HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.19 1.00 6.63 90 Day U.S. Treasury Bill 8.86 7.44 -8.55 1.75 -0.19 N/A -0.02 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 2.72 105.96 105.78 0.44 0.09 0.41 0.95 5.65 HFRI FOF: Strategic Index 0.00 100.00 100.00 0.00 N/A 0.38 1.00 5.58 90 Day U.S. Treasury Bill 7.45 6.41 -6.97 1.23 -0.38 N/A -0.01 0.01 Performance Review As of September 30, 2020 ABS Global NONE Page 52 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR CS McKee 1.19 (38)7.61 (48)7.61 (48)9.03 (51)5.73 (44)4.39 (50)4.60 (56) Bl. Barclays U.S. Aggregate 0.62 (85)6.98 (77)6.98 (77)8.63 (79)5.24 (90)3.93 (93)4.18 (93) Median 1.11 7.53 7.53 9.04 5.64 4.39 4.70 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 Return2019 2018 2017 2016 2015 CS McKee 9.16 (52)0.09 (46)3.77 (65)2.90 (62)1.50 (10) Bl. Barclays U.S. Aggregate 8.72 (77)0.01 (62)3.54 (84)2.65 (76)0.55 (76) Median 9.18 0.06 4.03 3.10 0.82 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 CS McKee 4.69 (38)1.45 (61)0.12 (68)2.50 (16)3.04 (76)3.23 (49) Blmbg. Barc. U.S. Aggregate Index 2.90 (89)3.15 (24)0.18 (57)2.27 (69)3.08 (70)2.94 (82) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 4.36 1.94 0.22 2.32 3.13 3.21 Performance Review As of September 30, 2020 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 Under Performance Earliest Date Latest Date 0.0 2.0 4.0 6.0 8.0 CS McKee (%)0.0 2.0 4.0 6.0 8.0 Blmbg. Barc. U.S. Aggregate Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count CS McKee 20 0 (0%)12 (60%)8 (40%)0 (0%) Bl. Barclays U.S. Aggregate 20 0 (0%)1 (5%)0 (0%)19 (95%) 5.00 5.20 5.40 5.60 5.80 6.00 Return (%)3.20 3.40 3.60 3.80 4.00 4.20 Risk (Standard Deviation %) Return Standard Deviation CS McKee 5.73 3.95 Bl. Barclays U.S. Aggregate 5.24 3.32 Median 5.64 3.59¾ 4.00 4.20 4.40 4.60 4.80 Return (%)3.01 3.08 3.15 3.22 3.29 3.36 3.43 3.50 3.57 Risk (Standard Deviation %) Return Standard Deviation CS McKee 4.60 3.46 Bl. Barclays U.S. Aggregate 4.18 3.13 Median 4.70 3.31¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 1.62 109.01 108.23 0.02 0.30 1.00 1.09 1.62 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 1.06 1.00 1.31 90 Day U.S. Treasury Bill 3.30 14.31 -27.74 1.64 -1.06 N/A 0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 1.29 106.04 98.47 0.31 0.33 0.98 1.03 1.61 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.96 1.00 1.53 90 Day U.S. Treasury Bill 3.09 11.65 -19.03 1.11 -0.96 N/A 0.02 0.01 Performance Review As of September 30, 2020 CS McKee NONE Page 54 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Loomis Fixed Income 1.93 (8)9.54 (3)9.54 (3)9.36 (29)6.30 (5)5.37 (4)6.16 (3) Bl. Barclays U.S. Aggregate 0.62 (85)6.98 (77)6.98 (77)8.63 (79)5.24 (90)3.93 (93)4.18 (93) Median 1.11 7.53 7.53 9.04 5.64 4.39 4.70 -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 Return2019 2018 2017 2016 2015 Loomis Fixed Income 9.55 (31)-0.15 (76)5.76 (4)7.45 (2)-2.80 (100) Bl. Barclays U.S. Aggregate 8.72 (77)0.01 (62)3.54 (84)2.65 (76)0.55 (76) Median 9.18 0.06 4.03 3.10 0.82 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Loomis Fixed Income 5.42 (21)1.39 (61)0.55 (14)2.08 (90)3.09 (66)3.53 (16) Blmbg. Barc. U.S. Aggregate Index 2.90 (89)3.15 (24)0.18 (57)2.27 (69)3.08 (70)2.94 (82) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 4.36 1.94 0.22 2.32 3.13 3.21 Performance Review As of September 30, 2020 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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 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%)1 (5%)0 (0%)19 (95%) 4.68 5.04 5.40 5.76 6.12 6.48 Return (%)3.24 3.30 3.36 3.42 3.48 3.54 3.60 3.66 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 6.30 3.61 Bl. Barclays U.S. Aggregate 5.24 3.32 Median 5.64 3.59¾ 3.45 4.14 4.83 5.52 6.21 6.90 Return (%)3.00 3.10 3.20 3.30 3.40 3.50 3.60 3.70 3.80 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 6.16 3.63 Bl. Barclays U.S. Aggregate 4.18 3.13 Median 4.70 3.31¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 1.78 109.10 84.71 1.30 0.57 1.23 0.95 1.68 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 1.06 1.00 1.31 90 Day U.S. Treasury Bill 3.30 14.31 -27.74 1.64 -1.06 N/A 0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 2.08 124.22 84.02 2.13 0.92 1.33 0.95 1.80 Blmbg. Barc. U.S. Aggregate Index 0.00 100.00 100.00 0.00 N/A 0.96 1.00 1.53 90 Day U.S. Treasury Bill 3.09 11.65 -19.03 1.11 -0.96 N/A 0.02 0.01 Performance Review As of September 30, 2020 Loomis Fixed Income NONE Page 56 Peer Group Analysis - IM Global Fixed Income (SA+CF) Comparative Performance -10.00 -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 17.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Franklin Templeton -0.33 (99)-5.84 (99)-5.84 (99)-1.91 (96)-1.65 (97)1.42 (97)1.38 (96) JPM Global Government Bond 2.54 (71)6.69 (34)6.69 (34)7.70 (31)4.49 (44)2.57 (87)3.91 (82) Median 3.48 4.94 4.94 6.22 4.27 4.14 4.99 -20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 Return2019 2018 2017 2016 2015 Franklin Templeton 1.85 (99)1.72 (7)2.22 (97)6.19 (49)-4.75 (79) JPM Global Government Bond 6.02 (89)-0.65 (29)6.83 (61)1.57 (90)-2.61 (53) Median 9.46 -1.81 7.65 5.93 -2.40 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Franklin Templeton -0.44 (100)-6.13 (43)1.09 (67)-2.53 (95)1.30 (93)2.04 (89) JPM Global Government Bond Index 1.46 (97)3.10 (1)-0.52 (98)1.14 (53)3.49 (33)1.82 (92) IM Global Fixed Income (SA+CF) Median 7.94 -6.94 1.69 1.24 3.11 3.87 Performance Review As of September 30, 2020 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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Franklin Templeton 20 0 (0%)3 (15%)6 (30%)11 (55%) JPM Global Government Bond 20 1 (5%)3 (15%)4 (20%)12 (60%) -3.00 0.00 3.00 6.00 Return (%)3.71 4.24 4.77 5.30 5.83 6.36 6.89 7.42 7.95 Risk (Standard Deviation %) Return Standard Deviation Franklin Templeton -1.65 6.11 JPM Global Government Bond 4.49 4.35 Median 4.27 7.13¾ 0.00 1.50 3.00 4.50 6.00 Return (%)4.83 5.06 5.29 5.52 5.75 5.98 6.21 6.44 6.67 Risk (Standard Deviation %) Return Standard Deviation Franklin Templeton 1.38 6.34 JPM Global Government Bond 3.91 5.18 Median 4.99 6.42¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Franklin Templeton 8.23 -31.18 -29.35 -0.11 -0.72 -0.51 -0.30 5.09 JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A 0.65 1.00 2.01 90 Day U.S. Treasury Bill 4.34 11.26 -18.14 1.68 -0.65 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Franklin Templeton 9.29 -22.12 -69.56 3.04 -0.26 0.06 -0.36 4.48 JPM Global Government Bond Index 0.00 100.00 100.00 0.00 N/A 0.54 1.00 3.19 90 Day U.S. Treasury Bill 5.16 7.57 -9.22 1.15 -0.54 N/A 0.01 0.01 Performance Review As of September 30, 2020 Franklin Templeton NONE Page 58 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Morgan Stanley 1.27 (17)2.21 (39)2.21 (39)5.00 (24)6.36 (31)7.30 (24)8.00 (27) NCREIF Fund Index-ODCE 0.48 (50)1.39 (67)1.39 (67)3.47 (70)5.18 (66)5.80 (63)6.64 (66) Median 0.48 1.84 1.84 4.33 5.80 6.46 7.07 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 Return2019 2018 2017 2016 2015 Morgan Stanley 7.38 (41)9.05 (40)9.86 (16)9.98 (44)15.93 (38) NCREIF Fund Index-ODCE 5.34 (79)8.35 (52)7.62 (62)8.77 (76)15.02 (52) Median 7.02 8.42 8.08 9.35 15.23 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Morgan Stanley -1.74 (66)0.92 (67)1.79 (38)1.72 (52)2.11 (6)1.57 (77) NCREIF Fund Index-ODCE (VW)-1.56 (64)0.98 (67)1.51 (61)1.31 (77)1.00 (88)1.42 (78) IM U.S. Open End Private Real Estate (SA+CF) Median -1.22 1.31 1.61 1.75 1.44 1.99 Performance Review As of September 30, 2020 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 0.0 4.0 8.0 12.0 16.0 20.0 Morgan Stanley (%)0.0 4.0 8.0 12.0 16.0 20.0 NCREIF Fund Index-ODCE (VW) (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Morgan Stanley 20 2 (10%)18 (90%)0 (0%)0 (0%) NCREIF Fund Index-ODCE 20 0 (0%)0 (0%)19 (95%)1 (5%) 4.73 5.16 5.59 6.02 6.45 6.88 Return (%)1.92 1.98 2.04 2.10 2.16 2.22 2.28 2.34 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 6.36 2.16 NCREIF Fund Index-ODCE 5.18 1.99 Median 5.80 2.29¾ 5.98 6.44 6.90 7.36 7.82 8.28 Return (%)1.70 1.80 1.90 2.00 2.10 2.20 2.30 2.40 2.50 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 8.00 1.98 NCREIF Fund Index-ODCE 6.64 1.86 Median 7.07 2.40¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.71 121.33 111.93 1.01 1.60 2.33 1.02 1.01 NCREIF Fund Index-ODCE (VW)0.00 100.00 100.00 0.00 N/A 1.90 1.00 0.90 90 Day U.S. Treasury Bill 1.80 29.77 -1.48 1.11 -1.90 N/A 0.11 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.66 119.50 111.93 1.29 1.95 3.25 1.00 0.78 NCREIF Fund Index-ODCE (VW)0.00 100.00 100.00 0.00 N/A 2.75 1.00 0.70 90 Day U.S. Treasury Bill 1.94 17.15 -1.48 1.25 -2.75 N/A -0.01 0.00 Performance Review As of September 30, 2020 Morgan Stanley NONE Page 60 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Prudential PRISA II 0.43 (54)1.43 (67)1.43 (67)4.07 (63)6.20 (40)6.72 (44)7.79 (32) NCREIF Property Index 0.74 (30)2.00 (47)2.00 (47)4.10 (61)5.11 (68)5.55 (70)6.28 (76) Median 0.48 1.84 1.84 4.33 5.80 6.46 7.07 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 Return2019 2018 2017 2016 2015 Prudential PRISA II 7.52 (39)9.43 (30)8.05 (54)10.37 (38)17.35 (29) NCREIF Property Index 6.42 (68)6.72 (82)6.96 (80)7.97 (83)13.33 (74) Median 7.02 8.42 8.08 9.35 15.23 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 1 Qtr Ending Dec-2019 1 Qtr Ending Sep-2019 1 Qtr Ending Jun-2019 1 Qtr Ending Mar-2019 Prudential PRISA II -2.42 (82)1.32 (50)2.15 (27)1.71 (52)1.47 (40)1.98 (52) NCREIF Property Index -0.99 (44)0.71 (69)1.55 (57)1.41 (73)1.51 (33)1.80 (69) IM U.S. Open End Private Real Estate (SA+CF) Median -1.22 1.31 1.61 1.75 1.44 1.99 Performance Review As of September 30, 2020 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 0.0 4.0 8.0 12.0 16.0 20.0 Prudential PRISA II (%)0.0 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 Rank12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Prudential PRISA II 20 2 (10%)18 (90%)0 (0%)0 (0%) NCREIF Property Index 20 0 (0%)0 (0%)2 (10%)18 (90%) 5.20 5.60 6.00 6.40 6.80 Return (%)1.32 1.54 1.76 1.98 2.20 2.42 2.64 2.86 3.08 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 6.20 2.72 NCREIF Property Index 5.11 1.54 Median 5.80 2.29¾ 5.83 6.36 6.89 7.42 7.95 8.48 Return (%)1.26 1.47 1.68 1.89 2.10 2.31 2.52 2.73 2.94 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 7.79 2.55 NCREIF Property Index 6.28 1.47 Median 7.07 2.40¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 1.33 128.92 243.59 -2.38 0.81 1.76 1.69 1.40 NCREIF Property Index 0.00 100.00 100.00 0.00 N/A 2.53 1.00 0.57 90 Day U.S. Treasury Bill 1.32 31.23 -2.31 0.86 -2.53 N/A 0.16 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 1.25 127.49 243.59 -2.50 1.16 2.49 1.65 1.08 NCREIF Property Index 0.00 100.00 100.00 0.00 N/A 3.22 1.00 0.44 90 Day U.S. Treasury Bill 1.55 18.41 -2.31 1.22 -3.22 N/A -0.01 0.00 Performance Review As of September 30, 2020 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 September 30, 2020 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 September 30, 2020 Page 64 Estimated Annual Fee (%) Market Value ($) Estimated Annual Fee ($) Fee Schedule Total Fund Composite 0.48 721,478,221 3,490,448 SSgA S&P 500 0.02 43,309,403 8,662 0.02 % of First $50 M 0.01 % Thereafter SSgA S&P 500 Equal Weighted Index 0.04 37,138,531 14,855 0.04 % of First $75 M 0.02 % Thereafter T. Rowe Price 0.25 71,504,741 178,762 0.25 % of Assets Nuance Mid Cap Value 0.75 11,249,111 84,368 0.75 % of First $25 M 0.70 % of Next $25 M 0.65 % of Next $25 M 0.60 % of Next $25 M 0.55 % of Next $50 M 0.50 % Thereafter TimesSquare 0.80 17,496,772 139,974 0.80 % of First $50 M 0.70 % of Next $50 M 0.60 % Thereafter Great Lakes SmidCap 0.55 14,415,082 79,283 0.55 % of First $50 M 0.45 % of Next $50 M 0.35 % Thereafter Reinhart Partners 0.75 12,976,442 97,323 0.75 % of First $25 M 0.65 % of Next $25 M 0.50 % Thereafter Lee Munder (LMCG)0.70 22,171,453 155,200 0.70 % of Assets Loomis Small Cap 0.90 26,923,719 242,313 0.90 % of First $50 M 0.75 % of Next $50 M 0.70 % Thereafter Lazard 0.75 37,701,340 282,760 0.75 % of First $40 M 0.65 % of Next $60 M 0.50 % Thereafter Pictet 0.65 41,413,457 269,187 0.65 % of Assets Berkeley Street 0.95 22,408,405 212,880 0.95 % of Assets ABS Global 1.00 41,838,108 418,381 1.00 % of Assets CS McKee 0.28 111,182,007 309,864 0.35 % of First $25 M 0.30 % of Next $25 M 0.25 % of Next $50 M 0.20 % Thereafter Loomis Fixed Income 0.30 81,781,595 245,345 0.30 % of First $100 M 0.25 % of Next $100 M 0.20 % of Next $100 M 0.15 % Thereafter Franklin Templeton 0.60 34,112,455 204,675 0.60 % of First $50 M 0.50 % of Next $50 M 0.45 % Thereafter Morgan Stanley 0.84 37,440,076 314,497 0.84 % of Assets Oakland County Employees' Retirement System Fee Analysis As of September 30, 2020 Does not include incentive fees. Page 65 Oakland County Employees' Retirement System Fee Analysis As of September 30, 2020 Estimated Annual Fee (%) Market Value ($) Estimated Annual Fee ($) Fee Schedule Prudential PRISA II 1.20 19,343,114 232,117 1.20 % of First $25 M 1.15 % of Next $25 M 1.05 % of Next $50 M 0.95 % of Next $100 M 0.90 % of Next $100 M 0.85 % Thereafter Does not include incentive fees. Page 66 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 67 Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages. This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof. This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results. Page 68 CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first.