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Reports - 2022.03.17 - 35404
<CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="1" EffectiveDate="12/31/2021" Interval="3" Description="Quarterly Report" /> Investment Performance Review Period Ending December 31, 2021 Oakland County ERS Defined Benefit Plan Executive Summary Page 1 Asset Allocation Vs. Policy Targets Page 16 Asset Allocation Pie Charts Page 18 Historical Asset Allocation Page 20 Financial Reconciliation Page 22 Performance Review Trailing Periods Page 25 Comparative Performance IRR Page 29 Total Fund Analysis Page 31 SSgA S&P 500 Page 33 SSgA S&P 500 Equal Weighted Page 35 T. Rowe Price Page 37 Nuance Mid Cap Value Page 39 TimesSquare Page 41 Great Lakes Page 43 ReinharT Page 44 Lee Munder -LMCGl Page 45 Loomis Small Cap Page 47 Lazard Page 49 Pictet Page 51 Berkeley Street Page 53 ABS Global Page 55 CS McKee Page 57 Loomis Fixed Income Page 59 Pimco Income Page 61 Morgan Stanley Page 63 Prudential PRISA II Page 65 Benchmark History Page 67 Fee Schedule Page 69 Definitions & Disclosure Pages Page 71 Table Of Contents 4Q 2021 EXECUTIVE SUMMARY Market Summary: The Federal Reserve and COVID-19 continued to dominate the market narrative during the 4th quarter. The Federal Reserve revised its policy in an attempt to control inflation, targeting an earlier exit from its bond buying program and additional rate hikes in 2022 and 2023. Omicron, a more contagious but less severe variant of Covid-19, emerged in November and swept across the globe. The equity markets rebounded in October, sold off in November (Omicron influenced), and rebounded again in December (less severe variant). The S&P 500 provided the strongest results during the quarter, returning over 11%. Small caps (Russell 2000) and international developed markets (MSCI EAFE) generated positive but much weaker returns (2.1% and 2.37%, respectively). The emerging markets continued to struggle during the quarter and declined by 1.3%. For the year, the markets followed a similar pattern with the S&P 500 generating the strongest returns and EM suffering minor losses. Inflation concerns and the Federal Reserve’s policy shift impacted returns in the fixed income markets. The front end of the yield curve climbed during the quarter in anticipation of future rate hikes; the 2-year Treasury rose from 28 basis points to 73 basis points during the quarter. The longer end of the curve was more stable with 10-year and 30-year nearly unchanged (have risen in 2022). The Barclays US Aggregate returned 1 basis point in the 4th quarter. Investment grade and high yield bonds fared slightly better. For the year, the Aggregate declined by 1.5% and only high yield posted positive returns (5.3%) in fixed income. Conclusions/Recommendations: 1. The Total Fund gained 3.59% during the quarter, trailing the Policy Index by 0.64% and ranking in the bottom half of the public fund universe. The Fund was hindered by relatively weak results from the equity allocation, particularly the mid cap and international components. 2. The Total Fund returned 11.85% over the past year, performing in with the Policy Index. Longer-term, the Fund has performed well, handily exceeding the actuarial assumed rate and ranking near the median public fund. 3. Nuance and Great Lakes struggled again this quarter. These portfolios were transitioned to passive ETFs during the first quarter; active options will be evaluated at a later date. 4. Pictet trailed expectations this quarter, under performing their benchmark by almost 5% and ranking near the bottom of their peer group. The under performance is partially attributed to poor stock selection within Financials. Longer-term, the manager trails performance expectations. 5. CS McKee and Loomis, Sayles performed in line with expectations during a difficult quarter for fixed income. In 2021, both managers out performed their benchmark, but suffered losses. Longer-term, both managers meet/exceed performance expectations. 6. Real estate generated strong returns again this quarter (over 6%). Morgan Stanley and Prudential out performed their benchmarks this quarter and returned over 22% in 2021. Longer-term, both managers exceed performance expectations. 7. At quarter end all allocations were within policy ranges and near target allocations. BlackRock, JPM Euro Property, Alidade, Walton Street, AEW, Hamilton Lane, and Portfolio Advisors have not reported 4Q results in time for this report (approximately 5% of the Total Fund). 8. See the Asset/Manager Summary for additional comments and recommendations. Page 1 AndCo Firm Update While adding so many resources to a fi rm our size is a signifi cant investment, it is one we embrace due to the impact we believe it will have on our ability to continue serving our clients at a high level and push us closer to our vision of being a transformational organization viewed as the leader in our industry. At the beginning of each year, we discuss the AndCo partnership and, when earned, announce new partners. This year I am thrilled to share two new team members were named partners at AndCo – Brian Green and Kerry Richardville. Brian has been with the fi rm for over 6 years and is currently a consultant based out of our Detroit, Michigan offi ce. Kerry has been with AndCo for over 5 years and is a consultant based in Orlando. We could not be happier for both Brian and Kerry or more grateful for the contributions they have made to AndCo since joining the fi rm. Brian and Kerry represent what it means to be an AndCo team member, and we are honored and fortunate to have them serving our clients. With the addition of Brian and Kerry, we have 13 partners representing various departments at AndCo, which provides diverse perspectives and insight. Our growing partnership group continues to strengthen AndCo and reaffi rm our belief that 100% employee management is vital to protecting our mission, vision, values, and the long-term success of our organization. We enter 2022 with an unwavering commitment to serve you the best we possibly can. Coming off a year that provided many of our clients record returns, we recognize results going forward may be more challenging to obtain. Please know we will continue to invest and evolve our fi rm in aiming to meet these realities. We do not take any client relationship for granted and will continue to work tirelessly to serve, earn your trust, add value, and exceed your expectations. We are honored and humbled you have chosen AndCo as your partner. In closing, and as we have stated since our rebrand in 2017, our name, AndCo, reminds us of who we work for every day - “Our Client” &Co. You will always be fi rst in our service model. As we continue to discuss strategic decisions and reinvestments regarding our fi rm, please know that our decisions are fi ltered through the following question: “How does this keep our clients’ interests fi rst?” If it doesn’t meet this standard, we don’t do it - it’s that simple. Thank you again for your valued partnership and the opportunity to serve you. Happy New Year! Mike Welker, CFA CEO On behalf of everyone at AndCo, we want to Thank You for the opportunity to serve and the trust you place in us! 2021 marked another unique year as society continued to deal with the eff ects of the global pandemic. While this environment caused all organizations to reassess their business models and service approach, AndCo has remained steadfast in our belief and conviction that the best way to service our valued clients is within a model that is independent, singularly focused, customized, and passionately delivered. These four AndCo principles drive our service approach and desire to exceed your expectations. We take our role as your consultant and trusted advisor seriously and will continue working hard to maintain your confi dence. Looking back at 2021, we would like to provide a brief update on the fi rm. We advise on approximately $123 billion in client assets, as of June 30, 2021. 2021 also marked the 21st straight year of revenue growth for the fi rm. We continue to reinvest 100% of our net profi ts back into the organization so that we can continue to evolve and adapt within a market environment that is constantly changing and challenging. Put simply, stasis is not an eff ective strategy, and we are convicted in our belief that a fi rm not focused on moving forward in our industry is moving backward. To execute on our commitment, we continued to make personnel and technology investments within the fi rm. Our personnel investments focused on further enhancing departmental service levels and narrowing perceived gaps. We continued to invest in our proprietary software system to more eff ectively and effi ciently compile and share information across departments and ultimately better serve our clients. We also continued to build out our internal site (the intranet) so colleagues could stay connected with the fi rm and gain a deeper understanding of standard operating procedures and collectively service our clients the AndCo way. Our intranet also helped strengthen our internal brand and culture by pushing out a variety of daily fi rm updates, videos, and interactive posts to increase team member bonds to our values, core philosophies, and ultimately, brought the fi rm closer together. We believe these connections are increasingly important in the COVID environment when many team members remain wholly or partially remote and we will continue to explore innovative ways to be together in 2022. As we start 2022, we are 87 team members strong with plans to grow. We are targeting several new positions for the year as we thoughtfully continue to invest in our fi rm to provide the quality services you expect from AndCo. These talent enhancements cover multiple departments including Research and Client Solutions, which will strengthen our alternative and public market research as well as our client service. We are also looking to add team members to our Consulting, Finance, Marketing, and IT departments. Page 2 Organizational Chart PARTNERSHIP Ben Baldridge, CFA®, CAIA® Private & Hedged Fixed Income Chester Wyche Real Estate & Real Assets Dan Lomelino, CFA® Fixed Income David Julier Real Estate & Real Assets Elizabeth Wolfe Capital Markets & Asset Allocation Evan Scussel, CFA®, CAIA® Private & Public Equity Joseph Ivaszuk Operational Due Diligence Josue Christiansen, CFA ®, CIPM® Public Equity Julie Baker, CFA®, CAIA® Private & Hedged Equity Justin Ellsesser, CFA®, CAIA® Private Equity Kevin Laake, CFA®, CAIA® Private Equity Michael Kosoff Hedge Funds Philip Schmitt Fixed Income & Capital Markets Ryan McCuskey Real Estate & Real Assets Zac Chichinski, CFA®, CIPM ® Public Equity RESEARCH Donna Sullivan Albert Sauerland Amy Foster David Gough, CPFA Don Delaney Donnell Lehrer, CPFA Grace Niebrzydowski James Reno Jeff Pruniski Joe Carter, CPFA Julio Garcia Rengifo Kim Hummel Meghan Haines Misha Bell Yoon Lee-Choi CLIENT SOLUTIONS Annette Bidart Brad Hess, CFA®, CPFA Brendon Vavrica, CFP® Brian Green Chris Kuhn, CFA ®, CAIA® Christiaan Brokaw, CFA® Dave West, CFA ® Doug Anderson Gwelda Swilley Ian Jones James Ross Jeff Kuchta, CFA®, CPFA Jennifer Brozstek CONSULTING Jennifer Gainfort, CFA®, CPFA John Mellinger John Thinnes, CFA®, CAIA® Jon Breth, CFP® Justin Lauver, Esq. Kevin Vandolder, CFA ® Kerry Richardville, CFA® Mary Nye Michael Fleiner Michael Holycross, CIMA® Mike Bostler Oleg Sydyak, CFA ®, FSA, EA Paul Murray, CPFA Peter Brown Tim Nash Tim Walters Tony Kay Tyler Grumbles, CFA®, CIPM®, CAIA® 8 CPFA 6 CIPM®8 CAIA®38 ADVANCED DEGREES87 EMPLOYEES INVESTMENT POLICY COMMITTEE FINANCE Kahjeelia Pope Robert Marquetti COMPLIANCE Allen Caldwell Thay Arroyo H.R. Sara Schmedinghoff OPERATIONS Jerry Camel Updated as of 01/12/2022 Mike Welker, CFA® Brian Green Bryan Bakardjiev, CFA® Dan Johnson Dan Osika, CFA® Donna Sullivan Evan Scussel, CFA®, CAIA® Jacob Peacock, CPFA Jason Purdy Kerry Richardville, CFA® Kim Spurlin, CPA Steve Gordon Troy Brown, CFA® LEADERSHIP & MANAGEMENT Mike Welker, CFA ® CEO Bryan Bakardjiev, CFA® COO Kim Spurlin, CPA CFO Sara Searle CCO Stacie Runion CHRO Steve Gordon Partner Troy Brown, CFA ® Executive Director Brooke Wilson, CIPM® Client Solutions Director Dan Johnson Consulting Director Daniel Kwasny, CIPM® Client Solutions Director Evan Scussel, CFA ®, CAIA® Research Director Jack Evatt Consulting Director Jacob Peacock, CPFA Consulting Director Jason Purdy I.T. Director Molly Halcom Marketing Director Philip Schmitt Research Director Rachel Brignoni, MHR People & Culture Director 23 CFA® OPERATIONS MARKETING Dan Osika, CFA ® John Rodak, CIPM ® Kayleigh Greaser Kim Goodearl Lauren Kaufmann Mike Welker, CFA ® Bryan Bakardjiev, CFA® Troy Brown, CFA ® Sara Searle Page 3 4th Quarter 2021 Market Environment Page 4 The Market Environment Executive Summary As of December 31, 2021 The Economy The US economy faced headwinds from the Omicron variant during the quarter which likely had a negative impact on economic growth.Fortunately,despite higher transmission rates,the variant appears to be less likely to result in hospitalizations or significant health risks. Even with the variant,the demand for goods and services remained strong during the quarter and market expectations for 4th quarter US GDP growth range from 4%to 7%. The US labor market is nearing full employment with the unemployment rate falling to 3.9%in December.The pace of job growth slowed during the quarter with a three-month average of roughly +365,000.Despite the continued improvement in the labor market,workers are continuing to leave their employers in record numbers.This condition means the number of jobs available exceeds the number of unemployed workers.As a result,wage growth remains strong as employers compete to fill job openings. Persistently higher inflation readings forced the Fed to announce it was planning to end its bond purchase program earlier than expected.In addition,the Fed’s December statement suggested that it could also begin raising short-term interest rates sooner than expected. Equity (Domestic and International) US equities rose to all-time highs during the 4th quarter as investors expressed optimism about future economic growth and continued monetary support from the Fed.Large cap growth was the best performing domestic segment of the equity market relative to other US market capitalizations and styles. International equities lagged far behind their US counterparts during the 4th quarter.A key contributor to the muted performance was US dollar strength,which rose against both the Euro and Yen developed market currencies and most emerging market currencies.Emerging markets came under pressure as the Chinese property developer Evergrande defaulted during the quarter. Fixed Income The combination of concerns related to the potential for rising US interest rates and persistent inflation acted as headwinds for fixed income performance during the quarter.US interest rates moved modestly higher during the quarter with the US 10-Year Treasury bond rising 2 basis points to close at 1.51%. Generally,performance across most bond markets sectors was positive during the quarter,led by US high yield corporate bonds and US Treasury Inflation-Protected Securities (TIPS). High yield bond’s combination of higher coupons and a shorter maturity profile relative to high quality government bonds was the primary driver of their performance during the period. TIPS outperformed all other sectors during the quarter.US inflation remained substantially higher than the Fed’s stated 2%long-term target average,and as a result,investors’expectations of future inflation increased. Market Themes Global central bank monetary policy diverged somewhat during the quarter as the Fed stated its intention to taper its bond purchases and potentially begin raising interest rates in 2022.Both the European Central Bank and the Bank of Japan reiterated their intent to remain accommodative as localized inflation remains low. While US economic growth remained strong,overall global economic growth slowed during the quarter primarily due to the rise in pandemic-related cases and shutdowns.It is likely that economic growth could face headwinds in 2022 as central bank stimulus begins to wear off. US equity markets –as measured by the S&P 500 Index –experienced their third consecutive year of double-digit positive performance led by large,growth- oriented companies.While equities have historically performed well during periods of rising inflation due to their links with strong economic growth,companies may face headwinds if they are unable to pass along price increases,which would result in lower profit margins. Longer-dated fixed income markets were negatively impacted by rising interest rates during the year.Despite the potential for increasing risks due to deteriorating credit conditions,corporate bonds could outperform given their higher coupons and shorter maturity profiles compared to higher quality,longer duration bonds. Page 5 The Market Environment Major Market Index Performance As of December 31, 2021 Broad US equity markets experienced strong returns during the 4th quarter of 2021.There were a variety of factors that contributed to performance including improving corporate earnings,increased consumer spending and demand, and continued accommodative monetary support from the Fed.For the period, the S&P 500 large cap benchmark returned 11.0%,compared to 6.4%for the mid-cap and 2.1%for small cap indices. Similar to domestic markets,developed market international equities also posted positive results for the 4th quarter,albeit more muted.Europe and the UK were negatively affected by the increase in COVID cases related to the Omicron variant.Emerging markets declined primarily due to concerns related to future economic growth in China and the default of property developer Evergrande.China and its weight dominates the emerging markets index (32.5%).During the period,the MSCI EAFE Index returned of 2.7%while the MSCI Emerging Markets Index declined by -1.3% For the quarter,bond market performance was generally muted as concerns about higher interest rates and rising inflation acted as sizable headwinds.The outlier during the period was TIPS,which are highly sensitive to future inflation expectations and posted a return of 2.4%.The Bloomberg Barclays (BB)US Aggregate Index returned 0.0%,for the period,trailing Investment Grade Corporate bonds,which returned 0.2%. Developed equity markets were sharply higher over the trailing 1-year period. The combination of Improving economic fundamentals,continued support from the Fed,and improving investor expectations all combined to drive equity markets higher.All broad US equity market indexes traded at near-record levels during the quarter.The S&P 500 large cap stock index led equity market performance for the year with a return of 28.7%.The Russell 2000 small cap index returned a lower,but still strong,14.8%for the year. Over the trailing 1-year period the developed market MSCI EAFE Index return of 11.3%outpaced the MSCI Emerging Markets Index return of -2.5%.While growth in developed markets improved throughout the year,emerging markets were negatively impacted from concerns related to index’s dominant county weight to China. Bond market returns over the trailing 1-year period were broadly negative as rising interest rates and concerns regarding inflation detracted from performance.TIPS were the lone bright spot in the bond market with the TIPS Index returning 6.0%for the year. 0.0% 0.2% -0.4% 2.4% 0.2% 0.0% -1.3% 2.7% 1.8% 2.1% 6.4% 9.8% 9.3% 11.0% -5.0%0.0%5.0%10.0%15.0% 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 0.0% -1.0% -1.0% 6.0% -2.3% -1.5% -2.5% 11.3% 7.8% 14.8% 22.6% 26.5% 25.7% 28.7% -5.0%5.0%15.0%25.0%35.0% 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 Source: Investment Metrics Page 6 Source: Investment Metrics The Market Environment Domestic Equity Style Index Performance As of December 31, 2021 The equity market resumed its solid momentum during the 4th quarter as nearly all US equity benchmarks posted positive returns across both the style and market capitalization spectrums.Large cap stocks continued their leadership followed by mid and small cap issues.The Russell 1000 Index returned a strong 9.8%for the quarter and outpaced a 6.4%return of the Russell Mid Cap Index and a Russell 2000 Index return of 2.1%. Performance across styles and market capitalizations was disparate during the quarter.Large cap growth stocks sizably outpaced their value counterparts while mid and small cap value stocks outperformed growth stocks by an even wider margin.For the period,the Russell 1000 Growth Index was the best performing style index,posting a return of 11.6%.Mid cap value index performance was the next best performing segment,returning 8.5%for the quarter.Small cap growth stocks were the laggards during the period with the Russell 2000 Growth Index returning 0.0%. Performance across all market capitalizations and styles was broadly robust over the trailing 1-year period.Much like the 4th quarter,the outlier for the year was small cap growth stocks.The Russell 2000 Growth Index return of 2.8%for the year significantly lagged both its mid and large cap growth index counterparts and Russell 2000 Value index return of 28.3%. While large cap style returns were relatively similar for the year,there was wide dispersion across mid and small style-based index performance.For the year,the Russell 1000 Growth Index rose by 27.6%compared to a still robust 25.2%return for the Russell 1000 Value Index.Within mid and small cap benchmark performance,value dominated growth by double digits.The Russell 2000 Value Index and Russell Mid Cap Value Index both returned 28.3%for the period.In comparison,the Russell Mid Cap Growth Index returned 12.7%,while the Russell 2000 Growth Index returned only 2.8%. 0.0% 2.1% 4.4% 2.8% 6.4% 8.5% 11.6% 9.8% 7.8% 10.9% 9.3% 7.5% 0.0%2.0%4.0%6.0%8.0%10.0%12.0%14.0% 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 2.8% 14.8% 28.3% 12.7% 22.6% 28.3% 27.6% 26.5% 25.2% 25.8% 25.7% 25.4% 0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0% 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 7 The Market Environment GICS Sector Performance & (Sector Weight) As of December 31, 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. Economic sector performance was positive across ten of the eleven large cap economic sectors for the 4th quarter.Six sectors outpaced the return of the broad index during the period. Economically sensitive sectors like real estate (15.6%),materials (14.4%), information technology (14.2%),and utilities (13.2%)were the best performing sectors for the quarter.In general,companies in sectors with the ability to grow earnings and either guard against,or pass along, inflation experienced the strongest returns.While nearly all sectors experienced positive results,the communication services sector (-0.5%) lagged its peers and was the sole negative performer for the quarter. For the full year,four sectors exceeded the return of the broad large cap benchmark:energy (55.9%),real estate (40.5%),financials (35.5%),and information technology (30.5%).The weakest economic sector performance in the Russell 1000 for the year was utilities,which still managed to post a solid return of 17.6%. Small cap sector performance was more mixed with eight of the eleven economic sectors posting positive performance for the quarter and seven of them outpacing the return of the broader Russell 2000 Index.Utilities were the best performing sector during the quarter,returning 12.6%.The real estate (10.3%),industrials (9.6%),and consumer staples (8.3%) sectors also performed well during the period. For the trailing 1-year period,nine of the eleven sectors outpaced the broad benchmark’s return.Outperforming sectors included energy (67.8%),real estate (29.4%),financials (28.1%),consumer discretionary (27.0%),industrials (25.4%),materials (24.8%),consumer staples (21.4%),communication services (17.0%),and information technology (15.9%).The combination of a steadily improving economy,improving corporate fundamentals,easy monetary policy,and rising inflationary pressures were all tailwinds for the robust performance in these sectors. 11.0% 29.4% 24.8% 15.9% 25.4% -16.2% 28.1% 67.8% 21.4% 27.0% 17.0% 12.6% 10.3% 5.2% 6.1% 9.6% -10.1% 5.8% -4.0% 8.3% 1.6% -10.4% -20.0%0.0%20.0%40.0%60.0%80.0% Utilities (2.5%) Real Estate (7.0%) Materials (3.8%) Info Technology (14.2%) Industrials (14.9%) Health Care (19.4%) Financials (15.7%) Energy (4.5%) Consumer Staples (3.2%) Consumer Disc (11.4%) Comm Services (3.5%) Russell 2000 Quarter 1-Year 17.6% 40.5% 25.0% 30.5% 19.3% 24.2% 35.5% 55.9% 17.8% 21.7% 18.7% 13.2% 15.6% 14.4% 14.2% 8.2% 9.5% 4.9% 7.8% 12.7% 10.6% -0.5% -10.0%0.0%10.0%20.0%30.0%40.0%50.0%60.0% Utilities (2.3%) Real Estate (3.2%) Materials (2.3%) Info Technology (28.6%) Industrials (8.6%) Health Care (12.8%) Financials (11.5%) Energy (2.6%) Consumer Staples (5.3%) Consumer Disc (12.6%) Comm Services (10.1%) Russell 1000 Quarter 1-Year Page 8 The Market Environment Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000 As of December 31, 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 6.11%25.7%34.6%Information Technology AMC Entmt Hldgs Inc Class A 0.47%-28.5%1,183.0%Communication Services Microsoft Corp 5.65%19.5%52.5%Information Technology Synaptics Inc 0.38%61.1%200.3%Information Technology Amazon.com Inc 3.23%1.5%2.4%Consumer Discretionary Lattice Semiconductor Corp 0.35%19.2%68.2%Information Technology Alphabet Inc Class A 1.94%8.4%65.3%Communication Services EastGroup Properties Inc 0.31%37.4%68.4%Real Estate Tesla Inc 1.91%36.3%49.8%Consumer Discretionary BJ's Wholesale Club Holdings Inc 0.31%21.9%79.6%Consumer Staples Alphabet Inc Class C 1.81%8.6%65.2%Communication Services Tetra Tech Inc 0.31%13.8%47.5%Industrials Meta Platforms Inc Class A 1.77%-0.9%23.1%Communication Services Saia Inc 0.30%41.6%86.4%Industrials NVIDIA Corp 1.57%42.0%125.5%Information Technology Ovintiv Inc 0.30%3.0%138.4%Energy Berkshire Hathaway Inc Class B 1.22%9.5%29.0%Financials Tenet Healthcare Corp 0.29%23.0%104.6%Health Care UnitedHealth Group Inc 1.05%28.9%45.2%Health Care WillScot Mobile Mini Holdings Corp 0.29%28.8%76.3%Industrials 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 Arista Networks Inc 0.08%67.3%97.9%Information Technology Adicet Bio Inc Ordinary Shares 0.01%123.1%24.5%Health Care Builders FirstSource Inc 0.04%65.7%110.0%Industrials Yellow Corp Ordinary Shares 0.02%122.9%184.3%Industrials New Relic Inc 0.01%53.2%68.1%Information Technology R.R.Donnelley & Sons Co 0.03%119.1%398.2%Industrials Teradyne Inc 0.06%49.9%36.8%Information Technology ChemoCentryx Inc 0.07%112.9%-41.2%Health Care Ciena Corp 0.03%49.9%45.6%Information Technology iRhythm Technologies Inc 0.12%101.0%-50.4%Health Care ON Semiconductor Corp 0.06%48.4%107.5%Information Technology BlueLinx Holdings Inc 0.03%95.9%227.3%Industrials Ford Motor Co 0.18%47.4%137.5%Consumer Discretionary Kezar Life Sciences Inc 0.02%93.5%220.3%Health Care Dollar Tree Inc 0.07%46.8%30.1%Consumer Discretionary Alpha & Omega Semiconductor Ltd 0.04%93.1%156.2%Information Technology Marvell Technology Inc 0.16%45.2%84.6%Information Technology Protagonist Therapeutics Inc 0.05%93.0%69.6%Health Care Rexford Industrial Realty Inc 0.03%43.4%67.8%Real Estate Clearfield Inc 0.03%91.2%241.5%Information Technology 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 Peloton Interactive Inc 0.02%-58.9%-76.4%Consumer Discretionary Allakos Inc 0.01%-90.8%-93.0%Health Care Everbridge Inc 0.01%-55.4%-54.8%Information Technology Cortexyme Inc 0.01%-86.2%-54.6%Health Care Chegg Inc 0.01%-54.9%-66.0%Consumer Discretionary Rafael Hldgs Inc Ord Shares -B 0.00%-83.4%-78.1%Real Estate Upstart Holdings Inc Ordinary Shares 0.02%-52.2%271.3%Financials Adagio Therapeutics Inc Ord Shares 0.01%-82.8%N/A Health Care StoneCo Ltd Class A 0.01%-51.4%-79.9%Information Technology Atea Pharmaceuticals Inc Ord Shs 0.02%-74.5%-78.6%Health Care Vroom Inc Ordinary Shares 0.00%-51.1%-73.7%Consumer Discretionary Eros STX Global Corp 0.00%-73.9%-86.8%Communication Services Paysafe Ltd Ord Shares -Class A 0.01%-49.5%N/A Information Technology Reata Pharmaceuticals Inc A 0.02%-73.8%-78.7%Health Care Virgin Galactic Holdings Inc Shs A 0.01%-47.1%-43.6%Industrials Generation Bio Co Ordinary Shares 0.01%-71.8%-75.0%Health Care DraftKings Inc Ord Shares -Class A 0.02%-43.0%-41.0%Consumer Discretionary BeyondSpring Inc 0.00%-71.3%-62.9%Health Care DocuSign Inc 0.07%-40.8%-31.5%Information Technology Deciphera Pharmaceuticals Inc 0.01%-71.2%-82.9%Health Care Page 9 Source: MSCI Global Index Monitor (Returns are Net) The Market Environment International and Regional Market Index Performance (Country Count) As of December 31, 2021 Most developed market international equity indexes tracked in the chart posted positive returns in both US dollar (USD)and local currency terms for the 4th quarter.The provincial outlier during the period was the Pacific region which declined during the period on concerns about China and the country’s future economic growth.The developed market MSCI EAFE Index returned 2.7%in USD and 3.9%in local currency (LC)terms for the period,while the MSCI Emerging Markets Index declined by -1.3%in USD and -0.9%in local currency terms. The trailing 1-year results for international developed markets were positive across all regions and currencies.The MSCI EAFE Index returned 11.3%in USD for the year and 18.7%in LC.Returns across emerging markets were more polarized by geography.While the MSCI Emerging Markets Index returned -2.5%in USD and -0.2%in LC,the EMEA (Europe,Middle East,and Africa)regional index’s return of 18.0%in USD and 22.5%in LC,rivaled developed regional benchmark performance.In contrast,performance within the Latin America and Asia regional benchmarks detracted from emerging market index performance with the EM Latin America Index returning -8.1%in USD and -2.2%in LC,while EM Asia posted a return of -5.1%in USD and - 3.3%in LC. -1.1% -1.1% 0.5% -0.9% -0.8% 6.5% 3.9% 4.2% 2.7% -2.7% -1.0% -2.4% -1.3% -2.7% 5.7% 2.7% 3.1% 1.8% -4.0%-2.0%0.0%2.0%4.0%6.0%8.0% 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 -2.2% -3.3% 22.5% -0.2% 12.0% 22.5% 18.7% 19.3% 13.0% -8.1% -5.1% 18.0% -2.5% 2.6% 16.3% 11.3% 12.6% 7.8% -15.0%-5.0%5.0%15.0%25.0% 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 10 The Market Environment US Dollar International Index Attribution & Country Detail As of December 31, 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 4.5%-5.6%-5.7% Consumer Discretionary 12.5%2.9%10.7% Consumer Staples 10.3%5.2%7.3% Energy 3.4%-0.5%22.9% Financials 16.9%1.2%16.6% Health Care 12.8%3.0%8.6% Industrials 16.2%2.6%13.6% Information Technology 9.7%3.8%20.9% Materials 7.6%5.9%10.4% Real Estate 2.8%-0.5%4.1% Utilities 3.4%8.8%0.0% Total 100.0%2.7%11.3% MSCI –ACWIxUS Sector Weight Quarter Return 1-Year Return Communication Services 6.1%-2.8%-6.9% Consumer Discretionary 12.1%-0.9%-6.0% Consumer Staples 8.6%3.8%5.3% Energy 4.8%-0.4%26.0% Financials 19.2%1.9%16.4% Health Care 9.4%0.1%3.7% Industrials 12.6%2.6%12.9% Information Technology 13.6%5.2%15.4% Materials 8.1%3.6%9.7% Real Estate 2.4%-2.3%-2.2% Utilities 3.1%6.8%3.1% Total 100.0%1.8%7.8% MSCI -Emerging Mkt Sector Weight Quarter Return 1-Year Return Communication Services 10.7%-0.5%-9.1% Consumer Discretionary 13.5%-8.2%-29.1% Consumer Staples 5.9%-2.1%-4.9% Energy 5.6%-3.8%21.0% Financials 19.4%-0.4%8.2% Health Care 4.2%-15.4%-19.8% Industrials 5.1%-0.3%8.4% Information Technology 22.7%7.4%9.9% Materials 8.6%-2.9%9.3% Real Estate 2.0%-8.5%-21.8% Utilities 2.4%0.7%12.4% Total 100.0%-1.3%-2.5% MSCI-EAFE MSCI-ACWIxUS Quarter 1-Year Country Weight Weight Return Return Japan 22.5%14.3%-4.0%1.7% United Kingdom 14.6%9.3%5.6%18.5% France 11.7%7.5%7.1%19.5% Switzerland 10.5%6.7%12.8%19.3% Germany 8.9%5.6%0.8%5.3% Australia 6.9%4.4%2.1%9.4% Netherlands 4.9%3.1%3.5%27.6% Sweden 4.0%2.5%6.1%21.9% Hong Kong 2.8%1.8%-3.6%-3.9% Denmark 2.7%1.7%5.8%19.1% Italy 2.5%1.6%5.6%15.0% Spain 2.2%1.4%-1.4%1.4% Singapore 1.2%0.8%-3.4%5.7% Finland 1.0%0.7%3.0%9.0% Belgium 0.9%0.6%1.7%2.2% Israel 0.7%0.5%7.0%15.2% Ireland 0.7%0.4%0.6%8.5% Norway 0.7%0.4%-0.3%22.0% Austria 0.2%0.2%5.2%41.5% New Zealand 0.2%0.1%-4.0%-17.1% Portugal 0.2%0.1%1.9%0.2% Total EAFE Countries 100.0%63.6%2.7%11.3% Canada 7.5%7.2%26.0% Total Developed Countries 71.1%3.1%12.6% China 9.4%-6.1%-21.7% Taiwan 4.7%8.4%26.1% Korea 3.7%-0.9%-8.4% India 3.6%-0.2%26.2% Brazil 1.2%-6.5%-17.4% Russia 1.0%-9.2%19.0% Saudi Arabia 1.0%-0.7%37.7% South Africa 0.9%-0.5%3.6% Mexico 0.6%6.2%22.5% Thailand 0.5%3.0%-1.4% Indonesia 0.4%6.4%2.1% Malaysia 0.4%1.8%-6.2% United Arab Emirates 0.3%10.3%50.2% Poland 0.2%-2.4%8.5% Qatar 0.2%2.6%15.2% Philippines 0.2%3.7%-3.9% Kuwait 0.2%2.3%30.9% Chile 0.1%-10.5%-17.3% Hungary 0.1%-9.7%12.1% Turkey 0.1%-11.2%-28.4% Peru 0.1%10.4%-19.9% Greece 0.1%-3.6%8.0% Colombia 0.1%-2.7%-13.8% Czech Republic 0.0%12.3%55.0% Egypt 0.0%18.3%7.5% Argentina 0.0%-0.4%21.0% Pakistan 0.0%-2.7%-24.9% Total Emerging Countries 28.9%-1.3%-2.5% Total ACWIxUS Countries 100.0%1.8%7.8% Page 11 Source: Bloomberg The Market Environment Domestic Bond Sector & Broad/Global Bond Market Performance (Duration) As of December 31, 2021 Fixed income market results were mixed during the 4th quarter.While the Fed remained supportive with bond purchases,concerns about rising inflation and potentially higher interest rates detracted from performance. US Treasury yields were mixed across the maturity curve but remained low. The return for the Bloomberg US Aggregate Bond Index,the bellwether investment grade benchmark,was flat for the period at 0.0%. Performance across the investment grade index’s segments was mixed during the period with the US Corporate Investment Grade bonds returning 0.2%while the US Mortgage index component fell -0.4%. US TIPS posted the quarter’s strongest bond performance with a return of 2.4%.High yield issues were also positive,posting a return of 0.7%. Outside of domestic markets,the BB Global Aggregate ex US Index posted a return of -1.2%for the quarter.Like international stocks,global bond index performance was negatively impacted by the strengthening USD,which acted as a drag on domestic index returns. Over the trailing 1-year period,domestic investment grade benchmark performance was skewed lower by higher quality government bonds (- 2.3%)as well as negative performance from investment grade corporate (- 1.0%)and mortgage-backed (-1.0%)bonds.Aided by higher inflation,only US TIPS managed to generate positive returns during the year with a return of 6.0%.The bellwether Bloomberg US Aggregate Bond Index declined by -1.5%for the year. Lower quality high yield bonds delivered solid performance during the year supported by both higher coupons and a lower maturity profile,which acted as tailwinds.The Bloomberg US High Yield Index returned of 5.3% for the period. Performance for non-US bonds was broadly negative for the year with the developed market Bloomberg Global Aggregate ex US Index declining by -7.0%.The combination of rising interest rates overseas,a longer maturity profile,and USD strength for the year hindered index performance. -0.7% -1.2% -0.5% 0.0% 0.3% 0.1% 0.2% -0.1% 2.4% 0.7% 0.2% -0.4% 0.2% -2.0%-1.0%0.0%1.0%2.0%3.0%4.0% Multiverse (7.4) Global Agg x US (8.2) Intermediate Agg (4.4) Aggregate (6.8) Baa (8.7) A (8.4) AA (8.5) AAA (6.1) U.S. TIPS (4.4) U.S. High Yield (3.8) U.S. Corporate IG (8.7) U.S. Mortgage (4.8) U.S. Treasury (7.1) Quarter Performance -4.5% -7.0% -1.3% -1.5% -0.4% -1.8% -1.2% -1.7% 6.0% 5.3% -1.0% -1.0% -2.3% -10.0%-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%10.0% Multiverse (7.4) Global Agg x US (8.2) Intermediate Agg (4.4) Aggregate (6.8) Baa (8.7) A (8.4) AA (8.5) AAA (6.1) U.S. TIPS (4.4) U.S. High Yield (3.8) U.S. Corporate IG (8.7) U.S. Mortgage (4.8) U.S. Treasury (7.1) 1-Year Performance Page 12 Source: US Department of Treasury, FRED (Federal Reserve of St. Louis) The Market Environment Market Rate & Yield Curve Comparison As of December 31, 2021 The gray band across the graph illustrates the range of the current Fed Funds Rate.Over the past year,the Fed’s target rate range has remained unchanged at 0.00%to 0.25%.During its recent December meeting,the Federal Open Market Committee (FOMC)stated its intent to keep interest rates unchanged in the near-term,while also signaling that it would end its bond purchase program earlier than expected and foreshadowing that interest rates could begin to rise early next year. The yield on the US 10-year Treasury (green line)ended the year higher as economic growth accelerated in anticipation of the Fed beginning the process of normalizing interest rates.After reaching a high of 1.74%during the 1st quarter of 2021,interest rates traded within a narrow range for the remainder of the year.The yield on the US 10-year Treasury was 1.52%on December 31st. The blue line illustrates changes in the BAA OAS (Option Adjusted Spread). This measure quantifies the additional yield premium that investors require to purchase and hold non-US Treasury investment grade issues.For the full year,the spread narrowed slightly from 1.30%to 1.21%.A narrowing of the premium measured by the High Yield OAS showed investors’willingness to take on credit risk during the year as the spread tightened from 3.86%to 3.10%over the course of the year. The lower graph provides a snapshot of the US Treasury yield curve at the end of each of the last four quarters.While short-term rates are largely pinned to the Fed Funds Rate,beginning in the 1st quarter of 2021,intermediate-term interest rates began to move higher as investors expectations for higher future interest rates increased.In contrast,longer-term interest rates declined throughout the year over concerns that future economic growth may slow due to rising interest rates. 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 3/31/2021 6/30/2021 9/30/2021 12/31/2021 0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00 10.00 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 1-Year Trailing Market Rates Fed Funds Rate BAA OAS 10yr Treasury High Yield OAS Page 13 Page Intentionally Left Blank Page 14 Page Intentionally Left Blank Page 15 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 (0.9%) Total Real Asset (12.2%) Total Fixed Income Composite (32.6%) Total Long/Short Equity Composite (4.0%) Total International Equity (12.2%) Total Domestic Equity (38.2%) 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 798,980,208 100.0 N/A N/A 100.0 --- Total Domestic Equity 305,059,554 38.2 10.0 50.0 35.0 -225,161,533 94,430,550 -25,416,481 Total International Equity 97,476,217 12.2 5.0 20.0 15.0 -57,527,207 62,319,824 22,370,814 Total Long/Short Equity Composite 31,731,741 4.0 0.0 7.5 5.0 -31,731,741 28,191,775 8,217,270 Total Fixed Income Composite 260,658,792 32.6 10.0 55.0 35.0 -180,760,771 178,780,322 18,984,281 Total Real Asset 97,133,138 12.2 0.0 15.0 10.0 -97,133,138 22,713,894 -17,235,117 Total Cash Composite 6,920,766 0.9 0.0 5.0 0.0 -6,920,766 33,028,244 -6,920,766 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of December 31, 2021 Page 16 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 (0.9%) Total Real Asset (12.2%) Total Fixed Income Composite (32.6%) Total Long/Short Equity Composite (4.0%) Total International Equity (12.2%) Total Small Cap Equity Composite (8.2%) Total Mid Cap Equity Composite (8.8%) Total Large Cap Equity Composite (21.1%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 798,980,208 100.0 100.0 - Total Large Cap Equity Composite 168,905,500 21.1 20.0 -9,109,459 Total Mid Cap Equity Composite 70,544,892 8.8 7.5 -10,621,376 Total Small Cap Equity Composite 65,609,162 8.2 7.5 -5,685,646 Total International Equity 97,476,217 12.2 15.0 22,370,814 Total Long/Short Equity Composite 31,731,741 4.0 5.0 8,217,270 Total Fixed Income Composite 260,658,792 32.6 35.0 18,984,281 Total Real Asset 97,133,138 12.2 10.0 -17,235,117 Total Cash Composite 6,920,766 0.9 0.0 -6,920,766 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of December 31, 2021 Page 17 Asset Allocation By Segment as of September 30, 2021 : $790,820,520 Asset Allocation By Segment as of December 31, 2021 : $798,980,208 Allocation Segments Market Value Allocation Domestic Equity 287,142,922 36.3¢ International Equity 100,426,461 12.7¢ Domestic Fixed Income 196,938,052 24.9¢ Global Fixed Income 34,651,384 4.4¢ Real Estate 78,498,244 9.9¢ Hedge Fund 31,712,338 4.0¢ Private Equity 34,443,263 4.4¢ Cash Equivalent 27,007,856 3.4¢ Allocation Segments Market Value Allocation Domestic Equity 300,739,299 37.6¢ International Equity 95,703,214 12.0¢ Domestic Fixed Income 196,742,882 24.6¢ Global Fixed Income 34,666,545 4.3¢ Real Estate 82,298,159 10.3¢ Hedge Fund 31,731,741 4.0¢ Private Equity 38,438,740 4.8¢ Cash Equivalent 18,659,628 2.3¢ Asset Allocation Summary Total Fund Composite As of December 31, 2021 NONE Page 18 December 31, 2021 : $798,980,208 Allocation Market Value Allocation SSgA S&P 500 18,475,354 2.3¢ SSgA S&P 500 Equal Weighted Index 57,102,014 7.1¢ T. Rowe Price 93,328,133 11.7¢ Nuance Mid Cap Value 14,637,252 1.8¢ TimesSquare 18,512,270 2.3¢ Great Lakes SmidCap 16,268,071 2.0¢ Reinhart Partners 21,127,299 2.6¢ Leeward 32,475,554 4.1¢ Loomis Small Cap 33,133,608 4.1¢ Lazard 36,426,319 4.6¢ Pictet 42,932,011 5.4¢ Allspring EM 18,117,887 2.3¢ ABS Global 31,731,741 4.0¢ CS McKee 128,984,636 16.1¢ Loomis Fixed Income 73,187,439 9.2¢ Pimco Diversified Income (PDIIX)34,882,957 4.4¢ Churchill Senior Loan Fund 3,777,444 0.5¢ Marathon Distressed Credit Fund LP 8,467,882 1.1¢ H.I.G. Bayside Loan Opportunity VI 3,976,218 0.5¢ BlackRock Direct Lending Feeder IX 7,382,217 0.9¢ ValStone Opportunity Fund V 2,079,432 0.3¢ Morgan Stanley 46,154,483 5.8¢ JPM Euro Property 38,073 0.0¢ Prudential PRISA II 23,896,621 3.0¢ Alidade Capital Fund IV 5,397,590 0.7¢ Walton Street Real Estate 3,062,756 0.4¢ AEW Real Estate 1,773,694 0.2¢ Dune Real Estate IV 1,974,943 0.2¢ Hamilton Lane Secondary Fund V LP 6,631,240 0.8¢ Portfolio Adv Secondary Agg IV 6,124,307 0.8¢ Cash and Equivalents Account 725,526 0.1¢ Private Markets Cash 6,195,240 0.8¢ Asset Allocation By Manager Total Fund As of December 31, 2021 Page 19 Asset Allocation Attributes Dec-2021 Sep-2021 Jun-2021 Mar-2021 Dec-2020 ($)%($)%($)%($)%($)% Total Fund Composite 798,980,208 100.00 790,820,520 100.00 809,324,412 100.00 793,670,055 100.00 785,740,487 100.00 Total Equity Composite 434,267,512 54.35 432,698,289 54.72 474,337,935 58.61 474,082,096 59.73 463,757,321 59.02 Total Domestic Equity 305,059,554 38.18 291,580,548 36.87 312,595,039 38.62 310,425,521 39.11 293,323,940 37.33 Total Large Cap Equity Composite 168,905,500 21.14 162,351,037 20.53 181,206,388 22.39 174,472,157 21.98 162,582,908 20.69 SSgA S&P 500 18,475,354 2.31 25,877,454 3.27 35,442,675 4.38 39,657,317 5.00 37,348,946 4.75 SSgA S&P 500 Equal Weighted Index 57,102,014 7.15 52,279,608 6.61 52,464,178 6.48 49,068,552 6.18 44,051,301 5.61 T. Rowe Price 93,328,133 11.68 84,193,975 10.65 93,299,535 11.53 85,746,288 10.80 81,182,660 10.33 Total Mid Cap Equity Composite 70,544,892 8.83 67,600,176 8.55 68,006,480 8.40 67,641,984 8.52 68,249,120 8.69 Nuance Mid Cap Value 14,637,252 1.83 14,024,393 1.77 14,199,636 1.75 13,740,679 1.73 13,028,221 1.66 TimesSquare 18,512,270 2.32 17,576,916 2.22 17,364,670 2.15 15,823,512 1.99 20,635,112 2.63 Great Lakes SmidCap 16,268,071 2.04 15,812,828 2.00 16,613,445 2.05 18,757,592 2.36 17,689,518 2.25 Reinhart Partners 21,127,299 2.64 20,186,039 2.55 19,828,729 2.45 19,320,200 2.43 16,896,269 2.15 Total Small Cap Equity Composite 65,609,162 8.21 61,629,335 7.79 63,382,171 7.83 68,311,380 8.61 62,491,912 7.95 Leeward 32,475,554 4.06 30,236,224 3.82 30,253,756 3.74 33,518,324 4.22 28,751,533 3.66 Loomis Small Cap 33,133,608 4.15 31,393,111 3.97 33,128,415 4.09 34,793,056 4.38 33,740,379 4.29 Total International Equity 97,476,217 12.20 99,405,403 12.57 113,017,349 13.96 115,645,103 14.57 122,983,257 15.65 Lazard 36,426,319 4.56 36,374,952 4.60 47,001,726 5.81 44,913,254 5.66 44,712,302 5.69 Pictet 42,932,011 5.37 43,891,762 5.55 43,884,940 5.42 42,780,037 5.39 50,866,184 6.47 Allspring EM 18,117,887 2.27 19,138,689 2.42 22,130,683 2.73 27,951,812 3.52 27,404,771 3.49 Total Long/Short Equity Composite 31,731,741 3.97 41,712,338 5.27 48,725,548 6.02 48,011,471 6.05 47,450,125 6.04 ABS Global 31,731,741 3.97 41,712,338 5.27 48,725,548 6.02 48,011,471 6.05 47,450,125 6.04 Total Fixed Income Composite 260,658,792 32.62 263,310,987 33.30 247,942,466 30.64 239,589,358 30.19 243,343,835 30.97 Total Domestic Fixed Income 202,172,075 25.30 202,419,852 25.60 192,381,363 23.77 188,175,057 23.71 195,560,473 24.89 CS McKee 128,984,636 16.14 129,203,335 16.34 109,338,324 13.51 106,972,305 13.48 111,870,411 14.24 Loomis Fixed Income 73,187,439 9.16 73,216,517 9.26 83,043,039 10.26 81,202,752 10.23 83,690,062 10.65 Total Global Fixed 34,882,957 4.37 34,651,384 4.38 34,609,177 4.28 33,578,133 4.23 34,363,772 4.37 Franklin Templeton -0.00 -0.00 -0.00 -0.00 34,363,772 4.37 Pimco Diversified Income (PDIIX)34,882,957 4.37 34,651,384 4.38 34,609,177 4.28 33,578,133 4.23 -0.00 Historical Asset Allocation Total Fund As of December 31, 2021 Page 20 Historical Asset Allocation Total Fund As of December 31, 2021 Dec-2021 Sep-2021 Jun-2021 Mar-2021 Dec-2020 ($)%($)%($)%($)%($)% Private Fixed Income 23,603,761 2.95 26,239,751 3.32 20,951,926 2.59 17,836,168 2.25 13,419,590 1.71 Churchill Senior Loan Fund 3,777,444 0.47 10,060,653 1.27 10,206,852 1.26 10,106,828 1.27 12,344,502 1.57 Marathon Distressed Credit Fund LP 8,467,882 1.06 7,321,191 0.93 6,232,963 0.77 4,096,537 0.52 867,825 0.11 H.I.G. Bayside Loan Opportunity VI 3,976,218 0.50 2,744,523 0.35 667,199 0.08 160,977 0.02 207,263 0.03 BlackRock Direct Lending Feeder IX 7,382,217 0.92 6,113,384 0.77 3,844,912 0.48 3,471,826 0.44 -0.00 Total Real Asset 97,133,138 12.16 92,537,721 11.70 83,063,554 10.26 77,512,392 9.77 75,992,847 9.67 Total Real Estate 84,377,591 10.56 80,545,284 10.19 76,339,490 9.43 73,915,141 9.31 70,176,508 8.93 ValStone Opportunity Fund V 2,079,432 0.26 2,047,040 0.26 2,236,175 0.28 2,209,756 0.28 2,173,998 0.28 Morgan Stanley 46,154,483 5.78 42,111,688 5.33 39,793,507 4.92 38,716,240 4.88 37,992,130 4.84 JPM Euro Property 38,073 0.00 38,073 0.00 35,065 0.00 34,103 0.00 70,524 0.01 Prudential PRISA II 23,896,621 2.99 22,444,818 2.84 20,923,457 2.59 19,963,027 2.52 19,614,725 2.50 Alidade Capital Fund IV 5,397,590 0.68 6,032,776 0.76 5,854,445 0.72 5,597,920 0.71 5,307,639 0.68 Walton Street Real Estate 3,062,756 0.38 3,386,448 0.43 3,186,902 0.39 3,004,539 0.38 3,036,986 0.39 AEW Real Estate 1,773,694 0.22 2,845,441 0.36 2,963,316 0.37 3,260,392 0.41 2,876,244 0.37 Dune Real Estate IV 1,974,943 0.25 1,639,000 0.21 1,346,622 0.17 1,129,164 0.14 1,278,260 0.16 Private Investments 12,755,547 1.60 11,992,437 1.52 6,724,064 0.83 3,597,251 0.45 5,816,339 0.74 Hamilton Lane Secondary Fund V LP 6,631,240 0.83 6,364,011 0.80 4,668,960 0.58 2,550,184 0.32 2,579,811 0.33 Portfolio Adv Secondary Agg IV 6,124,307 0.77 5,628,426 0.71 2,055,104 0.25 1,047,067 0.13 1,062,530 0.14 Total Cash Composite 6,920,766 0.87 2,273,523 0.29 3,980,458 0.49 2,486,209 0.31 2,646,484 0.34 Cash and Equivalents Account 725,526 0.09 2 0.00 348,659 0.04 91,497 0.01 21,879 0.00 Private Markets Cash 6,195,240 0.78 2,273,521 0.29 3,631,798 0.45 2,394,713 0.30 2,624,604 0.33 Page 21 Financial Reconciliation Market Value 10/01/2021 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 12/31/2021 Total Fund Composite 790,820,520 -5,505,248 -25,000,000 -319,499 -117,785 3,164,108 24,927,616 798,980,208 Total Equity Composite 432,698,289 -20,000,000 41,476 --102,554 -116,510 1,268,186 20,478,625 434,267,512 Total Domestic Equity 291,580,548 -10,000,000 ---3,964 -2,487 783,847 22,701,610 305,059,554 Total Large Cap Equity Composite 162,351,037 -10,000,000 ---3,964 -1,733 310,381 16,249,781 168,905,500 SSgA S&P 500 25,877,454 -10,000,000 ----1,488 -2,599,388 18,475,354 SSgA S&P 500 Equal Weighted Index 52,279,608 ----3,964 --4,826,370 57,102,014 T. Rowe Price 84,193,975 -----245 310,381 8,824,023 93,328,133 Total Mid Cap Equity Composite 67,600,176 -----394 232,221 2,712,889 70,544,892 Nuance Mid Cap Value 14,024,393 -----154 77,600 535,413 14,637,252 TimesSquare 17,576,916 -----109 22,899 912,565 18,512,270 Great Lakes SmidCap 15,812,828 -----29 66,700 388,573 16,268,071 Reinhart Partners 20,186,039 -----102 65,023 876,339 21,127,299 Total Small Cap Equity Composite 61,629,335 -----359 241,245 3,738,940 65,609,162 Leeward 30,236,224 -----112 204,940 2,034,501 32,475,554 Loomis Small Cap 31,393,111 -----247 36,306 1,704,439 33,133,608 Total International Equity 99,405,403 -41,476 --98,590 -114,023 484,339 -2,242,388 97,476,217 Lazard 36,374,952 -----114,023 302,200 -136,810 36,426,319 Pictet 43,891,762 ----57,114 -182,139 -1,084,776 42,932,011 Allspring EM 19,138,689 -41,476 --41,476 ---1,020,802 18,117,887 Total Long/Short Equity Composite 41,712,338 -10,000,000 -----19,402 31,731,741 ABS Global 41,712,338 -10,000,000 -----19,402 31,731,741 Total Fixed Income Composite 263,310,987 -2,923,633 ---64,948 -858 1,480,428 -1,143,184 260,658,792 Total Domestic Fixed Income 202,419,852 -----845 1,124,270 -1,371,203 202,172,075 CS McKee 129,203,335 -----699 690,003 -908,004 128,984,636 Loomis Fixed Income 73,216,517 -----145 434,266 -463,199 73,187,439 Total Global Fixed 34,651,384 216,411 ---64,948 -14 356,158 -276,035 34,882,957 Pimco Diversified Income (PDIIX)34,651,384 216,411 ---64,948 -14 356,158 -276,035 34,882,957 Financial Reconciliation Total Fund 1 Quarter Ending December 31, 2021 Page 22 Financial Reconciliation Total Fund 1 Quarter Ending December 31, 2021 Market Value 10/01/2021 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 12/31/2021 Private Fixed Income 26,239,751 -3,140,044 -----504,054 23,603,761 Churchill Senior Loan Fund 10,060,653 -6,480,843 -----197,633 3,777,444 Marathon Distressed Credit Fund LP 7,321,191 840,000 -----306,690 8,467,882 H.I.G. Bayside Loan Opportunity VI 2,744,523 1,231,965 ------270 3,976,218 BlackRock Direct Lending Feeder IX 6,113,384 1,268,833 ------7,382,217 Bloomfield Capital Fund V - Series B --------- Total Real Asset 92,537,721 -1,267,516 ---151,997 -415,303 5,599,627 97,133,138 Total Real Estate 80,545,284 -2,030,626 ---151,997 -415,303 5,599,627 84,377,591 ValStone Opportunity Fund V 2,047,040 ------32,392 2,079,432 Morgan Stanley 42,111,688 ----88,435 -415,303 3,715,927 46,154,483 JPM Euro Property 38,073 -------38,073 Prudential PRISA II 22,444,818 ----63,563 --1,515,365 23,896,621 Alidade Capital Fund IV 6,032,776 -635,186 ------5,397,590 Walton Street Real Estate 3,386,448 -323,692 ------3,062,756 AEW Real Estate 2,845,441 -1,071,747 ------1,773,694 Dune Real Estate IV 1,639,000 ------335,943 1,974,943 Private Investments 11,992,437 763,110 ------12,755,547 Hamilton Lane Secondary Fund V LP 6,364,011 267,229 ------6,631,240 Portfolio Adv Secondary Agg IV 5,628,426 495,881 ------6,124,307 Total Cash Composite 2,273,523 24,191,149 5,463,772 -25,000,000 --418 191 -7,451 6,920,766 Cash and Equivalents Account 2 21,237,791 4,487,924 -25,000,000 --418 191 37 725,526 Private Markets Cash 2,273,521 2,953,358 975,848 -----7,487 6,195,240 Page 23 -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 38.18 (65)12.20 (73)4.37 (38)25.30 (46)8.78 (56)10.30 (22)0.87 (67) 5th Percentile 62.04 25.00 9.68 57.26 43.42 14.10 7.07 1st Quartile 51.39 17.85 4.85 31.81 18.15 10.03 2.65 Median 43.03 14.39 3.84 24.15 10.21 8.26 1.36 3rd Quartile 33.42 11.79 2.60 18.97 4.49 5.80 0.65 95th Percentile 16.42 7.11 1.57 11.68 1.12 2.39 0.08 Plan Sponsor TF Asset Allocation Total Fund Composite Vs. All Public Plans-Total Fund As of December 31, 2021 Page 24 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)798,980,208 100.0 3.59 (74)3.59 (74)11.85 (77)11.85 (77)13.68 (81)10.01 (82)8.48 (68)9.47 (61)8.61 (63)10/01/1986 Total Fund Policy Index 4.23 (52)4.23 (52)11.77 (77)11.77 (77)14.23 (70)10.31 (76)8.57 (64)9.72 (54)9.06 (37) Difference -0.64 -0.64 0.08 0.08 -0.55 -0.30 -0.09 -0.25 -0.45 All Public Plans-Total Fund Median 4.28 4.28 13.62 13.62 15.18 11.04 8.92 9.81 8.77 Total Fund Composite (Net)798,980,208 100.0 3.55 3.55 11.66 11.66 13.46 9.69 8.19 9.26 8.55 10/01/1986 Total Fund Policy Index 4.23 4.23 11.77 11.77 14.23 10.31 8.57 9.72 9.06 Difference -0.68 -0.68 -0.11 -0.11 -0.77 -0.62 -0.38 -0.46 -0.51 Total Equity Composite 434,267,512 54.4 5.17 5.17 16.46 16.46 19.32 13.33 10.83 12.66 10.03 10/01/1986 Total Equity Index 6.61 6.61 20.17 20.17 21.50 14.80 12.17 14.35 10.55 Difference -1.44 -1.44 -3.71 -3.71 -2.18 -1.47 -1.34 -1.69 -0.52 Total Fixed Income Composite 260,658,792 32.6 0.13 0.13 0.53 0.53 5.27 4.08 3.49 3.69 6.21 10/01/1986 Total Fixed Income Index -0.09 -0.09 -2.00 -2.00 4.70 3.59 2.92 2.68 5.96 Difference 0.22 0.22 2.53 2.53 0.57 0.49 0.57 1.01 0.25 Total Real Asset 97,133,138 12.2 6.54 6.54 22.99 22.99 11.24 10.47 11.04 10.94 6.19 07/01/2008 NCREIF Fund Index-ODCE (VW)7.97 7.97 22.17 22.17 9.20 8.71 9.60 10.45 6.25 Difference -1.43 -1.43 0.82 0.82 2.04 1.76 1.44 0.49 -0.06 Total Cash Composite 6,920,766 0.9 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 2021 Page 25 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 2021 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Equity 305,059,554 38.2 Total Large Cap Equity Composite 168,905,500 21.1 10.44 (36)10.44 (36)28.78 (33)28.78 (33)26.15 (41)18.41 (45)15.01 (38)16.66 (38)12.64 (42)07/01/2008 IM U.S. Large Cap Equity (SA+CF) Median 9.39 9.39 27.36 27.36 25.51 17.98 14.46 16.31 12.51 SSgA S&P 500 (1.5 bps)18,475,354 2.3 11.02 (35)11.02 (35)28.65 (40)28.65 (40)26.04 (39)18.47 (38)14.96 (33)16.60 (39)15.42 (39)10/01/2009 S&P 500 Index 11.03 (33)11.03 (33)28.71 (37)28.71 (37)26.07 (37)18.47 (38)14.93 (34)16.55 (43)15.37 (43) Difference -0.01 -0.01 -0.06 -0.06 -0.03 0.00 0.03 0.05 0.05 IM U.S. Large Cap Core Equity (SA+CF) Median 10.31 10.31 27.86 27.86 25.27 18.03 14.43 16.33 15.19 SSgA S&P 500 Equal Weighted Index (4bps)57,102,014 7.1 9.23 (69)9.23 (69)29.66 (29)29.66 (29)23.53 (68)N/A N/A N/A 13.89 (72)02/01/2018 S&P 500 Equal Weighted 9.01 (75)9.01 (75)29.63 (29)29.63 (29)23.64 (67)15.73 (76)12.85 (79)15.63 (70)14.01 (71) Difference 0.22 0.22 0.03 0.03 -0.11 N/A N/A N/A -0.12 IM U.S. Large Cap Core Equity (SA+CF) Median 10.31 10.31 27.86 27.86 25.27 18.03 14.43 16.33 15.58 T. Rowe Price (25 bps)93,328,133 11.7 10.85 (40)10.85 (40)28.39 (43)28.39 (43)27.22 (22)19.72 (17)16.01 (14)17.41 (15)15.98 (23)10/01/2009 S&P 500 Index 11.03 (33)11.03 (33)28.71 (37)28.71 (37)26.07 (37)18.47 (38)14.93 (34)16.55 (43)15.37 (43) Difference -0.18 -0.18 -0.32 -0.32 1.15 1.25 1.08 0.86 0.61 IM U.S. Large Cap Core Equity (SA+CF) Median 10.31 10.31 27.86 27.86 25.27 18.03 14.43 16.33 15.19 Total Mid Cap Equity Composite 70,544,892 8.8 4.36 (78)4.36 (78)16.47 (72)16.47 (72)17.28 (95)11.32 (86)9.35 (91)12.63 (92)10.03 (95)07/01/2008 IM U.S. Mid Cap Equity (SA+CF) Median 7.53 7.53 24.64 24.64 23.24 15.55 12.84 15.25 12.28 Nuance Mid Cap Value (75 bps)14,637,252 1.8 4.37 (100)4.37 (100)12.35 (100)12.35 (100)N/A N/A N/A N/A 19.04 (100)08/01/2020 Russell Midcap Value Index 8.54 (49)8.54 (49)28.34 (57)28.34 (57)19.62 (65)11.22 (73)9.96 (73)13.44 (71)37.52 (62) Difference -4.17 -4.17 -15.99 -15.99 N/A N/A N/A N/A -18.48 IM U.S. Mid Cap Value Equity (SA+CF) Median 8.52 8.52 29.07 29.07 20.86 11.95 10.87 14.02 38.85 TimesSquare (80 bps)18,512,270 2.3 5.32 (37)5.32 (37)17.10 (36)17.10 (36)29.65 (43)21.05 (51)16.24 (50)17.65 (45)16.80 (56)09/01/2009 Russell Midcap Growth Index 2.85 (63)2.85 (63)12.73 (69)12.73 (69)27.46 (67)19.83 (65)14.92 (66)16.63 (58)16.43 (64) Difference 2.47 2.47 4.37 4.37 2.19 1.22 1.32 1.02 0.37 IM U.S. Mid Cap Growth Equity (SA+CF) Median 3.89 3.89 15.37 15.37 29.14 21.06 16.22 16.99 16.95 Great Lakes SmidCap (55 bps)16,268,071 2.0 2.88 (93)2.88 (93)8.69 (100)8.69 (100)N/A N/A N/A N/A 9.56 (97)05/01/2019 Russell 2500 Index 3.82 (87)3.82 (87)18.18 (83)18.18 (83)21.91 (23)13.75 (18)11.74 (14)14.15 (18)16.75 (26) Difference -0.94 -0.94 -9.49 -9.49 N/A N/A N/A N/A -7.19 IM U.S. SMID Cap Core Equity (MF) Median 7.50 7.50 24.44 24.44 20.84 12.31 10.43 12.99 15.93 Reinhart Partners (65 bps)21,127,299 2.6 4.66 (82)4.66 (82)25.04 (42)25.04 (42)N/A N/A N/A N/A 14.48 (78)05/01/2019 Russell 2500 Index 3.82 (87)3.82 (87)18.18 (83)18.18 (83)21.91 (23)13.75 (18)11.74 (14)14.15 (18)16.75 (26) Difference 0.84 0.84 6.86 6.86 N/A N/A N/A N/A -2.27 IM U.S. SMID Cap Core Equity (MF) Median 7.50 7.50 24.44 24.44 20.84 12.31 10.43 12.99 15.93 Page 26 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 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 65,609,162 8.2 6.46 (39)6.46 (39)20.17 (63)20.17 (63)22.27 (50)13.73 (49)12.04 (51)13.53 (71)11.57 (65)07/01/2008 IM U.S. Small Cap Equity (SA+CF) Median 5.55 5.55 23.90 23.90 22.13 13.45 12.06 14.65 12.09 Lee Munder (70 bps)32,475,554 4.1 7.41 (41)7.41 (41)31.53 (42)31.53 (42)20.48 (43)10.17 (58)11.05 (41)12.94 (64)10.29 (38)09/01/2005 Russell 2000 Value Index 4.36 (87)4.36 (87)28.27 (54)28.27 (54)17.99 (79)9.07 (76)9.45 (74)12.03 (82)8.00 (92) Difference 3.05 3.05 3.26 3.26 2.49 1.10 1.60 0.91 2.29 IM U.S. Small Cap Value Equity (SA+CF) Median 6.86 6.86 29.35 29.35 20.16 10.68 10.66 13.40 9.93 Loomis Small Cap (90 bps)33,133,608 4.1 5.54 (23)5.54 (23)10.65 (59)10.65 (59)24.25 (71)19.85 (55)15.34 (57)N/A 16.71 (59)09/01/2012 Russell 2000 Growth Index 0.01 (70)0.01 (70)2.83 (85)2.83 (85)21.17 (89)14.53 (90)11.66 (92)14.14 (90)13.97 (91) Difference 5.53 5.53 7.82 7.82 3.08 5.32 3.68 N/A 2.74 IM U.S. Small Cap Growth Equity (SA+CF) Median 2.59 2.59 13.26 13.26 27.68 20.24 15.62 17.32 17.23 Total International Equity 97,476,217 12.2 -1.77 (82)-1.77 (82)2.10 (77)2.10 (77)12.17 (71)9.14 (72)7.02 (66)8.24 (66)4.68 (74)07/01/2008 Total International Equity Index 1.88 (40)1.88 (40)8.29 (58)8.29 (58)13.70 (60)10.12 (60)7.05 (66)7.75 (72)4.01 (86) Difference -3.65 -3.65 -6.19 -6.19 -1.53 -0.98 -0.03 0.49 0.67 IM International Equity (SA+CF) Median 1.11 1.11 10.10 10.10 14.89 11.05 8.03 9.22 5.76 Lazard (75 bps)36,426,319 4.6 0.45 (58)0.45 (58)6.57 (65)6.57 (65)12.33 (70)10.09 (61)7.04 (66)9.19 (51)6.26 (55)09/01/2006 MSCI AC World ex USA 1.88 (40)1.88 (40)8.29 (58)8.29 (58)13.70 (60)10.12 (60)7.05 (66)7.78 (71)4.88 (81) Difference -1.43 -1.43 -1.72 -1.72 -1.37 -0.03 -0.01 1.41 1.38 IM International Equity (SA+CF) Median 1.11 1.11 10.10 10.10 14.89 11.05 8.03 9.22 6.47 Pictet (65 bps)42,932,011 5.4 -2.06 (99)-2.06 (99)6.31 (92)6.31 (92)12.09 (83)7.93 (90)7.04 (69)8.08 (86)2.53 (97)01/01/2008 MSCI EAFE Index 2.74 (61)2.74 (61)11.78 (53)11.78 (53)14.08 (66)10.07 (63)7.26 (64)8.53 (72)3.57 (78) Difference -4.80 -4.80 -5.47 -5.47 -1.99 -2.14 -0.22 -0.45 -1.04 IM Intl Large Cap Core Equity (SA+CF)3.16 3.16 12.14 12.14 15.78 11.05 7.92 9.33 4.38 Berkeley Street (95 bps)18,117,887 2.3 -5.33 (93)-5.33 (93)-11.83 (98)-11.83 (98)12.88 (54)11.03 (47)7.80 (40)N/A 6.06 (58)11/01/2012 MSCI Emerging Markets Index -1.24 (60)-1.24 (60)-2.22 (65)-2.22 (65)11.33 (70)10.26 (60)6.50 (67)5.87 (78)5.14 (79) Difference -4.09 -4.09 -9.61 -9.61 1.55 0.77 1.30 N/A 0.92 IM Emerging Markets Equity (SA+CF) Median -0.69 -0.69 1.19 1.19 13.16 10.83 7.27 7.14 6.37 Total Long/Short Equity Composite 31,731,741 4.0 0.05 (89)0.05 (89)2.70 (83)2.70 (83)10.69 (56)7.44 (55)5.29 (56)5.69 (70)5.31 (71)10/01/2010 IM Long/Short Equity (MF) Median 4.94 4.94 13.45 13.45 11.38 7.73 5.59 6.55 7.12 ABS Global (100 bps)31,731,741 4.0 0.05 (89)0.05 (89)2.70 (83)2.70 (83)10.69 (56)7.44 (55)5.33 (55)6.67 (48)5.99 (66)10/01/2010 HFRI FOF: Strategic Index 0.42 (85)0.42 (85)6.17 (77)6.17 (77)10.38 (58)6.90 (59)4.79 (67)5.28 (72)4.36 (82) Difference -0.37 -0.37 -3.47 -3.47 0.31 0.54 0.54 1.39 1.63 IM Long/Short Equity (MF) Median 4.94 4.94 13.45 13.45 11.38 7.73 5.59 6.55 7.12 Page 27 Asset Allocation & Performance Total Fund Composite (Gross) As of December 31, 2021 Allocation Market Value $ % Performance(%) QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Fixed Income 202,172,075 25.3 -0.12 (72)-0.12 (72)-1.16 (46)-1.16 (46)5.79 (31)4.34 (30)N/A N/A 3.56 (25)08/01/2016 IM U.S. Broad Market Core Fixed Inc (SA+CF)-0.04 -0.04 -1.23 -1.23 5.47 4.10 3.51 3.51 3.24 CS McKee (35 bps)128,984,636 16.1 -0.17 (80)-0.17 (80)-1.47 (67)-1.47 (67)5.18 (69)3.86 (71)3.38 (63)3.25 (71)3.83 (71)02/01/2010 Blmbg. U.S. Aggregate Index 0.01 (34)0.01 (34)-1.55 (70)-1.55 (70)4.79 (92)3.57 (94)3.00 (94)2.90 (93)3.50 (92) Difference -0.18 -0.18 0.08 0.08 0.39 0.29 0.38 0.35 0.33 IM U.S. Broad Market Core Fixed Inc (SA+CF)-0.04 -0.04 -1.23 -1.23 5.47 4.10 3.51 3.51 4.03 Loomis Fixed Income (30 bps)73,187,439 9.2 -0.04 (51)-0.04 (51)-0.69 (28)-0.69 (28)6.65 (5)5.08 (4)4.25 (6)4.85 (5)5.55 (3)04/01/2010 Blmbg. U.S. Aggregate Index 0.01 (34)0.01 (34)-1.55 (70)-1.55 (70)4.79 (92)3.57 (94)3.00 (94)2.90 (93)3.52 (93) Difference -0.05 -0.05 0.86 0.86 1.86 1.51 1.25 1.95 2.03 IM U.S. Broad Market Core Fixed Inc (SA+CF)-0.04 -0.04 -1.23 -1.23 5.47 4.10 3.51 3.51 4.05 Total Global Fixed 34,882,957 4.4 0.23 (26)0.23 (26)1.32 (37)1.32 (37)-1.07 (99)0.14 (99)N/A N/A 1.36 (95)08/01/2016 IM Global Fixed Income (SA+CF) Median -0.20 -0.20 0.02 0.02 6.15 4.83 3.83 3.86 4.47 Pimco Diversified Income (PDIIX)34,882,957 4.4 0.23 (4)0.23 (4)N/A N/A N/A N/A N/A N/A 2.74 (2)03/01/2021 Blmbg. Global Credit (Hedged)-0.03 (12)-0.03 (12)-0.41 (13)-0.41 (13)6.27 (7)4.74 (10)4.38 (4)4.93 (2)1.46 (7) Difference 0.26 0.26 N/A N/A N/A N/A N/A N/A 1.28 IM Global Fixed Income (MF) Median -0.69 -0.69 -2.69 -2.69 4.30 3.40 2.49 2.41 -0.78 Total Real Estate 84,377,591 10.6 7.57 (51)7.57 (51)22.85 (48)22.85 (48)10.68 (41)10.14 (34)N/A N/A 10.37 (N/A)09/01/2016 IM U.S. Open End Private RE (SA+CF)7.57 7.57 21.86 21.86 10.39 9.64 10.33 11.15 N/A Morgan Stanley (84 bps)46,154,483 5.8 9.81 (17)9.81 (17)22.89 (48)22.89 (48)10.37 (51)10.01 (40)10.83 (37)11.97 (35)7.36 (21)01/01/2008 NCREIF Fund Index-ODCE (VW)7.97 (40)7.97 (40)22.17 (50)22.17 (50)9.20 (65)8.71 (66)9.60 (67)10.45 (69)6.14 (67) Difference 1.84 1.84 0.72 0.72 1.17 1.30 1.23 1.52 1.22 IM U.S. Open End Private RE (SA+CF)7.57 7.57 21.86 21.86 10.39 9.64 10.33 11.15 6.68 Prudential PRISA II (85 bps)23,896,621 3.0 6.75 (68)6.75 (68)23.18 (47)23.18 (47)10.18 (55)9.60 (51)10.79 (38)11.90 (36)11.93 (38)10/01/2011 NCREIF Property Index 6.15 (75)6.15 (75)17.70 (82)17.70 (82)8.37 (79)7.75 (81)8.56 (81)9.32 (85)9.40 (84) Difference 0.60 0.60 5.48 5.48 1.81 1.85 2.23 2.58 2.53 IM U.S. Open End Private RE (SA+CF)7.57 7.57 21.86 21.86 10.39 9.64 10.33 11.15 11.46 JPM Euro Property 38,073 0.0 0.00 (100)0.00 (100)-46.01 (100)-46.01 (100)-25.34 (100)-10.59 (100)-7.11 (100)-6.14 (100)-5.75 (100)04/01/2009 NCREIF Property Index 6.15 (75)6.15 (75)17.70 (82)17.70 (82)8.37 (79)7.75 (81)8.56 (81)9.32 (85)8.49 (71) Difference -6.15 -6.15 -63.71 -63.71 -33.71 -18.34 -15.67 -15.46 -14.24 IM U.S. Open End Private RE (SA+CF)7.57 7.57 21.86 21.86 10.39 9.64 10.33 11.15 9.66 Total Cash Composite 6,920,766 0.9 Cash and Equivalents Account (No fee)725,526 0.1 Private Markets Cash 6,195,240 0.8 Page 28 Comparative Performance - IRR QTR FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date ValStone Opportunity Fund V 1.58 1.58 6.44 6.44 6.92 6.85 7.52 N/A 7.48 08/27/2014 Alidade Capital Fund IV 0.00 0.00 17.45 17.45 13.12 N/A N/A N/A 10.24 04/20/2017 Walton Street Real Estate 0.00 0.00 19.17 19.17 10.62 N/A N/A N/A 11.81 05/24/2017 AEW Real Estate 0.00 0.00 45.52 45.52 21.19 N/A N/A N/A 17.99 09/28/2017 Churchill Senior Loan Fund 4.57 4.57 13.34 13.34 7.18 N/A N/A N/A 7.31 12/07/2017 Dune Real Estate IV 20.50 20.50 23.14 23.14 N/A N/A N/A N/A 3.42 08/22/2019 Hamilton Lane Secondary Fund V LP 0.00 0.00 32.79 32.79 N/A N/A N/A N/A 48.61 04/28/2020 Marathon Distressed Credit Fund LP 4.11 4.11 36.27 36.27 N/A N/A N/A N/A 47.62 09/10/2020 H.I.G. Bayside Loan Opportunity VI -0.01 -0.01 8.90 8.90 N/A N/A N/A N/A 64.04 09/29/2020 Portfolio Adv Secondary Agg IV 0.00 0.00 20.18 20.18 N/A N/A N/A N/A 33.23 11/02/2020 BlackRock Direct Lending Feeder IX 0.00 0.00 8.11 8.11 N/A N/A N/A N/A 8.11 01/05/2021 Bloomfield Capital Fund V - Series B N/A N/A N/A N/A N/A N/A N/A N/A N/A Comparative Performance - IRR Alternative Investments As of December 31, 2021 Page 29 Page Intentionally Left Blank Page 30 Plan Sponsor Peer Group Analysis - All Public Plans-Total Fund Comparative Performance -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 17.00 20.00 23.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Total Fund Composite 3.59 (74)3.59 (74)11.85 (77)11.61 (85)13.68 (81)9.01 (79)10.01 (82) Total Fund Policy Index 4.23 (52)4.23 (52)11.77 (77)12.20 (77)14.23 (70)9.47 (69)10.31 (76) Median 4.28 4.28 13.62 13.58 15.18 10.09 11.04 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 Return2020 2019 2018 2017 2016 Total Fund Composite 11.37 (70)17.92 (58)-3.86 (47)14.09 (70)8.21 (32) Total Fund Policy Index 12.63 (49)18.40 (51)-3.67 (44)13.76 (75)8.17 (34) Median 12.54 18.49 -4.03 15.06 7.59 1 Qtr Ending Sep-2021 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 Total Fund Composite 0.50 (27)4.55 (86)2.76 (67)11.17 (30)4.28 (82)11.29 (63) Total Fund Policy Index -0.01 (54)4.73 (81)2.39 (78)9.63 (66)4.42 (80)11.69 (57) All Public Plans-Total Fund Median 0.02 5.43 3.23 10.28 5.23 12.12 As of December 31, 2021 Performance Review Total Fund Composite 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 Total Fund Composite (%)0.0 5.0 10.0 15.0 20.0 Total Fund Policy Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Total Fund Composite 20 3 (15%)3 (15%)8 (40%)6 (30%) Total Fund Policy Index 20 0 (0%)8 (40%)12 (60%)0 (0%) 13.23 13.72 14.21 14.70 15.19 15.68 Return (%)9.50 9.69 9.88 10.07 10.26 10.45 10.64 10.83 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 13.68 10.26 Total Fund Policy Index 14.23 9.71 Median 15.16 10.59¾ 9.86 10.20 10.54 10.88 11.22 Return (%)8.2 8.4 8.6 8.8 9.0 9.2 9.4 Risk (Standard Deviation %) Return Standard Deviation Total Fund Composite 10.01 8.79 Total Fund Policy Index 10.31 8.42 Median 11.03 9.25¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Total Fund Composite 1.47 101.22 109.77 -1.07 -0.29 1.20 1.05 6.57 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 1.31 1.00 5.79 90 Day U.S. Treasury Bill 9.82 3.06 -4.98 1.15 -1.31 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 1.19 100.56 105.21 -0.60 -0.20 0.99 1.03 5.81 Total Fund Policy Index 0.00 100.00 100.00 0.00 N/A 1.06 1.00 5.30 90 Day U.S. Treasury Bill 8.53 4.68 -5.61 1.26 -1.06 N/A -0.01 0.00 As of December 31, 2021 Performance Review Total Fund Composite NONE Page 32 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 11.02 (35)11.02 (35)28.65 (40)23.40 (40)26.04 (39)17.64 (37)18.47 (38) S&P 500 Index 11.03 (33)11.03 (33)28.71 (37)23.44 (38)26.07 (37)17.65 (36)18.47 (38) Median 10.31 10.31 27.86 22.28 25.27 16.73 18.03 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2020 2019 2018 2017 2016 SSgA S&P 500 18.36 (45)31.49 (35)-4.35 (37)21.86 (51)12.07 (32) S&P 500 Index 18.40 (43)31.49 (35)-4.38 (38)21.83 (52)11.96 (35) Median 17.25 30.00 -5.16 21.86 10.63 1 Qtr Ending Sep-2021 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 SSgA S&P 500 0.58 (27)8.50 (34)6.19 (62)12.14 (55)8.93 (36)20.53 (48) S&P 500 Index 0.58 (27)8.55 (31)6.17 (63)12.15 (54)8.93 (36)20.54 (48) IM U.S. Large Cap Core Equity (SA+CF) Median 0.11 8.04 6.74 12.32 8.02 20.44 Performance Review As of December 31, 2021 SSgA S&P 500 NONE Page 33 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 8.0 16.0 24.0 32.0 SSgA S&P 500 (%)0.0 8.0 16.0 24.0 32.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 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%) 25.11 25.38 25.65 25.92 26.19 Return (%)18.79 18.80 18.81 18.82 18.83 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 26.04 18.81 S&P 500 Index 26.07 18.81 Median 25.27 18.83¾ 17.80 18.00 18.20 18.40 18.60 Return (%)17.18 17.19 17.20 17.21 17.22 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 18.47 17.19 S&P 500 Index 18.47 17.19 Median 18.03 17.20¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.04 99.98 100.11 -0.03 -0.65 1.38 1.00 10.14 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.38 1.00 10.13 90 Day U.S. Treasury Bill 17.28 1.66 -2.54 1.15 -1.38 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 0.03 100.01 100.05 -0.01 -0.08 1.11 1.00 9.56 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.11 1.00 9.55 90 Day U.S. Treasury Bill 15.36 2.61 -2.59 1.26 -1.11 N/A -0.01 0.00 Performance Review As of December 31, 2021 SSgA S&P 500 NONE Page 34 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR SSgA S&P 500 EW Idx 9.23 (69)9.23 (69)29.66 (29)20.37 (70)23.53 (68)N/A N/A S&P 500 Equal Weighted 9.01 (75)9.01 (75)29.63 (29)20.94 (65)23.64 (67)14.95 (74)15.73 (76) Median 10.31 10.31 27.86 22.28 25.27 16.73 18.03 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2020 2019 2018 2017 2016 SSgA S&P 500 EW Idx 11.74 (74)30.10 (50)N/A N/A N/A S&P 500 Equal Weighted 12.83 (70)29.24 (59)-7.64 (82)18.90 (81)14.80 (13) Median 17.25 30.00 -5.16 21.86 10.63 1 Qtr Ending Sep-2021 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 SSgA S&P 500 EW Idx -0.34 (71)6.92 (77)11.40 (15)18.62 (7)6.69 (72)21.36 (35) S&P 500 Equal Weighted -0.22 (68)6.90 (77)11.49 (13)18.46 (8)6.75 (72)21.73 (31) IM U.S. Large Cap Core Equity (SA+CF) Median 0.11 8.04 6.74 12.32 8.02 20.44 Performance Review As of December 31, 2021 SSgA S&P 500 EW Idx 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 Under Performance Earliest Date Latest Date 12.0 16.0 20.0 24.0 28.0 SSgA S&P 500 EW Idx (%)12.0 16.0 20.0 24.0 28.0 S&P 500 Equal Weighted (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count SSgA S&P 500 EW Idx 4 0 (0%)0 (0%)4 (100%)0 (0%) S&P 500 Equal Weighted 20 0 (0%)0 (0%)15 (75%)5 (25%) 23.20 23.78 24.36 24.94 25.52 26.10 Return (%)18.00 20.00 22.00 24.00 26.00 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 EW Idx 23.53 23.76 S&P 500 Equal Weighted 23.64 23.56 Median 25.27 18.83¾ 15.00 15.75 16.50 17.25 18.00 18.75 Return (%)16.06 16.79 17.52 18.25 18.98 19.71 20.44 21.17 Risk (Standard Deviation %) Return Standard Deviation SSgA S&P 500 EW Idx N/A N/A S&P 500 Equal Weighted 15.73 20.40 Median 18.03 17.20¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 EW Idx 0.51 100.27 100.88 -0.32 -0.08 1.09 1.01 13.08 S&P 500 Equal Weighted 0.00 100.00 100.00 0.00 N/A 1.10 1.00 12.81 90 Day U.S. Treasury Bill 20.44 1.61 -2.14 1.14 -1.10 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk SSgA S&P 500 EW Idx N/A N/A N/A N/A N/A N/A N/A N/A S&P 500 Equal Weighted 0.00 100.00 100.00 0.00 N/A 0.86 1.00 11.48 90 Day U.S. Treasury Bill 17.57 2.57 -2.41 1.24 -0.86 N/A -0.01 0.00 Performance Review As of December 31, 2021 SSgA S&P 500 EW Idx NONE Page 36 Peer Group Analysis - IM U.S. Large Cap Core Equity (SA+CF) Comparative Performance 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR T. Rowe Price 10.85 (40)10.85 (40)28.39 (43)24.39 (28)27.22 (22)18.59 (20)19.72 (17) S&P 500 Index 11.03 (33)11.03 (33)28.71 (37)23.44 (38)26.07 (37)17.65 (36)18.47 (38) Median 10.31 10.31 27.86 22.28 25.27 16.73 18.03 -20.00 -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 Return2020 2019 2018 2017 2016 T. Rowe Price 20.51 (33)33.09 (16)-3.96 (30)24.38 (23)10.94 (47) S&P 500 Index 18.40 (43)31.49 (35)-4.38 (38)21.83 (52)11.96 (35) Median 17.25 30.00 -5.16 21.86 10.63 1 Qtr Ending Sep-2021 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 T. Rowe Price 0.78 (20)8.81 (23)5.62 (70)13.54 (32)9.40 (26)20.69 (44) S&P 500 Index 0.58 (27)8.55 (31)6.17 (63)12.15 (54)8.93 (36)20.54 (48) IM U.S. Large Cap Core Equity (SA+CF) Median 0.11 8.04 6.74 12.32 8.02 20.44 Performance Review As of December 31, 2021 T. Rowe Price NONE Page 37 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date 0.0 8.0 16.0 24.0 32.0 T. Rowe Price (%)0.0 8.0 16.0 24.0 32.0 S&P 500 Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count T. Rowe Price 20 19 (95%)1 (5%)0 (0%)0 (0%) S&P 500 Index 20 0 (0%)20 (100%)0 (0%)0 (0%) 24.96 25.60 26.24 26.88 27.52 Return (%)18.81 18.90 18.99 19.08 19.17 19.26 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 27.22 19.15 S&P 500 Index 26.07 18.81 Median 25.27 18.83¾ 17.92 18.48 19.04 19.60 20.16 Return (%)17.16 17.22 17.28 17.34 17.40 17.46 17.52 Risk (Standard Deviation %) Return Standard Deviation T. Rowe Price 19.72 17.42 S&P 500 Index 18.47 17.19 Median 18.03 17.20¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk T. Rowe Price 1.06 102.87 100.80 0.46 0.94 1.41 1.02 10.30 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.38 1.00 10.13 90 Day U.S. Treasury Bill 17.28 1.66 -2.54 1.15 -1.38 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 1.02 103.65 100.12 0.79 1.10 1.16 1.02 9.66 S&P 500 Index 0.00 100.00 100.00 0.00 N/A 1.11 1.00 9.55 90 Day U.S. Treasury Bill 15.36 2.61 -2.59 1.26 -1.11 N/A -0.01 0.00 Performance Review As of December 31, 2021 T. Rowe Price NONE Page 38 Peer Group Analysis - IM U.S. Mid Cap Value Equity (SA+CF) Comparative Performance -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 50.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Nuance MCV 4.37 (100)4.37 (100)12.35 (100)N/A N/A N/A N/A Russell MCV Idx 8.54 (49)8.54 (49)28.34 (57)16.06 (67)19.62 (65)10.69 (69)11.22 (73) Median 8.52 8.52 29.07 16.80 20.86 11.16 11.95 -40.00 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Nuance MCV N/A N/A N/A N/A N/A Russell MCV Idx 4.96 (54)27.06 (63)-12.29 (46)13.34 (76)20.00 (44) Median 5.86 29.14 -12.71 15.64 18.23 1 Qtr Ending Sep-2021 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 Nuance MCV -1.23 (60)3.34 (92)5.47 (98)15.82 (89)N/A N/A Russell Midcap Value Index -1.01 (54)5.66 (39)13.05 (55)20.43 (66)6.40 (35)19.95 (52) IM U.S. Mid Cap Value Equity (SA+CF) Median -0.97 5.13 13.60 21.98 5.68 20.00 Performance Review As of December 31, 2021 Nuance MCV NONE Page 39 Page Intentionally Left Blank Page 40 Peer Group Analysis - IM U.S. Mid Cap Growth Equity (SA+CF) Comparative Performance -12.00 -4.00 4.00 12.00 20.00 28.00 36.00 44.00 52.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR TimesSquare 5.32 (37)5.32 (37)17.10 (36)25.44 (57)29.65 (43)20.40 (51)21.05 (51) Russell MCG Idx 2.85 (63)2.85 (63)12.73 (69)23.63 (70)27.46 (67)18.51 (64)19.83 (65) Median 3.89 3.89 15.37 26.51 29.14 20.48 21.06 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 80.00 95.00 Return2020 2019 2018 2017 2016 TimesSquare 34.37 (56)38.50 (35)-3.59 (47)23.71 (64)8.62 (24) Russell MCG Idx 35.59 (50)35.47 (55)-4.75 (54)25.27 (53)7.33 (36) Median 35.49 35.79 -4.29 25.47 5.59 1 Qtr Ending Sep-2021 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 TimesSquare 1.22 (37)9.74 (25)0.09 (69)17.94 (70)9.52 (47)28.36 (62) Russell Midcap Growth Index -0.76 (75)11.07 (8)-0.57 (74)19.02 (55)9.37 (50)30.26 (50) IM U.S. Mid Cap Growth Equity (SA+CF) Median 0.66 8.33 1.66 19.68 9.36 30.02 Performance Review As of December 31, 2021 TimesSquare NONE Page 41 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date 0.0 8.0 16.0 24.0 32.0 40.0 TimesSquare (%)0.0 8.0 16.0 24.0 32.0 40.0 Russell Midcap Growth Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count TimesSquare 20 0 (0%)13 (65%)7 (35%)0 (0%) Russell MCG Idx 20 0 (0%)4 (20%)16 (80%)0 (0%) 26.60 27.36 28.12 28.88 29.64 30.40 Return (%)18.36 18.72 19.08 19.44 19.80 20.16 20.52 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 29.65 18.69 Russell MCG Idx 27.46 20.19 Median 29.14 20.26¾ 19.78 20.21 20.64 21.07 21.50 Return (%)15.91 16.28 16.65 17.02 17.39 17.76 18.13 18.50 Risk (Standard Deviation %) Return Standard Deviation TimesSquare 21.05 16.39 Russell MCG Idx 19.83 17.75 Median 21.06 18.02¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 4.23 98.88 87.01 4.03 0.35 1.44 0.91 10.48 Russell MCG Idx 0.00 100.00 100.00 0.00 N/A 1.26 1.00 10.91 90 Day U.S. Treasury Bill 20.28 1.51 -2.44 1.12 -1.26 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk TimesSquare 3.79 96.47 85.45 2.76 0.21 1.18 0.90 9.84 Russell MCG Idx 0.00 100.00 100.00 0.00 N/A 1.05 1.00 10.47 90 Day U.S. Treasury Bill 17.84 2.22 -2.88 1.24 -1.05 N/A 0.00 0.00 Performance Review As of December 31, 2021 TimesSquare NONE Page 42 Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF) Comparative Performance -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Great Lakes SmidCap 2.88 (93)2.88 (93)8.69 (100)10.64 (98)N/A N/A N/A Russell 2500 Index 3.82 (87)3.82 (87)18.18 (83)19.08 (30)21.91 (23)13.00 (18)13.75 (18) Median 7.50 7.50 24.44 18.48 20.84 11.54 12.31 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Great Lakes SmidCap 12.64 (52)N/A N/A N/A N/A Russell 2500 Index 19.99 (13)27.77 (25)-10.00 (25)16.81 (27)17.59 (55) Median 12.76 25.74 -12.15 15.42 17.94 1 Qtr Ending Sep-2021 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 Great Lakes SmidCap -4.82 (99)4.67 (46)6.04 (100)22.72 (86)7.35 (18)26.67 (22) Russell 2500 Index -2.68 (75)5.44 (24)10.93 (80)27.41 (18)5.88 (27)26.56 (24) IM U.S. SMID Cap Core Equity (MF) Median -1.79 4.52 13.33 24.94 4.74 23.86 Performance Review As of December 31, 2021 Great Lakes SmidCap NONE Page 43 Peer Group Analysis - IM U.S. SMID Cap Core Equity (MF) Comparative Performance -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Reinhart Partners 4.66 (82)4.66 (82)25.04 (42)15.09 (87)N/A N/A N/A Russell 2500 Index 3.82 (87)3.82 (87)18.18 (83)19.08 (30)21.91 (23)13.00 (18)13.75 (18) Median 7.50 7.50 24.44 18.48 20.84 11.54 12.31 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Reinhart Partners 5.93 (78)N/A N/A N/A N/A Russell 2500 Index 19.99 (13)27.77 (25)-10.00 (25)16.81 (27)17.59 (55) Median 12.76 25.74 -12.15 15.42 17.94 1 Qtr Ending Sep-2021 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 Reinhart Partners 1.80 (4)2.63 (96)14.35 (30)30.21 (7)-0.59 (98)23.32 (56) Russell 2500 Index -2.68 (75)5.44 (24)10.93 (80)27.41 (18)5.88 (27)26.56 (24) IM U.S. SMID Cap Core Equity (MF) Median -1.79 4.52 13.33 24.94 4.74 23.86 Performance Review As of December 31, 2021 Reinhart Partners NONE Page 44 Peer Group Analysis - IM U.S. Small Cap Value 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 Leeward 7.41 (41)7.41 (41)31.53 (42)17.15 (56)20.48 (43)10.54 (45)10.17 (58) Russell 2000 Value 4.36 (87)4.36 (87)28.27 (54)15.85 (69)17.99 (79)9.38 (70)9.07 (76) Median 6.86 6.86 29.35 17.49 20.16 10.40 10.68 -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 Leeward 4.35 (54)27.42 (24)-14.62 (54)8.71 (68)27.80 (41) Russell 2000 Value 4.63 (53)22.39 (74)-12.86 (37)7.84 (75)31.74 (17) Median 5.34 24.93 -14.16 11.61 26.81 1 Qtr Ending Sep-2021 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 Leeward -0.06 (19)5.10 (31)16.58 (63)29.68 (53)2.30 (55)18.12 (75) Russell 2000 Value Index -2.98 (80)4.56 (39)21.17 (29)33.36 (26)2.56 (49)18.91 (69) IM U.S. Small Cap Value Equity (SA+CF) Median -1.53 4.09 18.82 29.85 2.44 20.88 Performance Review As of December 31, 2021 Leeward 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 -15.0 0.0 15.0 30.0 Leeward (%)-15.0 0.0 15.0 30.0 Russell 2000 Value Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Leeward 20 2 (10%)9 (45%)9 (45%)0 (0%) Russell 2000 Value 20 0 (0%)5 (25%)14 (70%)1 (5%) 17.00 17.85 18.70 19.55 20.40 21.25 Return (%)22.79 23.22 23.65 24.08 24.51 24.94 25.37 25.80 Risk (Standard Deviation %) Return Standard Deviation Leeward 20.48 23.27 Russell 2000 Value 17.99 25.00 Median 20.16 25.13¾ 8.48 9.01 9.54 10.07 10.60 11.13 Return (%)20.01 20.30 20.59 20.88 21.17 21.46 21.75 22.04 Risk (Standard Deviation %) Return Standard Deviation Leeward 10.17 20.38 Russell 2000 Value 9.07 21.55 Median 10.68 21.63¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Leeward 5.51 95.57 84.77 3.53 0.30 0.88 0.91 15.61 Russell 2000 Value 0.00 100.00 100.00 0.00 N/A 0.75 1.00 17.21 90 Day U.S. Treasury Bill 25.14 1.31 -1.78 1.10 -0.75 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Leeward 4.58 94.72 88.48 1.60 0.16 0.52 0.92 14.30 Russell 2000 Value 0.00 100.00 100.00 0.00 N/A 0.46 1.00 15.26 90 Day U.S. Treasury Bill 21.67 2.15 -2.03 1.20 -0.46 N/A -0.01 0.00 Performance Review As of December 31, 2021 Leeward NONE Page 46 Peer Group Analysis - IM U.S. Small 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 Loomis Small Cap 5.54 (23)5.54 (23)10.65 (59)22.51 (67)24.25 (71)17.93 (58)19.85 (55) Russell 2000 Growth 0.01 (70)0.01 (70)2.83 (85)17.66 (92)21.17 (89)12.70 (88)14.53 (90) Median 2.59 2.59 13.26 25.71 27.68 19.05 20.24 -40.00 -20.00 0.00 20.00 40.00 60.00 80.00 100.00 120.00 Return2020 2019 2018 2017 2016 Loomis Small Cap 35.64 (61)27.80 (58)0.85 (23)27.83 (33)6.87 (80) Russell 2000 Growth 34.63 (62)28.48 (50)-9.31 (77)22.17 (57)11.32 (52) Median 40.58 28.46 -4.29 23.81 11.41 1 Qtr Ending Sep-2021 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 Loomis Small Cap -2.22 (57)3.97 (72)3.12 (69)25.32 (71)8.77 (56)30.87 (61) Russell 2000 Growth Index -5.65 (92)3.92 (72)4.88 (58)29.61 (29)7.16 (67)30.58 (62) IM U.S. Small Cap Growth Equity (SA+CF) Median -1.78 5.13 5.93 27.52 9.08 32.97 Performance Review As of December 31, 2021 Loomis Small Cap NONE Page 47 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date -10.0 0.0 10.0 20.0 30.0 Loomis Small Cap (%)-10.0 0.0 10.0 20.0 30.0 Russell 2000 Growth Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Small Cap 20 0 (0%)13 (65%)7 (35%)0 (0%) Russell 2000 Growth 20 0 (0%)0 (0%)14 (70%)6 (30%) 18.00 21.00 24.00 27.00 30.00 Return (%)21.09 21.46 21.83 22.20 22.57 22.94 23.31 23.68 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 24.25 21.56 Russell 2000 Growth 21.17 23.07 Median 27.68 22.89¾ 12.00 14.00 16.00 18.00 20.00 22.00 Return (%)19.14 19.43 19.72 20.01 20.30 20.59 20.88 Risk (Standard Deviation %) Return Standard Deviation Loomis Small Cap 19.85 19.39 Russell 2000 Growth 14.53 20.46 Median 20.24 20.65¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 6.58 98.35 85.68 4.63 0.34 1.07 0.90 13.20 Russell 2000 Growth 0.00 100.00 100.00 0.00 N/A 0.91 1.00 13.77 90 Day U.S. Treasury Bill 23.18 1.19 -2.34 1.10 -0.91 N/A 0.00 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Small Cap 5.52 104.18 83.95 5.93 0.80 0.98 0.91 12.47 Russell 2000 Growth 0.00 100.00 100.00 0.00 N/A 0.71 1.00 13.26 90 Day U.S. Treasury Bill 20.56 2.04 -2.38 1.21 -0.71 N/A 0.00 0.00 Performance Review As of December 31, 2021 Loomis Small Cap NONE Page 48 Peer Group Analysis - IM International Equity (SA+CF) Comparative Performance -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Lazard 0.45 (58)0.45 (58)6.57 (65)8.13 (72)12.33 (70)5.98 (54)10.09 (61) MSCI ACW x USA (Net)1.82 (41)1.82 (41)7.82 (61)9.23 (64)13.18 (63)5.61 (60)9.61 (69) Median 1.11 1.11 10.10 11.01 14.89 6.23 11.05 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2020 2019 2018 2017 2016 Lazard 9.71 (65)21.23 (61)-11.01 (18)28.22 (62)0.35 (76) MSCI ACW x USA (Net)10.65 (62)21.51 (60)-14.20 (44)27.19 (69)4.50 (49) Median 14.22 22.67 -14.81 30.71 4.19 1 Qtr Ending Sep-2021 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 Lazard -1.49 (49)4.65 (69)2.91 (62)18.60 (40)5.93 (73)15.45 (75) MSCI AC World ex USA (Net)-2.99 (66)5.48 (55)3.49 (56)17.01 (54)6.25 (70)16.12 (71) IM International Equity (SA+CF) Median -1.60 5.64 3.87 17.29 8.54 18.38 Performance Review As of December 31, 2021 Lazard 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 -6.0 0.0 6.0 12.0 18.0 Lazard (%)-6.0 0.0 6.0 12.0 18.0 MSCI AC World ex USA (Net) (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Lazard 20 0 (0%)5 (25%)15 (75%)0 (0%) MSCI ACW x USA (Net)20 0 (0%)0 (0%)15 (75%)5 (25%) 11.76 12.60 13.44 14.28 15.12 15.96 Return (%)16.38 16.77 17.16 17.55 17.94 18.33 18.72 19.11 Risk (Standard Deviation %) Return Standard Deviation Lazard 12.33 18.16 MSCI ACW x USA (Net)13.18 16.79 Median 14.89 18.48¾ 8.93 9.40 9.87 10.34 10.81 11.28 Return (%)14.40 14.80 15.20 15.60 16.00 16.40 16.80 Risk (Standard Deviation %) Return Standard Deviation Lazard 10.09 15.49 MSCI ACW x USA (Net)9.61 14.69 Median 11.05 16.44¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 3.57 102.36 107.45 -1.37 -0.14 0.68 1.06 12.15 MSCI ACW x USA (Net)0.00 100.00 100.00 0.00 N/A 0.76 1.00 11.01 90 Day U.S. Treasury Bill 16.90 1.92 -2.48 1.08 -0.76 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Lazard 3.26 101.68 99.02 0.24 0.17 0.62 1.03 10.44 MSCI ACW x USA (Net)0.00 100.00 100.00 0.00 N/A 0.62 1.00 9.89 90 Day U.S. Treasury Bill 14.79 2.66 -3.10 1.22 -0.62 N/A -0.01 0.00 Performance Review As of December 31, 2021 Lazard NONE Page 50 Peer Group Analysis - IM International Large Cap Core Equity (SA+CF) Comparative Performance -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 24.00 28.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Pictet -2.06 (99)-2.06 (99)6.31 (92)6.00 (96)12.09 (83)3.20 (95)7.93 (90) MSCI EAFE Index 2.74 (61)2.74 (61)11.78 (53)10.01 (64)14.08 (66)6.49 (59)10.07 (63) Median 3.16 3.16 12.14 11.70 15.78 7.09 11.05 -30.00 -20.00 -10.00 0.00 10.00 20.00 30.00 40.00 50.00 Return2020 2019 2018 2017 2016 Pictet 5.70 (84)25.32 (37)-19.45 (96)29.12 (31)3.50 (25) MSCI EAFE Index 8.28 (66)22.66 (58)-13.36 (37)25.62 (62)1.51 (51) Median 11.81 23.69 -14.47 26.41 1.61 1 Qtr Ending Sep-2021 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 Pictet 0.15 (20)2.72 (94)5.51 (29)22.99 (2)4.56 (84)14.75 (79) MSCI EAFE Index -0.35 (34)5.38 (60)3.60 (56)16.09 (39)4.88 (83)15.08 (74) IM International Large Cap Core Equity (SA+CF) Median -1.02 5.71 4.04 15.61 6.62 16.91 Performance Review As of December 31, 2021 Pictet NONE Page 51 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Under Performance Earliest Date Latest Date -16.0 -8.0 0.0 8.0 16.0 24.0 Pictet (%)-16.0 -8.0 0.0 8.0 16.0 24.0 MSCI EAFE Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Pictet 20 6 (30%)2 (10%)4 (20%)8 (40%) MSCI EAFE Index 20 0 (0%)5 (25%)15 (75%)0 (0%) 10.00 12.00 14.00 16.00 18.00 Return (%)15.47 16.38 17.29 18.20 19.11 20.02 20.93 21.84 Risk (Standard Deviation %) Return Standard Deviation Pictet 12.09 20.72 MSCI EAFE Index 14.08 16.89 Median 15.78 17.00¾ 6.00 8.00 10.00 12.00 Return (%)13.87 14.60 15.33 16.06 16.79 17.52 18.25 18.98 Risk (Standard Deviation %) Return Standard Deviation Pictet 7.93 17.73 MSCI EAFE Index 10.07 14.70 Median 11.05 15.01¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 5.73 106.69 119.03 -3.82 -0.18 0.61 1.19 13.83 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.81 1.00 10.73 90 Day U.S. Treasury Bill 16.99 1.87 -2.51 1.08 -0.81 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Pictet 5.01 104.52 117.81 -3.24 -0.29 0.45 1.17 12.12 MSCI EAFE Index 0.00 100.00 100.00 0.00 N/A 0.65 1.00 9.64 90 Day U.S. Treasury Bill 14.80 2.34 -3.68 1.22 -0.65 N/A -0.01 0.00 Performance Review As of December 31, 2021 Pictet NONE Page 52 Peer Group Analysis - IM Emerging Markets Equity (SA+CF) Comparative Performance -22.00 -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Allspring EM -5.33 (93)-5.33 (93)-11.83 (98)5.22 (85)12.88 (54)5.35 (45)11.03 (47) MSCI Emerging Mkts -1.24 (60)-1.24 (60)-2.22 (65)7.73 (65)11.33 (70)4.30 (68)10.26 (60) Median -0.69 -0.69 1.19 9.68 13.16 5.15 10.83 -40.00 -25.00 -10.00 5.00 20.00 35.00 50.00 65.00 Return2020 2019 2018 2017 2016 Allspring EM 25.55 (28)29.92 (9)-14.36 (39)37.00 (48)13.42 (27) MSCI Emerging Mkts 18.69 (47)18.90 (57)-14.25 (38)37.75 (42)11.60 (40) Median 18.09 19.53 -15.23 36.80 10.36 1 Qtr Ending Sep-2021 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 Allspring EM -13.52 (99)5.60 (51)2.00 (73)22.30 (28)7.11 (77)24.07 (27) MSCI Emerging Markets Index -7.97 (71)5.12 (58)2.34 (68)19.77 (51)9.70 (54)18.18 (63) IM Emerging Markets Equity (SA+CF) Median -6.42 5.60 3.57 19.95 9.91 19.37 Performance Review As of December 31, 2021 Allspring EM NONE Page 53 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance Earliest Date Latest Date -8.0 0.0 8.0 16.0 24.0 Allspring EM (%)-8.0 0.0 8.0 16.0 24.0 MSCI Emerging Markets Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Allspring EM 20 12 (60%)7 (35%)1 (5%)0 (0%) MSCI Emerging Mkts 20 0 (0%)10 (50%)10 (50%)0 (0%) 10.80 11.40 12.00 12.60 13.20 13.80 Return (%)17.63 18.04 18.45 18.86 19.27 19.68 20.09 20.50 Risk (Standard Deviation %) Return Standard Deviation Allspring EM 12.88 20.01 MSCI Emerging Mkts 11.33 18.35 Median 13.16 19.34¾ 10.14 10.40 10.66 10.92 11.18 Return (%)16.28 16.50 16.72 16.94 17.16 17.38 17.60 Risk (Standard Deviation %) Return Standard Deviation Allspring EM 11.03 17.41 MSCI Emerging Mkts 10.26 16.50 Median 10.83 17.21¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Allspring EM 5.07 109.69 106.97 1.02 0.34 0.66 1.06 13.22 MSCI Emerging Mkts 0.00 100.00 100.00 0.00 N/A 0.62 1.00 12.17 90 Day U.S. Treasury Bill 18.45 1.73 -2.39 1.06 -0.62 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Allspring EM 4.46 103.13 100.17 0.63 0.19 0.62 1.02 11.36 MSCI Emerging Mkts 0.00 100.00 100.00 0.00 N/A 0.61 1.00 10.84 90 Day U.S. Treasury Bill 16.59 2.02 -3.28 1.21 -0.61 N/A -0.01 0.00 Performance Review As of December 31, 2021 Allspring EM NONE Page 54 Peer Group Analysis - IM Long/Short Equity (MF) Comparative Performance -16.00 -10.00 -4.00 2.00 8.00 14.00 20.00 26.00 32.00 38.00 44.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR ABS Global 0.05 (89)0.05 (89)2.70 (83)8.45 (58)10.69 (56)6.12 (59)7.44 (55) HFRI FOF: Strategic Idx 0.42 (85)0.42 (85)6.17 (77)10.32 (48)10.38 (58)5.85 (61)6.90 (59) Median 4.94 4.94 13.45 10.00 11.38 7.15 7.73 -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 (20)15.31 (39)-6.49 (56)12.86 (37)-3.38 (87) HFRI FOF: Strategic Idx 14.62 (20)10.52 (67)-6.67 (57)11.22 (51)-0.05 (75) Median 4.39 13.06 -5.80 11.35 4.58 1 Qtr Ending Sep-2021 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 ABS Global -0.03 (47)1.49 (79)1.18 (79)13.41 (16)2.84 (62)9.11 (50) HFRI FOF: Strategic Index 0.14 (42)3.86 (53)1.65 (76)10.79 (24)5.86 (33)10.90 (37) IM Long/Short Equity (MF) Median -0.10 3.94 4.47 7.63 4.55 9.07 Performance Review As of December 31, 2021 ABS Global 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 -4.0 0.0 4.0 8.0 12.0 16.0 ABS Global (%)-4.0 0.0 4.0 8.0 12.0 16.0 HFRI FOF: Strategic Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count ABS Global 20 0 (0%)11 (55%)8 (40%)1 (5%) HFRI FOF: Strategic Idx 20 0 (0%)3 (15%)15 (75%)2 (10%) 9.90 10.23 10.56 10.89 11.22 11.55 Return (%)8.25 8.80 9.35 9.90 10.45 11.00 11.55 12.10 12.65 Risk (Standard Deviation %) Return Standard Deviation ABS Global 10.69 9.25 HFRI FOF: Strategic Idx 10.38 9.12 Median 11.38 11.75¾ 6.72 7.00 7.28 7.56 7.84 8.12 Return (%)7.28 7.80 8.32 8.84 9.36 9.88 10.40 10.92 Risk (Standard Deviation %) Return Standard Deviation ABS Global 7.44 8.15 HFRI FOF: Strategic Idx 6.90 7.79 Median 7.73 10.27¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 3.62 100.89 98.15 0.96 0.08 1.03 0.93 5.61 HFRI FOF: Strategic Idx 0.00 100.00 100.00 0.00 N/A 1.01 1.00 6.11 90 Day U.S. Treasury Bill 9.26 3.34 -5.81 1.15 -1.01 N/A -0.01 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk ABS Global 3.11 105.28 102.83 0.75 0.17 0.77 0.97 5.19 HFRI FOF: Strategic Idx 0.00 100.00 100.00 0.00 N/A 0.74 1.00 5.27 90 Day U.S. Treasury Bill 7.92 5.03 -7.31 1.26 -0.74 N/A -0.02 0.00 Performance Review As of December 31, 2021 ABS Global 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 CS McKee -0.17 (80)-0.17 (80)-1.47 (67)3.25 (70)5.18 (69)3.89 (69)3.86 (71) Bl. Barclays US Agg 0.01 (34)0.01 (34)-1.55 (70)2.88 (89)4.79 (92)3.57 (91)3.57 (94) Median -0.04 -0.04 -1.23 3.64 5.47 4.11 4.10 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 Return2020 2019 2018 2017 2016 CS McKee 8.19 (59)9.16 (53)0.09 (46)3.77 (65)2.90 (63) Bl. Barclays US Agg 7.51 (88)8.72 (78)0.01 (61)3.54 (84)2.65 (76) Median 8.52 9.19 0.06 4.01 3.12 1 Qtr Ending Sep-2021 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 CS McKee 0.05 (72)2.21 (26)-3.48 (86)0.67 (85)1.19 (37)4.69 (38) Blmbg. U.S. Aggregate Index 0.05 (68)1.83 (86)-3.38 (68)0.67 (84)0.62 (85)2.90 (89) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.10 1.99 -3.17 1.10 1.08 4.35 Performance Review As of December 31, 2021 CS McKee 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 CS McKee (%)0.0 2.0 4.0 6.0 8.0 Blmbg. U.S. Aggregate Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count CS McKee 20 0 (0%)9 (45%)11 (55%)0 (0%) Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%) 4.50 4.80 5.10 5.40 5.70 Return (%)3.20 3.40 3.60 3.80 4.00 4.20 4.40 Risk (Standard Deviation %) Return Standard Deviation CS McKee 5.18 4.10 Bl. Barclays US Agg 4.79 3.36 Median 5.47 3.66¾ 3.40 3.60 3.80 4.00 4.20 Return (%)2.90 3.00 3.10 3.20 3.30 3.40 3.50 3.60 Risk (Standard Deviation %) Return Standard Deviation CS McKee 3.86 3.50 Bl. Barclays US Agg 3.57 3.04 Median 4.10 3.22¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 1.64 110.31 113.87 -0.20 0.24 1.02 1.13 1.85 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 1.15 1.00 1.47 90 Day U.S. Treasury Bill 3.27 9.22 -13.31 0.85 -1.15 N/A 0.03 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk CS McKee 1.29 106.71 104.24 0.04 0.23 0.78 1.07 1.65 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 0.81 1.00 1.46 90 Day U.S. Treasury Bill 2.99 11.85 -16.69 1.07 -0.81 N/A 0.02 0.00 Performance Review As of December 31, 2021 CS McKee NONE Page 58 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 -0.04 (51)-0.04 (51)-0.69 (28)5.23 (6)6.65 (5)4.91 (5)5.08 (4) Bl. Barclays US Agg 0.01 (34)0.01 (34)-1.55 (70)2.88 (89)4.79 (92)3.57 (91)3.57 (94) Median -0.04 -0.04 -1.23 3.64 5.47 4.11 4.10 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00 14.00 Return2020 2019 2018 2017 2016 Loomis Fixed Income 11.49 (2)9.55 (30)-0.15 (75)5.76 (4)7.45 (2) Bl. Barclays US Agg 7.51 (88)8.72 (78)0.01 (61)3.54 (84)2.65 (76) Median 8.52 9.19 0.06 4.01 3.12 1 Qtr Ending Sep-2021 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 Loomis Fixed Income 0.12 (42)2.27 (21)-2.97 (36)2.33 (8)1.93 (9)5.42 (19) Blmbg. U.S. Aggregate Index 0.05 (68)1.83 (86)-3.38 (68)0.67 (84)0.62 (85)2.90 (89) IM U.S. Broad Market Core Fixed Income (SA+CF) Median 0.10 1.99 -3.17 1.10 1.08 4.35 Performance Review As of December 31, 2021 Loomis Fixed Income NONE Page 59 Peer Group Scattergram - 3 Years 3 Yr Rolling Under/Over Performance - 5 Years Peer Group Scattergram - 5 Years 3 Yr Rolling Percentile Ranking - 5 Years Historical Statistics - 3 Years Historical Statistics - 5 Years Over Performance 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 Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Loomis Fixed Income 20 16 (80%)1 (5%)3 (15%)0 (0%) Bl. Barclays US Agg 20 0 (0%)1 (5%)0 (0%)19 (95%) 3.90 4.55 5.20 5.85 6.50 7.15 Return (%)3.20 3.30 3.40 3.50 3.60 3.70 3.80 3.90 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 6.65 3.81 Bl. Barclays US Agg 4.79 3.36 Median 5.47 3.66¾ 3.18 3.71 4.24 4.77 5.30 5.83 Return (%)2.95 3.00 3.05 3.10 3.15 3.20 3.25 3.30 Risk (Standard Deviation %) Return Standard Deviation Loomis Fixed Income 5.08 3.26 Bl. Barclays US Agg 3.57 3.04 Median 4.10 3.22¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Loomis Fixed Income 1.69 121.40 90.14 1.70 1.06 1.46 1.02 1.80 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 1.15 1.00 1.47 90 Day U.S. Treasury Bill 3.27 9.22 -13.31 0.85 -1.15 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 1.56 113.15 73.58 1.67 0.94 1.19 0.94 1.59 Bl. Barclays US Agg 0.00 100.00 100.00 0.00 N/A 0.81 1.00 1.46 90 Day U.S. Treasury Bill 2.99 11.85 -16.69 1.07 -0.81 N/A 0.02 0.00 Performance Review As of December 31, 2021 Loomis Fixed Income NONE Page 60 Peer Group Analysis - IM Global Fixed Income (MF) Comparative Performance -10.00 -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Pimco Div Inc (PDIIX)0.04 (8)0.04 (8)N/A N/A N/A N/A N/A Blmbg. Glbl Cred (Hedged)-0.03 (12)-0.03 (12)-0.41 (13)3.48 (19)6.27 (7)4.46 (5)4.74 (10) Median -0.69 -0.69 -2.69 2.43 4.30 2.70 3.40 -10.00 -7.00 -4.00 -1.00 2.00 5.00 8.00 11.00 14.00 17.00 20.00 Return2020 2019 2018 2017 2016 Pimco Div Inc (PDIIX)N/A N/A N/A N/A N/A Blmbg. Glbl Cred (Hedged)7.53 (63)12.08 (8)-0.81 (33)5.89 (70)7.33 (8) Median 8.15 8.12 -1.75 6.81 3.02 1 Qtr Ending Sep-2021 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 Pimco Div Inc (PDIIX)0.12 (18)2.76 (4)N/A N/A N/A N/A Blmbg. Global Credit (Hedged)0.08 (22)2.24 (14)-2.64 (42)3.11 (59)1.97 (69)7.60 (26) IM Global Fixed Income (MF) Median -0.34 1.33 -3.20 3.63 2.41 5.53 Performance Review As of December 31, 2021 Pimco Div Inc (PDIIX) NONE Page 61 Page Intentionally Left Blank Page 62 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Morgan Stanley 9.81 (17)9.81 (17)22.89 (48)11.90 (48)10.37 (51)10.04 (51)10.01 (40) NCREIF ODCE 7.97 (40)7.97 (40)22.17 (50)11.18 (63)9.20 (65)8.99 (65)8.71 (66) Median 7.57 7.57 21.86 11.77 10.39 10.04 9.64 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 Return2020 2019 2018 2017 2016 Morgan Stanley 1.90 (44)7.38 (38)9.05 (38)9.86 (17)9.98 (43) NCREIF ODCE 1.19 (64)5.34 (74)8.35 (49)7.62 (60)8.77 (75) Median 1.58 7.02 8.27 8.07 9.35 1 Qtr Ending Sep-2021 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 Morgan Stanley 6.04 (64)3.27 (82)2.19 (44)1.47 (56)1.27 (21)-1.74 (65) NCREIF Fund Index-ODCE (VW)6.63 (42)3.93 (65)2.11 (50)1.30 (60)0.48 (52)-1.56 (62) IM U.S. Open End Private Real Estate (SA+CF) Median 6.33 4.17 2.10 1.63 0.49 -1.23 Performance Review As of December 31, 2021 Morgan Stanley 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 Morgan Stanley (%)3.0 6.0 9.0 12.0 15.0 18.0 NCREIF Fund Index-ODCE (VW) (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Morgan Stanley 20 2 (10%)15 (75%)3 (15%)0 (0%) NCREIF ODCE 20 0 (0%)0 (0%)20 (100%)0 (0%) 8.97 9.36 9.75 10.14 10.53 10.92 Return (%)5.04 5.13 5.22 5.31 5.40 5.49 5.58 5.67 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 10.37 5.53 NCREIF ODCE 9.20 5.12 Median 10.39 5.37¾ 8.28 8.74 9.20 9.66 10.12 10.58 Return (%)3.92 3.99 4.06 4.13 4.20 4.27 4.34 4.41 Risk (Standard Deviation %) Return Standard Deviation Morgan Stanley 10.01 4.30 NCREIF ODCE 8.71 3.98 Median 9.64 4.29¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 1.35 112.33 111.93 0.67 0.83 1.60 1.05 1.01 NCREIF ODCE 0.00 100.00 100.00 0.00 N/A 1.51 1.00 0.90 90 Day U.S. Treasury Bill 5.34 10.32 -1.48 1.34 -1.51 N/A -0.04 0.00 Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Morgan Stanley 1.10 114.28 111.93 0.85 1.11 1.93 1.04 0.78 NCREIF ODCE 0.00 100.00 100.00 0.00 N/A 1.77 1.00 0.70 90 Day U.S. Treasury Bill 4.16 12.84 -1.48 1.47 -1.77 N/A -0.04 0.00 Performance Review As of December 31, 2021 Morgan Stanley NONE Page 64 Peer Group Analysis - IM U.S. Open End Private Real Estate (SA+CF) Comparative Performance -5.00 0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 ReturnQTR FYTD 1 YR 2 YR 3 YR 4 YR 5 YR Prudential PRISA II 6.75 (68)6.75 (68)23.18 (47)11.53 (56)10.18 (55)9.99 (55)9.60 (51) NCREIF Property Idx 6.15 (75)6.15 (75)17.70 (82)9.35 (78)8.37 (79)7.95 (82)7.75 (81) Median 7.57 7.57 21.86 11.77 10.39 10.04 9.64 -12.00 -8.00 -4.00 0.00 4.00 8.00 12.00 16.00 20.00 Return2020 2019 2018 2017 2016 Prudential PRISA II 0.98 (67)7.52 (36)9.43 (28)8.05 (52)10.37 (36) NCREIF Property Idx 1.60 (49)6.42 (63)6.72 (80)6.96 (78)7.97 (81) Median 1.58 7.02 8.27 8.07 9.35 1 Qtr Ending Sep-2021 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 Prudential PRISA II 7.56 (29)5.11 (25)2.07 (53)1.70 (47)0.43 (55)-2.42 (80) NCREIF Property Index 5.23 (88)3.59 (77)1.72 (74)1.15 (68)0.74 (34)-0.99 (41) IM U.S. Open End Private Real Estate (SA+CF) Median 6.33 4.17 2.10 1.63 0.49 -1.23 Performance Review As of December 31, 2021 Prudential PRISA II NONE Page 65 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 Prudential PRISA II (%)3.0 6.0 9.0 12.0 15.0 NCREIF Property Index (%) Over Performance Under Performance 0.0 25.0 50.0 75.0 100.0Return Percentile Rank3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 12/21 Total Period 5-25 Count 25-Median Count Median-75 Count 75-95 Count Prudential PRISA II 20 0 (0%)18 (90%)2 (10%)0 (0%) NCREIF Property Idx 20 0 (0%)0 (0%)8 (40%)12 (60%) 7.92 8.58 9.24 9.90 10.56 11.22 Return (%)3.30 3.60 3.90 4.20 4.50 4.80 5.10 5.40 5.70 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 10.18 5.27 NCREIF Property Idx 8.37 3.83 Median 10.39 5.37¾ 7.44 8.06 8.68 9.30 9.92 10.54 Return (%)2.75 3.00 3.25 3.50 3.75 4.00 4.25 4.50 Risk (Standard Deviation %) Return Standard Deviation Prudential PRISA II 9.60 4.16 NCREIF Property Idx 7.75 2.99 Median 9.64 4.29¾ Tracking Error Up Market Capture Down Market Capture Alpha Information Ratio Sharpe Ratio Beta Downside Risk Prudential PRISA II 1.75 126.20 243.59 -1.04 1.00 1.65 1.34 1.40 NCREIF Property Idx 0.00 100.00 100.00 0.00 N/A 1.79 1.00 0.57 90 Day U.S. Treasury Bill 4.03 11.56 -2.31 1.36 -1.79 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 1.49 126.49 243.59 -0.80 1.19 1.91 1.34 1.08 NCREIF Property Idx 0.00 100.00 100.00 0.00 N/A 2.03 1.00 0.44 90 Day U.S. Treasury Bill 3.17 14.57 -2.31 1.51 -2.03 N/A -0.05 0.00 Performance Review As of December 31, 2021 Prudential PRISA II NONE Page 66 Total Policy Historical Hybrid Composition Allocation Mandate Weight (%) Oct-1986 Oakland County Historical Policy Data 100.00 Oct-2013 S&P 500 Index 25.00 Russell Midcap Index 7.50 Russell 2000 Index 7.50 MSCI AC World ex USA 15.00 Blmbg. U.S. Aggregate Index 30.00 JPM Global Government Bond Index 5.00 NCREIF Fund Index-ODCE (VW) (Net)10.00 Jul-2017 S&P 500 Index 23.00 Russell Midcap Index 7.50 Russell 2000 Index 7.50 MSCI AC World ex USA 15.00 Blmbg. U.S. Aggregate Index 30.00 JPM Global Government Bond Index 5.00 Blmbg. U.S. Corp High Yield 2.00 NCREIF Fund Index-ODCE (VW)10.00 Total Equity Historical Hybrid Composition Allocation Mandate Weight (%) Jan-1979 Russell 3000 Index 90.00 MSCI EAFE Index 10.00 Jul-2017 S&P 500 Index 45.00 Russell Midcap Index 13.75 Russell 2000 Index 13.75 MSCI AC World ex USA 27.50 Total International Equity Historical Hybrid Composition Allocation Mandate Weight (%) Jan-1970 MSCI EAFE Index 100.00 Oct-2012 MSCI AC World ex USA 100.00 Benchmark History Investment Policy Benchmarks As of December 31, 2021 Page 67 Total Fixed Income Historical Hybrid Composition Allocation Mandate Weight (%) Jan-1986 Blmbg. U.S. Aggregate Index 85.00 JPM Global Government Bond Index 15.00 Jul-2017 Blmbg. U.S. Aggregate Index 80.00 JPM Global Government Bond Index 15.00 Blmbg. U.S. Corp High Yield 5.00 Benchmark History Investment Policy Benchmarks As of December 31, 2021 Page 68 Estimated Annual Fee (%) Market Value ($) Estimated Annual Fee ($) Fee Schedule Total Fund Composite 0.48 798,980,208 3,833,998 SSgA S&P 500 0.02 18,475,354 3,695 0.02 % of First $50 M 0.01 % Thereafter SSgA S&P 500 Equal Weighted Index 0.04 57,102,014 22,841 0.04 % of First $75 M 0.02 % Thereafter T. Rowe Price 0.25 93,328,133 233,320 0.25 % of Assets Nuance Mid Cap Value 0.75 14,637,252 109,779 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 18,512,270 148,098 0.80 % of First $50 M 0.70 % of Next $50 M 0.60 % Thereafter Great Lakes SmidCap 0.55 16,268,071 89,474 0.55 % of First $50 M 0.45 % of Next $50 M 0.35 % Thereafter Reinhart Partners 0.75 21,127,299 158,455 0.75 % of First $25 M 0.65 % of Next $25 M 0.50 % Thereafter Leeward 0.70 32,475,554 227,329 0.70 % of Assets Loomis Small Cap 0.90 33,133,608 298,202 0.90 % of First $50 M 0.75 % of Next $50 M 0.70 % Thereafter Lazard 0.75 36,426,319 273,197 0.75 % of First $40 M 0.65 % of Next $60 M 0.50 % Thereafter Pictet 0.65 42,932,011 279,058 0.65 % of Assets Allspring EM 0.95 18,117,887 172,120 0.95 % of Assets ABS Global 1.00 31,731,741 317,317 1.00 % of Assets CS McKee 0.27 128,984,636 345,469 0.35 % of First $25 M 0.30 % of Next $25 M 0.25 % of Next $50 M 0.20 % Thereafter Loomis Fixed Income 0.30 73,187,439 219,562 0.30 % of First $100 M 0.25 % of Next $100 M 0.20 % of Next $100 M 0.15 % Thereafter Pimco Diversified Income (PDIIX)0.75 34,882,957 261,622 0.75 % of Assets Morgan Stanley 0.84 46,154,483 387,698 0.84 % of Assets Oakland County Employees' Retirement System Fee Analysis As of December 31, 2021 Does not include incentive fees. Page 69 Oakland County Employees' Retirement System Fee Analysis As of December 31, 2021 Estimated Annual Fee (%) Market Value ($) Estimated Annual Fee ($) Fee Schedule Prudential PRISA II 1.20 23,896,621 286,759 1.20 % of First $25 M 1.15 % of Next $25 M 1.05 % of Next $50 M 0.95 % of Next $100 M 0.90 % of Next $100 M 0.85 % Thereafter Does not include incentive fees. Page 70 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 71 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 72 CHICAGO | CLEVELAND | DALLAS | DETROIT | ORLANDO | PITTSBURGH | RENOClients first. <CBDoc TenantId="2" EntityTypeId="3100" EntityId="2903" DocumentTypeId="2" EffectiveDate="02/28/2022" Interval="1" /> Investment Performance Review Period Ending February 28, 2022 Oakland County ERS Defined Benefit Plan Monthly Flash Report Market Update Russell Indices Style Returns* Equities Month 3 M YTD 1 Year 3 Yr Ann 5 Yr Ann V B G V B G S&P 500 Total Return (2.99)(3.89)(8.01)16.39 18.24 15.17 Russell Midcap Index (0.72)(4.28)(8.03)7.07 14.25 12.02 Russell 2000 Index 1.07 (6.62)(8.66)(6.01)10.50 9.50 Russell 1000 Growth Index (4.25)(10.61)(12.47)12.55 23.18 20.24 Russell 1000 Value Index (1.16)2.63 (3.46)14.99 12.22 9.45 Russell 3000 Index (2.52)(4.64)(8.25)12.29 17.56 14.68 MSCI EAFE NR (1.77)(1.73)(6.52)2.83 7.78 7.16 MSCI EM NR (2.99)(3.04)(4.83)(10.69)6.04 6.99 Fixed Income Month 3 M YTD 1 Year Mod. Adj. Duration Yield to Worst Currencies 02/28/22 12/31/21 12/31/20 U.S. Aggregate (1.12)(3.49)(3.25)(2.64)6.59 2.33 Euro Spot 1.12 1.14 1.22 U.S. Corporate Investment Grade (2.00)(5.37)(5.30)(3.40)8.25 3.08 British Pound Spot 1.34 1.35 1.37 U.S. Corporate High Yield (1.03)(1.93)(3.73)0.64 4.03 5.62 Japanese Yen Spot 115.00 115.08 103.25 Global Aggregate (1.19)(3.35)(3.21)(5.32)7.34 1.76 Swiss Franc Spot 0.92 0.91 0.89 Key Rates 02/28/22 12/31/21 12/31/20 12/31/19 12/31/18 Commodities 02/28/22 12/31/21 12/31/20 US Generic Govt 3 Mth 0.29 0.03 0.06 1.54 2.35 Oil 95.72 74.45 47.00 US Generic Govt 2 Yr 1.43 0.73 0.12 1.57 2.49 Gasoline 3.62 3.29 2.25 US Generic Govt 10 Yr 1.83 1.51 0.91 1.92 2.68 Natural Gas 4.40 3.51 2.43 US Generic Govt 30 Yr 2.16 1.90 1.64 2.39 3.01 Gold 1,900.70 1,831.00 1,187.30 ICE LIBOR USD 3M 0.50 0.21 0.24 1.91 2.81 Silver 24.37 23.38 16.50 Euribor 3 Month ACT/360 (0.53)(0.57)(0.55)(0.38)(0.31)Copper 445.45 445.35 352.00 Bankrate 30Y Mortgage Rates Na 4.30 3.27 2.87 3.86 4.51 Corn 690.75 595.00 442.00 Prime 3.25 3.25 3.25 4.75 5.50 BBG Commodity TR Idx 244.75 211.80 166.63 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 14.8 2.8 YTD 2021 Index Returns (%)Levels S -4.3 -8.7 -13.0 S 28.2 27.6 M -4.7 -8.0 -14.0 M 28.3 22.6 12.7 February 28, 2022 Index Returns (%) L -3.5 -8.2 -12.5 L 25.1 26.4 27.61 -1.30 -2.77 -5.06 -5.56 -7.71 -8.00 -8.01 -11.45 -12.75 -13.09 -13.28 -20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 YTD Sector Returns 54.35 46.14 34.87 34.52 28.71 27.28 26.13 24.43 21.57 21.10 18.63 17.67 0.0 10.0 20.0 30.0 40.0 50.0 60.0 2021 Sector Returns Page 1 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 (0.8%) Total Real Asset (13.4%) Total Fixed Income Composite (33.3%) Total Long/Short Equity Composite (4.2%) Total International Equity (12.4%) Total Domestic Equity (35.9%) 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 734,276,290 100.0 N/A N/A 100.0 --- Total Domestic Equity 263,696,056 35.9 10.0 50.0 35.0 -190,268,427 103,442,089 -6,699,355 Total International Equity 91,132,275 12.4 5.0 20.0 15.0 -54,418,460 55,722,983 19,009,169 Total Long/Short Equity Composite 30,648,328 4.2 0.0 7.5 5.0 -30,648,328 24,422,394 6,065,487 Total Fixed Income Composite 244,706,283 33.3 10.0 55.0 35.0 -171,278,654 159,145,676 12,290,418 Total Real Asset 98,047,589 13.4 0.0 15.0 10.0 -98,047,589 12,093,855 -24,619,960 Total Cash Composite 6,045,760 0.8 0.0 5.0 0.0 -6,045,760 30,668,055 -6,045,760 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of February 28, 2022 Page 2 Executive Summary Policy Target In Policy Outside Policy 0.0%8.0%16.0%24.0%32.0%40.0%48.0%56.0%60.0% Total Cash Composite (0.8%) Total Real Asset (13.4%) Total Fixed Income Composite (33.3%) Total Long/Short Equity Composite (4.2%) Total International Equity (12.4%) Total Small Cap Equity Composite (8.3%) Total Mid Cap Equity Composite (9.0%) Total Large Cap Equity Composite (18.6%) Asset Allocation Compliance Asset Allocation $ Current Allocation (%) Target Allocation (%) Target Rebal. ($000) Total Fund Composite 734,276,290 100.0 100.0 - Total Large Cap Equity Composite 136,732,318 18.6 20.0 10,122,940 Total Mid Cap Equity Composite 66,229,549 9.0 7.5 -11,158,827 Total Small Cap Equity Composite 60,734,190 8.3 7.5 -5,663,468 Total International Equity 91,132,275 12.4 15.0 19,009,169 Total Long/Short Equity Composite 30,648,328 4.2 5.0 6,065,487 Total Fixed Income Composite 244,706,283 33.3 35.0 12,290,418 Total Real Asset 98,047,589 13.4 10.0 -24,619,960 Total Cash Composite 6,045,760 0.8 0.0 -6,045,760 Asset Allocation Compliance Oakland County Employees' Retirement System Total Fund Composite As of February 28, 2022 Page 3 February 28, 2022 : $734,276,290 Allocation Market Value Allocation SSgA S&P 500 36,762,750 5.0¢ SSgA S&P 500 Equal Weighted Index 23,862,008 3.2¢ T. Rowe Price 76,107,559 10.4¢ Vanguard Mid Cap Value (VOE)14,487,554 2.0¢ TimesSquare 16,326,454 2.2¢ Vanguard Mid Cap (VO)15,137,413 2.1¢ Reinhart Partners 20,278,128 2.8¢ Leeward 31,846,412 4.3¢ Loomis Small Cap 28,887,778 3.9¢ Lazard 34,457,294 4.7¢ Pictet 39,764,443 5.4¢ Allspring EM 16,910,537 2.3¢ ABS Global 30,648,328 4.2¢ CS McKee 124,812,225 17.0¢ Loomis Fixed Income 61,028,146 8.3¢ Pimco Diversified Income (PDIIX)32,884,109 4.5¢ Churchill Senior Loan Fund 3,777,444 0.5¢ Marathon Distressed Credit Fund LP 9,027,882 1.2¢ H.I.G. Bayside Loan Opportunity VI 5,020,407 0.7¢ BlackRock Direct Lending Feeder IX 8,156,071 1.1¢ ValStone Opportunity Fund V 2,079,432 0.3¢ Morgan Stanley 46,154,483 6.3¢ JPM Euro Property 38,073 0.0¢ Prudential PRISA II 23,896,621 3.3¢ Alidade Capital Fund IV 5,397,590 0.7¢ Walton Street Real Estate 3,062,756 0.4¢ AEW Real Estate 1,773,694 0.2¢ Dune Real Estate IV 2,354,673 0.3¢ Hamilton Lane Secondary Fund V LP 7,165,961 1.0¢ Portfolio Adv Secondary Agg IV 6,124,307 0.8¢ Cash and Equivalents Account 165,430 0.0¢ Private Markets Cash 5,880,330 0.8¢ Asset Allocation By Manager Total Fund As of February 28, 2022 Page 4 Financial Reconciliation Month to Date Market Value 01/01/2022 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 02/28/2022 Total Fund Composite 798,980,208 -2,978,388 -30,534,721 -140,819 -2,387 1,354,664 -38,359,044 734,276,290 Total Equity Composite 434,267,512 -20,000,000 26,153 --61,002 -901 359,447 -29,114,551 385,476,658 Total Domestic Equity 305,059,554 -20,000,000 ----568 364,091 -21,727,021 263,696,056 Total Large Cap Equity Composite 168,905,500 -20,000,000 ----54 172,834 -12,345,963 136,732,318 SSgA S&P 500 18,475,354 20,000,000 ------1,712,603 36,762,750 SSgA S&P 500 Equal Weighted Index 57,102,014 -30,000,000 ------3,240,006 23,862,008 T. Rowe Price 93,328,133 -10,000,000 ----54 172,834 -7,393,353 76,107,559 Total Mid Cap Equity Composite 70,544,892 -----309 63,607 -4,378,641 66,229,549 Nuance Mid Cap Value 14,637,252 -14,574,700 ----60 2,823 -65,315 - Vanguard Mid Cap Value (VOE)-14,574,700 ----80 12,548 -99,614 14,487,554 TimesSquare 18,512,270 -----70 15,883 -2,201,629 16,326,454 Great Lakes SmidCap 16,268,071 -15,281,876 ----12 5,710 -991,893 - Vanguard Mid Cap (VO)-15,281,876 ----14 3,584 -148,033 15,137,413 Reinhart Partners 21,127,299 -----73 23,059 -872,157 20,278,128 Total Small Cap Equity Composite 65,609,162 -----204 127,650 -5,002,417 60,734,190 Leeward 32,475,554 -----78 58,845 -687,908 31,846,412 Loomis Small Cap 33,133,608 -----126 68,805 -4,314,509 28,887,778 Total International Equity 97,476,217 -26,153 --61,002 -333 -4,643 -6,304,117 91,132,275 Lazard 36,426,319 -----333 -39,991 -1,928,701 34,457,294 Pictet 42,932,011 ----34,849 -35,348 -3,168,066 39,764,443 Allspring EM 18,117,887 -26,153 --26,153 ---1,207,350 16,910,537 Total Long/Short Equity Composite 31,731,741 -------1,083,413 30,648,328 ABS Global 31,731,741 -------1,083,413 30,648,328 Total Fixed Income Composite 260,658,792 -7,621,957 ---43,037 -677 995,217 -9,282,054 244,706,283 Total Domestic Fixed Income 202,172,075 -10,000,000 ----649 796,531 -7,127,585 185,840,371 CS McKee 128,984,636 -----196 516,638 -4,688,853 124,812,225 Loomis Fixed Income 73,187,439 -10,000,000 ----453 279,893 -2,438,732 61,028,146 Total Global Fixed 34,882,957 ----43,037 -28 198,686 -2,154,469 32,884,109 Pimco Diversified Income 34,882,957 ----43,037 -28 198,686 -2,154,469 32,884,109 Private Fixed Income 23,603,761 2,378,043 ------25,981,804 Churchill Senior Loan Fund 3,777,444 -------3,777,444 Marathon Distressed Credit Fund LP 8,467,882 560,000 ------9,027,882 H.I.G. Bayside Loan Opportunity VI 3,976,218 1,044,189 ------5,020,407 BlackRock Direct Lending Feeder IX 7,382,217 773,854 ------8,156,071 Bloomfield Capital Fund V - Series B --------- Financial Reconciliation Total Fund Quarter To Date Ending February 28, 2022 Page 5 Financial Reconciliation Total Fund Quarter To Date Ending February 28, 2022 Market Value 01/01/2022 Net Transfers Contributions Distributions Management Fees Other Expenses Income Apprec./ Deprec. Market Value 02/28/2022 Total Real Asset 97,133,138 914,451 ---36,779 -713 -37,492 98,047,589 Total Real Estate 84,377,591 379,730 ---11,779 --11,779 84,757,321 ValStone Opportunity Fund V 2,079,432 -------2,079,432 Morgan Stanley 46,154,483 -------46,154,483 JPM Euro Property 38,073 -------38,073 Prudential PRISA II 23,896,621 -------23,896,621 Alidade Capital Fund IV 5,397,590 -------5,397,590 Walton Street Real Estate 3,062,756 ----11,779 --11,779 3,062,756 AEW Real Estate 1,773,694 -------1,773,694 Dune Real Estate IV 1,974,943 379,730 ------2,354,673 Private Investments 12,755,547 534,721 ---25,000 -713 -25,713 13,290,268 Hamilton Lane Secondary Fund V LP 6,631,240 534,721 ---25,000 -713 -25,713 7,165,961 Portfolio Adv Secondary Agg IV 6,124,307 -------6,124,307 Total Cash Composite 6,920,766 26,707,506 2,952,235 -30,534,721 --96 -69 6,045,760 Cash and Equivalents Account 725,526 26,487,765 2,952,235 -30,000,000 --96 --1 165,430 Private Markets Cash 6,195,240 219,741 --534,721 ---70 5,880,330 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 734,276,290 100.0 -1.32 -4.68 -1.26 -4.68 5.17 9.40 8.25 7.36 8.25 8.42 10/01/1986 Total Fund Policy Index -1.35 -5.11 -1.09 -5.11 4.84 9.78 8.48 7.42 8.46 8.85 Total Equity Composite 385,476,658 52.5 -1.67 -6.72 -1.90 -6.72 4.95 12.22 10.64 9.18 10.81 9.77 10/01/1986 Total Equity Index -1.84 -7.41 -1.29 -7.41 7.31 13.93 11.83 10.44 12.43 10.25 Total Fixed Income Composite 244,706,283 33.3 -1.33 -3.22 -3.09 -3.22 -0.64 3.52 3.13 2.82 3.09 6.08 10/01/1986 Total Fixed Income Index -1.04 -3.18 -3.27 -3.18 -2.94 3.18 2.73 2.33 2.28 5.83 Total Real Asset 98,047,589 13.4 0.01 0.04 6.58 0.04 23.04 11.26 10.48 11.05 10.94 6.12 07/01/2008 NCREIF Fund Index-ODCE (VW)0.00 0.00 7.97 0.00 22.17 9.20 8.71 9.60 10.45 6.17 Total Cash Composite 6,045,760 0.8 Asset Allocation & Performance Total Fund Composite As of February 28, 2022 Page 7 Asset Allocation & Performance Total Fund Composite As of February 28, 2022 Allocation Market Value $ % Performance(%) MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Domestic Equity 263,696,056 35.9 -1.17 -7.12 0.45 -7.12 10.42 15.48 12.98 N/A N/A N/A 10/01/1986 Total Large Cap Equity Composite 136,732,318 18.6 -2.57 -7.57 2.08 -7.57 16.17 18.20 15.16 13.27 14.70 11.83 07/01/2008 SSgA S&P 500 (1.5 bps)36,762,750 5.0 -3.00 -5.74 4.65 -5.74 19.21 19.18 15.73 13.58 14.92 14.65 10/01/2009 S&P 500 Index -2.99 -8.01 2.13 -8.01 16.39 18.24 15.17 13.16 14.59 14.38 SSgA S&P 500 Equal Weighted Index (4 bps)23,862,008 3.2 -1.10 -6.53 2.10 -6.53 15.04 15.65 N/A N/A N/A 11.43 02/01/2018 S&P 500 Equal Weighted -0.85 -5.16 3.38 -5.16 16.84 16.32 13.31 11.57 13.93 11.94 T. Rowe Price (25 bps)76,107,559 10.4 -2.83 -8.09 1.88 -8.09 16.56 19.08 16.26 14.12 15.32 14.97 10/01/2009 S&P 500 Index -2.99 -8.01 2.13 -8.01 16.39 18.24 15.17 13.16 14.59 14.38 Total Mid Cap Equity Composite 66,229,549 9.0 0.03 -6.12 -2.03 -6.12 3.74 10.02 8.47 7.70 10.72 9.39 07/01/2008 Vanguard Mid Cap Value (7 bps)14,487,554 2.0 -0.70 N/A N/A N/A N/A N/A N/A N/A N/A N/A 01/01/2022 Vanguard Spliced Mid Cap Value Index -0.70 -3.25 4.71 -3.25 16.23 12.85 9.68 9.16 12.26 -3.25 TimesSquare (80 bps)16,326,454 2.2 -1.24 -11.81 -7.11 -11.81 2.43 18.21 16.55 13.22 14.80 15.39 09/01/2009 Russell Midcap Growth Index -1.21 -13.96 -11.51 -13.96 -4.32 14.71 14.86 11.68 13.59 14.80 Vanguard Mid Cap (4 bps)15,137,413 2.1 -0.99 N/A N/A N/A N/A N/A N/A N/A N/A N/A 01/01/2022 Vanguard Spliced Mid Cap Index -0.99 -8.77 -1.49 -8.77 8.50 15.17 12.42 10.53 12.89 -8.77 Reinhart Partners (65 bps)20,278,128 2.8 2.30 -4.02 0.46 -4.02 8.01 N/A N/A N/A N/A 11.94 05/01/2019 Russell 2500 Index 1.13 -7.29 -3.75 -7.29 0.40 12.88 11.21 9.95 12.15 12.64 Total Small Cap Equity Composite 60,734,190 8.3 0.77 -7.43 -1.45 -7.43 2.63 13.26 11.47 10.30 11.48 10.79 07/01/2008 Leeward (70 bps)31,846,412 4.3 1.77 -1.94 5.33 -1.94 16.58 13.79 9.22 10.39 11.60 10.05 09/01/2005 Russell 2000 Value Index 1.65 -4.27 -0.10 -4.27 6.63 10.91 7.97 8.73 10.66 7.63 Loomis Small Cap (90 bps)28,887,778 3.9 -0.31 -12.81 -7.98 -12.81 -9.41 12.80 15.14 12.27 N/A 14.72 09/01/2012 Russell 2000 Growth Index 0.44 -13.03 -13.02 -13.03 -17.40 9.22 10.49 8.73 11.38 12.05 Page 8 Asset Allocation & Performance Total Fund Composite As of February 28, 2022 Allocation Market Value $ % Performance(%) MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total International Equity 91,132,275 12.4 -3.60 -6.47 -8.13 -6.47 -6.70 5.73 6.57 5.16 6.17 4.11 07/01/2008 Total International Equity Index -1.97 -5.57 -3.79 -5.57 0.03 8.16 7.76 5.41 5.98 3.52 Lazard (75 bps)34,457,294 4.7 -2.22 -5.40 -4.98 -5.40 -0.04 6.84 8.07 5.47 7.23 5.81 09/01/2006 MSCI AC World ex USA -1.97 -5.57 -3.79 -5.57 0.03 8.16 7.76 5.41 5.87 4.44 Pictet (65 bps)39,764,443 5.4 -3.81 -7.30 -9.20 -7.30 -4.91 5.12 5.12 4.78 5.91 1.95 01/01/2008 MSCI EAFE Index -1.76 -6.50 -3.93 -6.50 3.30 8.29 7.67 5.28 6.65 3.04 Berkeley Street (95 bps)16,910,537 2.3 -5.84 -6.66 -11.64 -6.66 -21.41 5.80 7.71 6.35 N/A 5.17 11/01/2012 MSCI Emerging Markets Index -2.98 -4.81 -5.99 -4.81 -10.40 6.40 7.37 5.20 3.61 4.50 Total Long/Short Equity Composite 30,648,328 4.2 0.00 -3.41 -3.37 -3.41 -1.91 7.50 6.11 4.62 5.13 4.91 10/01/2010 ABS Global (100 bps)30,648,328 4.2 0.00 -3.41 -3.37 -3.41 -1.91 7.50 6.11 4.65 5.89 5.58 10/01/2010 HFRI FOF: Strategic Index -0.96 -5.88 -5.48 -5.88 -2.83 6.52 5.01 3.62 4.19 3.74 Total Domestic Fixed Income 185,840,371 25.3 -1.18 -3.19 -3.31 -3.19 -1.99 4.13 3.43 N/A N/A N/A 07/01/2008 CS McKee (35 bps)124,812,225 17.0 -1.20 -3.23 -3.40 -3.23 -2.21 3.58 3.01 2.72 2.78 3.50 02/01/2010 Blmbg. U.S. Aggregate Index -1.12 -3.25 -3.23 -3.25 -2.64 3.30 2.71 2.35 2.47 3.16 Loomis Fixed Income (30 bps)61,028,146 8.3 -1.14 -3.11 -3.14 -3.11 -1.61 4.88 4.06 3.54 4.18 5.19 04/01/2010 Blmbg. U.S. Aggregate Index -1.12 -3.25 -3.23 -3.25 -2.64 3.30 2.71 2.35 2.47 3.19 Total Global Fixed 32,884,109 4.5 -3.15 -5.61 -5.39 -5.61 -2.95 -4.03 -1.46 N/A N/A N/A 04/01/2010 Pimco Diversified Income (75 bps)32,884,109 4.5 -3.15 -5.61 -5.39 -5.61 -3.02 N/A N/A N/A N/A -3.02 03/01/2021 Blmbg. Global Credit (Hedged)-2.31 -4.69 -4.72 -4.69 -3.30 3.63 3.42 3.39 4.06 -3.30 Page 9 Asset Allocation & Performance Total Fund Composite As of February 28, 2022 Allocation Market Value $ % Performance(%) MTH QTD FYTD YTD 1 YR 3 YR 5 YR 7 YR 10 YR Inception Inception Date Total Real Estate 84,757,321 11.5 0.01 0.01 7.58 0.01 22.87 10.69 10.14 N/A N/A 10.04 09/01/2016 NCREIF Fund Index-ODCE (VW)0.00 0.00 7.97 0.00 22.17 9.20 8.71 9.60 10.45 8.70 Morgan Stanley (84 bps)46,154,483 6.3 0.00 0.00 9.81 0.00 22.89 10.37 10.01 10.83 11.97 7.27 01/01/2008 NCREIF Fund Index-ODCE (VW)0.00 0.00 7.97 0.00 22.17 9.20 8.71 9.60 10.45 6.07 Prudential PRISA II (85 bps)23,896,621 3.3 0.00 0.00 6.75 0.00 23.18 10.18 9.60 10.79 11.90 11.72 10/01/2011 NCREIF Property Index 0.00 0.00 6.15 0.00 17.70 8.37 7.75 8.56 9.32 9.24 JPM Euro Property 38,073 0.0 0.00 0.00 0.00 0.00 -46.01 -25.34 -10.59 -7.13 -6.14 -5.68 04/01/2009 NCREIF Property Index 0.00 0.00 6.15 0.00 17.70 8.37 7.75 8.56 9.32 8.38 Total Cash Composite 6,045,760 0.8 Cash and Equivalents Account (No fee)165,430 0.0 Private Markets Cash 5,880,330 0.8 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 1.58 0.00 6.55 7.00 6.91 7.47 N/A 7.33 08/27/2014 Alidade Capital Fund IV 0.00 0.00 0.00 0.00 17.88 13.07 N/A N/A N/A 9.87 04/20/2017 Walton Street Real Estate 0.00 0.00 0.00 0.00 19.67 10.84 N/A N/A N/A 11.44 05/24/2017 AEW Real Estate 0.00 0.00 0.00 0.00 52.54 21.46 N/A N/A N/A 17.58 09/28/2017 Churchill Senior Loan Fund 0.00 0.00 4.90 0.00 16.22 7.57 N/A N/A N/A 7.22 12/07/2017 Dune Real Estate IV 0.00 0.00 19.41 0.00 22.02 N/A N/A N/A N/A 3.08 08/22/2019 Hamilton Lane Secondary Fund V LP 0.00 0.00 0.00 0.00 28.97 N/A N/A N/A N/A 40.40 04/28/2020 Marathon Distressed Credit Fund LP 0.00 0.00 3.92 0.00 30.85 N/A N/A N/A N/A 37.20 09/10/2020 H.I.G. Bayside Loan Opportunity VI 0.00 0.00 -0.01 0.00 5.89 N/A N/A N/A N/A 34.99 09/29/2020 Portfolio Adv Secondary Agg IV 0.00 0.00 0.00 0.00 15.31 N/A N/A N/A N/A 23.40 11/02/2020 BlackRock Direct Lending Feeder IX 0.00 0.00 0.00 0.00 6.84 N/A N/A N/A N/A 6.33 01/05/2021 Bloomfield Capital Fund V - Series B N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A Comparative Performance - IRR Alternative Investments As of February 28, 2022 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. 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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. Oakland County Employees' Retirement System Asset / Manager Summary - March 17, 2022 Asset Class / Manager MV ($000) % MV ($000) % Add/Reduce SSgA S&P 5001 $36,763 5.1%$32,537 4.5%($4,226) SSgA S&P 500 EW 1 $23,862 3.3%$32,537 4.5%$8,675 MV as of 2/28 T. Rowe Price Enhanced 500 $73,983 10.2%$65,073 9.0%($8,910) TimesSquare Mid Growth $15,886 2.2%$12,653 1.8%($3,233) Vanguard Mid Cap Index ETF $14,728 2.0%$13,557 1.9%($1,171) Reinhart Small/Mid Core $19,946 2.8%$13,557 1.9%($6,389)Transfer $5MM to Cash Account Vanguard Mid Cap Value Index ETF $14,269 2.0%$12,653 1.8%($1,616) Loomis, Sayles Small Growth $28,184 3.9%$27,114 3.8%($1,070) LMCG Small Value $31,016 4.3%$27,114 3.8%($3,902) ABS Global L/S Equity1 $30,649 4.2%$32,537 4.5%$1,888 Total US Equity $289,286 40.0%$269,330 37.3%($19,956)2.5% added to allocation (unallocated other assets) Lazard Intl Equity $32,202 4.5%$36,152 5.0%$3,950 Use for liquidity needs Pictet Intl Equity1 $39,765 5.5%$36,152 5.0%($3,613) AllSpring Emerging Mkts.1 $15,925 2.2%$18,076 2.5%$2,151 Total Intl Equity $87,892 12.2%$90,379 12.5%$2,487 CS McKee Core Fixed $123,422 17.1%$137,376 19.0%$13,954 Loomis, Sayles Core Plus $60,276 8.3%$43,519 6.0%($16,757) PIMCO Diversifed Income $32,190 4.5%$36,152 5.0%$3,962 Churcill Direct Lending1 $4,553 0.6%$4,553 0.6%$0 BlackRock Direct Lending1 $8,376 1.2%$8,376 1.2%$0 $12MM Commitment; 1st CC in March 2021 Bloomfield Direct Lending1 $0 0.0%$0 0.0%$0 $8MM Commitment HIG/Marathon Distressed1 $14,048 1.9%$14,048 1.9%$0 $7MM Commitment Each Total Fixed Income $242,865 33.6%$244,024 33.8%$1,159 1.5% added to allocation (unallocated other assets) MS Prime Property RE1 $46,190 6.4%$38,506 5.3%($7,684) Prudential PRISA II VA RE1 $23,897 3.3%$14,461 2.0%($9,436) Private VA Real Estate Funds1,2 $19,337 2.7%$19,337 2.7%$0 Total Real Estate $89,424 12.4%$72,303 10.0%($17,121) Hamilton Lane1 $7,267 1.0%$9,038 1.3%$1,771 $10MM Commitment Portfolio Advisors1 $6,135 0.8%$9,038 1.3%$2,903 $10MM Commitment Total Private Equity $13,402 1.9%$18,076 2.5%$4,674 Cash/Liquidity Account (VTHRX)$165 0.0%$28,921 4.0%$28,756 Total Fund $723,034 100.0%$723,034 100.0%$0 Market values from Northern Trust as of 3/10/22. 1. Market values not updated daily by Northern Trust. 2. Currently represents investment with AEW VIII, Alidade IV, Dune IV, JPM European Property Fund, Valstone and Walton Street. Other Assets / Basket Clause $62,652 8.7% $69,213 9.6% 15% Target Includes ABS, Churchill, BlackRock, Bloomfield, HIG, Marathon, HL, and PA Target Allocation = 10% target less Alt FI strategies; Transfer $15MM to Cash Account Target Value: $30MM Current Allocation Target Allocation Comments $10MM to Cash Account Included in Other Assets allocation Transfer $10MM to Cash Account Target Allocation = 10% RE target less VA mgrs. MV as of 2/28 Morningstar DirectSM | Print Date: 3/10/2022 Page 1 of 1 Vanguard Target Retirement 2030 Fund VTHRX Investment Summary Data as of Currency Benchmark 1 Benchmark 22/28/2022 USD (FTSE Global All Cap ex US TR USD) 26.200% + ( CRSP US Total Market TR USD) ...— Trailing Return Total Return % +/- BM1 +/- BM2 Cat % Rank1 Mo -2.19 ——62 3 Mo -3.61 ——53 6 Mo -4.96 ——51 YTD -5.86 ——44 1 Yr 3.86 ——48 3 Yr 10.28 ——44 5 Yr 8.98 ——38 10 Yr 8.81 ——23 15 Yr 6.56 ——19 Ratings as of 2/28/2022 Overall 3 Year 5 Year 10 Year Rating 4Q 3Q 3Q 4Q Risk —1.60 1.24 0.97 Return —9.47 7.79 8.14 # Investments Rated 200 200 168 92 Risk/Reward vs Benchmark 1 3 Year 5 Year 10 Year Alpha ——— Beta ——— R-Squared ——— Tracking Error ——— Information Ratio ——— Excess Return ——— Miscellaneous 3 Year 5 Year 10 Year Standard Deviation 12.10 10.68 9.41 Sharpe Ratio 0.79 0.74 0.87 Sortino Ratio 1.22 1.11 1.35 Manager Information William Coleman. CFA. Since 2/2013. B.S. King's College. M.S. Saint Joseph's University. Walter Nejman. Since 2/2013. B.A. Arcadia University. M.B.A. Villanova University. Investment Strategy The investment seeks to provide capital appreciation and current income consistent with its current asset allocation. The fund invests in a mix of Vanguard mutual funds according to an asset allocation strategy designed for investors planning to retire and leave the workforce in or within a few years of 2030 (the target year). The fund's asset allocation will become more conservative over time, meaning that the percentage of assets allocated to stocks will decrease while the percentage of assets allocated to bonds and other fixed income investments will increase. Operations Minimum Initial Investment 1000 Inception Date 6/7/2006 Management Fees Actual: 0.00% Max: 0.00% Sales Fees — Firm Name Vanguard Telephone 800-662-7447 Web Address www.vanguard.com Performance *&&******(* 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2/2022 History 14.24 20.49 7.17 -1.03 7.85 17.52 -5.86 21.07 14.10 11.38 -5.86 Total Return % ———————————+/- Benchmark 1 ———————————+/- Benchmark 2 4.00 14.00 7.00 24.00 10.88 7.53 9.00 8.00 21.00 6.00 6.00 Turnover Ratio % 13,816 19,778 23,824 22,562 25,676 32,830 32,770 41,571 45,904 36,993 87,261 Share Class Assets (mil) 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 —0.00 0.00 Expense Ratio 77.73 76.24 73.95 73.35 71.05 69.61 68.00 67.51 67.64 62.56 59.25 Stock % 19.69 21.60 23.63 25.31 26.48 27.91 30.24 30.82 32.01 31.56 30.91 Bond % -15.6 -7.8 0.0 7.8 15.6 Manager Change Partial Mgr Change Investment Performance Quarterly Return Category— US Fund Target-Date 2030 Performance Quartile (within category) Holding Analysis as of 1/31/2022 0 50 100 Net %# Cash 2.9 — Stock 63.6 0 Bond 33.1 0 Other 0.4 — Total 100.0 6 Equity Style %Market Cap % Giant 42.6 Large 31.6 Mid 19.0 Small 5.3 Micro 1.5 Avg Market Cap (mil)70,361.8 Val Core Gr LgMidSm20 25 29 6 8 5 2 3 2 25 Value Factors %Growth Factors % Price/Earnings 16.36 LT Earn Gr 13.82 Price/Book 2.38 Hist Earn Gr -10.53 Price/Sales 1.82 Book Val Gr 6.26 Price/Cash Flow 9.74 Sales Gr -1.84 Dividend Yield 1.95 Cash Flow Gr 14.17 Fixed Income Style Avg Eff Duration1 7.3 Yrs Avg Eff Maturity1 9.0 Yrs Avg Credit Quality1 A Avg Wtd Coupon1 2.23% Avg Wtd Price 104.01 1 as of 1/31/2022Ltd Mod Ext HighMedLowCredit Rating Breakdown %Maturity Breakdown % AAA 55.2 1-3 20.0 AA 10.1 3-5 15.6 A 17.4 5-7 12.9 BBB 16.5 7-10 12.2 BB 0.0 10-15 5.7 B or Below B 0.4 15-20 7.2 Not Rated 0.3 20-30 23.4 30+2.2 Top Holdings as of 1/31/2022 Style Box Sector Mkt Cap USD (mil) % Mkt Val Vanguard Total Stock Mkt Id...4 ——38.36 Vanguard Total Intl Stock Ind...4 ——26.21 Vanguard Total Bond Market...———23.44 Vanguard Total Intl Bd II Idx I...3 ——10.42 Top 4 holdings 98.4 Top 3 Equity Sectors %Rel BM1%Rel BM2% Technology 20.47 —— Financial Svcs 15.94 —— Cons Cyclical 11.57 —— Top 3 Fixed Income Sectors %Rel BM1%Rel BM2% Government 44.68 —— Corporate 18.47 —— Derivative 16.57 —— © Morningstar 2022. 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