Press Alt + R to read the document text or Alt + P to download or print.

No preview available

The URL can be used to link to this page

Home My WebLink AboutReports - 2021.12.16 - 35184<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="1" EffectiveDate="09/30/2021" Interval="3" Description="Quarterly Report" /> Investment Performance Review Period Ending September 30, 2021 Oakland County ERS VEBA 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 Index Page 33 T. Rowe Price Page 35 Nuance Page 37 TimesSquare Page 39 Great Lakes Page 41 Reinhart Page 42 Lee Munder 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 Div Income Page 59 Morgan Stanley Page 61 Prudential PRISA II Page 63 Benchmark History Multi Report Page 65 Fee Schedule Page 67 Definitions & Disclosure Pages Page 68 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 0.36% during the quarter, exceeding the Policy Index by 0.38% 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 20.18% over the past year, out performing the Policy Index by over 250 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 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 (0.4%) Total Real Assets (11.0%) Total Fixed Income Composite (33.1%) Total Long/Short Equity Composite (4.1%) Total International Equity (12.7%) Total Domestic Equity (38.9%) 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 1,535,389,441 100.0 N/A N/A 100.0 --- Total Domestic Equity 597,183,338 38.9 10.0 50.0 35.0 -443,644,394 170,511,383 -59,797,033 Total International Equity 194,226,811 12.7 5.0 20.0 15.0 -117,457,339 112,851,077 36,081,605 Total Long/Short Equity Composite 62,327,214 4.1 0.0 7.5 5.0 -62,327,214 52,826,994 14,442,258 Total Fixed Income Composite 507,611,231 33.1 10.0 55.0 35.0 -354,072,287 336,852,961 29,775,073 Total Real Assets 168,630,190 11.0 0.0 15.0 10.0 -168,630,190 61,678,226 -15,091,246 Total Cash Composite 5,410,657 0.4 0.0 5.0 0.0 -5,410,657 71,358,815 -5,410,657 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 (0.4%) Total Real Assets (11.0%) Total Fixed Income Composite (33.1%) Total Long/Short Equity Composite (4.1%) Total International Equity (12.7%) Total Small Cap Equity Composite (8.4%) Total Mid Cap Equity Composite (8.5%) Total Large Cap Equity Composite (22.1%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 1,535,389,441 100.0 100.0 - Total Large Cap Equity Composite 338,782,210 22.1 20.0 -31,704,322 Total Mid Cap Equity Composite 129,890,486 8.5 7.5 -14,736,278 Total Small Cap Equity Composite 128,510,642 8.4 7.5 -13,356,434 Total International Equity 194,226,811 12.7 15.0 36,081,605 Total Long/Short Equity Composite 62,327,214 4.1 5.0 14,442,258 Total Fixed Income Composite 507,611,231 33.1 35.0 29,775,073 Total Real Assets 168,630,190 11.0 10.0 -15,091,246 Total Cash Composite 5,410,657 0.4 0.0 -5,410,657 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 : $1,565,978,839 Asset Allocation By Segment as of September 30, 2021 : $1,535,389,441 Allocation Segments Market Value Allocation Domestic Equity 616,233,683 39.4¢ International Equity 218,643,342 14.0¢ Domestic Fixed Income 372,878,340 23.8¢ Global Fixed Income 63,106,114 4.0¢ Real Estate 137,535,030 8.8¢ Hedge Fund 62,346,951 4.0¢ Private Equity 51,426,445 3.3¢ Cash Equivalent 43,808,934 2.8¢ Allocation Segments Market Value Allocation Domestic Equity 588,478,280 38.3¢ International Equity 191,212,400 12.5¢ Domestic Fixed Income 382,486,224 24.9¢ Global Fixed Income 63,183,073 4.1¢ Real Estate 146,167,607 9.5¢ Hedge Fund 62,327,214 4.1¢ Private Equity 58,386,172 3.8¢ Cash Equivalent 43,148,471 2.8¢ Asset Allocation Summary Total Fund Composite As of September 30, 2021 NONE Page 16 September 30, 2021 : $1,535,389,441 Allocation Market Value Allocation SSgA S&P 500 74,711,457 4.9¢ SSgA S&P 500 Equal Weighted Index 97,090,700 6.3¢ T. Rowe Price 166,980,052 10.9¢ Nuance Mid Cap Value 25,623,107 1.7¢ TimesSquare 37,103,309 2.4¢ Great Lakes SmidCap 32,537,568 2.1¢ Reinhart Partners 34,626,502 2.3¢ Lee Munder (LMCG)66,459,610 4.3¢ Loomis Small Cap 62,051,032 4.0¢ Lazard 81,842,478 5.3¢ Pictet 73,401,630 4.8¢ Berkeley Street 38,982,703 2.5¢ ABS Global 62,327,214 4.1¢ CS McKee 244,076,236 15.9¢ Loomis Fixed Income 144,701,554 9.4¢ Pimco Diversified Income (PDIIX)73,183,244 4.8¢ Churchill Senior Loan Fund 16,767,755 1.1¢ Marathon Distressed Credit Fund LP 13,596,498 0.9¢ H.I.G. Bayside Loan Opportunity VI 5,096,972 0.3¢ BlackRock Direct Lending Feeder IX 10,188,973 0.7¢ ValStone Opportunity Fund V 3,070,557 0.2¢ Morgan Stanley 73,748,493 4.8¢ Macquarie II U.S.30,769 0.0¢ Macquarie Fund III Europe 40,663 0.0¢ Prudential PRISA II 53,057,668 3.5¢ Alidade Capital Fund IV 3,619,666 0.2¢ Walton Street Real Estate 6,772,895 0.4¢ AEW Real Estate 5,690,875 0.4¢ Dune Real Estate IV 3,278,010 0.2¢ Hamilton Lane Secondary Fund V LP 10,041,037 0.7¢ Portfolio Adv Secondary Agg IV 9,279,558 0.6¢ Cash and Equivalents Account 1,479,173 0.1¢ Private Markets Cash 3,931,484 0.3¢ Asset Allocation By Manager Total Fund As of September 30, 2021 Page 17 Asset Allocation Attributes Sep-2021 Jun-2021 Mar-2021 Dec-2020 Sep-2020 ($)%($)%($)%($)%($)% Total Fund Composite 1,535,389,441 100.00 1,565,978,839 100.00 1,511,937,938 100.00 1,483,288,457 100.00 1,340,403,363 100.00 Total Equity Composite 853,737,363 55.60 908,953,309 58.04 907,397,370 60.02 892,564,538 60.17 757,744,668 56.53 Total Domestic Equity 597,183,338 38.89 625,394,273 39.94 628,381,432 41.56 605,703,991 40.84 512,878,773 38.26 Total Large Cap Equity Composite 338,782,210 22.06 354,681,773 22.65 353,378,710 23.37 349,202,015 23.54 305,525,514 22.79 SSgA S&P 500 74,711,457 4.87 82,960,810 5.30 97,217,996 6.43 91,563,769 6.17 81,641,878 6.09 SSgA S&P 500 Equal Weighted Index 97,090,700 6.32 97,433,472 6.22 91,127,310 6.03 81,809,559 5.52 68,971,556 5.15 T. Rowe Price 166,980,052 10.88 174,287,491 11.13 165,033,404 10.92 175,828,687 11.85 154,912,080 11.56 Total Mid Cap Equity Composite 129,890,486 8.46 130,781,847 8.35 133,342,783 8.82 126,019,652 8.50 103,871,461 7.75 Nuance Mid Cap Value 14,024,393 0.91 14,199,636 0.91 13,740,679 0.91 13,028,221 0.88 11,249,111 0.84 TimesSquare 37,103,309 2.42 36,643,697 2.34 42,448,739 2.81 42,430,893 2.86 35,941,396 2.68 Great Lakes SmidCap 32,537,568 2.12 34,177,181 2.18 32,639,659 2.16 30,778,291 2.08 25,084,052 1.87 Reinhart Partners 34,626,502 2.26 34,017,503 2.17 33,149,442 2.19 29,007,326 1.96 22,293,568 1.66 Total Small Cap Equity Composite 128,510,642 8.37 139,930,652 8.94 141,659,939 9.37 130,482,324 8.80 103,481,797 7.72 Lee Munder (LMCG)66,459,610 4.33 66,489,133 4.25 63,292,337 4.19 54,282,319 3.66 41,835,791 3.12 Loomis Small Cap 62,051,032 4.04 73,441,520 4.69 78,367,603 5.18 76,200,006 5.14 61,646,006 4.60 Total International Equity 194,226,811 12.65 221,212,085 14.13 217,582,684 14.39 226,145,567 15.25 191,331,792 14.27 Lazard 81,842,478 5.33 83,112,724 5.31 84,235,210 5.57 91,626,747 6.18 81,646,274 6.09 Pictet 73,401,630 4.78 93,022,406 5.94 90,671,706 6.00 86,170,314 5.81 70,151,740 5.23 Berkeley Street 38,982,703 2.54 45,076,955 2.88 42,675,768 2.82 48,348,506 3.26 39,533,778 2.95 Total Long/Short Equity Composite 62,327,214 4.06 62,346,951 3.98 61,433,253 4.06 60,714,980 4.09 53,534,103 3.99 ABS Global 62,327,214 4.06 62,346,951 3.98 61,433,253 4.06 60,714,980 4.09 53,534,103 3.99 Total Fixed Income Composite 507,611,231 33.06 487,818,810 31.15 472,330,621 31.24 458,375,835 30.90 455,410,712 33.98 Total Domestic Fixed Income 388,777,790 25.32 388,478,486 24.81 380,566,587 25.17 373,147,742 25.16 371,486,645 27.71 CS McKee 244,076,236 15.90 244,020,286 15.58 239,304,444 15.83 247,612,904 16.69 248,758,061 18.56 Loomis Fixed Income 144,701,554 9.42 144,458,200 9.22 141,262,143 9.34 125,534,838 8.46 122,728,583 9.16 Total Global Fixed 73,183,244 4.77 63,106,131 4.03 61,226,133 4.05 62,657,329 4.22 62,199,089 4.64 Franklin Templeton -0.00 -0.00 -0.00 62,657,329 4.22 62,199,089 4.64 Pimco Diversified Income (PDIIX)73,183,244 4.77 63,106,131 4.03 61,226,133 4.05 -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 45,650,198 2.97 36,234,193 2.31 30,537,901 2.02 22,570,763 1.52 21,724,978 1.62 Churchill Senior Loan Fund 16,767,755 1.09 17,011,420 1.09 16,844,713 1.11 20,574,170 1.39 20,641,991 1.54 Marathon Distressed Credit Fund LP 7,321,191 0.48 6,232,963 0.40 4,096,537 0.27 867,825 0.06 590,379 0.04 H.I.G. Bayside Loan Opportunity VI 2,744,523 0.18 667,199 0.04 160,977 0.01 207,263 0.01 -7,232 0.00 BlackRock Direct Lending Feeder IX 10,188,973 0.66 6,408,187 0.41 5,786,377 0.38 -0.00 -0.00 Total Real Assets 168,630,190 10.98 152,727,283 9.75 123,694,440 8.18 122,215,252 8.24 120,643,570 9.00 Total Real Estate (Composite)149,309,595 9.72 140,960,170 9.00 117,399,249 7.76 111,535,058 7.52 111,084,927 8.29 ValStone Opportunity Fund V 3,070,557 0.20 3,354,261 0.21 3,314,635 0.22 3,260,997 0.22 3,290,122 0.25 Morgan Stanley 73,748,493 4.80 69,688,752 4.45 67,802,178 4.48 66,534,082 4.49 65,567,299 4.89 Prudential PRISA II 53,057,668 3.46 49,339,923 3.15 27,937,401 1.85 27,433,412 1.85 27,040,087 2.02 Alidade Capital Fund IV 3,619,666 0.24 3,512,667 0.22 3,358,752 0.22 3,184,583 0.21 3,038,868 0.23 Walton Street Real Estate 6,772,895 0.44 6,373,804 0.41 6,009,079 0.40 6,073,971 0.41 6,543,216 0.49 AEW Real Estate 5,690,875 0.37 5,926,629 0.38 6,520,779 0.43 5,752,483 0.39 6,295,744 0.47 Dune Real Estate IV 3,278,010 0.21 2,693,255 0.17 2,258,338 0.15 2,556,527 0.17 2,599,713 0.19 Private Investments 19,320,595 1.26 11,767,113 0.75 6,295,191 0.42 10,680,194 0.72 9,558,643 0.71 Macquarie II U.S.30,769 0.00 31,460 0.00 29,109 0.00 877,910 0.06 3,016,887 0.23 Macquarie Fund III Europe 40,663 0.00 39,418 0.00 168,979 0.01 167,189 0.01 158,454 0.01 Hamilton Lane Secondary Fund V LP 10,041,037 0.65 8,170,678 0.52 4,462,822 0.30 4,514,669 0.30 3,093,180 0.23 Portfolio Adv Secondary Agg IV 5,302,603 0.35 2,055,104 0.13 1,047,067 0.07 1,062,530 0.07 -0.00 Total Cash Composite 5,410,657 0.35 16,479,438 1.05 8,515,508 0.56 10,132,833 0.68 6,604,413 0.49 Cash and Equivalents Account 1,479,173 0.10 262,276 0.02 4,610,240 0.30 249,513 0.02 1,406,295 0.10 Private Markets Cash 3,931,484 0.26 16,217,162 1.04 3,905,269 0.26 9,883,320 0.67 5,198,118 0.39 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 1,565,978,839 -814,149 -36,600,000 -694,942 -1,251 6,769,291 -876,645 1,535,389,441 Total Equity Composite 908,953,309 -48,000,000 90,737 --210,655 -709 3,031,743 -10,127,062 853,737,363 Total Domestic Equity 625,394,273 -28,000,000 ---11,839 -222 1,351,643 -1,550,517 597,183,338 Total Large Cap Equity Composite 354,681,773 -18,000,000 ---11,839 -63 554,762 1,557,577 338,782,210 SSgA S&P 500 82,960,810 -9,000,000 ---4,576 --755,223 74,711,457 SSgA S&P 500 Equal Weighted Index 97,433,472 ----7,263 ---335,509 97,090,700 T. Rowe Price 174,287,491 -9,000,000 ----63 554,762 1,137,863 166,980,052 Total Mid Cap Equity Composite 130,781,847 -----154 469,315 -1,360,522 129,890,486 Nuance Mid Cap Value 25,943,466 -----145 129,353 -449,566 25,623,107 TimesSquare 36,643,697 -----9 129,355 330,265 37,103,309 Great Lakes SmidCap 34,177,181 -----118,561 -1,758,174 32,537,568 Reinhart Partners 34,017,503 -----92,046 516,953 34,626,502 Total Small Cap Equity Composite 139,930,652 -10,000,000 ----5 327,566 -1,747,571 128,510,642 Lee Munder (LMCG)66,489,133 -----286,326 -315,849 66,459,610 Loomis Small Cap 73,441,520 -10,000,000 ----5 41,240 -1,431,722 62,051,032 Total International Equity 221,212,085 -20,000,000 90,737 --198,816 -487 1,680,100 -8,556,808 194,226,811 Lazard 83,112,724 -----487 609,184 -1,878,944 81,842,478 Pictet 93,022,406 -20,000,000 ---108,079 -1,070,915 -583,612 73,401,630 Berkeley Street 45,076,955 -90,737 --90,737 ---6,094,252 38,982,703 Total Long/Short Equity Composite 62,346,951 -------19,737 62,327,214 ABS Global 62,346,951 -------19,737 62,327,214 Total Fixed Income Composite 487,818,810 17,252,057 ---125,263 -2,704,352 -38,724 507,611,231 Total Domestic Fixed Income 388,478,486 -----2,174,414 -1,875,110 388,777,790 CS McKee 244,020,286 -----1,373,656 -1,317,706 244,076,236 Loomis Fixed Income 144,458,200 -----800,758 -557,404 144,701,554 Total Global Fixed 63,106,131 10,000,000 ---125,263 -529,939 -327,562 73,183,244 Pimco Diversified Income (PDIIX)63,106,131 10,000,000 ---125,263 -529,939 -327,562 73,183,244 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 36,234,193 7,252,057 -----2,163,948 45,650,198 Churchill Senior Loan Fund 17,011,420 -491,573 -----247,908 16,767,755 Marathon Distressed Credit Fund LP 11,575,502 1,560,000 -----460,996 13,596,498 H.I.G. Bayside Loan Opportunity VI 1,239,084 3,676,717 -----181,171 5,096,972 BlackRock Direct Lending Feeder IX 6,408,187 2,506,913 -----1,273,873 10,188,973 Bloomfield Capital Fund V - Series B --------- Total Real Assets 152,727,283 5,937,402 ---359,024 -542 1,032,970 9,292,102 168,630,190 Total Real Estate 140,960,170 -1,616,080 ---315,274 -1,032,970 9,247,810 149,309,595 ValStone Opportunity Fund V 3,354,261 -343,713 -----60,009 3,070,557 Morgan Stanley 69,688,752 ----146,346 -687,933 3,518,154 73,748,493 Prudential PRISA II 49,339,923 ----140,164 -345,037 3,512,871 53,057,668 Alidade Capital Fund IV 3,512,667 -52,269 -----159,268 3,619,666 Walton Street Real Estate 6,373,804 ----28,764 --427,855 6,772,895 AEW Real Estate 5,926,629 -1,558,954 -----1,323,200 5,690,875 Dune Real Estate IV 2,693,255 338,856 -----245,899 3,278,010 Private Investments 11,767,113 7,553,482 ---43,750 -542 -44,292 19,320,595 Macquarie II U.S.31,460 -------691 30,769 Macquarie Fund III Europe 39,418 ------1,245 40,663 Hamilton Lane Secondary Fund V LP 8,170,678 1,870,359 ---43,750 -542 -44,292 10,041,037 Portfolio Adv Secondary Agg IV 3,596,435 5,683,123 ------9,279,558 Total Cash Composite 16,479,438 24,810,542 723,412 -36,600,000 --226 -2,961 5,410,657 Cash and Equivalents Account 262,276 37,093,277 723,412 -36,600,000 --212 -4 1,479,173 Private Markets Cash 16,217,162 -12,282,735 ----14 -2,957 3,931,484 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 38.89 (60)12.65 (70)4.77 (27)25.32 (49)7.83 (57)10.18 (19)0.35 (86) 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)1,535,389,441 100.0 0.36 (27)20.19 (53)7.97 (69)20.19 (53)9.68 (79)9.71 (69)8.32 (56)10.40 (31)6.00 (93)06/01/1998 Total Fund Policy Index -0.02 (49)17.55 (81)7.22 (82)17.55 (81)9.99 (67)9.52 (73)8.35 (55)10.13 (42)6.42 (83) Difference 0.38 2.64 0.75 2.64 -0.31 0.19 -0.03 0.27 -0.42 All Public Plans-Total Fund Median -0.04 20.47 8.77 20.47 10.54 10.25 8.56 9.87 6.93 Total Fund Composite (Net)1,535,389,441 100.0 0.32 20.01 7.84 20.01 9.42 9.37 8.04 10.20 5.92 06/01/1998 Total Fund Policy Index -0.02 17.55 7.22 17.55 9.99 9.52 8.35 10.13 6.42 Difference 0.34 2.46 0.62 2.46 -0.57 -0.15 -0.31 0.07 -0.50 Total Equity Composite 853,737,363 55.6 -0.91 31.93 11.19 31.93 11.90 13.04 10.85 13.48 6.22 04/01/1998 Total Equity Index -1.25 32.00 12.72 32.00 13.05 14.17 11.83 14.84 7.54 Difference 0.34 -0.07 -1.53 -0.07 -1.15 -1.13 -0.98 -1.36 -1.32 Total Fixed Income Composite 507,611,231 33.1 0.56 1.69 0.21 1.69 5.17 3.67 3.32 3.80 5.10 04/01/1998 Total Fixed Income Index -0.08 -0.75 -1.92 -0.75 5.21 2.80 3.13 2.79 4.74 Difference 0.64 2.44 2.13 2.44 -0.04 0.87 0.19 1.01 0.36 Total Real Assets 168,630,190 11.0 6.67 17.79 14.50 17.79 10.64 10.54 10.74 11.34 8.02 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 0.08 3.20 1.39 3.20 3.59 3.04 1.84 1.42 2.27 Total Cash Composite 5,410,657 0.4 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 597,183,338 38.9 Total Large Cap Equity Composite 338,782,210 22.1 0.46 (37)33.32 (35)16.64 (38)33.32 (35)16.09 (43)16.74 (50)14.06 (40)16.69 (43)11.89 (51)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)74,711,457 4.9 0.57 (29)30.01 (55)15.92 (49)30.01 (55)15.96 (43)16.87 (43)14.00 (42)16.62 (49)14.70 (49)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 -0.01 0.01 0.00 0.01 -0.03 -0.03 -0.01 -0.01 -0.01 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 (4 bps)97,090,700 6.3 -0.34 (71)40.80 (8)18.70 (16)40.80 (8)14.02 (63)N/A N/A N/A 12.16 (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 -0.07 -0.22 -0.07 -0.27 N/A N/A N/A -0.20 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)166,980,052 10.9 0.84 (20)31.55 (39)15.90 (50)31.55 (39)17.13 (19)18.02 (18)15.10 (16)17.46 (22)15.30 (26)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 0.26 1.55 -0.02 1.55 1.14 1.12 1.09 0.83 0.59 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 129,890,486 8.5 -0.68 (59)34.61 (62)10.95 (74)34.61 (62)9.40 (91)11.76 (81)9.81 (87)13.67 (92)9.94 (94)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)25,623,107 1.7 -1.23 (63)24.67 (97)7.65 (96)24.67 (97)N/A N/A N/A N/A 19.11 (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 -17.73 -10.59 -17.73 N/A N/A N/A N/A -18.14 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)37,103,309 2.4 1.25 (36)31.41 (53)11.31 (51)31.41 (53)20.86 (35)20.12 (52)16.09 (56)18.57 (38)16.73 (56)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 2.01 0.96 1.70 0.96 1.72 0.85 0.70 1.03 0.20 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)32,537,568 2.1 -4.80 (99)29.71 (99)5.72 (100)29.71 (99)N/A N/A N/A N/A 9.35 (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 -2.12 -15.32 -8.11 -15.32 N/A N/A N/A N/A -7.46 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)34,626,502 2.3 1.79 (4)55.32 (15)19.37 (29)55.32 (15)N/A N/A N/A N/A 13.77 (59)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 4.47 10.29 5.54 10.29 N/A N/A N/A N/A -3.04 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 128,510,642 8.4 -1.12 (38)42.90 (71)12.38 (73)42.90 (71)12.09 (47)14.74 (48)12.52 (52)14.61 (71)11.39 (65)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 (LMCG) (70 bps)66,459,610 4.3 -0.04 (19)58.86 (49)22.43 (46)58.86 (49)9.67 (47)11.25 (61)11.11 (41)13.76 (67)9.96 (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 2.94 -5.06 -0.49 -5.06 1.09 0.22 0.92 0.54 2.12 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)62,051,032 4.0 -2.42 (62)31.34 (84)4.72 (84)31.34 (84)13.87 (74)19.29 (56)15.78 (61)N/A 16.49 (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 3.23 -1.93 1.90 -1.93 2.17 3.95 2.59 N/A 2.12 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 194,226,811 12.7 -3.41 (69)26.63 (47)4.63 (71)26.63 (47)8.24 (64)9.03 (67)6.95 (57)8.94 (59)5.00 (68)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 -0.53 2.18 -1.66 2.18 -0.28 -0.41 0.78 1.03 1.06 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)81,842,478 5.3 -1.53 (49)25.78 (51)5.94 (65)25.78 (51)8.35 (62)9.27 (62)6.87 (58)9.73 (45)6.39 (52)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 1.35 1.33 -0.35 1.33 -0.17 -0.17 0.70 1.76 1.56 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)73,401,630 4.8 0.16 (19)33.32 (6)8.40 (55)33.32 (6)6.14 (87)7.90 (76)6.54 (62)8.56 (81)2.75 (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 0.51 7.03 -0.39 7.03 -1.99 -1.43 0.24 -0.04 -0.68 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)38,982,703 2.5 -13.52 (93)13.95 (84)-6.82 (90)13.95 (84)12.02 (39)10.73 (44)7.83 (38)N/A 6.90 (48)11/01/2012 MSCI Emerging Markets Index -7.97 (59)18.58 (62)-0.99 (62)18.58 (62)8.96 (68)9.62 (60)6.00 (69)6.46 (72)5.44 (75) Difference -5.55 -4.63 -5.83 -4.63 3.06 1.11 1.83 N/A 1.46 IM Emerging Markets Equity (SA+CF+MF) Median -7.26 20.92 0.44 20.92 10.83 10.16 6.80 7.73 6.69 Total Long/Short Equity Composite 62,327,214 4.1 -0.03 (47)16.43 (48)2.66 (81)16.43 (48)7.63 (40)N/A N/A N/A N/A 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)62,327,214 4.1 -0.03 (47)16.43 (48)2.66 (81)16.43 (48)7.63 (40)7.46 (45)5.89 (45)6.83 (49)6.11 (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 0.60 1.02 1.63 1.69 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 388,777,790 25.3 0.08 (58)0.07 (48)-1.17 (53)0.07 (48)5.87 (60)3.68 (44)N/A N/A 3.60 (44)09/01/2016 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 3.50 CS McKee (35 bps)244,076,236 15.9 0.02 (76)-0.69 (72)-1.43 (69)-0.69 (72)5.42 (86)3.22 (75)3.53 (73)3.34 (76)3.84 (78)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 -0.03 0.21 0.13 0.21 0.07 0.28 0.27 0.33 0.27 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)144,701,554 9.4 0.17 (32)1.54 (16)-0.73 (35)1.54 (16)6.76 (9)4.68 (4)4.25 (13)5.16 (4)5.66 (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 0.12 2.44 0.83 2.44 1.41 1.74 0.99 2.15 2.06 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 73,183,244 4.8 0.39 (34)2.02 (66)1.27 (41)2.02 (66)-0.62 (99)N/A N/A N/A 0.75 (99)12/01/2016 IM Global Fixed Income (SA+CF) Median 0.04 4.73 0.25 4.73 5.53 4.52 3.90 3.95 5.17 Pimco Diversified Income (PDIIX)73,183,244 4.8 0.39 (4)N/A N/A N/A N/A N/A N/A N/A 2.65 (1)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 0.31 N/A N/A N/A N/A N/A N/A N/A 1.16 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 (Composite)149,309,595 9.7 7.35 (27)16.46 (43)14.40 (38)16.46 (43)8.85 (24)N/A N/A N/A 9.52 (N/A)12/01/2016 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)73,748,493 4.8 6.04 (58)13.56 (75)11.91 (72)13.56 (75)7.70 (50)8.50 (41)10.05 (37)11.30 (34)6.78 (28)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 0.65 1.00 1.15 1.38 1.11 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)53,057,668 3.5 7.83 (16)18.01 (27)15.98 (16)18.01 (27)8.70 (31)9.12 (29)10.52 (30)11.69 (32)11.69 (32)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 2.60 5.86 5.10 5.86 1.98 2.28 2.42 2.70 2.70 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 Total Cash Composite 5,410,657 0.4 Cash and Equivalents Account (No fee)1,479,173 0.1 Private Markets Cash 3,931,484 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 Macquarie II U.S.-2.20 14.81 0.15 14.81 18.05 10.60 7.59 8.76 8.95 10/09/2008 Macquarie Fund III Europe 3.16 -37.75 -48.30 -37.75 35.89 21.43 11.05 10.37 8.45 10/17/2008 Alidade Capital Fund IV 4.57 26.43 17.30 26.43 13.49 N/A N/A N/A 10.97 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 05/25/2017 AEW Real Estate 23.60 41.13 39.89 41.13 23.90 N/A N/A N/A 18.95 09/26/2017 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 -7.83 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 Private 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 0.36 (27)20.19 (53)20.19 (53)12.59 (74)9.68 (79)8.99 (74)9.71 (69) 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 11.57 (66)18.57 (50)-4.09 (50)14.04 (72)7.99 (40) Total Fund Policy Index 12.63 (50)18.40 (52)-3.67 (42)13.86 (75)8.25 (30) 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 4.64 (83)2.82 (65)11.31 (28)4.37 (80)11.47 (61)-13.84 (61) 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 3 (15%)4 (20%)10 (50%)3 (15%) Total Fund Policy Index 20 1 (5%)10 (50%)9 (45%)0 (0%) 9.52 9.80 10.08 10.36 10.64 10.92 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 9.68 11.18 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 9.71 8.93 Total Fund Policy Index 9.52 8.36 Median 10.23 9.15¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 1.50 104.39 111.18 -0.89 -0.13 0.77 1.07 7.53 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 1.30 103.80 105.85 -0.33 0.17 0.95 1.06 5.94 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 -5.56 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 0.57 (29)30.01 (55)30.01 (55)22.32 (47)15.96 (43)16.44 (42)16.87 (43) 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 18.34 (45)31.44 (36)-4.41 (39)21.83 (52)11.99 (34) 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 8.55 (31)6.18 (62)12.16 (54)8.92 (37)20.53 (48)-19.63 (46) 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 15.96 21.52 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 16.87 16.95 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 0.03 99.98 100.11 -0.03 -1.07 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 0.02 99.99 100.11 -0.02 -0.74 1.03 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)40.80 (8)40.80 (8)19.53 (65)14.02 (63)N/A N/A S&P 500 Eq Wght -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 Eq Wght 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 Eq Wght 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 Eq Wght 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 Eq Wght 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 Eq Wght 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 Eq Wght 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 0.84 (20)31.55 (39)31.55 (39)23.66 (30)17.13 (19)17.45 (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 20.64 (31)33.02 (16)-4.05 (32)24.33 (24)10.96 (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)5.64 (69)13.50 (32)9.62 (21)20.68 (44)-19.65 (46) 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%) 14.72 15.36 16.00 16.64 17.28 17.92 Return (%)21.40 21.60 21.80 22.00 22.20 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 17.13 21.96 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 17.25 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 1.04 103.22 100.38 0.71 1.03 0.87 1.02 12.22 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 1.08 103.07 99.23 0.75 0.94 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 Mid Cap Value -1.23 (63)24.67 (97)24.67 (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 Mid Cap Value 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 Mid Cap Value 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 Mid Cap Value 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 1.25 (36)31.41 (53)31.41 (53)27.40 (56)20.86 (35)20.80 (47)20.12 (52) Russell MCG -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 34.61 (55)38.63 (34)-3.47 (46)23.76 (63)8.64 (24) Russell MCG 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 9.88 (23)0.04 (70)18.06 (68)9.50 (47)28.42 (61)-18.92 (45) 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 8.0 16.0 24.0 32.0 TimesSquare (%)0.0 8.0 16.0 24.0 32.0 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%)15 (75%)5 (25%)0 (0%) Russell MCG 20 0 (0%)5 (25%)15 (75%)0 (0%) 18.29 18.88 19.47 20.06 20.65 21.24 Return (%)19.61 19.98 20.35 20.72 21.09 21.46 21.83 22.20 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 20.86 20.20 Russell MCG 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 20.12 16.29 Russell MCG 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 4.11 96.76 87.74 2.91 0.28 0.98 0.91 12.37 Russell MCG 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 3.58 95.24 84.74 2.33 0.14 1.14 0.91 9.79 Russell MCG 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 -4.80 (99)29.71 (99)29.71 (99)12.37 (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 12.73 (51)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 4.71 (46)6.05 (100)22.70 (86)7.50 (17)26.70 (21)-32.55 (74) 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 1.79 (4)55.32 (15)55.32 (15)15.28 (82)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 5.61 (80)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 2.62 (96)14.28 (31)30.12 (7)-0.61 (99)23.38 (55)-33.81 (78) 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)-0.04 (19)58.86 (49)58.86 (49)17.92 (54)9.67 (47)9.40 (56)11.25 (61) 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)4.26 (55)27.48 (23)-14.62 (54)8.72 (68)27.79 (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)5.05 (31)16.60 (63)29.75 (53)2.30 (54)18.19 (74)-33.54 (38) 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%)9 (45%)8 (40%)0 (0%) Russell 2000 Value 20 0 (0%)5 (25%)15 (75%)0 (0%) 8.28 8.64 9.00 9.36 9.72 10.08 Return (%)24.82 25.16 25.50 25.84 26.18 26.52 26.86 27.20 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)9.67 25.36 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 (%)20.70 21.00 21.30 21.60 21.90 22.20 22.50 Risk (Standard Deviation %) Return Standard Deviation Lee Munder (LMCG)11.25 21.00 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)5.43 95.79 91.87 1.45 0.12 0.45 0.93 18.13 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)4.56 93.32 89.62 0.89 -0.02 0.56 0.93 14.37 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 -2.42 (62)31.34 (84)31.34 (84)25.42 (73)13.87 (74)17.83 (62)19.29 (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 36.34 (59)27.55 (61)0.93 (22)28.02 (32)6.92 (78) 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 4.35 (70)2.84 (72)25.41 (71)8.81 (55)31.08 (59)-23.79 (53) 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%)14 (70%)6 (30%)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 13.87 23.48 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 19.29 19.50 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 6.48 94.94 86.65 3.03 0.23 0.62 0.90 15.78 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 5.44 99.97 83.05 4.82 0.58 0.95 0.91 12.47 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 -1.53 (48)25.78 (51)25.78 (51)12.43 (76)8.35 (62)7.76 (48)9.27 (62) MSCI ACWI x USA -2.88 (64)24.45 (58)24.45 (58)13.46 (67)8.52 (61)6.92 (57)9.44 (59) 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 9.98 (64)21.41 (60)-10.64 (16)28.28 (62)0.24 (76) MSCI ACWI x USA 11.13 (60)22.13 (54)-13.78 (38)27.77 (65)5.01 (45) 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 4.54 (70)2.92 (62)18.73 (39)5.97 (73)15.65 (74)-24.41 (56) MSCI AC World ex USA 5.64 (50)3.60 (54)17.08 (53)6.36 (69)16.30 (69)-23.26 (47) 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 (%) 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%)6 (30%)14 (70%)0 (0%) MSCI ACWI x USA 20 0 (0%)6 (30%)13 (65%)1 (5%) 7.92 8.36 8.80 9.24 9.68 10.12 Return (%)16.80 17.22 17.64 18.06 18.48 18.90 19.32 19.74 Risk (Standard Deviation %) Return Standard Deviation Lazard 8.35 18.67 MSCI ACWI x USA 8.52 17.47 Median 9.69 19.31¾ 9.00 9.30 9.60 9.90 10.20 10.50 Return (%)13.94 14.35 14.76 15.17 15.58 15.99 16.40 16.81 Risk (Standard Deviation %) Return Standard Deviation Lazard 9.27 15.37 MSCI ACWI x USA 9.44 14.51 Median 10.18 16.30¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 3.63 102.95 104.12 -0.42 0.02 0.46 1.05 12.78 MSCI ACWI x USA 0.00 100.00 100.00 0.00 N/A 0.49 1.00 11.90 90 Day U.S. Treasury Bill 17.60 2.26 -2.76 1.25 -0.49 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 3.35 100.49 101.00 -0.37 -0.01 0.58 1.03 10.28 MSCI ACWI x USA 0.00 100.00 100.00 0.00 N/A 0.61 1.00 9.69 90 Day U.S. Treasury Bill 14.62 2.74 -3.19 1.22 -0.61 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 0.16 (19)33.32 (6)33.32 (6)11.20 (81)6.14 (87)4.90 (87)7.90 (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 6.19 (81)25.32 (36)-19.45 (96)29.12 (30)3.46 (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)5.36 (31)22.99 (2)5.05 (78)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%) 5.28 6.16 7.04 7.92 8.80 9.68 Return (%)16.20 17.10 18.00 18.90 19.80 20.70 21.60 22.50 Risk (Standard Deviation %) Return Standard Deviation Pictet 6.14 21.43 MSCI EAFE Index 8.13 17.52 Median 8.84 17.84¾ 7.10 7.81 8.52 9.23 9.94 10.65 Return (%)13.60 14.28 14.96 15.64 16.32 17.00 17.68 18.36 Risk (Standard Deviation %) Return Standard Deviation Pictet 7.90 17.48 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 5.76 109.74 120.20 -2.86 -0.19 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 4.89 106.43 116.57 -2.50 -0.17 0.46 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)13.95 (89)13.95 (89)14.92 (61)12.02 (38)7.93 (40)10.73 (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)13.43 (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 5.63 (48)2.01 (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 (%)18.72 19.11 19.50 19.89 20.28 20.67 21.06 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 12.02 20.74 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 (%)16.24 16.52 16.80 17.08 17.36 17.64 17.92 Risk (Standard Deviation %) Return Standard Deviation Berkeley Street 10.73 17.68 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 4.69 112.94 104.69 2.54 0.66 0.60 1.06 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 5.68 100.59 93.94 1.08 0.21 0.60 1.01 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)11.47 (39)7.63 (40)6.64 (50)7.46 (45) HFRI FOF: Strat 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)-3.54 (87) HFRI FOF: Strat 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: Strat 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: Strat 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 7.46 8.01 HFRI FOF: Strat 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 3.60 100.01 101.58 0.13 -0.04 0.67 0.97 6.41 HFRI FOF: Strat 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 3.05 104.24 99.42 0.83 0.19 0.79 0.97 5.06 HFRI FOF: Strat 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 0.02 (76)-0.69 (72)-0.69 (72)3.20 (80)5.42 (86)3.90 (77)3.22 (75) 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 7.76 (73)8.86 (68)0.18 (39)3.70 (71)2.90 (62) 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 1.97 (54)-3.36 (66)0.75 (73)1.06 (51)4.46 (46)1.31 (63) 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 1.5 3.0 4.5 6.0 7.5 CS McKee (%)0.0 1.5 3.0 4.5 6.0 7.5 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%)1 (5%)15 (75%)4 (20%) Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%) 5.10 5.40 5.70 6.00 6.30 Return (%)3.42 3.48 3.54 3.60 3.66 3.72 3.78 3.84 Risk (Standard Deviation %) Return Standard Deviation CS McKee 5.42 3.73 Bl. Barclays US Agg 5.35 3.49 Median 6.03 3.76¾ 3.00 3.30 3.60 3.90 Return (%)3.24 3.28 3.32 3.36 3.40 3.44 3.48 Risk (Standard Deviation %) Return Standard Deviation CS McKee 3.22 3.34 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 1.10 104.39 110.49 -0.03 0.07 1.13 1.02 1.86 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 0.88 103.66 98.30 0.33 0.31 0.63 0.98 1.87 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 0.17 (32)1.54 (16)1.54 (16)5.59 (5)6.76 (9)5.13 (4)4.68 (4) 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 16.00 Return2020 2019 2018 2017 2016 Loomis Fixed Income 11.73 (2)9.48 (35)-0.25 (82)5.83 (4)7.67 (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 2.26 (22)-3.09 (43)2.29 (10)1.96 (8)5.46 (20)1.59 (56) 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%)3 (15%)1 (5%)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 6.76 3.95 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 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 4.68 3.44 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 1.67 118.47 104.43 1.22 0.81 1.38 1.03 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 1.47 116.47 77.35 1.86 1.15 1.02 0.95 1.83 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)0.39 (4)N/A N/A N/A N/A N/A N/A Blmbg. Glbl Cret (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 Cret (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)2.88 (11)N/A N/A N/A N/A N/A Blmbg. Global Credit (Hedged)2.24 (28)-2.64 (46)3.11 (68)1.97 (77)7.60 (31)-4.95 (66) IM Global Fixed Income (MF) Median 1.78 -2.77 4.02 2.86 5.94 -2.72 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)7.62 (58)7.70 (50)8.06 (49)8.50 (41) NCREIF Fund Idx-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 1.69 (46)7.38 (38)9.05 (38)9.86 (15)10.21 (37) NCREIF Fund Idx-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)0.71 (64) 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 StanleyComposite Return Data 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 Fund Idx-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 7.70 3.40 NCREIF Fund Idx-ODCE 7.06 3.78 Median 7.69 4.08¾ 7.26 7.59 7.92 8.25 8.58 8.91 Return (%)2.40 2.60 2.80 3.00 3.20 3.40 3.60 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 8.50 2.68 NCREIF Fund Idx-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 1.01 108.74 111.93 1.51 0.59 1.81 0.87 1.01 NCREIF Fund Idx-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 0.88 112.60 111.93 1.90 1.06 2.56 0.87 0.78 NCREIF Fund Idx-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 StanleyComposite Return Data 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 7.83 (16)18.01 (27)18.01 (27)9.54 (19)8.70 (31)9.33 (26)9.12 (29) 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 1.25 (63)7.60 (36)10.29 (17)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 5.31 (22)2.13 (48)1.75 (46)0.70 (37)-2.39 (77)1.24 (52) 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 IIComposite Return Data 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 2 (10%)18 (90%)0 (0%)0 (0%) NCREIF Property Idx 20 0 (0%)0 (0%)8 (40%)12 (60%) 5.94 6.60 7.26 7.92 8.58 9.24 Return (%)2.52 2.88 3.24 3.60 3.96 4.32 4.68 5.04 5.40 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 8.70 4.72 NCREIF Property Idx 6.72 2.93 Median 7.69 4.08¾ 6.24 7.02 7.80 8.58 9.36 10.14 Return (%)1.80 2.10 2.40 2.70 3.00 3.30 3.60 3.90 4.20 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 9.12 3.75 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 1.85 134.74 240.28 -2.01 1.05 1.51 1.60 1.38 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 1.62 135.93 240.28 -1.86 1.36 2.01 1.61 1.07 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 IIComposite Return Data NONE Page 64 Total Policy Historical Hybrid Composition Allocation Mandate Weight (%) Jun-1998 Oakland County VEBA 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 27.50 JPM Global Government Bond Index 7.50 NCREIF Fund Index-ODCE (VW)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 Jan-2018 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 Jan-2018 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 0.45 1,535,389,441 6,982,912 SSgA S&P 500 0.02 74,711,457 12,471 0.02 % of First $50 M 0.01 % Thereafter SSgA S&P 500 Equal Weighted Index 0.04 97,090,700 38,836 0.04 % of Assets T. Rowe Price 0.25 166,980,052 417,450 0.25 % of Assets Nuance Mid Cap Value 0.75 25,623,107 191,862 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 37,103,309 296,826 0.80 % of First $50 M 0.70 % of Next $50 M 0.60 % Thereafter Great Lakes SmidCap 0.55 32,537,568 178,957 0.55 % of First $50 M 0.45 % of Next $50 M 0.35 % Thereafter Reinhart Partners 0.72 34,626,502 250,072 0.75 % of First $25 M 0.65 % of Next $25 M 0.50 % Thereafter Lee Munder (LMCG)0.70 66,459,610 465,217 0.70 % of Assets Loomis Small Cap 0.87 62,051,032 540,383 0.90 % of First $50 M 0.75 % of Next $50 M 0.70 % Thereafter Lazard 0.70 81,842,478 571,976 0.75 % of First $40 M 0.65 % of Next $60 M 0.50 % Thereafter Pictet 0.65 73,401,630 477,111 0.65 % of Assets Berkeley Street 0.95 38,982,703 370,336 0.95 % of Assets ABS Global 1.00 62,327,214 623,272 1.00 % of Assets CS McKee 0.24 244,076,236 575,652 0.35 % of First $25 M 0.30 % of Next $25 M 0.25 % of Next $50 M 0.20 % Thereafter Loomis Fixed Income 0.28 144,701,554 411,754 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 73,183,244 548,874 0.75 % of Assets Morgan Stanley 0.84 73,748,493 619,487 0.84 % of Assets Prudential PRISA II 0.74 53,057,668 392,375 0.85 % of First $10 M 0.75 % of Next $15 M 0.70 % of Next $25 M 0.65 % of Next $50 M 0.65 % Thereafter Oakland County Employees' Retirement System Fee Analysis As of September 30, 2021 Does not include incentive fees. Page 67 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 68 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 69 CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first. <CBDoc TenantId="2" EntityTypeId="3100" EntityId="2904" DocumentTypeId="2" EffectiveDate="10/31/2021" Interval="1" /> Investment Performance Review Period Ending October 31, 2021 Oakland County ERS VEBA 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 Assets (10.6%) Total Fixed Income Composite (31.9%) Total Long/Short Equity Composite (4.0%) Total International Equity (12.6%) Total Domestic Equity (40.5%) 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 1,555,797,729 100.0 N/A N/A 100.0 --- Total Domestic Equity 629,830,644 40.5 10.0 50.0 35.0 -474,250,871 148,068,220 -85,301,439 Total International Equity 196,608,156 12.6 5.0 20.0 15.0 -118,818,269 114,551,390 36,761,504 Total Long/Short Equity Composite 62,327,214 4.0 0.0 7.5 5.0 -62,327,214 54,357,616 15,462,673 Total Fixed Income Composite 495,831,501 31.9 10.0 55.0 35.0 -340,251,728 359,857,250 48,697,704 Total Real Assets 165,672,711 10.6 0.0 15.0 10.0 -165,672,711 67,696,949 -10,092,938 Total Cash Composite 5,527,504 0.4 0.0 5.0 0.0 -5,527,504 72,262,383 -5,527,504 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of October 31, 2021 Page 2 Executive Summary Policy Target In 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 Assets (10.6%) Total Fixed Income Composite (31.9%) Total Long/Short Equity Composite (4.0%) Total International Equity (12.6%) Total Small Cap Equity Composite (8.7%) Total Mid Cap Equity Composite (8.6%) Total Large Cap Equity Composite (23.2%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 1,555,797,729 100.0 100.0 - Total Large Cap Equity Composite 360,583,298 23.2 20.0 -49,423,752 Total Mid Cap Equity Composite 134,034,646 8.6 7.5 -17,349,817 Total Small Cap Equity Composite 135,212,700 8.7 7.5 -18,527,870 Total International Equity 196,608,156 12.6 15.0 36,761,504 Total Long/Short Equity Composite 62,327,214 4.0 5.0 15,462,673 Total Fixed Income Composite 495,831,501 31.9 35.0 48,697,704 Total Real Assets 165,672,711 10.6 10.0 -10,092,938 Total Cash Composite 5,527,504 0.4 0.0 -5,527,504 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of October 31, 2021 Page 3 October 31, 2021 : $1,555,797,729 Allocation Market Value Allocation SSgA S&P 500 79,948,279 5.1¢ SSgA S&P 500 Equal Weighted Index 102,257,703 6.6¢ T. Rowe Price 178,377,317 11.5¢ Nuance Mid Cap Value 26,136,115 1.7¢ TimesSquare 39,263,224 2.5¢ Great Lakes SmidCap 33,632,278 2.2¢ Reinhart Partners 35,003,029 2.2¢ Lee Munder (LMCG)68,947,021 4.4¢ Loomis Small Cap 66,265,678 4.3¢ Lazard 83,575,708 5.4¢ Pictet 74,223,502 4.8¢ Berkeley Street 38,808,947 2.5¢ ABS Global 62,327,214 4.0¢ CS McKee 243,689,601 15.7¢ Loomis Fixed Income 144,366,658 9.3¢ Pimco Diversified Income (PDIIX)73,554,605 4.7¢ Churchill Senior Loan Fund 6,793,238 0.4¢ Marathon Distressed Credit Fund LP 13,596,498 0.9¢ H.I.G. Bayside Loan Opportunity VI 4,915,801 0.3¢ BlackRock Direct Lending Feeder IX 8,915,100 0.6¢ ValStone Opportunity Fund V 3,010,548 0.2¢ Morgan Stanley 73,748,493 4.7¢ Macquarie II U.S.31,460 0.0¢ Macquarie Fund III Europe 39,418 0.0¢ Prudential PRISA II 53,057,668 3.4¢ Alidade Capital Fund IV 3,460,398 0.2¢ Walton Street Real Estate 6,373,804 0.4¢ AEW Real Estate 2,596,106 0.2¢ Dune Real Estate IV 3,032,111 0.2¢ Hamilton Lane Secondary Fund V LP 11,043,147 0.7¢ Portfolio Adv Secondary Agg IV 9,279,558 0.6¢ Cash and Equivalents Account 98,624 0.0¢ Private Markets Cash 5,428,880 0.3¢ 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 1,531,498,469 -29,107 -10,000,000 -106,411 -775 1,303,930 33,073,410 1,555,797,729 Total Equity Composite 853,737,363 -29,107 --60,671 -648 571,481 34,489,383 888,766,014 Total Domestic Equity 597,183,338 -----200 389,314 32,258,193 629,830,644 Total Large Cap Equity Composite 338,782,210 -----174,056 21,627,033 360,583,298 SSgA S&P 500 74,711,457 ------5,236,821 79,948,279 SSgA S&P 500 Equal Weighted Index 97,090,700 ------5,167,002 102,257,703 T. Rowe Price 166,980,052 -----174,056 11,223,209 178,377,317 Total Mid Cap Equity Composite 129,890,486 -----22 70,715 4,073,467 134,034,646 Nuance Mid Cap Value 25,623,107 -----12,524 500,484 26,136,115 TimesSquare 37,103,309 -----22 5,601 2,154,335 39,263,224 Great Lakes SmidCap 32,537,568 -----42,186 1,052,524 33,632,278 Reinhart Partners 34,626,502 -----10,403 366,125 35,003,029 Total Small Cap Equity Composite 128,510,642 -----179 144,543 6,557,693 135,212,700 Lee Munder (LMCG)66,459,610 -----107,173 2,380,238 68,947,021 Loomis Small Cap 62,051,032 -----179 37,370 4,177,454 66,265,678 Total International Equity 194,226,811 -29,107 --60,671 -448 182,168 2,231,190 196,608,156 Lazard 81,842,478 -----448 43,503 1,690,175 83,575,708 Pictet 73,401,630 ----31,565 -138,665 714,771 74,223,502 Berkeley Street 38,982,703 -29,107 --29,107 ---173,757 38,808,947 Total Long/Short Equity Composite 62,327,214 -------62,327,214 ABS Global 62,327,214 -------62,327,214 Total Fixed Income Composite 505,908,280 -9,347,890 ---45,740 -127 732,414 -1,415,436 495,831,501 Total Domestic Fixed Income 388,777,790 -----127 711,177 -1,432,581 388,056,259 CS McKee 244,076,236 -----384,665 -771,301 243,689,601 Loomis Fixed Income 144,701,554 -----127 326,511 -661,281 144,366,658 Total Global Fixed 73,183,244 378,719 ---45,740 -21,237 17,145 73,554,605 Pimco Diversified Income 73,183,244 378,719 ---45,740 -21,237 17,145 73,554,605 Private Fixed Income 43,947,246 -9,726,609 ------34,220,637 Churchill Senior Loan Fund 16,519,847 -9,726,609 ------6,793,238 Marathon Distressed Credit Fund LP 13,596,498 -------13,596,498 H.I.G. Bayside Loan Opportunity VI 4,915,801 -------4,915,801 BlackRock Direct Lending Feeder IX 8,915,100 -------8,915,100 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 Assets 166,442,170 -769,459 ------165,672,711 Total Real Estate (Composite)147,121,575 -1,771,569 ------145,350,006 ValStone Opportunity Fund V 3,010,548 -------3,010,548 Morgan Stanley 73,748,493 -------73,748,493 Macquarie II U.S.31,460 -------31,460 Macquarie Fund III Europe 39,418 -------39,418 Prudential PRISA II 53,057,668 -------53,057,668 Alidade Capital Fund IV 3,460,398 -------3,460,398 Walton Street Real Estate 6,373,804 -------6,373,804 AEW Real Estate 4,367,675 -1,771,569 ------2,596,106 Dune Real Estate IV 3,032,111 -------3,032,111 Private Investments 19,320,595 1,002,110 ------20,322,705 Hamilton Lane Secondary Fund V LP 10,041,037 1,002,110 ------11,043,147 Portfolio Adv Secondary Agg IV 9,279,558 -------9,279,558 Total Cash Composite 5,410,657 10,117,349 --10,000,000 --34 -537 5,527,504 Cash and Equivalents Account 1,479,173 8,619,200 --10,000,000 ---251 98,624 Private Markets Cash 3,931,484 1,498,150 ----34 -788 5,428,880 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 1,555,797,729 100.0 2.25 2.25 2.25 10.13 23.19 12.19 10.35 8.37 9.75 6.07 06/01/1998 Total Fund Policy Index 2.71 2.71 2.71 10.13 21.79 12.71 10.49 8.54 9.60 6.52 Total Equity Composite 888,766,014 57.1 4.11 4.11 4.11 15.76 38.31 16.55 14.42 11.11 12.69 6.38 04/01/1998 Total Equity Index 5.22 5.22 5.22 18.60 40.87 18.20 15.86 12.29 14.20 7.75 Total Fixed Income Composite 495,831,501 31.9 -0.14 -0.14 -0.14 -0.26 1.52 5.14 3.52 3.14 3.54 5.07 04/01/1998 Total Fixed Income Index -0.07 -0.07 -0.07 -1.99 -0.45 5.49 3.02 3.00 2.77 4.72 Total Real Assets 165,672,711 10.6 0.00 0.00 0.00 12.99 16.23 10.14 10.00 10.53 11.12 7.86 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 0.2 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 629,830,644 40.5 5.47 5.47 5.47 20.72 43.56 19.00 16.93 N/A N/A N/A 10/01/1986 Total Large Cap Equity Composite 360,583,298 23.2 6.44 6.44 6.44 24.14 44.87 21.39 18.59 14.70 16.19 12.34 07/01/2008 SSgA S&P 500 (1.5 bps)79,948,279 5.1 7.01 7.01 7.01 24.04 42.91 21.44 18.90 14.71 16.20 15.24 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)102,257,703 6.6 5.32 5.32 5.32 25.01 49.28 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)178,377,317 11.5 6.83 6.83 6.83 23.81 43.92 22.61 19.94 15.81 16.99 15.82 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 134,034,646 8.6 3.19 3.19 3.19 14.49 37.71 13.82 12.91 9.85 12.52 10.13 07/01/2008 Nuance Mid Cap Value (75 bps)26,136,115 1.7 2.00 2.00 2.00 9.80 23.82 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)39,263,224 2.5 5.82 5.82 5.82 17.79 39.82 26.49 22.24 16.64 17.69 17.15 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)33,632,278 2.2 3.36 3.36 3.36 9.27 34.73 N/A N/A N/A N/A 10.48 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)35,003,029 2.2 1.09 1.09 1.09 20.67 52.47 N/A N/A N/A N/A 13.78 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 135,212,700 8.7 5.22 5.22 5.22 18.24 46.47 18.14 16.75 12.45 13.51 11.74 07/01/2008 Lee Munder (LMCG) (70 bps)68,947,021 4.4 3.74 3.74 3.74 27.02 58.62 15.07 12.56 10.88 12.53 10.15 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)66,265,678 4.3 6.79 6.79 6.79 11.84 37.78 20.60 22.14 15.86 N/A 17.17 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 196,608,156 12.6 1.24 1.24 1.24 5.93 30.02 11.87 9.82 7.12 8.03 5.07 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)83,575,708 5.4 2.12 2.12 2.12 8.19 32.39 12.09 10.36 6.98 8.92 6.50 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)74,223,502 4.8 1.16 1.16 1.16 9.66 37.05 9.94 8.76 7.00 7.63 2.82 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)38,808,947 2.5 -0.45 -0.45 -0.45 -7.24 11.00 14.96 10.58 7.51 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 62,327,214 4.0 0.00 0.00 0.00 2.66 16.34 9.62 N/A N/A N/A N/A 10/01/2010 ABS Global (100 bps)62,327,214 4.0 0.00 0.00 0.00 2.66 16.34 9.62 7.46 5.76 6.52 6.06 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 388,056,259 24.9 -0.19 -0.19 -0.19 -1.36 0.29 6.11 3.75 N/A N/A N/A 07/01/2008 CS McKee (35 bps)243,689,601 15.7 -0.16 -0.16 -0.16 -1.58 -0.39 5.60 3.32 3.37 3.25 3.80 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)144,366,658 9.3 -0.23 -0.23 -0.23 -0.96 1.61 7.13 4.70 4.16 4.90 5.59 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 73,554,605 4.7 0.05 0.05 0.05 1.33 1.85 -1.07 N/A N/A N/A N/A 04/01/2010 Pimco Diversified Income (75 bps)73,554,605 4.7 0.05 0.05 0.05 N/A N/A N/A N/A N/A N/A 2.70 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 (Composite)145,350,006 9.3 0.00 0.00 0.00 12.74 14.76 8.32 N/A N/A N/A N/A 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)73,748,493 4.7 0.00 0.00 0.00 11.91 13.56 7.70 8.50 10.05 11.30 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)53,057,668 3.4 0.00 0.00 0.00 15.98 18.01 8.70 9.12 10.52 11.69 11.58 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 Total Cash Composite 5,527,504 0.4 Cash and Equivalents Account (No fee)98,624 0.0 Private Markets Cash 5,428,880 0.3 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 Macquarie II U.S.0.00 0.00 0.00 1.05 23.30 19.51 10.89 7.71 8.88 8.95 10/09/2008 Macquarie Fund III Europe 0.00 0.00 0.00 -50.29 -41.34 39.09 14.66 11.33 10.52 8.45 10/17/2008 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 10.81 05/25/2017 AEW Real Estate 0.00 0.00 0.00 16.84 18.54 15.94 N/A N/A N/A 12.04 09/26/2017 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 -12.20 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 Private 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. 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 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 - VEBA Asset / Manager Summary - December 16, 2021 Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce SSgA S&P 5001 $79,387 5.1%$77,463 5.0%($1,924) SSgA S&P 500 EW 1 $99,697 6.4%$77,463 5.0%($22,234)11/30 MV; Use for liquidity needs T. Rowe Price Enhanced 500 $181,647 11.7%$154,925 10.0%($26,722) TimesSquare Mid Growth $38,450 2.5%$29,048 1.9%($9,402) Great Lakes Small/Mid Core $33,207 2.1%$29,048 1.9%($4,159) Reinhart Small/Mid Core $35,029 2.3%$29,048 1.9%($5,981) Nuance Mid Value $26,114 1.7%$29,048 1.9%$2,934 Loomis, Sayles Small Growth $65,446 4.2%$58,097 3.8%($7,349) LMCG Small Value $70,405 4.5%$58,097 3.8%($12,308) ABS Global L/S Equity1 $63,311 4.1%$77,463 5.0%$14,152 Total US Equity $692,693 44.7%$619,701 40.0%($72,992)2.5% added to allocation (unallocated other assets) Lazard Intl Equity $81,492 5.3%$77,463 5.0%($4,029) Pictet Intl Equity1 $68,586 4.4%$77,463 5.0%$8,877 Berkley Street Emerging Mkts.1 $38,809 2.5%$38,731 2.5%($78) Total Intl Equity $188,887 12.2% $193,657 12.5% $4,770 CS McKee Core Fixed $243,904 15.7%$309,851 20.0%$65,947 Loomis, Sayles Core Plus $144,413 9.3%$129,617 8.4%($14,796) PIMCO Diversifed Income $73,525 4.7%$77,463 5.0%$3,938 Churcill Direct Lending1 $7,012 0.5%$7,012 0.5%$0 BlackRock Direct Lending1 $9,990 0.6%$9,990 0.0%$0 $20MM Commitment; 1st CC in March 2021 Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $15MM Commitment HIG/Marathon Distressed1 $18,296 1.2%$18,296 1.2%$0 $13MM Commitment Each Total Fixed Income $497,140 32.1%$552,229 35.0%$55,089 1.5% added to allocation (unallocated other assets) MS Prime Property RE1 $73,748 4.8%$101,234 6.5%$27,486 Prudential PRISA II VA RE1 $53,058 3.4%$30,985 2.0%($22,073) Private VA Real Estate Funds1,2 $22,706 1.5%$22,706 1.5%$0 Total Real Estate $149,512 9.7%$154,925 10.0%$5,413 Hamilton Lane1 $11,622 0.8%$19,366 1.3%$7,744 $17.5MM Commitment Portfolio Advisors1 $9,300 0.6%$19,366 1.3%$10,066 $17.5MM Commitment Total Private Equity $20,922 1.4%$38,731 2.5%$17,809 Cash Account $99 0.0%$0 0.0%($99) Total Fund $1,549,253 100.0%$1,559,243 100.0%$9,990 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, Macquire (US and Euro), Valstone and Walton Street. Other Assets / Basket Clause $109,541 7.1% $141,502 9.1% 15% Target Current Allocation Target Allocation Comments 11/30 MV Included in Other Assets allocation Includes ABS, Churchill, BlackRock, Bloomfield, HIG, Marathon, HL, and PA Target Allocation = 10% target less Direct Lending and Distressed Debt strategies Target Allocation = 10% RE target less VA mgrs.