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HomeMy WebLinkAboutReports - 2021.12.16 - 35172<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="1" EffectiveDate="09/30/2021" Interval="3" Description="Quarterly Report" /> Investment Performance Review Period Ending September 30, 2021 Oakland County ERS Defined Benefit Plan Executive Summary Page 1 Asset Allocation Vs. Policy Targets Page 14 Asset Allocation Pie Charts Page 16 Historical Asset Allocation Page 18 Financial Reconciliation Page 20 Performance Review Trailing Periods Page 23 Comparative Performance IRR Page 27 Total Fund Analysis Page 29 SSgA S&P 500 Page 31 SSgA S&P 500 Equal Weighted Page 33 T. Rowe Price Page 35 Nuance Mid Cap Value Page 37 TimesSquare Page 39 Great Lakes Page 41 ReinharT Page 42 Lee Munder -LMCGl Page 43 Loomis Small Cap Page 45 Lazard Page 47 Pictet Page 49 Berkeley Street Page 51 ABS Global Page 53 CS McKee Page 55 Loomis Fixed Income Page 57 Pimco Income Page 59 Morgan Stanley Page 61 Prudential PRISA II Page 63 Benchmark History Page 65 Fee Schedule Page 67 Definitions & Disclosure Pages Page 69 Table Of Contents 3Q 2021 EXECUTIVE SUMMARY Market Summary: Economic growth in the US likely slowed during the 3rd quarter as the recovery continues to mature. The demand for workers continued to be strong and the unemployment rate declined to 4.8% in September. A variety of factors contributed to an increase in volatility in the US equity markets, including concerns related to the Delta variant, supply chain shortages, higher US interest rates, rising inflation, and fiscal policies in Washington. Stocks climbed to new all-time highs in early September only to give back those gains towards the end of the period; only large caps ended the quarter in positive territory. Despite the developed international equity markets posting positive results in local terms, US investors suffered additional losses as the dollar appreciated versus most currencies. Emerging markets dropped sharply on concerns related to increased regulatory oversight in China and the potential default of Evergrande, the largest Chinese property developer. Despite the continued concerns related to rising inflation and potential changes in Fed policies, US interest rates were essentially unchanged during the quarter. The US 10-Year Treasury bond rose only 2 basis points (0.02%) for the quarter to close at a yield of 1.48%. Performance across most US bond market sectors was muted during the quarter and was driven largely by the Fed’s messaging concerning the potential for beginning the process of raising interest rates in late-2022. Lower quality corporate bonds outperformed higher quality sectors during the quarter. The combination of larger relative coupons and shorter maturity profiles acted as tailwinds for lower quality during the period. Conclusions/Recommendations: 1. The Total Fund gained 0.39% during the quarter, exceeding the Policy Index by 0.41% and ranking in the top third of the public fund universe. The Fund was aided by relatively strong results from the fixed income allocation. 2. The Total Fund was up 19.89% over the past year, out performing the Policy Index by over 200 basis points and ranking near the median fund in the peer group. Longer-term, the Fund has performed well, handily exceeding the actuarial assumed rate and ranking near the median public fund. 3. Several of the active small and mid-cap managers out performed their benchmarks this quarter, providing down side protection as this segment of the equity market suffered losses. The out performance from these managers contributed to the Fund’s relatively good performance. 4. Berkeley Street EM (remained AllSpring after quarter-end) trailed their benchmark this quarter and ranked near the bottom of the peer group. The under performance is partially attributed to weak stock selection in China, Brazil, and Taiwan. Longer-term, the manager exceeds performance expectations. 5. Many of the alternative investments generated strong returns during an otherwise difficult period in the markets. Several of the real estate managers provided returns over 5%, including Morgan Stanley Prime, PRISA II, AEW, Walton Street, and Dune. BlackRock and HIG also contributed with attractive results in the private credit space during the quarter. 6. At quarter end all allocations were within policy ranges and near target allocations. Hamilton Lane, JPM Euro Property, and Portfolio Advisors, have not reported 3Q results in time for this report. 7. See the Asset/Manager Summary for additional comments and recommendations. Page 1 3rd Quarter 2021 Market Environment Page 2 The Market Environment Executive Summary As of September 30, 2021 The Economy Growth in the US likely slowed during the 3rd quarter as the recovery continues to mature. Inflation remains well above the Federal Reserve Bank’s (the Fed)average target of 2.0%.The annual rate of inflation dropped slightly to 5.3%in August,down from 5.4%in July. The demand for labor in the US remains strong as evidenced by the drop in the unemployment rate in September to 4.8%,down from 5.2%in August. Unemployment benefits granted under the March 2020 CARES Act expired in early September.Wage growth remains strong as employers remain challenged to fill job openings. Despite leaving interest rates unchanged at their most recent meeting,the Fed stated that it would begin tapering its asset purchases and being the process of evaluating when interest rates would start to rise. Equity (Domestic and International) Volatility increased in during the 3rd quarter as US markets climbed to new all-time highs in early September only to pull back towards the end of the period.A variety of factors contributed to the increase in volatility including concerns related to the Delta variant,supply chain shortages,higher US interest rates,rising inflation,and fiscal policies in Washington.Despite these concerns,growth led value in both large and mid-cap companies and large companies outperformed relative to smaller peers. Developed international equity markets outperformed their domestic counterparts during the 3rd quarter.Emerging markets dropped sharply on concerns related to increased regulatory oversight in China and the potential default of Evergrande,the largest Chinese property developer. Fixed Income Despite the continued concerns related to rising inflation and potential changes in Fed policies,US interest rates were essentially unchanged during the quarter.The US 10-Year Treasury bond rose only 2 basis points (0.02%)for the quarter to close at a yield of 1.48%. Performance across most US bond market sectors was muted during the quarter and was driven largely by the Fed’s messaging concerning the potential for beginning the process of raising interest rates in late-2022. Lower quality corporate bonds outperformed higher quality sectors during the quarter.The combination of larger relative coupons and shorter maturity profiles acted as tailwinds for lower quality during the period. Market Themes While global central bank monetary policy remains accommodative,both the Fed and the Bank of England hinted that rate increases would most likely be warranted in the near future.Historically,rising interest rates have served as a headwind to equity markets,particularly for expansion-oriented growth companies. The combination of supply chain disruptions and labor shortages is creating increased pressure on corporate margins.While earnings were generally better than expected during the period,the longer these challenges persist,the higher the likelihood that earnings will be negatively affected moving forward. Measures of inflation in both the US and Europe remain well above their respective targets.Persistent increases in food and energy prices have the potential to act as a headwind to consumers in coming periods as wages have not kept pace with rising prices. Page 3 Source: Investment Metrics The Market Environment Major Market Index Performance As of September 30, 2021 US equity markets experienced disparate returns during the 3rd quarter of 2021.The primary factors that drove the market performance during the period were concerns related to rising inflation and potential changes in the Fed’s monetary policy.Despite rising US interest rates,growth-oriented companies maintained their market leadership relative to value.For the period,large cap companies returned 0.6%,compared to -0.9%for mid-caps and -4.4%for small company stocks. Similar to domestic markets,broad international equity markets also posted disappointing returns for the 3rd quarter.While concerns related to the spread of COVID began to wane,the key drivers of performance were rising inflation, rising interest rates,and the potential default of Evergrande in China.During the period,the MSCI EAFE Index posted a return of -0.4%while the MSCI Emerging Markets Index returned a weak -8.1%. For the quarter,bond market returns were muted as interest rates across the yield curve remained largely unchanged.While the Bloomberg (BB)US Aggregate Index returned 0.1%,the outlier was US TIPS which returned 1.8% on concerns about potential rising inflation. Returns over the trailing 1-year were strong across all broad US equity markets.The continuation of supportive monetary policy from the Fed and the reopening of local economies as the pandemic receded were the primary performance drivers during the period.Domestic small cap stocks posted highest return for the trailing 1-year period,returning 47.7%.US large cap performance was also stellar with a return of 30.0%over the trailing 1-year period. International markets also performed well but lagged relative to their domestic counterparts.Over the trailing 1-year period,the MSCI EAFE Index returned 25.7%while the MSCI Emerging Markets Index returned a lower 18.2%.The combination of rising inflation and developed market interest rates were the primary headwinds during the period. Bond market returns over the trailing 1-year period were muted with the Bloomberg US Aggregate Index returning -0.9%.US TIPS continued to lead the way as investors remain concerned about the potential for rising inflation. The TIPS Index returned 5.2%for the period while investment grade corporate bonds returned 1.7%. 0.0% 0.0% 0.1% 1.8% 0.1% 0.1% -8.1% -0.4% -3.0% -4.4% -0.9% 0.2% -0.1% 0.6% -10.0%-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0% 3-Month T-Bill Bloomberg Corp IG Bloomberg MBS Bloomberg US TIPS Bloomberg US Govt Bloomberg US Agg MSCI Emerg Mkts MSCI EAFE MSCI ACWxUS Russell 2000 Russell MidCap Russell 1000 Russell 3000 S&P 500 Quarter Performance 0.1% 1.7% -0.4% 5.2% -3.2% -0.9% 18.2% 25.7% 23.9% 47.7% 38.1% 31.0% 31.9% 30.0% -10.0%0.0%10.0%20.0%30.0%40.0%50.0%60.0% 3-Month T-Bill Bloomberg Corp IG Bloomberg MBS Bloomberg US TIPS Bloomberg US Govt Bloomberg US Agg MSCI Emerg Mkts MSCI EAFE MSCI ACWxUS Russell 2000 Russell MidCap Russell 1000 Russell 3000 S&P 500 1-Year Performance Page 4 Source: Investment Metrics The Market Environment Domestic Equity Style Index Performance As of September 30, 2021 The market’s upward momentum waned during the quarter as most US equity benchmarks posted their first losing quarter since the drawdown at the onset of the pandemic.Large cap stocks continued to lead the equity markets,followed by mid and small cap issues.The Russell 1000 Index returned 0.2%versus returns of -0.9%for the Russell Mid Cap Index and -4.4%for the Russell 2000 Index. Except for small cap benchmarks,Growth continued to outpace value for the second consecutive quarter.The Russell 1000 Growth Index was the best performing style index for the quarter,posting a return of 1.2%and Mid cap growth performance was negative,returning -0.8%.However,in small cap stocks,value outpaced growth for the second consecutive quarter with the Russell 2000 Value Index returning -3.0%versus a weaker -5.7%for the Russell 2000 Growth Index. Performance across all market capitalizations and styles was very strong over the trailing 1-year period led by higher beta small cap stocks. Despite the recent relative outperformance by growth,value stocks outperformed across all market capitalizations over the trailing 1-year period. As the strong economic recovery continued,small cap value stocks posted outsized performance with the Russell 2000 Value Index returning 63.9%.The dispersion between value and growth was also most pronounced for small cap benchmarks (30.6%). -5.7% -4.4% -3.0% -0.8% -0.9% -1.0% 1.2% 0.2% -0.8% 0.7% -0.1% -0.9% -8.0%-6.0%-4.0%-2.0%0.0%2.0% 2000 Growth 2000 Index 2000 Value MidCap Growth MidCap Index MidCap Value 1000 Growth 1000 Index 1000 Value 3000 Growth 3000 Index 3000 Value Quarter Performance -Russell Style Series 33.3% 47.7% 63.9% 30.5% 38.1% 42.4% 27.3% 31.0% 35.0% 27.6% 31.9% 36.6% 0.0%20.0%40.0%60.0% 2000 Growth 2000 Index 2000 Value MidCap Growth MidCap Index MidCap Value 1000 Growth 1000 Index 1000 Value 3000 Growth 3000 Index 3000 Value 1-Year Performance -Russell Style Series Page 5 The Market Environment GICS Sector Performance & (Sector Weight) As of September 30, 2021 Source: Morningstar Direct As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. Sector performance was mixed and muted during the 3rd quarter with only five of the eleven large cap economic sectors realizing positive returns.Five sectors outpaced the return of the broad index during the period. Financials were the best performing sector during the quarter returning 3.0%.Rising interest rates and a steepening yield curve should boost banks’ profits in the coming quarters.Health Care also performed well,led by the companies developing treatments for COVID-19.The Industrials and Materials sectors were negative during the period,with both sectors returning -4.6%.Supply chain disruptions and concerns about shrinking corporate margins acted as headwinds for performance in these sectors. and concerns about shrinking corporate margins acted as headwinds. For the full year,all eleven sectors produced positive returns.Sector performance for the period was led by Energy which jumped 85.3%as oil prices recovered from their pandemic lows.Four of the eleven sectors outperformed the broad large cap benchmark:Energy (85.3%),Financials (60.3%),Communication Services (37.0%),and Real Estate (32.4%). Although they still produced double-digit returns,the weakest economic sectors in the Russell 1000 for the trailing year were Utilities (11.1%)and Consumer Staples (11.4%). Small cap sector performance had a more challenging quarter with only two of the eleven small cap sectors posted positive performance.Energy (1.9%) and Financials (1.4%)benefited from rising energy prices and higher interest rates.Six of the Russell 2000 Index sectors managed to outpace the core benchmark for the quarter.Dispersion between the benchmark’s sectors was wide during the period with Energy (1.9%)and Communication Services (-14.1%)defining the broad 16.0%band. For full 1-year period,seven of the eleven sectors outperformed the broad benchmark:Energy (154.4%),Communication Services (78.5%),Materials (65.9%),Financials (63.0%),Consumer Discretionary (57.2%),Industrials (51.3%),and Info Technology (50.9%).The combination of continued economic growth,accommodative monetary policies,rising energy prices, and increased inflationary pressures were the primary catalysts for the exceptional trailing 1-year performance. 19.2% 44.8% 65.9% 50.9% 51.3% 22.1% 63.0% 154.4% 37.9% 57.2% 78.5% -3.6% -0.8% -5.8% -1.7% -1.9% -10.4% 1.4% 1.9% -5.2% -6.7% -14.1% -30.0%0.0%30.0%60.0%90.0%120.0%150.0% Utilities (2.5%) Real Estate (7.0%) Materials (3.9%) Info Technology (13.9%) Industrials (14.6%) Health Care (20.7%) Financials (15.1%) Energy (4.0%) Consumer Staples (3.2%) Consumer Disc (11.7%) Comm Services (3.5%) Russell 2000 Quarter 1-Year 11.1% 32.4% 26.1% 29.3% 28.8% 23.0% 60.3% 85.3% 11.4% 24.8% 37.0% 1.3% 0.9% -4.6% 1.1% -4.6% 1.5% 3.0% -1.3% -0.7% -0.7% 0.0% -20.0%0.0%20.0%40.0%60.0%80.0%100.0% Utilities (2.4%) Real Estate (3.1%) Materials (2.4%) Info Technology (27.9%) Industrials (8.9%) Health Care (13.2%) Financials (11.3%) Energy (2.5%) Consumer Staples (5.5%) Consumer Disc (12.1%) Comm Services (10.7%) Russell 1000 Quarter 1-Year Page 6 The Market Environment Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000 As of September 30, 2021 Source: Morningstar Direct Top 10 Weighted Stocks Top 10 Weighted Stocks Russell 1000 Weight 1-Qtr Return 1-Year Return Sector Russell 2000 Weight 1-Qtr Return 1-Year Return Sector Apple Inc 5.40%3.5%23.0%Information Technology AMC Entmt Holdings Inc Class A 0.67%-32.9%708.1%Communication Services Microsoft Corp 5.17%4.3%35.3%Information Technology Intellia Therapeutics Inc 0.32%-17.1%574.8%Health Care Amazon.com Inc 3.47%-4.5%4.3%Consumer Discretionary Crocs Inc 0.30%23.1%235.8%Consumer Discretionary Facebook Inc Class A 1.98%-2.4%29.6%Communication Services Lattice Semiconductor Corp 0.30%15.1%123.2%Information Technology Alphabet Inc Class A 1.96%9.5%82.4%Communication Services Ovintiv Inc 0.29%4.6%310.2%Energy Alphabet Inc Class C 1.82%6.3%81.4%Communication Services Tetra Tech Inc 0.27%22.6%57.3%Industrials Tesla Inc 1.50%14.1%80.8%Consumer Discretionary Scientific Games Corp Ordinary Shares 0.27%7.3%138.0%Consumer Discretionary Berkshire Hathaway Inc Class B 1.23%-1.8%28.2%Financials Rexnord Corp 0.27%28.7%117.1%Industrials NVIDIA Corp 1.21%3.6%53.3%Information Technology Biohaven Pharm. Holding Co Ltd 0.26%43.1%113.7%Health Care JPMorgan Chase & Co 1.18%5.8%74.8%Financials Asana Inc Ordinary Shares -Class A 0.26%67.4%260.6%Information Technology Top 10 Performing Stocks (by Quarter)Top 10 Performing Stocks (by Quarter) Russell 1000 Weight 1-Qtr Return 1-Year Return Sector Russell 2000 Weight 1-Qtr Return 1-Year Return Sector Upstart Holdings Inc Ordinary Shares 0.03%153.4%N/A Financials State Auto Financial Corp 0.03%198.2%276.9%Financials Moderna Inc 0.32%63.8%444.0%Health Care Fulcrum Therapeutics Inc 0.03%169.2%255.7%Health Care Albertsons Companies Inc Class A 0.01%59.1%129.8%Consumer Staples IVERIC bio Inc 0.06%157.4%187.9%Health Care Atlassian Corporation PLC A 0.13%52.4%115.3%Information Technology Kadmon Holdings Inc 0.05%125.1%122.2%Health Care Paylocity Holding Corp 0.03%47.0%73.7%Information Technology GreenSky Inc Class A 0.03%101.4%151.8%Information Technology Bill.com Holdings Inc Ordinary Shares 0.05%45.7%166.1%Information Technology Dynavax Technologies Corp 0.07%95.0%344.7%Health Care Repligen Corp 0.04%44.8%95.9%Health Care Grid Dynamics Hldgs Inc Ord Shrs A 0.04%94.4%278.0%Information Technology Acceleron Pharma Inc 0.02%37.1%52.9%Health Care Peabody Energy Corp 0.04%86.5%543.0%Energy Paycom Software Inc 0.06%36.4%59.3%Information Technology Trillium Therapeutics Inc 0.06%81.2%24.2%Health Care Datadog Inc Class A 0.08%35.8%38.4%Information Technology Cytokinetics Inc 0.10%80.6%65.1%Health Care Bottom 10 Performing Stocks (by Quarter)Bottom 10 Performing Stocks (by Quarter) Russell 1000 Weight 1-Qtr Return 1-Year Return Sector Russell 2000 Weight 1-Qtr Return 1-Year Return Sector GoHealth Inc Ordinary Shares -Class A 0.00%-55.1%-61.4%Financials GT Biopharma Inc 0.00%-100.0%N/A Health Care Skillz Inc Ordinary Shares -Class A 0.01%-54.8%N/A Communication Services Forte Biosciences Inc Ordinary Shares 0.00%-91.2%-93.9%Health Care Boston Beer Co Inc Class A 0.01%-50.1%-42.3%Consumer Staples Eargo Inc Ordinary Shares 0.00%-83.1%N/A Health Care StoneCo Ltd Class A 0.02%-48.2%-34.4%Information Technology Sesen Bio Inc 0.01%-82.8%-43.3%Health Care TuSimple Hldgs Inc Ord Shrs -Class A 0.00%-47.9%N/A Industrials Ardelyx Inc 0.00%-82.6%-74.9%Health Care NovoCure Ltd 0.03%-47.6%4.4%Health Care MedAvail Holdings Inc Ordinary Shares 0.00%-76.2%N/A Consumer Staples Vroom Inc Ordinary Shares 0.01%-47.3%-57.4%Consumer Discretionary Seres Therapeutics Inc 0.02%-70.8%-75.4%Health Care Virgin Galactic Holdings Inc Shs A 0.01%-45.0%31.6%Industrials Ontrak Inc 0.00%-69.1%-83.3%Health Care ChargePoint Hldgs Inc Ord Shrs -A 0.01%-42.5%N/A Industrials InnovAge Holding Corp 0.00%-69.0%N/A Health Care Signify Health Inc Ord Shrs -Class A 0.00%-41.3%N/A Health Care Ashford Hospitality Trust Inc 0.01%-67.7%-10.8%Real Estate Page 7 Source: MSCI Global Index Monitor (Returns are Net) The Market Environment International and Regional Market Index Performance (Country Count) As of September 30, 2021 Although some regional benchmarks posted positive performance for the quarter,the US dollar (USD)performance for the broad international equity benchmarks were negative.For the period,developed markets outperformed emerging markets in both USD and local currency.The MSCI EAFE Index returned -0.4%in USD and 1.3%in local currency terms for the period while the MSCI Emerging Markets Index posted a weak -8.1%return in USD and - 6.7%in local currency terms. The trailing 1-year results for international developed and emerging markets were positive across all regions and currencies.The MSCI EAFE Index returned 25.7%in USD and 27.2%in local currency terms,while the MSCI Emerging Markets Index returned 18.2%in USD and 16.9%in local currency terms.Performance within the emerging markets regions was led by the EMEA region which returned 40.6%in USD and 34.4%in local terms. -7.3% -8.7% 5.9% -6.7% 2.8% 0.6% 1.3% 1.2% -1.3% -13.3% -9.6% 4.2% -8.1% 1.6% -1.5% -0.4% -0.7% -3.0% -15.0%-10.0%-5.0%0.0%5.0%10.0% EM Latin Amer (6) EM Asia (9) EM EMEA (11) Emerging Mkt (26) Pacific (5) Europe & ME (16) EAFE (21) WORLD x US (22) AC World x US (48) Quarter Performance USD Local Currency 22.5% 13.6% 34.4% 16.9% 27.8% 26.9% 27.2% 27.2% 23.9% 27.3% 13.9% 40.6% 18.2% 23.1% 27.3% 25.7% 26.5% 23.9% 0.0%10.0%20.0%30.0%40.0% EM Latin Amer (6) EM Asia (9) EM EMEA (11) Emerging Mkt (26) Pacific (5) Europe & ME (16) EAFE (21) WORLD x US (22) AC World x US (48) 1-Year Performance USD Local Currency Page 8 The Market Environment US Dollar International Index Attribution & Country Detail As of September 30, 2021 Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD) As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication Services sector. MSCI -EAFE Sector Weight Quarter Return 1-Year Return Communication Services 4.8%-4.1%16.2% Consumer Discretionary 12.7%-3.6%31.7% Consumer Staples 10.2%-3.4%9.0% Energy 3.5%8.7%62.1% Financials 17.2%1.8%44.5% Health Care 12.7%0.5%9.7% Industrials 15.8%1.3%28.1% Information Technology 9.6%5.0%36.2% Materials 7.3%-5.7%25.2% Real Estate 2.9%-3.1%20.2% Utilities 3.3%-4.6%4.4% Total 100.0%-0.4%25.7% MSCI –ACWIxUS Sector Weight Quarter Return 1-Year Return Communication Services 6.3%-9.9%9.0% Consumer Discretionary 12.7%-11.5%9.9% Consumer Staples 8.5%-3.4%10.0% Energy 4.9%6.7%55.0% Financials 19.3%1.1%42.5% Health Care 9.5%-1.9%10.1% Industrials 12.2%0.2%27.9% Information Technology 13.2%-1.0%36.7% Materials 8.0%-5.5%27.1% Real Estate 2.5%-5.7%12.7% Utilities 3.0%-1.9%10.5% Total 100.0%-3.0%23.9% MSCI -Emerging Mkt Sector Weight Quarter Return 1-Year Return Communication Services 10.3%-15.1%1.9% Consumer Discretionary 14.7%-22.9%-16.9% Consumer Staples 5.9%-4.4%13.4% Energy 5.9%9.1%44.5% Financials 19.5%1.0%35.0% Health Care 5.0%-13.0%12.9% Industrials 4.9%-6.5%31.9% Information Technology 20.9%-5.9%37.3% Materials 8.7%-4.8%46.1% Real Estate 2.1%-14.2%-9.4% Utilities 2.3%7.4%35.2% Total 100.0%-8.1%18.2% MSCI-EAFE MSCI-ACWIxUS Quarter 1-Year Country Weight Weight Return Return Japan 24.2%15.3%4.6%22.1% United Kingdom 14.4%9.1%-0.3%31.2% France 11.2%7.1%-2.0%34.3% Switzerland 9.5%6.0%-3.3%14.5% Germany 9.1%5.8%-4.3%16.5% Australia 6.9%4.4%-3.0%31.7% Netherlands 4.8%3.1%3.4%46.0% Sweden 3.7%2.3%-2.2%31.4% Hong Kong 3.0%1.9%-9.4%15.0% Denmark 2.6%1.7%2.6%28.3% Italy 2.5%1.6%-1.1%33.4% Spain 2.4%1.5%-3.3%31.4% Singapore 1.2%0.7%0.0%30.0% Finland 1.0%0.7%-3.1%16.6% Belgium 0.9%0.6%-5.6%18.8% Ireland 0.7%0.5%0.0%21.8% Norway 0.7%0.4%5.2%45.4% Israel 0.6%0.4%2.8%28.4% New Zealand 0.2%0.2%1.8%-2.3% Austria 0.2%0.1%10.4%98.2% Portugal 0.2%0.1%3.6%19.5% Total EAFE Countries 100.0%63.3%-0.4%25.7% Canada 7.1%-2.5%33.9% Total Developed Countries 70.4%-0.7%26.5% China 10.1%-18.2%-7.3% Taiwan 4.4%-2.1%43.3% Korea 3.7%-13.2%27.8% India 3.6%12.6%53.1% Brazil 1.3%-20.2%21.0% Russia 1.2%9.5%59.4% Saudi Arabia 1.0%8.2%47.7% South Africa 0.9%-5.8%27.2% Mexico 0.6%1.4%51.1% Thailand 0.5%-3.6%20.1% Indonesia 0.4%9.4%26.4% Malaysia 0.4%0.2%1.4% United Arab Emirates 0.2%6.4%50.6% Poland 0.2%1.2%29.5% Qatar 0.2%7.3%15.0% Philippines 0.2%-3.6%13.3% Kuwait 0.2%9.0%27.8% Chile 0.1%-7.8%18.7% Hungary 0.1%7.7%72.8% Turkey 0.1%1.9%5.2% Argentina 0.1%22.1%47.2% Colombia 0.1%10.2%31.7% Peru 0.1%-11.0%-5.8% Greece 0.1%2.0%30.4% Czech Republic 0.0%14.2%85.2% Egypt 0.0%4.3%-13.7% Total Emerging Countries 29.5%-8.1%18.2% Total ACWIxUS Countries 100.0%-3.0%23.9% Page 9 Source: Bloomberg The Market Environment Domestic Bond Sector & Broad/Global Bond Market Performance (Duration) As of September 30, 2021 Fixed income market yields were broadly unchanged during the 3rd quarter. The Bloomberg US Aggregate Bond Index returned a muted 0.1%for the period. Digging deeper into bond market sectors,while the US Corporate Investment Grade Index return was largely unchanged (0.0%),lower quality High Yield benchmark delivered positive a positive return of 0.9%.High yield issues benefited from the asset category’s overall shorter maturity profile and higher coupon rate. The outlier during the quarter was US TIPS issues,which returned 1.8%. Expectations for inflation to persist above the Fed’s stated average target of 2.0%was the catalyst for the solid performance. Outside of domestic markets,the Bloomberg Global Aggregate ex US Index posted a -1.6%return for the quarter.A significant contributor to the global bond’s index performance was UK issues.Interest rates in the UK moved higher during the period as the Bank of England began to message the potential for rate increases in the near future. Over the trailing 1-year period,returns of higher quality government and mortgage-backed bonds were disappointing.US Treasury bonds declined by -3.3%and the mortgage-backed benchmark returned a less negative -0.4%. In contrast,corporate bonds delivered solid performance,led by lower quality high yield bonds.The Bloomberg US Corporate IG Index returned 1.7%while the Blomberg US High Yield Bond Index returned a strong 11.3%. US TIPS continued to perform well for the trailing 1-year period with the index returning 5.2%.Persistent concerns about rising inflation acted as a tailwind for TIPS issues. -0.9% -1.6% 0.0% 0.1% 0.0% -0.1% 0.0% 0.1% 1.8% 0.9% 0.0% 0.1% 0.1% -2.0%-1.0%0.0%1.0%2.0% Multiverse (7.4) Global Agg x US (8.2) Intermediate Agg (4.3) Aggregate (6.7) Baa (8.7) A (8.4) AA (8.5) AAA (6.0) U.S. TIPS (5.5) U.S. High Yield (4.0) U.S. Corporate IG (8.7) U.S. Mortgage (4.6) U.S. Treasury (7.1) Quarter Performance -0.4% -1.2% -0.4% -0.9% 3.3% 0.2% -0.1% -2.0% 5.2% 11.3% 1.7% -0.4% -3.3% -5.0%0.0%5.0%10.0%15.0% Multiverse (7.4) Global Agg x US (8.2) Intermediate Agg (4.3) Aggregate (6.7) Baa (8.7) A (8.4) AA (8.5) AAA (6.0) U.S. TIPS (5.5) U.S. High Yield (4.0) U.S. Corporate IG (8.7) U.S. Mortgage (4.6) U.S. Treasury (7.1) 1-Year Performance Page 10 Source: US Department of Treasury, FRED (Federal Reserve of St. Louis) The Market Environment Market Rate & Yield Curve Comparison As of September 30, 2021 The gray band across the graph represents the range of the Fed Funds Rate.Over the past year,the Fed’s target rate range has remained unchanged at 0.00%to 0.25%.During its September meeting,the Federal Open Market Committee (FOMC)reiterated its commitment to keeping interest rates near zero while signaling that it would begin tapering its asset purchase program.Importantly,the Fed also indicated it would begin considering raising US interest rates in the near future. The yield on the US 10-year Treasury (green line)continued to rise during the year as the economy recovered.After reaching a high of 1.74%during the 1st quarter of 2021,interest rates have largely moved in a range-bound, sideways pattern. The blue line illustrates changes in the BAA OAS (Option Adjusted Spread). This measure quantifies the additional yield premium investors require to purchase and hold non-Treasury investment grade issues.As the pace of the economic recovery quickened,spreads narrowed,indicating that investors remain comfortable owning credit as the probability of corporate defaults remains low.While nearly triple the BAA OAS,the High Yield OAS shows a similar willingness by investors to hold non-Treasury debt. The lower graph provides a snapshot of the US Treasury yield curve at the end of each of the last four quarters.Beginning in the 4th quarter of 2020, longer-term interest rates began to move higher as investors anticipated improving economic conditions.Interest rates peaked in the 1st quarter as economic growth surprised to the upside.Since then,longer-term US interest rates have remained relatively steady. 0.00 0.50 1.00 1.50 2.00 2.50 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr Treasury Yield Curve 12/31/2020 3/31/2021 6/30/2021 9/30/2021 0.00 1.00 2.00 3.00 4.00 5.00 6.00 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 1-Year Trailing Market Rates Fed Funds Rate BAA OAS 10yr Treasury High Yield OAS Page 11 Page Intentionally Left Blank Page 12 Page Intentionally Left Blank Page 13 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.3%) Total Real Asset (11.6%) Total Fixed Income Composite (33.3%) Total Long/Short Equity Composite (5.3%) Total International Equity (12.6%) Total Domestic Equity (36.9%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Minimum Allocation (%) Maximum Allocation (%) Target Allocation (%) Min. Rebal. ($000) Max. Rebal. ($000) Target Rebal. ($000) Total Fund Composite 789,865,414 100.0 N/A N/A 100.0 --- Total Domestic Equity 291,580,548 36.9 10.0 50.0 35.0 -212,594,006 103,352,160 -15,127,652 Total International Equity 99,405,403 12.6 5.0 20.0 15.0 -59,912,132 58,567,680 19,074,409 Total Long/Short Equity Composite 41,712,338 5.3 0.0 7.5 5.0 -41,712,338 17,527,568 -2,219,068 Total Fixed Income Composite 263,310,987 33.3 10.0 55.0 35.0 -184,324,446 171,114,991 13,141,908 Total Real Asset 91,582,615 11.6 0.0 15.0 10.0 -91,582,615 26,897,197 -12,596,074 Total Cash Composite 2,273,523 0.3 0.0 5.0 0.0 -2,273,523 37,219,748 -2,273,523 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of September 30, 2021 Page 14 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.3%) Total Real Asset (11.6%) Total Fixed Income Composite (33.3%) Total Long/Short Equity Composite (5.3%) Total International Equity (12.6%) Total Small Cap Equity Composite (7.8%) Total Mid Cap Equity Composite (8.6%) Total Large Cap Equity Composite (20.6%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 789,865,414 100.0 100.0 - Total Large Cap Equity Composite 162,351,037 20.6 20.0 -4,377,954 Total Mid Cap Equity Composite 67,600,176 8.6 7.5 -8,360,270 Total Small Cap Equity Composite 61,629,335 7.8 7.5 -2,389,429 Total International Equity 99,405,403 12.6 15.0 19,074,409 Total Long/Short Equity Composite 41,712,338 5.3 5.0 -2,219,068 Total Fixed Income Composite 263,310,987 33.3 35.0 13,141,908 Total Real Asset 91,582,615 11.6 10.0 -12,596,074 Total Cash Composite 2,273,523 0.3 0.0 -2,273,523 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of September 30, 2021 Page 15 Asset Allocation By Segment as of June 30, 2021 : $809,324,412 Asset Allocation By Segment as of September 30, 2021 : $789,865,414 Allocation Segments Market Value Allocation Domestic Equity 308,166,384 38.1¢ International Equity 111,638,075 13.8¢ Domestic Fixed Income 185,542,852 22.9¢ Global Fixed Income 34,609,177 4.3¢ Real Estate 74,103,315 9.2¢ Hedge Fund 41,725,548 5.2¢ Private Equity 29,912,165 3.7¢ Cash Equivalent 23,626,897 2.9¢ Allocation Segments Market Value Allocation Domestic Equity 287,142,922 36.4¢ International Equity 100,426,461 12.7¢ Domestic Fixed Income 196,938,052 24.9¢ Global Fixed Income 34,651,384 4.4¢ Real Estate 78,495,236 9.9¢ Hedge Fund 31,712,338 4.0¢ Private Equity 33,491,165 4.2¢ Cash Equivalent 27,007,856 3.4¢ Asset Allocation Summary Total Fund Composite As of September 30, 2021 NONE Page 16 September 30, 2021 : $789,865,414 Allocation Market Value Allocation SSgA S&P 500 25,877,454 3.3¢ SSgA S&P 500 Equal Weighted Index 52,279,608 6.6¢ T. Rowe Price 84,193,975 10.7¢ Nuance Mid Cap Value 14,024,393 1.8¢ TimesSquare 17,576,916 2.2¢ Great Lakes SmidCap 15,812,828 2.0¢ Reinhart Partners 20,186,039 2.6¢ Lee Munder (LMCG)30,236,224 3.8¢ Loomis Small Cap 31,393,111 4.0¢ Lazard 36,374,952 4.6¢ Pictet 43,891,762 5.6¢ Berkeley Street 19,138,689 2.4¢ ABS Global 41,712,338 5.3¢ CS McKee 129,203,335 16.4¢ Loomis Fixed Income 73,216,517 9.3¢ Pimco Diversified Income (PDIIX)34,651,384 4.4¢ Churchill Senior Loan Fund 10,060,653 1.3¢ Marathon Distressed Credit Fund LP 7,321,191 0.9¢ H.I.G. Bayside Loan Opportunity VI 2,744,523 0.3¢ BlackRock Direct Lending Feeder IX 6,113,384 0.8¢ ValStone Opportunity Fund V 2,047,040 0.3¢ Morgan Stanley 42,111,688 5.3¢ JPM Euro Property 35,065 0.0¢ Prudential PRISA II 22,444,818 2.8¢ Alidade Capital Fund IV 6,032,776 0.8¢ Walton Street Real Estate 3,386,448 0.4¢ AEW Real Estate 2,845,441 0.4¢ Dune Real Estate IV 1,639,000 0.2¢ Hamilton Lane Secondary Fund V LP 5,737,736 0.7¢ Portfolio Adv Secondary Agg IV 5,302,603 0.7¢ Cash and Equivalents Account 2 0.0¢ Private Markets Cash 2,273,521 0.3¢ Asset Allocation By Manager Total Fund As of September 30, 2021 Page 17 Asset Allocation Attributes Sep-2021 Jun-2021 Mar-2021 Dec-2020 Sep-2020 ($)%($)%($)%($)%($)% Total Fund Composite 789,865,414 100.00 809,324,412 100.00 793,670,055 100.00 785,740,487 100.00 721,474,601 100.00 Total Equity Composite 432,698,289 54.78 474,337,935 58.61 474,082,096 59.73 463,757,321 59.02 400,546,565 55.52 Total Domestic Equity 291,580,548 36.92 312,595,039 38.62 310,425,521 39.11 293,323,940 37.33 257,185,254 35.65 Total Large Cap Equity Composite 162,351,037 20.55 181,206,388 22.39 174,472,157 21.98 162,582,908 20.69 151,952,674 21.06 SSgA S&P 500 25,877,454 3.28 35,442,675 4.38 39,657,317 5.00 37,348,946 4.75 43,309,403 6.00 SSgA S&P 500 Equal Weighted Index 52,279,608 6.62 52,464,178 6.48 49,068,552 6.18 44,051,301 5.61 37,138,531 5.15 T. Rowe Price 84,193,975 10.66 93,299,535 11.53 85,746,288 10.80 81,182,660 10.33 71,504,741 9.91 Total Mid Cap Equity Composite 67,600,176 8.56 68,006,480 8.40 67,641,984 8.52 68,249,120 8.69 56,137,408 7.78 Nuance Mid Cap Value 14,024,393 1.78 14,199,636 1.75 13,740,679 1.73 13,028,221 1.66 11,249,111 1.56 TimesSquare 17,576,916 2.23 17,364,670 2.15 15,823,512 1.99 20,635,112 2.63 17,496,772 2.43 Great Lakes SmidCap 15,812,828 2.00 16,613,445 2.05 18,757,592 2.36 17,689,518 2.25 14,415,082 2.00 Reinhart Partners 20,186,039 2.56 19,828,729 2.45 19,320,200 2.43 16,896,269 2.15 12,976,442 1.80 Total Small Cap Equity Composite 61,629,335 7.80 63,382,171 7.83 68,311,380 8.61 62,491,912 7.95 49,095,172 6.80 Lee Munder (LMCG)30,236,224 3.83 30,253,756 3.74 33,518,324 4.22 28,751,533 3.66 22,171,453 3.07 Loomis Small Cap 31,393,111 3.97 33,128,415 4.09 34,793,056 4.38 33,740,379 4.29 26,923,719 3.73 Total International Equity 99,405,403 12.59 113,017,349 13.96 115,645,103 14.57 122,983,257 15.65 101,523,203 14.07 Lazard 36,374,952 4.61 47,001,726 5.81 44,913,254 5.66 44,712,302 5.69 37,701,340 5.23 Pictet 43,891,762 5.56 43,884,940 5.42 42,780,037 5.39 50,866,184 6.47 41,413,457 5.74 Berkeley Street 19,138,689 2.42 22,130,683 2.73 27,951,812 3.52 27,404,771 3.49 22,408,405 3.11 Total Long/Short Equity Composite 41,712,338 5.28 48,725,548 6.02 48,011,471 6.05 47,450,125 6.04 41,838,108 5.80 ABS Global 41,712,338 5.28 48,725,548 6.02 48,011,471 6.05 47,450,125 6.04 41,838,108 5.80 Total Fixed Income Composite 263,310,987 33.34 247,942,466 30.64 239,589,358 30.19 243,343,835 30.97 240,044,399 33.27 Total Domestic Fixed Income 202,419,852 25.63 192,381,363 23.77 188,175,057 23.71 195,560,473 24.89 192,963,602 26.75 CS McKee 129,203,335 16.36 109,338,324 13.51 106,972,305 13.48 111,870,411 14.24 111,182,007 15.41 Loomis Fixed Income 73,216,517 9.27 83,043,039 10.26 81,202,752 10.23 83,690,062 10.65 81,781,595 11.34 Total Global Fixed 34,651,384 4.39 34,609,177 4.28 33,578,133 4.23 34,363,772 4.37 34,112,455 4.73 Franklin Templeton -0.00 -0.00 -0.00 34,363,772 4.37 34,112,455 4.73 Pimco Diversified Income (PDIIX)34,651,384 4.39 34,609,177 4.28 33,578,133 4.23 -0.00 -0.00 Historical Asset Allocation Total Fund As of September 30, 2021 Page 18 Historical Asset Allocation Total Fund As of September 30, 2021 Sep-2021 Jun-2021 Mar-2021 Dec-2020 Sep-2020 ($)%($)%($)%($)%($)% Private Fixed Income 26,239,751 3.32 20,951,926 2.59 17,836,168 2.25 13,419,590 1.71 12,968,342 1.80 Churchill Senior Loan Fund 10,060,653 1.27 10,206,852 1.26 10,106,828 1.27 12,344,502 1.57 12,385,195 1.72 Marathon Distressed Credit Fund LP 7,321,191 0.93 6,232,963 0.77 4,096,537 0.52 867,825 0.11 590,379 0.08 H.I.G. Bayside Loan Opportunity VI 2,744,523 0.35 667,199 0.08 160,977 0.02 207,263 0.03 -7,232 0.00 BlackRock Direct Lending Feeder IX 6,113,384 0.77 3,844,912 0.48 3,471,826 0.44 -0.00 -0.00 Total Real Asset 91,582,615 11.59 83,063,554 10.26 77,512,392 9.77 75,992,847 9.67 73,593,782 10.20 Total Real Estate 80,542,276 10.20 76,339,490 9.43 73,915,141 9.31 70,176,508 8.93 69,632,835 9.65 ValStone Opportunity Fund V 2,047,040 0.26 2,236,175 0.28 2,209,756 0.28 2,173,998 0.28 2,193,415 0.30 Morgan Stanley 42,111,688 5.33 39,793,507 4.92 38,716,240 4.88 37,992,130 4.84 37,440,076 5.19 JPM Euro Property 35,065 0.00 35,065 0.00 34,103 0.00 70,524 0.01 65,529 0.01 Prudential PRISA II 22,444,818 2.84 20,923,457 2.59 19,963,027 2.52 19,614,725 2.50 19,343,114 2.68 Alidade Capital Fund IV 6,032,776 0.76 5,854,445 0.72 5,597,920 0.71 5,307,639 0.68 5,064,781 0.70 Walton Street Real Estate 3,386,448 0.43 3,186,902 0.39 3,004,539 0.38 3,036,986 0.39 3,271,608 0.45 AEW Real Estate 2,845,441 0.36 2,963,316 0.37 3,260,392 0.41 2,876,244 0.37 3,147,875 0.44 Dune Real Estate IV 1,639,000 0.21 1,346,622 0.17 1,129,164 0.14 1,278,260 0.16 1,299,851 0.18 Private Investments 11,040,339 1.40 6,724,064 0.83 3,597,251 0.45 5,816,339 0.74 3,960,947 0.55 Hamilton Lane Secondary Fund V LP 5,737,736 0.73 4,668,960 0.58 2,550,184 0.32 2,579,811 0.33 1,767,532 0.24 Portfolio Adv Secondary Agg IV 5,302,603 0.67 2,055,104 0.25 1,047,067 0.13 1,062,530 0.14 -0.00 Total Cash Composite 2,273,523 0.29 3,980,458 0.49 2,486,209 0.31 2,646,484 0.34 7,289,856 1.01 Cash and Equivalents Account 2 0.00 348,659 0.04 91,497 0.01 21,879 0.00 3,867 0.00 Private Markets Cash 2,273,521 0.29 3,631,798 0.45 2,394,713 0.30 2,624,604 0.33 7,285,989 1.01 Page 19 Financial Reconciliation Market Value 07/01/2021 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 09/30/2021 Total Fund Composite 809,324,412 -478,595 -22,729,055 -356,626 -3,047 3,689,171 -538,037 789,865,414 Total Equity Composite 474,337,935 -38,000,000 44,547 --108,858 -1,435 1,702,172 -5,276,074 432,698,289 Total Domestic Equity 312,595,039 -21,000,000 ---5,652 -882 717,967 -725,924 291,580,548 Total Large Cap Equity Composite 181,206,388 -20,000,000 ---5,652 -146 305,265 845,182 162,351,037 SSgA S&P 500 35,442,675 -10,000,000 ---1,741 --436,520 25,877,454 SSgA S&P 500 Equal Weighted Index 52,464,178 ----3,911 ---180,659 52,279,608 T. Rowe Price 93,299,535 -10,000,000 ----146 305,265 589,320 84,193,975 Total Mid Cap Equity Composite 68,006,480 -----453 259,857 -665,708 67,600,176 Nuance Mid Cap Value 14,199,636 -----244 79,310 -254,310 14,024,393 TimesSquare 17,364,670 -----70 64,307 148,009 17,576,916 Great Lakes SmidCap 16,613,445 -----19 60,398 -860,997 15,812,828 Reinhart Partners 19,828,729 -----120 55,841 301,589 20,186,039 Total Small Cap Equity Composite 63,382,171 -1,000,000 ----283 152,846 -905,399 61,629,335 Lee Munder (LMCG)30,253,756 -----65 131,696 -149,162 30,236,224 Loomis Small Cap 33,128,415 -1,000,000 ----218 21,150 -756,236 31,393,111 Total International Equity 113,017,349 -10,000,000 44,547 --103,205 -553 984,205 -4,536,940 99,405,403 Lazard 47,001,726 -10,000,000 ----553 358,307 -984,528 36,374,952 Pictet 43,884,940 ----58,658 -625,898 -560,418 43,891,762 Berkeley Street 22,130,683 -44,547 --44,547 ---2,991,993 19,138,689 Total Long/Short Equity Composite 48,725,548 -7,000,000 ------13,210 41,712,338 ABS Global 48,725,548 -7,000,000 ------13,210 41,712,338 Total Fixed Income Composite 247,942,466 14,028,975 ---65,270 -930 1,444,065 -38,318 263,310,987 Total Domestic Fixed Income 192,381,363 10,000,000 ----930 1,153,516 -1,114,096 202,419,852 CS McKee 109,338,324 20,000,000 ----382 696,477 -831,083 129,203,335 Loomis Fixed Income 83,043,039 -10,000,000 ----548 457,039 -283,013 73,216,517 Total Global Fixed 34,609,177 ----65,270 -290,549 -183,072 34,651,384 Pimco Diversified Income (PDIIX)34,609,177 ----65,270 -290,549 -183,072 34,651,384 Financial Reconciliation Total Fund 1 Quarter Ending September 30, 2021 Page 20 Financial Reconciliation Total Fund 1 Quarter Ending September 30, 2021 Market Value 07/01/2021 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 09/30/2021 Private Fixed Income 20,951,926 4,028,975 -----1,258,851 26,239,751 Churchill Senior Loan Fund 10,206,852 -294,944 -----148,745 10,060,653 Marathon Distressed Credit Fund LP 6,232,963 840,000 -----248,229 7,321,191 H.I.G. Bayside Loan Opportunity VI 667,199 1,979,771 -----97,553 2,744,523 BlackRock Direct Lending Feeder IX 3,844,912 1,504,148 -----764,324 6,113,384 Bloomfield Capital Fund V - Series B --------- Total Real Asset 83,063,554 3,389,969 ---182,498 -309 542,081 4,769,819 91,582,615 Total Real Estate 76,339,490 -926,306 ---157,498 -542,081 4,744,510 80,542,276 ValStone Opportunity Fund V 2,236,175 -229,142 -----40,007 2,047,040 Morgan Stanley 39,793,507 ----83,566 -392,822 2,008,925 42,111,688 JPM Euro Property 35,065 -------35,065 Prudential PRISA II 20,923,457 ----59,550 -149,259 1,431,652 22,444,818 Alidade Capital Fund IV 5,854,445 -87,116 -----265,447 6,032,776 Walton Street Real Estate 3,186,902 ----14,382 --213,928 3,386,448 AEW Real Estate 2,963,316 -779,476 -----661,601 2,845,441 Dune Real Estate IV 1,346,622 169,428 -----122,950 1,639,000 Private Investments 6,724,064 4,316,275 ---25,000 -309 -25,309 11,040,339 Hamilton Lane Secondary Fund V LP 4,668,960 1,068,776 ---25,000 -309 -25,309 5,737,736 Portfolio Adv Secondary Agg IV 2,055,104 3,247,499 ------5,302,603 Total Cash Composite 3,980,458 20,581,056 434,047 -22,729,055 --373 854 6,536 2,273,523 Cash and Equivalents Account 348,659 21,945,891 434,047 -22,729,055 --373 832 -2 Private Markets Cash 3,631,798 -1,364,835 ----22 6,536 2,273,521 Page 21 -12.0 -4.0 4.0 12.0 20.0 28.0 36.0 44.0 52.0 60.0 68.0 76.0 Allocation (%)US Equity Global ex-US Equity Global Fixed Income US Fixed Alternatives Total Real Estate Cash & Equivalents Total Fund Composite 36.92 (65)12.59 (70)4.39 (38)25.63 (47)10.26 (48)9.94 (23)0.29 (88)˜ 5th Percentile 60.64 24.52 9.89 52.17 43.16 13.61 5.73 1st Quartile 50.68 17.67 4.83 32.76 18.45 9.63 2.27 Median 42.81 14.69 3.95 25.01 9.55 7.91 1.12 3rd Quartile 32.79 11.45 2.73 19.63 4.37 5.60 0.60 95th Percentile 15.10 6.03 1.87 12.49 1.02 2.54 0.08 Plan Sponsor TF Asset Allocation Total Fund Composite Vs. All Public Plans-Total Fund As of September 30, 2021 Page 22 Asset Allocation & Performance Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Fund Composite (Gross)789,865,414 100.0 0.39 (27)19.89 (59)7.85 (71)19.89 (59)9.54 (82)9.62 (71)8.31 (57)9.72 (57)8.56 (52)10/01/1986 Total Fund Policy Index -0.02 (49)17.55 (81)7.22 (82)17.55 (81)9.99 (67)9.52 (73)8.33 (56)10.06 (45)9.00 (23) Difference 0.41 2.34 0.63 2.34 -0.45 0.10 -0.02 -0.34 -0.44 All Public Plans-Total Fund Median -0.04 20.47 8.77 20.47 10.54 10.25 8.56 9.87 8.58 Total Fund Composite (Net)789,865,414 100.0 0.34 19.70 7.70 19.70 9.30 9.28 8.02 9.52 8.50 10/01/1986 Total Fund Policy Index -0.02 17.55 7.22 17.55 9.99 9.52 8.33 10.06 9.00 Difference 0.36 2.15 0.48 2.15 -0.69 -0.24 -0.31 -0.54 -0.50 Total Equity Composite 432,698,289 54.8 -0.84 31.52 10.74 31.52 11.59 12.73 10.57 13.17 9.95 10/01/1986 Total Equity Index -1.25 32.00 12.72 32.00 13.05 14.17 11.83 14.84 10.42 Difference 0.41 -0.48 -1.98 -0.48 -1.46 -1.44 -1.26 -1.67 -0.47 Total Fixed Income Composite 263,310,987 33.3 0.58 1.98 0.40 1.98 5.58 3.84 3.59 3.87 6.25 10/01/1986 Total Fixed Income Index -0.08 -0.75 -1.92 -0.75 5.21 2.81 3.14 2.79 6.01 Difference 0.66 2.73 2.32 2.73 0.37 1.03 0.45 1.08 0.24 Total Real Asset 91,582,615 11.6 6.30 17.64 14.22 17.64 9.32 9.75 10.47 10.30 5.72 07/01/2008 NCREIF Fund Index-ODCE (VW)6.59 14.59 13.11 14.59 7.05 7.50 8.90 9.92 5.75 Difference -0.29 3.05 1.11 3.05 2.27 2.25 1.57 0.38 -0.03 Total Cash Composite 2,273,523 0.3 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2021 Page 23 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2021 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Equity 291,580,548 36.9 Total Large Cap Equity Composite 162,351,037 20.6 0.43 (39)33.57 (34)16.61 (38)33.57 (34)16.20 (41)16.88 (46)14.17 (38)16.80 (39)12.05 (42)07/01/2008 IM U.S. Large Cap Equity (SA+CF) Median 0.13 30.83 15.87 30.83 15.66 16.72 13.68 16.53 11.91 SSgA S&P 500 (1.5 bps)25,877,454 3.3 0.58 (28)29.95 (57)15.88 (52)29.95 (57)15.97 (43)16.91 (40)14.04 (38)16.68 (41)14.76 (43)10/01/2009 S&P 500 Index 0.58 (28)30.00 (55)15.92 (49)30.00 (55)15.99 (42)16.90 (41)14.01 (40)16.63 (46)14.71 (48) Difference 0.00 -0.05 -0.04 -0.05 -0.02 0.01 0.03 0.05 0.05 IM U.S. Large Cap Core Equity (SA+CF) Median 0.11 30.51 15.90 30.51 15.19 16.54 13.64 16.55 14.68 SSgA S&P 500 Equal Weighted Index (4bps)52,279,608 6.6 -0.34 (71)40.81 (8)18.70 (16)40.81 (8)14.02 (63)N/A N/A N/A 12.17 (69)02/01/2018 S&P 500 Equal Weighted -0.22 (69)40.87 (8)18.92 (15)40.87 (8)14.29 (61)14.61 (74)12.41 (73)15.99 (66)12.36 (66) Difference -0.12 -0.06 -0.22 -0.06 -0.27 N/A N/A N/A -0.19 IM U.S. Large Cap Core Equity (SA+CF) Median 0.11 30.51 15.90 30.51 15.19 16.54 13.64 16.55 13.53 T. Rowe Price (25 bps)84,193,975 10.7 0.78 (21)31.50 (40)15.82 (52)31.50 (40)17.09 (21)18.02 (18)15.10 (16)17.51 (21)15.34 (25)10/01/2009 S&P 500 Index 0.58 (28)30.00 (55)15.92 (49)30.00 (55)15.99 (42)16.90 (41)14.01 (40)16.63 (46)14.71 (48) Difference 0.20 1.50 -0.10 1.50 1.10 1.12 1.09 0.88 0.63 IM U.S. Large Cap Core Equity (SA+CF) Median 0.11 30.51 15.90 30.51 15.19 16.54 13.64 16.55 14.68 Total Mid Cap Equity Composite 67,600,176 8.6 -0.60 (58)35.69 (57)11.61 (71)35.69 (57)9.10 (91)11.41 (82)9.56 (89)13.52 (92)9.87 (95)07/01/2008 IM U.S. Mid Cap Equity (SA+CF) Median -0.13 38.10 15.18 38.10 13.67 15.23 12.75 15.84 12.06 Nuance Mid Cap Value (75 bps)14,024,393 1.8 -1.23 (63)24.68 (97)7.65 (96)24.68 (97)N/A N/A N/A N/A 19.12 (100)08/01/2020 Russell Midcap Value Index -1.01 (57)42.40 (63)18.24 (58)42.40 (63)10.28 (67)10.59 (81)9.60 (77)13.93 (81)37.25 (61) Difference -0.22 -17.72 -10.59 -17.72 N/A N/A N/A N/A -18.13 IM U.S. Mid Cap Value Equity (SA+CF) Median -0.67 44.68 18.93 44.68 10.93 11.93 10.52 14.66 39.00 TimesSquare (80 bps)17,576,916 2.2 1.22 (37)31.13 (56)11.18 (51)31.13 (56)20.68 (36)20.00 (55)16.00 (60)18.52 (39)16.68 (58)09/01/2009 Russell Midcap Growth Index -0.76 (75)30.45 (61)9.61 (62)30.45 (61)19.14 (57)19.27 (65)15.39 (65)17.54 (55)16.53 (63) Difference 1.98 0.68 1.57 0.68 1.54 0.73 0.61 0.98 0.15 IM U.S. Mid Cap Growth Equity (SA+CF) Median 0.66 31.52 11.33 31.52 19.52 20.37 16.30 17.84 17.26 Great Lakes SmidCap (55 bps)15,812,828 2.0 -4.82 (99)29.64 (99)5.64 (100)29.64 (99)N/A N/A N/A N/A 9.31 (96)05/01/2019 Russell 2500 Index -2.68 (75)45.03 (44)13.83 (75)45.03 (44)12.47 (17)14.25 (17)12.19 (13)15.27 (16)16.81 (19) Difference -2.14 -15.39 -8.19 -15.39 N/A N/A N/A N/A -7.50 IM U.S. SMID Cap Core Equity (MF) Median -1.79 44.27 15.45 44.27 10.36 12.11 10.19 13.67 14.10 Reinhart Partners (65 bps)20,186,039 2.6 1.80 (4)55.56 (14)19.47 (28)55.56 (14)N/A N/A N/A N/A 13.92 (55)05/01/2019 Russell 2500 Index -2.68 (75)45.03 (44)13.83 (75)45.03 (44)12.47 (17)14.25 (17)12.19 (13)15.27 (16)16.81 (19) Difference 4.48 10.53 5.64 10.53 N/A N/A N/A N/A -2.89 IM U.S. SMID Cap Core Equity (MF) Median -1.79 44.27 15.45 44.27 10.36 12.11 10.19 13.67 14.10 Page 24 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2021 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 61,629,335 7.8 -1.19 (40)43.68 (70)12.88 (70)43.68 (70)11.63 (51)14.37 (51)12.22 (55)14.41 (75)11.27 (66)07/01/2008 IM U.S. Small Cap Equity (SA+CF) Median -1.77 50.24 17.01 50.24 11.67 14.42 12.72 15.77 11.99 Lee Munder (70 bps)30,236,224 3.8 -0.06 (19)58.80 (49)22.46 (46)58.80 (49)9.70 (46)11.26 (60)11.12 (41)13.77 (66)9.97 (38)09/01/2005 Russell 2000 Value Index -2.98 (79)63.92 (34)22.92 (44)63.92 (34)8.58 (66)11.03 (65)10.19 (60)13.22 (77)7.84 (92) Difference 2.92 -5.12 -0.46 -5.12 1.12 0.23 0.93 0.55 2.13 IM U.S. Small Cap Value Equity (SA+CF) Median -1.50 58.13 21.79 58.13 9.59 11.90 10.61 14.25 9.65 Loomis Small Cap (90 bps)31,393,111 4.0 -2.22 (56)31.38 (84)4.83 (83)31.38 (84)13.73 (75)19.21 (56)15.78 (61)N/A 16.51 (65)09/01/2012 Russell 2000 Growth Index -5.65 (92)33.27 (78)2.82 (87)33.27 (78)11.70 (87)15.34 (88)13.19 (90)15.74 (86)14.37 (88) Difference 3.43 -1.89 2.01 -1.89 2.03 3.87 2.59 N/A 2.14 IM U.S. Small Cap Growth Equity (SA+CF) Median -1.78 40.43 10.90 40.43 17.12 19.74 16.83 18.64 17.58 Total International Equity 99,405,403 12.6 -3.20 (67)25.98 (50)3.94 (73)25.98 (50)7.72 (69)8.69 (71)6.73 (60)8.79 (60)4.91 (70)07/01/2008 Total International Equity Index -2.88 (64)24.45 (57)6.29 (63)24.45 (57)8.52 (61)9.44 (59)6.17 (68)7.91 (75)3.94 (87) Difference -0.32 1.53 -2.35 1.53 -0.80 -0.75 0.56 0.88 0.97 IM International Equity (SA+CF) Median -1.57 25.82 8.25 25.82 9.65 10.20 7.41 9.43 5.79 Lazard (75 bps)36,374,952 4.6 -1.49 (49)25.83 (50)6.09 (64)25.83 (50)8.23 (65)9.11 (65)6.78 (59)9.63 (46)6.33 (53)09/01/2006 MSCI AC World ex USA -2.88 (64)24.45 (57)6.29 (63)24.45 (57)8.52 (61)9.44 (59)6.17 (68)7.97 (75)4.83 (83) Difference 1.39 1.38 -0.20 1.38 -0.29 -0.33 0.61 1.66 1.50 IM International Equity (SA+CF) Median -1.57 25.82 8.25 25.82 9.65 10.20 7.41 9.43 6.45 Pictet (65 bps)43,891,762 5.6 0.15 (19)33.50 (6)8.55 (53)33.50 (6)6.03 (88)7.83 (76)6.50 (64)8.53 (81)2.73 (97)01/01/2008 MSCI EAFE Index -0.35 (34)26.29 (41)8.79 (47)26.29 (41)8.13 (59)9.33 (57)6.30 (65)8.60 (80)3.43 (75) Difference 0.50 7.21 -0.24 7.21 -2.10 -1.50 0.20 -0.07 -0.70 IM Intl Large Cap Core Equity (SA+CF)-1.01 25.30 8.66 25.30 8.84 10.07 7.04 9.47 4.29 Berkeley Street (95 bps)19,138,689 2.4 -13.52 (99)13.91 (88)-6.86 (96)13.91 (88)12.00 (38)10.72 (43)7.82 (37)N/A 6.90 (46)11/01/2012 MSCI Emerging Markets Index -7.97 (70)18.58 (69)-0.99 (68)18.58 (69)8.96 (66)9.62 (59)6.00 (66)6.46 (77)5.44 (77) Difference -5.55 -4.67 -5.87 -4.67 3.04 1.10 1.82 N/A 1.46 IM Emerging Markets Equity (SA+CF) Median -6.54 22.53 2.31 22.53 10.78 10.16 6.69 7.73 6.58 Total Long/Short Equity Composite 41,712,338 5.3 -0.03 (47)16.43 (48)2.66 (81)16.43 (48)7.63 (40)7.50 (44)5.82 (45)5.77 (63)5.43 (68)10/01/2010 IM Long/Short Equity (MF) Median -0.10 16.10 8.95 16.10 6.31 6.88 5.31 6.76 6.58 ABS Global (100 bps)41,712,338 5.3 -0.03 (47)16.43 (48)2.66 (81)16.43 (48)7.63 (40)7.50 (44)5.91 (44)6.85 (49)6.13 (63)10/01/2010 HFRI FOF: Strategic Index 0.15 (41)17.14 (46)5.73 (72)17.14 (46)7.80 (39)6.86 (51)4.87 (55)5.20 (65)4.42 (73) Difference -0.18 -0.71 -3.07 -0.71 -0.17 0.64 1.04 1.65 1.71 IM Long/Short Equity (MF) Median -0.10 16.10 8.95 16.10 6.31 6.88 5.31 6.76 6.58 Page 25 Asset Allocation & Performance Total Fund Composite (Gross) As of September 30, 2021 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Fixed Income 202,419,852 25.6 0.07 (61)0.32 (43)-1.04 (47)0.32 (43)6.16 (39)3.86 (28)N/A N/A 3.76 (25)08/01/2016 IM U.S. Broad Market Core Fixed Inc (SA+CF)0.10 0.01 -1.15 0.01 6.03 3.57 3.79 3.65 3.44 CS McKee (35 bps)129,203,335 16.4 0.05 (72)-0.65 (71)-1.30 (61)-0.65 (71)5.71 (68)3.36 (67)3.67 (61)3.44 (68)3.93 (72)02/01/2010 Blmbg. U.S. Aggregate Index 0.05 (69)-0.90 (86)-1.56 (80)-0.90 (86)5.35 (92)2.94 (92)3.26 (93)3.01 (94)3.57 (94) Difference 0.00 0.25 0.26 0.25 0.36 0.42 0.41 0.43 0.36 IM U.S. Broad Market Core Fixed Inc (SA+CF)0.10 0.01 -1.15 0.01 6.03 3.57 3.79 3.65 4.13 Loomis Fixed Income (30 bps)73,216,517 9.3 0.12 (42)1.67 (14)-0.65 (30)1.67 (14)6.73 (10)4.62 (5)4.23 (13)5.17 (4)5.68 (3)04/01/2010 Blmbg. U.S. Aggregate Index 0.05 (69)-0.90 (86)-1.56 (80)-0.90 (86)5.35 (92)2.94 (92)3.26 (93)3.01 (94)3.60 (94) Difference 0.07 2.57 0.91 2.57 1.38 1.68 0.97 2.16 2.08 IM U.S. Broad Market Core Fixed Inc (SA+CF)0.10 0.01 -1.15 0.01 6.03 3.57 3.79 3.65 4.14 Total Global Fixed 34,651,384 4.4 0.31 (37)1.83 (70)1.09 (42)1.83 (70)-0.68 (99)1.48 (98)N/A N/A 1.39 (99)08/01/2016 IM Global Fixed Income (SA+CF) Median 0.04 4.73 0.25 4.73 5.53 4.52 3.90 3.95 4.57 Pimco Diversified Income (PDIIX)34,651,384 4.4 0.31 (5)N/A N/A N/A N/A N/A N/A N/A 2.51 (2)03/01/2021 Blmbg. Global Credit (Hedged)0.08 (22)2.72 (22)-0.38 (22)2.72 (22)6.21 (7)4.39 (6)4.55 (1)5.14 (1)1.49 (8) Difference 0.23 N/A N/A N/A N/A N/A N/A N/A 1.02 IM Global Fixed Income (MF) Median -0.35 0.91 -2.07 0.91 4.56 2.57 2.40 2.56 -0.06 Total Real Estate 80,542,276 10.2 6.98 (29)16.55 (41)14.21 (47)16.55 (41)8.79 (28)9.47 (27)N/A N/A 9.32 (N/A)09/01/2016 IM U.S. Open End Private RE (SA+CF)6.15 16.09 13.29 16.09 7.69 8.21 9.49 10.69 N/A Morgan Stanley (84 bps)42,111,688 5.3 6.04 (58)13.56 (75)11.91 (72)13.56 (75)7.78 (50)8.53 (41)10.05 (37)11.29 (34)6.77 (29)01/01/2008 NCREIF Fund Index-ODCE (VW)6.59 (36)14.59 (54)13.11 (53)14.59 (54)7.05 (62)7.50 (65)8.90 (63)9.92 (64)5.67 (70) Difference -0.55 -1.03 -1.20 -1.03 0.73 1.03 1.15 1.37 1.10 IM U.S. Open End Private RE (SA+CF)6.15 16.09 13.29 16.09 7.69 8.21 9.49 10.69 6.15 Prudential PRISA II (85 bps)22,444,818 2.8 7.56 (26)17.35 (34)15.39 (25)17.35 (34)8.32 (44)8.77 (35)10.27 (34)11.51 (33)11.51 (33)10/01/2011 NCREIF Property Index 5.23 (84)12.15 (79)10.88 (83)12.15 (79)6.72 (72)6.84 (76)8.10 (79)8.99 (84)8.99 (84) Difference 2.33 5.20 4.51 5.20 1.60 1.93 2.17 2.52 2.52 IM U.S. Open End Private RE (SA+CF)6.15 16.09 13.29 16.09 7.69 8.21 9.49 10.69 10.69 JPM Euro Property 35,065 0.0 0.00 (100)-46.49 (100)-50.28 (100)-46.49 (100)-27.41 (100)-13.76 (100)-8.22 (100)-7.26 (100)-6.48 (100)04/01/2009 NCREIF Property Index 5.23 (84)12.15 (79)10.88 (83)12.15 (79)6.72 (72)6.84 (76)8.10 (79)8.99 (84)8.15 (72) Difference -5.23 -58.64 -61.16 -58.64 -34.13 -20.60 -16.32 -16.25 -14.63 IM U.S. Open End Private RE (SA+CF)6.15 16.09 13.29 16.09 7.69 8.21 9.49 10.69 9.36 Total Cash Composite 2,273,523 0.3 Cash and Equivalents Account (No fee)2 0.0 Private Markets Cash 2,273,521 0.3 Page 26 Comparative Performance - IRR QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date ValStone Opportunity Fund V 1.88 3.82 4.78 3.82 7.37 5.80 7.75 N/A 7.51 08/27/2014 Alidade Capital Fund IV 4.57 26.43 17.29 26.43 13.48 N/A N/A N/A 10.96 04/20/2017 Walton Street Real Estate 6.26 23.56 19.07 23.56 11.54 N/A N/A N/A 12.49 05/24/2017 AEW Real Estate 23.60 40.68 39.89 40.68 23.82 N/A N/A N/A 18.89 09/28/2017 Churchill Senior Loan Fund 1.48 11.12 9.26 11.12 6.76 N/A N/A N/A 7.05 12/07/2017 Dune Real Estate IV 8.94 -0.82 0.68 -0.82 N/A N/A N/A N/A -8.78 08/22/2019 Hamilton Lane Secondary Fund V LP 0.00 47.58 18.78 47.58 N/A N/A N/A N/A 48.99 04/28/2020 Marathon Distressed Credit Fund LP 3.97 57.54 33.07 57.54 N/A N/A N/A N/A 64.18 09/10/2020 H.I.G. Bayside Loan Opportunity VI 7.71 451.81 15.58 451.81 N/A N/A N/A N/A 452.19 09/29/2020 Portfolio Adv Secondary Agg IV 0.00 N/A 9.95 N/A N/A N/A N/A N/A 36.46 11/02/2020 BlackRock Direct Lending Feeder IX 18.73 N/A 9.40 N/A N/A N/A N/A N/A 9.40 01/05/2021 Bloomfield Capital Fund V - Series B 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, 2021 Page 27 Page Intentionally Left Blank Page 28 Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund Comparative Performance -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 32.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Total Fund Composite 0.39 (27)19.89 (59)19.89 (59)12.25 (82)9.54 (82)8.86 (78)9.62 (71)˜ Total Fund Policy Index -0.02 (49)17.55 (81)17.55 (81)12.55 (75)9.99 (67)9.24 (69)9.52 (73)˜ Median -0.04 20.47 20.47 13.79 10.54 9.81 10.25 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 Return2020 2019 2018 2017 2016 Total Fund Composite 11.37 (70)17.92 (59)-3.86 (45)14.09 (71)8.21 (31)˜ Total Fund Policy Index 12.63 (50)18.40 (52)-3.67 (42)13.76 (76)8.17 (33)˜ Median 12.59 18.56 -4.11 15.21 7.59 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Total Fund Composite 4.55 (86)2.76 (67)11.17 (30)4.28 (82)11.29 (63)-13.67 (59) Total Fund Policy Index 4.73 (81)2.39 (78)9.63 (66)4.42 (80)11.69 (58)-11.90 (30) All Public Plans-Total Fund Median 5.43 3.24 10.31 5.25 12.21 -13.13 As of September 30, 2021 Performance Review Total Fund Composite NONE Page 29 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Total Fund Composite 20 4 (20%)3 (15%)9 (45%)4 (20%)˜ Total Fund Policy Index 20 1 (5%)8 (40%)11 (55%)0 (0%)˜ 9.28 9.60 9.92 10.24 10.56 10.88 Return (%)10.08 10.29 10.50 10.71 10.92 11.13 11.34 11.55 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 9.54 10.86˜ Total Fund Policy Index 9.99 10.37˜ Median 10.52 11.32¾ 9.60 9.90 10.20 10.50 Return (%)8.0 8.2 8.4 8.6 8.8 9.0 9.2 9.4 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 9.62 8.64˜ Total Fund Policy Index 9.52 8.35˜ Median 10.23 9.15¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 1.38 101.26 106.46 -0.75 -0.26 0.78 1.04 7.32 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.85 1.00 6.64 90 Day U.S. Treasury Bill 10.50 3.65 -5.02 1.30 -0.85 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 1.28 100.59 99.66 -0.11 0.09 0.97 1.02 5.76 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 0.99 1.00 5.32 90 Day U.S. Treasury Bill 8.45 4.93 -5.57 1.26 -0.99 N/A -0.01 0.00 As of September 30, 2021 Performance Review Total Fund Composite NONE Page 30 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 0.58 (28)29.95 (57)29.95 (57)22.31 (47)15.97 (43)16.46 (41)16.91 (40)˜ S&P 500 Index 0.58 (28)30.00 (55)30.00 (55)22.35 (45)15.99 (42)16.47 (40)16.90 (41)˜ Median 0.11 30.51 30.51 21.70 15.19 15.92 16.54 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2020 2019 2018 2017 2016 SSgA S&P 500 18.36 (45)31.49 (35)-4.35 (37)21.86 (51)12.07 (32)˜ S&P 500 Index 18.40 (43)31.49 (35)-4.38 (38)21.83 (52)11.96 (35)˜ Median 17.25 30.00 -5.16 21.86 10.63 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 SSgA S&P 500 8.50 (34)6.19 (62)12.14 (56)8.93 (36)20.53 (48)-19.61 (45) S&P 500 Index 8.55 (31)6.17 (63)12.15 (54)8.93 (36)20.54 (48)-19.60 (45) IM U.S. Large Cap Core Equity (SA+CF) Median 8.04 6.74 12.32 8.02 20.44 -20.01 Performance Review As of September 30, 2021 SSgA S&P 500 NONE Page 31 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 5.0 10.0 15.0 20.0 25.0 SSgA S&P 500 (%)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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count SSgA S&P 500 20 0 (0%)20 (100%)0 (0%)0 (0%)˜ S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%)˜ 14.85 15.12 15.39 15.66 15.93 16.20 Return (%)21.44 21.52 21.60 21.68 21.76 21.84 21.92 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 15.97 21.50˜ S&P 500 Index 15.99 21.51˜ Median 15.19 21.82¾ 16.40 16.60 16.80 17.00 Return (%)16.96 17.04 17.12 17.20 17.28 17.36 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 16.91 16.94˜ S&P 500 Index 16.90 16.95˜ Median 16.54 17.27¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.04 99.99 100.07 -0.02 -0.43 0.83 1.00 12.06 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.83 1.00 12.05 90 Day U.S. Treasury Bill 18.67 1.99 -2.48 1.29 -0.83 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 0.04 100.05 100.02 0.01 0.32 1.04 1.00 9.59 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.04 1.00 9.58 90 Day U.S. Treasury Bill 15.16 2.75 -2.55 1.25 -1.04 N/A -0.01 0.00 Performance Review As of September 30, 2021 SSgA S&P 500 NONE Page 32 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 EW Idx -0.34 (71)40.81 (8)40.81 (8)19.53 (65)14.02 (63)N/A N/A˜ S&P 500 Equal Weighted -0.22 (69)40.87 (8)40.87 (8)20.16 (60)14.29 (61)14.21 (69)14.61 (74)˜ Median 0.11 30.51 30.51 21.70 15.19 15.92 16.54 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2020 2019 2018 2017 2016 SSgA S&P 500 EW Idx 11.74 (74)30.10 (50)N/A N/A N/A˜ S&P 500 Equal Weighted 12.83 (70)29.24 (59)-7.64 (82)18.90 (81)14.80 (13)˜ Median 17.25 30.00 -5.16 21.86 10.63 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 SSgA S&P 500 EW Idx 6.92 (77)11.40 (14)18.62 (7)6.69 (72)21.36 (35)-27.25 (98) S&P 500 Equal Weighted 6.90 (77)11.49 (13)18.46 (8)6.75 (72)21.73 (31)-26.70 (96) IM U.S. Large Cap Core Equity (SA+CF) Median 8.04 6.74 12.32 8.02 20.44 -20.01 Performance Review As of September 30, 2021 SSgA S&P 500 EW Idx 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 Under Performance Earliest Date Latest Date 13.5 14.4 15.3 16.2 17.1 SSgA S&P 500 EW Idx (%)13.5 14.4 15.3 16.2 17.1 S&P 500 Equal Weighted (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count SSgA S&P 500 EW Idx 3 0 (0%)0 (0%)3 (100%)0 (0%)˜ S&P 500 Equal Weighted 20 0 (0%)1 (5%)14 (70%)5 (25%)˜ 13.65 14.04 14.43 14.82 15.21 15.60 Return (%)20.79 21.78 22.77 23.76 24.75 25.74 26.73 27.72 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 EW Idx 14.02 26.15˜ S&P 500 Equal Weighted 14.29 25.93˜ Median 15.19 21.82¾ 13.86 14.49 15.12 15.75 16.38 17.01 Return (%)16.56 17.25 17.94 18.63 19.32 20.01 20.70 21.39 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 EW Idx N/A N/A˜ S&P 500 Equal Weighted 14.61 20.28˜ Median 16.54 17.27¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 EW Idx 0.52 100.14 101.08 -0.36 -0.34 0.66 1.01 14.81 S&P 500 Equal Weighted 0.00 100.00 100.00 0.00 N/A 0.67 1.00 14.52 90 Day U.S. Treasury Bill 21.70 1.91 -2.21 1.28 -0.67 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 EW Idx N/A N/A N/A N/A N/A N/A N/A N/A S&P 500 Equal Weighted 0.00 100.00 100.00 0.00 N/A 0.81 1.00 11.48 90 Day U.S. Treasury Bill 17.41 2.69 -2.42 1.24 -0.81 N/A -0.01 0.00 Performance Review As of September 30, 2021 SSgA S&P 500 EW Idx NONE Page 34 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR T. Rowe Price 0.78 (21)31.50 (40)31.50 (40)23.55 (31)17.09 (21)17.43 (21)18.02 (18)˜ S&P 500 Index 0.58 (28)30.00 (55)30.00 (55)22.35 (45)15.99 (42)16.47 (40)16.90 (41)˜ Median 0.11 30.51 30.51 21.70 15.19 15.92 16.54 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2020 2019 2018 2017 2016 T. Rowe Price 20.51 (33)33.09 (16)-3.96 (30)24.38 (23)10.94 (47)˜ S&P 500 Index 18.40 (43)31.49 (35)-4.38 (38)21.83 (52)11.96 (35)˜ Median 17.25 30.00 -5.16 21.86 10.63 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 T. Rowe Price 8.81 (23)5.62 (70)13.54 (32)9.40 (26)20.69 (44)-19.61 (45) S&P 500 Index 8.55 (31)6.17 (63)12.15 (54)8.93 (36)20.54 (48)-19.60 (45) IM U.S. Large Cap Core Equity (SA+CF) Median 8.04 6.74 12.32 8.02 20.44 -20.01 Performance Review As of September 30, 2021 T. Rowe Price NONE Page 35 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count T. Rowe Price 20 18 (90%)2 (10%)0 (0%)0 (0%)˜ S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%)˜ 14.49 15.12 15.75 16.38 17.01 17.64 Return (%)21.40 21.60 21.80 22.00 22.20 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 17.09 21.93˜ S&P 500 Index 15.99 21.51˜ Median 15.19 21.82¾ 16.17 16.66 17.15 17.64 18.13 18.62 Return (%)16.96 17.04 17.12 17.20 17.28 17.36 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 18.02 17.23˜ S&P 500 Index 16.90 16.95˜ Median 16.54 17.27¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk T. Rowe Price 1.05 103.23 100.60 0.67 0.98 0.86 1.02 12.23 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 0.83 1.00 12.05 90 Day U.S. Treasury Bill 18.67 1.99 -2.48 1.29 -0.83 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 1.09 103.10 99.29 0.75 0.93 1.08 1.02 9.68 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.04 1.00 9.58 90 Day U.S. Treasury Bill 15.16 2.75 -2.55 1.25 -1.04 N/A -0.01 0.00 Performance Review As of September 30, 2021 T. Rowe Price NONE Page 36 Peer Group Analysis - IM U.S. Mid Cap Value 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 80.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Nuance MCV -1.23 (63)24.68 (97)24.68 (97)N/A N/A N/A N/A˜ Russell MCV Idx -1.01 (57)42.40 (63)42.40 (63)14.89 (70)10.28 (67)9.91 (65)10.59 (81)˜ Median -0.67 44.68 44.68 16.36 10.93 10.76 11.93 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Nuance MCV N/A N/A N/A N/A N/A˜ Russell MCV Idx 4.96 (55)27.06 (63)-12.29 (48)13.34 (76)20.00 (44)˜ Median 5.90 29.10 -12.53 15.63 18.22 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Nuance MCV 3.34 (92)5.47 (97)15.82 (90)N/A N/A N/A Russell Midcap Value Index 5.66 (37)13.05 (55)20.43 (67)6.40 (35)19.95 (53)-31.71 (56) IM U.S. Mid Cap Value Equity (SA+CF) Median 5.04 13.68 22.00 5.67 20.03 -30.73 Performance Review As of September 30, 2021 Nuance MCV NONE Page 37 Page Intentionally Left Blank Page 38 Peer Group Analysis - IM U.S. Mid Cap Growth Equity (SA+CF) Comparative Performance -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 60.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR TimesSquare 1.22 (37)31.13 (56)31.13 (56)27.21 (57)20.68 (36)20.63 (51)20.00 (55)˜ Russell MCG Idx -0.76 (75)30.45 (61)30.45 (61)26.79 (58)19.14 (57)19.63 (65)19.27 (65)˜ Median 0.66 31.52 31.52 28.53 19.52 20.64 20.37 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 80.00 95.00 Return2020 2019 2018 2017 2016 TimesSquare 34.37 (56)38.50 (35)-3.59 (47)23.71 (64)8.62 (24)˜ Russell MCG Idx 35.59 (50)35.47 (55)-4.75 (54)25.27 (53)7.33 (36)˜ Median 35.49 35.79 -4.29 25.47 5.59 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 TimesSquare 9.74 (25)0.09 (69)17.94 (70)9.52 (47)28.36 (62)-18.95 (46) Russell Midcap Growth Index 11.07 (8)-0.57 (74)19.02 (55)9.37 (50)30.26 (50)-20.04 (62) IM U.S. Mid Cap Growth Equity (SA+CF) Median 8.33 1.66 19.68 9.36 30.02 -19.33 Performance Review As of September 30, 2021 TimesSquare NONE Page 39 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 6.0 12.0 18.0 24.0 30.0 TimesSquare (%)0.0 6.0 12.0 18.0 24.0 30.0 Russell Midcap Growth Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count TimesSquare 20 0 (0%)13 (65%)7 (35%)0 (0%)˜ Russell MCG Idx 20 0 (0%)5 (25%)15 (75%)0 (0%)˜ 18.55 19.08 19.61 20.14 20.67 21.20 Return (%)19.61 19.98 20.35 20.72 21.09 21.46 21.83 22.20 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 20.68 20.20˜ Russell MCG Idx 19.14 21.74˜ Median 19.52 21.82¾ 18.87 19.24 19.61 19.98 20.35 20.72 Return (%)15.84 16.20 16.56 16.92 17.28 17.64 18.00 18.36 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 20.00 16.29˜ Russell MCG Idx 19.27 17.62˜ Median 20.37 17.85¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 4.10 96.54 88.03 2.75 0.24 0.98 0.91 12.40 Russell MCG Idx 0.00 100.00 100.00 0.00 N/A 0.86 1.00 13.16 90 Day U.S. Treasury Bill 21.86 1.74 -2.42 1.29 -0.86 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 3.57 95.04 85.04 2.22 0.11 1.13 0.91 9.81 Russell MCG Idx 0.00 100.00 100.00 0.00 N/A 1.03 1.00 10.46 90 Day U.S. Treasury Bill 17.70 2.28 -2.89 1.25 -1.03 N/A 0.00 0.00 Performance Review As of September 30, 2021 TimesSquare NONE Page 40 Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF) Comparative Performance -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 80.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Great Lakes SmidCap -4.82 (99)29.64 (99)29.64 (99)12.28 (96)N/A N/A N/A˜ Russell 2500 Index -2.68 (75)45.03 (44)45.03 (44)21.76 (21)12.47 (17)13.39 (15)14.25 (17)˜ Median -1.79 44.27 44.27 18.10 10.36 11.04 12.11 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Great Lakes SmidCap 12.64 (52)N/A N/A N/A N/A˜ Russell 2500 Index 19.99 (13)27.77 (25)-10.00 (25)16.81 (27)17.59 (55)˜ Median 12.76 25.74 -12.15 15.42 17.94 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Great Lakes SmidCap 4.67 (46)6.04 (100)22.72 (86)7.35 (18)26.67 (22)-32.50 (73) Russell 2500 Index 5.44 (24)10.93 (80)27.41 (18)5.88 (28)26.56 (24)-29.72 (33) IM U.S. SMID Cap Core Equity (MF) Median 4.52 13.33 24.94 4.75 23.86 -30.32 Performance Review As of September 30, 2021 Great Lakes SmidCap NONE Page 41 Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF) Comparative Performance -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 80.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Reinhart Partners 1.80 (4)55.56 (14)55.56 (14)15.48 (81)N/A N/A N/A˜ Russell 2500 Index -2.68 (75)45.03 (44)45.03 (44)21.76 (21)12.47 (17)13.39 (15)14.25 (17)˜ Median -1.79 44.27 44.27 18.10 10.36 11.04 12.11 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Reinhart Partners 5.93 (78)N/A N/A N/A N/A˜ Russell 2500 Index 19.99 (13)27.77 (25)-10.00 (25)16.81 (27)17.59 (55)˜ Median 12.76 25.74 -12.15 15.42 17.94 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Reinhart Partners 2.63 (96)14.35 (30)30.21 (7)-0.59 (98)23.32 (56)-33.63 (77) Russell 2500 Index 5.44 (24)10.93 (80)27.41 (18)5.88 (28)26.56 (24)-29.72 (33) IM U.S. SMID Cap Core Equity (MF) Median 4.52 13.33 24.94 4.75 23.86 -30.32 Performance Review As of September 30, 2021 Reinhart Partners NONE Page 42 Peer Group Analysis - IM U.S. Small Cap Value Equity (SA+CF) Comparative Performance -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 80.00 95.00 110.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lee Munder (LMCG)-0.06 (19)58.80 (49)58.80 (49)17.96 (54)9.70 (46)9.43 (56)11.26 (60)˜ Russell 2000 Value -2.98 (79)63.92 (34)63.92 (34)18.12 (51)8.58 (66)8.77 (66)11.03 (65)˜ Median -1.50 58.13 58.13 18.14 9.59 9.65 11.90 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Lee Munder (LMCG)4.35 (54)27.42 (24)-14.62 (54)8.71 (68)27.80 (41)˜ Russell 2000 Value 4.63 (53)22.39 (74)-12.86 (37)7.84 (75)31.74 (17)˜ Median 5.34 24.93 -14.16 11.61 26.81 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Lee Munder (LMCG)5.10 (31)16.58 (63)29.68 (53)2.30 (55)18.12 (75)-33.41 (36) Russell 2000 Value Index 4.56 (39)21.17 (29)33.36 (26)2.56 (49)18.91 (69)-35.66 (59) IM U.S. Small Cap Value Equity (SA+CF) Median 4.09 18.78 29.86 2.44 20.88 -34.82 Performance Review As of September 30, 2021 Lee Munder (LMCG) 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 -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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lee Munder (LMCG)20 3 (15%)8 (40%)9 (45%)0 (0%)˜ Russell 2000 Value 20 0 (0%)5 (25%)15 (75%)0 (0%)˜ 8.51 8.88 9.25 9.62 9.99 Return (%)24.84 25.20 25.56 25.92 26.28 26.64 27.00 27.36 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)9.70 25.28˜ Russell 2000 Value 8.58 26.61˜ Median 9.59 26.88¾ 10.73 11.02 11.31 11.60 11.89 12.18 Return (%)20.46 20.77 21.08 21.39 21.70 22.01 22.32 22.63 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)11.26 20.94˜ Russell 2000 Value 11.03 22.20˜ Median 11.90 22.28¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lee Munder (LMCG)5.44 95.59 91.57 1.50 0.12 0.45 0.93 18.06 Russell 2000 Value 0.00 100.00 100.00 0.00 N/A 0.40 1.00 19.18 90 Day U.S. Treasury Bill 26.77 1.54 -1.82 1.25 -0.40 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lee Munder (LMCG)4.57 93.18 89.39 0.92 -0.02 0.56 0.92 14.32 Russell 2000 Value 0.00 100.00 100.00 0.00 N/A 0.53 1.00 15.25 90 Day U.S. Treasury Bill 22.32 2.06 -2.04 1.22 -0.53 N/A -0.01 0.00 Performance Review As of September 30, 2021 Lee Munder (LMCG) NONE Page 44 Peer Group Analysis - IM U.S. Small Cap Growth Equity (SA+CF) Comparative Performance -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 80.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Loomis Small Cap -2.22 (56)31.38 (84)31.38 (84)25.20 (76)13.73 (75)17.70 (63)19.21 (56)˜ Russell 2000 Growth -5.65 (92)33.27 (78)33.27 (78)24.18 (81)11.70 (87)13.97 (87)15.34 (88)˜ Median -1.78 40.43 40.43 30.59 17.12 19.86 19.74 -40.00 -20.00 0.00 20.00 40.00 60.00 80.00 100.00 120.00 Return2020 2019 2018 2017 2016 Loomis Small Cap 35.64 (61)27.80 (58)0.85 (23)27.83 (33)6.87 (80)˜ Russell 2000 Growth 34.63 (62)28.48 (50)-9.31 (77)22.17 (57)11.32 (52)˜ Median 40.58 28.46 -4.29 23.81 11.41 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Loomis Small Cap 3.97 (73)3.12 (69)25.32 (71)8.77 (56)30.87 (61)-23.96 (54) Russell 2000 Growth Index 3.92 (73)4.88 (58)29.61 (29)7.16 (67)30.58 (62)-25.76 (68) IM U.S. Small Cap Growth Equity (SA+CF) Median 5.13 5.87 27.52 9.08 32.97 -23.53 Performance Review As of September 30, 2021 Loomis Small Cap 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 -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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Small Cap 20 0 (0%)13 (65%)7 (35%)0 (0%)˜ Russell 2000 Growth 20 0 (0%)1 (5%)14 (70%)5 (25%)˜ 10.00 12.00 14.00 16.00 18.00 Return (%)22.79 23.22 23.65 24.08 24.51 24.94 25.37 25.80 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 13.73 23.50˜ Russell 2000 Growth 11.70 25.30˜ Median 17.12 25.09¾ 14.00 16.00 18.00 20.00 22.00 Return (%)19.20 19.50 19.80 20.10 20.40 20.70 21.00 21.30 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 19.21 19.53˜ Russell 2000 Growth 15.34 20.78˜ Median 19.74 20.81¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 6.45 95.03 87.19 2.90 0.22 0.62 0.90 15.85 Russell 2000 Growth 0.00 100.00 100.00 0.00 N/A 0.52 1.00 16.75 90 Day U.S. Treasury Bill 25.43 1.39 -2.21 1.26 -0.52 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 5.42 100.05 83.50 4.73 0.57 0.94 0.91 12.53 Russell 2000 Growth 0.00 100.00 100.00 0.00 N/A 0.74 1.00 13.38 90 Day U.S. Treasury Bill 20.87 2.00 -2.35 1.23 -0.74 N/A 0.00 0.00 Performance Review As of September 30, 2021 Loomis Small Cap NONE Page 46 Peer Group Analysis - IM International Equity (SA+CF) Comparative Performance -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 60.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lazard -1.49 (48)25.83 (51)25.83 (51)12.35 (76)8.23 (65)7.57 (50)9.11 (65)˜ MSCI ACW x USA (Net)-2.99 (65)23.92 (61)23.92 (61)12.98 (71)8.03 (67)6.43 (63)8.94 (68)˜ Median -1.65 25.86 25.86 16.13 9.69 7.46 10.18 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2020 2019 2018 2017 2016 Lazard 9.71 (65)21.23 (61)-11.01 (18)28.22 (62)0.35 (76)˜ MSCI ACW x USA (Net)10.65 (62)21.51 (60)-14.20 (44)27.19 (68)4.50 (48)˜ Median 14.19 22.69 -14.81 30.73 4.12 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Lazard 4.65 (69)2.91 (63)18.60 (39)5.93 (73)15.45 (75)-24.36 (56) MSCI AC World ex USA (Net)5.48 (55)3.49 (56)17.01 (54)6.25 (70)16.12 (71)-23.36 (48) IM International Equity (SA+CF) Median 5.64 3.88 17.29 8.51 18.36 -23.68 Performance Review As of September 30, 2021 Lazard NONE Page 47 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date -5.0 0.0 5.0 10.0 15.0 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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lazard 20 0 (0%)5 (25%)15 (75%)0 (0%)˜ MSCI ACW x USA (Net)20 0 (0%)0 (0%)15 (75%)5 (25%)˜ 7.70 8.25 8.80 9.35 9.90 10.45 Return (%)16.80 17.22 17.64 18.06 18.48 18.90 19.32 19.74 Risk (Standard Deviation %) Return Standard Deviation Lazard 8.23 18.53˜ MSCI ACW x USA (Net)8.03 17.48˜ Median 9.69 19.31¾ 8.61 9.02 9.43 9.84 10.25 10.66 Return (%)13.94 14.35 14.76 15.17 15.58 15.99 16.40 16.81 Risk (Standard Deviation %) Return Standard Deviation Lazard 9.11 15.28˜ MSCI ACW x USA (Net)8.94 14.52˜ Median 10.18 16.30¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 3.48 103.03 102.48 0.00 0.11 0.46 1.04 12.71 MSCI ACW x USA (Net)0.00 100.00 100.00 0.00 N/A 0.46 1.00 11.97 90 Day U.S. Treasury Bill 17.61 2.28 -2.74 1.25 -0.46 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 3.27 101.02 99.82 0.01 0.08 0.57 1.03 10.25 MSCI ACW x USA (Net)0.00 100.00 100.00 0.00 N/A 0.58 1.00 9.76 90 Day U.S. Treasury Bill 14.62 2.78 -3.16 1.22 -0.58 N/A -0.01 0.00 Performance Review As of September 30, 2021 Lazard NONE Page 48 Peer Group Analysis - IM International Large Cap Core Equity (SA+CF) Comparative Performance -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Pictet 0.15 (19)33.50 (6)33.50 (6)11.02 (84)6.03 (88)4.81 (88)7.83 (76)˜ MSCI EAFE Index -0.35 (33)26.29 (42)26.29 (42)12.90 (66)8.13 (59)6.89 (58)9.33 (57)˜ Median -1.02 25.33 25.33 15.17 8.84 7.55 10.07 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Pictet 5.70 (84)25.32 (36)-19.45 (96)29.12 (30)3.50 (25)˜ MSCI EAFE Index 8.28 (66)22.66 (58)-13.36 (37)25.62 (62)1.51 (52)˜ Median 11.79 23.49 -14.38 26.34 1.63 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Pictet 2.72 (94)5.51 (30)22.99 (2)4.56 (84)14.75 (79)-28.37 (100) MSCI EAFE Index 5.38 (60)3.60 (56)16.09 (39)4.88 (82)15.08 (74)-22.72 (55) IM International Large Cap Core Equity (SA+CF) Median 5.71 4.04 15.61 6.56 16.86 -22.55 Performance Review As of September 30, 2021 Pictet NONE Page 49 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date -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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Pictet 20 6 (30%)2 (10%)5 (25%)7 (35%)˜ MSCI EAFE Index 20 0 (0%)6 (30%)14 (70%)0 (0%)˜ 5.52 6.44 7.36 8.28 9.20 10.12 Return (%)16.72 17.60 18.48 19.36 20.24 21.12 22.00 Risk (Standard Deviation %) Return Standard Deviation Pictet 6.03 21.38˜ MSCI EAFE Index 8.13 17.52˜ Median 8.84 17.84¾ 7.30 8.03 8.76 9.49 10.22 10.95 Return (%)13.60 14.28 14.96 15.64 16.32 17.00 17.68 18.36 Risk (Standard Deviation %) Return Standard Deviation Pictet 7.83 17.45˜ MSCI EAFE Index 9.33 14.51˜ Median 10.07 14.77¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 5.71 109.35 120.24 -2.96 -0.21 0.33 1.19 14.74 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.47 1.00 11.70 90 Day U.S. Treasury Bill 17.64 2.04 -3.11 1.25 -0.47 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 4.85 106.16 116.59 -2.55 -0.19 0.45 1.17 11.79 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.61 1.00 9.50 90 Day U.S. Treasury Bill 14.61 2.45 -3.74 1.22 -0.61 N/A -0.01 0.00 Performance Review As of September 30, 2021 Pictet NONE Page 50 Peer Group Analysis - IM Emerging Markets Equity (SA+CF) Comparative Performance -30.00 -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 Berkeley Street -13.52 (99)13.91 (89)13.91 (89)14.90 (61)12.00 (38)7.92 (41)10.72 (43)˜ MSCI Emerging Mkts -7.97 (70)18.58 (69)18.58 (69)14.68 (62)8.96 (66)6.53 (59)9.62 (59)˜ Median -6.54 22.62 22.62 16.01 10.78 7.14 10.16 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2020 2019 2018 2017 2016 Berkeley Street 25.55 (28)29.92 (9)-14.36 (39)37.00 (48)13.42 (27)˜ MSCI Emerging Mkts 18.69 (46)18.90 (57)-14.25 (38)37.75 (42)11.60 (40)˜ Median 18.01 19.53 -15.21 36.80 10.35 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Berkeley Street 5.60 (50)2.00 (74)22.30 (28)7.11 (77)24.07 (27)-22.75 (25) MSCI Emerging Markets Index 5.12 (57)2.34 (69)19.77 (51)9.70 (54)18.18 (63)-23.57 (38) IM Emerging Markets Equity (SA+CF) Median 5.56 3.61 19.95 9.89 19.37 -24.86 Performance Review As of September 30, 2021 Berkeley Street NONE Page 51 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date -8.0 0.0 8.0 16.0 24.0 Berkeley Street (%)-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 Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Berkeley Street 20 12 (60%)8 (40%)0 (0%)0 (0%)˜ MSCI Emerging Mkts 20 0 (0%)10 (50%)10 (50%)0 (0%)˜ 8.00 10.00 12.00 14.00 Return (%)18.55 18.90 19.25 19.60 19.95 20.30 20.65 21.00 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 12.00 20.57˜ MSCI Emerging Mkts 8.96 19.15˜ Median 10.78 20.05¾ 9.20 9.60 10.00 10.40 10.80 11.20 Return (%)16.12 16.38 16.64 16.90 17.16 17.42 17.68 17.94 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 10.72 17.56˜ MSCI Emerging Mkts 9.62 16.53˜ Median 10.16 17.25¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 4.83 112.80 104.69 2.62 0.63 0.60 1.05 13.82 MSCI Emerging Mkts 0.00 100.00 100.00 0.00 N/A 0.48 1.00 13.04 90 Day U.S. Treasury Bill 19.26 1.92 -2.67 1.24 -0.48 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Berkeley Street 5.75 100.49 93.94 1.15 0.21 0.60 1.00 11.56 MSCI Emerging Mkts 0.00 100.00 100.00 0.00 N/A 0.57 1.00 10.89 90 Day U.S. Treasury Bill 16.62 2.10 -3.27 1.21 -0.57 N/A -0.01 0.00 Performance Review As of September 30, 2021 Berkeley Street NONE Page 52 Peer Group Analysis - IM Long/Short Equity (MF) Comparative Performance -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR ABS Global -0.03 (47)16.43 (48)16.43 (48)11.48 (38)7.63 (40)6.64 (50)7.50 (44)˜ HFRI FOF: Strategic Idx 0.15 (41)17.14 (46)17.14 (46)12.55 (33)7.80 (39)6.39 (53)6.86 (51)˜ Median -0.10 16.10 16.10 9.01 6.31 6.53 6.88 -28.00 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 Return2020 2019 2018 2017 2016 ABS Global 14.53 (21)15.31 (38)-6.49 (56)12.86 (37)-3.38 (87)˜ HFRI FOF: Strategic Idx 14.62 (21)10.52 (67)-6.67 (57)11.22 (51)-0.05 (75)˜ Median 4.45 13.04 -5.80 11.25 4.58 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 ABS Global 1.49 (79)1.18 (79)13.41 (16)2.84 (62)9.11 (51)-10.00 (29) HFRI FOF: Strategic Index 3.86 (53)1.65 (77)10.79 (24)5.86 (33)10.90 (38)-11.87 (36) IM Long/Short Equity (MF) Median 3.94 4.50 7.67 4.56 9.11 -15.37 Performance Review As of September 30, 2021 ABS Global 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 -3.0 0.0 3.0 6.0 9.0 12.0 ABS Global (%)-3.0 0.0 3.0 6.0 9.0 12.0 HFRI FOF: Strategic Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count ABS Global 20 0 (0%)11 (55%)8 (40%)1 (5%)˜ HFRI FOF: Strategic Idx 20 0 (0%)3 (15%)15 (75%)2 (10%)˜ 5.88 6.37 6.86 7.35 7.84 8.33 Return (%)8.70 9.28 9.86 10.44 11.02 11.60 12.18 12.76 13.34 Risk (Standard Deviation %) Return Standard Deviation ABS Global 7.63 9.91˜ HFRI FOF: Strategic Idx 7.80 9.55˜ Median 6.31 12.37¾ 6.60 6.90 7.20 7.50 7.80 Return (%)7.14 7.65 8.16 8.67 9.18 9.69 10.20 10.71 Risk (Standard Deviation %) Return Standard Deviation ABS Global 7.50 8.03˜ HFRI FOF: Strategic Idx 6.86 7.67˜ Median 6.88 10.12¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 3.60 100.01 101.57 0.14 -0.04 0.67 0.97 6.41 HFRI FOF: Strategic Idx 0.00 100.00 100.00 0.00 N/A 0.70 1.00 6.61 90 Day U.S. Treasury Bill 9.72 3.91 -6.13 1.32 -0.70 N/A -0.02 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 3.06 105.41 101.36 0.85 0.20 0.79 0.97 5.07 HFRI FOF: Strategic Idx 0.00 100.00 100.00 0.00 N/A 0.74 1.00 5.20 90 Day U.S. Treasury Bill 7.81 5.22 -7.76 1.27 -0.74 N/A -0.02 0.00 Performance Review As of September 30, 2021 ABS Global NONE Page 54 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR CS McKee 0.05 (72)-0.65 (71)-0.65 (71)3.40 (72)5.71 (68)4.10 (65)3.36 (67)˜ Bl. Barclays US Agg 0.05 (69)-0.90 (86)-0.90 (86)2.97 (91)5.35 (92)3.67 (93)2.94 (92)˜ Median 0.10 0.01 0.01 3.80 6.03 4.30 3.57 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 Return2020 2019 2018 2017 2016 CS McKee 8.19 (59)9.16 (53)0.09 (46)3.77 (65)2.90 (63)˜ Bl. Barclays US Agg 7.51 (88)8.72 (78)0.01 (61)3.54 (84)2.65 (76)˜ Median 8.52 9.20 0.06 4.02 3.12 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 CS McKee 2.21 (27)-3.48 (86)0.67 (85)1.19 (37)4.69 (39)1.45 (61) Blmbg. U.S. Aggregate Index 1.83 (86)-3.38 (68)0.67 (84)0.62 (85)2.90 (89)3.15 (24) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.99 -3.17 1.10 1.06 4.36 1.95 Performance Review As of September 30, 2021 CS McKee 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 CS McKee (%)0.0 2.0 4.0 6.0 8.0 Blmbg. U.S. Aggregate Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count CS McKee 20 0 (0%)10 (50%)10 (50%)0 (0%)˜ Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)˜ 5.10 5.40 5.70 6.00 6.30 Return (%)3.20 3.40 3.60 3.80 4.00 4.20 4.40 Risk (Standard Deviation %) Return Standard Deviation CS McKee 5.71 4.17˜ Bl. Barclays US Agg 5.35 3.49˜ Median 6.03 3.76¾ 3.00 3.30 3.60 3.90 Return (%)3.20 3.28 3.36 3.44 3.52 3.60 3.68 3.76 Risk (Standard Deviation %) Return Standard Deviation CS McKee 3.36 3.67˜ Bl. Barclays US Agg 2.94 3.28˜ Median 3.57 3.43¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 1.65 108.72 112.57 -0.18 0.22 1.08 1.10 1.89 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 1.21 1.00 1.53 90 Day U.S. Treasury Bill 3.41 10.00 -14.62 1.04 -1.21 N/A 0.03 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 1.29 107.54 101.05 0.28 0.33 0.61 1.05 1.91 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 0.56 1.00 1.83 90 Day U.S. Treasury Bill 3.22 12.02 -13.77 1.09 -0.56 N/A 0.02 0.00 Performance Review As of September 30, 2021 CS McKee NONE Page 56 Peer Group Analysis - IM U.S. Broad Market Core Fixed Income (SA+CF) Comparative Performance -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Loomis Fixed Income 0.12 (42)1.67 (14)1.67 (14)5.53 (6)6.73 (10)5.12 (4)4.62 (5)˜ Bl. Barclays US Agg 0.05 (69)-0.90 (86)-0.90 (86)2.97 (91)5.35 (92)3.67 (93)2.94 (92)˜ Median 0.10 0.01 0.01 3.80 6.03 4.30 3.57 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 Return2020 2019 2018 2017 2016 Loomis Fixed Income 11.49 (2)9.55 (31)-0.15 (75)5.76 (4)7.45 (2)˜ Bl. Barclays US Agg 7.51 (88)8.72 (78)0.01 (61)3.54 (84)2.65 (76)˜ Median 8.52 9.20 0.06 4.02 3.12 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Loomis Fixed Income 2.27 (22)-2.97 (36)2.33 (8)1.93 (9)5.42 (20)1.39 (62) Blmbg. U.S. Aggregate Index 1.83 (86)-3.38 (68)0.67 (84)0.62 (85)2.90 (89)3.15 (24) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 1.99 -3.17 1.10 1.06 4.36 1.95 Performance Review As of September 30, 2021 Loomis Fixed Income 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 0.0 2.0 4.0 6.0 8.0 Loomis Fixed Income (%)0.0 2.0 4.0 6.0 8.0 Blmbg. U.S. Aggregate Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Fixed Income 20 16 (80%)1 (5%)3 (15%)0 (0%)˜ Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%)˜ 5.39 5.88 6.37 6.86 7.35 Return (%)3.51 3.60 3.69 3.78 3.87 3.96 4.05 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 6.73 3.93˜ Bl. Barclays US Agg 5.35 3.49˜ Median 6.03 3.76¾ 2.36 2.95 3.54 4.13 4.72 5.31 Return (%)3.24 3.28 3.32 3.36 3.40 3.44 3.48 3.52 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 4.62 3.46˜ Bl. Barclays US Agg 2.94 3.28˜ Median 3.57 3.43¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 1.72 117.54 102.54 1.27 0.77 1.38 1.01 1.94 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 1.21 1.00 1.53 90 Day U.S. Treasury Bill 3.41 10.00 -14.62 1.04 -1.21 N/A 0.03 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 1.51 115.70 77.76 1.80 1.08 0.99 0.95 1.88 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 0.56 1.00 1.83 90 Day U.S. Treasury Bill 3.22 12.02 -13.77 1.09 -0.56 N/A 0.02 0.00 Performance Review As of September 30, 2021 Loomis Fixed Income NONE Page 58 Peer Group Analysis - IM Global Fixed Income (MF) Comparative Performance -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Pimco Div Inc (PDIIX)0.12 (17)N/A N/A N/A N/A N/A N/A˜ Blmbg. Glbl Cred (Hedged)0.08 (22)2.72 (22)2.72 (22)3.98 (24)6.21 (7)4.73 (4)4.39 (6)˜ Median -0.35 0.91 0.91 3.11 4.56 3.06 2.57 -10.00 -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 17.00 Return2020 2019 2018 2017 2016 Pimco Div Inc (PDIIX)N/A N/A N/A N/A N/A˜ Blmbg. Glbl Cred (Hedged)7.53 (63)12.08 (7)-0.81 (33)5.89 (69)7.33 (8)˜ Median 8.15 8.12 -1.75 6.81 2.92 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Pimco Div Inc (PDIIX)2.76 (4)N/A N/A N/A N/A N/A Blmbg. Global Credit (Hedged)2.24 (14)-2.64 (42)3.11 (59)1.97 (68)7.60 (26)-4.95 (62) IM Global Fixed Income (MF) Median 1.33 -3.20 3.63 2.41 5.53 -3.19 Performance Review As of September 30, 2021 Pimco Div Inc (PDIIX) NONE Page 59 Page Intentionally Left Blank Page 60 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 32.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Morgan Stanley 6.04 (58)13.56 (75)13.56 (75)7.74 (55)7.78 (50)8.12 (48)8.53 (41)˜ NCREIF ODCE 6.63 (35)14.63 (54)14.63 (54)7.81 (54)7.06 (62)7.47 (64)7.51 (64)˜ Median 6.15 16.09 16.09 8.17 7.69 7.99 8.21 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 Return2020 2019 2018 2017 2016 Morgan Stanley 1.90 (44)7.38 (38)9.05 (38)9.86 (15)9.98 (43)˜ NCREIF ODCE 1.19 (64)5.34 (74)8.35 (49)7.62 (58)8.77 (75)˜ Median 1.58 7.02 8.27 8.06 9.35 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Morgan Stanley 3.27 (82)2.19 (44)1.47 (56)1.27 (21)-1.74 (65)0.92 (63) NCREIF Fund Index-ODCE (VW)3.93 (65)2.11 (50)1.30 (60)0.48 (52)-1.56 (62)0.98 (62) IM U.S. Open End Private Real Estate (SA+CF) Median 4.17 2.10 1.63 0.49 -1.23 1.25 Performance Review As of September 30, 2021 Morgan Stanley 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 3.0 6.0 9.0 12.0 15.0 18.0 Morgan Stanley (%)3.0 6.0 9.0 12.0 15.0 18.0 NCREIF Fund Index-ODCE (VW) (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Morgan Stanley 20 2 (10%)17 (85%)1 (5%)0 (0%)˜ NCREIF ODCE 20 0 (0%)0 (0%)20 (100%)0 (0%)˜ 7.20 7.50 7.80 8.10 Return (%)3.20 3.40 3.60 3.80 4.00 4.20 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 7.78 3.38˜ NCREIF ODCE 7.06 3.78˜ Median 7.69 4.08¾ 7.20 7.56 7.92 8.28 8.64 9.00 Return (%)2.40 2.60 2.80 3.00 3.20 3.40 3.60 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 8.53 2.66˜ NCREIF ODCE 7.51 2.95˜ Median 8.21 3.37¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.98 109.67 111.93 1.61 0.67 1.85 0.86 1.01 NCREIF ODCE 0.00 100.00 100.00 0.00 N/A 1.46 1.00 0.90 90 Day U.S. Treasury Bill 3.95 15.64 -1.48 1.43 -1.46 N/A -0.03 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 0.85 112.99 111.93 1.96 1.12 2.59 0.86 0.78 NCREIF ODCE 0.00 100.00 100.00 0.00 N/A 2.01 1.00 0.70 90 Day U.S. Treasury Bill 3.08 14.95 -1.48 1.40 -2.01 N/A -0.03 0.00 Performance Review As of September 30, 2021 Morgan Stanley NONE Page 62 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 32.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Prudential PRISA II 7.56 (26)17.35 (34)17.35 (34)9.10 (28)8.32 (44)8.89 (37)8.77 (35)˜ NCREIF Property Idx 5.23 (84)12.15 (79)12.15 (79)6.96 (74)6.72 (72)6.83 (75)6.84 (76)˜ Median 6.15 16.09 16.09 8.17 7.69 7.99 8.21 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 Return2020 2019 2018 2017 2016 Prudential PRISA II 0.98 (67)7.52 (36)9.43 (28)8.05 (51)10.37 (36)˜ NCREIF Property Idx 1.60 (49)6.42 (63)6.72 (80)6.96 (77)7.97 (81)˜ Median 1.58 7.02 8.27 8.06 9.35 1 Qtr Ending Jun-2021 1 Qtr Ending Mar-2021 1 Qtr Ending Dec-2020 1 Qtr Ending Sep-2020 1 Qtr Ending Jun-2020 1 Qtr Ending Mar-2020 Prudential PRISA II 5.11 (25)2.07 (53)1.70 (47)0.43 (55)-2.42 (80)1.32 (46) NCREIF Property Index 3.59 (77)1.72 (74)1.15 (68)0.74 (34)-0.99 (41)0.71 (64) IM U.S. Open End Private Real Estate (SA+CF) Median 4.17 2.10 1.63 0.49 -1.23 1.25 Performance Review As of September 30, 2021 Prudential PRISA II NONE Page 63 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 3.0 6.0 9.0 12.0 15.0 18.0 Prudential PRISA II (%)3.0 6.0 9.0 12.0 15.0 18.0 NCREIF Property Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 9/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Prudential PRISA II 20 0 (0%)19 (95%)1 (5%)0 (0%)˜ NCREIF Property Idx 20 0 (0%)0 (0%)8 (40%)12 (60%)˜ 6.16 6.72 7.28 7.84 8.40 8.96 Return (%)2.72 3.06 3.40 3.74 4.08 4.42 4.76 5.10 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 8.32 4.61˜ NCREIF Property Idx 6.72 2.93˜ Median 7.69 4.08¾ 5.94 6.60 7.26 7.92 8.58 9.24 Return (%)1.74 2.03 2.32 2.61 2.90 3.19 3.48 3.77 4.06 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 8.77 3.64˜ NCREIF Property Idx 6.84 2.27˜ Median 8.21 3.37¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 1.76 129.70 243.59 -2.09 0.90 1.48 1.56 1.40 NCREIF Property Idx 0.00 100.00 100.00 0.00 N/A 1.76 1.00 0.57 90 Day U.S. Treasury Bill 3.08 16.87 -2.31 1.42 -1.76 N/A -0.04 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 1.51 131.12 243.59 -1.91 1.23 1.98 1.57 1.08 NCREIF Property Idx 0.00 100.00 100.00 0.00 N/A 2.32 1.00 0.44 90 Day U.S. Treasury Bill 2.39 16.60 -2.31 1.39 -2.32 N/A -0.04 0.00 Performance Review As of September 30, 2021 Prudential PRISA II NONE Page 64 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. 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. U.S. Aggregate Index 30.00 JPM Global Government Bond Index 5.00 Blmbg. 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, 2021 Page 65 Total Fixed Income Historical Hybrid Composition Allocation Mandate Weight (%) Jan-1986 Blmbg. U.S. Aggregate Index 85.00 JPM Global Government Bond Index 15.00 Jul-2017 Blmbg. U.S. Aggregate Index 80.00 JPM Global Government Bond Index 15.00 Blmbg. U.S. Corp High Yield 5.00 Benchmark History Investment Policy Benchmarks As of September 30, 2021 Page 66 Estimated Annual Fee (%) Market Value ($) Estimated Annual Fee ($) Fee Schedule Total Fund Composite 0.48 789,865,414 3,820,495 SSgA S&P 500 0.02 25,877,454 5,175 0.02 % of First $50 M 0.01 % Thereafter SSgA S&P 500 Equal Weighted Index 0.04 52,279,608 20,912 0.04 % of First $75 M 0.02 % Thereafter T. Rowe Price 0.25 84,193,975 210,485 0.25 % of Assets Nuance Mid Cap Value 0.75 14,024,393 105,183 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 17,576,916 140,615 0.80 % of First $50 M 0.70 % of Next $50 M 0.60 % Thereafter Great Lakes SmidCap 0.55 15,812,828 86,971 0.55 % of First $50 M 0.45 % of Next $50 M 0.35 % Thereafter Reinhart Partners 0.75 20,186,039 151,395 0.75 % of First $25 M 0.65 % of Next $25 M 0.50 % Thereafter Lee Munder (LMCG)0.70 30,236,224 211,654 0.70 % of Assets Loomis Small Cap 0.90 31,393,111 282,538 0.90 % of First $50 M 0.75 % of Next $50 M 0.70 % Thereafter Lazard 0.75 36,374,952 272,812 0.75 % of First $40 M 0.65 % of Next $60 M 0.50 % Thereafter Pictet 0.65 43,891,762 285,296 0.65 % of Assets Berkeley Street 0.95 19,138,689 181,818 0.95 % of Assets ABS Global 1.00 41,712,338 417,123 1.00 % of Assets CS McKee 0.27 129,203,335 345,907 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 73,216,517 219,650 0.30 % of First $100 M 0.25 % of Next $100 M 0.20 % of Next $100 M 0.15 % Thereafter Pimco Diversified Income (PDIIX)0.75 34,651,384 259,885 0.75 % of Assets Morgan Stanley 0.84 42,111,688 353,738 0.84 % of Assets Oakland County Employees' Retirement System Fee Analysis As of September 30, 2021 Does not include incentive fees. Page 67 Oakland County Employees' Retirement System Fee Analysis As of September 30, 2021 Estimated Annual Fee (%) Market Value ($) Estimated Annual Fee ($) Fee Schedule Prudential PRISA II 1.20 22,444,818 269,338 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 68 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 69 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 70 CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first. <CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="10/31/2021" Interval="1" /> Investment Performance Review Period Ending October 31, 2021 Oakland County ERS Defined Benefit Plan Monthly Flash Report Market Update Russell Indices Style Returns Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann V B G V B G S&P 500 Total Return 7.01 5.13 24.04 42.91 21.48 18.93 Russell Midcap Index 5.95 4.17 22.02 45.40 19.85 16.47 Russell 2000 Index 4.25 3.44 17.19 50.80 16.47 15.52 Russell 1000 Growth Index 8.66 6.41 24.20 43.21 29.41 25.49 Russell 1000 Value Index 5.08 3.43 22.03 43.76 13.90 12.39 Russell 3000 Index 6.76 4.88 22.77 43.90 21.62 18.91 MSCI EAFE NR 2.46 1.24 11.01 34.18 11.54 9.79 MSCI EM NR 0.99 (0.49) (0.27) 16.96 12.30 9.39 Fixed Income Month 3 M YTD 1 Year Mod. Adj. Duration Yield to Worst Currencies 10/31/21 12/31/20 12/31/19 U.S. Aggregate (0.03) (1.08) (1.58) (0.48) 6.74 1.66 Euro Spot 1.16 1.22 1.12 U.S. Corporate Investment Grade 0.25 (1.11) (1.02) 2.18 8.71 2.22 British Pound Spot 1.37 1.37 1.33 U.S. Corporate High Yield (0.17) 0.33 4.36 10.53 3.98 4.23 Japanese Yen Spot 113.95 103.25 108.61 Global Aggregate (0.24) (2.42) (4.29) (1.24) 7.54 1.29 Swiss Franc Spot 0.92 0.89 0.97 Key Rates 10/31/21 12/31/20 12/31/19 12/31/18 12/31/17 Commodities 10/31/21 12/31/20 12/31/19 US Generic Govt 3 Mth 0.05 0.06 1.54 2.35 1.38 Oil 83.57 47.68 53.07 US Generic Govt 2 Yr 0.50 0.12 1.57 2.49 1.88 Gasoline 3.40 2.25 2.59 US Generic Govt 10 Yr 1.55 0.91 1.92 2.68 2.41 Natural Gas 5.43 2.91 2.58 US Generic Govt 30 Yr 1.93 1.64 2.39 3.01 2.74 Gold 1,783.90 1,911.20 1,187.30 ICE LIBOR USD 3M 0.13 0.24 1.91 2.81 1.69 Silver 23.95 26.66 16.50 Euribor 3 Month ACT/360 (0.55) (0.55) (0.38) (0.31) (0.33) Copper 436.80 352.40 284.55 Bankrate 30Y Mortgage Rates Na 3.14 2.87 3.86 4.51 3.85 Corn 568.25 434.75 410.50 Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 220.73 166.63 172.00 Source: Bloomberg & Investment Metrics. For informational purposes only and should not be regarded as investment advice. Information is based on sources and data believed to be reliable, but AndCo Consulting cannot guarantee the accuracy, adequacy or completeness of the information. The material provided herein is valid only as of the date of distribution and not as of any future date. Levels (%)Levels 19.9 34.5 YTD 2020 Index Returns (%)Levels S 27.6 17.2 7.6 S 4.6 38.4 M 24.5 22.0 17.3 M 4.9 17.0 35.5 October 31, 2021 Index Returns (%) L 22.0 23.2 24.2 L 2.8 20.9 57.93 38.46 33.72 25.02 24.70 24.04 22.34 19.31 19.15 18.91 9.13 8.76 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 YTD Sector Returns 43.74 33.19 23.54 20.67 18.33 13.41 11.02 10.71 0.52 -1.75 -2.16 -33.60-40.0 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 2020 Sector Returns Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.4%) Total Real Asset (11.4%) Total Fixed Income Composite (32.5%) Total Long/Short Equity Composite (4.0%) Total International Equity (12.7%) Total Domestic Equity (39.0%) 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 789,134,574 100.0 N/A N/A 100.0 --- Total Domestic Equity 307,404,865 39.0 10.0 50.0 35.0 -228,491,408 87,162,422 -31,207,764 Total International Equity 100,593,043 12.7 5.0 20.0 15.0 -61,136,315 57,233,871 17,777,143 Total Long/Short Equity Composite 31,712,338 4.0 0.0 7.5 5.0 -31,712,338 27,472,755 7,744,390 Total Fixed Income Composite 256,244,723 32.5 10.0 55.0 35.0 -177,331,266 177,779,292 19,952,378 Total Real Asset 89,979,913 11.4 0.0 15.0 10.0 -89,979,913 28,390,273 -11,066,455 Total Cash Composite 3,199,691 0.4 0.0 5.0 0.0 -3,199,691 36,257,038 -3,199,691 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of October 31, 2021 Page 2 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.4%) Total Real Asset (11.4%) Total Fixed Income Composite (32.5%) Total Long/Short Equity Composite (4.0%) Total International Equity (12.7%) Total Small Cap Equity Composite (8.2%) Total Mid Cap Equity Composite (8.8%) Total Large Cap Equity Composite (21.9%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 789,134,574 100.0 100.0 - Total Large Cap Equity Composite 172,697,421 21.9 20.0 -14,870,506 Total Mid Cap Equity Composite 69,655,552 8.8 7.5 -10,470,459 Total Small Cap Equity Composite 65,051,893 8.2 7.5 -5,866,799 Total International Equity 100,593,043 12.7 15.0 17,777,143 Total Long/Short Equity Composite 31,712,338 4.0 5.0 7,744,390 Total Fixed Income Composite 256,244,723 32.5 35.0 19,952,378 Total Real Asset 89,979,913 11.4 10.0 -11,066,455 Total Cash Composite 3,199,691 0.4 0.0 -3,199,691 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of October 31, 2021 Page 3 October 31, 2021 : $789,134,574 Allocation Market Value Allocation SSgA S&P 500 27,690,601 3.5¢ SSgA S&P 500 Equal Weighted Index 55,061,840 7.0¢ T. Rowe Price 89,944,979 11.4¢ Nuance Mid Cap Value 14,305,172 1.8¢ TimesSquare 18,595,680 2.4¢ Great Lakes SmidCap 16,344,618 2.1¢ Reinhart Partners 20,410,082 2.6¢ Lee Munder (LMCG)31,373,383 4.0¢ Loomis Small Cap 33,678,509 4.3¢ Lazard 37,157,490 4.7¢ Pictet 44,382,171 5.6¢ Berkeley Street 19,053,383 2.4¢ ABS Global 31,712,338 4.0¢ CS McKee 129,053,473 16.4¢ Loomis Fixed Income 73,043,939 9.3¢ Pimco Diversified Income (PDIIX)34,754,148 4.4¢ Churchill Senior Loan Fund 4,075,943 0.5¢ Marathon Distressed Credit Fund LP 7,321,191 0.9¢ H.I.G. Bayside Loan Opportunity VI 2,646,970 0.3¢ BlackRock Direct Lending Feeder IX 5,349,060 0.7¢ ValStone Opportunity Fund V 2,007,033 0.3¢ Morgan Stanley 42,111,688 5.3¢ JPM Euro Property 35,065 0.0¢ Prudential PRISA II 22,444,818 2.8¢ Alidade Capital Fund IV 5,767,329 0.7¢ Walton Street Real Estate 3,186,902 0.4¢ AEW Real Estate 1,298,054 0.2¢ Dune Real Estate IV 1,516,050 0.2¢ Hamilton Lane Secondary Fund V LP 6,310,370 0.8¢ Portfolio Adv Secondary Agg IV 5,302,603 0.7¢ Cash and Equivalents Account 210,969 0.0¢ Private Markets Cash 2,988,722 0.4¢ Asset Allocation By Manager Total Fund As of October 31, 2021 Page 4 Financial Reconciliation Month to Date Market Value 10/01/2021 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 10/31/2021 Total Fund Composite 787,565,242 -14,290 -15,000,000 -55,864 -114,563 769,153 15,956,318 789,134,574 Total Equity Composite 432,698,289 -10,000,000 14,290 --34,207 -113,846 298,201 16,847,521 439,710,247 Total Domestic Equity 291,580,548 -----319 195,750 15,628,887 307,404,865 Total Large Cap Equity Composite 162,351,037 -----25 87,713 10,258,696 172,697,421 SSgA S&P 500 25,877,454 ------1,813,148 27,690,601 SSgA S&P 500 Equal Weighted Index 52,279,608 ------2,782,232 55,061,840 T. Rowe Price 84,193,975 -----25 87,713 5,663,316 89,944,979 Total Mid Cap Equity Composite 67,600,176 -----114 40,257 2,015,234 69,655,552 Nuance Mid Cap Value 14,024,393 -----49 11,361 269,467 14,305,172 TimesSquare 17,576,916 -----34 2,183 1,016,615 18,595,680 Great Lakes SmidCap 15,812,828 -----5 20,590 511,206 16,344,618 Reinhart Partners 20,186,039 -----26 6,124 217,945 20,410,082 Total Small Cap Equity Composite 61,629,335 -----180 67,780 3,354,957 65,051,893 Lee Munder (LMCG)30,236,224 -----36 48,837 1,088,358 31,373,383 Loomis Small Cap 31,393,111 -----144 18,943 2,266,599 33,678,509 Total International Equity 99,405,403 -14,290 --34,207 -113,527 102,451 1,218,634 100,593,043 Lazard 36,374,952 -----113,527 19,534 876,531 37,157,490 Pictet 43,891,762 ----19,917 -82,917 427,410 44,382,171 Berkeley Street 19,138,689 -14,290 --14,290 ---85,306 19,053,383 Total Long/Short Equity Composite 41,712,338 -10,000,000 ------31,712,338 ABS Global 41,712,338 -10,000,000 ------31,712,338 Total Fixed Income Composite 262,300,365 -5,619,554 ---21,657 -319 470,700 -884,812 256,244,723 Total Domestic Fixed Income 202,419,852 -----319 367,195 -689,316 202,097,412 CS McKee 129,203,335 -----260 217,415 -367,018 129,053,473 Loomis Fixed Income 73,216,517 -----59 149,779 -322,298 73,043,939 Total Global Fixed 34,651,384 216,411 ---21,657 -103,506 -195,495 34,754,148 Pimco Diversified Income 34,651,384 216,411 ---21,657 -103,506 -195,495 34,754,148 Private Fixed Income 25,229,129 -5,835,965 ------19,393,164 Churchill Senior Loan Fund 9,911,908 -5,835,965 ------4,075,943 Marathon Distressed Credit Fund LP 7,321,191 -------7,321,191 H.I.G. Bayside Loan Opportunity VI 2,646,970 -------2,646,970 BlackRock Direct Lending Feeder IX 5,349,060 -------5,349,060 Bloomfield Capital Fund V - Series B --------- Financial Reconciliation Total Fund Quarter To Date Ending October 31, 2021 Page 5 Financial Reconciliation Total Fund Quarter To Date Ending October 31, 2021 Market Value 10/01/2021 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 10/31/2021 Total Real Asset 90,293,065 -313,152 ------89,979,913 Total Real Estate 79,252,726 -885,786 ------78,366,940 ValStone Opportunity Fund V 2,007,033 -------2,007,033 Morgan Stanley 42,111,688 -------42,111,688 JPM Euro Property 35,065 -------35,065 Prudential PRISA II 22,444,818 -------22,444,818 Alidade Capital Fund IV 5,767,329 -------5,767,329 Walton Street Real Estate 3,186,902 -------3,186,902 AEW Real Estate 2,183,840 -885,786 ------1,298,054 Dune Real Estate IV 1,516,050 -------1,516,050 Private Investments 11,040,339 572,634 ------11,612,973 Hamilton Lane Secondary Fund V LP 5,737,736 572,634 ------6,310,370 Portfolio Adv Secondary Agg IV 5,302,603 -------5,302,603 Total Cash Composite 2,273,523 15,932,706 --15,000,000 --399 252 -6,391 3,199,691 Cash and Equivalents Account 2 15,211,114 --15,000,000 --399 252 -210,969 Private Markets Cash 2,273,521 721,592 ------6,391 2,988,722 Page 6 Asset Allocation & Performance Allocation Market Value $ % Performance(%) MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Fund Composite 789,134,574 100.0 2.13 2.13 2.13 9.83 22.60 11.91 10.08 8.34 9.21 8.60 10/01/1986 Total Fund Policy Index 2.71 2.71 2.71 10.13 21.79 12.71 10.48 8.52 9.57 9.06 Total Equity Composite 439,710,247 55.7 3.98 3.98 3.98 15.15 37.52 16.14 14.06 10.82 12.40 10.05 10/01/1986 Total Equity Index 5.22 5.22 5.22 18.60 40.87 18.20 15.84 12.27 14.19 10.56 Total Fixed Income Composite 256,244,723 32.5 -0.16 -0.16 -0.16 -0.15 1.74 5.57 3.72 3.39 3.66 6.22 10/01/1986 Total Fixed Income Index -0.07 -0.07 -0.07 -1.99 -0.45 5.49 3.04 3.01 2.77 5.99 Total Real Asset 89,979,913 11.4 0.00 0.00 0.00 12.58 15.94 8.79 8.98 10.24 10.14 5.57 07/01/2008 NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 13.11 14.59 7.05 7.50 8.90 9.92 5.71 Total Cash Composite 3,199,691 0.4 Asset Allocation & Performance Total Fund Composite As of October 31, 2021 Page 7 Asset Allocation & Performance Total Fund Composite As of October 31, 2021 Allocation Market Value $ % Performance(%) MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Equity 307,404,865 39.0 5.43 5.43 5.43 20.99 44.13 19.04 16.93 N/A N/A N/A 10/01/1986 Total Large Cap Equity Composite 172,697,421 21.9 6.37 6.37 6.37 24.04 44.95 21.49 18.71 14.80 16.29 12.49 07/01/2008 SSgA S&P 500 (1.5 bps)27,690,601 3.5 7.01 7.01 7.01 24.00 42.86 21.46 18.94 14.76 16.27 15.30 10/01/2009 S&P 500 Index 7.01 7.01 7.01 24.04 42.91 21.48 18.93 14.72 16.21 15.25 SSgA S&P 500 Equal Weighted Index (4 bps)55,061,840 7.0 5.32 5.32 5.32 25.02 49.29 18.91 N/A N/A N/A 13.44 02/01/2018 S&P 500 Equal Weighted 5.32 5.32 5.32 25.25 49.27 19.22 16.37 12.77 15.18 13.63 T. Rowe Price (25 bps)89,944,979 11.4 6.83 6.83 6.83 23.74 43.87 22.56 19.94 15.81 17.03 15.86 10/01/2009 S&P 500 Index 7.01 7.01 7.01 24.04 42.91 21.48 18.93 14.72 16.21 15.25 Total Mid Cap Equity Composite 69,655,552 8.8 3.04 3.04 3.04 15.00 38.52 13.42 12.52 9.60 12.36 10.06 07/01/2008 Nuance Mid Cap Value (75 bps)14,305,172 1.8 2.00 2.00 2.00 9.80 23.83 N/A N/A N/A N/A N/A 07/01/2020 Russell Midcap Value Index 5.32 5.32 5.32 24.54 48.60 15.03 12.30 9.89 13.18 41.98 TimesSquare (80 bps)18,595,680 2.4 5.80 5.80 5.80 17.63 39.51 26.30 22.11 16.55 17.63 17.09 09/01/2009 Russell Midcap Growth Index 7.01 7.01 7.01 17.29 39.43 26.17 21.90 16.06 16.86 17.05 Great Lakes SmidCap (55 bps)16,344,618 2.1 3.36 3.36 3.36 9.20 34.64 N/A N/A N/A N/A 10.44 05/01/2019 Russell 2500 Index 4.90 4.90 4.90 19.41 49.43 18.43 16.31 12.26 14.25 18.45 Reinhart Partners (65 bps)20,410,082 2.6 1.11 1.11 1.11 20.80 52.73 N/A N/A N/A N/A 13.93 05/01/2019 Russell 2500 Index 4.90 4.90 4.90 19.41 49.43 18.43 16.31 12.26 14.25 18.45 Total Small Cap Equity Composite 65,051,893 8.2 5.55 5.55 5.55 19.15 47.62 17.80 16.40 12.19 13.35 11.65 07/01/2008 Lee Munder (70 bps)31,373,383 4.0 3.76 3.76 3.76 27.06 58.60 15.10 12.57 10.89 12.55 10.16 09/01/2005 Russell 2000 Value Index 3.81 3.81 3.81 27.60 64.30 13.44 12.61 9.72 12.12 8.05 Loomis Small Cap (90 bps)33,678,509 4.3 7.28 7.28 7.28 12.47 38.46 20.68 22.17 15.94 N/A 17.24 09/01/2012 Russell 2000 Growth Index 4.68 4.68 4.68 7.64 38.45 18.64 17.90 12.96 14.57 14.81 Page 8 Asset Allocation & Performance Total Fund Composite As of October 31, 2021 Allocation Market Value $ % Performance(%) MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total International Equity 100,593,043 12.7 1.33 1.33 1.33 5.32 29.25 11.40 9.50 6.92 7.89 4.98 07/01/2008 Total International Equity Index 2.41 2.41 2.41 8.86 30.22 12.52 10.28 6.69 7.17 4.10 Lazard (75 bps)37,157,490 4.7 2.46 2.46 2.46 8.71 32.76 12.13 10.28 6.96 8.85 6.47 09/01/2006 MSCI AC World ex USA 2.41 2.41 2.41 8.86 30.22 12.52 10.28 6.69 7.15 4.97 Pictet (65 bps)44,382,171 5.6 1.16 1.16 1.16 9.81 37.23 9.82 8.69 6.96 7.60 2.80 01/01/2008 MSCI EAFE Index 2.48 2.48 2.48 11.49 34.80 12.07 10.32 6.90 7.87 3.59 Berkeley Street (95 bps)19,053,383 2.4 -0.45 -0.45 -0.45 -7.27 10.96 14.95 10.57 7.50 N/A 6.78 11/01/2012 MSCI Emerging Markets Index 1.00 1.00 1.00 0.00 17.33 12.69 9.79 5.97 5.25 5.50 Total Long/Short Equity Composite 31,712,338 4.0 0.00 0.00 0.00 2.66 16.34 9.62 7.49 5.71 5.64 5.38 10/01/2010 ABS Global (100 bps)31,712,338 4.0 0.00 0.00 0.00 2.66 16.34 9.62 7.49 5.79 6.55 6.08 10/01/2010 HFRI FOF: Strategic Index 1.96 1.96 1.96 7.74 18.64 9.99 7.35 5.22 5.20 4.56 Total Domestic Fixed Income 202,097,412 25.6 -0.16 -0.16 -0.16 -1.19 0.59 6.43 3.94 N/A N/A N/A 07/01/2008 CS McKee (35 bps)129,053,473 16.4 -0.12 -0.12 -0.12 -1.42 -0.24 5.92 3.48 3.51 3.35 3.89 02/01/2010 Blmbg. U.S. Aggregate Index -0.03 -0.03 -0.03 -1.58 -0.48 5.62 3.09 3.11 3.00 3.54 Loomis Fixed Income (30 bps)73,043,939 9.3 -0.24 -0.24 -0.24 -0.88 1.74 7.10 4.64 4.14 4.92 5.61 04/01/2010 Blmbg. U.S. Aggregate Index -0.03 -0.03 -0.03 -1.58 -0.48 5.62 3.09 3.11 3.00 3.57 Total Global Fixed 34,754,148 4.4 -0.27 -0.27 -0.27 0.82 1.34 -1.23 0.70 N/A N/A N/A 04/01/2010 Pimco Diversified Income (75 bps)34,754,148 4.4 -0.27 -0.27 -0.27 N/A N/A N/A N/A N/A N/A 2.24 03/01/2021 Blmbg. Global Credit (Hedged)-0.17 -0.17 -0.17 -0.56 2.42 6.45 4.49 4.40 4.91 1.31 Page 9 Asset Allocation & Performance Total Fund Composite As of October 31, 2021 Allocation Market Value $ % Performance(%) MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Real Estate 78,366,940 9.9 0.00 0.00 0.00 12.39 14.70 8.21 8.66 N/A N/A 8.83 09/01/2016 NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 13.11 14.59 7.05 7.50 8.90 9.92 7.67 Morgan Stanley (84 bps)42,111,688 5.3 0.00 0.00 0.00 11.91 13.56 7.78 8.53 10.05 11.29 6.73 01/01/2008 NCREIF Fund Index-ODCE (VW)0.00 0.00 0.00 13.11 14.59 7.05 7.50 8.90 9.92 5.63 Prudential PRISA II (85 bps)22,444,818 2.8 0.00 0.00 0.00 15.39 17.35 8.32 8.77 10.27 11.51 11.41 10/01/2011 NCREIF Property Index 0.00 0.00 0.00 10.88 12.15 6.72 6.84 8.10 8.99 8.91 JPM Euro Property 35,065 0.0 0.00 0.00 0.00 -50.28 -46.49 -27.41 -13.76 -8.22 -7.26 -6.44 04/01/2009 NCREIF Property Index 0.00 0.00 0.00 10.88 12.15 6.72 6.84 8.10 8.99 8.10 Total Cash Composite 3,199,691 0.4 Cash and Equivalents Account (No fee)210,969 0.0 Private Markets Cash 2,988,722 0.4 Page 10 Comparative Performance - IRR MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date ValStone Opportunity Fund V 0.00 0.00 0.00 2.93 1.99 6.81 5.48 7.47 N/A 7.18 08/27/2014 Alidade Capital Fund IV 0.00 0.00 0.00 12.26 21.14 11.56 N/A N/A N/A 9.41 04/20/2017 Walton Street Real Estate 0.00 0.00 0.00 12.14 16.80 9.71 N/A N/A N/A 10.80 05/24/2017 AEW Real Estate 0.00 0.00 0.00 16.84 18.33 15.87 N/A N/A N/A 12.00 09/28/2017 Churchill Senior Loan Fund 0.00 0.00 0.00 8.32 10.43 6.47 N/A N/A N/A 6.66 12/07/2017 Dune Real Estate IV 0.00 0.00 0.00 -7.67 -9.19 N/A N/A N/A N/A -13.04 08/22/2019 Hamilton Lane Secondary Fund V LP 0.00 0.00 0.00 17.89 43.58 N/A N/A N/A N/A 43.30 04/28/2020 Marathon Distressed Credit Fund LP 0.00 0.00 0.00 31.55 49.31 N/A N/A N/A N/A 53.74 09/10/2020 H.I.G. Bayside Loan Opportunity VI 0.00 0.00 0.00 1.33 115.51 N/A N/A N/A N/A 115.95 09/29/2020 Portfolio Adv Secondary Agg IV 0.00 0.00 0.00 7.98 28.35 N/A N/A N/A N/A 28.35 11/02/2020 BlackRock Direct Lending Feeder IX 0.00 0.00 0.00 -10.67 N/A N/A N/A N/A N/A -10.67 01/05/2021 Bloomfield Capital Fund V - Series B N/A 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 October 31, 2021 Page 11 Disclosures AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client. AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated. This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions. The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services. Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves. This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live. This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results. This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. 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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 12 CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first. Market Update Russell Indices Style Returns* Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann V B G V B G S&P 500 Total Return (0.69) 1.32 23.18 27.92 20.38 17.90 Russell Midcap Index (3.48) (1.95) 17.77 23.29 17.49 14.44 Russell 2000 Index (4.17) (3.04) 12.31 22.02 14.22 12.14 Russell 1000 Growth Index 0.61 3.20 24.95 30.70 29.21 25.10 Russell 1000 Value Index (3.52) (2.15) 17.73 22.25 11.45 10.36 Russell 3000 Index (1.52) 0.42 20.90 26.34 20.20 17.51 MSCI EAFE NR (4.65) (5.14) 5.84 10.77 9.83 9.19 MSCI EM NR (4.08) (6.98) (4.34) 2.70 9.27 9.52 Fixed Income Month 3 M YTD 1 Year Mod. Adj. Duration Yield to Worst Currencies 11/30/21 12/31/20 12/31/19 U.S. Aggregate 0.30 (0.60) (1.29) (1.16) 6.78 1.69 Euro Spot 1.13 1.22 1.12 U.S. Corporate Investment Grade 0.06 (0.75) (0.96) (0.53) 8.73 2.29 British Pound Spot 1.33 1.37 1.33 U.S. Corporate High Yield (0.97) (1.15) 3.34 5.29 4.06 4.80 Japanese Yen Spot 113.17 103.25 108.61 Global Aggregate (0.29) (2.30) (4.57) (3.29) 7.59 1.24 Swiss Franc Spot 0.92 0.89 0.97 Key Rates 11/30/21 12/31/20 12/31/19 12/31/18 12/31/17 Commodities 11/30/21 12/31/20 12/31/19 US Generic Govt 3 Mth 0.05 0.06 1.54 2.35 1.38 Oil 66.18 47.49 52.85 US Generic Govt 2 Yr 0.57 0.12 1.57 2.49 1.88 Gasoline 3.39 2.25 2.59 US Generic Govt 10 Yr 1.44 0.91 1.92 2.68 2.41 Natural Gas 4.57 3.01 2.69 US Generic Govt 30 Yr 1.79 1.64 2.39 3.01 2.74 Gold 1,776.50 1,914.00 1,187.30 ICE LIBOR USD 3M 0.17 0.24 1.91 2.81 1.69 Silver 22.82 26.74 16.50 Euribor 3 Month ACT/360 (0.57) (0.55) (0.38) (0.31) (0.33) Copper 428.00 352.05 284.85 Bankrate 30Y Mortgage Rates Na 3.23 2.87 3.86 4.51 3.85 Corn 567.50 440.25 417.75 Prime 3.25 3.25 4.75 5.50 4.50 BBG Commodity TR Idx 204.59 166.63 172.00 Source: Bloomberg & Investment Metrics. For informational purposes only and should not be regarded as investment advice. Information is based on sources and data believed to be reliable, but AndCo Consulting cannot guarantee the accuracy, adequacy or completeness of the information. The material provided herein is valid only as of the date of distribution and not as of any future date. *Heat maps are displayed utilizing a 9-color scale, with green as the highest return for the time period noted and red as the lowest return for the time period noted. Color scales within each time period are mutually exclusive. Levels (%)Levels 19.9 34.5 YTD 2020 Index Returns (%)Levels S 23.2 12.3 2.4 S 4.6 38.4 M 20.7 17.8 12.3 M 4.9 17.0 35.5 November 30, 2021 Index Returns (%) L 17.7 21.5 24.9 L 2.8 20.9 49.78 32.58 30.59 30.12 24.75 23.18 18.57 18.33 15.74 14.98 7.56 7.33 0.0 10.0 20.0 30.0 40.0 50.0 60.0 YTD Sector Returns 43.74 33.19 23.54 20.67 18.33 13.41 11.02 10.71 0.52 -1.75 -2.16 -33.60-40.0 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 2020 Sector Returns Oakland County Employees' Retirement System Asset / Manager Summary - December 16, 2021 Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce SSgA S&P 5001 $17,683 2.3%$38,807 5.0%$21,124 SSgA S&P 500 EW 1 $53,683 6.9%$38,807 5.0%($14,876)11/30 MV; Use for liquidity needs T. Rowe Price Enhanced 500 $91,600 11.8%$77,613 10.0%($13,987) TimesSquare Mid Growth $18,209 2.3%$14,552 1.9%($3,657) Great Lakes Small/Mid Core $16,133 2.1%$14,552 1.9%($1,581) Reinhart Small/Mid Core $20,419 2.6%$14,552 1.9%($5,867) Nuance Mid Value $14,293 1.8%$14,552 1.9%$259 Loomis, Sayles Small Growth $33,109 4.3%$29,105 3.8%($4,004) LMCG Small Value $32,038 4.1%$29,105 3.8%($2,933) ABS Global L/S Equity1 $32,214 4.2%$38,807 5.0%$6,593 Total US Equity $329,381 42.4%$310,453 40.0%($18,928)2.5% added to allocation (unallocated other assets) Lazard Intl Equity $36,227 4.7%$38,807 5.0%$2,580 Use for liquidity needs Pictet Intl Equity1 $41,061 5.3%$38,807 5.0%($2,254) Berkley Street Emerging Mkts.1 $18,376 2.4%$19,403 2.5%$1,027 Total Intl Equity $95,664 12.3%$97,017 12.5%$1,353 CS McKee Core Fixed $129,026 16.6%$155,226 20.0%$26,200 Loomis, Sayles Core Plus $73,086 9.4%$57,560 7.4%($15,526) PIMCO Diversifed Income $34,823 4.5%$38,807 5.0%$3,984 Churcill Direct Lending1 $4,207 0.5%$4,207 0.5%$0 BlackRock Direct Lending1 $5,994 0.8%$5,994 0.8%$0 $12MM Commitment; 1st CC in March 2021 Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $8MM Commitment HIG/Marathon Distressed1 $9,852 1.3%$9,852 1.3%$0 $7MM Commitment Each Total Fixed Income $256,988 33.1%$271,646 35.0%$14,658 1.5% added to allocation (unallocated other assets) MS Prime Property RE1 $42,147 5.4%$44,588 5.7%$2,441 Prudential PRISA II VA RE1 $22,445 2.9%$15,523 2.0%($6,922) Private VA Real Estate Funds1,2 $17,503 2.3%$17,503 2.3%$0 Total Real Estate $82,095 10.6%$77,613 10.0%($4,482) Hamilton Lane1 $6,641 0.9%$9,702 1.3%$3,061 $10MM Commitment Portfolio Advisors1 $5,152 0.7%$9,702 1.3%$4,550 $10MM Commitment Total Private Equity $11,793 1.5%$19,403 2.5%$7,610 Cash Account $211 0.0%$0 0.0%($211) Total Fund $776,132 100.0%$776,132 100.0%$0 Market values from Northern Trust as of 12/7/21. 1. Market values not updated daily by Northern Trust. 2. Currently represents investment with AEW VIII, Alidade IV, Dune IV, JPM European Property Fund, Valstone and Walton Street. Other Assets / Basket Clause $58,066 7.5% $72,269 9.3% 15% Target Includes ABS, Churchill, BlackRock, Bloomfield, HIG, Marathon, HL, and PA Target Allocation = 10% target less Direct Lending and Distressed Debt strategies Current Allocation Target Allocation Comments Included in Other Assets allocation Target Allocation = 10% RE target less VA mgrs. 11/30 MV