Tucson Supplemental Retirement System

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1 September 30, 2017 Tucson Supplemental Retirement System Investment Measurement Service Quarterly Review The following report was prepared by Callan using information from sources that include the following: fund trustee(s); fund custodian(s); investment manager(s); Callan computer software; Callan investment manager and fund sponsor database; third party data vendors; and other outside sources as directed by the client. Callan assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by any information providers external to Callan. Reasonable care has been taken to assure the accuracy of the Callan database and computer software. Callan does not provide advice regarding, nor shall Callan be responsible for, the purchase, sale, hedge or holding of individual securities, including, without limitation securities of the client (i.e., company stock) or derivatives in the client s accounts. In preparing the following report, Callan has not reviewed the risks of individual security holdings or the conformity of individual security holdings with the client s investment policies and guidelines, nor has it assumed any responsibility to do so. Advice pertaining to the merits of individual securities and derivatives should be discussed with a third party securities expert. Copyright 2017 by Callan.

2 Asset Allocation Executive Summary for Period Ending September 30, 2017 Total Fund Performance Returns for Periods Ended September 30, 2017 Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years Total Fund Gross 3.98% 14.58% % 6.22% Total Fund Net 3.88% 14.08% 8.32% 10.31% 5.69% Total Fund Benchmark* % 7.44% 9.23% 5.66% Fiscal Year Returns Total Fund Gross 3.98% 14.77% 2.33% 4.63% 19.64% Total Fund Net 3.88% 14.26% 1.89% 4.17% 19.11% Total Fund Benchmark* % 1.82% 4.34% 16.97% Recent Developments NA Organizational Announcements PIMCO announced the departure of President Jay Jacobs. Jacobs was with the firm for 19 years and will serve as an advisor to the CEO until at least September Robin Shanahan and Peter Strelow take on the role of Co-Chief Operating Officers. Shanahan and Strelow have been with the firm for 10 years and 15 years respectively. On March 7, 2017, Aberdeen Asset Management and Standard Life Investments each announced plans to merge, creating an investment business with 660 (~$697) billion under administration of which 580 (~$613) billion is assets under management. The allshares transaction would result in Aberdeen shareholders owning 33.3% and Standard Life shareholders owning 66.7% of the combined group. Following the merger, Standard November 7, 2017 Callan LLC

3 Life plc will be renamed Standard Life Aberdeen plc. The intention is to bring the investment businesses of the Standard Life Group and the Aberdeen Group into a single investment sub-group. The holding company of the investment sub-group would be named Aberdeen Standard Life Investments Limited. Callan has met with Aberdeen and their message to us is that the merger has no direct impact on the investment teams including the team that manages the EAFE Plus strategy. Due to synergies, it is expected that roughly 900 jobs will be cut over a three year period. The merger closed as scheduled on August 14, Active Manager Performance Peer Group Ranking Fund Last Year Last 3 Years Last 5 Years PIMCO Stocks Plus T. Rowe Price Large Cap Growth Champlain Mid Cap FIAM Small Cap Causeway International Opportunities** Aberdeen EAFE Plus American Century Int'l Small Cap 49 [48] [53] PIMCO Fixed Income JP Morgan Strategic Property Fund JP Morgan Income and Growth Fund * Brackets indicate actual performance linked with manager composite ** Transitioned from International Value to International Opportunities, in May 2016 The performance trend for Aberdeen EAFE Plus had been improving. However, the portfolio trailed the benchmark by 304 basis points and placed in the 98 th percentile of its peer group in the third quarter. TSRS has been invested for five and one quarter years and the portfolio returned +5.7% gross of fees versus 8.1% for the benchmark over that period. Gordon Weightman, CFA Senior Vice President Paul Erlendson Senior Vice President November 7, 2017 Callan LLC

4 Table of Contents September 30, 2017 Market Overview Capital Markets Review 3 Total Fund Actual Asset Allocation vs Target 20 Asset Allocation Across Investment Managers 21 Investment Manager Returns 22 Investment Manager Returns 26 Total Fund Attribution 30 Total Fund Performance 35 Domestic Equity Domestic Equity 37 Alliance S&P 500 Index 39 PIMCO StocksPLUS 41 BlackRock Russell 1000 Value 43 T. Rowe Price Large Cap Growth 45 Champlain Mid Cap 47 Pyramis Small Cap 49 International Equity International Equity 52 Causeway International Opportunities 54 Aberdeen EAFE Plus 56 American Century Non-US SC 58 Fixed Income Fixed Income 61 BlackRock U.S. Debt Fund 63 PIMCO Fixed Income 65 Real Estate Real Estate 68 JP Morgan Strategic Property Fund 70 JP Morgan Income and Growth Fund 72 Infrastructure Infrastructure 75 Macquarie European Infrastructure 76 SteelRiver Infrastructure North America 77 Callan Research/Education 78 Disclosures 81

5 Market Overview Capital Markets Review Market Overview Capital Markets Review

6 ΧΑΛΛΑΝ ΙΝΣΤΙΤΥΤΕ Χαπιταλ Μαρκετ Ρεϖιεω Τηιρδ Θυαρτερ 2017 Wηψ Σο Σαδ? Μαναγινγ Ρισκ Wηιλε Ηυντινγ φορ Ρετυρνσ Υπ, Υπ, Υπ, ανδ Αωαψ φορ Γλοβαλ Στοχκσ Ηεαλτηψ Ρισκ Αππετιτε Dροϖε Ψιελδσ ΕΧΟΝΟΜΨ Τηε δισχοννεχτ σηαρπ 2 ενεδ ιν τηε θυαρτερ βε ΠΑΓΕ τωεεν τηε στατε οφ τηε εχονοmψ, ωηιχη ισ πρεττψ γοοδ, ανδ σεντιmεντ, ωηιχη ισ νοτ σο γοοδ. Γλοβαλ γεοπολιτιχαλ υπηεαϖαλ δοmι νατεσ τηε νεωσ χψχλε. Βυτ τηε ωορλδ εχονοmψ ισ ιν mυχη βεττερ σηαπε τηαν τηισ σεντιmεντ mιγητ συγγεστ. ΦΥΝD ΣΠΟΝΣΟΡ Ενδοωmεντσ ανδ φουν 4 δατιονσ περφορmεδ βεστ ΠΑΓΕ οϖερ τηε ονε ψεαρ περιοδ ενδινγ ωιτη τηε τηιρδ θυαρτερ, ωηιλε Ταφτ Ηαρτλεψ πλανσ συρπασσεδ οτηερ γρουπσ οϖερ τηε παστ τηρεε ανδ ive-year periods. Corporate plans διδ βεστ οϖερ α 10 ψεαρ περιοδ. ΕΘΥΙΤΨ 6 ΠΑΓΕ Τηε Σ&Π 500, Ρυσσελλ 2000, ανδ Νασδαθ Χοmποσιτε αλλ ηιτ ρεχορδ highs on the inal trading day of the θυαρτερ. Νον Υ.Σ. δεϖελοπεδ εθυιτψ ουτπερφορmεδ τηε Υ.Σ. φορ τηε τηιρδ χονσεχυτιϖε θυαρτερ; εmεργινγ mαρ κετσ ουτπερφορmεδ δεϖελοπεδ ονεσ, αλσο φορ τηε τηιρδ στραιγητ θυαρτερ. ΦΙΞΕD ΙΝΧΟΜΕ Global ixed income mar 9 κετσ γενεραλλψ περφορmεδ ΠΑΓΕ ωελλ ιν τηε τηιρδ θυαρτερ. Moderate growth and inlation kept λονγ τερm ρατεσ λοω ανδ ρανγε βουνδ ιν τηε Υ.Σ. Ρατεσ ωερε αλσο λοω ουτσιδε τηε Υ.Σ., βυτ δολλαρ ωεακνεσσ βοοστεδ ρετυρνσ, εσπε χιαλλψ φορ εmεργινγ mαρκετ δεβτ. Βεστ Λοχατιον? Ευροπε Τηεσε Dαψσ ΠΕ Μαρκετ Σεεσ Γολδεν Ερα Κιχκιν Ιτ ωιτη Ρισκ Στρονγεστ Φιρστ Ηαλφ ιν DΧ Ινδεξ Ηιστορψ ΡΕΑΛ ΕΣΤΑΤΕ Τηε ΝΧΡΕΙΦ Προπερτψ 11 Ινδεξ νοτχηεδ 35 στραιγητ ΠΑΓΕ θυαρτερσ οφ γαινσ, ωηιλε τηε NCREIF Open End Diversiied Χορε Εθυιτψ Ινδεξ ρεβουνδεδ φροm λαστ θυαρτερ σ σεϖεν ψεαρ λοω. Ευροπε ωασ τηε στρονγεστ περφορm ινγ ρεγιον, ωιτη τηε ΦΤΣΕ ΕΠΡΑ/ ΝΑΡΕΙΤ Ευροπε Ινδεξ υπ 4.8%. ΠΡΙςΑΤΕ ΕΘΥΙΤΨ Λοω ϖολατιλιτψ ανδ γεντλψ 13 ρισινγ mαρκετσ φοστερεδ ΠΑΓΕ ονγοινγ Γολδεν Ερα χονδιτιονσ ιν τηε πριϖατε εθυιτψ mαρκετ. Φυνδραισινγ ισ ον παχε το βεστ λαστ ψεαρ σ ποστ ΓΦΧ ηιγη; βυψουτ ανδ ϖεντυρε ινϖεστmεντσ σλοωεδ σλιγητλψ βυτ δολλαρ ϖολυmε ρεmαινεδ ηεαλτηψ. ΗΕDΓΕ ΦΥΝDΣ DΕΦΙΝΕD ΧΟΝΤΡΙΒΥΤΙΟΝ Τηε Χρεδιτ Συισσε Τηε Χαλλαν DΧ Ινδεξ 14 Ηεδγε Φυνδ Ινδεξ ροσε 15 ροσε 3.1% δυρινγ τηε σεχ ΠΑΓΕ 1.8% ιν τηε θυαρτερ, ωηιλε ΠΑΓΕ ονδ θυαρτερ ανδ ισ νοω τηε mεδιαν mαναγερ ιν τηε Χαλλαν Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε αδϖανχεδ 2.. Τηε mεδιαν Χαλλαν Λονγ/Σηορτ Εθυιτψ ΦοΦ (+3.1%) ηανδιλψ βεατ τηε Χαλλαν Αβσολυτε Ρετυρν ΦΟΦ (+1.8%). υπ 7.9% ψεαρ το δατε ιτσ στρονγεστ irst-half performance since its 2006 ινχεπτιον. Στιλλ, τηε Ινδεξ τραιλεδ τηε τψπιχαλ Αγε 45 Ταργετ Dατε Φυνδ, υπ 3.7% ιν τηε σεχονδ θυαρτερ ανδ 9.4% in the irst half. Βροαδ Μαρκετ Θυαρτερλψ Ρετυρνσ Υ.Σ. Εθυιτψ Ρυσσελλ 3000 Νον Υ.Σ. Εθυιτψ ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Υ.Σ. Φιξεδ Ινχοmε Βλοοmβεργ Βαρχλαψσ Αγγ Νον Υ.Σ. Φιξεδ Ινχοmε Βλοοmβεργ Βαρχλαψσ Γβλ εξ ΥΣ +4.6% +6.2% +0.8% +2.5% Sources: Bloomberg Barclays, MSCI, Russell Investment Group Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ.

7 Wηψ Σο Σαδ? ΕΧΟΝΟΜΨ ϑαψ Κλοεπφερ Τηε δισχοννεχτ σηαρπενεδ ιν τηε τηιρδ θυαρτερ οφ 2017 βετωεεν τηε στατε οφ τηε υνδερλψινγ εχονοmψ, ωηιχη ισ πρεττψ γοοδ, ανδ σεντιmεντ, ωηιχη ισ νοτ σο γοοδ, τεετερινγ ον δοωνριγητ γλοοmψ. Θυαρτερλψ Ρεαλ ΓDΠ Γροωτη 8% 6% (20 Ψεαρσ) Γεοπολιτιχαλ υπηεαϖαλ αχροσσ τηε γλοβε δοmινατεδ τηε νεωσ cycle, feeding anxieties about the future of monetary and is cal policy, taxes, trade, and conlict. Tension remained high ωιτη Νορτη Κορεα ανδ χοντινυεδ το εσχαλατε ωιτη Ρυσσια. Ριχηλψ πριχεδ χαπιταλ mαρκετσ σπυρρεδ χονχερνσ αβουτ αν ινεϖιταβλε χορρεχτιον. Χοmπαρισονσ το τηε πρε Γλοβαλ Φινανχιαλ Χρισισ (ΓΦΧ) περιοδ ιν 2007, το βεφορε τηε Dοτ Χοm Βυββλε ιν 2000, ανδ παρτιχυλαρλψ το 1987 βεφορε τηε 2 ονε δαψ δροπ ιν τηε Υ.Σ. στοχκ mαρκετ αβουνδ. Τηεν τωο ηυρριχανεσ οφ ηιστοριχ προπορ τιονσ σλαmmεδ τηε Χαριββεαν, τηε Γυλφ οφ Μεξιχο, ανδ τηε Υ.Σ. mαινλανδ ωιτηιν α χουπλε ωεεκσ οφ εαχη οτηερ ιν Σεπτεmβερ. Στεππινγ βαχκ φροm τηε χονϕεχτυρε ανδ ηανδ ωρινγινγ, τηε στατε οφ τηε γλοβαλ εχονοmψ ασ ωε ηεαδ ιντο τηε φουρτη θυαρτερ οφ 2017 ισ mυχη βεττερ τηαν τηισ γενεραλ σεντιmεντ mιγητ συγ γεστ. Ινϖεστορσ αρε χερταινλψ λεσσ χονχερνεδ αβουτ τηε εχονοmψ τηαν τηε νεωσ ωουλδ λεαδ υσ το βελιεϖε. Τηε Υ.Σ. εχονοmψ ηασ αχτυαλλψ γατηερεδ mοmεντυm ασ 2017 προγρεσσεδ. Αφτερ α ρελα tively weak irst quarter (1.4% growth), GDP was revised up to 3.1% ιν τηε σεχονδ θυαρτερ ανδ γρεω αν αστουνδινγ 3. ιν τηε τηιρδ θυαρτερ αφτερ αχχουντινγ φορ τηε ιmπαχτ οφ Ηαρϖεψ ανδ Irma. Without the hurricanes, real GDP would likely have seen α ροβυστ γαιν ιν εξχεσσ οφ 4%, περηαπσ ασ στρονγ ασ 4.5%. Ινιτιαλ εστιmατεσ φορ φουρτη θυαρτερ γροωτη αρε εθυαλλψ λοφτψ. Wηατ γιϖεσ? Ισ τηισ γροωτη σπυρτ τηε λαστ, εξυβεραντ γασπ βεφορε τηε εχονοmψ χολλαπσεσ φροm εξηαυστιον? Φιρστ ανδ φορεmοστ, ωε σηουλδ ρεχαλλ τηατ εξπανσιονσ δο νοτ διε οφ ολδ αγε; τηεψ τψπι χαλλψ εξπιρε υνδερ τηε ωειγητ οφ ιmβαλανχεσ ιν σπενδινγ ϖερσυσ ινχοmε, α ρυν υπ ιν δεβτ, α βυιλδ υπ ιν ινϖεντορψ φορ δεmανδ τηατ ωανεσ, ορ οϖερ βυιλδινγ φορ εχονοmιχ αχτιϖιτψ τηατ δοεσν τ materialize. These imbalances are obvious in hindsight but difi χυλτ το σποτ ιν τηε mοmεντ. Τηε χυρρεντ χψχλε ισ παρτιχυλαρλψ ηαρδ το πιν δοων; τηε εξπανσιον mαψ βε γεττινγ λονγ ιν τηε τοοτη 4% 2% -2% -4% -6% -8% Source: Bureau of Economic Analysis Inlation Year-Over-Year 2 15% 1 5% -5% -1-15% CPI (All Urban Consumers) after more than seven years, but the GDP gains since the GFC (2.2% περ ψεαρ) αρε συβσταντιαλλψ λοωερ τηαν τηοσε ενϕοψεδ ιν previous recoveries (above 3%). Consumers spent the irst sev εραλ ψεαρσ φολλοωινγ τηε ΓΦΧ δελεϖεραγινγ, ωηετηερ ϖολυνταριλψ ορ ινϖολυνταριλψ. Βυσινεσσεσ ηαϖε βεεν περσιστεντλψ ρελυχταντ το ινϖεστ ιν χαπιταλ, εξχεπτ περηαπσ φορ εθυιπmεντ ρεπλαχεmεντ ανδ τεχηνολογψ. PPI (All Commodities) Source: Bureau of Labor Statistics 2

8 Υ.Σ. ΕΧΟΝΟΜΨ (Χοντινυεδ) Consumer spending is inally leading GDP growth, fueled by τιγητ λαβορ mαρκετσ, α λονγ αωαιτεδ νυδγε υπωαρδ ιν ωαγεσ ανδ σαλαριεσ, ανδ ιν α περηαπσ λεσσ σανγυινε δεϖελοπmεντ, α ρενεωεδ ιντερεστ ιν ανδ αβιλιτψ το βορροω. Wηιλε mορτγαγε δεβτ ισ still more dificult to obtain than pre-gfc, consumer credit as a περχενταγε οφ δισποσαβλε ινχοmε ηασ ρεγαινεδ ιτσ πρε ΓΦΧ πεακ of 24% and then some, reaching past 26% in the third quarter of Business spending is also inally accelerating after years of its and starts. The ISM Report on Business for September σηοωσ στρενγτη αχροσσ αλmοστ αλλ mεασυρεσ οφ mανυφαχτυρινγ and non-manufacturing activity. The Purchasing Managers Index came in at 58.8 in August and 60.8 in September, well αβοϖε 50, τηε διϖιδινγ λινε βετωεεν εξπανσιον ανδ χοντραχτιον. Τηε νεω ορδερσ, προδυχτιον, ανδ εmπλοψmεντ ινδιχεσ αρε εϖεν στρονγερ, ανδ χουπλεδ ωιτη α σηαρπ δεχλινε ιν ινϖεντοριεσ φολλοω ινγ τηε ηυρριχανεσ, αχτιϖιτψ ισ ποισεδ το βε εϖεν στρονγερ ιν τηε φουρτη θυαρτερ. Τηε συσταιναβιλιτψ οφ τηε 2017 βυρστ ιν γροωτη ωιλλ χερταινλψ φαλλ under scrutiny. Hopes for near-term iscal stimulus in the U.S. αρε διmινισηεδ, ανδ τιγητ λαβορ mαρκετσ συγγεστ λιmιτεδ ποτεντιαλ φορ φυρτηερ γροωτη φροm τηε εξιστινγ σετ οφ λαβορ ανδ χαπιταλ ινπυτσ αϖαιλαβλε ιν τηε Υ.Σ. εχονοmψ. Outside the U.S., euro zone GDP for the second quarter was ρεϖισεδ υπωαρδσ το 2.3% φροm 1.7%, ανδ πρελιmιναρψ δατα συππορτ χοντινυεδ ιmπροϖεmεντ ιν τηε τηιρδ θυαρτερ. Τηε λονγ αωαιτεδ ρεσπονσε το τηε στιmυλυσ αππεαρσ το ηαϖε αρριϖεδ. Ιν China, annual growth increased by 6.9% in the second quarter, identical to the irst quarter and slightly ahead of expectations. Initial data on industrial production and investment in ixed Τηε Λονγ Τερm ςιεω 2017 Περιοδσ ενδεδ Dεχ. 31, 2016 Ινδεξ 3ρδ Θτρ Ψεαρ 5 Ψρσ 10 Ψρσ 25 Ψρσ Υ.Σ. Εθυιτψ Ρυσσελλ S&P Ρυσσελλ Νον Υ.Σ. Εθυιτψ ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ ΜΣΧΙ Εmεργινγ Μαρκετσ ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Σmαλλ Χαπ Φιξεδ Ινχοmε Βλοοmβεργ Βαρχλαψσ Αγγ Dαψ Τ Βιλλ Βλοοmβεργ Βαρχλαψσ Λονγ Γ/Χ Βλοοmβεργ Βαρχλαψσ Γλ Αγγ εξ ΥΣ Ρεαλ Εστατε NCREIF Property ΦΤΣΕ ΝΑΡΕΙΤ Εθυιτψ Αλτερνατιϖεσ ΧΣ Ηεδγε Φυνδ Cambridge PE* Βλοοmβεργ Χοmmοδιτψ Gold Spot Price Inlation CPI-U *Most recent quarterly data not available. Sources: Bloomberg Barclays, Bloomberg, Credit Suisse, FTSE, MSCI, NCREIF, Russell Investment Group, Standard & Poor s, Thomson Reuters/Cambridge, Bureau of Economic Analysis. ασσετσ ρελεασεδ ιν ϑυλψ ανδ Αυγυστ αρε χονσιστεντ ωιτη α τηιρδ θυαρτερ σλοωδοων. Ροβυστ γαινσ ιν δεϖελοπεδ νον Υ.Σ. ανδ εmεργινγ εθυιτψ mαρκετσ αρε φυελεδ βψ ρενεωεδ οπτιmισm, ορ ατ λεαστ ρεδυχεδ σκεπτιχισm, αβουτ γροωτη προσπεχτσ ιν mανψ mαρκετσ αρουνδ τηε γλοβε. Ρεχεντ Θυαρτερλψ Εχονοmιχ Ινδιχατορσ 3Θ17 2Θ17 1Θ17 4Θ16 3Θ16 2Θ16 1Θ16 4Θ15 Εmπλοψmεντ Χοστ Τοταλ Χοmπενσατιον Γροωτη 2.5% 2.4% 2.4% 2.2% 2.3% 2.3% 1.9% 2. Nonfarm Business Productivity Growth 1.6%* 1.5% 0.1% 1.3% 2.5% 0.8% 1.2% -2.6% GDP Growth % 1.2% 1.8% 2.8% 2.2% 0.6% 0.5% Μανυφαχτυρινγ Χαπαχιτψ Υτιλιζατιον 75.2% 75.7% 75.4% 75.1% 74.9% 75.1% 75.4% 75.4% Consumer Sentiment Index (1966=100) *Estimate. Sources: Bureau of Economic Analysis, Bureau of Labor Statistics, Federal Reserve, IHS Economics, Reuters/University of Michigan. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 3

9 Μαναγινγ Ρισκ Wηιλε Ηυντινγ φορ Ρετυρνσ ΦΥΝD ΣΠΟΝΣΟΡ Λοω ιντερεστ ρατεσ ανδ λοω ρετυρν εξπεχτατιονσ χοντινυεδ το δριϖε στρατεγιχ αλλοχατιον δισχυσσιονσ φορ φυνδ σπονσορσ. Μανψ φελτ χοmπελλεδ το τακε ον mαρκετ ρισκ το ρεαχη ρετυρν ταργετσ. Σπονσορσ αρε νοω εξαmινινγ ιφ τηερε ισ ανψτηινγ τηεψ χαν δο το ταmπ δοων τηε ρισκ ωιτηιν τηειρ λαργε γροωτη αλλοχατιον σηορτ οφ αχτυαλλψ ρεδυχινγ ιτ. Χαλλαν Φυνδ Σπονσορ Ρετυρνσ φορ τηε Θυαρτερ 6% 4% 2% Φορ ινστανχε, το οφφσετ ρισκ ιν α χρισισ σιτυατιον, πλανσ ηαϖε εξαmινεδ στρατεγιεσ ινχλυδινγ Τρεασυρψ βονδ αλλοχατιονσ, mοmεντυm, mυλτι ασσετ χλασσ (ΜΑΧσ), ανδ εϖεν γολδ. These discussions, as we have noted before, turn diversiica τιον ον ιτσ ηεαδ: Ινϖεστορσ αρε λοοκινγ φορ ινϖεστmεντσ ωιτη σιm ιλαρ υνδερλψινγ ρετυρν φαχτορσ (ιν τηισ χασε εθυιτψ) ωηιλε σεεκ ing at least some diversiication to smooth the ride within that λαργε γροωτη αλλοχατιον. Α βροαδερ γροωτη αλλοχατιον χαν τηεν χονσιδερ ινϖεστmεντσ λικε ηιγη ψιελδ, χονϖερτιβλεσ, λοω ϖολατιλ ιτψ εθυιτψ, ηεδγε φυνδσ, ΜΑΧσ, ανδ οπτιον βασεδ στρατεγιεσ. Τηισ αππροαχη αλσο αλλοωσ φορ νεω στρατεγιεσ το βε βρουγητ into the fold, based on prospective diversiication or return ενηανχεmεντ. Τηε βροαδενινγ οφ γροωτη ασσετσ οφτεν λεαδσ Public Corporate Endow/Fndn Taft-Hartley Database Database Database Database 10th Percentile th Percentile Median th Percentile th Percentile Source: Callan to a sharper focus on reining ixed income exposure to gain a πυρερ εξποσυρε το ιντερεστ ρατεσ. Ιν αδδιτιον, τηε αχτιϖε/πασσιϖε δισχυσσιον χοντινυεσ το λοοm λαργε. Τηε αργυmεντ το ρεταιν αχτιϖε το προτεχτ ιν α δοων mαρκετ ανδ βε νιmβλε ιν α ϖολατιλε, λοω ρετυρν ενϖιρονmεντ ισ χοmπελλινγ, βυτ πλαν σπονσορσ αρε ωεαρψ οφ ηιστοριχαλ Χαλλαν Φυνδ Σπονσορ Αϖεραγε Ασσετ Αλλοχατιον 2. U.S. Equity Non-U.S. Equity Global Equity U.S. Fixed Non-U.S. Fixed U.S. Balanced Global Balanced Real Estate Hedge Funds Other Alternatives Cash 0.8% 19.8% 0.5% % 2.1% 1.7% 3.3% Endowment/ Foundation 3.67%* 18.8% 34.6% 1.6% 0.3% 0.9% *Latest median quarter return. Note: charts may not sum to 10 due to rounding. Source: Callan 26.2% 2.2% 2.4% Public 3.48%* 1.2% 16.8% % 0.5% 3.7% 26.4% 0.2% 0.7% 11.4% 4. Taft-Hartley 3.35%* 12.1% 2.1% 36.8% 1.5% 1.7% % 0.7% 39.5% 3.2% 2.1% Corporate 3.29%* 4.4% 27.4% 14.5% 4

10 ΦΥΝD ΣΠΟΝΣΟΡ (Χοντινυεδ) υνδερπερφορmανχε ιν αχτιϖελψ mαναγεδ εθυιτψ. Ανδ τιεδ το τηατ δισχυσσιον ισ τηε υσε οφ πασσιϖε mαναγεmεντ το χοντρολ χοστσ. For deined contribution (DC) plans, regulations, lawsuits, and ιmπλεmεντατιον αρε δριϖινγ φαχτορσ φορ τηε δεχισιον mακινγ προχεσσ. Σοmε οφ τηισ χονϖερσατιον ηασ λεδ το νεγοτιατινγ α reduction of fees for the plans, in some cases to a signiicant εξτεντ. Ηειγητενεδ φεε σενσιτιϖιτψ ανδ λιτιγατιον ηαϖε ρεσυλτεδ ιν λιττλε τραχτιον φορ νον τραδιτιοναλ ασσετ χλασσεσ συχη ασ λιθυιδ αλτερνατιϖεσ. Target date funds (TDFs) dominate asset lows in DC plans; τηεψ νοω αχχουντ φορ αλmοστ 3 οφ DΧ ασσετσ, αχχορδινγ το τηε Χαλλαν DΧ Ινδεξ. ΤDΦσ ηαϖε ρεχειϖεδ αν αϖεραγε οφ 71% of lows into DC plans over the last three years. Over the last ive years, Callan has seen several trends in ασσετ αλλοχατιον βψ διφφερεντ τψπεσ οφ φυνδ σπονσορσ: Corporate funds: The range of U.S. ixed income allocations ηασ ωιδενεδ, ασ τηεσε σπονσορσ αρε ιν διφφερεντ σταγεσ οφ εφφορτσ το δε ρισκ. Public funds: Many have increased their allocation to non- U.S. equity and real estate at the expense of ixed income. Capital market return expectations have created a dificult ενϖιρονmεντ φορ τοταλ ρετυρν ινϖεστορσ. Ενδοωmεντσ ανδ φουνδατιονσ: Τηεψ χοντινυε το mοϖε assets from ixed income to asset classes with expectations φορ ηιγηερ ρετυρνσ. Γλοβαλ εθυιτψ, νον Υ.Σ. εθυιτψ, ανδ ρεαλ estate have all beneited from this shift. Τηε περφορmανχε βψ φυνδ σπονσορσ χοντινυεδ το βε ροβυστ. Οϖερ τηε ονε ψεαρ ενδινγ ωιτη τηε τηιρδ θυαρτερ, ονλψ χορπο ρατε σπονσορσ διδ νοτ εξχεεδ τηε 10.9% ρετυρν οφ α θυαρτερλψ rebalanced 6 S&P 500/4 Bloomberg Barclays Aggregate πορτφολιο. Ενδοωmεντσ ανδ φουνδατιονσ περφορmεδ βεστ οϖερ τηατ ονε ψεαρ περιοδ, ωηιλε χορπορατε πλανσ διδ βεστ οϖερ α 10 ψεαρ περιοδ. Ταφτ Ηαρτλεψ πλανσ ωερε τηε βεστ περφορmινγ group over the past three and ive years, partially due to a λαργερ ηοmε χουντρψ βιασ. Χαλλαν Πυβλιχ Φυνδ Dαταβασε Αϖεραγε Ασσετ Αλλοχατιον (10 Ψεαρσ) Cash Other Alternatives Hedge Funds Real Estate Global Balanced U.S. Balanced Non-U.S. Fixed U.S. Fixed Global Equity Non-U.S. Equity U.S. Equity Source: Callan. Callan s database includes the following groups: public deined beneit, corporate deined beneit, endowments/foundations, and Taft-Hartley plans. Approximately 1 to 15% of the database constituents are Callan s clients. All database group returns presented gross of fees. Past performance is no guarantee of future results. Reference to or inclusion in this report of any product, service, or entity should not be construed as a recommendation, approval, ailiation, or endorsement of such product, service, or entity by Callan. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 5

11 Γλοβαλ Εθυιτψ Υ.Σ. Στοχκσ: Τηε Εϖερψτηινγ Ραλλψ Μαρχηεδ Ον +4.6% ΡΥΣΣΕΛΛ 3000 Τηε Γολδιλοχκσ ενϖιρονmεντ ( Νοτ τοο ηοτ, νοτ τοο χολδ, βυτ ϕυστ ριγητ ) ανδ ινϖεστορ χοmπλαχενχψ χοντινυεδ το κεεπ ϖολατιλιτψ ατ mυλτι δεχαδε λοωσ ανδ προπελ στοχκ mαρκετσ το νεω ηιγησ, ιν σπιτε οφ εσχαλατινγ τενσιονσ ωιτη Νορτη Κορεα, σεϖεραλ σεϖερε νατυραλ δισαστερσ, ανδ υνχερταιντψ αρουνδ τηε προσπεχτσ φορ ταξ ρεφορm ανδ οτηερ Υ.Σ. δοmεστιχ αγενδα ιτεmσ. Τηε Σ&Π 500 Ινδεξ, Ρυσσελλ 2000 Ινδεξ, ανδ Νασδαθ Χοmποσιτε Ινδεξ αλλ ηιτ ρεχορδ ηιγησ on the inal trading day of the quarter. It was the Nasdaq s 50th ρεχορδ χλοσε τηισ ψεαρ. Στοχκσ, βονδσ, ανδ χοmmοδιτιεσ αλικε ρεωαρδεδ ινϖεστορσ ιν ωηατ σ βεεν χοινεδ τηε εϖερψτηινγ ραλλψ, mαρκεδ βψ ιτσ συρπρισ ινγλψ λοω ϖολατιλιτψ. Εϖεν χαση ισ υπ φροm ιτσ δισmαλ δαψσ ανδ ποστεδ α +0.3% θυαρτερλψ ρεσυλτ. Ινϖεστορσ αττεντιον ρεmαινεδ φοχυσεδ ον τηε ηοπεφυλ προmισε οφ ταξ ρεφορm αλονγ ωιτη τηε γενεραλλψ υπβεατ πιχτυρε οφ τηε Υ.Σ. εχονοmψ. Βυτ χοντραριανσ θυεστιον ωηερε λονγερ τερm αλπηα χαν βε φουνδ αmιδ στρετχηεδ εθυιτψ ϖαλυατιονσ. The Tech (+8.6%) and Energy (+6.8%) sectors led the S&P 500 (+4.5%). Τηε γλοβαλλψ δοmιναντ Τεχη ναmεσ (τηε σο χαλλεδ ΦΑΑΜΓ στοχκσ, ορ Φαχεβοοκ, Αmαζον, Αππλε, Μιχροσοφτ, ανδ Γοογλε) χοντινυεδ το δριϖε ρεσυλτσ ιν τηε σεχτορ, ωηιχη νοω accounts for 23% of the S&P 500 and 38% of the Ρυσσελλ 1000 Γροωτη Ινδεξ. Τεχη αλονε ηασ αχχουντεδ φορ αππροξιmατελψ 4 of the S&P 500 s return year-to-date, with key drivers being στρονγ εαρνινγσ ρεπορτσ, ινχρεασινγ mαρκετ σηαρε, ανδ προδ υχτ ιννοϖατιον. Ρεχορδ ηιγη ϖαλυατιονσ φορ σεϖεραλ χοmπανιεσ raised concern over their inluence on the overall performance οφ τηε Ινδεξ σηουλδ α χορρεχτιον οχχυρ. Τηε Ενεργψ σεχτορ χοντινυεδ το σεε σιγνσ οφ ινχρεmενταλ ιmπροϖεmεντ δυρινγ τηε θυαρτερ δυε το α βαχκδροπ οφ ιmπροϖ ινγ συππλψ ανδ δεmανδ. Χονσυmερ Σταπλεσ ( 1.3%) ωασ τηε σολε σεχτορ το δελιϖερ α νεγατιϖε ρεσυλτ ασ mοmεντυm οριεντεδ στοχκσ ανδ σεχτορσ γαρνερεδ φαϖορ. Σmαλλ χαπ στοχκσ ουτπερφορmεδ λαργε χαπ. Ιν αδδιτιον, γροωτη ουτπερφορmεδ ϖαλυε (Ρυσσελλ 1000 Γροωτη: +5.9% ϖσ. Ρυσσελλ 1000 ςαλυε: +3.1%; Ρυσσελλ 2000 Γροωτη: +6.2% vs. Ρυσσελλ 2000 ςαλυε: +5.1%). Βιοτεχη (+14.5%) ανδ α συργε ιν σmαλλ Θυαρτερλψ Περφορmανχε οφ Σελεχτ Σεχτορσ Russell 1000 Russell % 8.8% % 6.8% 5.4% 5.5% 6.3% 5.2% % 4.3% 3.3% 3.4% % 1.5% -2. Technology Energy Materials & Processing Producer Durables Financial Services Utilities Health Care Consumer Discretionary Consumer Staples Source: Russell Investment Group 6

12 ΓΛΟΒΑΛ ΕΘΥΙΤΨ (Χοντινυεδ) Υ.Σ. Εθυιτψ: Θυαρτερλψ Ρετυρνσ the laggard. Investor behavior has had a meaningful inluence ον ρεσυλτσ ασ ινϖεστορσ τενδ το προϕεχτ τηειρ οπτιmισm αχροσσ τηε Russell % βροαδ mαρκετ ανδ χηασε mοmεντυm δυρινγ περιοδσ οφ στρενγτη. Russell 1000 Russell 1000 Growth Russell 1000 Value S&P 500 Russell Midcap Russell 2500 Russell % 3.5% 4.5% 4.5% 4.7% 5.9% 5.7% Γλοβαλ Στοχκσ: Στρονγερ Ουτσιδε τηε Υ.Σ. +6.2% ΜΣΧΙ ΑΧWΙ ΕΞ ΥΣΑ Νον Υ.Σ. δεϖελοπεδ εχονοmιεσ χον τινυεδ το γαιν τραχτιον. Σεχονδ θυαρ ter GDP growth in the euro zone was 2.3% (ψεαρ οϖερ ψεαρ) ωιτη χονσυmερ conidence and demand both showing strength. The euro γαινεδ γρουνδ ϖερσυσ τηε Υ.Σ. δολλαρ ανδ τηε πουνδ χοντινυεδ το στρενγτηεν ον ηαωκιση χοmmεντσ φροm τηε Βανκ οφ Ενγλανδ. Sources: Russell Investment Group and Standard & Poor s Ουτσιδε οφ Ευροπε, ϑαπαν σ εχονοmψ χοντινυεδ το σλοωλψ recover; second quarter GDP growth was 2.5% (annualized). Υ.Σ. Εθυιτψ: Ονε Ψεαρ Ρετυρνσ Wηιλε τηισ ωασ λοωερ τηαν εξπεχτεδ, τηε εχονοmψ ηασ νοω εξπανδεδ φορ σιξ χονσεχυτιϖε θυαρτερσ. Russell % Νον Υ.Σ. δεϖελοπεδ εθυιτψ (ΜΣΧΙ Wορλδ εξ ΥΣΑ: +5.6%) Russell 1000 Russell 1000 Growth Russell 1000 Value S&P % 18.5% 18.6% 21.9% ουτπερφορmεδ τηε Υ.Σ. φορ τηε τηιρδ χονσεχυτιϖε θυαρτερ ασ τηε Ευροπεαν mαρκετ (ΜΣΧΙ Ευροπε: +6.5%) continued to post ποσιτιϖε εχονοmιχ δατα ανδ χορπορατε εαρνινγσ γροωτη ωιτη σοmε σιγνσ οφ πολιτιχαλ σταβιλιτψ. Russell Midcap 15.3% Τηε δολλαρ σ λοσσεσ αγαινστ τηε ευρο στεmmεδ φροm αν υπσιδε Russell 2500 Russell % 20.7% συρπρισε ωιτη Ευροπεαν γροωτη ανδ mαρκετ φριενδλψ ουτχοmεσ ιν Ευροπεαν ελεχτιονσ. Εχονοmιχαλλψ σενσιτιϖε σεχτορσ ουτπερ φορmεδ δεφενσιϖε σεχυριτιεσ. Sources: Russell Investment Group and Standard & Poor s χαπ ϖαλυε ον ταξ ρεφορm νεωσ ιν Σεπτεmβερ βολστερεδ σmαλλ cap stocks during the quarter. Biotech beneited from the eas ινγ οφ πριχινγ ρισκσ ασ ωελλ ασ τηε ΦDΑ σ αππροϖαλ οφ γενετιχσ βασεδ τηεραπευτιχσ. Αλλ σεχτορσ γενερατεδ ποσιτιϖε ρετυρνσ. Ενεργψ ανδ Ματεριαλσ ωερε τηε τοπ τωο περφορmερσ ασ α ρεσυλτ οφ ηιγηερ οιλ ανδ χοm mοδιτψ πριχεσ. WΤΙ ανδ Βρεντ πριχεσ συργεδ βψ 12% ανδ 2, ρεσπεχτιϖελψ, δριϖεν βψ φαϖοραβλε συππλψ ανδ δεmανδ δψναmιχσ. Χοππερ ραλλιεδ 9% δυε το τιγητενινγ συππλψ ανδ ποσιτιϖε εχο νοmιχ δατα φροm Χηινα. Φροm α φαχτορ περσπεχτιϖε, mοmεντυm (+27.5% ΨΤD) ρεmαινεδ τηε τοπ περφορmερ ωηιλε δεφενσιϖε (+8.5% ΨΤD) ωασ ςαλυε ουτπαχεδ γροωτη ασ εχονοmιχαλλψ σενσιτιϖε σεχτορσ ποστεδ στρονγ θυαρτερλψ ρεσυλτσ. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 7

13 ΓΛΟΒΑΛ ΕΘΥΙΤΨ (Χοντινυεδ) Νον Υ.Σ. Εθυιτψ: Θυαρτερλψ Ρετυρνσ (Υ.Σ. Dολλαρ) Νον Υ.Σ. Εθυιτψ: Ονε Ψεαρ Ρετυρνσ (Υ.Σ. Dολλαρ) MSCI ACWI 5.2% MSCI ACWI 18.7% MSCI World 4.8% MSCI World 18.2% MSCI ACWI ex USA 6.2% MSCI ACWI ex USA 19.6% MSCI World ex USA 5.6% MSCI World ex USA 18.7% MSCI ACWI ex USA Small Cap 6.9% MSCI ACWI ex USA Small Cap 19.2% MSCI World ex USA Small Cap 7.3% MSCI World ex USA Small Cap 20.4% MSCI Europe ex UK 6.9% MSCI Europe ex UK 25.4% MSCI UK 5.2% MSCI UK 14.6% MSCI Pacific ex Japan 3.7% MSCI Pacific ex Japan 14.4% MSCI Japan 4. MSCI Japan 14.1% MSCI Emerging Markets 7.9% MSCI Emerging Markets 22.5% MSCI China 14.7% MSCI China 33. MSCI Frontier Markets 8. MSCI Frontier Markets 25.5% Source: MSCI Source: MSCI Εmεργινγ Μαρκετσ: Υπβεατ Σιγνσ Αχροσσ τηε Βοαρδ +7.9% ΜΣΧΙ ΕΜ Εmεργινγ mαρκετσ τοππεδ δεϖελοπεδ mαρκετσ φορ τηε τηιρδ χονσεχυτιϖε θυαρτερ, φυελεδ βψ α σοφτ δολλαρ, σψν χηρονιζεδ γλοβαλ γροωτη, ανδ στρονγ οιλ ανδ χοmmοδιτψ πριχεσ. Βραζιλ ωασ τηε βεστ περφορmινγ χουν try within emerging markets given the hope of achieving iscal ρεφορmσ το σπυρ εχονοmιχ γροωτη. Χηινα χοντινυεδ το φαρε ωελλ with GDP growth of 6.9% exceeding expectations; the Chinese Τεχη ανδ Ρεαλ Εστατε σεχτορσ ωερε τοπ περφορmερσ. Αλλ σεχτορσ ωιτηιν εmεργινγ mαρκετσ ποστεδ ποσιτιϖε ρετυρνσ, λεδ βψ εχονοmιχαλλψ σενσιτιϖε σεχτορσ συχη ασ Ρεαλ Εστατε, Ενεργψ, Ματεριαλσ, ανδ Φινανχιαλσ. Βραζιλιαν ανδ Ρυσσιαν βανκσ συργεδ δυρινγ τηε θυαρτερ, σπυρρεδ βψ ρισινγ οιλ ανδ χοmmοδιτψ πριχεσ ανδ ιmπροϖινγ λενδινγ χονδιτιονσ. Dεσπιτε α στρονγ σηοωινγ βψ ϖαλυε φαχτορσ, γροωτη ανδ mοmεντυm δοmινατεδ τηε mαρκετ γιϖεν τηε ρετυρνσ οφ λαργε χαπ Ασιαν τεχη χοmπανιεσ, ηελπεδ ιν παρτ βψ τηε δεmανδ φορ mοβιλιτψ ανδ χοννεχτιϖιτψ. Νον Υ.Σ. Σmαλλ Χαπ: Μιξεδ Μεσσαγεσ +6.9% ΜΣΧΙ ΑΧWΙ ΕΞ ΥΣΑ ΣΧ Dεϖελοπεδ νον Υ.Σ. σmαλλ χαπ (ΜΣΧΙ Wορλδ εξ ΥΣΑ Σmαλλ Χαπ: +7.3%) ουτπερφορmεδ λαργε χαπ ιν τηε ρισκ ον mαρκετ ενϖιρονmεντ mαρκεδ βψ ιmπροϖινγ εχονοmιχ αχτιϖιτψ ιν Ευροπε. Τηε τοπ τηρεε περφορm ing countries were Germany (+17.), Norway (+16.4%), ανδ Ιταλψ (+13.5%). Αλλ σεχτορσ ποστεδ ποσιτιϖε ρετυρνσ, λεδ βψ Ενεργψ ανδ Τεχηνολογψ. Σmαλλ χαπ (ΜΣΧΙ Εmεργινγ Μαρκετσ Σmαλλ Χαπ: +5.6%) λαγγεδ λαργε χαπ ιν εmεργινγ mαρκετσ δυε το τηε στρονγ περφορ mανχε οφ λαργε χαπ Ασιαν τεχηνολογψ χοmπανιεσ. Τηε τοπ τηρεε performing countries were Peru (+42.8%), Brazil (+31.8%), and Chile (+19.8%), all beneiting from higher oil and commod ιτψ πριχεσ. Γροωτη ουτπερφορmεδ ϖαλυε ιν δεϖελοπεδ σmαλλ χαπ, προπελλεδ βψ οπτιmισm συρρουνδινγ Ευροπεαν γροωτη. Χονϖερσελψ, ϖαλυε ουτπαχεδ γροωτη ιν εmεργινγ mαρκετ σmαλλ χαπ, συππορτεδ βψ ποσιτιϖε οιλ ανδ χοmmοδιτψ πριχεσ. 8

14 Γλοβαλ Φιξεδ Ινχοmε Υ.Σ. Βονδσ: Λοω ςολατιλιτψ Dροϖε Ρετυρνσ +0.8% ΒΒ ΑΓΓΡΕΓΑΤΕ Ψιελδσ ροσε mοδεστλψ, παρτιχυλαρλψ ον τηε σηορτ ενδ οφ τηε Υ.Σ. Τρεασυρψ ψιελδ χυρϖε. Τηε 10 ψεαρ Τρεασυρψ ψιελδ τουχηεδ 2.0 δυρινγ τηε θυαρ τερ ον γεοπολιτιχαλ ρισκσ ρελατεδ το Νορτη Κορεα, βυτ ενδεδ τηε quarter at 2.33%. Moderate growth and inlation kept long-term rates low and range-bound. Volatility in ixed income markets (ασ ωελλ ασ εθυιτιεσ) σατ ατ νεαρ ηιστοριχ λοωσ; τηε οϖεραλλ ρισκ αππετιτε ρεmαινεδ στρονγ. Ανδ ιν γενεραλ, λοωερ ρατεδ χρεδιτσ αγαιν ουτπερφορmεδ ινϖεστmεντ γραδε. Τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. Αγγρεγατε Βονδ Ινδεξ ωασ υπ 0.8% ιν τηε θυαρτερ. Τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. Χορπορατε Βονδ Ινδεξ ροσε 1.3%. Ηιγη ψιελδ χορπορατεσ φαρεδ εϖεν βεττερ, ωιτη τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. Χορπορατε Ηιγη Ψιελδ Βονδ Ινδεξ up 2.. TIPS rebounded from their υνδερπερφορmανχε ιν τηε πρεϖιουσ θυαρτερ. Τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. ΤΙΠΣ Ινδεξ ροσε 0.9% ανδ τηε 10 ψεαρ βρεακεϖεν σπρεαδ (τηε διφφερενχε βετωεεν νοmιναλ ανδ ρεαλ ψιελδσ) ροσε το 1.84% ασ οφ θυαρτερ ενδ φροm 1.73% ατ τηε ενδ οφ τηε σεχονδ θυαρτερ. Υ.Σ. Τρεασυρψ Ψιελδ Χυρϖεσ September 30, 2017 June 30, 2017 September 30, % 3% 2% 1% Maturity (Years) Source: Bloomberg Χορπορατε χρεδιτ σπρεαδσ τιγητενεδ ον στρονγ δεmανδ ανδ ροβυστ χορπορατε εαρνινγσ. Φινανχιαλσ ανδ Υτιλιτιεσ ωερε τηε λεαδινγ σεχτορσ δυρινγ τηε θυαρτερ. Ηιγη ψιελδ χρεδιτ χοντινυεδ το περφορm ωελλ, αιδεδ βψ τηε ηυντ φορ ψιελδ. Τηε υπωαρδ τρενδ ιν εαρνινγσ αλονγ ωιτη χορπορατε δισχιπλινε ηασ λεδ το τηε ηιγηεστ ρατινγ αγενχψ υπγραδε δοωνγραδε ρατιο σινχε Υ.Σ. Φιξεδ Ινχοmε: Θυαρτερλψ Ρετυρνσ Υ.Σ. Φιξεδ Ινχοmε: Ονε Ψεαρ Ρετυρνσ Bloomberg Barclays Gov/Credit 1-3 Yr 0.3% Bloomberg Barclays Gov/Credit 1-3 Yr 0.7% Bloomberg Barclays Interm Gov/Credit 0.6% Bloomberg Barclays Interm Gov/Credit 0.2% Bloomberg Barclays Aggregate 0.8% Bloomberg Barclays Aggregate 0.1% Bloomberg Barclays Long Gov/Credit 1.5% -0.8% Bloomberg Barclays Long Gov/Credit Bloomberg Barclays Universal 1. Bloomberg Barclays Universal 1. CS Leveraged Loans 1.1% CS Leveraged Loans 5.4% Bloomberg Barclays Corp. High Yield 2. Bloomberg Barclays Corp. High Yield 8.9% Bloomberg Barclays US TIPS 0.9% -0.7% Bloomberg Barclays US TIPS Sources: Bloomberg Barclays and Credit Suisse Sources: Bloomberg Barclays and Credit Suisse Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 9

15 ΓΛΟΒΑΛ ΦΙΞΕD ΙΝΧΟΜΕ (Χοντινυεδ) Τηε mυνιχιπαλ βονδ mαρκετ αλσο περφορmεδ ωελλ; τηε Βλοοmβεργ Βαρχλαψσ Μυνιχιπαλ Βονδ Ινδεξ ρετυρνεδ 1.1% φορ τηε θυαρτερ ανδ τηε σηορτερ δυρατιον 1 10 Ψεαρ Βλενδ Ινδεξ ωασ υπ 0.7%. Γλοβαλ Βονδσ: Μανψ Ρεασονσ το Χηεερ +2.5% ΒΒ ΓΒΛ ΑΓΓ ΕΞ ΥΣ Ρατεσ ωερε αλσο στεαδψ οϖερσεασ, τηουγη δολλαρ ωεακνεσσ βοοστεδ ρετυρνσ. Τηε Βλοοmβεργ Βαρχλαψσ Γλοβαλ Αγγρεγατε Ινδεξ ρετυρνεδ +1.8% (υνηεδγεδ) ϖερσυσ +0.8% φορ τηε ηεδγεδ ϖερσιον. Εmεργινγ mαρκετ δεβτ ποστεδ σολιδ ρετυρνσ. Τηε ϑπμ ΕΜΒΙ Global Diversiied Index ($ denominated) was up 2.6%. Gains ωερε βροαδ βασεδ ωιτη ονλψ βελεαγυερεδ ςενεζυελα ( 11%) δοων. Τηε λοχαλ χυρρενχψ JPM GBI-EM Global Diversiied Ινδεξ increased 3.6%. Returns were mixed for this index, with Brazil (+11%) being the best performer and Argentina s irstεϖερ λοχαλ βονδσ ( 4%) βεινγ τηε ωορστ ον ωορριεσ οϖερ τηε συχχεσσ οφ ρεφορmσ. Χηανγε ιν 10 ψεαρ Γλοβαλ Γοϖερνmεντ Βονδ Ψιελδσ 2Θ17 το 3Θ17 U.S. Treasury 3 bps -1 bps Germany U.K. 11 bps Canada 34 bps -2 bps Japan Source: Bloomberg Barclays Νον Υ.Σ. Φιξεδ Ινχοmε: Θυαρτερλψ Ρετυρνσ Νον Υ.Σ. Φιξεδ Ινχοmε: Ονε Ψεαρ Ρετυρνσ Bloomberg Barclays Global Aggregate 1.8% -1.3% Bloomberg Barclays Global Aggregate Bloomberg Barclays Global Agg (hdg) 0.8% -0.2% Bloomberg Barclays Global Agg (hdg) Bloomberg Barclays Global High Yield 2.8% Bloomberg Barclays Global High Yield 9.3% Bloomberg Barclays Global Agg ex US 2.5% -2.4% Bloomberg Barclays Global Agg ex US JPM EMBI Global Diversified 2.6% JPM EMBI Global Diversified 4.6% JPM GBI-EM Global Diversified 3.6% JPM GBI-EM Global Diversified 7.3% JPM EMBI Gl Div / JPM GBI-EM Gl Div 3.1% JPM EMBI Gl Div / JPM GBI-EM Gl Div 6. JPM CEMBI 2.2% JPM CEMBI 5.9% Sources: Bloomberg Barclays and JP Morgan Sources: Bloomberg Barclays and JP Morgan 10

16 Ευροπε Χοντινυεσ ασ Βεστ Περφορmινγ Ρεγιον ΡΕΑΛ ΕΣΤΑΤΕ Κεϖιν Ναγψ Τηε ΝΧΡΕΙΦ Προπερτψ Ινδεξ αδϖανχεδ 1.7% δυρινγ τηε τηιρδ quarter (1.1% from income and 0.6% from appreciation). This mαρκεδ τηε 35τη χονσεχυτιϖε θυαρτερ οφ ποσιτιϖε ρετυρνσ φορ τηε Ινδεξ. Αππρεχιατιον ρετυρν ρεσυmεδ ιτσ δεχρεασινγ τρενδ αφτερ αν ινχρεασε δυρινγ τηε σεχονδ θυαρτερ. Ινδυστριαλ (+3.3%) ωασ τηε βεστ περφορmινγ σεχτορ φορ τηε σιξτη χονσεχυτιϖε θυαρτερ φολλοωεδ βψ Ηοτελ (+2.3%), Μυλτι Φαmιλψ (+1.7%), and Ofice (+1.4%); Retail (+1.2%) was the worst περφορmερ. Τηε Wεστ ωασ τηε στρονγεστ ρεγιον φορ τηε φουρτη θυαρτερ ιν α ροω, ινχρεασινγ 2.2%, ανδ τηε Εαστ βρουγητ υπ τηε ρεαρ ωιτη α +1.3% ρετυρν. Τρανσαχτιον ϖολυmε ινχρεασεδ το 11.8 βιλλιον, υπ 53% φροm the second quarter and 22% from the third quarter of Αππραισαλ χαπιταλιζατιον ρατεσ φελλ 8 βασισ ποιντσ το 4.39%. Τρανσαχτιον χαπιταλιζατιον συφφερεδ α στεεπερ δεχλινε, φαλλινγ 83 bps to 5.26%. The spread between appraisal and transaction ρατεσ δεχρεασεδ το 87 βπσ. Υ.Σ. ΡΕΙΤσ ανδ ποστεδ α 1.8% ρετυρν. Υ.Σ. ΡΕΙΤσ, ασ mεασυρεδ βψ τηε ΦΤΣΕ ΝΑΡΕΙΤ Εθυιτψ ΡΕΙΤσ Ινδεξ, αδϖανχεδ 0.9% φορ τηε θυαρτερ. Ιν τηε Υ.Σ., ΡΕΙΤσ σταρτεδ τηε θυαρτερ ωιτη α στρονγ ϑυλψ βυτ τηεν συρρενδερεδ mοστ οφ τηε γαινσ ωιτη ποορ σηοωινγσ ιν Αυγυστ ανδ Σεπτεmβερ. Σεχτορσ εξπεριενχινγ στρονγ σεχυλαρ δεmανδ, such as Industrial (+6.5%) and Data Centers (+5.2%), were τηε βεστ περφορmερσ ασ τηε χοντινυεδ ρισε οφ ε χοmmερχε ανδ χλουδ στοραγε προϖιδεδ αmπλε ταιλωινδ. Ηοτελσ (+2.8%) ανδ Σελφ Στοραγε (+4.7%) αλσο διδ ωελλ, βυοψεδ βψ εξπεχτατιονσ οφ inlation and rising interest rates. Health Care (-5.4%) was the ωορστ περφορmινγ σεχτορ. Ευροπε, ασ ρεπρεσεντεδ βψ τηε ΦΤΣΕ ΕΠΡΑ/ΝΑΡΕΙΤ Ευροπε Ινδεξ, ωασ αγαιν τηε στρονγεστ περφορmινγ ρεγιον, ρισινγ 4.8% in U.S. dollar terms. Strong, diversiied growth across the major ιτψ οφ τηε ρεγιον σ εχονοmιεσ ωασ τηε mαιν δριϖερ οφ ποσιτιϖε ρετυρνσ. Τηε ρεγιον λαργελψ σηρυγγεδ οφφ δεσταβιλιζινγ πολιτιχαλ εϖεντσ συχη ασ τηε Χαταλονιαν ινδεπενδενχε ρεφερενδυm. Οχχυπανχψ ρατεσ φελλ το 93.3%. Ινδυστριαλ ανδ Ρεταιλ οχχυπανχψ rates increased slightly while Apartment and Ofice rates Ρολλινγ Ονε Ψεαρ Ρετυρνσ δεχρεασεδ. Private Real Estate Database REIT Style Global REIT Style 12 Τηε NCREIF Open End Diversiied Core Equity Index ροσε 1.9% (1.1% φροm ινχοmε ανδ 0.8% φροm αππρεχιατιον), α 17 βπσ ινχρεασε φροm τηε σεχονδ θυαρτερ. Αππρεχιατιον ρετυρν ινχρεασεδ 9 6 βψ 18 βπσ φροm τηε σεχονδ θυαρτερ σ σεϖεν ψεαρ λοω. 3 Γλοβαλ ρεαλ εστατε ινϖεστmεντ τρυστσ (ΡΕΙΤσ), τραχκεδ βψ τηε ΦΤΣΕ ΕΠΡΑ/ΝΑΡΕΙΤ Dεϖελοπεδ ΡΕΙΤ Ινδεξ (ΥΣD), ουτπερφορmεδ Source: Callan Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 11

17 ΡΕΑΛ ΕΣΤΑΤΕ (Χοντινυεδ) For the second quarter in a row, the Asia-Paciic region out περφορmεδ τηε Υ.Σ. βυτ υνδερπερφορmεδ Ευροπε. Ηονγ Κονγ προϖιδεδ τηε βεστ ρεγιοναλ περφορmανχε ωηιλε ϑαπαν λαγγεδ βεηινδ, ηυρτ βψ α στρενγτηενινγ ψεν. ΝΧΡΕΙΦ Τρανσαχτιον ανδ Αππραισαλ Χαπιταλιζατιον Ρατεσ ΝΧΡΕΙΦ Χαπιταλιζατιον Ρατεσ βψ Προπερτψ Τψπε Transaction Capitalization Rates Appraisal Capitalization Rates Apartment Industrial Office Retail 9% 9% 6% 6% 3% 3% Source: NCREIF Note: Transaction capitalization rate is equal weighted Source: NCREIF Note: Capitalization rates are appraisal-based. 12

18 Λοω ςολατιλιτψ + Ρισινγ Μαρκετσ = Στρονγ Λιθυιδιτψ ΠΡΙςΑΤΕ ΕΘΥΙΤΨ Γαρψ Ροβερτσον Τηιρδ θυαρτερ πριϖατε εθυιτψ παρτνερσηιπ χοmmιτmεντσ τοταλεδ 84.0 βιλλιον, ωιτη 210 νεω παρτνερσηιπσ φορmεδ, αχχορδινγ το Πριϖατε Εθυιτψ Αναλψστ. Τηε νυmβερ οφ φυνδσ ραισεδ δεχρεασεδ 34% φροm 319 ιν τηε σεχονδ θυαρτερ, βυτ τηε δολλαρ ϖολυmε διππεδ ονλψ 2% φροm 85.0 βιλλιον. Απολλο ΙΞ ισ τηε λαργεστ φυνδ raised so far in 2017, holding a $24.6 billion inal close in the τηιρδ θυαρτερ ανδ ιτ ισ τηε λαργεστ βυψουτ φυνδ εϖερ ραισεδ. Investments by buyout funds into companies totaled 446 deals, δοων 12% φροm 504 ιν τηε πριορ θυαρτερ, αχχορδινγ το Βυψουτσ νεωσλεττερ. Τηε αννουνχεδ τοταλ ϖολυmε ωασ 51 βιλλιον, υπ 6% from $48 billion in the second quarter. The quarter s larg est deal was the $7.5 billion take-private of Panera Bread by ϑαβ, α φαmιλψ οωνεδ ηολδινγ χοmπανψ. Σιξτεεν δεαλσ ωιτη αννουνχεδ ϖαλυεσ οφ 1 βιλλιον ορ mορε χλοσεδ ιν τηε θυαρτερ. New investments in venture capital companies totaled 1,706 rounds of inancing with $21.5 billion of announced value, αχχορδινγ το τηε Νατιοναλ ςεντυρε Χαπιταλ Ασσοχιατιον (ΝςΧΑ). The number of rounds declined 21% from the 2,164 in the sec ond quarter, and announced dollar value decreased 6% from 22.9 βιλλιον. Φυνδσ Χλοσεδ ϑανυαρψ 1 το Σεπτεmβερ 30, 2017 Στρατεγψ Νο. οφ Φυνδσ Αmτ ( mm) Περχεντ ςεντυρε Χαπιταλ ,109 12% Βυψουτσ ,111 67% Συβορδινατεδ Dεβτ 52 22,627 9% Dιστρεσσεδ Dεβτ 17 9,601 4% Σεχονδαρψ ανδ Οτηερ 31 9,869 4% Φυνδ οφ φυνδσ 85 11,122 4% Τοταλσ , Source: Private Equity Analyst Figures may not total due to rounding βιλλιον. Τηε Μ&Α εξιτσ ωερε δοων 12% φροm τηε πριορ quarter s 504, but the announced value increased 6% from $48.1 billion. Buyout-backed IPOs in the third quarter fell to ονλψ ονε ραισινγ 43 mιλλιον, α σηαρπ δεχρεασε χοmπαρεδ το λαστ quarter s seven IPOs (a two-year high), raising an aggregate 2.0 βιλλιον. Venture-backed exits (both private sales and IPOs) totaled 182 τρανσαχτιονσ, ανδ δισχλοσεδ ϖαλυε τοταλεδ 11.2 βιλλιον. Τηε νυmβερ οφ εξιτσ ροσε 2% φροm τηε σεχονδ θυαρτερ σ 179, ανδ τηε αννουνχεδ δολλαρ ϖολυmε ινχρεασεδ 9% φροm 10.3 βιλλιον. Βυψουτσ reported that there were 446 private M&A exits of buy ουτ βαχκεδ χοmπανιεσ, ωιτη 43 δεαλσ δισχλοσινγ ϖαλυεσ τοταλινγ Please see our upcoming issue of Πριϖατε Μαρκετσ Τρενδσ φορ mορε ιν δεπτη χοϖεραγε. Πριϖατε Εθυιτψ Περφορmανχε Dαταβασε (%) (Ποολεδ Ηοριζον ΙΡΡσ τηρουγη ϑυνε 30, 2017 ) Στρατεγψ 3 Μοντησ Ψεαρ 3 Ψεαρσ 5 Ψεαρσ 10 Ψεαρσ 15 Ψεαρσ 20 Ψεαρσ Αλλ ςεντυρε Γροωτη Εθυιτψ Αλλ Βυψουτσ Μεζζανινε Dιστρεσσεδ Αλλ Πριϖατε Εθυιτψ S&P Ρυσσελλ Private equity returns are net of fees. Sources: Standard & Poor s and Thomson Reuters/Cambridge *Most recent data available at time of publication. Note: Transaction count and dollar volume igures across all private equity measures are preliminary igures and are subject to update in subsequent versions of Capital Market Review and other Callan publications. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 13

19 Κιχκιν Ιτ ωιτη Ρισκ ΗΕDΓΕ ΦΥΝDΣ ϑιm ΜχΚεε Dισχαρδινγ ωορριεσ οφ στυββορνλψ σλοω γλοβαλ εχονοmιχ γροωτη ανδ οτηερ διστραχτιονσ, mαρκετσ φοχυσεδ ον ποσιτιϖε εχονοmιχ νεωσ ανδ ηοπεσ οφ Υ.Σ. ταξ ρεφορm τηισ θυαρτερ, συγγεστινγ ρισινγ στοχκ πριχεσ αηεαδ. ςολατιλιτψ ασ α mεασυρε οφ περχειϖεδ mαρκετ ρισκ ρεαχηεδ χψχλιχαλ λοωσ αχροσσ τηε mαϕορ mαρκετσ. Αmιδ τηισ ρισκ ον ενϖιρονmεντ, ηεδγε φυνδσ γοτ σοmε τραχτιον. Ιλλυστρατινγ ραω ηεδγε φυνδ περφορmανχε ωιτηουτ ιmπλεmεντα τιον χοστσ, τηε ασσετ ωειγητεδ Χρεδιτ Συισσε Ηεδγε Φυνδ Ινδεξ (ΧΣ ΗΦΙ) ροσε 1.8%. Ασ α προξψ φορ λιϖε ηεδγε φυνδ πορτφολιοσ, τηε mεδιαν mαναγερ ιν τηε Χαλλαν Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε αδϖανχεδ 2., νετ οφ αλλ φεεσ ανδ εξπενσεσ. Wιτηιν ΧΣ ΗΦΙ, τηε βεστ περφορmινγ στρατεγψ ωασ Εmεργινγ Μαρκετσ (+5.6%), where embedded market beta explained σοmε βυτ νοτ αλλ οφ τηε γαινσ. Οτηερ στρατεγιεσ περφορmινγ παρ τιχυλαρλψ ωελλ ωερε Εθυιτψ Μαρκετ Νευτραλ (+4.4%) ανδ Λονγ/ Σηορτ Εθυιτψ (+3.); both beneited from an improved stockπιχκινγ ενϖιρονmεντ. Μαναγεδ Φυτυρεσ (+1.3%) ανδ Γλοβαλ Μαχρο (+1.8%) beneited modestly from top-down trends and δισχρετιοναρψ χαλλσ, παρτιχυλαρλψ ιν τηε εθυιτψ mαρκετσ. Wιτηιν Χαλλαν σ Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε, mαρκετ εξποσυρεσ mεανινγφυλλψ αφφεχτεδ περφορmανχε ιν τηε θυαρτερ. Συππορτεδ βψ τηε εθυιτψ ραλλψ, τηε mεδιαν Χαλλαν Λονγ/Σηορτ Εθυιτψ ΦΟΦ (+3.1%) ηανδιλψ βεατ τηε Χαλλαν Αβσολυτε Ρετυρν ΦΟΦ (+1.8%). Wιτη εξποσυρεσ το βοτη νον διρεχτιοναλ ανδ διρεχτιοναλ στψλεσ, τηε Core Diversiied FOF αδϖανχεδ 1.9%. Χαλλαν Στψλε Γρουπ Θυαρτερλψ Ρετυρνσ 6% 4% 2% Absolute Return Core Diversified Long/Short Eq FOF Style FOF Style FOF Style 10th Percentile th Percentile Median th Percentile th Percentile T-Bills + 5% Sources: Callan and Merrill Lynch Χαλλαν Dαταβασε Μεδιαν ανδ Ινδεξ Ρετυρνσ φορ Περιοδσ ενδεδ Σεπτεmβερ 30, 2017 Θυαρτερ ΨΤD Ψεαρ 3 Ψεαρσ 5 Ψεαρσ 10 Ψεαρσ 15 Ψεαρσ Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε ΧΣ Ηεδγε Φυνδ Ινδεξ ΧΣ Εθυιτψ Μαρκετ Νευτραλ ΧΣ Χονϖερτιβλε Αρβιτραγε ΧΣ Φιξεδ Ινχοmε Αρβιτραγε ΧΣ Μυλτι Στρατεγψ ΧΣ Dιστρεσσεδ ΧΣ Ρισκ Αρβιτραγε ΧΣ Εϖεντ Dριϖεν Μυλτι Στρατεγψ ΧΣ Λονγ/Σηορτ Εθυιτψ ΧΣ Γλοβαλ Μαχρο ΧΣ Μαναγεδ Φυτυρεσ ΧΣ Εmεργινγ Μαρκετσ *Returns less than one year are not annualized. Sources: Callan and Credit Suisse. 14

20 DΧ Ινδεξ Χλοχκσ Στρονγεστ Φιρστ Ηαλφ ιν Ιτσ Ηιστορψ DΕΦΙΝΕD ΧΟΝΤΡΙΒΥΤΙΟΝ Τοm Σζκωαρλα Τηε Χαλλαν DΧ Ινδεξ ροσε α ηεαλτηψ 3.1% δυρινγ τηε σεχονδ Ινϖεστmεντ Περφορmανχε quarter, relecting strong equity market performance, and is now up 7.9% year-to-date its best irst-half performance since its Total DC Index Age 45 Target Date* 2006 inception. Still, the Index trailed the typical Age 45 Target Dατε Φυνδ (ΤDΦ), ωηιχη γαινεδ 3.7% ιν τηε σεχονδ θυαρτερ ανδ 9.4% in the irst half. TDFs have beneited from higher expo συρεσ το νον Υ.Σ. εθυιτψ ανδ εmεργινγ mαρκετσ, ωηιχη αρε βοτη 5.88% 6.64% 7.87% 9.42% υπ σηαρπλψ ψεαρ το δατε, τηαν τηε τψπιχαλ DΧ παρτιχιπαντ. 3.06% 3.65% Since the Index s inception in 2006, the average TDF has out performed DC plans by 76 basis points annually. Due to their ηεαϖιερ εθυιτψ εξποσυρε, ΤDΦσ ηαϖε τενδεδ το ουτπερφορm ιν Annualized Since Inception Year-to-Date Second Quarter 2017 στρονγ mαρκετσ ανδ υνδερπερφορm ιν ωεακ mαρκετσ. Γροωτη Σουρχεσ Φορ τηε θυαρτερ, πλαν βαλανχεσ ροσε 3.19%, αλmοστ εντιρελψ δυε to return growth (3.06%) rather than inlows (plan sponsor and παρτιχιπαντ χοντριβυτιονσ), ωηιχη χοντριβυτεδ ϕυστ 0.13%. % Total Growth 7.96% % Net Flows % Return Growth 8.08% 7.87% The proportion of net lows into non-u.s. equities during the quarter was the highest since late Money primarily lowed ουτ οφ σταβλε ϖαλυε, Υ.Σ. σmαλλ/mιδ χαπ εθυιτψ, ανδ χοmπανψ stock. As usual, TDFs attracted the lion s share of net lows, with 69 cents of every dollar of lows moving into these funds. Ινδεξ τυρνοϖερ (ι.ε., νετ τρανσφερ αχτιϖιτψ λεϖελσ ωιτηιν DΧ πλανσ) χαmε ιν ατ 0.43% ιν τηε θυαρτερ χοmπαρεδ το αϖεραγε ηιστοριχαλ quarterly turnover levels of 0.63%. Τηε Χαλλαν DΧ Ινδεξ σ οϖεραλλ εθυιτψ αλλοχατιον εδγεδ υπ φροm λαστ θυαρτερ το νεαρλψ 7, σλιγητλψ αβοϖε τηε Ινδεξ σ ηιστορι cal average of 67%. Still, the Index has yet to achieve its pre- Γλοβαλ Φινανχιαλ Χρισισ εθυιτψ αλλοχατιον πεακ οφ 73% (φουρτη θυαρτερ οφ 2007). The Callan DC Index is an equally weighted index tracking the cash lows ανδ περφορmανχε οφ νεαρλψ 90 πλανσ, ρεπρεσεντινγ mορε τηαν ονε mιλλιον DΧ παρτιχιπαντσ ανδ οϖερ 135 βιλλιον ιν ασσετσ. Τηε Ινδεξ ισ υπδατεδ θυαρτερλψ ανδ ισ αϖαιλαβλε ον Χαλλαν σ ωεβσιτε, ασ ισ τηε θυαρτερλψ DΧ Οβσερϖερ νεωσλεττερ. Νετ Χαση Φλοω Αναλψσισ (Σεχονδ Θυαρτερ 2017) (Τοπ Τωο ανδ Βοττοm Τωο Ασσετ Γατηερερσ) Ασσετ Χλασσ Φλοωσ ασ % οφ Τοταλ Νετ Φλοωσ Ταργετ Dατε Φυνδσ 69.47% Εmεργινγ Μαρκετ Εθυιτψ 1.94% Υ.Σ. Σmαλλ/Μιδ Χαπ Σταβλε ςαλυε 2.08% 5.88% Annualized Since Inception 28.57% 31.8 Τοταλ Τυρνοϖερ 0.43% Data provided here is the most recent available at time of publication. Source: Callan DC Index 0.2 Year-to-Date Note: DC Index inception date is January % 3.06% 0.13% Second Quarter 2017 * The Age 45 Fund transitioned from the average 2030 TDF to the 2035 TDF in June ** Total Index turnover measures the percentage of total invested assets (transfers only, excluding contributions and withdrawals) that moved between asset classes. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 15

21 Total Fund Total Fund

22 Actual vs Target Asset Allocation As of September 30, 2017 The top left chart shows the Fund s asset allocation as of September 30, The top right chart shows the Fund s target asset allocation as outlined in the investment policy statement. The bottom chart ranks the fund s asset allocation and the target allocation versus the Callan Public Fund Sponsor Database. Actual Asset Allocation Domestic Equity 34% Target Asset Allocation Domestic Equity 34% Cash Infrastructure 6% Infrastructure 5% Real Estate 9% International Equity 26% Real Estate 9% International Equity 25% Fixed Income 25% Fixed Income 27% $000s Weight Percent $000s Asset Class Actual Actual Target Difference Difference Domestic Equity 273, % 34. (0.4%) (3,036) International Equity 211, ,020 Fixed Income 204, % 27. (1.9%) (15,580) Real Estate 75, % % 2,169 Infrastructure 47, % % 6,724 Cash 1, % % 1,703 Total 813, Asset Class Weights vs Callan Public Fund Sponsor Database Weights (58) (60) (46) (48) (17) (13) (16) (13) (100) (86) (1) Domestic Fixed Cash Real International Equity Income Estate Equity 10th Percentile th Percentile Median th Percentile th Percentile Fund Target % Group Invested 98.64% 97.28% 73.47% 71.43% 97.28% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

23 Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund s investment managers as of September 30, 2017, with the distribution as of June 30, The change in asset distribution is broken down into the dollar change due to Net New Investment and the dollar change due to Investment Return. Asset Distribution Across Investment Managers September 30, 2017 June 30, 2017 Market Value Weight Net New Inv. Inv. Return Market Value Weight Domestic Equity $273,494, % $(1,323,730) $11,851,904 $262,965, Large Cap Equity $209,376, % $(1,493,706) $9,967,341 $200,902, % Alliance S&P Index 63,149, % (7,937) 2,695,965 60,461, % PIMCO StocksPLUS 33,490, % 0 1,487,994 32,002, % BlackRock Russell 1000 Value 54,648, % (5,202) 1,656,134 52,997, % T. Rowe Price Large Cap Growth 58,088, % (1,480,567) 4,127,247 55,441, % Small/Mid Cap Equity $64,118, % $169,976 $1,884,563 $62,063, % Champlain Mid Cap 32,671, % 225, ,509 32,043, % Pyramis Small Cap 31,446, % (55,659) 1,482,054 30,020, International Equity $211,351, % $(1,740,194) $12,663,206 $200,428, % Causeway International Opportunities (3) 83,196, % (1,589,907) 5,846,684 78,940, Aberdeen EAFE Plus 84,718, % (150,287) 2,567,996 82,301, % American Century Non-US SC [1] 43,435, % 0 4,248,526 39,187, % Fixed Income $204,017, % $(144,228) $3,043,888 $201,118, % BlackRock U.S. Debt Fund 99,774, % (12,158) 875,014 98,911, % PIMCO Fixed Income 104,243, % (132,070) 2,168, ,206, % Real Estate $75,368, % $(866,601) $1,385,751 $74,848, % JP Morgan Strategic Property Fund 49,693, % (489,539) 842,009 49,341, % JP Morgan Income and Growth Fund 25,674, % (377,062) 543,743 25,507, % Infrastructure $47,390, % $(3,635,564) $2,066,458 $48,959, Macquarie European Infrastructure 19,602, % (3,644,318) 1,321,544 21,925, % SteelRiver Infrastructure 27,787, % 8, ,914 27,033, % Cash Composite $1,702, % $310,880 $3,754 $1,388, % Cash 1,702, % 310,880 3,754 1,388, % Total Plan $813,324, $(7,399,437) $31,014,960 $789,709, [1] American Century was funded May

24 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Domestic Equity 4.63% 20.56% 11.97% 15.51% 7.79% Total Domestic Equity Target (1) 4.54% 18.44% 10.79% 14.17% 7.63% Large Cap Equity 4.98% 21.12% 11.48% 15.25% 7.2 S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% Alliance S&P Index 4.46% 18.52% 10.77% 14.17% 7.46% PIMCO StocksPLUS 4.65% 19.31% 10.77% 15.04% 9.4 S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% BlackRock Russell 1000 Value Index 3.13% 15.18% 8.57% 13.25% 6.04% Russell 1000 Value Index 3.11% 15.12% 8.53% % T. Rowe Price Large Cap Growth % 15.44% 18.38% 10.98% Russell 1000 Growth Index % 12.69% 15.26% 9.08% Small/Mid Cap Equity U.S. Equity 3.51% 18.68% 13.72% 16.41% 9.88% Russell 2500 Index 4.74% 17.79% % 8.19% Champlain Mid Cap 2.16% 18.65% 13.72% 16.64% 11.27% Russell MidCap Index 3.47% 15.32% 9.54% 14.26% 8.08% Pyramis Small Cap 4.94% 18.68% 13.59% 16.03% 10.46% Russell 2000 Index 5.67% 20.74% 12.18% 13.79% 7.85% International Equity 6.35% 21.25% 4.36% 7.65% 1.59% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% Causeway International Opportunities (3) % 9.62% 3.98% Causeway Linked Index (3) 6.16% 19.61% 5.63% 8.75% 1.51% Aberdeen EAFE Plus 3.12% 16.97% 1.82% 4.74% 3.23% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% American Century Non-US SC (4) 10.84% 23.89% MSCI ACWI ex US Small Cap % 8.14% 9.68% 3.58% Fixed Income 1.51% 3.69% 4.66% 3.91% 5.62% Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% BlackRock U.S. Debt Fund 0.88% 0.19% 2.83% % Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% PIMCO Fixed Income 2.12% 6.55% 5.99% 5.09% 6.6 Custom Index (2) 1.64% 3.13% 4.77% 4.04% 5.95% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been changed accordingly from EAFE to ACWI ex-us (Net Div). (4) American Century Non-US SC was funded during second quarter

25 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Real Estate 1.86% 7.94% % 4.53% NFI-ODCE Value Weight Gr 1.87% 7.66% 10.85% % JP Morgan Strategic Property Fund 1.72% 7.57% 10.55% 11.73% 5.71% NFI-ODCE Value Weight Gr 1.87% 7.66% 10.85% % JP Morgan Income and Growth Fund 2.15% 8.66% 11.14% 13.61% 2.9 NFI-ODCE Value Weight Gr 1.87% 7.66% 10.85% % Infrastructure % 10.04% 8.91% - CPI + 4% 1.85% 6.31% 4.96% % Macquarie European Infrastructure 6.35% 25.12% 9.42% 9.54% - SteelRiver Infrastructure 2.75% 7.35% 11.15% 8.47% - CPI + 4% 1.85% 6.31% 4.96% % Cash Composite 0.24% 0.85% 0.34% 0.21% 0.64% Total Fund 3.98% 14.58% % 6.22% Total Fund Benchmark* % 7.44% 9.23% 5.66% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

26 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Domestic Equity 4.63% 21.35% 1.24% 9.01% 26.67% Total Domestic Equity Target (1) 4.54% 18.34% 2.28% 7.15% 24.84% Large Cap Equity 4.98% 21.12% % 27.15% S&P 500 Index 4.48% % 7.42% 24.61% Alliance S&P Index 4.46% % 7.43% 24.5 PIMCO StocksPLUS 4.65% 19.11% 2.68% 7.57% 27.61% S&P 500 Index 4.48% % 7.42% 24.61% BlackRock Russell 1000 Value Index 3.13% 15.61% 2.75% 4.34% 23.88% Russell 1000 Value Index 3.11% 15.53% 2.86% 4.13% 23.81% T. Rowe Price Large Cap Growth % (2.64%) 12.35% 32.8 Russell 1000 Growth Index % 3.02% 10.56% 26.92% Small/Mid Cap Equity U.S. Equity 3.51% 21.97% 0.17% 12.68% 24.97% Russell 2500 Index 4.74% 19.84% (3.67%) 5.92% 25.58% Champlain Mid Cap 2.16% % 10.27% 26.2 Russell MidCap Index 3.47% 16.48% 0.56% 6.63% 26.85% Pyramis Small Cap 4.94% 21.31% (4.41%) 15.07% 23.59% Russell 2000 Index 5.67% 24.6 (6.73%) 6.49% 23.64% International Equity 6.35% 20.73% (9.4) (5.79%) 21.26% MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% Causeway International Opportunities (3) % (11.66%) (2.38%) 23.76% Causeway Linked Index (3) 6.16% 20.45% (9.42%) (4.22%) 23.57% Aberdeen EAFE Plus 3.12% 18.3 (7.6) (10.16%) 18.2 MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% American Century Non-US SC 10.84% 20.31% MSCI ACWI ex US Small Cap % (5.46%) (3.07%) 26.09% Fixed Income 1.51% 4.58% 6.39% 0.78% 7.64% Blmbg Aggregate Index 0.85% (0.31%) % 4.37% BlackRock U.S. Debt Fund 0.88% (0.21%) 6.13% 1.99% 4.49% Blmbg Aggregate Index 0.85% (0.31%) % 4.37% PIMCO Fixed Income 2.12% 7.99% 6.55% 0.05% 9.6 Custom Index (2) 1.64% 3.83% 7.28% 0.75% 8.48% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been changed accordingly from EAFE to ACWI ex-us (Net Div). 24

27 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Real Estate 1.86% 8.07% % 13.27% NFI-ODCE Value Weight Gr 1.87% 7.87% 11.82% 14.43% 12.77% JP Morgan Strategic Property Fund 1.72% 7.94% % 14.08% NFI-ODCE Value Weight Gr 1.87% 7.87% 11.82% 14.43% 12.77% JP Morgan Income and Growth Fund 2.15% 8.27% 10.06% 16.19% 11.66% NFI-ODCE Value Weight Gr 1.87% 7.87% 11.82% 14.43% 12.77% Infrastructure % 12.61% (2.75%) 16.31% CPI + 4% 1.85% % 3.62% 6.05% Macquarie European Infrastructure 6.35% % (9.64%) 14.63% SteelRiver Infrastructure 2.75% 7.09% 17.75% 5.97% 18.46% CPI + 4% 1.85% % 3.62% 6.05% Cash Composite 0.24% 0.68% 0.12% Total Fund 3.98% 14.77% 2.33% 4.63% 19.64% Total Fund Benchmark* % 1.82% 4.34% 16.97% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

28 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Domestic Equity 4.55% 20.18% 11.63% 15.16% 7.4 Total Domestic Equity Target (1) 4.54% 18.44% 10.79% 14.17% 7.63% Large Cap Equity 4.94% 20.92% 11.31% 15.08% 6.96% S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% Alliance S&P Index 4.45% 18.47% 10.73% 14.13% 7.42% PIMCO StocksPLUS 4.65% 19.31% 10.77% 14.96% 9.28% S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% BlackRock Russell 1000 Value Index 3.12% 15.15% 8.54% 13.21% 6.02% Russell 1000 Value Index 3.11% 15.12% 8.53% % T. Rowe Price Large Cap Growth 7.36% 30.32% 14.91% 17.82% 10.44% Russell 1000 Growth Index % 12.69% 15.26% 9.08% Small/Mid Cap Equity U.S. Equity % 12.81% 15.48% 9.02% Russell 2500 Index 4.74% 17.79% % 8.19% Champlain Mid Cap 1.95% 17.66% 12.75% 15.66% 10.33% Russell MidCap Index 3.47% 15.32% 9.54% 14.26% 8.08% Pyramis Small Cap 4.75% 17.77% 12.75% 15.17% 9.64% Russell 2000 Index 5.67% 20.74% 12.18% 13.79% 7.85% International Equity 6.23% 20.68% 3.75% 6.97% 0.86% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% Causeway International Opportunities (3) % 5.16% 8.98% 3.33% Causeway Linked Index (3) 6.16% 19.61% 5.63% 8.75% 1.51% Aberdeen EAFE Plus 2.94% 16.07% 1.09% 3.96% 2.43% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% American Century Non-US SC 10.84% 23.89% MSCI ACWI ex US Small Cap % 8.14% 9.68% 3.58% Fixed Income 1.45% 3.42% 4.35% 3.59% 5.33% Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% BlackRock U.S. Debt Fund 0.88% 0.19% 2.81% 2.18% 4.4 Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% PIMCO Fixed Income % 5.49% 4.59% 6.16% Custom Index (2) 1.64% 3.13% 4.77% 4.04% 5.95% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been changed accordingly from EAFE to ACWI ex-us (Net Div). 26

29 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Real Estate 1.61% 6.95% 9.59% % NFI-ODCE Equal Weight Net 1.68% 6.93% 10.11% 10.65% 3.95% JP Morgan Strategic Property Fund 1.47% 6.52% 9.47% 10.64% 4.67% NFI-ODCE Equal Weight Net 1.68% 6.93% 10.11% 10.65% 3.95% JP Morgan Income and Growth Fund 1.88% 7.81% 9.93% 12.16% 1.39% NFI-ODCE Equal Weight Net 1.68% 6.93% 10.11% 10.65% 3.95% Infrastructure 4.22% 13.85% 9.01% 7.82% - CPI + 4% 1.85% 6.31% 4.96% % Macquarie European Infrastructure 6.13% % 8.44% - SteelRiver Infrastructure 2.61% % 7.28% - CPI + 4% 1.85% 6.31% 4.96% % Cash Composite 0.24% 0.85% 0.34% 0.21% 0.64% Total Fund 3.88% 14.08% 8.32% 10.31% 5.69% Total Fund Benchmark* % 7.44% 9.23% 5.66% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

30 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Domestic Equity 4.55% 20.96% 0.94% 8.72% 26.3 Total Domestic Equity Target (1) 4.54% 18.34% 2.28% 7.15% 24.84% Large Cap Equity 4.94% 20.92% 1.44% 7.83% 26.95% S&P 500 Index 4.48% % 7.42% 24.61% Alliance S&P Index 4.45% 17.76% 3.93% % PIMCO StocksPLUS 4.65% 19.11% 2.68% 7.57% 27.61% S&P 500 Index 4.48% % 7.42% 24.61% BlackRock Russell 1000 Value Index 3.12% 15.59% 2.71% % Russell 1000 Value Index 3.11% 15.53% 2.86% 4.13% 23.81% T. Rowe Price Large Cap Growth 7.36% 30.97% (3.13%) 11.93% 32.16% Russell 1000 Growth Index % 3.02% 10.56% 26.92% Small/Mid Cap Equity U.S. Equity % (0.61%) Russell 2500 Index 4.74% 19.84% (3.67%) 5.92% 25.58% Champlain Mid Cap 1.95% 21.43% 3.76% 9.33% 25.16% Russell MidCap Index 3.47% 16.48% 0.56% 6.63% 26.85% Pyramis Small Cap 4.75% 20.34% (5.1) 14.24% 22.7 Russell 2000 Index 5.67% 24.6 (6.73%) 6.49% 23.64% International Equity 6.23% 20.24% (10.04%) (6.46%) 20.41% MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% Causeway International Opportunities (3) % (12.24%) (3.01%) 22.98% Causeway Linked Index (3) 6.16% 20.45% (9.42%) (4.22%) 23.57% Aberdeen EAFE Plus 2.94% 17.6 (8.32%) (10.9) 17.28% MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% American Century Non-US SC 10.84% 20.31% MSCI ACWI ex US Small Cap % (5.46%) (3.07%) 26.09% Fixed Income 1.45% 4.29% 6.06% 0.46% 7.3 Blmbg Aggregate Index 0.85% (0.31%) % 4.37% BlackRock U.S. Debt Fund 0.88% (0.21%) 6.09% 1.97% 4.43% Blmbg Aggregate Index 0.85% (0.31%) % 4.37% PIMCO Fixed Income % 6.04% (0.43%) 9.07% Custom Index (2) 1.64% 3.83% 7.28% 0.75% 8.48% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been changed accordingly from EAFE to ACWI ex-us (Net Div). 28

31 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Real Estate 1.61% 7.07% 9.64% 12.74% 12.03% NFI-ODCE Equal Weight Net 1.68% 7.23% 11.24% 13.64% 11.37% JP Morgan Strategic Property Fund 1.47% 6.88% 10.02% 12.28% 12.98% NFI-ODCE Equal Weight Net 1.68% 7.23% 11.24% 13.64% 11.37% JP Morgan Income and Growth Fund 1.88% 7.37% 8.69% 14.74% 9.93% NFI-ODCE Equal Weight Net 1.68% 7.23% 11.24% 13.64% 11.37% Infrastructure 4.22% 11.24% 12.3 (3.82%) 15.32% CPI + 4% 1.85% % 3.62% 6.05% Macquarie European Infrastructure 6.13% 17.18% 6.82% (10.56%) 14.11% SteelRiver Infrastructure 2.61% 6.64% 17.13% 4.67% 16.8 CPI + 4% 1.85% % 3.62% 6.05% Cash Composite 0.24% 0.68% 0.12% (0.0) 0.0 Total Fund 3.88% 14.26% 1.89% 4.17% 19.11% Total Fund Benchmark* % 1.82% 4.34% 16.97% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

32 Quarterly Style Attribution - September 30, 2017 The following analysis approaches Total Fund Attribution from the perspective of relative return. Relative return attribution separates and quantifies the sources of total fund excess return relative to its target. This excess return is separated into two relative attribution effects: Style Allocation Effect and Manager Selection Effect. The Style Allocation Effect represents the excess return due to the actual total fund style allocation differing from the target style allocation. Manager Selection Effect represents the total fund impact of the individual managers excess returns relative to their benchmarks. Style Class Under or Overweighting Large Cap Equity (0.42 ) Small/Mid Cap Equity (0.20 ) Fixed Income (1.51 ) Real Estate 0.41 Infrastructure 1.08 International Equity 0.63 (2%) (1%) 1% 2% Actual vs Target Returns % 2% 3% 4% 5% 6% 7% 8% Actual Target Large Cap Equity Small/Mid Cap Equity Fixed Income Real Estate Infrastructure International Equity Total Relative Attribution by Style Class (0.00 ) (0.10 ) (0.01 ) (0.10 ) (0.00 ) (0.01 ) (0.01 ) (0.02 ) (0.2) (0.1) Manager Effect Style Allocation Total Relative Attribution Effects for Quarter ended September 30, 2017 Effective Effective Total Actual Target Actual Target Manager Style Relative Style Class Weight Weight Return Return Effect Allocation Return Large Cap Equity 26% 26% 4.98% 4.48% 0.13% (0.0) 0.12% Small/Mid Cap Equity 8% 8% 3.51% 4.74% (0.1) (0.01%) (0.1) Fixed Income 25% 27% 1.51% 0.85% 0.17% 0.04% 0.21% Real Estate 9% 9% 1.86% 1.87% (0.0) (0.01%) (0.01%) Infrastructure 6% 5% % 0.15% (0.02%) 0.13% International Equity 26% 25% 6.35% 6.27% 0.02% 0.01% 0.03% Total 3.98% = % % 0.38% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

33 Cumulative Style Relative Attribution - September 30, 2017 The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine the cumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-term sources of total fund excess return relative to target by style class. These relative attribution effects separate the cumulative sources of total fund excess return into Style Allocation Effect and Manager Selection Effect. One Year Relative Attribution Effects Large Cap Equity Small/Mid Cap Equity Fixed Income Real Estate Infrastructure International Equity Total (1%) 1% 2% 3% 4% Manager Effect Style Allocation Total Cumulative Relative Attribution Effects 3.5% % Manager Effect Style Allocation Total % % 0. (0.5%) One Year Relative Attribution Effects Effective Effective Total Actual Target Actual Target Manager Style Relative Style Class Weight Weight Return Return Effect Allocation Return Large Cap Equity 26% 26% 21.12% 18.61% 0.6 (0.05%) 0.55% Small/Mid Cap Equity 8% 8% 18.68% 17.79% 0.05% (0.02%) 0.03% Fixed Income 26% 27% 3.69% 0.07% 1.03% % Real Estate 1 9% 7.94% 7.66% 0.03% (0.04%) (0.01%) Infrastructure 6% 5% 15.01% 6.31% 0.53% (0.06%) 0.47% International Equity 25% 25% 21.25% 19.55% 0.41% (0.02%) 0.4 Total 14.58% = 11.99% % + (0.09%) 2.59% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

34 Cumulative Style Relative Attribution - September 30, 2017 The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine the cumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-term sources of total fund excess return relative to target by style class. These relative attribution effects separate the cumulative sources of total fund excess return into Style Allocation Effect and Manager Selection Effect. Five Year Annualized Relative Attribution Effects Large Cap Equity Small/Mid Cap Equity Fixed Income Real Estate Infrastructure International Equity Total (0.5%) % % 2. Manager Effect Style Allocation Total Cumulative Relative Attribution Effects 14% 12% 1 Manager Effect Style Allocation Total 8% 6% 4% 2% (2%) Five Year Annualized Relative Attribution Effects Effective Effective Total Actual Target Actual Target Manager Style Relative Style Class Weight Weight Return Return Effect Allocation Return Large Cap Equity 35% 33% 15.25% 14.22% 0.31% 0.06% 0.36% Small/Mid Cap Equity 1 9% 16.41% 13.86% 0.27% (0.01%) 0.26% Fixed Income 24% 26% 3.91% 2.06% 0.49% 0.07% 0.57% Real Estate 8% 8% 12.07% % (0.02%) 0.02% Infrastructure 6% 5% 8.91% % (0.07%) 0.18% International Equity 17% 18% 7.65% 6.98% 0.14% 0.05% 0.19% Total 10.81% = 9.23% % 1.58% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

35 Cumulative Performance Relative to Target The first chart below illustrates the cumulative performance of the Total Fund relative to the cumulative performance of the Fund s Target Asset Mix. The Target Mix is assumed to be rebalanced each quarter with no transaction costs. The second chart below shows the return and the risk of the Total Fund and the Target Mix, contrasted with the returns and risks of the funds in the Callan Public Fund Sponsor Database. Cumulative Returns Actual vs Target 120 Total Fund Total Fund Target 100 Cumulative Returns Twenty-Nine Year Annualized Risk vs Return 11% 1 9% Total Fund Target 8% Total Fund Returns 7% 6% 5% 4% 3% 2% 5% 6% 7% 8% 9% 1 11% 12% Standard Deviation Squares represent membership of the Callan Public Fund Sponsor Database * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

36 Total Fund Ranking The first two charts show the ranking of the Total Fund s performance relative to that of the Callan Public Fund Sponsor Database for periods ended September 30, The first chart is a standard unadjusted ranking. In the second chart each fund in the database is adjusted to have the same historical asset allocation as that of the Total Fund. Callan Public Fund Sponsor Database 16% 14% (10) 12% (55) Returns 1 8% (26) (3) (23) (2) (17) (2) 6% 4% Last Last Last Last Year 3 Years 5 Years 7 Years 10th Percentile th Percentile Median th Percentile th Percentile Total Fund Policy Target Asset Allocation Adjusted Ranking 16% 14% (6) 12% (77) Returns 1 8% (83) (9) (85) (6) (78) (9) 6% 4% Last Last Last Last Year 3 Years 5 Years 7 Years 10th Percentile th Percentile Median th Percentile th Percentile Total Fund Policy Target * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

37 Total Fund Period Ended September 30, 2017 Investment Philosophy The total fund return stream starts the third quarter of Quarterly Summary and Highlights Total Fund s portfolio posted a 3.98% return for the quarter placing it in the 12 percentile of the Callan Public Fund Sponsor Database group for the quarter and in the 10 percentile for the last year. Total Fund s portfolio outperformed the Total Fund Benchmark by 0.38% for the quarter and outperformed the Total Fund Benchmark for the year by 2.59%. Performance vs Callan Public Fund Sponsor Database (Gross) 16% 14% (10) 12% (55) (2) 1 8% (26) (3) (23) (49) (60) 6% (43) (15) 4% (41) (12) 2% Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 29 Years Year 10th Percentile th Percentile Median th Percentile th Percentile Total Fund Total Fund Benchmark Relative Return vs Total Fund Benchmark Callan Public Fund Sponsor Database (Gross) Annualized Five Year Risk vs Return 2. 14% Relative Returns 1.5% % 0. (0.5%) Returns 12% 1 8% 6% 4% Total Fund Benchmark Total Fund (1.) 2% (1.5%) Total Fund Standard Deviation 35

38 Domestic Equity Domestic Equity

39 Domestic Equity Period Ended September 30, 2017 Investment Philosophy The Total Domestic Equity target is currently composed of 78% S&P 500 Index and 22% Russell 2500 Index. Quarterly Summary and Highlights Domestic Equity s portfolio posted a 4.63% return for the quarter placing it in the 52 percentile of the Pub Pln- Domestic Equity group for the quarter and in the 12 percentile for the last year. Domestic Equity s portfolio outperformed the Total Domestic Equity Target by 0.09% for the quarter and outperformed the Total Domestic Equity Target for the year by 2.12%. Performance vs Pub Pln- Domestic Equity (Gross) 25% 2 (66) (12) 15% (45) (2) 1 (40) (4) (44) (30) 5% (60) (52) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Domestic Equity Total Domestic Equity Target Relative Returns vs Total Domestic Equity Target Pub Pln- Domestic Equity (Gross) Annualized Five Year Risk vs Return 2.5% 17% % 16% 15% Domestic Equity Relative Returns % 0. (0.5%) (1.) Returns 14% 13% 12% 11% Total Domestic Equity Target (1.5%) 1 (2.) 9% (2.5%) Domestic Equity 8% Standard Deviation 37

40 Domestic Equity Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- Domestic Equity (Gross) (2) (4) (6) /16-9/ th Percentile (35.14) 25th Percentile (36.36) Median (37.42) 75th Percentile (1.03) (1.19) (39.33) 90th Percentile (2.49) (2.61) (41.20) Domestic Equity (0.99) (39.36) Total Domestic Equity Target (36.92) Cumulative and Quarterly Relative Return vs Total Domestic Equity Target Relative Returns 7% 6% 5% 4% 3% 2% 1% (1%) (2%) (3%) Domestic Equity Pub Pln- Dom Equity Risk Adjusted Return Measures vs Total Domestic Equity Target Rankings Against Pub Pln- Domestic Equity (Gross) Five Years Ended September 30, (1) (2) (8) (8) (1) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.26) 1.71 (0.04) 75th Percentile (0.95) 1.61 (0.37) 90th Percentile (2.25) 1.44 (0.75) Domestic Equity

41 Alliance S&P Index Period Ended September 30, 2017 Investment Philosophy Alliance uses a stratified sampling methodology and purchases a majority of the index stocks to replicate the Standard and Poor s 500. The product was funded during the third quarter of Quarterly Summary and Highlights Alliance S&P Index s portfolio posted a 4.46% return for the quarter placing it in the 57 percentile of the Callan Large Cap Core group for the quarter and in the 53 percentile for the last year. Alliance S&P Index s portfolio underperformed the S&P 500 Index by 0.02% for the quarter and underperformed the S&P 500 Index for the year by 0.09%. Performance vs Callan Large Cap Core (Gross) 25% 2 (53) (53) 15% (49) (49) 1 (37) (37) (81) (81) (62) (62) 5% (55) (57) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 28-3/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile Alliance S&P Index S&P 500 Index Relative Return vs S&P 500 Index Callan Large Cap Core (Gross) Annualized Five Year Risk vs Return 0.15% 17% % Relative Returns 0.05% 0.0 (0.05%) Returns 15% 14% 13% Alliance S&P Index S&P 500 Index (0.1) 12% (0.15%) Alliance S&P Index 11% Standard Deviation 39

42 Alliance S&P Index Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Cap Core (Gross) (1) (2) (3) (4) (5) /16-9/ th Percentile (31.85) 25th Percentile (34.26) Median (36.37) 75th Percentile (1.10) (1.59) (37.90) 90th Percentile (2.41) (3.64) (40.00) Alliance S&P Index (36.73) S&P 500 Index (37.00) Cumulative and Quarterly Relative Return vs S&P 500 Index % Relative Returns % % 0. (0.5%) (1.) Alliance S&P Index Callan Large Cap Core Risk Adjusted Return Measures vs S&P 500 Index Rankings Against Callan Large Cap Core (Gross) Five Years Ended September 30, (1) (2) (35) (26) (89) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.29) 1.73 (0.03) 75th Percentile (1.35) 1.58 (0.37) 90th Percentile (2.17) 1.47 (0.83) Alliance S&P Index (0.76) 40

43 PIMCO StocksPLUS Period Ended September 30, 2017 Investment Philosophy PIMCO s StocksPLUS investment philosophy is based on the principal that stock index futures and swaps, when used as a non-leveraged vehicle for obtaining long-term equity exposure, offer an attractive means for enhancing equity market returns. The strategy seeks a longer time horizon of their investors relative to that of typical money market investors. This long time horizon allows PIMCO to use their fixed income and associated risk management skill set to seek out attractive yields relative to money market financing rates on a portion of the high quality fixed-income securities they use to back the futures contracts. Since they only require sufficient liquidity to meet a worst case margin outflow caused by a stock market decline, a portion of their fixed-income portfolio can be invested in somewhat less liquid, higher yielding securities. In addition, they generally take advantage of the typical upward slope of the short end of the yield curve by extending their duration to six months in most market environments and sometimes up to one year. PIMCO also feels that it is appropriate in most market environments to capture both the credit yield premium provided by holding a portion of the fixed-income portfolio in low duration corporate securities and the volatility yield premium provided by holding high quality mortgage securities. The product was funded during the first quarter of Quarterly Summary and Highlights PIMCO StocksPLUS s portfolio posted a 4.65% return for the quarter placing it in the 52 percentile of the Callan Large Capitalization group for the quarter and in the 53 percentile for the last year. PIMCO StocksPLUS s portfolio outperformed the S&P 500 Index by 0.17% for the quarter and outperformed the S&P 500 Index for the year by 0.7. Performance vs Callan Large Capitalization (Gross) 3 25% 2 15% 1 5% (58) (52) (60) (53) (40) (41) (53) (29) (58) (13) (62) (12) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 11-1/2 Year Years 10th Percentile th Percentile Median th Percentile th Percentile PIMCO StocksPLUS S&P 500 Index Relative Return vs S&P 500 Index Callan Large Capitalization (Gross) Annualized Five Year Risk vs Return 2% 22% 2 Relative Returns 1% (1%) Returns 18% 16% 14% 12% PIMCO StocksPLUS S&P 500 Index 1 (2%) PIMCO StocksPLUS 8% Standard Deviation 41

44 PIMCO StocksPLUS Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Capitalization (Gross) (2) (4) (6) /16-9/ th Percentile (33.00) 25th Percentile (34.91) Median (36.77) 75th Percentile (2.03) (2.70) (39.91) 90th Percentile (4.20) (4.54) (43.92) PIMCO StocksPLUS (41.18) S&P 500 Index (37.00) Cumulative and Quarterly Relative Return vs S&P 500 Index 5% 4% Relative Returns 3% 2% 1% (1%) (2%) (3%) PIMCO StocksPLUS Callan Large Cap Risk Adjusted Return Measures vs S&P 500 Index Rankings Against Callan Large Capitalization (Gross) Five Years Ended September 30, (1) (2) (58) (22) (6) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.13) th Percentile (1.24) 1.50 (0.24) 90th Percentile (2.13) 1.34 (0.52) PIMCO StocksPLUS (0.47)

45 BlackRock Russell 1000 Value Period Ended September 30, 2017 Investment Philosophy The objective of the Russell 1000 Value Index Fund is to track the performance of its benchmark, the Russell 1000 Value Index. They seek to deliver a high quality and cost-effective index-based solution to institutional investors. The product was funded during the second quarter of Quarterly Summary and Highlights BlackRock Russell 1000 Value s portfolio posted a 3.13% return for the quarter placing it in the 81 percentile of the Callan Large Cap Value group for the quarter and in the 88 percentile for the last year. BlackRock Russell 1000 Value s portfolio outperformed the Russell 1000 Value Index by 0.01% for the quarter and outperformed the Russell 1000 Value Index for the year by 0.06%. Performance vs Callan Large Cap Value (Gross) 3 25% 2 15% (88) (88) (69) (67) 1 5% (81) (81) (69) (67) (80) (75) (83) (81) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 16-1/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile BlackRock Russell 1000 Value Russell 1000 Value Index Relative Return vs Russell 1000 Value Index Callan Large Cap Value (Gross) Annualized Five Year Risk vs Return 0.15% 19% % 0.05% 17% Relative Returns 0.0 (0.05%) (0.1) (0.15%) Returns 16% 15% 14% 13% BlackRock Russell 1000 Value Russell 1000 Value Index (0.2) 12% (0.25%) 11% (0.3) BlackRock Russell 1000 Value Standard Deviation 43

46 BlackRock Russell 1000 Value Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Cap Value (Gross) (2) (4) (6) /16-9/ th Percentile (32.84) 25th Percentile (1.15) (34.74) Median (2.56) (35.88) 75th Percentile (4.58) (2.48) (38.62) 90th Percentile (6.38) (5.19) (44.92) BlackRock Russell 1000 Value (3.62) (36.74) Russell 1000 Value Index (3.83) (36.85) Cumulative and Quarterly Relative Return vs Russell 1000 Value Index Relative Returns % % % 0. (0.5%) (1.) (1.5%) BlackRock Russell 1000 Value Callan Large Cap Value Risk Adjusted Return Measures vs Russell 1000 Value Index Rankings Against Callan Large Cap Value (Gross) Five Years Ended September 30, (0.5) (1.0) (1.5) (74) (60) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.04) 90th Percentile (0.74) 1.33 (0.25) BlackRock Russell 1000 Value (38) 44

47 T. Rowe Price Large Cap Growth Period Ended September 30, 2017 Investment Philosophy The Large-Cap Growth Strategy is a fundamentally driven, active approach to large company growth investing. The investment philosophy is centered around the manager s belief that long-term growth in earnings and cash flow drive stockholder returns. The product was funded during the first quarter of Performance prior is that of the composite. Quarterly Summary and Highlights T. Rowe Price Large Cap Growth s portfolio posted a 7.5 return for the quarter placing it in the 7 percentile of the Callan Large Cap Growth group for the quarter and in the 3 percentile for the last year. T. Rowe Price Large Cap Growth s portfolio outperformed the Russell 1000 Growth Index by 1.6 for the quarter and outperformed the Russell 1000 Growth Index for the year by 9.03%. Performance vs Callan Large Cap Growth (Gross) 35% 3 (3) 25% 2 15% 1 5% (32) (7) (38) (31) (6) (41) (3) (30) (5) (44) (6) Last Quarter Last Last 3 Years Last 5 Years Last 5-1/2 Last 10 Years Year Years 10th Percentile th Percentile Median th Percentile th Percentile T. Rowe Price Large Cap Growth Russell 1000 Growth Index Relative Return vs Russell 1000 Growth Index Callan Large Cap Growth (Gross) Annualized Five Year Risk vs Return 8% 22% Relative Returns 6% 4% 2% (2%) (4%) (6%) (8%) Returns 2 18% 16% 14% 12% 1 T. Rowe Price Large Cap Growth Russell 1000 Growth Index (1) T. Rowe Price Large Cap Growth 8% Standard Deviation 45

48 T. Rowe Price Large Cap Growth Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Cap Growth (Gross) (2) (4) (6) /16-9/ th Percentile (33.81) 25th Percentile (36.57) Median (0.28) (39.49) 75th Percentile (3.31) (42.96) 90th Percentile (2.03) (4.87) (46.98) T. Rowe Price Large Cap Growth (1.19) (40.39) Russell 1000 Growth Index (38.44) Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index 2 Relative Returns 15% 1 5% (5%) (1) T. Rowe Price Large Cap Growth Callan Large Cap Growth Risk Adjusted Return Measures vs Russell 1000 Growth Index Rankings Against Callan Large Cap Growth (Gross) Five Years Ended September 30, (1) (2) (3) (4) (5) (6) (22) (43) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile (0.29) Median (1.13) 1.65 (0.13) 75th Percentile (2.18) 1.45 (0.42) 90th Percentile (4.45) 1.26 (0.95) T. Rowe Price Large Cap Growth (0.05) (7) 46

49 Champlain Mid Cap Period Ended September 30, 2017 Investment Philosophy Champlain Investment Partners believes buying the shares of superior businesses with credible and sincere managements at a discount to fair or intrinsic value gives investors several potential paths to wealth creation. First, the market may bid the shares to a premium over fair value. Second, management may grow the fair value over time at a faster rate than market appreciation. Third, the company may be bought by a larger company or private market investor. They are willing to sell over-priced stocks and harvest gains, reducing valuation risk. The product was funded during the third quarter of Performance prior is that of the composite. Quarterly Summary and Highlights Champlain Mid Cap s portfolio posted a 2.16% return for the quarter placing it in the 92 percentile of the Callan Mid Capitalization group for the quarter and in the 43 percentile for the last year. Champlain Mid Cap s portfolio underperformed the Russell MidCap Index by 1.31% for the quarter and outperformed the Russell MidCap Index for the year by 3.33%. Performance vs Callan Mid Capitalization (Gross) 3 25% 2 15% (73) (43) (5) (44) (15) (51) (12) 1 (52) (60) (4) 5% (68) (92) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile th Percentile Median th Percentile th Percentile Champlain Mid Cap Russell MidCap Index Relative Return vs Russell MidCap Index Callan Mid Capitalization (Gross) Annualized Five Year Risk vs Return 6% 2 Relative Returns 5% 4% 3% 2% 1% (1%) (2%) Returns 18% 16% 14% 12% 1 8% Champlain Mid Cap Russell MidCap Index (3%) Champlain Mid Cap 6% Standard Deviation 47

50 Champlain Mid Cap Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Mid Capitalization (Gross) (2) (4) (6) /16-9/ th Percentile (33.80) 25th Percentile (36.42) Median (0.80) (1.92) (40.59) 75th Percentile (3.18) (5.57) (44.60) 90th Percentile (7.07) (7.83) (47.94) Champlain Mid Cap (25.71) Russell MidCap Index (2.44) (1.55) (41.46) 56 2 Cumulative and Quarterly Relative Return vs Russell MidCap Index 15% Relative Returns 1 5% (5%) (1) Champlain Mid Cap Callan Mid Capitalization Risk Adjusted Return Measures vs Russell MidCap Index Rankings Against Callan Mid Capitalization (Gross) Five Years Ended September 30, (1) (2) (3) (4) (20) (16) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.07) 1.47 (0.05) 75th Percentile (1.24) 1.31 (0.37) 90th Percentile (3.24) 1.13 (0.68) Champlain Mid Cap (11) 48

51 Pyramis Small Cap Period Ended September 30, 2017 Investment Philosophy FIAM believes that equity markets are semi-efficient and that pricing anomalies exist within the marketplace. The Small Cap Core strategy seeks to build a balanced portfolio where returns will be driven by stock selections and not by systemic biases or exposures to market factors. The product was funded during the third quarter of Quarterly Summary and Highlights Pyramis Small Cap s portfolio posted a 4.94% return for the quarter placing it in the 66 percentile of the Callan Small Capitalization group for the quarter and in the 70 percentile for the last year. Pyramis Small Cap s portfolio underperformed the Russell 2000 Index by 0.72% for the quarter and underperformed the Russell 2000 Index for the year by 2.06%. Performance vs Callan Small Capitalization (Gross) 3 25% 2 (50) (70) 15% 1 (55) (30) (68) (24) (76) (14) (90) (53) 5% (45) (66) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 19 Years Year 10th Percentile th Percentile Median th Percentile th Percentile Pyramis Small Cap Russell 2000 Index Relative Return vs Russell 2000 Index Callan Small Capitalization (Gross) Annualized Five Year Risk vs Return 5% 22% 4% 2 3% 18% Relative Returns 2% 1% (1%) Returns 16% 14% 12% 1 Pyramis Small Cap Russell 2000 Index (2%) 8% (3%) 6% (4%) Pyramis Small Cap 4% Standard Deviation 49

52 Pyramis Small Cap Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Small Capitalization (Gross) (2) (4) (6) /16-9/ th Percentile (29.59) 25th Percentile (0.08) (33.01) Median (2.32) (1.76) (37.46) 75th Percentile (5.11) (5.70) (42.30) 90th Percentile (8.08) (2.43) (8.62) (46.47) Pyramis Small Cap (2.91) (42.02) Russell 2000 Index (4.41) (4.18) (33.79) Cumulative and Quarterly Relative Return vs Russell 2000 Index 2 Relative Returns 15% 1 5% (5%) (1) Pyramis Small Cap Callan Small Cap Risk Adjusted Return Measures vs Russell 2000 Index Rankings Against Callan Small Capitalization (Gross) Five Years Ended September 30, (1) (2) (3) (14) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.10) 90th Percentile (1.54) 0.84 (0.39) Pyramis Small Cap (8) (17) 50

53 International Equity International Equity

54 International Equity Period Ended September 30, 2017 Quarterly Summary and Highlights International Equity s portfolio posted a 6.35% return for the quarter placing it in the 24 percentile of the Pub Pln- International Equity group for the quarter and in the 26 percentile for the last year. International Equity s portfolio outperformed the MSCI ACWI ex US by 0.18% for the quarter and outperformed the MSCI ACWI ex US for the year by 1.64%. Performance vs Pub Pln- International Equity (Gross) 3 25% 2 (57) (26) 15% 1 5% (37) (24) (89) (92) (77) (63) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile International Equity MSCI ACWI ex US (78) (71) Relative Return vs MSCI ACWI ex US Pub Pln- International Equity (Gross) Annualized Five Year Risk vs Return 4% 14% 3% 12% Relative Returns 2% 1% (1%) Returns 1 8% 6% 4% International Equity MSCI ACWI ex US (2%) 2% (3%) International Equity Standard Deviation 52

55 International Equity Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- International Equity (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.24) (0.00) (9.81) (39.12) 25th Percentile (1.60) (1.75) (11.83) (41.67) Median (3.79) (3.19) (13.40) (43.71) 75th Percentile (6.46) (4.32) (15.01) (46.07) 90th Percentile (10.70) (5.50) (17.58) (48.72) International Equity (7.06) (3.78) (16.34) (43.07) MSCI ACWI ex US (5.66) (3.87) (13.71) (45.53) Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Relative Returns 6% 5% 4% 3% 2% 1% (1%) (2%) (3%) International Equity Pub Pln- Intl Equity Risk Adjusted Return Measures vs MSCI ACWI ex US Rankings Against Pub Pln- International Equity (Gross) Five Years Ended September 30, (1) (61) (61) (67) (2) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile (1.10) 0.44 (0.27) International Equity

56 Causeway International Opportunities Period Ended September 30, 2017 Investment Philosophy Causeway employs a three-step process: 1) The International Value piece (developed markets only) utilizes bottom-up selection of undervalued stocks as well as the compounding of dividend returns; 2) The Emerging Markets portion implements through the use of proprietary quantitative models that are a combination of bottom-up and top-down factors; 3) The team also utilizes quantitative allocation models to tactically allocate (within specified ranges) between developed and emerging markets based on their relative attractiveness. The product was funded during the first quarter of In May 2016 the strategy transitioned from International Value to International Opportunities. As such, the index has been updated accordingly from EAFE to ACWI ex-us (Net Div). Quarterly Summary and Highlights Causeway International Opportunities s portfolio posted a 7.5 return for the quarter placing it in the 20 percentile of the Callan Non-US Equity group for the quarter and in the 12 percentile for the last year. Causeway International Opportunities s portfolio outperformed the Causeway Linked Index by 1.34% for the quarter and outperformed the Causeway Linked Index for the year by 4.69%. Performance vs Callan Non-US Equity (Gross) 3 25% (12) 2 (59) 15% 1 5% (48) (20) (69) (68) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 12-1/2 Year Years 10th Percentile th Percentile Median th Percentile th Percentile Causeway International Opportunities Causeway Linked Index (63) (42) (89) (23) (93) (42) Relative Return vs Causeway Linked Index Callan Non-US Equity (Gross) Annualized Five Year Risk vs Return 5% 18% 4% 16% 3% 14% Relative Returns 2% 1% (1%) Returns 12% 1 8% 6% Causeway International Opportunities Causeway Linked Index (2%) 4% (3%) 2% (4%) Causeway International Opportunities Standard Deviation 54

57 Causeway International Opportunities Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Non-US Equity (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.31) (6.44) (36.67) 25th Percentile (2.06) (9.55) (40.10) Median (3.88) (11.29) (43.20) 75th Percentile (0.39) (2.53) (5.66) (13.96) (46.54) 90th Percentile (3.77) (4.74) (7.82) (16.61) (49.30) Causeway International Opportunities (2.09) (4.70) (10.24) (42.83) Causeway Linked Index (0.81) (4.90) (12.14) (43.38) Cumulative and Quarterly Relative Return vs Causeway Linked Index Relative Returns 5% 4% 3% 2% 1% (1%) (2%) (3%) (4%) Causeway International Opportunities Callan NonUS Eq Risk Adjusted Return Measures vs Causeway Linked Index Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, (0.5) (1.0) (1.5) (40) (38) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.16) 90th Percentile (0.96) 0.66 (0.40) Causeway International Opportunities (42) 55

58 Aberdeen EAFE Plus Period Ended September 30, 2017 Investment Philosophy Aberdeen believes that given the inefficiency of markets, superior long-term returns are achieved by identifying high quality stocks, buying them at reasonable/cheap prices, and ultimately investing in those securities for the long term. Absolute return is held to be of the utmost importance. The strategy is benchmark aware, but not benchmark driven. This benchmark stance is born from their belief that indices do not provide meaningful guidance to the prospects of a company or its inherent worth. Quarterly Summary and Highlights Aberdeen EAFE Plus s portfolio posted a 3.12% return for the quarter placing it in the 98 percentile of the Callan Non-US Equity group for the quarter and in the 83 percentile for the last year. Aberdeen EAFE Plus s portfolio underperformed the MSCI ACWI ex US by 3.04% for the quarter and underperformed the MSCI ACWI ex US for the year by 2.64%. Performance vs Callan Non-US Equity (Gross) 3 25% 2 (59) 15% (83) 1 5% (48) (98) (81) Last Quarter Last Year Last 3 Years Last 5-1/4 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Aberdeen EAFE Plus MSCI ACWI ex US (98) (93) (98) (92) (37) Portfolio Characteristics as a Percentage of the MSCI ACWI ex US Callan Non-US Equity (Gross) Annualized Three Year Risk vs Return Forecast Earnings Growth Yield Price/Book Forecast Price/Earnings Wght Median Market Cap Returns (4%) Aberdeen EAFE Plus Callan Non-US Equity MSCI ACWI ex US Standard Deviation 14% 12% 1 8% 6% 4% 2% (2%) MSCI ACWI ex US Aberdeen EAFE Plus 56

59 Aberdeen EAFE Plus Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Non-US Equity (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.31) (6.44) (36.67) 25th Percentile (2.06) (9.55) (40.10) Median (3.88) (11.29) (43.20) 75th Percentile (0.39) (2.53) (5.66) (13.96) (46.54) 90th Percentile (3.77) (4.74) (7.82) (16.61) (49.30) Aberdeen EAFE Plus (13.63) (2.53) (3.72) (39.68) MSCI ACWI ex US (5.66) (3.87) (13.71) (45.53) Cumulative and Quarterly Relative Return vs MSCI ACWI ex US 2 15% Relative Returns 1 5% (5%) (1) (15%) (2) Aberdeen EAFE Plus Callan NonUS Eq Risk Adjusted Return Measures vs MSCI ACWI ex US Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, (1) (2) (3) (98) (98) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile Aberdeen EAFE Plus (1.75) 0.41 (0.49) (99) 57

60 American Century Non-US SC Period Ended September 30, 2017 Investment Philosophy American Century s philosophy of growth investing is centered on the belief that accelerating growth in earnings and revenues, rather than the absolute level of growth, is more highly correlated to stock price performance. This philosophy often directs analysts to research different companies than other growth managers, as they do not require an absolute threshold of earnings or revenue growth. This philosophy allows American Century to take advantage of both the normal price appreciation that results from a company s earnings growth, and the markets re-rating of a company s price-to-earnings multiple. The goal is to construct a portfolio of international stocks that are experiencing accelerating growth that are believed to be sustainable over time. The product was funded during the second quarter of Prior performance represents that of the composite for supplementary purposes. Quarterly Summary and Highlights American Century Non-US SC s portfolio posted a 10.84% return for the quarter placing it in the 8 percentile of the Callan International Small Cap group for the quarter and in the 49 percentile for the last year. American Century Non-US SC s portfolio outperformed the MSCI ACWI ex US Small Cap by 3.94% for the quarter and outperformed the MSCI ACWI ex US Small Cap for the year by 4.7. Performance vs Callan International Small Cap (Gross) 35% 3 25% 2 (82) (49) (80) (54) 15% 1 5% (74) (8) Last Quarter Last Last 1-1/4 Last 3 Years Last 5 Years Last 10 Years Year Years 10th Percentile th Percentile Median th Percentile th Percentile American Century Non-US SC MSCI ACWI ex US Small Cap (90) (48) (92) (53) (91) (51) Relative Returns vs MSCI ACWI ex US Small Cap Callan International Small Cap (Gross) Annualized Five Year Risk vs Return 8% 22% 6% 2 Relative Returns 4% 2% (2%) (4%) Returns 18% 16% 14% 12% 1 American Century Non-US SC MSCI ACWI ex US Small Cap (6%) 8% (8%) American Century Non-US SC 6% Standard Deviation 58

61 American Century Non-US SC Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan International Small Cap (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.42) (9.37) (41.38) 25th Percentile (1.85) (11.52) (45.38) Median (3.43) (13.65) (48.22) 75th Percentile (2.47) 6.62 (6.43) (15.71) (51.34) 90th Percentile (4.57) 3.40 (9.15) (17.80) (53.33) American Century Non-US SC (5.63) (5.61) (13.72) (51.31) MSCI ACWI ex US Small Cap (4.03) (18.50) (50.23) Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Small Cap 25% 2 Relative Returns 15% 1 5% (5%) (1) American Century Non-US SC Callan Intl Small Cap Risk Adjusted Return Measures vs MSCI ACWI ex US Small Cap Rankings Against Callan International Small Cap (Gross) Five Years Ended September 30, (60) (68) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile American Century Non-US SC (60) 59

62 Fixed Income Fixed Income

63 Fixed Income Period Ended September 30, 2017 Quarterly Summary and Highlights Fixed Income s portfolio posted a 1.51% return for the quarter placing it in the 8 percentile of the Pub Pln- Domestic Fixed group for the quarter and in the 17 percentile for the last year. Fixed Income s portfolio outperformed the Blmbg Aggregate Index by 0.67% for the quarter and outperformed the Blmbg Aggregate Index for the year by 3.62%. Performance vs Pub Pln- Domestic Fixed (Gross) 7% 6% (17) 5% (8) 4% (17) (15) (67) 3% (74) 2% (71) (8) 1% (73) (89) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Fixed Income Blmbg Aggregate Index Relative Return vs Blmbg Aggregate Index Pub Pln- Domestic Fixed (Gross) Annualized Five Year Risk vs Return 3% 9% 2% 8% 7% Relative Returns 1% (1%) Returns 6% 5% 4% 3% Fixed Income (2%) 2% 1% Blmbg Aggregate Index (3%) Fixed Income Standard Deviation 61

64 Fixed Income Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- Domestic Fixed (Gross) (1) (2) 12/16-9/ th Percentile th Percentile Median (1.02) (1.76) 75th Percentile (0.50) 4.30 (1.96) (8.50) 90th Percentile (2.11) 2.87 (2.92) (11.37) Fixed Income (0.00) 5.77 (0.81) (2.32) Blmbg Aggregate Index (2.02) Cumulative and Quarterly Relative Return vs Blmbg Aggregate Index 12% 1 Relative Returns 8% 6% 4% 2% (2%) (4%) Fixed Income Pub Pln- Dom Fixed Risk Adjusted Return Measures vs Blmbg Aggregate Index Rankings Against Pub Pln- Domestic Fixed (Gross) Five Years Ended September 30, (0.5) (1.0) (18) (26) (19) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.15) 90th Percentile (0.22) 0.51 (0.48) Fixed Income

65 BlackRock U.S. Debt Fund Period Ended September 30, 2017 Investment Philosophy The product was funded during the fourth quarter of Performance prior is that of the composite. Quarterly Summary and Highlights BlackRock U.S. Debt Fund s portfolio posted a 0.88% return for the quarter placing it in the 63 percentile of the Callan Core Bond Fixed Income group for the quarter and in the 84 percentile for the last year. BlackRock U.S. Debt Fund s portfolio outperformed the Blmbg Aggregate by 0.04% for the quarter and outperformed the Blmbg Aggregate for the year by 0.12%. Performance vs Callan Core Bond Fixed Income (Gross) 7% 6% 5% 4% (92) (88) 3% 2% (89) (85) (96) (81) (98) (95) 1% (79) (63) (91) (84) Last Quarter Last Last 3 Years Last 5 Years Last 5-3/4 Last 10 Years Year Years 10th Percentile th Percentile Median th Percentile th Percentile BlackRock U.S. Debt Fund Blmbg Aggregate Relative Return vs Blmbg Aggregate Callan Core Bond Fixed Income (Gross) Annualized Five Year Risk vs Return % 3.4% 3.2% Relative Returns Returns % 2.6% 2.4% BlackRock U.S. Debt Fund 2.2% 2. Blmbg Aggregate (0.1) BlackRock U.S. Debt Fund 1.8% Standard Deviation 63

66 BlackRock U.S. Debt Fund Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Core Bond Fixed Income (Gross) 25% 2 15% 1 5% (5%) (1) (15%) /16-9/ th Percentile (0.66) th Percentile (1.10) Median (1.47) th Percentile (1.84) (2.45) 90th Percentile (0.03) 5.36 (2.32) (7.12) BlackRock U.S. Debt Fund (1.92) Blmbg Aggregate (2.02) Cumulative and Quarterly Relative Return vs Blmbg Aggregate % Relative Returns % % 0. (0.5%) BlackRock U.S. Debt Fund Callan Core Bond FI Risk Adjusted Return Measures vs Blmbg Aggregate Rankings Against Callan Core Bond Fixed Income (Gross) Five Years Ended September 30, (14) (86) (89) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile BlackRock U.S. Debt Fund

67 PIMCO Fixed Income Period Ended September 30, 2017 Investment Philosophy PIMCO emphasizes adding value by rotating through the major sectors of the domestic and international bond markets. They also seek to enhance returns through duration management. The product was funded during the third quarter of The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. Quarterly Summary and Highlights PIMCO Fixed Income s portfolio posted a 2.12% return for the quarter placing it in the 3 percentile of the Callan Core Plus Fixed Income group for the quarter and in the 1 percentile for the last year. PIMCO Fixed Income s portfolio outperformed the Custom Index by 0.49% for the quarter and outperformed the Custom Index for the year by 3.42%. Performance vs Callan Core Plus Fixed Income (Gross) 8% 7% 6% A(1) A(1) (21) A(12) (35) A(9) 5% 4% (3) (9) A(1) B(97) B(97) 3% 2% (3) A(3) (8) B(97) B(100) 1% B(94) B(100) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 15 Years Year 10th Percentile th Percentile Median th Percentile th Percentile PIMCO Fixed Income A Blmbg Aggregate Index B Custom Index Relative Return vs Custom Index Callan Core Plus Fixed Income (Gross) Annualized Five Year Risk vs Return 2% 5.5% 5. PIMCO Fixed Income 1% 4.5% Relative Returns Returns % 3. Custom Index (1%) 2.5% 2. Blmbg Aggregate Index (2%) PIMCO Fixed Income 1.5% Standard Deviation 65

68 PIMCO Fixed Income Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Core Plus Fixed Income (Gross) (1) (2) 6 A(1) 5 B(99) A(1) B(100) B(38) A(75) B(61) A(85) A(1) B(100) 75 B(39) 93 A(77) A(25) B(96) 64 A(74) B(100) 12/16-9/ A(34) B(99) 27 10th Percentile th Percentile (0.13) Median (0.67) (5.17) 75th Percentile (0.36) 5.70 (1.07) (9.34) 90th Percentile (1.08) 5.36 (1.66) (13.26) PIMCO Fixed Income A (0.39) 5.48 (0.12) (5.85) Blmbg Aggregate Index B (2.02) Custom Index (1.28) B(5) A(63) Cumulative and Quarterly Relative Return vs Custom Index Relative Returns 8% 6% 4% 2% (2%) (4%) (6%) (8%) (1) (12%) PIMCO Fixed Income Blmbg Aggregate Index Callan Core Plus FI Risk Adjusted Return Measures vs Custom Index Rankings Against Callan Core Plus Fixed Income (Gross) Five Years Ended September 30, (0.5) (1.0) (1.5) A(13) B(99) A(21) B(100) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile (0.07) 25th Percentile (0.41) Median (0.65) 75th Percentile (0.18) 0.85 (0.81) 90th Percentile (0.47) 0.76 (0.95) PIMCO Fixed Income A Blmbg Aggregate Index B (0.75) 0.60 (1.01) A(1) B(97) 66

69 Real Estate Real Estate

70 Real Estate Period Ended September 30, 2017 Investment Philosophy The Total Real Estate Funds Database consists of both open and closed-end commingled funds as well as separate accounts managed by real estate firms. The returns represent the overall performance of institutional capital invested in real estate properties. Quarterly Summary and Highlights Real Estate s portfolio posted a 1.86% return for the quarter placing it in the 37 percentile of the Pub Pln- Real Estate group for the quarter and in the 27 percentile for the last year. Real Estate s portfolio underperformed the NFI-ODCE Value Weight Gr by 0.0 for the quarter and outperformed the NFI-ODCE Value Weight Gr for the year by 0.28%. Performance vs Pub Pln- Real Estate (Gross) 14% 12% 1 (30) (33) (12) (10) 8% (29) (27) 6% 4% (47) (62) 2% (34) (37) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Real Estate NFI-ODCE Value Weight Gr Relative Return vs NFI-ODCE Value Weight Gr Pub Pln- Real Estate (Gross) Annualized Five Year Risk vs Return 1.5% 14% Relative Returns % 0. (0.5%) Returns 13% 12% 11% 1 9% 8% 7% Real Estate NFI-ODCE Value Weight Gr (1.) 6% 5% (1.5%) Real Estate 4% Standard Deviation 68

71 Real Estate Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- Real Estate (Gross) (1) (2) (3) (4) (5) /16-9/ th Percentile (2.71) 25th Percentile (12.77) (8.25) Median (25.86) (11.84) 75th Percentile (32.60) (18.58) 90th Percentile (0.23) (41.02) (38.31) Real Estate (29.69) (12.89) NCREIF NFI-ODCE Val Wt Gr (29.76) (10.01) Cumulative and Quarterly Relative Return vs NCREIF NFI-ODCE Val Wt Gr 6% 4% Relative Returns 2% (2%) (4%) (6%) (8%) Real Estate Pub Pln- Real Estate Risk Adjusted Return Measures vs NCREIF NFI-ODCE Val Wt Gr Rankings Against Pub Pln- Real Estate (Gross) Five Years Ended September 30, (2) (4) (82) (28) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile (0.12) Median (0.39) 75th Percentile (0.66) 90th Percentile (2.24) 1.82 (2.05) Real Estate (0.79) (15) 69

72 JP Morgan Strategic Property Fund Period Ended September 30, 2017 Investment Philosophy J.P. Morgan s Strategic Property Fund is an actively managed diversified, core, open-end commingled pension trust fund. It seeks an income-driven rate of return of 100 basis points over the NFI-ODCE Equal Weight Net Index over a full market cycle (three to five year horizon) through asset, geographic and sector selection and active asset management. The Fund invests in high quality stabilized assets with dominant competitive characteristics in markets with attractive demographics throughout the United States. The product was funded in the fourth quarter of Quarterly Summary and Highlights JP Morgan Strategic Property Fund s portfolio posted a 1.72% return for the quarter placing it in the 35 percentile of the Callan Open-End Core Commingled Real Est group for the quarter and in the 44 percentile for the last year. JP Morgan Strategic Property Fund s portfolio underperformed the NCREIF NFI-ODCE Val Wt Gr by 0.15% for the quarter and underperformed the NCREIF NFI-ODCE Val Wt Gr for the year by 0.09%. Performance vs Callan Open-End Core Commingled Real Est (Net) 16% 14% 12% 1 (30) (39) (20) (18) 8% (43) (44) (28) (5) 6% 4% (34) (18) 2% (32) (35) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 16-3/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile JP Morgan Strategic Property Fund NCREIF NFI-ODCE Val Wt Gr Relative Returns vs NCREIF NFI-ODCE Val Wt Gr Callan Open-End Core Commingled Real Est (Net) Annualized Five Year Risk vs Return 1. 15% 0.5% 14% Relative Returns 0. (0.5%) Returns 13% 12% 11% 1 JP Morgan Strategic Property Fund NCREIF NFI-ODCE Val Wt Gr (1.) 9% (1.5%) JP Morgan Strategic Property Fund 8% Standard Deviation 70

73 JP Morgan Strategic Property Fund Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Open-End Core Commingled Real Est (Net) (1) (2) (3) (4) (5) (6) /16-9/ th Percentile (20.77) (2.54) 25th Percentile (25.49) (5.51) Median (28.89) (10.25) 75th Percentile (33.22) (14.99) 90th Percentile (43.44) (25.43) JP Morgan Strategic Property Fund (26.53) (8.09) NCREIF NFI-ODCE Val Wt Gr (29.76) (10.01) Cumulative and Quarterly Relative Return vs NCREIF NFI-ODCE Val Wt Gr 3% 2% Relative Returns 1% (1%) (2%) (3%) (4%) JP Morgan Strategic Property Fund Callan OE Core Cmngld RE Risk Adjusted Return Measures vs NCREIF NFI-ODCE Val Wt Gr Rankings Against Callan Open-End Core Commingled Real Est (Net) Five Years Ended September 30, (2) (4) (47) (12) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile (0.18) Median (0.69) 5.90 (0.63) 75th Percentile (1.13) 5.07 (1.12) 90th Percentile (2.74) 3.60 (2.29) JP Morgan Strategic Property Fund (0.08) (17) 71

74 JP Morgan Income and Growth Fund Period Ended September 30, 2017 Investment Philosophy The product was funded in the fourth quarter of Quarterly Summary and Highlights JP Morgan Income and Growth Fund s portfolio posted a 2.15% return for the quarter placing it in the 36 percentile of the Callan Real Estate Value Added Open End group for the quarter and in the 37 percentile for the last year. JP Morgan Income and Growth Fund s portfolio outperformed the NCREIF NFI-ODCE Val Wt Gr by 0.28% for the quarter and outperformed the NCREIF NFI-ODCE Val Wt Gr for the year by 0.99%. Performance vs Callan Real Estate Value Added Open End (Net) 18% 16% 14% (40) 12% 1 (71) (64) (75) 8% 6% (61) (37) (6) (12) (42) 4% 2% (40) (36) (56) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 11-3/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile JP Morgan Income and Growth Fund NCREIF NFI-ODCE Val Wt Gr Relative Returns vs NCREIF NFI-ODCE Val Wt Gr Callan Real Estate Value Added Open End (Net) Annualized Five Year Risk vs Return 6% 16% 5% 4% 15% Relative Returns 3% 2% 1% (1%) (2%) Returns 14% 13% 12% 11% JP Morgan Income and Growth Fund NCREIF NFI-ODCE Val Wt Gr (3%) JP Morgan Income and Growth Fund Standard Deviation 72

75 JPM Income and Growth Fund Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Real Estate Value Added Open End (Net) (2) (4) (6) (8) /16-9/ th Percentile (41.24) (4.81) 25th Percentile (42.72) (13.03) Median (45.40) (16.25) 75th Percentile (61.06) (25.95) 90th Percentile 3.57 (1.33) (66.35) (42.95) JPM Income and Growth Fund (44.09) (27.07) NCREIF NFI-ODCE Val Wt Gr (29.76) (10.01) Cumulative and Quarterly Relative Return vs NCREIF NFI-ODCE Val Wt Gr 12% 1 Relative Returns 8% 6% 4% 2% (2%) (4%) JPM Income and Growth Fund Callan RE Val Add Opn End Risk Adjusted Return Measures vs NCREIF NFI-ODCE Val Wt Gr Rankings Against Callan Real Estate Value Added Open End (Net) Five Years Ended September 30, (2) (4) (6) (94) (84) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.42) th Percentile (1.77) th Percentile (2.74) 3.16 (0.47) JPM Income and Growth Fund (3.25) (47) 73

76 Infrastructure Infrastructure

77 Infrastructure Period Ended September 30, 2017 Quarterly Summary and Highlights Infrastructure s portfolio outperformed the CPI + 4% by 2.55% for the quarter and outperformed the CPI + 4% for the year by % Returns % Last Quarter Last Year Last 3 Years Last 5 Years Last 8-3/4 Years Infrastructure CPI + 4% Relative Return vs CPI + 4% Annualized Five Year Risk vs Return 1 8% 6% 9.5% % Infrastructure Relative Returns 4% 2% (2%) (4%) Returns % % 6. (6%) 5.5% (8%) 5. CPI + 4% (1) Infrastructure 4.5% Standard Deviation 75

78 Macquarie European Infrastructure Period Ended September 30, 2017 Investment Philosophy The product was funded in the fourth quarter of Quarterly Summary and Highlights Macquarie European Infrastructure s portfolio outperformed the CPI + 4% by 4.5 for the quarter and outperformed the CPI + 4% for the year by 18.81%. 3 25% Returns 15% % Last Quarter Last Year Last 3 Years Last 5 Years Last 8-3/4 Years Macquarie European Infrastructure CPI + 4% Relative Return vs CPI + 4% Annualized Five Year Risk vs Return 15% 1 1 9% Macquarie European Infrastructure Relative Returns 5% (5%) Returns 8% 7% 6% (1) 5% CPI + 4% (15%) Macquarie European Infrastructure 4% Standard Deviation 76

79 SteelRiver Infrastructure North America Period Ended September 30, 2017 Investment Philosophy The product was funded in the fourth quarter of Quarterly Summary and Highlights SteelRiver Infrastructure North America s portfolio outperformed the CPI + 4% by 0.9 for the quarter and outperformed the CPI + 4% for the year by 1.04%. 14% 12% Returns 8% 6% % % 1.85 Last Quarter Last Year Last 3 Years Last 5 Years Last 8-3/4 Years SteelRiver Infrastructure North America CPI + 4% Relative Return vs CPI + 4% Annualized Five Year Risk vs Return 15% % 8. SteelRiver Infrastructure North America Relative Returns 5% (5%) Returns 7.5% % 6. (1) 5.5% 5. CPI + 4% (15%) SteelRiver Infrastructure North America 4.5% Standard Deviation 77

80 Callan Research/Education Callan Research/Education

81 Εξηιβιτ 1 Τηε Πριϖατε Dεβτ Υνιϖερσε 2 What is Callan s deinition of private debt? Our characterization of private debt deines its objective as obtaining an income-oriented return from an unlisted debt or debt-like instrument. We then organize the private debt universe by major issuer, collateral asset, or project type, including: Real estate Corporate credit Infrastructure Other strategies The goal of our private debt research is to provide Callan clients with the broadest opportunity set. We believe this approach offers a lexible framework to discuss strategies and provides the perspective needed to ind pockets of value with similar fundamental credit exposure in different parts of the private debt universe. We organize our coverage of private debt without consideration for its position in the capital stack or by the target returns of the strategies. For instance, we would look at mezzanine debt not as a category; instead, we treat it as an investment structure and examine the underlying credit characteristics (i.e., nature of assets/projects/issuers, deal sponsorship, level of equity cushion, underlying business plans, etc.), which really determine the risk/return proile. Corporate Credit Ρεαλ Εστατε Dεβτ Infrastructure Debt Focuses on privately negotiated, Focuses on debt or debt-like instruments collateralized by real estate instruments collateralized by Focuses on debt or debt-like non-traded debt or debt-like instruments typically issued to middle assets (primarily commercial real infrastructure assets, projects, or market companies estate) or interests in them interests in them Expected Return λοω Εξπεχτεδ Ρισκ λοω Observed Volatility λοω Diversiication Beneit ηιγη ηιγη ηιγη λοω λοω λοω ποορ εξχελλεντ ποορ εξχελλεντ ποορ εξχελλεντ Note: Other strategies include residential mortgage/home equity finance, auto finance, niche consumer lending, equipment lending/ leasing, global trade lending, litigation funding, commercial auto finance, and niche commercial lending. ηιγη ηιγη ηιγη λοω λοω λοω ηιγη ηιγη ηιγη CALLAN INSTITUTE ΧΑΛΛΑΝ ΙΝΣΤΙΤΥΤΕ 3ρδ Θυαρτερ 2017 Εδυχατιον Ρεσεαρχη ανδ Εδυχατιοναλ Προγραmσ Τηε Χαλλαν Ινστιτυτε προϖιδεσ βοτη ρεσεαρχη το υπδατε χλιεντσ ον τηε λατεστ ινδυστρψ τρενδσ ανδ χαρεφυλλψ στρυχτυρεδ εδυχατιοναλ προγραmσ το ενηανχε τηε κνοωλεδγε οφ ινδυστρψ προφεσσιοναλσ. ςισιτ ωωω.χαλλαν.χοm/λιβραρψ το σεε αλλ οφ ουρ πυβλιχατιονσ, ανδ ωωω.χαλλαν.χοm/βλογ το ϖιεω ουρ βλογ Περσπεχτιϖεσ. Φορ mορε ινφορmατιον χονταχτ Αννα Wεστ ατ / ινστιτυτε χαλλαν.χοm. Νεω Ρεσεαρχη φροm Χαλλαν σ Εξπερτσ Τηε Πριϖατε Dεβτ Πιε: Dο Ψου Wαντ α Σλιχε? Dο Ψου Νεεδ Ονε? Ασ ινστιτυτιον αλ ινϖεστορσ χονσιδερ τηε mεριτσ ανδ ρισκσ οφ χονστρυχτινγ πριϖατε δεβτ αλλοχατιονσ ιν τηειρ πορτφολιοσ, Χαλλαν σ ϑαψ Κλοεπφερ, τηε διρεχτορ οφ Χαπιταλ Μαρκετσ Ρεσεαρχη; ανδ ϑαψ Ναψακ, α χονσυλταντ ιν ουρ Πριϖατε Εθυιτψ Ρεσεαρχη γρουπ, πρεπαρεδ α σετ οφ ανσωερσ το σοmε κεψ θυεστιονσ αβουτ πριϖατε δεβτ. Χαλλαν 2017 Νυχλεαρ Dεχοmmισσιονινγ Φυνδινγ Στυδψ Τηισ στυδψ, δονε αννυαλλψ, οφφερσ κεψ ινσιγητσ ιντο τηε στατυσ οφ νυχλεαρ δεχοmmισσιονινγ φυνδινγ ιν τηε Υ.Σ. Τηε 2017 στυδψ χοϖερσ 54 υτιλιτιεσ ωιτη αν οωνερσηιπ ιντερεστ ιν τηε 99 οπερατινγ νυχλεαρ ρεαχτορσ ανδ 11 οφ τηε νον οπερατινγ ρεαχτορσ ιν τηε Υ.Σ. Ιτ φουνδ τηατ τηε ηεαλτη οφ νυχλεαρ δεχοmmισσιονινγ φυνδινγ ηασ ρεmαινεδ φαιρλψ σταβλε, ηοϖερινγ νεαρ 7 οϖερ τηε παστ δεχαδε. Συρϖεψ 2017 Πριϖατε Εθυιτψ Συρϖεψ Factors Impacting Institutional Private Equity Implementation Χαλλαν 2017 Πριϖατε Εθυιτψ Συρϖεψ Χαλλαν χονδυχτεδ α συρϖεψ οφ ινστιτυ τιοναλ πριϖατε εθυιτψ ινϖεστορσ. Wε φο χυσεδ ον δεπλοψmεντ mοδελσ, παττερνσ οφ ινϖεστmεντ ανδ χοmmιτmεντ αχτιϖιτιεσ over time, governance and oversight, stafing and resources, and ρεσπονσιβιλιτιεσ φορ προγραm αδmινιστρατιον φυνχτιονσ. Ουρ Συρϖεψ ινχλυδεδ 69 ινστιτυτιοναλ ινϖεστορσ ωιτη πριϖατε εθυιτψ προγραmσ τοταλινγ βιλλιον. Ουρ Συρϖεψ φουνδ τηατ αν αρραψ οφ αδmινισ τρατιον ισσυεσ αφφεχτ ηοω ινστιτυτιοναλ πριϖατε εθυιτψ πορτφολιοσ αρε χονστρυχτεδ, mονιτορεδ, ανδ mαναγεδ. Wε φουνδ τηεσε φαχτορσ λεδ το λεσσ τηαν ιδεαλ χηοιχεσ φορ ιmπλεmεντινγ τηε προγραmσ, οφτεν ινχλυδινγ συβ οπτιmαλ υσε οφ τηε δισχρετιοναρψ χονσυλταντ/ φυνδ οφ φυνδσ mοδελ φορ χερταιν πριϖατε εθυιτψ προγραmσ. Τηε Τριπλε Πλαψ: Αδδινγ Τιmβερλανδ, Φαρmλανδ, ανδ Ινφραστρυχτυρε το Πορτφολιοσ Τιmβερλανδ, φαρmλανδ, ανδ ινφρα structure offer diversiication, stable income, and inlation protec τιον φορ ινστιτυτιοναλ ινϖεστορ πορτφολιοσ. Χαλλαν βελιεϖεσ α χοmβι νατιον οφ τηεσε τηρεε ρεαλ ασσετσ οφφερσ διστινχτ αδϖανταγεσ. Ρεαχηινγ φορ Ηιγηερ Γρουνδ: Τηε Εϖολυτιον οφ ΤDΦσ Ταργετ δατε φυνδσ (ΤDΦσ) αρε αν ιmπροϖεmεντ οϖερ φορmερ χοmmον δε φαυλτσ, βυτ τηεψ νεεδ το εϖολϖε. Τηε σολυτιονσ ινχλυδε υσινγ υν correlated asset classes, in-plan annuities, dynamic qualiied δεφαυλτ ινϖεστmεντ αλτερνατιϖεσ, ορ γυαραντεεδ ινχοmε προδυχτσ. Περιοδιχαλσ Πριϖατε Μαρκετσ Τρενδσ, Συmmερ 2017 Γαρψ Ροβερτσον δισ χυσσεσ τηε συργε οφ mονεψ ιντο τηε πριϖατε mαρκετσ ασ ηιγη πριχεσ περσιστ. Ηεδγε Φυνδ Μονιτορ, 3ρδ Θυαρτερ 2017 ϑιm ΜχΚεε δισχυσσεσ φουρ mαϕορ σεχυλαρ τρενδσ τηατ αρε ον α πρεδιχταβλε χουρσε το ιν χρεασινγλψ ωειγη ον mαρκετσ οϖερ τηε λονγερ τερm: δεmογραπηιχσ, iscal policy, monetary policy, and market valuations. Μαρκετ Πυλσε Φλιπβοοκ, 2νδ Θυαρτερ 2017 Α θυαρτερλψ mαρκετ ρεφερενχε γυιδε χοϖερινγ ινϖεστmεντ ανδ φυνδ σπονσορ τρενδσ ιν the U.S. economy, U.S. and non-u.s. equities and ixed income, alternatives, and deined contribution plans. Χαπιταλ Μαρκετ Ρεϖιεω, 2νδ Θυαρτερ 2017 Α θυαρτερλψ νεωσ λεττερ προϖιδινγ ινσιγητσ ον τηε εχονοmψ ανδ ρεχεντ περφορmανχε in equity, ixed income, alternatives, international, real estate, and οτηερ χαπιταλ mαρκετσ. Μοντηλψ Περιοδιχ Ταβλε οφ Ινϖεστmεντ Ρετυρνσ Τηισ υπδατε relects the latest results for major indices.

82 Εϖεντσ Μισσ ουτ ον α Χαλλαν χονφερενχε ορ ωορκσηοπ? Εϖεντ συmmα ριεσ ανδ σπεακερσ πρεσεντατιονσ αρε αϖαιλαβλε ον ουρ ωεβσιτε: ωωω.χαλλαν.χοm/λιβραρψ/ Μαρκ ψουρ χαλενδαρσ φορ ουρ υπχοmινγ Ρεγιοναλ Wορκσηοπσ, Οχτοβερ 24 ιν Νεω Ψορκ ανδ Οχτοβερ 26 ιν Χηιχαγο, ωηερε ωε λλ χοϖερ ηιγηλιγητσ φροm ουρ σοον το βε πυβλισηεδ Ινϖεστmεντ Μαν αγεmεντ Φεε Συρϖεψ ανδ οτηερ ασπεχτσ οφ φεεσ. Χαλλαν σ Νατιοναλ Χονφερενχε ωιλλ βε ηελδ ϑανυαρψ 29 31, 2018, ατ τηε Παλαχε Ηοτελ ιν Σαν Φρανχισχο. Φορ mορε ινφορmατιον αβουτ εϖεντσ, πλεασε χονταχτ Βαρβ Γερρατψ: / γερρατψ χαλλαν.χοm Τηε Χεντερ φορ Ινϖεστmεντ Τραινινγ Εδυχατιοναλ Σεσσιονσ Τηε Χεντερ φορ Ινϖεστmεντ Τραινινγ, βεττερ κνοων ασ τηε Χαλλαν Χολλεγε, προϖιδεσ α φουνδατιον οφ κνοωλεδγε φορ ινδυστρψ προφεσ σιοναλσ ωηο αρε ινϖολϖεδ ιν τηε ινϖεστmεντ δεχισιον mακινγ προ χεσσ. Ιτ ωασ φουνδεδ ιν 1994 το προϖιδε χλιεντσ ανδ νον χλιεντσ αλικε with basic- to intermediate-level instruction. Our next sessions are: Ιντροδυχτιον το Ινϖεστmεντσ Σαν Φρανχισχο, Απριλ 10 11, 2018 Σαν Φρανχισχο, ϑυλψ 24 25, 2018 Χηιχαγο, Οχτοβερ 2 3, 2018 Τηισ προγραm φαmιλιαριζεσ φυνδ σπονσορ τρυστεεσ, σταφφ, ανδ ασσετ mαναγεmεντ αδϖισερσ ωιτη βασιχ ινϖεστmεντ τηεορψ, τερmινολογψ, ανδ πραχτιχεσ. Ιτ λαστσ ονε ανδ α ηαλφ δαψσ ανδ ισ δεσιγνεδ φορ ιν dividuals who have less than two years of experience with assetmαναγεmεντ οϖερσιγητ ανδ/ορ συππορτ ρεσπονσιβιλιτιεσ. Τυιτιον φορ τηε Ιντροδυχτορψ Χαλλαν Χολλεγε σεσσιον ισ 2,350 περ περσον. Τυιτιον ινχλυδεσ ινστρυχτιον, αλλ mατεριαλσ, βρεακφαστ ανδ λυνχη ον each day, and dinner on the irst evening with the instructors. Χυστοmιζεδ Σεσσιονσ Τηε Χαλλαν Χολλεγε ισ εθυιππεδ το χυστοmιζε α χυρριχυλυm το meet the training and educational needs of a speciic organization. Τηεσε ταιλορεδ σεσσιονσ ρανγε φροm βασιχ το αδϖανχεδ ανδ χαν take place anywhere even at your ofice. Εδυχατιον: Βψ τηε Νυmβερσ Λεαρν mορε ατ ωωω.χαλλαν.χοm/εϖεντσ/χαλλαν χολλεγε ιντρο ορ χονταχτ Κατηλεεν Χυννιε: / χυννιε χαλλαν.χοm 525 Αττενδεεσ (ον αϖεραγε) οφ τηε Ινστιτυτε σ αννυαλ Νατιοναλ Χονφερενχε 50+ Υνιθυε πιεχεσ οφ ρεσεαρχη τηε Ινστιτυτε γενερατεσ εαχη ψεαρ 3,500 Τοταλ αττενδεεσ οφ τηε Χαλλαν Χολλεγε σινχε Ψεαρ τηε Χαλλαν Ινστιτυτε ωασ φουνδεδ Wε τηινκ τηε βεστ ωαψ το λεαρν σοmετηινγ ισ το τεαχη ιτ. Εντρυστινγ χλιεντ εδυχατιον το ουρ χονσυλταντσ ανδ σπεχιαλιστσ ενσυρεσ τηατ τηεψ ηαϖε α τοταλ χοmmανδ οφ τηειρ συβϕεχτ mαττερ. Τηισ ισ ονε ρεασον ωηψ εδυχατιον ανδ ρεσεαρχη ηαϖε been cornerstones of our irm for more than 40 years. Ron Peyton, Executive Chairman ΧαλλανΛΛΧ Χαλλαν

83 Disclosures Disclosures

84 Quarterly List as of September 30, 2017 List of Callan s Investment Manager Clients Confidential For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Callan is committed to ensuring that we do not consider an investment manager s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list. Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan s Compliance Department. Manager Name 1607 Capital Partners, LLC Aberdeen Asset Management PLC Acadian Asset Management LLC AEGON USA Investment Management AEW Capital Management Affiliated Managers Group, Inc. Alcentra AllianceBernstein Allianz Global Investors Allianz Life Insurance Company of North America American Century Investments AMP Capital Investors Limited Amundi Smith Breeden LLC Angelo, Gordon & Co. Apollo Global Management AQR Capital Management Ares Management LLC Ariel Investments, LLC Aristotle Capital Management, LLC Artisan Holdings Atlanta Capital Management Co., LLC Aviva Investors Americas AXA Investment Managers Baillie Gifford Overseas Limited Baird Advisors Bank of America Barings LLC Baron Capital Management, Inc. Barrow, Hanley, Mewhinney & Strauss, LLC BlackRock BMO Global Asset Management BNP Paribas Investment Partners BNY Mellon Asset Management Boston Partners Brandes Investment Partners, L.P. Brandywine Global Investment Management, LLC Manager Name Brigade Capital Management, LP Brown Brothers Harriman & Company Cambiar Investors, LLC Capital Group CastleArk Management, LLC Causeway Capital Management CBRE Global Investors Chartwell Investment Partners ClearBridge Investments, LLC Cohen & Steers Capital Management, Inc. Columbia Management Investment Advisers, LLC Columbus Circle Investors Conning Asset Management Company Corbin Capital Partners, L.P. Cornerstone Capital Management Cramer Rosenthal McGlynn, LLC Credit Suisse Asset Management Crestline Investors, Inc. D.E. Shaw Investment Management, L.L.C. DePrince, Race & Zollo, Inc. Deutsche Asset Management Diamond Hill Capital Management, Inc. Dimensional Fund Advisors LP Doubleline Duff & Phelps Investment Mgmt. Co. Eagle Asset Management, Inc. EARNEST Partners, LLC Eaton Vance Management Epoch Investment Partners, Inc. Fayez Sarofim & Company Federated Investors Fidelity Institutional Asset Management Fiera Capital Corporation First Eagle Investment Management, LLC First Hawaiian Bank Wealth Management Division Fisher Investments Knowledge. Experience. Integrity. Page 1 of 2

85 Manager Name Franklin Templeton Franklin Templeton Institutional Fred Alger Management, Inc. Fuller & Thaler Asset Management, Inc. GAM (USA) Inc. GMO Goldman Sachs Asset Management Goodwin Capital Advisers Guggenheim Investments Guggenheim Partners Asset Management GW&K Investment Management Harbor Capital Group Trust Hartford Funds Hartford Investment Management Co. Heitman LLC Henderson Global Investors Holland Capital Management Hotchkis & Wiley Capital Management, LLC HSBC Global Asset Management Income Research + Management, Inc. Insight Investment Management Limited INTECH Investment Management, LLC Invesco Investec Asset Management Ivy Investments Janus Capital Management, LLC Jarislowsky Fraser Global Investment Management Jensen Investment Management Jobs Peak Advisors Johnson Institutional Management J.P. Morgan Asset Management J.P. Morgan Chase & Company Kayne Anderson Capital Advisors LP KeyCorp Lazard Asset Management Legal & General Investment Management America Lincoln National Corporation LM Capital Group, LLC LMCG Investments, LLC Longview Partners Loomis, Sayles & Company, L.P. Lord Abbett & Company Los Angeles Capital Management LSV Asset Management MacKay Shields LLC Macquarie Investment Management (formerly Delaware Investments) Man Investments Inc. Manulife Asset Management McKinley Capital Management, LLC MFS Investment Management MidFirst Bank Mondrian Investment Partners Limited Montag & Caldwell, LLC Morgan Stanley Investment Management Mountain Lake Investment Management LLC MUFG Union Bank, N.A. Neuberger Berman Newton Investment Management (fka Newton Capital Mgmt) Nicholas Investment Partners Manager Name Nikko Asset Management Co., Ltd. Northern Trust Asset Management Nuveen Investments, Inc. OFI Global Asset Management Old Mutual Asset Management O Shaughnessy Asset Management, LLC Pacific Investment Management Company Parametric Portfolio Associates Peregrine Capital Management, Inc. PGIM PGIM Fixed Income PGIM Real Estate PineBridge Investments Pioneer Investments PNC Capital Advisors, LLC PPM America Principal Global Investors Private Advisors, LLC Putnam Investments, LLC QMA (Quantitative Management Associates) RBC Global Asset Management Regions Financial Corporation RidgeWorth Capital Management, Inc. Rockefeller & Co., Inc. Rockpoint Group Rothschild Asset Management, Inc. Russell Investments Santander Global Facilities Schroder Investment Management North America Inc. Smith, Graham & Co. Investment Advisors, L.P. Smith Group Asset Management Standard Life Investments Limited Standish State Street Global Advisors Stone Harbor Investment Partners, L.P. T. Rowe Price Associates, Inc. Taplin, Canida & Habacht Teachers Insurance & Annuity Association of America The Boston Company Asset Management, LLC The Guardian Life Insurance Company of America The Hartford The Lionstone Group The London Company The TCW Group, Inc. Thompson, Siegel & Walmsley LLC Thornburg Investment Management, Inc. Tri-Star Trust Bank UBS Asset Management Van Eck Global Versus Capital Group Victory Capital Management Inc. Vontobel Asset Management, Inc. Voya Financial Voya Investment Management (fka ING) WCM Investment Management WEDGE Capital Management Wellington Management Company, LLP Wells Capital Management Western Asset Management Company William Blair & Company Knowledge. Experience. Integrity. Page 2 of 2 September 30, 2017

86 September 30, 2017 Tucson Supplemental Retirement System Investment Measurement Service Quarterly Review The following report was prepared by Callan using information from sources that include the following: fund trustee(s); fund custodian(s); investment manager(s); Callan computer software; Callan investment manager and fund sponsor database; third party data vendors; and other outside sources as directed by the client. Callan assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by any information providers external to Callan. Reasonable care has been taken to assure the accuracy of the Callan database and computer software. Callan does not provide advice regarding, nor shall Callan be responsible for, the purchase, sale, hedge or holding of individual securities, including, without limitation securities of the client (i.e., company stock) or derivatives in the client s accounts. In preparing the following report, Callan has not reviewed the risks of individual security holdings or the conformity of individual security holdings with the client s investment policies and guidelines, nor has it assumed any responsibility to do so. Advice pertaining to the merits of individual securities and derivatives should be discussed with a third party securities expert. Copyright 2017 by Callan.

87 Table of Contents September 30, 2017 Market Overview Capital Markets Review 1 Active Management Overview Market Overview 18 Domestic Equity 19 International Equity 20 Domestic Fixed Income 21 Total Fund Actual Asset Allocation vs Target 24 Asset Allocation Across Investment Managers 25 Investment Manager Returns - Gross 26 Investment Manager Returns - Net 32 Total Fund Attribution 38 Total Fund Performance 43 Total Fund vs. Target Risk Analysis 45 Total Fund Projected Risk Analysis 46 Domestic Equity Domestic Equity 48 Large Cap Equity 53 Alliance S&P 500 Index 58 PIMCO StocksPLUS 64 BlackRock Russell 1000 Value 67 T. Rowe Price Large Cap Growth 73 Small/Mid Cap Equity 79 Champlain Mid Cap 85 FIAM Small Cap 91 International Equity International Equity 98 Causeway International Opportunities 104 Aberdeen EAFE Plus 110 American Century Non-US SC 116 Fixed Income Fixed Income 123 BlackRock U.S. Debt Fund 126 PIMCO Fixed Income 129

88 Table of Contents September 30, 2017 Real Estate Real Estate 135 JP Morgan Strategic Property Fund 138 JP Morgan Income and Growth Fund 141 Infrastructure Infrastructure 145 Macquarie European Infrastructure 146 SteelRiver Infrastructure North America 147 Definitions 148 Callan Research/Education 157 Disclosures 160

89 Market Overview Capital Markets Review Market Overview Capital Markets Review

90 ΧΑΛΛΑΝ ΙΝΣΤΙΤΥΤΕ Χαπιταλ Μαρκετ Ρεϖιεω Τηιρδ Θυαρτερ 2017 Wηψ Σο Σαδ? Μαναγινγ Ρισκ Wηιλε Ηυντινγ φορ Ρετυρνσ Υπ, Υπ, Υπ, ανδ Αωαψ φορ Γλοβαλ Στοχκσ Ηεαλτηψ Ρισκ Αππετιτε Dροϖε Ψιελδσ ΕΧΟΝΟΜΨ Τηε δισχοννεχτ σηαρπ 2 ενεδ ιν τηε θυαρτερ βε ΠΑΓΕ τωεεν τηε στατε οφ τηε εχονοmψ, ωηιχη ισ πρεττψ γοοδ, ανδ σεντιmεντ, ωηιχη ισ νοτ σο γοοδ. Γλοβαλ γεοπολιτιχαλ υπηεαϖαλ δοmι νατεσ τηε νεωσ χψχλε. Βυτ τηε ωορλδ εχονοmψ ισ ιν mυχη βεττερ σηαπε τηαν τηισ σεντιmεντ mιγητ συγγεστ. ΦΥΝD ΣΠΟΝΣΟΡ Ενδοωmεντσ ανδ φουν 4 δατιονσ περφορmεδ βεστ ΠΑΓΕ οϖερ τηε ονε ψεαρ περιοδ ενδινγ ωιτη τηε τηιρδ θυαρτερ, ωηιλε Ταφτ Ηαρτλεψ πλανσ συρπασσεδ οτηερ γρουπσ οϖερ τηε παστ τηρεε ανδ ive-year periods. Corporate plans διδ βεστ οϖερ α 10 ψεαρ περιοδ. ΕΘΥΙΤΨ 6 ΠΑΓΕ Τηε Σ&Π 500, Ρυσσελλ 2000, ανδ Νασδαθ Χοmποσιτε αλλ ηιτ ρεχορδ highs on the inal trading day of the θυαρτερ. Νον Υ.Σ. δεϖελοπεδ εθυιτψ ουτπερφορmεδ τηε Υ.Σ. φορ τηε τηιρδ χονσεχυτιϖε θυαρτερ; εmεργινγ mαρ κετσ ουτπερφορmεδ δεϖελοπεδ ονεσ, αλσο φορ τηε τηιρδ στραιγητ θυαρτερ. ΦΙΞΕD ΙΝΧΟΜΕ Global ixed income mar 9 κετσ γενεραλλψ περφορmεδ ΠΑΓΕ ωελλ ιν τηε τηιρδ θυαρτερ. Moderate growth and inlation kept λονγ τερm ρατεσ λοω ανδ ρανγε βουνδ ιν τηε Υ.Σ. Ρατεσ ωερε αλσο λοω ουτσιδε τηε Υ.Σ., βυτ δολλαρ ωεακνεσσ βοοστεδ ρετυρνσ, εσπε χιαλλψ φορ εmεργινγ mαρκετ δεβτ. Βεστ Λοχατιον? Ευροπε Τηεσε Dαψσ ΠΕ Μαρκετ Σεεσ Γολδεν Ερα Κιχκιν Ιτ ωιτη Ρισκ Στρονγεστ Φιρστ Ηαλφ ιν DΧ Ινδεξ Ηιστορψ ΡΕΑΛ ΕΣΤΑΤΕ Τηε ΝΧΡΕΙΦ Προπερτψ 11 Ινδεξ νοτχηεδ 35 στραιγητ ΠΑΓΕ θυαρτερσ οφ γαινσ, ωηιλε τηε NCREIF Open End Diversiied Χορε Εθυιτψ Ινδεξ ρεβουνδεδ φροm λαστ θυαρτερ σ σεϖεν ψεαρ λοω. Ευροπε ωασ τηε στρονγεστ περφορm ινγ ρεγιον, ωιτη τηε ΦΤΣΕ ΕΠΡΑ/ ΝΑΡΕΙΤ Ευροπε Ινδεξ υπ 4.8%. ΠΡΙςΑΤΕ ΕΘΥΙΤΨ Λοω ϖολατιλιτψ ανδ γεντλψ 13 ρισινγ mαρκετσ φοστερεδ ΠΑΓΕ ονγοινγ Γολδεν Ερα χονδιτιονσ ιν τηε πριϖατε εθυιτψ mαρκετ. Φυνδραισινγ ισ ον παχε το βεστ λαστ ψεαρ σ ποστ ΓΦΧ ηιγη; βυψουτ ανδ ϖεντυρε ινϖεστmεντσ σλοωεδ σλιγητλψ βυτ δολλαρ ϖολυmε ρεmαινεδ ηεαλτηψ. ΗΕDΓΕ ΦΥΝDΣ DΕΦΙΝΕD ΧΟΝΤΡΙΒΥΤΙΟΝ Τηε Χρεδιτ Συισσε Τηε Χαλλαν DΧ Ινδεξ 14 Ηεδγε Φυνδ Ινδεξ ροσε 15 ροσε 3.1% δυρινγ τηε σεχ ΠΑΓΕ 1.8% ιν τηε θυαρτερ, ωηιλε ΠΑΓΕ ονδ θυαρτερ ανδ ισ νοω τηε mεδιαν mαναγερ ιν τηε Χαλλαν Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε αδϖανχεδ 2.. Τηε mεδιαν Χαλλαν Λονγ/Σηορτ Εθυιτψ ΦοΦ (+3.1%) ηανδιλψ βεατ τηε Χαλλαν Αβσολυτε Ρετυρν ΦΟΦ (+1.8%). υπ 7.9% ψεαρ το δατε ιτσ στρονγεστ irst-half performance since its 2006 ινχεπτιον. Στιλλ, τηε Ινδεξ τραιλεδ τηε τψπιχαλ Αγε 45 Ταργετ Dατε Φυνδ, υπ 3.7% ιν τηε σεχονδ θυαρτερ ανδ 9.4% in the irst half. Βροαδ Μαρκετ Θυαρτερλψ Ρετυρνσ Υ.Σ. Εθυιτψ Ρυσσελλ 3000 Νον Υ.Σ. Εθυιτψ ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Υ.Σ. Φιξεδ Ινχοmε Βλοοmβεργ Βαρχλαψσ Αγγ Νον Υ.Σ. Φιξεδ Ινχοmε Βλοοmβεργ Βαρχλαψσ Γβλ εξ ΥΣ +4.6% +6.2% +0.8% +2.5% Sources: Bloomberg Barclays, MSCI, Russell Investment Group Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ.

91 Wηψ Σο Σαδ? ΕΧΟΝΟΜΨ ϑαψ Κλοεπφερ Τηε δισχοννεχτ σηαρπενεδ ιν τηε τηιρδ θυαρτερ οφ 2017 βετωεεν τηε στατε οφ τηε υνδερλψινγ εχονοmψ, ωηιχη ισ πρεττψ γοοδ, ανδ σεντιmεντ, ωηιχη ισ νοτ σο γοοδ, τεετερινγ ον δοωνριγητ γλοοmψ. Θυαρτερλψ Ρεαλ ΓDΠ Γροωτη 8% 6% (20 Ψεαρσ) Γεοπολιτιχαλ υπηεαϖαλ αχροσσ τηε γλοβε δοmινατεδ τηε νεωσ cycle, feeding anxieties about the future of monetary and is cal policy, taxes, trade, and conlict. Tension remained high ωιτη Νορτη Κορεα ανδ χοντινυεδ το εσχαλατε ωιτη Ρυσσια. Ριχηλψ πριχεδ χαπιταλ mαρκετσ σπυρρεδ χονχερνσ αβουτ αν ινεϖιταβλε χορρεχτιον. Χοmπαρισονσ το τηε πρε Γλοβαλ Φινανχιαλ Χρισισ (ΓΦΧ) περιοδ ιν 2007, το βεφορε τηε Dοτ Χοm Βυββλε ιν 2000, ανδ παρτιχυλαρλψ το 1987 βεφορε τηε 2 ονε δαψ δροπ ιν τηε Υ.Σ. στοχκ mαρκετ αβουνδ. Τηεν τωο ηυρριχανεσ οφ ηιστοριχ προπορ τιονσ σλαmmεδ τηε Χαριββεαν, τηε Γυλφ οφ Μεξιχο, ανδ τηε Υ.Σ. mαινλανδ ωιτηιν α χουπλε ωεεκσ οφ εαχη οτηερ ιν Σεπτεmβερ. Στεππινγ βαχκ φροm τηε χονϕεχτυρε ανδ ηανδ ωρινγινγ, τηε στατε οφ τηε γλοβαλ εχονοmψ ασ ωε ηεαδ ιντο τηε φουρτη θυαρτερ οφ 2017 ισ mυχη βεττερ τηαν τηισ γενεραλ σεντιmεντ mιγητ συγ γεστ. Ινϖεστορσ αρε χερταινλψ λεσσ χονχερνεδ αβουτ τηε εχονοmψ τηαν τηε νεωσ ωουλδ λεαδ υσ το βελιεϖε. Τηε Υ.Σ. εχονοmψ ηασ αχτυαλλψ γατηερεδ mοmεντυm ασ 2017 προγρεσσεδ. Αφτερ α ρελα tively weak irst quarter (1.4% growth), GDP was revised up to 3.1% ιν τηε σεχονδ θυαρτερ ανδ γρεω αν αστουνδινγ 3. ιν τηε τηιρδ θυαρτερ αφτερ αχχουντινγ φορ τηε ιmπαχτ οφ Ηαρϖεψ ανδ Irma. Without the hurricanes, real GDP would likely have seen α ροβυστ γαιν ιν εξχεσσ οφ 4%, περηαπσ ασ στρονγ ασ 4.5%. Ινιτιαλ εστιmατεσ φορ φουρτη θυαρτερ γροωτη αρε εθυαλλψ λοφτψ. Wηατ γιϖεσ? Ισ τηισ γροωτη σπυρτ τηε λαστ, εξυβεραντ γασπ βεφορε τηε εχονοmψ χολλαπσεσ φροm εξηαυστιον? Φιρστ ανδ φορεmοστ, ωε σηουλδ ρεχαλλ τηατ εξπανσιονσ δο νοτ διε οφ ολδ αγε; τηεψ τψπι χαλλψ εξπιρε υνδερ τηε ωειγητ οφ ιmβαλανχεσ ιν σπενδινγ ϖερσυσ ινχοmε, α ρυν υπ ιν δεβτ, α βυιλδ υπ ιν ινϖεντορψ φορ δεmανδ τηατ ωανεσ, ορ οϖερ βυιλδινγ φορ εχονοmιχ αχτιϖιτψ τηατ δοεσν τ materialize. These imbalances are obvious in hindsight but difi χυλτ το σποτ ιν τηε mοmεντ. Τηε χυρρεντ χψχλε ισ παρτιχυλαρλψ ηαρδ το πιν δοων; τηε εξπανσιον mαψ βε γεττινγ λονγ ιν τηε τοοτη 4% 2% -2% -4% -6% -8% Source: Bureau of Economic Analysis Inlation Year-Over-Year 2 15% 1 5% -5% -1-15% CPI (All Urban Consumers) after more than seven years, but the GDP gains since the GFC (2.2% περ ψεαρ) αρε συβσταντιαλλψ λοωερ τηαν τηοσε ενϕοψεδ ιν previous recoveries (above 3%). Consumers spent the irst sev εραλ ψεαρσ φολλοωινγ τηε ΓΦΧ δελεϖεραγινγ, ωηετηερ ϖολυνταριλψ ορ ινϖολυνταριλψ. Βυσινεσσεσ ηαϖε βεεν περσιστεντλψ ρελυχταντ το ινϖεστ ιν χαπιταλ, εξχεπτ περηαπσ φορ εθυιπmεντ ρεπλαχεmεντ ανδ τεχηνολογψ. PPI (All Commodities) Source: Bureau of Labor Statistics 2

92 Υ.Σ. ΕΧΟΝΟΜΨ (Χοντινυεδ) Consumer spending is inally leading GDP growth, fueled by τιγητ λαβορ mαρκετσ, α λονγ αωαιτεδ νυδγε υπωαρδ ιν ωαγεσ ανδ σαλαριεσ, ανδ ιν α περηαπσ λεσσ σανγυινε δεϖελοπmεντ, α ρενεωεδ ιντερεστ ιν ανδ αβιλιτψ το βορροω. Wηιλε mορτγαγε δεβτ ισ still more dificult to obtain than pre-gfc, consumer credit as a περχενταγε οφ δισποσαβλε ινχοmε ηασ ρεγαινεδ ιτσ πρε ΓΦΧ πεακ of 24% and then some, reaching past 26% in the third quarter of Business spending is also inally accelerating after years of its and starts. The ISM Report on Business for September σηοωσ στρενγτη αχροσσ αλmοστ αλλ mεασυρεσ οφ mανυφαχτυρινγ and non-manufacturing activity. The Purchasing Managers Index came in at 58.8 in August and 60.8 in September, well αβοϖε 50, τηε διϖιδινγ λινε βετωεεν εξπανσιον ανδ χοντραχτιον. Τηε νεω ορδερσ, προδυχτιον, ανδ εmπλοψmεντ ινδιχεσ αρε εϖεν στρονγερ, ανδ χουπλεδ ωιτη α σηαρπ δεχλινε ιν ινϖεντοριεσ φολλοω ινγ τηε ηυρριχανεσ, αχτιϖιτψ ισ ποισεδ το βε εϖεν στρονγερ ιν τηε φουρτη θυαρτερ. Τηε συσταιναβιλιτψ οφ τηε 2017 βυρστ ιν γροωτη ωιλλ χερταινλψ φαλλ under scrutiny. Hopes for near-term iscal stimulus in the U.S. αρε διmινισηεδ, ανδ τιγητ λαβορ mαρκετσ συγγεστ λιmιτεδ ποτεντιαλ φορ φυρτηερ γροωτη φροm τηε εξιστινγ σετ οφ λαβορ ανδ χαπιταλ ινπυτσ αϖαιλαβλε ιν τηε Υ.Σ. εχονοmψ. Outside the U.S., euro zone GDP for the second quarter was ρεϖισεδ υπωαρδσ το 2.3% φροm 1.7%, ανδ πρελιmιναρψ δατα συππορτ χοντινυεδ ιmπροϖεmεντ ιν τηε τηιρδ θυαρτερ. Τηε λονγ αωαιτεδ ρεσπονσε το τηε στιmυλυσ αππεαρσ το ηαϖε αρριϖεδ. Ιν China, annual growth increased by 6.9% in the second quarter, identical to the irst quarter and slightly ahead of expectations. Initial data on industrial production and investment in ixed Τηε Λονγ Τερm ςιεω 2017 Περιοδσ ενδεδ Dεχ. 31, 2016 Ινδεξ 3ρδ Θτρ Ψεαρ 5 Ψρσ 10 Ψρσ 25 Ψρσ Υ.Σ. Εθυιτψ Ρυσσελλ S&P Ρυσσελλ Νον Υ.Σ. Εθυιτψ ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ ΜΣΧΙ Εmεργινγ Μαρκετσ ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Σmαλλ Χαπ Φιξεδ Ινχοmε Βλοοmβεργ Βαρχλαψσ Αγγ Dαψ Τ Βιλλ Βλοοmβεργ Βαρχλαψσ Λονγ Γ/Χ Βλοοmβεργ Βαρχλαψσ Γλ Αγγ εξ ΥΣ Ρεαλ Εστατε NCREIF Property ΦΤΣΕ ΝΑΡΕΙΤ Εθυιτψ Αλτερνατιϖεσ ΧΣ Ηεδγε Φυνδ Cambridge PE* Βλοοmβεργ Χοmmοδιτψ Gold Spot Price Inlation CPI-U *Most recent quarterly data not available. Sources: Bloomberg Barclays, Bloomberg, Credit Suisse, FTSE, MSCI, NCREIF, Russell Investment Group, Standard & Poor s, Thomson Reuters/Cambridge, Bureau of Economic Analysis. ασσετσ ρελεασεδ ιν ϑυλψ ανδ Αυγυστ αρε χονσιστεντ ωιτη α τηιρδ θυαρτερ σλοωδοων. Ροβυστ γαινσ ιν δεϖελοπεδ νον Υ.Σ. ανδ εmεργινγ εθυιτψ mαρκετσ αρε φυελεδ βψ ρενεωεδ οπτιmισm, ορ ατ λεαστ ρεδυχεδ σκεπτιχισm, αβουτ γροωτη προσπεχτσ ιν mανψ mαρκετσ αρουνδ τηε γλοβε. Ρεχεντ Θυαρτερλψ Εχονοmιχ Ινδιχατορσ 3Θ17 2Θ17 1Θ17 4Θ16 3Θ16 2Θ16 1Θ16 4Θ15 Εmπλοψmεντ Χοστ Τοταλ Χοmπενσατιον Γροωτη 2.5% 2.4% 2.4% 2.2% 2.3% 2.3% 1.9% 2. Nonfarm Business Productivity Growth 1.6%* 1.5% 0.1% 1.3% 2.5% 0.8% 1.2% -2.6% GDP Growth % 1.2% 1.8% 2.8% 2.2% 0.6% 0.5% Μανυφαχτυρινγ Χαπαχιτψ Υτιλιζατιον 75.2% 75.7% 75.4% 75.1% 74.9% 75.1% 75.4% 75.4% Consumer Sentiment Index (1966=100) *Estimate. Sources: Bureau of Economic Analysis, Bureau of Labor Statistics, Federal Reserve, IHS Economics, Reuters/University of Michigan. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 3

93 Μαναγινγ Ρισκ Wηιλε Ηυντινγ φορ Ρετυρνσ ΦΥΝD ΣΠΟΝΣΟΡ Λοω ιντερεστ ρατεσ ανδ λοω ρετυρν εξπεχτατιονσ χοντινυεδ το δριϖε στρατεγιχ αλλοχατιον δισχυσσιονσ φορ φυνδ σπονσορσ. Μανψ φελτ χοmπελλεδ το τακε ον mαρκετ ρισκ το ρεαχη ρετυρν ταργετσ. Σπονσορσ αρε νοω εξαmινινγ ιφ τηερε ισ ανψτηινγ τηεψ χαν δο το ταmπ δοων τηε ρισκ ωιτηιν τηειρ λαργε γροωτη αλλοχατιον σηορτ οφ αχτυαλλψ ρεδυχινγ ιτ. Χαλλαν Φυνδ Σπονσορ Ρετυρνσ φορ τηε Θυαρτερ 6% 4% 2% Φορ ινστανχε, το οφφσετ ρισκ ιν α χρισισ σιτυατιον, πλανσ ηαϖε εξαmινεδ στρατεγιεσ ινχλυδινγ Τρεασυρψ βονδ αλλοχατιονσ, mοmεντυm, mυλτι ασσετ χλασσ (ΜΑΧσ), ανδ εϖεν γολδ. These discussions, as we have noted before, turn diversiica τιον ον ιτσ ηεαδ: Ινϖεστορσ αρε λοοκινγ φορ ινϖεστmεντσ ωιτη σιm ιλαρ υνδερλψινγ ρετυρν φαχτορσ (ιν τηισ χασε εθυιτψ) ωηιλε σεεκ ing at least some diversiication to smooth the ride within that λαργε γροωτη αλλοχατιον. Α βροαδερ γροωτη αλλοχατιον χαν τηεν χονσιδερ ινϖεστmεντσ λικε ηιγη ψιελδ, χονϖερτιβλεσ, λοω ϖολατιλ ιτψ εθυιτψ, ηεδγε φυνδσ, ΜΑΧσ, ανδ οπτιον βασεδ στρατεγιεσ. Τηισ αππροαχη αλσο αλλοωσ φορ νεω στρατεγιεσ το βε βρουγητ into the fold, based on prospective diversiication or return ενηανχεmεντ. Τηε βροαδενινγ οφ γροωτη ασσετσ οφτεν λεαδσ Public Corporate Endow/Fndn Taft-Hartley Database Database Database Database 10th Percentile th Percentile Median th Percentile th Percentile Source: Callan to a sharper focus on reining ixed income exposure to gain a πυρερ εξποσυρε το ιντερεστ ρατεσ. Ιν αδδιτιον, τηε αχτιϖε/πασσιϖε δισχυσσιον χοντινυεσ το λοοm λαργε. Τηε αργυmεντ το ρεταιν αχτιϖε το προτεχτ ιν α δοων mαρκετ ανδ βε νιmβλε ιν α ϖολατιλε, λοω ρετυρν ενϖιρονmεντ ισ χοmπελλινγ, βυτ πλαν σπονσορσ αρε ωεαρψ οφ ηιστοριχαλ Χαλλαν Φυνδ Σπονσορ Αϖεραγε Ασσετ Αλλοχατιον 2. U.S. Equity Non-U.S. Equity Global Equity U.S. Fixed Non-U.S. Fixed U.S. Balanced Global Balanced Real Estate Hedge Funds Other Alternatives Cash 0.8% 19.8% 0.5% % 2.1% 1.7% 3.3% Endowment/ Foundation 3.67%* 18.8% 34.6% 1.6% 0.3% 0.9% *Latest median quarter return. Note: charts may not sum to 10 due to rounding. Source: Callan 26.2% 2.2% 2.4% Public 3.48%* 1.2% 16.8% % 0.5% 3.7% 26.4% 0.2% 0.7% 11.4% 4. Taft-Hartley 3.35%* 12.1% 2.1% 36.8% 1.5% 1.7% % 0.7% 39.5% 3.2% 2.1% Corporate 3.29%* 4.4% 27.4% 14.5% 4

94 ΦΥΝD ΣΠΟΝΣΟΡ (Χοντινυεδ) υνδερπερφορmανχε ιν αχτιϖελψ mαναγεδ εθυιτψ. Ανδ τιεδ το τηατ δισχυσσιον ισ τηε υσε οφ πασσιϖε mαναγεmεντ το χοντρολ χοστσ. For deined contribution (DC) plans, regulations, lawsuits, and ιmπλεmεντατιον αρε δριϖινγ φαχτορσ φορ τηε δεχισιον mακινγ προχεσσ. Σοmε οφ τηισ χονϖερσατιον ηασ λεδ το νεγοτιατινγ α reduction of fees for the plans, in some cases to a signiicant εξτεντ. Ηειγητενεδ φεε σενσιτιϖιτψ ανδ λιτιγατιον ηαϖε ρεσυλτεδ ιν λιττλε τραχτιον φορ νον τραδιτιοναλ ασσετ χλασσεσ συχη ασ λιθυιδ αλτερνατιϖεσ. Target date funds (TDFs) dominate asset lows in DC plans; τηεψ νοω αχχουντ φορ αλmοστ 3 οφ DΧ ασσετσ, αχχορδινγ το τηε Χαλλαν DΧ Ινδεξ. ΤDΦσ ηαϖε ρεχειϖεδ αν αϖεραγε οφ 71% of lows into DC plans over the last three years. Over the last ive years, Callan has seen several trends in ασσετ αλλοχατιον βψ διφφερεντ τψπεσ οφ φυνδ σπονσορσ: Corporate funds: The range of U.S. ixed income allocations ηασ ωιδενεδ, ασ τηεσε σπονσορσ αρε ιν διφφερεντ σταγεσ οφ εφφορτσ το δε ρισκ. Public funds: Many have increased their allocation to non- U.S. equity and real estate at the expense of ixed income. Capital market return expectations have created a dificult ενϖιρονmεντ φορ τοταλ ρετυρν ινϖεστορσ. Ενδοωmεντσ ανδ φουνδατιονσ: Τηεψ χοντινυε το mοϖε assets from ixed income to asset classes with expectations φορ ηιγηερ ρετυρνσ. Γλοβαλ εθυιτψ, νον Υ.Σ. εθυιτψ, ανδ ρεαλ estate have all beneited from this shift. Τηε περφορmανχε βψ φυνδ σπονσορσ χοντινυεδ το βε ροβυστ. Οϖερ τηε ονε ψεαρ ενδινγ ωιτη τηε τηιρδ θυαρτερ, ονλψ χορπο ρατε σπονσορσ διδ νοτ εξχεεδ τηε 10.9% ρετυρν οφ α θυαρτερλψ rebalanced 6 S&P 500/4 Bloomberg Barclays Aggregate πορτφολιο. Ενδοωmεντσ ανδ φουνδατιονσ περφορmεδ βεστ οϖερ τηατ ονε ψεαρ περιοδ, ωηιλε χορπορατε πλανσ διδ βεστ οϖερ α 10 ψεαρ περιοδ. Ταφτ Ηαρτλεψ πλανσ ωερε τηε βεστ περφορmινγ group over the past three and ive years, partially due to a λαργερ ηοmε χουντρψ βιασ. Χαλλαν Πυβλιχ Φυνδ Dαταβασε Αϖεραγε Ασσετ Αλλοχατιον (10 Ψεαρσ) Cash Other Alternatives Hedge Funds Real Estate Global Balanced U.S. Balanced Non-U.S. Fixed U.S. Fixed Global Equity Non-U.S. Equity U.S. Equity Source: Callan. Callan s database includes the following groups: public deined beneit, corporate deined beneit, endowments/foundations, and Taft-Hartley plans. Approximately 1 to 15% of the database constituents are Callan s clients. All database group returns presented gross of fees. Past performance is no guarantee of future results. Reference to or inclusion in this report of any product, service, or entity should not be construed as a recommendation, approval, ailiation, or endorsement of such product, service, or entity by Callan. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 5

95 Γλοβαλ Εθυιτψ Υ.Σ. Στοχκσ: Τηε Εϖερψτηινγ Ραλλψ Μαρχηεδ Ον +4.6% ΡΥΣΣΕΛΛ 3000 Τηε Γολδιλοχκσ ενϖιρονmεντ ( Νοτ τοο ηοτ, νοτ τοο χολδ, βυτ ϕυστ ριγητ ) ανδ ινϖεστορ χοmπλαχενχψ χοντινυεδ το κεεπ ϖολατιλιτψ ατ mυλτι δεχαδε λοωσ ανδ προπελ στοχκ mαρκετσ το νεω ηιγησ, ιν σπιτε οφ εσχαλατινγ τενσιονσ ωιτη Νορτη Κορεα, σεϖεραλ σεϖερε νατυραλ δισαστερσ, ανδ υνχερταιντψ αρουνδ τηε προσπεχτσ φορ ταξ ρεφορm ανδ οτηερ Υ.Σ. δοmεστιχ αγενδα ιτεmσ. Τηε Σ&Π 500 Ινδεξ, Ρυσσελλ 2000 Ινδεξ, ανδ Νασδαθ Χοmποσιτε Ινδεξ αλλ ηιτ ρεχορδ ηιγησ on the inal trading day of the quarter. It was the Nasdaq s 50th ρεχορδ χλοσε τηισ ψεαρ. Στοχκσ, βονδσ, ανδ χοmmοδιτιεσ αλικε ρεωαρδεδ ινϖεστορσ ιν ωηατ σ βεεν χοινεδ τηε εϖερψτηινγ ραλλψ, mαρκεδ βψ ιτσ συρπρισ ινγλψ λοω ϖολατιλιτψ. Εϖεν χαση ισ υπ φροm ιτσ δισmαλ δαψσ ανδ ποστεδ α +0.3% θυαρτερλψ ρεσυλτ. Ινϖεστορσ αττεντιον ρεmαινεδ φοχυσεδ ον τηε ηοπεφυλ προmισε οφ ταξ ρεφορm αλονγ ωιτη τηε γενεραλλψ υπβεατ πιχτυρε οφ τηε Υ.Σ. εχονοmψ. Βυτ χοντραριανσ θυεστιον ωηερε λονγερ τερm αλπηα χαν βε φουνδ αmιδ στρετχηεδ εθυιτψ ϖαλυατιονσ. The Tech (+8.6%) and Energy (+6.8%) sectors led the S&P 500 (+4.5%). Τηε γλοβαλλψ δοmιναντ Τεχη ναmεσ (τηε σο χαλλεδ ΦΑΑΜΓ στοχκσ, ορ Φαχεβοοκ, Αmαζον, Αππλε, Μιχροσοφτ, ανδ Γοογλε) χοντινυεδ το δριϖε ρεσυλτσ ιν τηε σεχτορ, ωηιχη νοω accounts for 23% of the S&P 500 and 38% of the Ρυσσελλ 1000 Γροωτη Ινδεξ. Τεχη αλονε ηασ αχχουντεδ φορ αππροξιmατελψ 4 of the S&P 500 s return year-to-date, with key drivers being στρονγ εαρνινγσ ρεπορτσ, ινχρεασινγ mαρκετ σηαρε, ανδ προδ υχτ ιννοϖατιον. Ρεχορδ ηιγη ϖαλυατιονσ φορ σεϖεραλ χοmπανιεσ raised concern over their inluence on the overall performance οφ τηε Ινδεξ σηουλδ α χορρεχτιον οχχυρ. Τηε Ενεργψ σεχτορ χοντινυεδ το σεε σιγνσ οφ ινχρεmενταλ ιmπροϖεmεντ δυρινγ τηε θυαρτερ δυε το α βαχκδροπ οφ ιmπροϖ ινγ συππλψ ανδ δεmανδ. Χονσυmερ Σταπλεσ ( 1.3%) ωασ τηε σολε σεχτορ το δελιϖερ α νεγατιϖε ρεσυλτ ασ mοmεντυm οριεντεδ στοχκσ ανδ σεχτορσ γαρνερεδ φαϖορ. Σmαλλ χαπ στοχκσ ουτπερφορmεδ λαργε χαπ. Ιν αδδιτιον, γροωτη ουτπερφορmεδ ϖαλυε (Ρυσσελλ 1000 Γροωτη: +5.9% ϖσ. Ρυσσελλ 1000 ςαλυε: +3.1%; Ρυσσελλ 2000 Γροωτη: +6.2% vs. Ρυσσελλ 2000 ςαλυε: +5.1%). Βιοτεχη (+14.5%) ανδ α συργε ιν σmαλλ Θυαρτερλψ Περφορmανχε οφ Σελεχτ Σεχτορσ Russell 1000 Russell % 8.8% % 6.8% 5.4% 5.5% 6.3% 5.2% % 4.3% 3.3% 3.4% % 1.5% -2. Technology Energy Materials & Processing Producer Durables Financial Services Utilities Health Care Consumer Discretionary Consumer Staples Source: Russell Investment Group 6

96 ΓΛΟΒΑΛ ΕΘΥΙΤΨ (Χοντινυεδ) Υ.Σ. Εθυιτψ: Θυαρτερλψ Ρετυρνσ the laggard. Investor behavior has had a meaningful inluence ον ρεσυλτσ ασ ινϖεστορσ τενδ το προϕεχτ τηειρ οπτιmισm αχροσσ τηε Russell % βροαδ mαρκετ ανδ χηασε mοmεντυm δυρινγ περιοδσ οφ στρενγτη. Russell 1000 Russell 1000 Growth Russell 1000 Value S&P 500 Russell Midcap Russell 2500 Russell % 3.5% 4.5% 4.5% 4.7% 5.9% 5.7% Γλοβαλ Στοχκσ: Στρονγερ Ουτσιδε τηε Υ.Σ. +6.2% ΜΣΧΙ ΑΧWΙ ΕΞ ΥΣΑ Νον Υ.Σ. δεϖελοπεδ εχονοmιεσ χον τινυεδ το γαιν τραχτιον. Σεχονδ θυαρ ter GDP growth in the euro zone was 2.3% (ψεαρ οϖερ ψεαρ) ωιτη χονσυmερ conidence and demand both showing strength. The euro γαινεδ γρουνδ ϖερσυσ τηε Υ.Σ. δολλαρ ανδ τηε πουνδ χοντινυεδ το στρενγτηεν ον ηαωκιση χοmmεντσ φροm τηε Βανκ οφ Ενγλανδ. Sources: Russell Investment Group and Standard & Poor s Ουτσιδε οφ Ευροπε, ϑαπαν σ εχονοmψ χοντινυεδ το σλοωλψ recover; second quarter GDP growth was 2.5% (annualized). Υ.Σ. Εθυιτψ: Ονε Ψεαρ Ρετυρνσ Wηιλε τηισ ωασ λοωερ τηαν εξπεχτεδ, τηε εχονοmψ ηασ νοω εξπανδεδ φορ σιξ χονσεχυτιϖε θυαρτερσ. Russell % Νον Υ.Σ. δεϖελοπεδ εθυιτψ (ΜΣΧΙ Wορλδ εξ ΥΣΑ: +5.6%) Russell 1000 Russell 1000 Growth Russell 1000 Value S&P % 18.5% 18.6% 21.9% ουτπερφορmεδ τηε Υ.Σ. φορ τηε τηιρδ χονσεχυτιϖε θυαρτερ ασ τηε Ευροπεαν mαρκετ (ΜΣΧΙ Ευροπε: +6.5%) continued to post ποσιτιϖε εχονοmιχ δατα ανδ χορπορατε εαρνινγσ γροωτη ωιτη σοmε σιγνσ οφ πολιτιχαλ σταβιλιτψ. Russell Midcap 15.3% Τηε δολλαρ σ λοσσεσ αγαινστ τηε ευρο στεmmεδ φροm αν υπσιδε Russell 2500 Russell % 20.7% συρπρισε ωιτη Ευροπεαν γροωτη ανδ mαρκετ φριενδλψ ουτχοmεσ ιν Ευροπεαν ελεχτιονσ. Εχονοmιχαλλψ σενσιτιϖε σεχτορσ ουτπερ φορmεδ δεφενσιϖε σεχυριτιεσ. Sources: Russell Investment Group and Standard & Poor s χαπ ϖαλυε ον ταξ ρεφορm νεωσ ιν Σεπτεmβερ βολστερεδ σmαλλ cap stocks during the quarter. Biotech beneited from the eas ινγ οφ πριχινγ ρισκσ ασ ωελλ ασ τηε ΦDΑ σ αππροϖαλ οφ γενετιχσ βασεδ τηεραπευτιχσ. Αλλ σεχτορσ γενερατεδ ποσιτιϖε ρετυρνσ. Ενεργψ ανδ Ματεριαλσ ωερε τηε τοπ τωο περφορmερσ ασ α ρεσυλτ οφ ηιγηερ οιλ ανδ χοm mοδιτψ πριχεσ. WΤΙ ανδ Βρεντ πριχεσ συργεδ βψ 12% ανδ 2, ρεσπεχτιϖελψ, δριϖεν βψ φαϖοραβλε συππλψ ανδ δεmανδ δψναmιχσ. Χοππερ ραλλιεδ 9% δυε το τιγητενινγ συππλψ ανδ ποσιτιϖε εχο νοmιχ δατα φροm Χηινα. Φροm α φαχτορ περσπεχτιϖε, mοmεντυm (+27.5% ΨΤD) ρεmαινεδ τηε τοπ περφορmερ ωηιλε δεφενσιϖε (+8.5% ΨΤD) ωασ ςαλυε ουτπαχεδ γροωτη ασ εχονοmιχαλλψ σενσιτιϖε σεχτορσ ποστεδ στρονγ θυαρτερλψ ρεσυλτσ. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 7

97 ΓΛΟΒΑΛ ΕΘΥΙΤΨ (Χοντινυεδ) Νον Υ.Σ. Εθυιτψ: Θυαρτερλψ Ρετυρνσ (Υ.Σ. Dολλαρ) Νον Υ.Σ. Εθυιτψ: Ονε Ψεαρ Ρετυρνσ (Υ.Σ. Dολλαρ) MSCI ACWI 5.2% MSCI ACWI 18.7% MSCI World 4.8% MSCI World 18.2% MSCI ACWI ex USA 6.2% MSCI ACWI ex USA 19.6% MSCI World ex USA 5.6% MSCI World ex USA 18.7% MSCI ACWI ex USA Small Cap 6.9% MSCI ACWI ex USA Small Cap 19.2% MSCI World ex USA Small Cap 7.3% MSCI World ex USA Small Cap 20.4% MSCI Europe ex UK 6.9% MSCI Europe ex UK 25.4% MSCI UK 5.2% MSCI UK 14.6% MSCI Pacific ex Japan 3.7% MSCI Pacific ex Japan 14.4% MSCI Japan 4. MSCI Japan 14.1% MSCI Emerging Markets 7.9% MSCI Emerging Markets 22.5% MSCI China 14.7% MSCI China 33. MSCI Frontier Markets 8. MSCI Frontier Markets 25.5% Source: MSCI Source: MSCI Εmεργινγ Μαρκετσ: Υπβεατ Σιγνσ Αχροσσ τηε Βοαρδ +7.9% ΜΣΧΙ ΕΜ Εmεργινγ mαρκετσ τοππεδ δεϖελοπεδ mαρκετσ φορ τηε τηιρδ χονσεχυτιϖε θυαρτερ, φυελεδ βψ α σοφτ δολλαρ, σψν χηρονιζεδ γλοβαλ γροωτη, ανδ στρονγ οιλ ανδ χοmmοδιτψ πριχεσ. Βραζιλ ωασ τηε βεστ περφορmινγ χουν try within emerging markets given the hope of achieving iscal ρεφορmσ το σπυρ εχονοmιχ γροωτη. Χηινα χοντινυεδ το φαρε ωελλ with GDP growth of 6.9% exceeding expectations; the Chinese Τεχη ανδ Ρεαλ Εστατε σεχτορσ ωερε τοπ περφορmερσ. Αλλ σεχτορσ ωιτηιν εmεργινγ mαρκετσ ποστεδ ποσιτιϖε ρετυρνσ, λεδ βψ εχονοmιχαλλψ σενσιτιϖε σεχτορσ συχη ασ Ρεαλ Εστατε, Ενεργψ, Ματεριαλσ, ανδ Φινανχιαλσ. Βραζιλιαν ανδ Ρυσσιαν βανκσ συργεδ δυρινγ τηε θυαρτερ, σπυρρεδ βψ ρισινγ οιλ ανδ χοmmοδιτψ πριχεσ ανδ ιmπροϖινγ λενδινγ χονδιτιονσ. Dεσπιτε α στρονγ σηοωινγ βψ ϖαλυε φαχτορσ, γροωτη ανδ mοmεντυm δοmινατεδ τηε mαρκετ γιϖεν τηε ρετυρνσ οφ λαργε χαπ Ασιαν τεχη χοmπανιεσ, ηελπεδ ιν παρτ βψ τηε δεmανδ φορ mοβιλιτψ ανδ χοννεχτιϖιτψ. Νον Υ.Σ. Σmαλλ Χαπ: Μιξεδ Μεσσαγεσ +6.9% ΜΣΧΙ ΑΧWΙ ΕΞ ΥΣΑ ΣΧ Dεϖελοπεδ νον Υ.Σ. σmαλλ χαπ (ΜΣΧΙ Wορλδ εξ ΥΣΑ Σmαλλ Χαπ: +7.3%) ουτπερφορmεδ λαργε χαπ ιν τηε ρισκ ον mαρκετ ενϖιρονmεντ mαρκεδ βψ ιmπροϖινγ εχονοmιχ αχτιϖιτψ ιν Ευροπε. Τηε τοπ τηρεε περφορm ing countries were Germany (+17.), Norway (+16.4%), ανδ Ιταλψ (+13.5%). Αλλ σεχτορσ ποστεδ ποσιτιϖε ρετυρνσ, λεδ βψ Ενεργψ ανδ Τεχηνολογψ. Σmαλλ χαπ (ΜΣΧΙ Εmεργινγ Μαρκετσ Σmαλλ Χαπ: +5.6%) λαγγεδ λαργε χαπ ιν εmεργινγ mαρκετσ δυε το τηε στρονγ περφορ mανχε οφ λαργε χαπ Ασιαν τεχηνολογψ χοmπανιεσ. Τηε τοπ τηρεε performing countries were Peru (+42.8%), Brazil (+31.8%), and Chile (+19.8%), all beneiting from higher oil and commod ιτψ πριχεσ. Γροωτη ουτπερφορmεδ ϖαλυε ιν δεϖελοπεδ σmαλλ χαπ, προπελλεδ βψ οπτιmισm συρρουνδινγ Ευροπεαν γροωτη. Χονϖερσελψ, ϖαλυε ουτπαχεδ γροωτη ιν εmεργινγ mαρκετ σmαλλ χαπ, συππορτεδ βψ ποσιτιϖε οιλ ανδ χοmmοδιτψ πριχεσ. 8

98 Γλοβαλ Φιξεδ Ινχοmε Υ.Σ. Βονδσ: Λοω ςολατιλιτψ Dροϖε Ρετυρνσ +0.8% ΒΒ ΑΓΓΡΕΓΑΤΕ Ψιελδσ ροσε mοδεστλψ, παρτιχυλαρλψ ον τηε σηορτ ενδ οφ τηε Υ.Σ. Τρεασυρψ ψιελδ χυρϖε. Τηε 10 ψεαρ Τρεασυρψ ψιελδ τουχηεδ 2.0 δυρινγ τηε θυαρ τερ ον γεοπολιτιχαλ ρισκσ ρελατεδ το Νορτη Κορεα, βυτ ενδεδ τηε quarter at 2.33%. Moderate growth and inlation kept long-term rates low and range-bound. Volatility in ixed income markets (ασ ωελλ ασ εθυιτιεσ) σατ ατ νεαρ ηιστοριχ λοωσ; τηε οϖεραλλ ρισκ αππετιτε ρεmαινεδ στρονγ. Ανδ ιν γενεραλ, λοωερ ρατεδ χρεδιτσ αγαιν ουτπερφορmεδ ινϖεστmεντ γραδε. Τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. Αγγρεγατε Βονδ Ινδεξ ωασ υπ 0.8% ιν τηε θυαρτερ. Τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. Χορπορατε Βονδ Ινδεξ ροσε 1.3%. Ηιγη ψιελδ χορπορατεσ φαρεδ εϖεν βεττερ, ωιτη τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. Χορπορατε Ηιγη Ψιελδ Βονδ Ινδεξ up 2.. TIPS rebounded from their υνδερπερφορmανχε ιν τηε πρεϖιουσ θυαρτερ. Τηε Βλοοmβεργ Βαρχλαψσ Υ.Σ. ΤΙΠΣ Ινδεξ ροσε 0.9% ανδ τηε 10 ψεαρ βρεακεϖεν σπρεαδ (τηε διφφερενχε βετωεεν νοmιναλ ανδ ρεαλ ψιελδσ) ροσε το 1.84% ασ οφ θυαρτερ ενδ φροm 1.73% ατ τηε ενδ οφ τηε σεχονδ θυαρτερ. Υ.Σ. Τρεασυρψ Ψιελδ Χυρϖεσ September 30, 2017 June 30, 2017 September 30, % 3% 2% 1% Maturity (Years) Source: Bloomberg Χορπορατε χρεδιτ σπρεαδσ τιγητενεδ ον στρονγ δεmανδ ανδ ροβυστ χορπορατε εαρνινγσ. Φινανχιαλσ ανδ Υτιλιτιεσ ωερε τηε λεαδινγ σεχτορσ δυρινγ τηε θυαρτερ. Ηιγη ψιελδ χρεδιτ χοντινυεδ το περφορm ωελλ, αιδεδ βψ τηε ηυντ φορ ψιελδ. Τηε υπωαρδ τρενδ ιν εαρνινγσ αλονγ ωιτη χορπορατε δισχιπλινε ηασ λεδ το τηε ηιγηεστ ρατινγ αγενχψ υπγραδε δοωνγραδε ρατιο σινχε Υ.Σ. Φιξεδ Ινχοmε: Θυαρτερλψ Ρετυρνσ Υ.Σ. Φιξεδ Ινχοmε: Ονε Ψεαρ Ρετυρνσ Bloomberg Barclays Gov/Credit 1-3 Yr 0.3% Bloomberg Barclays Gov/Credit 1-3 Yr 0.7% Bloomberg Barclays Interm Gov/Credit 0.6% Bloomberg Barclays Interm Gov/Credit 0.2% Bloomberg Barclays Aggregate 0.8% Bloomberg Barclays Aggregate 0.1% Bloomberg Barclays Long Gov/Credit 1.5% -0.8% Bloomberg Barclays Long Gov/Credit Bloomberg Barclays Universal 1. Bloomberg Barclays Universal 1. CS Leveraged Loans 1.1% CS Leveraged Loans 5.4% Bloomberg Barclays Corp. High Yield 2. Bloomberg Barclays Corp. High Yield 8.9% Bloomberg Barclays US TIPS 0.9% -0.7% Bloomberg Barclays US TIPS Sources: Bloomberg Barclays and Credit Suisse Sources: Bloomberg Barclays and Credit Suisse Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 9

99 ΓΛΟΒΑΛ ΦΙΞΕD ΙΝΧΟΜΕ (Χοντινυεδ) Τηε mυνιχιπαλ βονδ mαρκετ αλσο περφορmεδ ωελλ; τηε Βλοοmβεργ Βαρχλαψσ Μυνιχιπαλ Βονδ Ινδεξ ρετυρνεδ 1.1% φορ τηε θυαρτερ ανδ τηε σηορτερ δυρατιον 1 10 Ψεαρ Βλενδ Ινδεξ ωασ υπ 0.7%. Γλοβαλ Βονδσ: Μανψ Ρεασονσ το Χηεερ +2.5% ΒΒ ΓΒΛ ΑΓΓ ΕΞ ΥΣ Ρατεσ ωερε αλσο στεαδψ οϖερσεασ, τηουγη δολλαρ ωεακνεσσ βοοστεδ ρετυρνσ. Τηε Βλοοmβεργ Βαρχλαψσ Γλοβαλ Αγγρεγατε Ινδεξ ρετυρνεδ +1.8% (υνηεδγεδ) ϖερσυσ +0.8% φορ τηε ηεδγεδ ϖερσιον. Εmεργινγ mαρκετ δεβτ ποστεδ σολιδ ρετυρνσ. Τηε ϑπμ ΕΜΒΙ Global Diversiied Index ($ denominated) was up 2.6%. Gains ωερε βροαδ βασεδ ωιτη ονλψ βελεαγυερεδ ςενεζυελα ( 11%) δοων. Τηε λοχαλ χυρρενχψ JPM GBI-EM Global Diversiied Ινδεξ increased 3.6%. Returns were mixed for this index, with Brazil (+11%) being the best performer and Argentina s irstεϖερ λοχαλ βονδσ ( 4%) βεινγ τηε ωορστ ον ωορριεσ οϖερ τηε συχχεσσ οφ ρεφορmσ. Χηανγε ιν 10 ψεαρ Γλοβαλ Γοϖερνmεντ Βονδ Ψιελδσ 2Θ17 το 3Θ17 U.S. Treasury 3 bps -1 bps Germany U.K. 11 bps Canada 34 bps -2 bps Japan Source: Bloomberg Barclays Νον Υ.Σ. Φιξεδ Ινχοmε: Θυαρτερλψ Ρετυρνσ Νον Υ.Σ. Φιξεδ Ινχοmε: Ονε Ψεαρ Ρετυρνσ Bloomberg Barclays Global Aggregate 1.8% -1.3% Bloomberg Barclays Global Aggregate Bloomberg Barclays Global Agg (hdg) 0.8% -0.2% Bloomberg Barclays Global Agg (hdg) Bloomberg Barclays Global High Yield 2.8% Bloomberg Barclays Global High Yield 9.3% Bloomberg Barclays Global Agg ex US 2.5% -2.4% Bloomberg Barclays Global Agg ex US JPM EMBI Global Diversified 2.6% JPM EMBI Global Diversified 4.6% JPM GBI-EM Global Diversified 3.6% JPM GBI-EM Global Diversified 7.3% JPM EMBI Gl Div / JPM GBI-EM Gl Div 3.1% JPM EMBI Gl Div / JPM GBI-EM Gl Div 6. JPM CEMBI 2.2% JPM CEMBI 5.9% Sources: Bloomberg Barclays and JP Morgan Sources: Bloomberg Barclays and JP Morgan 10

100 Ευροπε Χοντινυεσ ασ Βεστ Περφορmινγ Ρεγιον ΡΕΑΛ ΕΣΤΑΤΕ Κεϖιν Ναγψ Τηε ΝΧΡΕΙΦ Προπερτψ Ινδεξ αδϖανχεδ 1.7% δυρινγ τηε τηιρδ quarter (1.1% from income and 0.6% from appreciation). This mαρκεδ τηε 35τη χονσεχυτιϖε θυαρτερ οφ ποσιτιϖε ρετυρνσ φορ τηε Ινδεξ. Αππρεχιατιον ρετυρν ρεσυmεδ ιτσ δεχρεασινγ τρενδ αφτερ αν ινχρεασε δυρινγ τηε σεχονδ θυαρτερ. Ινδυστριαλ (+3.3%) ωασ τηε βεστ περφορmινγ σεχτορ φορ τηε σιξτη χονσεχυτιϖε θυαρτερ φολλοωεδ βψ Ηοτελ (+2.3%), Μυλτι Φαmιλψ (+1.7%), and Ofice (+1.4%); Retail (+1.2%) was the worst περφορmερ. Τηε Wεστ ωασ τηε στρονγεστ ρεγιον φορ τηε φουρτη θυαρτερ ιν α ροω, ινχρεασινγ 2.2%, ανδ τηε Εαστ βρουγητ υπ τηε ρεαρ ωιτη α +1.3% ρετυρν. Τρανσαχτιον ϖολυmε ινχρεασεδ το 11.8 βιλλιον, υπ 53% φροm the second quarter and 22% from the third quarter of Αππραισαλ χαπιταλιζατιον ρατεσ φελλ 8 βασισ ποιντσ το 4.39%. Τρανσαχτιον χαπιταλιζατιον συφφερεδ α στεεπερ δεχλινε, φαλλινγ 83 bps to 5.26%. The spread between appraisal and transaction ρατεσ δεχρεασεδ το 87 βπσ. Υ.Σ. ΡΕΙΤσ ανδ ποστεδ α 1.8% ρετυρν. Υ.Σ. ΡΕΙΤσ, ασ mεασυρεδ βψ τηε ΦΤΣΕ ΝΑΡΕΙΤ Εθυιτψ ΡΕΙΤσ Ινδεξ, αδϖανχεδ 0.9% φορ τηε θυαρτερ. Ιν τηε Υ.Σ., ΡΕΙΤσ σταρτεδ τηε θυαρτερ ωιτη α στρονγ ϑυλψ βυτ τηεν συρρενδερεδ mοστ οφ τηε γαινσ ωιτη ποορ σηοωινγσ ιν Αυγυστ ανδ Σεπτεmβερ. Σεχτορσ εξπεριενχινγ στρονγ σεχυλαρ δεmανδ, such as Industrial (+6.5%) and Data Centers (+5.2%), were τηε βεστ περφορmερσ ασ τηε χοντινυεδ ρισε οφ ε χοmmερχε ανδ χλουδ στοραγε προϖιδεδ αmπλε ταιλωινδ. Ηοτελσ (+2.8%) ανδ Σελφ Στοραγε (+4.7%) αλσο διδ ωελλ, βυοψεδ βψ εξπεχτατιονσ οφ inlation and rising interest rates. Health Care (-5.4%) was the ωορστ περφορmινγ σεχτορ. Ευροπε, ασ ρεπρεσεντεδ βψ τηε ΦΤΣΕ ΕΠΡΑ/ΝΑΡΕΙΤ Ευροπε Ινδεξ, ωασ αγαιν τηε στρονγεστ περφορmινγ ρεγιον, ρισινγ 4.8% in U.S. dollar terms. Strong, diversiied growth across the major ιτψ οφ τηε ρεγιον σ εχονοmιεσ ωασ τηε mαιν δριϖερ οφ ποσιτιϖε ρετυρνσ. Τηε ρεγιον λαργελψ σηρυγγεδ οφφ δεσταβιλιζινγ πολιτιχαλ εϖεντσ συχη ασ τηε Χαταλονιαν ινδεπενδενχε ρεφερενδυm. Οχχυπανχψ ρατεσ φελλ το 93.3%. Ινδυστριαλ ανδ Ρεταιλ οχχυπανχψ rates increased slightly while Apartment and Ofice rates Ρολλινγ Ονε Ψεαρ Ρετυρνσ δεχρεασεδ. Private Real Estate Database REIT Style Global REIT Style 12 Τηε NCREIF Open End Diversiied Core Equity Index ροσε 1.9% (1.1% φροm ινχοmε ανδ 0.8% φροm αππρεχιατιον), α 17 βπσ ινχρεασε φροm τηε σεχονδ θυαρτερ. Αππρεχιατιον ρετυρν ινχρεασεδ 9 6 βψ 18 βπσ φροm τηε σεχονδ θυαρτερ σ σεϖεν ψεαρ λοω. 3 Γλοβαλ ρεαλ εστατε ινϖεστmεντ τρυστσ (ΡΕΙΤσ), τραχκεδ βψ τηε ΦΤΣΕ ΕΠΡΑ/ΝΑΡΕΙΤ Dεϖελοπεδ ΡΕΙΤ Ινδεξ (ΥΣD), ουτπερφορmεδ Source: Callan Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 11

101 ΡΕΑΛ ΕΣΤΑΤΕ (Χοντινυεδ) For the second quarter in a row, the Asia-Paciic region out περφορmεδ τηε Υ.Σ. βυτ υνδερπερφορmεδ Ευροπε. Ηονγ Κονγ προϖιδεδ τηε βεστ ρεγιοναλ περφορmανχε ωηιλε ϑαπαν λαγγεδ βεηινδ, ηυρτ βψ α στρενγτηενινγ ψεν. ΝΧΡΕΙΦ Τρανσαχτιον ανδ Αππραισαλ Χαπιταλιζατιον Ρατεσ ΝΧΡΕΙΦ Χαπιταλιζατιον Ρατεσ βψ Προπερτψ Τψπε Transaction Capitalization Rates Appraisal Capitalization Rates Apartment Industrial Office Retail 9% 9% 6% 6% 3% 3% Source: NCREIF Note: Transaction capitalization rate is equal weighted Source: NCREIF Note: Capitalization rates are appraisal-based. 12

102 Λοω ςολατιλιτψ + Ρισινγ Μαρκετσ = Στρονγ Λιθυιδιτψ ΠΡΙςΑΤΕ ΕΘΥΙΤΨ Γαρψ Ροβερτσον Τηιρδ θυαρτερ πριϖατε εθυιτψ παρτνερσηιπ χοmmιτmεντσ τοταλεδ 84.0 βιλλιον, ωιτη 210 νεω παρτνερσηιπσ φορmεδ, αχχορδινγ το Πριϖατε Εθυιτψ Αναλψστ. Τηε νυmβερ οφ φυνδσ ραισεδ δεχρεασεδ 34% φροm 319 ιν τηε σεχονδ θυαρτερ, βυτ τηε δολλαρ ϖολυmε διππεδ ονλψ 2% φροm 85.0 βιλλιον. Απολλο ΙΞ ισ τηε λαργεστ φυνδ raised so far in 2017, holding a $24.6 billion inal close in the τηιρδ θυαρτερ ανδ ιτ ισ τηε λαργεστ βυψουτ φυνδ εϖερ ραισεδ. Investments by buyout funds into companies totaled 446 deals, δοων 12% φροm 504 ιν τηε πριορ θυαρτερ, αχχορδινγ το Βυψουτσ νεωσλεττερ. Τηε αννουνχεδ τοταλ ϖολυmε ωασ 51 βιλλιον, υπ 6% from $48 billion in the second quarter. The quarter s larg est deal was the $7.5 billion take-private of Panera Bread by ϑαβ, α φαmιλψ οωνεδ ηολδινγ χοmπανψ. Σιξτεεν δεαλσ ωιτη αννουνχεδ ϖαλυεσ οφ 1 βιλλιον ορ mορε χλοσεδ ιν τηε θυαρτερ. New investments in venture capital companies totaled 1,706 rounds of inancing with $21.5 billion of announced value, αχχορδινγ το τηε Νατιοναλ ςεντυρε Χαπιταλ Ασσοχιατιον (ΝςΧΑ). The number of rounds declined 21% from the 2,164 in the sec ond quarter, and announced dollar value decreased 6% from 22.9 βιλλιον. Φυνδσ Χλοσεδ ϑανυαρψ 1 το Σεπτεmβερ 30, 2017 Στρατεγψ Νο. οφ Φυνδσ Αmτ ( mm) Περχεντ ςεντυρε Χαπιταλ ,109 12% Βυψουτσ ,111 67% Συβορδινατεδ Dεβτ 52 22,627 9% Dιστρεσσεδ Dεβτ 17 9,601 4% Σεχονδαρψ ανδ Οτηερ 31 9,869 4% Φυνδ οφ φυνδσ 85 11,122 4% Τοταλσ , Source: Private Equity Analyst Figures may not total due to rounding βιλλιον. Τηε Μ&Α εξιτσ ωερε δοων 12% φροm τηε πριορ quarter s 504, but the announced value increased 6% from $48.1 billion. Buyout-backed IPOs in the third quarter fell to ονλψ ονε ραισινγ 43 mιλλιον, α σηαρπ δεχρεασε χοmπαρεδ το λαστ quarter s seven IPOs (a two-year high), raising an aggregate 2.0 βιλλιον. Venture-backed exits (both private sales and IPOs) totaled 182 τρανσαχτιονσ, ανδ δισχλοσεδ ϖαλυε τοταλεδ 11.2 βιλλιον. Τηε νυmβερ οφ εξιτσ ροσε 2% φροm τηε σεχονδ θυαρτερ σ 179, ανδ τηε αννουνχεδ δολλαρ ϖολυmε ινχρεασεδ 9% φροm 10.3 βιλλιον. Βυψουτσ reported that there were 446 private M&A exits of buy ουτ βαχκεδ χοmπανιεσ, ωιτη 43 δεαλσ δισχλοσινγ ϖαλυεσ τοταλινγ Please see our upcoming issue of Πριϖατε Μαρκετσ Τρενδσ φορ mορε ιν δεπτη χοϖεραγε. Πριϖατε Εθυιτψ Περφορmανχε Dαταβασε (%) (Ποολεδ Ηοριζον ΙΡΡσ τηρουγη ϑυνε 30, 2017 ) Στρατεγψ 3 Μοντησ Ψεαρ 3 Ψεαρσ 5 Ψεαρσ 10 Ψεαρσ 15 Ψεαρσ 20 Ψεαρσ Αλλ ςεντυρε Γροωτη Εθυιτψ Αλλ Βυψουτσ Μεζζανινε Dιστρεσσεδ Αλλ Πριϖατε Εθυιτψ S&P Ρυσσελλ Private equity returns are net of fees. Sources: Standard & Poor s and Thomson Reuters/Cambridge *Most recent data available at time of publication. Note: Transaction count and dollar volume igures across all private equity measures are preliminary igures and are subject to update in subsequent versions of Capital Market Review and other Callan publications. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 13

103 Κιχκιν Ιτ ωιτη Ρισκ ΗΕDΓΕ ΦΥΝDΣ ϑιm ΜχΚεε Dισχαρδινγ ωορριεσ οφ στυββορνλψ σλοω γλοβαλ εχονοmιχ γροωτη ανδ οτηερ διστραχτιονσ, mαρκετσ φοχυσεδ ον ποσιτιϖε εχονοmιχ νεωσ ανδ ηοπεσ οφ Υ.Σ. ταξ ρεφορm τηισ θυαρτερ, συγγεστινγ ρισινγ στοχκ πριχεσ αηεαδ. ςολατιλιτψ ασ α mεασυρε οφ περχειϖεδ mαρκετ ρισκ ρεαχηεδ χψχλιχαλ λοωσ αχροσσ τηε mαϕορ mαρκετσ. Αmιδ τηισ ρισκ ον ενϖιρονmεντ, ηεδγε φυνδσ γοτ σοmε τραχτιον. Ιλλυστρατινγ ραω ηεδγε φυνδ περφορmανχε ωιτηουτ ιmπλεmεντα τιον χοστσ, τηε ασσετ ωειγητεδ Χρεδιτ Συισσε Ηεδγε Φυνδ Ινδεξ (ΧΣ ΗΦΙ) ροσε 1.8%. Ασ α προξψ φορ λιϖε ηεδγε φυνδ πορτφολιοσ, τηε mεδιαν mαναγερ ιν τηε Χαλλαν Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε αδϖανχεδ 2., νετ οφ αλλ φεεσ ανδ εξπενσεσ. Wιτηιν ΧΣ ΗΦΙ, τηε βεστ περφορmινγ στρατεγψ ωασ Εmεργινγ Μαρκετσ (+5.6%), where embedded market beta explained σοmε βυτ νοτ αλλ οφ τηε γαινσ. Οτηερ στρατεγιεσ περφορmινγ παρ τιχυλαρλψ ωελλ ωερε Εθυιτψ Μαρκετ Νευτραλ (+4.4%) ανδ Λονγ/ Σηορτ Εθυιτψ (+3.); both beneited from an improved stockπιχκινγ ενϖιρονmεντ. Μαναγεδ Φυτυρεσ (+1.3%) ανδ Γλοβαλ Μαχρο (+1.8%) beneited modestly from top-down trends and δισχρετιοναρψ χαλλσ, παρτιχυλαρλψ ιν τηε εθυιτψ mαρκετσ. Wιτηιν Χαλλαν σ Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε, mαρκετ εξποσυρεσ mεανινγφυλλψ αφφεχτεδ περφορmανχε ιν τηε θυαρτερ. Συππορτεδ βψ τηε εθυιτψ ραλλψ, τηε mεδιαν Χαλλαν Λονγ/Σηορτ Εθυιτψ ΦΟΦ (+3.1%) ηανδιλψ βεατ τηε Χαλλαν Αβσολυτε Ρετυρν ΦΟΦ (+1.8%). Wιτη εξποσυρεσ το βοτη νον διρεχτιοναλ ανδ διρεχτιοναλ στψλεσ, τηε Core Diversiied FOF αδϖανχεδ 1.9%. Χαλλαν Στψλε Γρουπ Θυαρτερλψ Ρετυρνσ 6% 4% 2% Absolute Return Core Diversified Long/Short Eq FOF Style FOF Style FOF Style 10th Percentile th Percentile Median th Percentile th Percentile T-Bills + 5% Sources: Callan and Merrill Lynch Χαλλαν Dαταβασε Μεδιαν ανδ Ινδεξ Ρετυρνσ φορ Περιοδσ ενδεδ Σεπτεmβερ 30, 2017 Θυαρτερ ΨΤD Ψεαρ 3 Ψεαρσ 5 Ψεαρσ 10 Ψεαρσ 15 Ψεαρσ Ηεδγε Φυνδ οφ Φυνδσ Dαταβασε ΧΣ Ηεδγε Φυνδ Ινδεξ ΧΣ Εθυιτψ Μαρκετ Νευτραλ ΧΣ Χονϖερτιβλε Αρβιτραγε ΧΣ Φιξεδ Ινχοmε Αρβιτραγε ΧΣ Μυλτι Στρατεγψ ΧΣ Dιστρεσσεδ ΧΣ Ρισκ Αρβιτραγε ΧΣ Εϖεντ Dριϖεν Μυλτι Στρατεγψ ΧΣ Λονγ/Σηορτ Εθυιτψ ΧΣ Γλοβαλ Μαχρο ΧΣ Μαναγεδ Φυτυρεσ ΧΣ Εmεργινγ Μαρκετσ *Returns less than one year are not annualized. Sources: Callan and Credit Suisse. 14

104 DΧ Ινδεξ Χλοχκσ Στρονγεστ Φιρστ Ηαλφ ιν Ιτσ Ηιστορψ DΕΦΙΝΕD ΧΟΝΤΡΙΒΥΤΙΟΝ Τοm Σζκωαρλα Τηε Χαλλαν DΧ Ινδεξ ροσε α ηεαλτηψ 3.1% δυρινγ τηε σεχονδ Ινϖεστmεντ Περφορmανχε quarter, relecting strong equity market performance, and is now up 7.9% year-to-date its best irst-half performance since its Total DC Index Age 45 Target Date* 2006 inception. Still, the Index trailed the typical Age 45 Target Dατε Φυνδ (ΤDΦ), ωηιχη γαινεδ 3.7% ιν τηε σεχονδ θυαρτερ ανδ 9.4% in the irst half. TDFs have beneited from higher expo συρεσ το νον Υ.Σ. εθυιτψ ανδ εmεργινγ mαρκετσ, ωηιχη αρε βοτη 5.88% 6.64% 7.87% 9.42% υπ σηαρπλψ ψεαρ το δατε, τηαν τηε τψπιχαλ DΧ παρτιχιπαντ. 3.06% 3.65% Since the Index s inception in 2006, the average TDF has out performed DC plans by 76 basis points annually. Due to their ηεαϖιερ εθυιτψ εξποσυρε, ΤDΦσ ηαϖε τενδεδ το ουτπερφορm ιν Annualized Since Inception Year-to-Date Second Quarter 2017 στρονγ mαρκετσ ανδ υνδερπερφορm ιν ωεακ mαρκετσ. Γροωτη Σουρχεσ Φορ τηε θυαρτερ, πλαν βαλανχεσ ροσε 3.19%, αλmοστ εντιρελψ δυε to return growth (3.06%) rather than inlows (plan sponsor and παρτιχιπαντ χοντριβυτιονσ), ωηιχη χοντριβυτεδ ϕυστ 0.13%. % Total Growth 7.96% % Net Flows % Return Growth 8.08% 7.87% The proportion of net lows into non-u.s. equities during the quarter was the highest since late Money primarily lowed ουτ οφ σταβλε ϖαλυε, Υ.Σ. σmαλλ/mιδ χαπ εθυιτψ, ανδ χοmπανψ stock. As usual, TDFs attracted the lion s share of net lows, with 69 cents of every dollar of lows moving into these funds. Ινδεξ τυρνοϖερ (ι.ε., νετ τρανσφερ αχτιϖιτψ λεϖελσ ωιτηιν DΧ πλανσ) χαmε ιν ατ 0.43% ιν τηε θυαρτερ χοmπαρεδ το αϖεραγε ηιστοριχαλ quarterly turnover levels of 0.63%. Τηε Χαλλαν DΧ Ινδεξ σ οϖεραλλ εθυιτψ αλλοχατιον εδγεδ υπ φροm λαστ θυαρτερ το νεαρλψ 7, σλιγητλψ αβοϖε τηε Ινδεξ σ ηιστορι cal average of 67%. Still, the Index has yet to achieve its pre- Γλοβαλ Φινανχιαλ Χρισισ εθυιτψ αλλοχατιον πεακ οφ 73% (φουρτη θυαρτερ οφ 2007). The Callan DC Index is an equally weighted index tracking the cash lows ανδ περφορmανχε οφ νεαρλψ 90 πλανσ, ρεπρεσεντινγ mορε τηαν ονε mιλλιον DΧ παρτιχιπαντσ ανδ οϖερ 135 βιλλιον ιν ασσετσ. Τηε Ινδεξ ισ υπδατεδ θυαρτερλψ ανδ ισ αϖαιλαβλε ον Χαλλαν σ ωεβσιτε, ασ ισ τηε θυαρτερλψ DΧ Οβσερϖερ νεωσλεττερ. Νετ Χαση Φλοω Αναλψσισ (Σεχονδ Θυαρτερ 2017) (Τοπ Τωο ανδ Βοττοm Τωο Ασσετ Γατηερερσ) Ασσετ Χλασσ Φλοωσ ασ % οφ Τοταλ Νετ Φλοωσ Ταργετ Dατε Φυνδσ 69.47% Εmεργινγ Μαρκετ Εθυιτψ 1.94% Υ.Σ. Σmαλλ/Μιδ Χαπ Σταβλε ςαλυε 2.08% 5.88% Annualized Since Inception 28.57% 31.8 Τοταλ Τυρνοϖερ 0.43% Data provided here is the most recent available at time of publication. Source: Callan DC Index 0.2 Year-to-Date Note: DC Index inception date is January % 3.06% 0.13% Second Quarter 2017 * The Age 45 Fund transitioned from the average 2030 TDF to the 2035 TDF in June ** Total Index turnover measures the percentage of total invested assets (transfers only, excluding contributions and withdrawals) that moved between asset classes. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 15

105 Active Management Overview Active Management Overview

106 Market Overview Active Management vs Index Returns Market Overview The charts below illustrate the range of returns across managers in Callan s Separate Account database over the most recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the Large Cap Equity manager database. Range of Separate Account Manager Returns by Asset Class One Quarter Ended September 30, 2017 Returns 1 9% 8% 7% 6% 5% 4% 3% 2% 1% (58) (45) (70) (79) Large Cap Small Cap Non-US Domestic Non-US Real Equity Equity Equity Fixed Income Fixed Income Estate vs vs vs vs vs vs S&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index 10th Percentile th Percentile Median th Percentile th Percentile Index (65) (50) Range of Separate Account Manager Returns by Asset Class One Year Ended September 30, % 2 (60) (50) (64) Returns 15% 1 5% (58) (5%) (91) (95) (1) Large Cap Small Cap Non-US Domestic Non-US Real Equity Equity Equity Fixed Income Fixed Income Estate vs vs vs vs vs vs S&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index 10th Percentile th Percentile Median (0.94) th Percentile (2.14) th Percentile (2.72) 1.17 Index (3.14)

107 Domestic Equity Active Management Overview Several U.S. stock market indices hit record highs going into quarter-end as investors shrugged off bad news and pinned their hopes on meaningful tax reform. Small caps outperformed large caps across styles for the quarter, but trail on a year-to-date basis. Growth outperformed value for the quarter and year-to-date, growth has outperformed value by more than 10 percentage points across the cap spectrum. Technology continued to fuel the growth indices returns, especially in the large cap space. The "FAAMG" stocks have an average return of 31% year-to-date and have contributed 7.3% of the 20.7% year-to-date return for the Russell 1000 Growth Index. Along with Technology (+8.6%), Energy (+6.8%) and Telecommunications (+6.8%) were strong sectors. Consumer Staples (-1.3%) was the sole sector to deliver a negative result for the third quarter. Separate Account Style Group Median Returns for Quarter Ended September 30, S&P 500: 4.48% S&P 500 Growth: 5.29% S&P 500 Value: 3.48% S&P Mid Cap: 3.22% S&P 600: 5.96% S&P 600 Growth: 5.65% S&P 600 Value: 6.28% 8% Returns 6% 4% % Small Cap Growth Small Cap Value Small Cap Broad Mid Cap Growth Mid Cap Value Mid Cap Broad Large Cap Growth Large Cap Value Large Cap Core Separate Account Style Group Median Returns for One Year Ended September 30, S&P 500: 18.61% S&P 500 Growth: 19.9 S&P 500 Value: 16.47% S&P Mid Cap: 17.52% S&P 600: 21.05% S&P 600 Growth: 21.16% S&P 600 Value: 20.71% 25% Returns 2 15% % Small Cap Growth Small Cap Value Small Cap Broad Mid Cap Growth Mid Cap Value Mid Cap Broad Large Cap Growth Large Cap Value Large Cap Core 19

108 International Equity Active Management Overview The MSCI EAFE Index outperformed the U.S. market in the third quarter. Gains were broad-based with several countries (Austria, Portugal, Italy, and Norway) posting double-digit returns. The U.S. dollar continued to weaken, down 3-4% versus the euro, Canadian dollar, and the U.K. pound. Within the MSCI EAFE, Europe ex-u.k. was up 6.9%, the U.K gained 5.2%, and Japan returned +4.. From a sector perspective, Energy and Materials posted double-digit gains while Health Care and Consumer Staples were laggards with results of less than 1%. Emerging markets modestly outperformed developed and the MSCI EM Index is up an impressive 28% year-to-date. Emerging Asia continued to be the key driver (as was the case in the first and second quarters) with China (+14.7%) taking the lead. The only emerging markets country to deliver a negative return was Greece (-12.1%). Elsewhere, Russia and Brazil (+17.6% and +22.9%) both posted sharp gains as their economies improved, reversing second quarter declines. India, where second quarter growth did not meet expectations, posted a more muted return at +3.. Separate Account Style Group Median Returns for Quarter Ended September 30, % MSCI AC World Index 5.31% MSCI ACW ex US Free: 6.16% MSCI EAFE: 5.4 MSCI Europe: 6.45% MSCI Pacific: 3.87% MSCI Emerging Markets: 7.89% 1 8% Returns 6% % 2% Small Cap Core Int l Core Plus Emerging Markets Global Equity Separate Account Style Group Median Returns for One Year Ended September 30, % MSCI AC World Index 19.29% MSCI ACW ex US Free: 19.61% MSCI EAFE: 19.1 MSCI Europe: 22.3 MSCI Pacific: 14.22% MSCI Emerging Markets: 22.46% 3 25% Returns 2 15% % Small Cap Core Int l Core Plus Emerging Markets Global Equity 20

109 Domestic Fixed Income Active Management Overview Interest rates were range-bound during the third quarter. The yield on the 10-year U.S. Treasury closed the quarter at 2.33%, two basis points higher than at the end of the second quarter. The yield curve continued its flattening trend and the 2-year Treasury yield ended the quarter at 1.47%, its highest level since August The Bloomberg Barclays Aggregate U.S. Bond Index posted a +0.8% result with corporate bonds outperforming other investment grade sectors. TIPS regained some of their underperformance from the previous quarter. The Bloomberg Barclays U.S. TIPS Index rose 0.9% and the 10-year breakeven spread (the difference between nominal and real yields) rose to 1.84% as of quarter-end from 1.73% at the end of the second quarter. Separate Account Style Group Median Returns for Quarter Ended September 30, Blmbg Aggregate: 0.85% Blmbg High Yield: 1.98% Blmbg Long Gov/Cred: 1.53% 2.5% Returns 1.5% % Defensive Intermed Core Bond Core Plus Extended Maturity Bank Loans High Yield Separate Account Style Group Median Returns for One Year Ended September 30, % Blmbg Aggregate: 0.07% Blmbg High Yield: 8.88% Blmbg Long Gov/Cred: (0.79%) % Returns 6% 4% % (0.33 ) (2%) Defensive Intermed Core Bond Core Plus Extended Maturity Bank Loans High Yield 21

110 Total Fund Total Fund

111 ASSET ALLOCATION AND PERFORMANCE Asset Allocation and Performance This section begins with an overview of the fund s asset allocation at the broad asset class level. This is followed by a top down performance attribution analysis which analyzes the fund s performance relative to the performance of the fund s policy target asset allocation. The fund s historical performance is then examined relative to funds with similar objectives. Performance of each asset class is then shown relative to the asset class performance of other funds. Finally, a summary is presented of the holdings of the fund s investment managers, and the returns of those managers over various recent periods. 23

112 Actual vs Target Asset Allocation As of September 30, 2017 The top left chart shows the Fund s asset allocation as of September 30, The top right chart shows the Fund s target asset allocation as outlined in the investment policy statement. The bottom chart ranks the fund s asset allocation and the target allocation versus the Callan Public Fund Sponsor Database. Actual Asset Allocation Domestic Equity 34% Target Asset Allocation Domestic Equity 34% Cash Infrastructure 6% Infrastructure 5% Real Estate 9% International Equity 26% Real Estate 9% International Equity 25% Fixed Income 25% Fixed Income 27% $000s Weight Percent $000s Asset Class Actual Actual Target Difference Difference Domestic Equity 273, % 34. (0.4%) (3,036) International Equity 211, ,020 Fixed Income 204, % 27. (1.9%) (15,580) Real Estate 75, % % 2,169 Infrastructure 47, % % 6,724 Cash 1, % % 1,703 Total 813, Asset Class Weights vs Callan Public Fund Sponsor Database Weights (58) (60) (46) (48) (17) (13) (16) (13) (100) (86) (1) Domestic Fixed Cash Real International Equity Income Estate Equity 10th Percentile th Percentile Median th Percentile th Percentile Fund Target % Group Invested 98.64% 97.28% 73.47% 71.43% 97.28% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

113 Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund s investment managers as of September 30, 2017, with the distribution as of June 30, The change in asset distribution is broken down into the dollar change due to Net New Investment and the dollar change due to Investment Return. Asset Distribution Across Investment Managers September 30, 2017 June 30, 2017 Market Value Weight Net New Inv. Inv. Return Market Value Weight Domestic Equity $273,494, % $(1,323,730) $11,851,904 $262,965, Large Cap Equity $209,376, % $(1,493,706) $9,967,341 $200,902, % Alliance S&P Index 63,149, % (7,937) 2,695,965 60,461, % PIMCO StocksPLUS 33,490, % 0 1,487,994 32,002, % BlackRock Russell 1000 Value 54,648, % (5,202) 1,656,134 52,997, % T. Rowe Price Large Cap Growth 58,088, % (1,480,567) 4,127,247 55,441, % Small/Mid Cap Equity $64,118, % $169,976 $1,884,563 $62,063, % Champlain Mid Cap 32,671, % 225, ,509 32,043, % FIAM Small Cap 31,446, % (55,659) 1,482,054 30,020, International Equity $211,351, % $(1,740,194) $12,663,206 $200,428, % Causeway International Opportunities 83,196, % (1,589,907) 5,846,684 78,940, Aberdeen EAFE Plus 84,718, % (150,287) 2,567,996 82,301, % American Century Non-US SC [2] 43,435, % 0 4,248,526 39,187, % Fixed Income $204,017, % $(144,228) $3,043,888 $201,118, % BlackRock U.S. Debt Fund 99,774, % (12,158) 875,014 98,911, % PIMCO Fixed Income 104,243, % (132,070) 2,168, ,206, % Real Estate $75,368, % $(866,601) $1,385,751 $74,848, % JP Morgan Strategic Property Fund 49,693, % (489,539) 842,009 49,341, % JP Morgan Income and Growth Fund 25,674, % (377,062) 543,743 25,507, % Infrastructure $47,390, % $(3,635,564) $2,066,458 $48,959, Macquarie European Infrastructure 19,602, % (3,644,318) 1,321,544 21,925, % SteelRiver Infrastructure 27,787, % 8, ,914 27,033, % Cash Composite $1,702, % $310,880 $3,754 $1,388, % Cash 1,702, % 310,880 3,754 1,388, % Total Plan $813,324, $(7,399,437) $31,014,960 $789,709, [2] American Century was funded May

114 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Domestic Equity 4.63% 20.56% 11.97% 15.51% 7.79% Total Domestic Equity Target (1) 4.54% 18.42% 10.81% 14.19% 7.64% Large Cap Equity 4.98% 21.12% 11.48% 15.25% 7.2 S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% Alliance S&P Index 4.46% 18.52% 10.77% 14.17% 7.46% PIMCO StocksPLUS 4.65% 19.31% 10.77% 15.04% 9.4 S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% BlackRock Russell 1000 Value Index 3.13% 15.18% 8.57% 13.25% 6.04% Russell 1000 Value Index 3.11% 15.12% 8.53% % T. Rowe Price Large Cap Growth % 15.44% 18.38% 10.98% Russell 1000 Growth Index % 12.69% 15.26% 9.08% Small/Mid Cap Equity U.S. Equity 3.51% 18.68% 13.72% 16.41% 9.88% Russell 2500 Index 4.74% 17.79% % 8.19% Champlain Mid Cap 2.16% 18.65% 13.72% 16.64% 11.27% Russell MidCap Index 3.47% 15.32% 9.54% 14.26% 8.08% FIAM Small Cap 4.94% 18.68% 13.59% 16.03% 10.46% Russell 2000 Index 5.67% 20.74% 12.18% 13.79% 7.85% International Equity 6.35% 21.25% 4.36% 7.65% 1.59% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% Causeway International Opportunities (3) % 9.62% 3.98% Causeway Linked Index (3) 6.16% 19.61% 5.63% 8.75% 1.51% Aberdeen EAFE Plus 3.12% 16.97% 1.82% 4.74% 3.23% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% American Century Non-US SC (4) 10.84% 23.89% MSCI ACWI ex US Small Cap % 8.14% 9.68% 3.58% Fixed Income 1.51% 3.69% 4.66% 3.91% 5.62% Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% BlackRock U.S. Debt Fund 0.88% 0.19% 2.83% % Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% PIMCO Fixed Income 2.12% 6.55% 5.99% 5.09% 6.6 Custom Index (2) 1.64% 3.13% 4.77% 4.04% 5.95% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been changed accordingly from EAFE to ACWI ex-us (Net Div). (4) American Century Non-US SC was funded during second quarter

115 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Real Estate 1.86% 7.94% % 4.53% NFI-ODCE Value Weight Gr 1.87% 7.66% 10.85% % JP Morgan Strategic Property Fund 1.72% 7.57% 10.55% 11.73% 5.71% NFI-ODCE Value Weight Gr 1.87% 7.66% 10.85% % JP Morgan Income and Growth Fund 2.15% 8.66% 11.14% 13.61% 2.9 NFI-ODCE Value Weight Gr 1.87% 7.66% 10.85% % Infrastructure % 10.04% 8.91% - CPI + 4% 1.85% 6.31% 4.96% % Macquarie European Infrastructure 6.35% 25.12% 9.42% 9.54% - SteelRiver Infrastructure 2.75% 7.35% 11.15% 8.47% - CPI + 4% 1.85% 6.31% 4.96% % Cash Composite 0.24% 0.85% 0.34% 0.21% 0.64% Total Fund 3.98% 14.58% % 6.22% Total Fund Benchmark* % 7.44% 9.23% 5.66% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

116 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Domestic Equity 4.63% 21.35% 1.24% 9.01% 26.67% Total Domestic Equity Target (1) 4.54% 18.38% 2.31% 7.15% 24.84% Large Cap Equity 4.98% 21.12% % 27.15% S&P 500 Index 4.48% % 7.42% 24.61% Alliance S&P Index 4.46% % 7.43% 24.5 PIMCO StocksPLUS 4.65% 19.11% 2.68% 7.57% 27.61% S&P 500 Index 4.48% % 7.42% 24.61% BlackRock Russell 1000 Value Index 3.13% 15.61% 2.75% 4.34% 23.88% Russell 1000 Value Index 3.11% 15.53% 2.86% 4.13% 23.81% T. Rowe Price Large Cap Growth % (2.64%) 12.35% 32.8 Russell 1000 Growth Index % 3.02% 10.56% 26.92% Small/Mid Cap Equity U.S. Equity 3.51% 21.97% 0.17% 12.68% 24.97% Russell 2500 Index 4.74% 19.84% (3.67%) 5.92% 25.58% Champlain Mid Cap 2.16% % 10.27% 26.2 Russell MidCap Index 3.47% 16.48% 0.56% 6.63% 26.85% FIAM Small Cap 4.94% 21.31% (4.41%) 15.07% 23.59% Russell 2000 Index 5.67% 24.6 (6.73%) 6.49% 23.64% International Equity 6.35% 20.73% (9.4) (5.79%) 21.26% MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% Causeway International Opportunities (3) % (11.66%) (2.38%) 23.76% Causeway Linked Index (3) 6.16% 20.45% (9.42%) (4.22%) 23.57% Aberdeen EAFE Plus 3.12% 18.3 (7.6) (10.16%) 18.2 MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% American Century Non-US SC 10.84% 20.31% MSCI ACWI ex US Small Cap % (5.46%) (3.07%) 26.09% Fixed Income 1.51% 4.58% 6.39% 0.78% 7.64% Blmbg Aggregate Index 0.85% (0.31%) % 4.37% BlackRock U.S. Debt Fund 0.88% (0.21%) 6.13% 1.99% 4.49% Blmbg Aggregate Index 0.85% (0.31%) % 4.37% PIMCO Fixed Income 2.12% 7.99% 6.55% 0.05% 9.6 Custom Index (2) 1.64% 3.83% 7.28% 0.75% 8.48% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been changed accordingly from EAFE to ACWI ex-us (Net Div). 28

117 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Real Estate 1.86% 8.07% % 13.27% NFI-ODCE Value Weight Gr 1.87% 7.87% 11.82% 14.43% 12.77% JP Morgan Strategic Property Fund 1.72% 7.94% % 14.08% NFI-ODCE Value Weight Gr 1.87% 7.87% 11.82% 14.43% 12.77% JP Morgan Income and Growth Fund 2.15% 8.27% 10.06% 16.19% 11.66% NFI-ODCE Value Weight Gr 1.87% 7.87% 11.82% 14.43% 12.77% Infrastructure % 12.61% (2.75%) 16.31% CPI + 4% 1.85% % 3.62% 6.05% Macquarie European Infrastructure 6.35% % (9.64%) 14.63% SteelRiver Infrastructure 2.75% 7.09% 17.75% 5.97% 18.46% CPI + 4% 1.85% % 3.62% 6.05% Cash Composite 0.24% 0.68% 0.12% Total Fund 3.98% 14.77% 2.33% 4.63% 19.64% Total Fund Benchmark* % 1.82% 4.34% 16.97% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

118 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees FY 2013 FY 2012 FY 2011 FY 2010 FY 2009 Domestic Equity 23.35% 2.92% 33.98% 15.58% (30.63%) Total Domestic Equity Target (1) % 32.56% 16.51% (26.3) Large Cap Equity 22.41% 3.48% 32.04% 13.85% (31.73%) S&P 500 Index % 30.69% 14.43% (26.21%) Alliance S&P Index 20.51% 5.48% 30.36% 14.66% (25.9) PIMCO StocksPLUS 24.51% % 23.94% (26.15%) S&P 500 Index % 30.69% 14.43% (26.21%) BlackRock Russell 1000 Value Index 25.36% 3.07% 29.08% 17.21% (28.75%) Russell 1000 Value Index 25.32% 3.01% 28.94% 16.92% (29.03%) T. Rowe Price Large Cap Growth 20.37% 5.19% 35.07% 15.35% (20.27%) Russell 1000 Growth Index 17.07% 5.76% 35.01% 13.62% (24.5) Small/Mid Cap Equity U.S. Equity 26.35% 0.64% 41.67% 21.48% (26.41%) Russell 2500 Index 25.61% (2.29%) 39.28% 24.03% (26.72%) Champlain Mid Cap 22.88% 0.78% 36.29% 18.22% (17.86%) Russell MidCap Index 25.41% (1.65%) 38.47% 25.13% (30.36%) FIAM Small Cap 29.74% 0.44% 45.35% 24.32% (24.19%) Russell 2000 Index 24.21% (2.08%) 37.41% 21.48% (25.01%) International Equity 17.18% (14.49%) 30.95% 11.76% (32.42%) MSCI ACWI x US (Net) 13.63% (14.57%) 29.73% 10.43% (30.92%) Causeway International Opportunities (3) 22.07% (10.83%) 35.68% 14.55% (29.81%) Causeway Linked Index (3) 18.62% (13.83%) 30.36% 5.92% (31.35%) Aberdeen EAFE Plus 11.69% (4.27%) 31.73% 17.71% (28.91%) MSCI ACWI x US (Net) 13.63% (14.57%) 29.73% 10.43% (30.92%) Fixed Income 1.84% 8.32% 4.66% 12.39% 5.34% Blmbg Aggregate Index (0.69%) 7.47% % BlackRock U.S. Debt Fund (0.48%) 7.55% 4.04% 9.64% 6.15% Blmbg Aggregate Index (0.69%) 7.47% % PIMCO Fixed Income 3.27% 9.56% 5.64% 14.37% 4.43% Custom Index (2) 2.41% 7.63% 5.86% 11.32% 7.28% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been updated accordingly from EAFE to ACWI ex-us (Net Div). 30

119 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Gross of Fees FY 2013 FY 2012 FY 2011 FY 2010 FY 2009 Real Estate % 18.18% (8.36%) (31.43%) NFI-ODCE Value Weight Gr 12.17% 12.42% 20.48% (5.98%) (30.52%) JP Morgan Strategic Property Fund 14.08% % (5.66%) (26.46%) NFI-ODCE Value Weight Gr 12.17% 12.42% 20.48% (5.98%) (30.52%) JP Morgan Income and Growth Fund 25.49% 18.15% 33.69% (12.8) (49.84%) NFI-ODCE Value Weight Gr 12.17% 12.42% 20.48% (5.98%) (30.52%) Cash Composite 0.05% 0.03% 0.25% Total Fund 14.84% % 11.6 (20.91%) Total Fund Benchmark* 12.87% 3.04% 22.53% 12.09% (18.78%) * Current Quarter Target = 36. S&P 500 Index, 26. Blmbg Aggregate, 15. MSCI ACWI ex US, 10. Russell 2500 Index, 8. NCREIF NFI-ODCE Val Wt Gr and 5. CPI-W

120 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Domestic Equity 4.55% 20.18% 11.63% 15.16% 7.4 Total Domestic Equity Target (1) 4.54% 18.42% 10.81% 14.19% 7.64% Large Cap Equity 4.94% 20.92% 11.31% 15.08% 6.96% S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% Alliance S&P Index 4.45% 18.47% 10.73% 14.13% 7.42% PIMCO StocksPLUS 4.65% 19.31% 10.77% 14.96% 9.28% S&P 500 Index 4.48% 18.61% 10.81% 14.22% 7.44% BlackRock Russell 1000 Value Index 3.12% 15.15% 8.54% 13.21% 6.02% Russell 1000 Value Index 3.11% 15.12% 8.53% % T. Rowe Price Large Cap Growth 7.36% 30.32% 14.91% 17.82% 10.44% Russell 1000 Growth Index % 12.69% 15.26% 9.08% Small/Mid Cap Equity U.S. Equity % 12.81% 15.48% 9.02% Russell 2500 Index 4.74% 17.79% % 8.19% Champlain Mid Cap 1.95% 17.66% 12.75% 15.66% 10.33% Russell MidCap Index 3.47% 15.32% 9.54% 14.26% 8.08% FIAM Small Cap 4.75% 17.77% 12.75% 15.17% 9.64% Russell 2000 Index 5.67% 20.74% 12.18% 13.79% 7.85% International Equity 6.23% 20.68% 3.75% 6.97% 0.86% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% Causeway International Opportunities (3) % 5.16% 8.98% 3.33% Causeway Linked Index (3) 6.16% 19.61% 5.63% 8.75% 1.51% Aberdeen EAFE Plus 2.94% 16.07% 1.09% 3.96% 2.43% MSCI ACWI x US (Net) 6.16% 19.61% % 1.28% American Century Non-US SC (4) 10.84% 23.89% MSCI ACWI ex US Small Cap % 8.14% 9.68% 3.58% Fixed Income 1.45% 3.42% 4.35% 3.59% 5.33% Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% BlackRock U.S. Debt Fund 0.88% 0.19% 2.81% 2.18% 4.4 Blmbg Aggregate Index 0.85% 0.07% 2.71% 2.06% 4.27% PIMCO Fixed Income % 5.49% 4.59% 6.16% Custom Index (2) 1.64% 3.13% 4.77% 4.04% 5.95% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been updated accordingly from EAFE to ACWI ex-us (Net Div). (4) American Century Non-US SC was funded during second quarter

121 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended September 30, Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees Returns for Periods Ended September 30, 2017 Last Last Last Last Last Quarter Year Years Years Years Real Estate 1.61% 6.95% 9.59% % NFI-ODCE Equal Weight Net 1.68% 6.93% 10.11% 10.65% 3.95% JP Morgan Strategic Property Fund 1.47% 6.52% 9.47% 10.64% 4.67% NFI-ODCE Equal Weight Net 1.68% 6.93% 10.11% 10.65% 3.95% JP Morgan Income and Growth Fund 1.88% 7.81% 9.93% 12.16% 1.39% NFI-ODCE Equal Weight Net 1.68% 6.93% 10.11% 10.65% 3.95% Infrastructure 4.22% 13.85% 9.01% 7.82% - CPI + 4% 1.85% 6.31% 4.96% % Macquarie European Infrastructure 6.13% % 8.44% - SteelRiver Infrastructure 2.61% % 7.28% - CPI + 4% 1.85% 6.31% 4.96% % Cash Composite 0.24% 0.85% 0.34% 0.21% 0.64% Total Fund 3.88% 14.08% 8.32% 10.31% 5.69% Total Fund Benchmark* % 7.44% 9.23% 5.66% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

122 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Domestic Equity 4.55% 20.96% 0.94% 8.72% 26.3 Total Domestic Equity Target (1) 4.54% 18.38% 2.31% 7.15% 24.84% Large Cap Equity 4.94% 20.92% 1.44% 7.83% 26.95% S&P 500 Index 4.48% % 7.42% 24.61% Alliance S&P Index 4.45% 17.76% 3.93% % PIMCO StocksPLUS 4.65% 19.11% 2.68% 7.57% 27.61% S&P 500 Index 4.48% % 7.42% 24.61% BlackRock Russell 1000 Value Index 3.12% 15.59% 2.71% % Russell 1000 Value Index 3.11% 15.53% 2.86% 4.13% 23.81% T. Rowe Price Large Cap Growth 7.36% 30.97% (3.13%) 11.93% 32.16% Russell 1000 Growth Index % 3.02% 10.56% 26.92% Small/Mid Cap Equity U.S. Equity % (0.61%) Russell 2500 Index 4.74% 19.84% (3.67%) 5.92% 25.58% Champlain Mid Cap 1.95% 21.43% 3.76% 9.33% 25.16% Russell MidCap Index 3.47% 16.48% 0.56% 6.63% 26.85% FIAM Small Cap 4.75% 20.34% (5.1) 14.24% 22.7 Russell 2000 Index 5.67% 24.6 (6.73%) 6.49% 23.64% International Equity 6.23% 20.24% (10.04%) (6.46%) 20.41% MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% Causeway International Opportunities (3) % (12.24%) (3.01%) 22.98% Causeway Linked Index (3) 6.16% 20.45% (9.42%) (4.22%) 23.57% Aberdeen EAFE Plus 2.94% 17.6 (8.32%) (10.9) 17.28% MSCI ACWI x US (Net) 6.16% 20.45% (10.24%) (5.26%) 21.75% American Century Non-US SC 10.84% 20.31% MSCI ACWI ex US Small Cap % (5.46%) (3.07%) 26.09% Fixed Income 1.45% 4.29% 6.06% 0.46% 7.3 Blmbg Aggregate Index 0.85% (0.31%) % 4.37% BlackRock U.S. Debt Fund 0.88% (0.21%) 6.09% 1.97% 4.43% Blmbg Aggregate Index 0.85% (0.31%) % 4.37% PIMCO Fixed Income % 6.04% (0.43%) 9.07% Custom Index (2) 1.64% 3.83% 7.28% 0.75% 8.48% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been updated accordingly from EAFE to ACWI ex-us (Net Div). 34

123 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees 6/2017-9/2017 FY 2017 FY 2016 FY 2015 FY 2014 Real Estate 1.61% 7.07% 9.64% 12.74% 12.03% NFI-ODCE Equal Weight Net 1.68% 7.23% 11.24% 13.64% 11.37% JP Morgan Strategic Property Fund 1.47% 6.88% 10.02% 12.28% 12.98% NFI-ODCE Equal Weight Net 1.68% 7.23% 11.24% 13.64% 11.37% JP Morgan Income and Growth Fund 1.88% 7.37% 8.69% 14.74% 9.93% NFI-ODCE Equal Weight Net 1.68% 7.23% 11.24% 13.64% 11.37% Infrastructure 4.22% 11.24% 12.3 (3.82%) 15.32% CPI + 4% 1.85% % 3.62% 6.05% Macquarie European Infrastructure 6.13% 17.18% 6.82% (10.56%) 14.11% SteelRiver Infrastructure 2.61% 6.64% 17.13% 4.67% 16.8 CPI + 4% 1.85% % 3.62% 6.05% Cash Composite 0.24% 0.68% 0.12% (0.0) 0.0 Total Fund - Standard 3.88% 14.26% 1.89% 4.17% 19.11% Total Fund - IRR 3.84% 14.26% 2.38% 4.17% 19.17% Total Fund Benchmark* % 1.82% 4.34% 16.97% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

124 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees FY 2013 FY 2012 FY 2011 FY 2010 FY 2009 Domestic Equity % 15.09% (30.94%) Total Domestic Equity Target (1) % 32.56% 16.51% (26.3) Large Cap Equity 22.21% 3.21% 31.66% 13.48% (31.98%) S&P 500 Index % 30.69% 14.43% (26.21%) Alliance S&P Index 20.46% 5.43% (25.94%) PIMCO StocksPLUS 23.83% 5.56% 36.04% 23.87% (26.19%) S&P 500 Index % 30.69% 14.43% (26.21%) BlackRock Russell 1000 Value Index 25.35% 3.07% 29.08% 17.21% (28.75%) Russell 1000 Value Index 25.32% 3.01% 28.94% 16.92% (29.03%) T. Rowe Price Large Cap Growth 19.79% 4.67% 34.41% 14.78% (20.68%) Russell 1000 Growth Index 17.07% 5.76% 35.01% 13.62% (24.5) Small/Mid Cap Equity U.S. Equity 25.36% (0.16%) 40.57% 20.56% (26.99%) Russell 2500 Index 25.61% (2.29%) 39.28% 24.03% (26.72%) Champlain Mid Cap 21.86% (0.08%) 35.17% 17.26% (18.6) Russell MidCap Index 25.41% (1.65%) 38.47% 25.13% (30.36%) FIAM Small Cap 28.79% (0.31%) (24.77%) Russell 2000 Index 24.21% (2.08%) 37.41% 21.48% (25.01%) International Equity 16.34% (15.16%) % (32.97%) MSCI ACWI x US (Net) 13.63% (14.57%) 29.73% 10.43% (30.92%) Causeway International Opportunities (3) 21.27% (11.43%) (30.3) Causeway Linked Index (3) 18.62% (13.83%) 30.36% 5.92% (31.35%) Aberdeen EAFE Plus 10.8 (5.04%) 30.75% 16.8 (29.53%) MSCI ACWI x US (Net) 13.63% (14.57%) 29.73% 10.43% (30.92%) Fixed Income 1.51% 8.03% 4.42% 12.13% 5.1 Blmbg Aggregate Index (0.69%) 7.47% % BlackRock U.S. Debt Fund (0.49%) 7.55% 4.04% 9.64% 6.15% Blmbg Aggregate Index (0.69%) 7.47% % PIMCO Fixed Income 2.77% 9.15% 5.28% 13.98% 4.08% Custom Index (2) 2.41% 7.63% 5.86% 11.32% 7.28% (1) The Total Domestic Equity target is currently composed of 78% S&P 500 and 22% Russell 2500 Index. (2) The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. (3) Causeway International Value transitioned to International Opportunities in May 2016; as such, the index has been updated accordingly from EAFE to ACWI ex-us (Net Div). 36

125 Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended June 30. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund s accounts for that asset class. Net of Fees FY 2013 FY 2012 FY 2011 FY 2010 FY 2009 Real Estate 14.67% 10.34% 16.77% (9.49%) (32.31%) NFI-ODCE Equal Weight Net % 19.33% (8.47%) (31.36%) JP Morgan Strategic Property Fund 12.95% % (6.6) (27.2) NFI-ODCE Equal Weight Net % 19.33% (8.47%) (31.36%) JP Morgan Income and Growth Fund 23.54% 16.49% 31.44% (14.32%) (50.76%) NFI-ODCE Equal Weight Net % 19.33% (8.47%) (31.36%) Cash Composite 0.05% 0.03% 0.25% Total Fund - Standard 14.21% 1.82% 22.52% 10.99% (21.34%) Total Fund - IRR 11.02% (3.08%) 16.78% 6.41% (26.18%) Total Fund Benchmark* 12.87% 3.04% 22.53% 12.09% (18.78%) * Current Quarter Target = 36. S&P 500 Index, 26. Blmbg Aggregate, 15. MSCI ACWI ex US, 10. Russell 2500 Index, 8. NCREIF NFI-ODCE Val Wt Gr and 5. CPI-W

126 Quarterly Style Attribution - September 30, 2017 The following analysis approaches Total Fund Attribution from the perspective of relative return. Relative return attribution separates and quantifies the sources of total fund excess return relative to its target. This excess return is separated into two relative attribution effects: Style Allocation Effect and Manager Selection Effect. The Style Allocation Effect represents the excess return due to the actual total fund style allocation differing from the target style allocation. Manager Selection Effect represents the total fund impact of the individual managers excess returns relative to their benchmarks. Style Class Under or Overweighting Large Cap Equity (0.42 ) Small/Mid Cap Equity (0.20 ) Fixed Income (1.51 ) Real Estate 0.41 Infrastructure 1.08 International Equity 0.63 (2%) (1%) 1% 2% Actual vs Target Returns % 2% 3% 4% 5% 6% 7% 8% Actual Target Large Cap Equity Small/Mid Cap Equity Fixed Income Real Estate Infrastructure International Equity Total Relative Attribution by Style Class (0.00 ) (0.10 ) (0.01 ) (0.10 ) (0.00 ) (0.01 ) (0.01 ) (0.02 ) (0.2) (0.1) Manager Effect Style Allocation Total Relative Attribution Effects for Quarter ended September 30, 2017 Effective Effective Total Actual Target Actual Target Manager Style Relative Style Class Weight Weight Return Return Effect Allocation Return Large Cap Equity 26% 26% 4.98% 4.48% 0.13% (0.0) 0.12% Small/Mid Cap Equity 8% 8% 3.51% 4.74% (0.1) (0.01%) (0.1) Fixed Income 25% 27% 1.51% 0.85% 0.17% 0.04% 0.21% Real Estate 9% 9% 1.86% 1.87% (0.0) (0.01%) (0.01%) Infrastructure 6% 5% % 0.15% (0.02%) 0.13% International Equity 26% 25% 6.35% 6.27% 0.02% 0.01% 0.03% Total 3.98% = % % 0.38% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

127 Cumulative Style Relative Attribution - September 30, 2017 The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine the cumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-term sources of total fund excess return relative to target by style class. These relative attribution effects separate the cumulative sources of total fund excess return into Style Allocation Effect and Manager Selection Effect. One Year Relative Attribution Effects Large Cap Equity Small/Mid Cap Equity Fixed Income Real Estate Infrastructure International Equity Total (1%) 1% 2% 3% 4% Manager Effect Style Allocation Total Cumulative Relative Attribution Effects 3.5% % Manager Effect Style Allocation Total % % 0. (0.5%) One Year Relative Attribution Effects Effective Effective Total Actual Target Actual Target Manager Style Relative Style Class Weight Weight Return Return Effect Allocation Return Large Cap Equity 26% 26% 21.12% 18.61% 0.6 (0.05%) 0.55% Small/Mid Cap Equity 8% 8% 18.68% 17.79% 0.05% (0.02%) 0.03% Fixed Income 26% 27% 3.69% 0.07% 1.03% % Real Estate 1 9% 7.94% 7.66% 0.03% (0.04%) (0.01%) Infrastructure 6% 5% 15.01% 6.31% 0.53% (0.06%) 0.47% International Equity 25% 25% 21.25% 19.55% 0.41% (0.02%) 0.4 Total 14.58% = 11.99% % + (0.09%) 2.59% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

128 Cumulative Style Relative Attribution - September 30, 2017 The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine the cumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-term sources of total fund excess return relative to target by style class. These relative attribution effects separate the cumulative sources of total fund excess return into Style Allocation Effect and Manager Selection Effect. Five Year Annualized Relative Attribution Effects Large Cap Equity Small/Mid Cap Equity Fixed Income Real Estate Infrastructure International Equity Total (0.5%) % % 2. Manager Effect Style Allocation Total Cumulative Relative Attribution Effects 14% 12% 1 Manager Effect Style Allocation Total 8% 6% 4% 2% (2%) Five Year Annualized Relative Attribution Effects Effective Effective Total Actual Target Actual Target Manager Style Relative Style Class Weight Weight Return Return Effect Allocation Return Large Cap Equity 35% 33% 15.25% 14.22% 0.31% 0.06% 0.36% Small/Mid Cap Equity 1 9% 16.41% 13.86% 0.27% (0.01%) 0.26% Fixed Income 24% 26% 3.91% 2.06% 0.49% 0.07% 0.57% Real Estate 8% 8% 12.07% % (0.02%) 0.02% Infrastructure 6% 5% 8.91% % (0.07%) 0.18% International Equity 17% 18% 7.65% 6.98% 0.14% 0.05% 0.19% Total 10.81% = 9.23% % 1.58% * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

129 Cumulative Performance Relative to Target The first chart below illustrates the cumulative performance of the Total Fund relative to the cumulative performance of the Fund s Target Asset Mix. The Target Mix is assumed to be rebalanced each quarter with no transaction costs. The second chart below shows the return and the risk of the Total Fund and the Target Mix, contrasted with the returns and risks of the funds in the Callan Public Fund Sponsor Database. Cumulative Returns Actual vs Target 120 Total Fund Total Fund Target 100 Cumulative Returns Twenty-Nine Year Annualized Risk vs Return 11% 1 9% Total Fund Target 8% Total Fund Returns 7% 6% 5% 4% 3% 2% 5% 6% 7% 8% 9% 1 11% 12% Standard Deviation Squares represent membership of the Callan Public Fund Sponsor Database * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

130 Total Fund Ranking The first two charts show the ranking of the Total Fund s performance relative to that of the Callan Public Fund Sponsor Database for periods ended September 30, The first chart is a standard unadjusted ranking. In the second chart each fund in the database is adjusted to have the same historical asset allocation as that of the Total Fund. Callan Public Fund Sponsor Database 16% 14% (10) 12% (55) Returns 1 8% (26) (3) (23) (2) (17) (2) 6% 4% Last Last Last Last Year 3 Years 5 Years 7 Years 10th Percentile th Percentile Median th Percentile th Percentile Total Fund Policy Target Asset Allocation Adjusted Ranking 16% 14% (6) 12% (77) Returns 1 8% (83) (9) (85) (6) (78) (9) 6% 4% Last Last Last Last Year 3 Years 5 Years 7 Years 10th Percentile th Percentile Median th Percentile th Percentile Total Fund Policy Target * Current Quarter Target = 27. Blmbg Aggregate, 26. S&P 500 Index, 25. MSCI ACWI ex US IMI, 9. NCREIF NFI-ODCE Val Wt Gr, 8. Russell 2500 Index and 5. CPI-W

131 Total Fund Period Ended September 30, 2017 Investment Philosophy The total fund return stream starts the third quarter of Quarterly Summary and Highlights Total Fund s portfolio posted a 3.98% return for the quarter placing it in the 12 percentile of the Callan Public Fund Sponsor Database group for the quarter and in the 10 percentile for the last year. Total Fund s portfolio outperformed the Total Fund Benchmark by 0.38% for the quarter and outperformed the Total Fund Benchmark for the year by 2.59%. Performance vs Callan Public Fund Sponsor Database (Gross) 16% 14% (10) 12% (55) (2) 1 8% (26) (3) (23) (49) (60) 6% (43) (15) 4% (41) (12) 2% Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 29 Years Year 10th Percentile th Percentile Median th Percentile th Percentile Total Fund Total Fund Benchmark Relative Return vs Total Fund Benchmark Callan Public Fund Sponsor Database (Gross) Annualized Five Year Risk vs Return 2. 14% Relative Returns 1.5% % 0. (0.5%) Returns 12% 1 8% 6% 4% Total Fund Benchmark Total Fund (1.) 2% (1.5%) Total Fund Standard Deviation 43

132 Total Fund Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Public Fund Sponsor Database (Gross) (1) (2) (3) (4) /16-9/ th Percentile (12.59) 25th Percentile (20.71) Median (25.43) 75th Percentile (0.84) (0.30) (27.96) 90th Percentile (1.92) (1.58) (30.14) Total Fund (0.21) (27.50) Total Fund Benchmark (26.57) Cumulative and Quarterly Relative Return vs Total Fund Benchmark Relative Returns 1 8% 6% 4% 2% (2%) (4%) (6%) (8%) Total Fund Callan Public Fund Spr DB Risk Adjusted Return Measures vs Total Fund Benchmark Rankings Against Callan Public Fund Sponsor Database (Gross) Five Years Ended September 30, (11) (10) (1) (1) (2) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile (0.06) Median (0.56) 1.66 (0.61) 75th Percentile (1.50) 1.44 (1.22) 90th Percentile (2.39) 1.21 (1.44) Total Fund

133 Total Fund Total Fund vs Target Risk Analysis Risk Analysis The graphs below analyze the performance and risk of the fund relative to the appropriate target mix. This relative performance is compared to a peer group of funds wherein each member fund is measured against its own target mix. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the target. The second scatter chart displays the relationship, sometimes called Information Ratio, between alpha (market-risk or "beta" adjusted return) and residual risk (non-market or "unsystematic" risk). The third chart shows tracking error patterns over time compared to the range of tracking error patterns for the peer group. The last two charts show the ranking of the fund s risk statistics versus the peer group. Risk Analysis vs Callan Public Fund Sponsor Database Five Years Ended September 30, 2017 Excess Return (0.5 ) (1.0 ) Total Fund Alpha (0.5 ) (1.0 ) (1.5 ) (2.0 ) Total Fund (1.5 ) Tracking Error (2.5 ) Residual Risk Rolling 12 Quarter Tracking Error vs Targets Compared to Callan Public Fund Sponsor Database Total Fund Group Median Tracking Error Risk Statistics Rankings vs Targets Rankings Against Callan Public Fund Sponsor Database Five Years Ended September 30, % % % 0. (0.5%) (1.) (1.5%) (4) (36) Excess Alpha Tracking Return Error 10th Percentile th Percentile Median th Percentile (0.26) (0.22) th Percentile (1.00) (1.12) 0.14 Total Fund (43) (0.5) (1.0) (1.5) (34) (29) (16) Rel. Std. Beta Excess Info. Deviation Rtn. Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.23) (0.19) 90th Percentile (0.59) (0.99) Total Fund (37) 45

134 Total Fund Projected Risk Analysis as of September 30, 2017 The following is forward-looking analysis of the projected long-term total fund risk, return, and diversification benefits (improvement in risk and Sharpe ratio) using long-term capital market assumptions. The top table displays the projected results and diversification benefits for the total fund using both the actual and target asset allocations. The middle and bottom exhibits give a detailed attribution by asset class of the sources of projected total fund risk and return. This analysis juxtaposes dollar weights with projected risk weights and examines the projected risk and return contribution by asset class. Capital Market Assumptions: Callan 2017 Total Fund Projected Risk Profile Projected Projected Projected Risk w/o Risk Sharpe Return Risk Sharpe Diversification Diversification Diversification Current Asset Allocation 6.19% 13.32% % 1.96% 0.04% Target Asset Allocation 6.14% 13.01% % % Projected Risk and Return Sources % 16% 14% 12% 1 8% 6% 4% 2% Current $ Weights Current Risk Weights Current Return Contrib Current Risk Contrib Intl Equity Large Cap Broad Eq Small/Mid Cap Broad Real Estate Infrastructure Cash Equiv Domestic Fixed Detailed Risk and Return Sources by Asset Class Current Target Current Target Projected Projected Projected Dollar Dollar Projected Projected Risk Risk Return Risk Rtn/Risk Weight Weight Return Risk Weight Weight Contrib Contrib Contrib Intl Equity 25.99% % % 38.09% 1.95% 5.16% 0.38x Large Cap Broad Eq 25.74% % % 33.92% 1.86% 4.36% 0.43x Small/Mid Cap Broad 7.88% % % 13.17% 0.59% 1.69% 0.35x Real Estate 9.27% % 16.35% 8.89% 8.84% 0.57% 1.18% 0.48x Infrastructure 5.83% % 18.95% % x Cash Equiv 0.21% % 0.9 (0.0) % (0.0) (105.93x) Domestic Fixed 25.08% % 3.75% (0.59%) (0.62%) 0.81% (0.08%) (10.36x) 46

135 Domestic Equity Domestic Equity

136 Domestic Equity Period Ended September 30, 2017 Investment Philosophy The Total Domestic Equity target is currently composed of 78% S&P 500 Index and 22% Russell 2500 Index. Quarterly Summary and Highlights Domestic Equity s portfolio posted a 4.63% return for the quarter placing it in the 52 percentile of the Pub Pln- Domestic Equity group for the quarter and in the 12 percentile for the last year. Domestic Equity s portfolio outperformed the Total Domestic Equity Target by 0.09% for the quarter and outperformed the Total Domestic Equity Target for the year by 2.13%. Quarterly Asset Growth Beginning Market Value $262,965,970 Net New Investment $-1,323,730 Investment Gains/(Losses) $11,851,904 Ending Market Value $273,494,144 Percent Cash: 1.1% Performance vs Pub Pln- Domestic Equity (Gross) 25% 2 (66) (12) 15% (43) (2) 1 (38) (4) (44) (30) 5% (60) (52) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Domestic Equity Total Domestic Equity Target Relative Returns vs Total Domestic Equity Target Pub Pln- Domestic Equity (Gross) Annualized Five Year Risk vs Return 2.5% 17% % 16% 15% Domestic Equity Relative Returns % 0. (0.5%) (1.) Returns 14% 13% 12% 11% Total Domestic Equity Target (1.5%) 1 (2.) 9% (2.5%) Domestic Equity 8% Standard Deviation 48

137 Domestic Equity Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- Domestic Equity (Gross) (2) (4) (6) /16-9/ th Percentile (35.14) 25th Percentile (36.36) Median (37.42) 75th Percentile (1.03) (1.19) (39.33) 90th Percentile (2.49) (2.61) (41.20) Domestic Equity (0.99) (39.36) Total Domestic Equity Target (36.92) Cumulative and Quarterly Relative Return vs Total Domestic Equity Target Relative Returns 7% 6% 5% 4% 3% 2% 1% (1%) (2%) (3%) Domestic Equity Pub Pln- Dom Equity Risk Adjusted Return Measures vs Total Domestic Equity Target Rankings Against Pub Pln- Domestic Equity (Gross) Five Years Ended September 30, (1) (2) (9) (8) (1) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.27) 1.71 (0.04) 75th Percentile (0.96) 1.61 (0.38) 90th Percentile (2.27) 1.44 (0.76) Domestic Equity

138 Domestic Equity Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Pub Pln- Domestic Equity (Gross) Five Years Ended September 30, Domestic Equity 0 Excess Return (1 ) (2 ) (3 ) (4 ) (5 ) (6 ) Tracking Error Market Capture vs Total Domestic Equity Target Rankings Against Pub Pln- Domestic Equity (Gross) Five Years Ended September 30, Up Market Capture (3) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile Domestic Equity (82) Risk Statistics Rankings vs Total Domestic Equity Target Rankings Against Pub Pln- Domestic Equity (Gross) Five Years Ended September 30, % 8% 7% 6% 5% 4% 3% 2% 1% (38) (69) (56) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Domestic Equity Beta (30) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Domestic Equity (42) 50

139 Current Holdings Based Style Analysis Domestic Equity As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Pub Pln- Dom Equity Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large 23.8% (110) 17.5% (90) 27.3% (102) 68.6% (302) Large 28.3% (110) 20.3% (88) 25.7% (97) 74.4% (295) Mid Russell 3000 Index Domestic Equity Mid Small 5.6% (168) 6.9% (192) 8.2% (131) 20.7% (491) 5. (170) 6.5% (224) 5.7% (197) 17.2% (591) Domestic Equity 2. (86) 4.3% (96) 3.3% (77) Russell 9.5% 3000 (259) Index 2.2% (324) 3. (476) 2.3% (382) 7.5% (1182) Micro 0.4% (12) 0.6% (21) 0.2% (8) 1.3% (41) 0.3% (296) 0.4% (370) 0.3% (221) 1. (887) Small Total 31.8% (376) 29.3% (399) 38.9% (318) 100. (1093) Micro Value Core Growth 35.9% (900) 30.2% (1158) 33.9% (897) 100. (2955) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=Domestic Equity (Combined Z: 0.14 Growth Z: 0.04 Value Z: -0.09) Bar #2=Russell 3000 Index (Combined Z: Growth Z: 0.00 Value Z: 0.01) (900) (376) 35.9% 31.8% (399) 29.3% (1158) 30.2% (318) 38.9% (897) 33.9% Large Mid Small Micro 2 1 Value Core Growth Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=Domestic Equity Bar #2=Russell 3000 Index COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 51

140 Domestic Equity Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Apple Inc Information Technology $5,680, % 7.45% % 13.0 Microsoft Corp Information Technology $5,467, % % 11.0 Amazon.Com Consumer Discretionary $5,413, (0.69)% Facebook Inc Cl A Information Technology $4,614, % 13.17% % Alphabet Inc Cl A Information Technology $3,893, % 4.74% Visa Inc Com Cl A Information Technology $3,424, % % 16.39% Priceline Grp Inc Consumer Discretionary $3,221, % (2.12)% Berkshire Hathaway Inc Del Cl B New Financials $3,126, % 8.24% Exxon Mobil Corp Energy $3,101, % 2.54% % 14.25% JPMorgan Chase & Co Financials $3,016, % 5.06% % 11.05% 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Spectrum Pharmaceuticals Inc Health Care $64, % 1.19 (18.34) % Advanced Accelerator Applic Sponsore Health Care $67, % 2.97 (133.11) Meritor Inc Com Industrials $148, % 56.59% Juno Therapeutics Inc Health Care $12, % 5.01 (14.05) Amicus Therapeutics Inc Health Care $196, % 49.75% 2.48 (14.05) Nrg Energy Inc Utilities $63, % % (11.46)% Alnylam Pharmaceuticals Inc Health Care $399, % (22.36) Preformed Line Prods Co Industrials $64, % % - Alcoa Corporation Materials $38, % Avis Budget Group Industrials $129, % Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Team Inc Industrials $22, (43.07)% % Uniti Group Inc Real Estate $10, (39.30)% 2.57 ( ) 16.37% - Tahoe Res Inc Materials $7, (38.84)% (2.05)% Spirit Airls Inc Industrials $10, (35.31)% % Rite Aid Corp Consumer Staples $4, (33.56)% 2.06 (18.15) 0.0 (30.12)% Countrywide Real Estate $0 0. (33.40)% (4.86)% Dicks Sporting Goods Consumer Discretionary $2, (31.76)% % 8.3 Evolent Health Inc Cl A Health Care $135, (29.78)% 1.33 (191.40) Mednax Inc Health Care $17, (28.57)% Envision Healthcare Corp Health Care $77, (28.28)%

141 Large Cap Equity Period Ended September 30, 2017 Investment Philosophy Large Cap Broad peer group reflects both growth and value managers that invest in the common stock of US-based companies whose market capitalization tends to fall within the range of the Russell 1000 Index or the S&P 500 Index. Quarterly Summary and Highlights Large Cap Equity s portfolio posted a 4.98% return for the quarter placing it in the 40 percentile of the Callan Large Capitalization group for the quarter and in the 34 percentile for the last year. Large Cap Equity s portfolio outperformed the S&P 500 Index by 0.5 for the quarter and outperformed the S&P 500 Index for the year by 2.51%. Quarterly Asset Growth Beginning Market Value $200,902,406 Net New Investment $-1,493,706 Investment Gains/(Losses) $9,967,341 Ending Market Value $209,376,040 Percent Cash: 0.6% Performance vs Callan Large Capitalization (Gross) 3 25% 2 (60) (34) 15% (53) (26) 1 (40) (31) (58) (64) 5% (58) (40) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Large Cap Equity S&P 500 Index Relative Return vs S&P 500 Index Callan Large Capitalization (Gross) Annualized Five Year Risk vs Return 3% 22% 2% 2 Relative Returns 1% (1%) Returns 18% 16% 14% 12% Large Cap Equity S&P 500 Index (2%) 1 (3%) Large Cap Equity 8% Standard Deviation 53

142 Large Cap Equity Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Capitalization (Gross) (2) (4) (6) /16-9/ th Percentile (33.00) 25th Percentile (34.91) Median (36.77) 75th Percentile (2.03) (2.70) (39.91) 90th Percentile (4.20) (4.54) (43.92) Large Cap Equity (1.34) (39.32) S&P 500 Index (37.00) Cumulative and Quarterly Relative Return vs S&P 500 Index Relative Returns 6% 5% 4% 3% 2% 1% (1%) (2%) (3%) Large Cap Equity Callan Large Cap Risk Adjusted Return Measures vs S&P 500 Index Rankings Against Callan Large Capitalization (Gross) Five Years Ended September 30, (1) (2) (37) (11) (6) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.13) th Percentile (1.24) 1.50 (0.24) 90th Percentile (2.13) 1.34 (0.52) Large Cap Equity

143 Large Cap Equity Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Large Capitalization (Gross) Five Years Ended September 30, Excess Return (2 ) Large Cap Equity (4 ) (6 ) Tracking Error Market Capture vs S&P 500 Index Rankings Against Callan Large Capitalization (Gross) Five Years Ended September 30, Up Market Capture (26) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile Large Cap Equity (58) Risk Statistics Rankings vs S&P 500 Index Rankings Against Callan Large Capitalization (Gross) Five Years Ended September 30, % 1 8% 6% 4% 2% (71) (96) (97) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Large Cap Equity Beta (36) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Large Cap Equity (4) 55

144 Current Holdings Based Style Analysis Large Cap Equity As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Large Cap Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large S&P 500 Index Large Cap Equity Large 31. (110) 22.3% (90) 34.6% (102) 87.9% (302) 34.3% (109) 24.6% (88) 30.5% (90) 89.4% (287) Mid 4.5% (164) 4.2% (186) 2.8% (101) 11.4% (451) Mid Small 3.7% (80) 4.1% (81) 2.6% (49) 10.5% (210) Large Cap Equity 0.4% (60) 0.2% (40) 0.1% (20) S&P % Index (120) 0.1% (4) 0. (1) 0. (2) 0.1% (7) Micro 0. (1) 0. (1) 0. (0) 0. (2) 0. (0) 0. (0) 0. (0) 0. (0) Small Total 35.9% (335) 26.7% (317) 37.4% (223) 100. (875) Micro Value Core Growth 38.1% (193) 28.8% (170) 33.1% (141) 100. (504) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=Large Cap Equity (Combined Z: 0.11 Growth Z: 0.06 Value Z: -0.05) Bar #2=S&P 500 Index (Combined (193) Z: Growth Z: 0.00 Value Z: 0.03) (335) 35.9% 38.1% (170) (317) 26.7% 28.8% (223) 37.4% (141) 33.1% Large Mid Small Micro 2 1 Value Core Growth Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=Large Cap Equity Bar #2=S&P 500 Index COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 56

145 Large Cap Equity Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Apple Inc Information Technology $5,680, % 7.45% % 13.0 Microsoft Corp Information Technology $5,467, % 8.64% % 11.0 Amazon.Com Consumer Discretionary $5,413, % (0.69)% Facebook Inc Cl A Information Technology $4,614, % 13.17% % Alphabet Inc Cl A Information Technology $3,893, % 4.74% Visa Inc Com Cl A Information Technology $3,424, % % 16.39% Priceline Grp Inc Consumer Discretionary $3,221, % (2.12)% Berkshire Hathaway Inc Del Cl B New Financials $3,126, % 8.24% Exxon Mobil Corp Energy $3,101, % 2.54% % 14.25% JPMorgan Chase & Co Financials $3,016, % 5.06% % 11.05% 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Juno Therapeutics Inc Health Care $12, % 5.01 (14.05) Nrg Energy Inc Utilities $63, % % (11.46)% Alnylam Pharmaceuticals Inc Health Care $399, % (22.36) Alcoa Corporation Materials $38, % Orbital Atk Inc Industrials $34, % % 10.01% International Game Technolog Shs Usd Consumer Discretionary $11, % % (12.83)% Spirit Aerosystems Hldgs Inc Com Cl Industrials $42, % % 9.32% Gap Consumer Discretionary $57, % % 5.5 Hollyfrontier Corp Energy $28, % % 72.3 Michael Kors Hldgs Ltd Shs Consumer Discretionary $60, (2.16)% 10 Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Uniti Group Inc Real Estate $10, (39.30)% 2.57 ( ) 16.37% - Tahoe Res Inc Materials $7, (38.84)% (2.05)% Spirit Airls Inc Industrials $10, (35.31)% % Rite Aid Corp Consumer Staples $4, (33.56)% 2.06 (18.15) 0.0 (30.12)% Countrywide Real Estate $0 0. (33.40)% (4.86)% Dicks Sporting Goods Consumer Discretionary $2, (31.76)% % 8.3 Mednax Inc Health Care $17, (28.57)% Envision Healthcare Corp Health Care $46, (28.28)% Foot Locker Inc Consumer Discretionary $39, (28.07)% % (0.90)% Brookdale Sr Living Inc Health Care $9, (27.94)% 1.97 (13.87)

146 Alliance S&P Index Period Ended September 30, 2017 Investment Philosophy Alliance uses a stratified sampling methodology and purchases a majority of the index stocks to replicate the Standard and Poor s 500. The product was funded during the third quarter of Quarterly Summary and Highlights Alliance S&P Index s portfolio posted a 4.46% return for the quarter placing it in the 57 percentile of the Callan Large Cap Core group for the quarter and in the 53 percentile for the last year. Alliance S&P Index s portfolio underperformed the S&P 500 Index by 0.02% for the quarter and underperformed the S&P 500 Index for the year by 0.09%. Quarterly Asset Growth Beginning Market Value $60,461,580 Net New Investment $-7,937 Investment Gains/(Losses) $2,695,965 Ending Market Value $63,149,608 Percent Cash: 0.3% Performance vs Callan Large Cap Core (Gross) 25% 2 (53) (53) 15% (49) (49) 1 (37) (37) (81) (81) (62) (62) 5% (55) (57) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 28-3/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile Alliance S&P Index S&P 500 Index Relative Return vs S&P 500 Index Callan Large Cap Core (Gross) Annualized Five Year Risk vs Return 0.15% 17% % Relative Returns 0.05% 0.0 (0.05%) Returns 15% 14% 13% Alliance S&P Index S&P 500 Index (0.1) 12% (0.15%) Alliance S&P Index 11% Standard Deviation 58

147 Alliance S&P Index Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Cap Core (Gross) (1) (2) (3) (4) (5) /16-9/ th Percentile (31.85) 25th Percentile (34.26) Median (36.37) 75th Percentile (1.10) (1.59) (37.90) 90th Percentile (2.41) (3.64) (40.00) Alliance S&P Index (36.73) S&P 500 Index (37.00) Cumulative and Quarterly Relative Return vs S&P 500 Index % Relative Returns % % 0. (0.5%) (1.) Alliance S&P Index Callan Large Cap Core Risk Adjusted Return Measures vs S&P 500 Index Rankings Against Callan Large Cap Core (Gross) Five Years Ended September 30, (1) (2) (35) (26) (89) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.29) 1.73 (0.03) 75th Percentile (1.35) 1.58 (0.37) 90th Percentile (2.17) 1.47 (0.83) Alliance S&P Index (0.76) 59

148 Alliance S&P Index Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Large Cap Core (Gross) Five Years Ended September 30, Excess Return 1 0 (1 ) (2 ) Alliance S&P Index (3 ) (4 ) Tracking Error Market Capture vs S&P 500 Index Rankings Against Callan Large Cap Core (Gross) Five Years Ended September 30, Up Market Capture (55) (57) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile Alliance S&P Index Risk Statistics Rankings vs S&P 500 Index Rankings Against Callan Large Cap Core (Gross) Five Years Ended September 30, % 1 8% 6% 4% 2% (87) Standard (100) Downside (100) Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Alliance S&P Index Beta (63) (1) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Alliance S&P Index

149 Alliance S&P Index Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Large Cap Core as of September 30, 2017 Percentile Ranking (37) (37) (46) (46) (27) (27) (57) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile (0.06) 90th Percentile (0.15) Alliance S&P Index (0.03) S&P 500 Index (0.03) (57) (15) (15) (60) (60) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio s market value. Information Technology Financials Health Care Consumer Discretionary Industrials Consumer Staples Energy Utilities Real Estate Materials Telecommunications Sector Allocation September 30, % 1 15% 2 25% 3 5 Mgr MV 5 Mgr MV Sector Diversification Manager 2.81 sectors Index 2.81 sectors Alliance S&P Index S&P 500 Index Callan Large Cap Core Diversification September 30, 2017 Number of Securities (1) (5) Issue Diversification 10th Percentile th Percentile Median th Percentile th Percentile Alliance S&P Index S&P 500 Index Diversification Ratio Manager 11% Index 11% Style Median 27% 61

150 Current Holdings Based Style Analysis Alliance S&P Index As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Large Cap Core Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large S&P 500 Index Alliance S&P Index Large 34.4% (109) 24.6% (87) 30.6% (90) 89.6% (286) 34.3% (109) 24.6% (88) 30.5% (90) 89.4% (287) Mid 3.7% (80) 4.1% (81) 2.6% (49) 10.3% (210) Mid Small 3.7% (80) 4.1% (81) 2.6% (49) 10.5% (210) Alliance S&P Index 0.1% (4) 0. (1) 0. (2) S&P % Index (7) 0.1% (4) 0. (1) 0. (2) 0.1% (7) Micro 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) Small Total 38.1% (193) 28.7% (169) 33.2% (141) 100. (503) Micro Value Core Growth 38.1% (193) 28.8% (170) 33.1% (141) 100. (504) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=Alliance S&P Index (Combined Z: Growth Z: 0.00 Value Z: 0.03) Bar #2=S&P (193) 500 Index (Combined (193) Z: Growth Z: 0.00 Value Z: 0.03) 38.1% 38.1% (141) (169) (170) 33.2% 28.7% 28.8% (141) 33.1% Large Mid Small Micro 2 1 Value Core Growth Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=Alliance S&P Index Bar #2=S&P 500 Index COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 62

151 Alliance S&P Index Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Apple Inc Information Technology $2,325, % 7.45% % 13.0 Microsoft Corp Information Technology $1,676, % 8.63% % 11.0 Facebook Inc Cl A Information Technology $1,178, % 13.15% % Amazon.Com Consumer Discretionary $1,112, % (0.72)% Johnson & Johnson Health Care $1,024, % (1.09)% % 6.2 Berkshire Hathaway Inc Del Cl B New Financials $1,014, % 8.23% Exxon Mobil Corp Energy $1,013, % 2.54% % 14.25% JPMorgan Chase & Co Financials $990, % 5.05% % 11.05% Alphabet Inc Cl A Information Technology $849, % 4.73% Alphabet Inc Cl C Information Technology $841, % 5.49% Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Nrg Energy Inc Utilities $23, % % (11.46)% Alcoa Corporation Materials $ % Gap Consumer Discretionary $18, % % 5.5 Michael Kors Hldgs Ltd Shs Consumer Discretionary $21, (2.16)% Micron Technology Inc Information Technology $118, % 31.71% (18.20)% Lam Research Corp Information Technology $87, % 31.18% % 20.9 Albemarle Corp Materials $42, % 29.48% % 15.0 Boeing Co Industrials $425, % 29.35% % 17.84% Cf Inds Hldgs Inc Materials $23, % % 32.08% Applied Matls Inc Information Technology $162, % 26.38% % Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Countrywide Real Estate $0 0. (33.40)% (4.86)% Envision Healthcare Corp Health Care $14, (28.28)% Foot Locker Inc Consumer Discretionary $13, (28.07)% % (0.90)% Mattel Inc Consumer Discretionary $15, (27.44)% % 10.0 Scana Corp Utilities $19, (26.89)% % 5.5 Chipotle Mexican Grill Inc Consumer Discretionary $29, (26.02)% (17.60)% Under Armour Inc Cl C Consumer Discretionary $7, (25.50)% Under Armour Inc Cl A Consumer Discretionary $8, (24.26)% Equifax Industrials $38, % (22.66)% % 10.0 L Brands Inc Consumer Discretionary $29, (21.60)% %

152 PIMCO StocksPLUS Period Ended September 30, 2017 Investment Philosophy PIMCO s StocksPLUS investment philosophy is based on the principal that stock index futures and swaps, when used as a non-leveraged vehicle for obtaining long-term equity exposure, offer an attractive means for enhancing equity market returns. The strategy seeks a longer time horizon of their investors relative to that of typical money market investors. This long time horizon allows PIMCO to use their fixed income and associated risk management skill set to seek out attractive yields relative to money market financing rates on a portion of the high quality fixed-income securities they use to back the futures contracts. Since they only require sufficient liquidity to meet a worst case margin outflow caused by a stock market decline, a portion of their fixed-income portfolio can be invested in somewhat less liquid, higher yielding securities. In addition, they generally take advantage of the typical upward slope of the short end of the yield curve by extending their duration to six months in most market environments and sometimes up to one year. PIMCO also feels that it is appropriate in most market environments to capture both the credit yield premium provided by holding a portion of the fixed-income portfolio in low duration corporate securities and the volatility yield premium provided by holding high quality mortgage securities. The product was funded during the first quarter of Quarterly Summary and Highlights PIMCO StocksPLUS s portfolio posted a 4.65% return for the quarter placing it in the 52 percentile of the Callan Large Capitalization group for the quarter and in the 53 percentile for the last year. PIMCO StocksPLUS s portfolio outperformed the S&P 500 Index by 0.17% for the quarter and outperformed the S&P 500 Index for the year by 0.7. Quarterly Asset Growth Beginning Market Value $32,002,141 Net New Investment $0 Investment Gains/(Losses) $1,487,994 Ending Market Value $33,490,135 Percent Cash: 0. Performance vs Callan Large Capitalization (Gross) 3 25% 2 15% 1 5% (58) (52) (60) (53) (40) (41) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 11-1/2 Year Years 10th Percentile th Percentile Median th Percentile th Percentile PIMCO StocksPLUS S&P 500 Index (53) (29) (58) (13) (62) (12) Relative Return vs S&P 500 Index Callan Large Capitalization (Gross) Annualized Five Year Risk vs Return 2% 22% 2 Relative Returns 1% (1%) Returns 18% 16% 14% 12% PIMCO StocksPLUS S&P 500 Index 1 (2%) PIMCO StocksPLUS 8% Standard Deviation 64

153 PIMCO StocksPLUS Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Capitalization (Gross) (2) (4) (6) /16-9/ th Percentile (33.00) 25th Percentile (34.91) Median (36.77) 75th Percentile (2.03) (2.70) (39.91) 90th Percentile (4.20) (4.54) (43.92) PIMCO StocksPLUS (41.18) S&P 500 Index (37.00) Cumulative and Quarterly Relative Return vs S&P 500 Index 5% 4% Relative Returns 3% 2% 1% (1%) (2%) (3%) PIMCO StocksPLUS Callan Large Cap Risk Adjusted Return Measures vs S&P 500 Index Rankings Against Callan Large Capitalization (Gross) Five Years Ended September 30, (1) (2) (58) (22) (6) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.13) th Percentile (1.24) 1.50 (0.24) 90th Percentile (2.13) 1.34 (0.52) PIMCO StocksPLUS (0.47)

154 PIMCO StocksPLUS Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Large Capitalization (Gross) Five Years Ended September 30, Excess Return (2 ) PIMCO StocksPLUS (4 ) (6 ) Tracking Error Market Capture vs S&P 500 Index Rankings Against Callan Large Capitalization (Gross) Five Years Ended September 30, Up Market Capture (25) (33) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile PIMCO StocksPLUS Risk Statistics Rankings vs S&P 500 Index Rankings Against Callan Large Capitalization (Gross) Five Years Ended September 30, % 1 8% 6% 4% 2% (56) (98) (98) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile PIMCO StocksPLUS Beta (17) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile PIMCO StocksPLUS (1) 66

155 BlackRock Russell 1000 Value Period Ended September 30, 2017 Investment Philosophy The objective of the Russell 1000 Value Index Fund is to track the performance of its benchmark, the Russell 1000 Value Index. They seek to deliver a high quality and cost-effective index-based solution to institutional investors. The product was funded during the second quarter of Quarterly Summary and Highlights BlackRock Russell 1000 Value s portfolio posted a 3.13% return for the quarter placing it in the 81 percentile of the Callan Large Cap Value group for the quarter and in the 88 percentile for the last year. BlackRock Russell 1000 Value s portfolio outperformed the Russell 1000 Value Index by 0.01% for the quarter and outperformed the Russell 1000 Value Index for the year by 0.06%. Quarterly Asset Growth Beginning Market Value $52,997,112 Net New Investment $-5,202 Investment Gains/(Losses) $1,656,134 Ending Market Value $54,648,045 Percent Cash: (0.0)% Performance vs Callan Large Cap Value (Gross) 3 25% 2 15% (88) (88) (69) (67) 1 5% (81) (81) (69) (67) (80) (75) (83) (81) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 16-1/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile BlackRock Russell 1000 Value Russell 1000 Value Index Relative Return vs Russell 1000 Value Index Callan Large Cap Value (Gross) Annualized Five Year Risk vs Return 0.15% 19% % 0.05% 17% Relative Returns 0.0 (0.05%) (0.1) (0.15%) Returns 16% 15% 14% 13% BlackRock Russell 1000 Value Russell 1000 Value Index (0.2) 12% (0.25%) 11% (0.3) BlackRock Russell 1000 Value Standard Deviation 67

156 BlackRock Russell 1000 Value Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Cap Value (Gross) (2) (4) (6) /16-9/ th Percentile (32.84) 25th Percentile (1.15) (34.74) Median (2.56) (35.88) 75th Percentile (4.58) (2.48) (38.62) 90th Percentile (6.38) (5.19) (44.92) BlackRock Russell 1000 Value (3.62) (36.74) Russell 1000 Value Index (3.83) (36.85) Cumulative and Quarterly Relative Return vs Russell 1000 Value Index Relative Returns % % % 0. (0.5%) (1.) (1.5%) BlackRock Russell 1000 Value Callan Large Cap Value Risk Adjusted Return Measures vs Russell 1000 Value Index Rankings Against Callan Large Cap Value (Gross) Five Years Ended September 30, (0.5) (1.0) (1.5) (74) (60) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.04) 90th Percentile (0.74) 1.33 (0.25) BlackRock Russell 1000 Value (38) 68

157 BlackRock Russell 1000 Value Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Large Cap Value (Gross) Five Years Ended September 30, Excess Return (1 ) (2 ) BlackRock Russell 1000 Value (3 ) Tracking Error Market Capture vs Russell 1000 Value Index Rankings Against Callan Large Cap Value (Gross) Five Years Ended September 30, Up Market Capture (61) (33) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile BlackRock Russell 1000 Value Risk Statistics Rankings vs Russell 1000 Value Index Rankings Against Callan Large Cap Value (Gross) Five Years Ended September 30, % 1 8% 6% 4% 2% (64) Standard (100) Downside (100) Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile BlackRock Russell 1000 Value Beta (38) (1) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile BlackRock Russell 1000 Value

158 BlackRock Russell 1000 Value Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Large Cap Value as of September 30, 2017 Percentile Ranking (53) (53) (29) (29) (71) (71) (73) (73) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile (0.23) 25th Percentile (0.42) Median (0.62) 75th Percentile (0.75) 90th Percentile (0.89) BlackRock Russell 1000 Value (0.79) Russell 1000 Value Index (0.79) (26) (27) (81) (81) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio s market value. Financials Health Care Energy Consumer Staples Industrials Information Technology Consumer Discretionary Utilities Real Estate Telecommunications Materials Miscellaneous Sector Allocation September 30, % 1 15% 2 25% 3 35% BlackRock Russell 1000 Value Callan Large Cap Value 5 Mgr MV 5 Mgr MV Sector Diversification Manager 2.93 sectors Index 2.89 sectors Russell 1000 Value Index Diversification September 30, 2017 Number of Securities (1) (1) Issue Diversification 10th Percentile th Percentile Median th Percentile th Percentile BlackRock Russell 1000 Value Russell 1000 Value Index Diversification Ratio Manager 6% Index 6% Style Median 32% 70

159 Current Holdings Based Style Analysis BlackRock Russell 1000 Value As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Large Cap Value Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large BlackRock Russell 1000 Value Russell 1000 Value Index Large Mid 54.5% (107) 20.7% (68) 2.7% (25) 77.9% (200) 54.2% (106) 20.8% (68) 2.7% (25) 77.8% (199) 9.6% (161) 7.6% (164) 2.5% (72) 19.8% (397) Mid Small 9.7% (161) 7.6% (163) 2.6% (73) 19.9% (397) BlackRock Russell 1000 Value 1.4% (59) 0.7% (38) Russell 0.2% 1000 (18) Value 2.3% Index(115) 1.4% (59) 0.7% (38) 0.3% (19) 2.3% (116) Micro 0. (0) 0. (1) 0. (0) 0. (1) 0. (0) 0. (0) 0. (0) 0. (0) Small Total 65.4% (327) 29. (271) 5.5% (115) 100. (713) Micro Value Core Growth 65.2% (326) 29.2% (269) 5.6% (117) 100. (712) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=BlackRock Russell 1000 Value (Combined Z: Growth Z: Value Z: 0.49) Bar #2=Russell (327) 1000 Value (326) Index (Combined Z: Growth Z: Value Z: 0.49) 65.4% 65.2% (271) 29. (269) 29.2% (115) 5.5% Value Core Growth (117) 5.6% Large Mid Small Micro Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=BlackRock Russell 1000 Value Bar #2=Russell 1000 Value Index COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 71

160 BlackRock Russell 1000 Value Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Berkshire Hathaway Inc Del Cl B New Financials $1,566, % 8.24% Exxon Mobil Corp Energy $1,543, % 2.54% % 14.25% JPMorgan Chase & Co Financials $1,500, % 5.06% % 11.05% Johnson & Johnson Health Care $1,318, % (1.10)% % 6.2 Bank Amer Corp Financials $1,109, % % 10.94% Wells Fargo & Co New Financials $1,100, % % 6.03% At&t Inc Telecommunications $1,069, % Chevron Corp New Energy $985, % 13.76% % 42.6 Procter & Gamble Co Consumer Staples $981, % 5.21% % 6.3 Pfizer Health Care $937, % 7.31% % Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Juno Therapeutics Inc Health Care $12, % 5.01 (14.05) Nrg Energy Inc Utilities $27, % 48.78% % (11.46)% Alnylam Pharmaceuticals Inc Health Care $5, (22.36) Alcoa Corporation Materials $38, % 42.79% Orbital Atk Inc Industrials $34, % 35.77% % 10.01% International Game Technolog Shs Usd Consumer Discretionary $11, % % (12.83)% Spirit Aerosystems Hldgs Inc Com Cl Industrials $42, % 34.31% % 9.32% Gap Consumer Discretionary $29, % 34.29% % 5.5 Hollyfrontier Corp Energy $28, % 32.51% % 72.3 Michael Kors Hldgs Ltd Shs Consumer Discretionary $27, % (2.16)% 10 Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Uniti Group Inc Real Estate $10, (39.30)% 2.57 ( ) 16.37% - Tahoe Res Inc Materials $7, (38.84)% (2.05)% Spirit Airls Inc Industrials $10, (35.31)% % Rite Aid Corp Consumer Staples $4, (33.56)% 2.06 (18.15) 0.0 (30.12)% Dicks Sporting Goods Consumer Discretionary $2, (31.76)% % 8.3 Mednax Inc Health Care $17, (28.57)% Envision Healthcare Corp Health Care $23, (28.28)% Foot Locker Inc Consumer Discretionary $19, (28.07)% % (0.90)% Brookdale Sr Living Inc Health Care $9, (27.94)% 1.97 (13.87) Mattel Inc Consumer Discretionary $19, (27.44)% %

161 T. Rowe Price Large Cap Growth Period Ended September 30, 2017 Investment Philosophy The Large-Cap Growth Strategy is a fundamentally driven, active approach to large company growth investing. The investment philosophy is centered around the manager s belief that long-term growth in earnings and cash flow drive stockholder returns. The product was funded during the first quarter of Performance prior is that of the composite. Quarterly Summary and Highlights T. Rowe Price Large Cap Growth s portfolio posted a 7.5 return for the quarter placing it in the 7 percentile of the Callan Large Cap Growth group for the quarter and in the 3 percentile for the last year. T. Rowe Price Large Cap Growth s portfolio outperformed the Russell 1000 Growth Index by 1.6 for the quarter and outperformed the Russell 1000 Growth Index for the year by 9.03%. Quarterly Asset Growth Beginning Market Value $55,441,573 Net New Investment $-1,480,567 Investment Gains/(Losses) $4,127,247 Ending Market Value $58,088,253 Percent Cash: 1.8% Performance vs Callan Large Cap Growth (Gross) 35% 3 (3) 25% 2 15% 1 5% (32) (7) (38) (31) (6) (41) (3) (30) (5) (44) (6) Last Quarter Last Last 3 Years Last 5 Years Last 5-1/2 Last 10 Years Year Years 10th Percentile th Percentile Median th Percentile th Percentile T. Rowe Price Large Cap Growth Russell 1000 Growth Index Relative Return vs Russell 1000 Growth Index Callan Large Cap Growth (Gross) Annualized Five Year Risk vs Return 8% 22% Relative Returns 6% 4% 2% (2%) (4%) (6%) (8%) Returns 2 18% 16% 14% 12% 1 T. Rowe Price Large Cap Growth Russell 1000 Growth Index (1) T. Rowe Price Large Cap Growth 8% Standard Deviation 73

162 T. Rowe Price Large Cap Growth Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Large Cap Growth (Gross) (2) (4) (6) /16-9/ th Percentile (33.81) 25th Percentile (36.57) Median (0.28) (39.49) 75th Percentile (3.31) (42.96) 90th Percentile (2.03) (4.87) (46.98) T. Rowe Price Large Cap Growth (1.19) (40.39) Russell 1000 Growth Index (38.44) Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index 2 Relative Returns 15% 1 5% (5%) (1) T. Rowe Price Large Cap Growth Callan Large Cap Growth Risk Adjusted Return Measures vs Russell 1000 Growth Index Rankings Against Callan Large Cap Growth (Gross) Five Years Ended September 30, (1) (2) (3) (4) (5) (6) (22) (43) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile (0.29) Median (1.13) 1.65 (0.13) 75th Percentile (2.18) 1.45 (0.42) 90th Percentile (4.45) 1.26 (0.95) T. Rowe Price Large Cap Growth (0.05) (7) 74

163 T. Rowe Price Large Cap Growth Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Large Cap Growth (Gross) Five Years Ended September 30, Excess Return (2 ) T. Rowe Price Large Cap Growth (4 ) (6 ) Tracking Error Market Capture vs Russell 1000 Growth Index Rankings Against Callan Large Cap Growth (Gross) Five Years Ended September 30, Up Market Capture (3) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile T. Rowe Price Large Cap Growth (80) Risk Statistics Rankings vs Russell 1000 Growth Index Rankings Against Callan Large Cap Growth (Gross) Five Years Ended September 30, % 12% 1 8% 6% 4% 2% (12) (19) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile T. Rowe Price Large Cap Growth (13) Beta (15) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile T. Rowe Price Large Cap Growth (82) 75

164 T. Rowe Price Large Cap Growth Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Large Cap Growth as of September 30, 2017 Percentile Ranking (44) (20) (61) (13) (20) (44) (54) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile th Percentile *T. Rowe Price Large Cap Growth Russell 1000 Growth Index (9) (10) (77) (64) (21) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio s market value. Information Technology Consumer Discretionary Health Care Industrials Financials Consumer Staples Telecommunications Real Estate Miscellaneous Utilities Materials Energy Sector Allocation September 30, *T. Rowe Price Large Cap Growth Callan Large Cap Growth 5 Mgr MV 5 Mgr MV Sector Diversification Manager 1.46 sectors Index 1.68 sectors Russell 1000 Growth Index Diversification September 30, 2017 Number of Securities (29) (73) Issue Diversification 10th Percentile th Percentile Median th Percentile th Percentile 29 9 *T. Rowe Price Large Cap Growth Russell 1000 Growth Index Diversification Ratio Manager 18% Index 6% Style Median 29% 76

165 Current Holdings Based Style Analysis T. Rowe Price Large Cap Growth As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Large Cap Growth Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large T. Rowe Price Large Cap Growth Russell 1000 Growth Index Large 2.6% (2) 18.8% (10) 73.3% (41) 94.7% (53) 7. (27) 23.2% (68) 53.3% (93) 83.5% (188) Mid 0.9% (1) 1. (2) 3.4% (5) 5.3% (8) Mid Small 0.8% (26) 5.9% (124) 9. (150) 15.7% (300) T. Rowe Price Large Cap Growth 0. (0) 0. (0) Russell (0) Growth 0. Index (0) 0.1% (15) 0.2% (17) 0.4% (27) 0.8% (59) Micro 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) Small Total 3.6% (3) 19.8% (12) 76.7% (46) 100. (61) Micro Value Core Growth 8. (68) 29.4% (209) 62.7% (270) 100. (547) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=T. Rowe Price Large Cap Growth (Combined Z: 1.27 Growth Z: 0.56 Value Z: -0.71) Bar #2=Russell 1000 Growth Index (Combined Z: 0.79 Growth Z: 0.32 Value Z: -0.47) (46) 76.7% (270) 62.7% Large Mid Small Micro 4 2 (3) 3.6% (209) (12) 29.4% (68) 19.8% 8. Value Core Growth Sector Weights Distribution Holdings as of September 30, Bar #1=T. Rowe Price Large Cap Growth Bar #2=Russell 1000 Growth Index Value Core Growth COMMUN CONCYC CONSTA FINANC HEALTH INDEQU PUBUTL REALES TECH ENERGY RAWMAT *9/30/17 portfolio characteristics generated using most recently available holdings (9/30/17) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data. 77

166 T. Rowe Price Large Cap Growth Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Amazon.Com Consumer Discretionary $3,701, % (0.66)% Microsoft Corp Information Technology $2,892, % % 11.0 Priceline Grp Inc Consumer Discretionary $2,813, % (2.13)% Facebook Inc Cl A Information Technology $2,802, % 13.16% % Alphabet Inc Cl A Information Technology $2,590, % 4.74% Visa Inc Com Cl A Information Technology $2,556, % 12.39% % 16.39% Boeing Co Industrials $2,315, % % 17.84% Apple Inc Information Technology $2,108, % 7.44% % 13.0 Unitedhealth Group Health Care $1,602, % 6.02% % 14.83% Alibaba Group Hldg Ltd Sponsored Ads Information Technology $1,561, % 22.58% % 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Alnylam Pharmaceuticals Inc Health Care $393, % 50.96% (22.36) Asml Holding N V N Y Registry Shs Information Technology $243, % 31.38% % 23.3 Boeing Co Industrials $2,315, % % 17.84% Ferrari N V Consumer Discretionary $294, % 28.71% Nvidia Corp Information Technology $143, % % 10.0 Alibaba Group Hldg Ltd Sponsored Ads Information Technology $1,561, % 22.58% % Netflix Inc Consumer Discretionary $366, % 21.41% Centene Corp Del Health Care $214, % 21.11% Tencent Hldgs Ltd Adr Information Technology $641, % 20.35% % 33.42% Paypal Holdings Inc Common Stock Usd Information Technology $1,403, % 19.27% % 10 Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Alaska Air Group Inc Industrials $501, % (14.70)% % 9.64% Incyte Corp Health Care $227, % (7.28)% Tesla Mtrs Inc Consumer Discretionary $361, % (5.76)% (114.62) American Airlines Group Inc Industrials $920, % (5.42)% % 3.9 Philip Morris Intl Inc Consumer Staples $669, % (4.56)% % 10.7 Priceline Grp Inc Consumer Discretionary $2,813, % (2.13)% American Wtr Wks Co Inc New Utilities $149, % (0.89)% % 7.0 Amazon.Com Consumer Discretionary $3,701, % (0.66)% Yum Brands Consumer Discretionary $412, % 0.31% % 14.3 Merck & Co Inc Health Care $547, % 0.62% %

167 Small/Mid Cap Equity Period Ended September 30, 2017 Investment Philosophy SMID Cap Equity Style managers invest in small to medium sized companies. Quarterly Summary and Highlights Small/Mid Cap Equity s portfolio posted a 3.51% return for the quarter placing it in the 77 percentile of the Callan Small/MidCap Broad group for the quarter and in the 55 percentile for the last year. Small/Mid Cap Equity s portfolio underperformed the Russell 2500 Index by 1.23% for the quarter and outperformed the Russell 2500 Index for the year by 0.88%. Quarterly Asset Growth Beginning Market Value $62,063,564 Net New Investment $169,976 Investment Gains/(Losses) $1,884,563 Ending Market Value $64,118,104 Percent Cash: 2.7% Performance vs Callan Small/MidCap Broad (Gross) 3 25% 2 15% (68) (55) (17) (56) (13) 1 (49) (69) (28) 5% (49) (77) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Small/Mid Cap Equity Russell 2500 Index Relative Return vs Russell 2500 Index Callan Small/MidCap Broad (Gross) Annualized Five Year Risk vs Return 5% 19% Relative Returns 4% 3% 2% 1% Returns 18% 17% 16% 15% 14% 13% 12% Small/Mid Cap Equity Russell 2500 Index (1%) 11% 1 (2%) Small/Mid Cap Equity 9% Standard Deviation 79

168 Small/Mid Cap Equity Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Small/MidCap Broad (Gross) (2) (4) (6) (8) /16-9/ th Percentile (30.72) 25th Percentile (34.40) Median (1.13) (1.72) (38.37) 75th Percentile (3.36) (6.03) (43.51) 90th Percentile (6.72) (1.57) (10.27) (48.85) Small/Mid Cap Equity (39.56) Russell 2500 Index (2.90) (2.51) (36.79) Cumulative and Quarterly Relative Return vs Russell 2500 Index Relative Returns 16% 14% 12% 1 8% 6% 4% 2% (2%) (4%) Small/Mid Cap Equity Callan Small/MidCap Broad Risk Adjusted Return Measures vs Russell 2500 Index Rankings Against Callan Small/MidCap Broad (Gross) Five Years Ended September 30, (1) (2) (3) (17) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.86) 1.15 (0.20) 90th Percentile (1.90) 0.97 (0.44) Small/Mid Cap Equity (7) (1) 80

169 Small/Mid Cap Equity Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Small/MidCap Broad (Gross) Five Years Ended September 30, 2017 Excess Return Small/Mid Cap Equity (1 ) (2 ) (3 ) (4 ) (5 ) Tracking Error Market Capture vs Russell 2500 Index Rankings Against Callan Small/MidCap Broad (Gross) Five Years Ended September 30, Up Market Capture (26) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile Small/Mid Cap Equity (90) Risk Statistics Rankings vs Russell 2500 Index Rankings Against Callan Small/MidCap Broad (Gross) Five Years Ended September 30, % 1 5% (86) (96) (97) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Small/Mid Cap Equity Beta (67) (4) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Small/Mid Cap Equity

170 Small/Mid Cap Equity Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Small/MidCap Broad as of September 30, 2017 Percentile Ranking (65) (55) (38) (27) (75) (50) (63) (28) (25) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile (0.13) 90th Percentile (0.36) Small/Mid Cap Equity Russell 2500 Index (0.00) (45) (66) (56) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio s market value. Information Technology Health Care Industrials Financials Consumer Staples Consumer Discretionary Sector Allocation September 30, Mgr MV 5 Mgr MV Diversification September 30, 2017 (1) Diversification Ratio Manager 17% Index 15% Style Median 34% Materials Real Estate Energy Utilities Telecommunications % 1 15% 2 25% 3 Small/Mid Cap Equity Callan Small/MidCap Broad Sector Diversification Manager 2.64 sectors Index 3.11 sectors Russell 2500 Index 50 0 Number of Securities (5) Issue Diversification 10th Percentile th Percentile Median th Percentile th Percentile Small/Mid Cap Equity Russell 2500 Index

171 Current Holdings Based Style Analysis Small/Mid Cap Equity As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Small/MidCap Broad Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large 0. (0) 1.3% (1) 3.1% (3) 4.4% (4) Large 0. (0) 0. (0) 0. (0) 0. (0) Mid 9.2% (21) 15.9% (36) 26.2% (48) 51.4% (105) Mid Small 13. (104) 19. (153) 19.9% (149) 52. (406) Small/Mid Cap Equity 7.2% (31) 17.7% (62) 13.8% Russell (59) % Index (152) 12.6% (322) 16.9% (474) 12.8% (378) 42.4% (1174) Small Russell 2500 Index Small/Mid Cap Equity Micro Total 1.8% (11) 2.8% (20) 0.9% (8) 5.4% (39) 1.9% (296) 2.3% (370) 1.5% (221) 5.7% (887) 18.3% (63) 37.7% (119) 44.1% (118) 100. (300) Micro Value Core Growth 27.5% (722) 38.2% (997) 34.3% (748) 100. (2467) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=Small/Mid Cap Equity (Combined Z: 0.23 Growth Z: 0.00 Value Z: -0.22) Bar #2=Russell 2500 Index (Combined Z: 0.00 Growth Z: 0.00 Value Z: 0.00) (118) (119) (997) 44.1% 37.7% 38.2% (63) 18.3% (722) 27.5% (748) 34.3% Large Mid Small Micro 1 Value Core Growth Sector Weights Distribution Holdings as of September 30, % 2 15% 1 5% Bar #1=Small/Mid Cap Equity Bar #2=Russell 2500 Index COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 83

172 Small/Mid Cap Equity Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Aptargroup Inc Materials $940, % (0.28)% % 9.32% Red Hat Inc Information Technology $897, % 15.78% Snyders-Lance Inc Consumer Staples $865, % 10.64% % 16.17% Flowers Foods Consumer Staples $848, % 9.72% % 1.5 Nordson Corp Industrials $829, % (2.32)% % 13.0 Northern Tr Corp Financials $808, % (4.98)% % 10.3 Hormel Foods Corp Consumer Staples $787, % (5.29)% % 1.62% Wabtec Corp Industrials $780, % (17.08)% % 3.84% Laboratory Corp of Amer Health Care $769, % (2.06)% % Palo Alto Networks Inc Information Technology $756, % 7.69% Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Spectrum Pharmaceuticals Inc Health Care $64, % 88.86% 1.19 (18.34) % Advanced Accelerator Applic Sponsore Health Care $67, % 73.21% 2.97 (133.11) Meritor Inc Com Industrials $148, % 56.59% Amicus Therapeutics Inc Health Care $196, % 49.75% 2.48 (14.05) Preformed Line Prods Co Industrials $64, % 45.41% % - Avis Budget Group Industrials $129, % 39.57% Take-Two Interactive Sof Information Technology $224, % 39.32% % Blueprint Medicines Corp Health Care $243, % (16.74) Sarepta Therapeutics Inc Health Care $104, % 34.56% 2.92 (28.64) Neurocrine Biosciences Inc Health Care $214, % 33.22% 5.41 (32.12) 0.0 (13.59)% 10 Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Team Inc Industrials $22, (43.07)% % Evolent Health Inc Cl A Health Care $135, % (29.78)% 1.33 (191.40) Envision Healthcare Corp Health Care $31, (28.28)% Brookdale Sr Living Inc Health Care $38, % (27.94)% 1.97 (13.87) Nuvasive Inc Health Care $499, % (27.90)% Achaogen Inc Health Care $98, % (26.60)% 0.67 (5.66) Ellie Mae Inc Information Technology $139, % (25.28)% % Huron Consulting Group Inc Industrials $3, (20.60)% Capital Sr Living Corp Health Care $67, % (17.49)% 0.38 (11.87) Treehouse Foods Inc Consumer Staples $738, % (17.09)%

173 Champlain Mid Cap Period Ended September 30, 2017 Investment Philosophy Champlain Investment Partners believes buying the shares of superior businesses with credible and sincere managements at a discount to fair or intrinsic value gives investors several potential paths to wealth creation. First, the market may bid the shares to a premium over fair value. Second, management may grow the fair value over time at a faster rate than market appreciation. Third, the company may be bought by a larger company or private market investor. They are willing to sell over-priced stocks and harvest gains, reducing valuation risk. The product was funded during the third quarter of Performance prior is that of the composite. Quarterly Summary and Highlights Champlain Mid Cap s portfolio posted a 2.16% return for the quarter placing it in the 92 percentile of the Callan Mid Capitalization group for the quarter and in the 43 percentile for the last year. Champlain Mid Cap s portfolio underperformed the Russell MidCap Index by 1.31% for the quarter and outperformed the Russell MidCap Index for the year by 3.33%. Quarterly Asset Growth Beginning Market Value $32,043,481 Net New Investment $225,635 Investment Gains/(Losses) $402,509 Ending Market Value $32,671,626 Percent Cash: 4.3% Performance vs Callan Mid Capitalization (Gross) 3 25% 2 15% 1 5% (68) (92) (73) (43) (52) (5) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile th Percentile Median th Percentile th Percentile Champlain Mid Cap Russell MidCap Index (44) (15) (51) (12) (60) (4) Relative Return vs Russell MidCap Index Callan Mid Capitalization (Gross) Annualized Five Year Risk vs Return 6% 2 Relative Returns 5% 4% 3% 2% 1% (1%) (2%) Returns 18% 16% 14% 12% 1 8% Champlain Mid Cap Russell MidCap Index (3%) Champlain Mid Cap 6% Standard Deviation 85

174 Champlain Mid Cap Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Mid Capitalization (Gross) (2) (4) (6) /16-9/ th Percentile (33.80) 25th Percentile (36.42) Median (0.80) (1.92) (40.59) 75th Percentile (3.18) (5.57) (44.60) 90th Percentile (7.07) (7.83) (47.94) Champlain Mid Cap (25.71) Russell MidCap Index (2.44) (1.55) (41.46) 56 2 Cumulative and Quarterly Relative Return vs Russell MidCap Index 15% Relative Returns 1 5% (5%) (1) Champlain Mid Cap Callan Mid Capitalization Risk Adjusted Return Measures vs Russell MidCap Index Rankings Against Callan Mid Capitalization (Gross) Five Years Ended September 30, (1) (2) (3) (4) (20) (16) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.07) 1.47 (0.05) 75th Percentile (1.24) 1.31 (0.37) 90th Percentile (3.24) 1.13 (0.68) Champlain Mid Cap (11) 86

175 Champlain Mid Cap Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Mid Capitalization (Gross) Five Years Ended September 30, Excess Return 2 0 (2 ) (4 ) Champlain Mid Cap (6 ) (8 ) Tracking Error Market Capture vs Russell Mid-Cap Index Rankings Against Callan Mid Capitalization (Gross) Five Years Ended September 30, Up Market Capture (16) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile Champlain Mid Cap (78) Risk Statistics Rankings vs Russell Mid-Cap Index Rankings Against Callan Mid Capitalization (Gross) Five Years Ended September 30, % 12% 1 8% 6% 4% 2% (48) (87) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Champlain Mid Cap (72) Beta (30) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Champlain Mid Cap (28) 87

176 Champlain Mid Cap Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Mid Capitalization as of September 30, 2017 Percentile Ranking (32) (86) (45) (11) (53) (37) (57) (31) (28) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile (0.32) 90th Percentile (0.44) Champlain Mid Cap Russell Mid-Cap Index (0.09) (66) (55) (41) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio s market value. Health Care Information Technology Industrials Consumer Staples Financials Consumer Discretionary Materials Sector Allocation September 30, Energy Telecommunications 0.5 Utilities Real Estate % 1 15% 2 25% 3 Champlain Mid Cap Callan Mid Capitalization Russell Mid-Cap Index 5 Mgr MV 5 Mgr MV Sector Diversification Manager 2.23 sectors Index 3.40 sectors Diversification September 30, 2017 Number of Securities (73) (73) Issue Diversification 10th Percentile th Percentile Median th Percentile th Percentile Champlain Mid Cap Russell Mid-Cap Index Diversification Ratio Manager 37% Index 24% Style Median 35% 88

177 Current Holdings Based Style Analysis Champlain Mid Cap As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Mid Capitalization Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large 0. (0) 2.6% (1) 6.2% (3) 8.8% (4) Large 12. (36) 11.4% (38) 8.6% (27) 31.9% (101) Mid 13. (8) 22.6% (13) 38.3% (23) 74. (44) Mid Russell MidCap Index Champlain Mid Cap Small Micro 18.4% (161) 23.8% (206) 20.3% (173) 62.6% (540) Champlain Mid Cap 2.7% (1) 10.4% (5) 4.1% (3) Russell MidCap 17.2% Index (9) 2.7% (61) 1.7% (44) 1.2% (33) 5.5% (138) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) 0. (0) Small Total 15.8% (9) 35.6% (19) 48.7% (29) 100. (57) Micro Value Core Growth 33.1% (258) 36.8% (288) 30.1% (233) 100. (779) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=Champlain Mid Cap (Combined Z: 0.32 Growth Z: Value Z: -0.36) Bar #2=Russell MidCap Index (Combined Z: Growth Z: Value Z: 0.03) (9) 15.8% (258) 33.1% (19) 35.6% (288) 36.8% (29) 48.7% Value Core Growth (233) 30.1% Large Mid Small Micro Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=Champlain Mid Cap Bar #2=Russell MidCap Index CONCYC CONSTA FINANC HEALTH INDEQU RAWMAT TECH COMMUN ENERGY PUBUTL REALES Value Core Growth 89

178 Champlain Mid Cap Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Aptargroup Inc Materials $940, % (0.29)% % 9.32% Red Hat Inc Information Technology $897, % 15.78% Flowers Foods Consumer Staples $848, % 9.68% % 1.5 Nordson Corp Industrials $829, % % 13.0 Northern Tr Corp Financials $808, % (4.98)% % 10.3 Hormel Foods Corp Consumer Staples $787, % (5.31)% % 1.62% Wabtec Corp Industrials $780, % (16.32)% % 3.84% Laboratory Corp of Amer Health Care $769, % (2.06)% % Palo Alto Networks Inc Information Technology $756, % 7.69% Integra Lifesciences Hldgs C Health Care $731, % (7.43)% Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Blue Buffalo Pet Prods Inc Consumer Staples $442, % 24.31% Align Technology Inc Health Care $577, % 24.02% % Tableau Software Inc Cl A Information Technology $703, % 22.23% Fairfax Finl Hldgs Ltd Sub Vtg Financials $ % 4.67% Abiomed Inc Health Care $269, % 17.64% Splunk Inc Information Technology $697, % 16.79% % Tractor Supply Co Consumer Discretionary $259, % 15.92% % 10.55% Red Hat Inc Information Technology $897, % 15.78% Dover Corp Industrials $466, % 14.61% % 14.11% Guidewire Software Inc Information Technology $506, % 13.31% % 10 Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Nuvasive Inc Health Care $499, % (27.85)% Treehouse Foods Inc Consumer Staples $670, % (17.09)% Wabtec Corp Industrials $780, % (16.32)% % 3.84% Advance Auto Parts Inc Consumer Discretionary $515, % (14.98)% % 10.2 Smucker J M Co Consumer Staples $566, % (10.80)% % 4.86% Schein Henry Inc Health Care $524, % (9.99)% Dentsply Sirona Inc Health Care $711, % (7.47)% % 6.89% Integra Lifesciences Hldgs C Health Care $731, % (7.43)% Stericycle Inc Industrials $444, % (6.16)% Hormel Foods Corp Consumer Staples $787, % (5.31)% % 1.62% 90

179 FIAM Small Cap Period Ended September 30, 2017 Investment Philosophy FIAM believes that equity markets are semi-efficient and that pricing anomalies exist within the marketplace. The Small Cap Core strategy seeks to build a balanced portfolio where returns will be driven by stock selections and not by systemic biases or exposures to market factors. The product was funded during the third quarter of Pyramis Global Advisers was re-organized into Fidelity Institutional Asset Management (FIAM) in fourth quarter Quarterly Summary and Highlights FIAM Small Cap s portfolio posted a 4.94% return for the quarter placing it in the 66 percentile of the Callan Small Capitalization group for the quarter and in the 70 percentile for the last year. FIAM Small Cap s portfolio underperformed the Russell 2000 Index by 0.72% for the quarter and underperformed the Russell 2000 Index for the year by 2.06%. Quarterly Asset Growth Beginning Market Value $30,020,083 Net New Investment $-55,659 Investment Gains/(Losses) $1,482,054 Ending Market Value $31,446,478 Percent Cash: 1. Performance vs Callan Small Capitalization (Gross) 3 25% 2 (50) (70) 15% 1 5% (45) (66) (55) (30) (68) (24) (76) (14) (90) (53) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 19 Years Year 10th Percentile th Percentile Median th Percentile th Percentile FIAM Small Cap Russell 2000 Index Relative Return vs Russell 2000 Index Callan Small Capitalization (Gross) Annualized Five Year Risk vs Return 5% 22% 4% 2 3% 18% Relative Returns 2% 1% (1%) Returns 16% 14% 12% 1 FIAM Small Cap Russell 2000 Index (2%) 8% (3%) 6% (4%) FIAM Small Cap 4% Standard Deviation 91

180 FIAM Small Cap Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Small Capitalization (Gross) (2) (4) (6) /16-9/ th Percentile (29.59) 25th Percentile (0.08) (33.01) Median (2.32) (1.76) (37.46) 75th Percentile (5.11) (5.70) (42.30) 90th Percentile (8.08) (2.43) (8.62) (46.47) FIAM Small Cap (2.91) (42.02) Russell 2000 Index (4.41) (4.18) (33.79) Cumulative and Quarterly Relative Return vs Russell 2000 Index 2 Relative Returns 15% 1 5% (5%) (1) FIAM Small Cap Callan Small Cap Risk Adjusted Return Measures vs Russell 2000 Index Rankings Against Callan Small Capitalization (Gross) Five Years Ended September 30, (1) (2) (3) (14) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.10) 90th Percentile (1.54) 0.84 (0.39) FIAM Small Cap (8) (17) 92

181 FIAM Small Cap Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Small Capitalization (Gross) Five Years Ended September 30, Excess Return (2 ) (4 ) (6 ) (8 ) FIAM Small Cap (10 ) Tracking Error Market Capture vs Russell 2000 Index Rankings Against Callan Small Capitalization (Gross) Five Years Ended September 30, Up Market Capture (36) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile FIAM Small Cap (64) Risk Statistics Rankings vs Russell 2000 Index Rankings Against Callan Small Capitalization (Gross) Five Years Ended September 30, % 14% 12% 1 8% 6% 4% 2% (88) (86) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile FIAM Small Cap (84) Beta (78) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile FIAM Small Cap (17) 93

182 FIAM Small Cap Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Small Capitalization as of September 30, 2017 Percentile Ranking (68) (40) (27) (30) (61) (49) (65) (33) (33) (49) (57) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile (0.27) 90th Percentile (0.49) FIAM Small Cap Russell 2000 Index (45) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio s market value. Financials Information Technology Industrials Health Care Consumer Discretionary Real Estate Materials Consumer Staples Energy Utilities Telecommunications Sector Allocation September 30, % 1 15% 2 25% 5 Mgr MV 5 Mgr MV Sector Diversification Manager 2.82 sectors Index 2.95 sectors FIAM Small Cap Russell 2000 Index Callan Small Cap Diversification September 30, 2017 Number of Securities (14) (8) Issue Diversification 10th Percentile th Percentile Median th Percentile th Percentile FIAM Small Cap Russell 2000 Index Diversification Ratio Manager 32% Index 18% Style Median 33% 94

183 Current Holdings Based Style Analysis FIAM Small Cap As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Small Cap Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large 0. (0) 0. (0) 0. (0) 0. (0) Large 0. (0) 0. (0) 0. (0) 0. (0) Mid 5.4% (13) 9.1% (23) 14. (27) 28.4% (63) Mid Small 1.7% (8) 3.2% (17) 4.5% (23) 9.3% (48) FIAM Small Cap 11.8% (30) 25.1% (59) 23.7% (56) Russell 60.7% 2000 Index (145) 19.7% (263) 32.7% (432) 25.5% (349) 77.8% (1044) Micro 3.6% (11) 5.6% (20) 1.7% (8) 10.9% (39) Small FIAM Small Cap Russell 2000 Index Total 4.2% (296) 5.2% (370) 3.4% (221) 12.8% (887) 20.8% (54) 39.8% (102) 39.4% (91) 100. (247) Micro Value Core Growth 25.6% (567) 41.1% (819) 33.3% (593) 100. (1979) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=FIAM Small Cap (Combined Z: 0.12 Growth Z: 0.04 Value Z: -0.09) Bar #2=Russell 2000 Index (Combined Z: 0.01 Growth Z: Value Z: -0.02) (102) (819) 39.8% 41.1% (567) (54) 25.6% 20.8% (91) 39.4% (593) 33.3% Large Mid Small Micro 1 Value Core Growth Sector Weights Distribution Holdings as of September 30, % 2 15% 1 5% Bar #1=FIAM Small Cap Bar #2=Russell 2000 Index COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 95

184 FIAM Small Cap Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Monolithic Pwr Sys Inc Information Technology $450, % 10.83% % 20.0 Cavium Inc Information Technology $381, % 6.13% Deluxe Corp Industrials $306, % % 7.5 Bank of Nt Butterfield + Son Financials $289, % 9.32% % 6.0 Fnb Corp Pa Financials $282, % (0.08)% % 12.0 Loxo Oncology Inc Health Care $276, % 14.88% 2.75 (20.36) Bankunited Inc Financials $270, % 5.96% % 13.78% Itt Inc Industrials $270, % 10.53% % 11.0 Icf Intl Inc Industrials $264, % 14.43% Multi Color Corp Industrials $254, % 0.45% % 15.02% 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Advanced Accelerator Applic Sponsore Health Care $67, % 73.84% 2.97 (133.11) Meritor Inc Com Industrials $148, % 53.71% Amicus Therapeutics Inc Health Care $196, % 49.75% 2.48 (14.05) Preformed Line Prods Co Industrials $64, % 45.41% % - Take-Two Interactive Sof Information Technology $224, % 39.37% % Blueprint Medicines Corp Health Care $243, % (16.74) Neurocrine Biosciences Inc Health Care $214, % 33.22% 5.41 (32.12) 0.0 (13.59)% Helix Energy Solutions Grp I Energy $147, % 31.21% (20.02)% Extreme Networks Inc Information Technology $61, % 28.96% Virtusa Corp Information Technology $149, % Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Team Inc Industrials $22, % (43.07)% % Evolent Health Inc Cl A Health Care $135, % (30.41)% 1.33 (191.40) Brookdale Sr Living Inc Health Care $38, % (28.15)% 1.97 (13.87) Envision Healthcare Corp Health Care $31, % (27.56)% Achaogen Inc Health Care $98, % (27.12)% 0.67 (5.66) Ellie Mae Inc Information Technology $139, % (23.43)% % Huron Consulting Group Inc Industrials $3, (20.16)% Capital Sr Living Corp Health Care $67, % (17.49)% 0.38 (11.87) Treehouse Foods Inc Consumer Staples $67, % (17.21)% Laureate Ed Inc Cl A Consumer Discretionary $58, % (17.00)% (25.40)% 96

185 International Equity International Equity

186 International Equity Period Ended September 30, 2017 Quarterly Summary and Highlights International Equity s portfolio posted a 6.35% return for the quarter placing it in the 24 percentile of the Pub Pln- International Equity group for the quarter and in the 26 percentile for the last year. International Equity s portfolio outperformed the MSCI ACWI ex US by 0.18% for the quarter and outperformed the MSCI ACWI ex US for the year by 1.64%. Quarterly Asset Growth Beginning Market Value $200,428,340 Net New Investment $-1,740,194 Investment Gains/(Losses) $12,663,206 Ending Market Value $211,351,352 Performance vs Pub Pln- International Equity (Gross) 3 25% 2 (57) (26) 15% 1 5% (37) (24) (89) (92) (77) (63) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile International Equity MSCI ACWI ex US (78) (71) Relative Return vs MSCI ACWI ex US Pub Pln- International Equity (Gross) Annualized Five Year Risk vs Return 4% 14% 3% 12% Relative Returns 2% 1% (1%) Returns 1 8% 6% 4% International Equity MSCI ACWI ex US (2%) 2% (3%) International Equity Standard Deviation 98

187 International Equity Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- International Equity (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.24) (0.00) (9.81) (39.12) 25th Percentile (1.60) (1.75) (11.83) (41.67) Median (3.79) (3.19) (13.40) (43.71) 75th Percentile (6.46) (4.32) (15.01) (46.07) 90th Percentile (10.70) (5.50) (17.58) (48.72) International Equity (7.06) (3.78) (16.34) (43.07) MSCI ACWI ex US (5.66) (3.87) (13.71) (45.53) Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Relative Returns 6% 5% 4% 3% 2% 1% (1%) (2%) (3%) International Equity Pub Pln- Intl Equity Risk Adjusted Return Measures vs MSCI ACWI ex US Rankings Against Pub Pln- International Equity (Gross) Five Years Ended September 30, (1) (61) (61) (67) (2) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile (1.10) 0.44 (0.27) International Equity

188 International Equity Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Pub Pln- International Equity (Gross) Five Years Ended September 30, Excess Return 2 0 (2 ) (4 ) International Equity (6 ) (8 ) Tracking Error Market Capture vs MSCI ACWI ex US Index (USD Net Div) Rankings Against Pub Pln- International Equity (Gross) Five Years Ended September 30, Up Market Capture (74) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile International Equity (69) Risk Statistics Rankings vs MSCI ACWI ex US Index (USD Net Div) Rankings Against Pub Pln- International Equity (Gross) Five Years Ended September 30, % 12% 1 8% 6% 4% 2% (61) (51) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile International Equity (50) Beta (63) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile International Equity (55) 100

189 International Equity Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Pub Pln- International Equity as of September 30, 2017 Percentile Ranking (16) (61) (73) (6) (56) (6) (44) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile (0.04) 90th Percentile (0.15) International Equity MSCI ACWI ex US Index (USD Net Div) (0.03) (29) (1) (78) (66) (16) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. The regional allocation chart compares the manager s geographical region weights with those of the benchmark as well as the median region weights of the peer group. Sector Allocation September 30, 2017 Regional Allocation September 30, 2017 Industrials Financials Health Care Information Technology Consumer Staples Consumer Discretionary Materials Energy Telecommunications Real Estate Utilities Miscellaneous Pooled Vehicles Mgr MV 5 Mgr MV Sector Diversification Manager 3.97 sectors Index 3.34 sectors Dev Europe/Mid East Pacific Basin Emerging Markets North America Country Diversification Manager 3.72 countries Index 5.28 countries 5 Mgr MV 5 Mgr MV 5% 1 15% 2 25% 3 International Equity MSCI ACWI ex US Index (USD Net Div) Pub Pln- Intl Equity International Equity MSCI ACWI ex US Index (USD Net Div) Pub Pln- Intl Equity 101

190 Current Holdings Based Style Analysis International Equity As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various regional and style segments of the international/global equity market. The market is segmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Pub Pln- Intl Equity Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large MSCI ACWI ex US Europe/ Mid East N. America 12.6% (18) 21.3% (29) 20.5% (42) 54.4% (89) 13.8% (130) 14. (127) 15.9% (198) 43.7% (455) 0.6% (2) 2.4% (8) 4.1% (10) 7.1% (20) Mid International Equity Pacific 1.9% (29) 3.2% (31) 1.8% (34) 6.9% (94) 3.4% (7) 8.1% (20) 14.1% (33) 25.6% (60) 9.7% (149) 6.6% (147) 8.7% (175) 25. (471) Emerging/ FM 0.8% (2) 4.6% (10) 7.5% (20) 12.9% (32) 7.9% (307) 6.9% (265) 9.6% (261) 24.4% (833) Small Total 17.3% (29) 36.4% (67) 46.3% (105) 100. (201) Micro Value Core Growth 33.4% (615) 30.6% (570) 36. (668) 100. (1853) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=International Equity (Combined Z: 0.35 Growth Z: 0.08 Value Z: -0.27) Bar #2=MSCI ACWI ex US (Combined Z: Growth Z: Value Z: 0.01) (29) 17.3% (615) 33.4% (67) 36.4% (570) 30.6% (105) 46.3% Value Core Growth (668) 36. Europe/Mid East N. America Pacific Emerging/FM Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=International Equity Bar #2=MSCI ACWI ex US COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 102

191 International Equity Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Roche Hldgs Ag Basel Div Rts Ctf Health Care $4,755, % 0.19% % 6.65% Royal Dutch Shell b Shs Energy $4,539, % % 34.85% Novartis Health Care $4,275, % % 5.34% British American Tobacco Consumer Staples $3,893, % (6.73)% % 10.5 Volkswagen Vorzug Consumer Discretionary $3,290, % % Vodafone Group Plc New Shs New Telecommunications $3,289, % (0.84)% % 12.15% Taiwan Semicond Manufac Co L Shs Information Technology $3,023, % 4.17% % 7.97% Prudential Financials $2,799, % 5.62% % 23.0 Aia Group Ltd Com Par Usd 1 Financials $2,507, % 1.34% % 10.8 Schneider Electric S A Act Industrials $2,373, % 13.45% % 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Magazine Luiza Sa Consumer Discretionary $309, % % % 77.57% Aixtron Ag Aachen Akt Information Technology $242, % 89.75% % Daifuku Co Industrials $332, % 65.42% % 24.99% A2 Consumer Staples $774, % 58.71% % Venture Corporation Ltd Shs Information Technology $558, % 48.43% % 23.76% Baozun Spn.Adr 1:1 Information Technology $417, % 47.77% % Ing Life Insurance Korea Ltd Financials $447, % 44.44% Hosiden Corp Information Technology $379, % 42.73% % 0.92% Outsourcing Industrials $389, % 42.64% % 25.91% Future Retail (New) Consumer Discretionary $105, % 40.85% Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Evolable Asia Consumer Discretionary $151, % (21.34)% Itc Ltd Shs Dematerial Consumer Staples $1,094, % (21.03)% % 14.34% Vector Consumer Discretionary $238, % (16.20)% % 23.32% Shimano Inc Ord Consumer Discretionary $965, % (15.85)% % 8.64% Medy-Tox Health Care $202, % (11.73)% Inmarsat Plc London Shs Telecommunications $953, % (11.41)% Daibeck Advd.Mats. Materials $256, % (10.86)% % 19.26% Tenaris Adr Energy $943, % (9.09)% % % Elior Sca Consumer Discretionary $361, % (8.74)% % 9.19% Sakata Seed Corp Shs Consumer Staples $283, % (8.18)% % 24.79% 103

192 Causeway International Opportunities Period Ended September 30, 2017 Investment Philosophy Causeway employs a three-step process: 1) The International Value piece (developed markets only) utilizes bottom-up selection of undervalued stocks as well as the compounding of dividend returns; 2) The Emerging Markets portion implements through the use of proprietary quantitative models that are a combination of bottom-up and top-down factors; 3) The team also utilizes quantitative allocation models to tactically allocate (within specified ranges) between developed and emerging markets based on their relative attractiveness. The product was funded during the first quarter of In May 2016 the strategy transitioned from International Value to International Opportunities. As such, the index has been updated accordingly from EAFE to ACWI ex-us (Net Div) Quarterly Summary and Highlights Causeway International Opportunities s portfolio posted a 7.5 return for the quarter placing it in the 20 percentile of the Callan Non-US Equity group for the quarter and in the 12 percentile for the last year. Causeway International Opportunities s portfolio outperformed the Causeway Linked Index by 1.34% for the quarter and outperformed the Causeway Linked Index for the year by 4.69%. Quarterly Asset Growth Beginning Market Value $78,940,021 Net New Investment $-1,589,907 Investment Gains/(Losses) $5,846,684 Ending Market Value $83,196,798 Performance vs Callan Non-US Equity (Gross) 3 25% 2 15% (59) (12) 1 5% (48) (20) (63) (42) (69) (68) (93) (23) (42) (89) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 12-1/2 Year Years 10th Percentile th Percentile Median th Percentile th Percentile Causeway International Opportunities Causeway Linked Index Relative Return vs Causeway Linked Index Callan Non-US Equity (Gross) Annualized Five Year Risk vs Return 5% 18% 4% 16% 3% 14% Relative Returns 2% 1% (1%) Returns 12% 1 8% 6% Causeway International Opportunities Causeway Linked Index (2%) 4% (3%) 2% (4%) Causeway International Opportunities Standard Deviation 104

193 Causeway International Opportunities Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Non-US Equity (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.31) (6.44) (36.67) 25th Percentile (2.06) (9.55) (40.10) Median (3.88) (11.29) (43.20) 75th Percentile (0.39) (2.53) (5.66) (13.96) (46.54) 90th Percentile (3.77) (4.74) (7.82) (16.61) (49.30) Causeway International Opportunities (2.09) (4.70) (10.24) (42.83) Causeway Linked Index (0.81) (4.90) (12.14) (43.38) Cumulative and Quarterly Relative Return vs Causeway Linked Index Relative Returns 5% 4% 3% 2% 1% (1%) (2%) (3%) (4%) Causeway International Opportunities Callan NonUS Eq Risk Adjusted Return Measures vs Causeway Linked Index Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, (0.5) (1.0) (1.5) (40) (38) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.16) 90th Percentile (0.96) 0.66 (0.40) Causeway International Opportunities (42) 105

194 Causeway International Opportunities Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Non-US Equity (Gross) Five Years Ended September 30, Excess Return 2 0 (2 ) (4 ) (6 ) Causeway International Opportunities (8 ) Tracking Error Market Capture vs Causeway Linked Index Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, Up Market Capture (68) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile Causeway International Opportunities (89) Risk Statistics Rankings vs Causeway Linked Index Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, % 12% 1 8% 6% 4% 2% (51) (72) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Causeway International Opportunities (58) Beta (54) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Causeway International Opportunities (48) 106

195 Causeway International Opportunities Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Non-US Equity as of September 30, 2017 Percentile Ranking (37) (24) (55) (86) (54) (76) (41) (18) (22) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile (0.19) 90th Percentile (0.44) Causeway International Opportunities (0.27) MSCI ACWI ex US Index (USD Net Div) (0.03) (12) (57) (85) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. The regional allocation chart compares the manager s geographical region weights with those of the benchmark as well as the median region weights of the peer group. Financials Industrials Health Care Consumer Discretionary Information Technology Energy Materials Consumer Staples Telecommunications Utilities Real Estate Pooled Vehicles Miscellaneous Sector Allocation September 30, Mgr MV 5 Mgr MV Sector Diversification Manager 3.57 sectors Index 3.34 sectors Dev Europe/Mid East Emerging Markets Pacific Basin North America Regional Allocation September 30, Country Diversification Manager 2.97 countries Index 5.28 countries 5 Mgr MV 5 Mgr MV 5% 1 15% 2 25% 3 Causeway International Opportunities MSCI ACWI ex US Index (USD Net Div) Callan NonUS Eq Causeway International Opportunities MSCI ACWI ex US Index (USD Net Div) Callan NonUS Eq 107

196 Current Holdings Based Style Analysis Causeway International Opportunities As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various regional and style segments of the international/global equity market. The market is segmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan NonUS Eq Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large Causeway International Opportunities MSCI ACWI ex US Europe/ Mid East N. America 26.2% (12) 35.3% (15) 13.3% (7) 74.8% (34) 13.8% (130) 14. (127) 15.9% (198) 43.7% (455) 2. (2) 0. (0) 6.7% (3) 8.6% (5) 1.9% (29) 3.2% (31) 1.8% (34) 6.9% (94) Mid Pacific 3.7% (2) 9.6% (4) 3.2% (2) 16.5% (8) 9.7% (149) 6.6% (147) 8.7% (175) 25. (471) Emerging/ FM 0. (0) 0. (0) 0. (0) 0. (0) 7.9% (307) 6.9% (265) 9.6% (261) 24.4% (833) Small Total 31.9% (16) 44.9% (19) 23.2% (12) 100. (47) Micro Value Core Growth 33.4% (615) 30.6% (570) 36. (668) 100. (1853) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=Causeway International Opportunities (Combined Z: Growth Z: Value Z: Bar #2=MSCI ACWI ex US (Combined Z: Growth Z: -0.02(19) Value Z: 0.01) 44.9% (16) (615) (570) 31.9% 33.4% 30.6% (12) 23.2% Value Core Growth (668) 36. Europe/Mid East N. America Pacific Emerging/FM Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=Causeway International Opportunities Bar #2=MSCI ACWI ex US COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH Value Core Growth 108

197 Causeway International Opportunities Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Volkswagen Vorzug Consumer Discretionary $3,290, % British American Tobacco Consumer Staples $2,412, % (6.73)% % 10.5 Royal Dutch Shell b Shs Energy $2,396, % % 34.85% Schneider Electric S A Act Industrials $2,373, % 13.45% % Barclays Plc Shs Financials $1,991, % (1.02)% % 25.46% Abb Ltd Zuerich Namen Akt Industrials $1,977, % 0.07% % 11.0 B A S F A G Ord New Materials $1,953, % % 9.2 Kddi Telecommunications $1,892, % 1.13% % 6.52% Bp Plc Shs Energy $1,847, % 13.19% % Roche Hldgs Ag Basel Div Rts Ctf Health Care $1,707, % 0.19% % 6.65% 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Encana Corp Energy $1,588, % 34.05% % % Alfa-Laval Ab Shs Industrials $742, % 19.21% % 3.65% Bhp Billiton Plc Shs Materials $450, % 18.05% % 59.7 Royal Dutch Shell b Shs Energy $2,396, % % 34.85% Cobham Industrials $908, % 16.12% % (2.10)% B A S F A G Ord New Materials $1,953, % % 9.2 Schneider Electric S A Act Industrials $2,373, % 13.45% % Diageo Plc Ord Consumer Staples $715, % 13.43% % 9.2 Bp Plc Shs Energy $1,847, % 13.19% % Komatsu Industrials $1,256, % 12.97% % 22.92% 10 Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings British American Tobacco Consumer Staples $2,412, % (6.73)% % 10.5 Aryzta Ag Consumer Staples $685, % (6.64)% (6.11)% Glaxosmithkline Plc Ord Health Care $1,482, % (4.79)% % 4.2 East Japan Railway Co Ord Industrials $1,586, % (3.26)% % 7.16% Carnival Plc Shs Consumer Discretionary $1,046, % (3.01)% % 11.87% Barclays Plc Shs Financials $1,991, % (1.02)% % 25.46% Vodafone Group Plc New Shs New Telecommunications $1,155, % (0.84)% % 12.15% Abb Ltd Zuerich Namen Akt Industrials $1,977, % 0.07% % 11.0 Roche Hldgs Ag Basel Div Rts Ctf Health Care $1,707, % 0.19% % 6.65% Hitachi Npv Information Technology $1,239, % % 17.96% 109

198 Aberdeen EAFE Plus Period Ended September 30, 2017 Investment Philosophy Aberdeen believes that given the inefficiency of markets, superior long-term returns are achieved by identifying high quality stocks, buying them at reasonable/cheap prices, and ultimately investing in those securities for the long term. Absolute return is held to be of the utmost importance. The strategy is benchmark aware, but not benchmark driven. This benchmark stance is born from their belief that indices do not provide meaningful guidance to the prospects of a company or its inherent worth. The product was funded during the second quarter of Performance prior is that of the composite. Quarterly Summary and Highlights Aberdeen EAFE Plus s portfolio posted a 3.12% return for the quarter placing it in the 98 percentile of the Callan Non-US Equity group for the quarter and in the 83 percentile for the last year. Aberdeen EAFE Plus s portfolio underperformed the MSCI ACWI ex US by 3.04% for the quarter and underperformed the MSCI ACWI ex US for the year by 2.64%. Quarterly Asset Growth Beginning Market Value $82,301,120 Net New Investment $-150,287 Investment Gains/(Losses) $2,567,996 Ending Market Value $84,718,828 Performance vs Callan Non-US Equity (Gross) 3 25% 2 15% (59) (83) 1 5% (48) (98) (94) (81) (98) (98) (92) Last Quarter Last Last 3 Years Last 5 Years Last 5-1/4 Last 10 Years Year Years 10th Percentile th Percentile Median th Percentile th Percentile Aberdeen EAFE Plus MSCI ACWI ex US (93) (98) (37) Relative Return vs MSCI ACWI ex US Callan Non-US Equity (Gross) Annualized Five Year Risk vs Return 6% 18% 5% 16% Relative Returns 4% 3% 2% 1% (1%) (2%) Returns 14% 12% 1 8% 6% 4% MSCI ACWI ex US Aberdeen EAFE Plus (3%) 2% (4%) Aberdeen EAFE Plus Standard Deviation 110

199 Aberdeen EAFE Plus Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Non-US Equity (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.31) (6.44) (36.67) 25th Percentile (2.06) (9.55) (40.10) Median (3.88) (11.29) (43.20) 75th Percentile (0.39) (2.53) (5.66) (13.96) (46.54) 90th Percentile (3.77) (4.74) (7.82) (16.61) (49.30) Aberdeen EAFE Plus (13.63) (2.53) (3.72) (39.68) MSCI ACWI ex US (5.66) (3.87) (13.71) (45.53) Cumulative and Quarterly Relative Return vs MSCI ACWI ex US 2 15% Relative Returns 1 5% (5%) (1) (15%) (2) Aberdeen EAFE Plus Callan NonUS Eq Risk Adjusted Return Measures vs MSCI ACWI ex US Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, (1) (2) (3) (98) (98) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile Aberdeen EAFE Plus (1.75) 0.41 (0.49) (99) 111

200 Aberdeen EAFE Plus Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Non-US Equity (Gross) Five Years Ended September 30, Excess Return (2 ) (4 ) Aberdeen EAFE Plus (6 ) Tracking Error Market Capture vs MSCI ACWI ex US Index (USD Net Div) Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, Up Market Capture (99) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile Aberdeen EAFE Plus (19) Risk Statistics Rankings vs MSCI ACWI ex US Index (USD Net Div) Rankings Against Callan Non-US Equity (Gross) Five Years Ended September 30, % 12% 1 8% 6% 4% 2% (34) (3) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Aberdeen EAFE Plus (22) Beta (50) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Aberdeen EAFE Plus (79) 112

201 Aberdeen EAFE Plus Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan Non-US Equity as of September 30, 2017 Percentile Ranking (37) (32) (55) (11) (54) (20) (41) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score (61) (18) (51) (57) 10th Percentile th Percentile Median th Percentile (0.19) 90th Percentile (0.44) Aberdeen EAFE Plus MSCI ACWI ex US Index (USD Net Div) (0.03) (25) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. The regional allocation chart compares the manager s geographical region weights with those of the benchmark as well as the median region weights of the peer group. Sector Allocation September 30, 2017 Regional Allocation September 30, 2017 Consumer Staples Financials Health Care Industrials Information Technology Telecommunications Materials Consumer Discretionary Mgr MV 5 Mgr MV Dev Europe/Mid East Pacific Basin Emerging Markets Mgr MV 5 Mgr MV Energy Real Estate Utilities Sector Diversification Manager 3.29 sectors Index 3.34 sectors North America Country Diversification Manager 3.62 countries Index 5.28 countries 5% 1 15% 2 25% 3 Aberdeen EAFE Plus MSCI ACWI ex US Index (USD Net Div) Callan NonUS Eq Aberdeen EAFE Plus MSCI ACWI ex US Index (USD Net Div) Callan NonUS Eq 113

202 Current Holdings Based Style Analysis Aberdeen EAFE Plus As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various regional and style segments of the international/global equity market. The market is segmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan NonUS Eq Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large MSCI ACWI ex US Aberdeen EAFE Plus Europe/ Mid East 6.6% (3) 16.6% (7) 22.7% (11) 45.9% (21) 13.8% (130) 14. (127) 15.9% (198) 43.7% (455) 0. (0) 3.4% (2) 1.2% (1) 4.6% (3) N. America 1.9% (29) 3.2% (31) 1.8% (34) 6.9% (94) 3.4% (2) 6.6% (5) 20.1% (10) 30.1% (17) Mid Pacific 9.7% (149) 6.6% (147) 8.7% (175) 25. (471) Emerging/ FM 1.4% (1) 7.3% (5) 10.7% (5) 19.4% (11) 7.9% (307) 6.9% (265) 9.6% (261) 24.4% (833) Small 11.3% (6) 34. (19) 54.7% (27) 100. (52) Total Micro Value Core Growth 33.4% (615) 30.6% (570) 36. (668) 100. (1853) Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=Aberdeen EAFE Plus (Combined Z: 0.51 Growth Z: 0.08 Value Z: -0.43) Bar #2=MSCI ACWI ex US (Combined Z: Growth Z: Value Z: 0.01) (6) 11.3% (615) 33.4% (19) 34. (570) 30.6% (27) 54.7% Value Core Growth (668) 36. Europe/Mid East N. America Pacific Emerging/FM Sector Weights Distribution Holdings as of September 30, % 3 25% 2 15% 1 5% Bar #1=Aberdeen EAFE Plus Bar #2=MSCI ACWI ex US COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH PUBUTL Value Core Growth 114

203 Aberdeen EAFE Plus Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Roche Hldgs Ag Basel Div Rts Ctf Health Care $3,048, % 0.19% % 6.65% Taiwan Semicond Manufac Co L Shs Information Technology $3,023, % 4.17% % 7.97% Novartis Health Care $2,598, % 2.82% % 5.34% Aia Group Ltd Com Par Usd 1 Financials $2,507, % % 10.8 Check Point Softw. (Usd) Information Technology $2,177, % 4.53% Samsonite International Consumer Discretionary $2,162, % % 13.12% Fresenius Med. Care St Health Care $2,147, % 1.62% % 10.2 Royal Dutch Shell b Shs Energy $2,143, % % 34.85% Nestle S A Shs Nom New Consumer Staples $2,137, % (3.81)% % 6.05% Vodafone Group Plc New Shs New Telecommunications $2,133, % (0.84)% % 12.15% 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Banco Bradesco S A Sp Adr Pfd New Financials $2,090, % 31.38% % 15.07% Keyence Corp Ord Information Technology $1,558, % 20.97% % 15.81% Potash Corp Saskatchewan Materials $1,406, % 18.65% % (31.90)% Daito Trust Construction Real Estate $1,967, % 18.54% % 6.38% Bhp Billiton Plc Shs Materials $791, % 18.05% % 59.7 Royal Dutch Shell b Shs Energy $2,143, % % 34.85% Diageo Plc Ord Consumer Staples $834, % % 9.2 Ritchie Bros Auctioneers Industrials $961, % 10.68% % 12.61% Atlas Copco Ab Shs A Industrials $1,796, % 10.34% % 14.6 Linde Ag Akt Materials $1,372, % 9.75% Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Itc Ltd Shs Dematerial Consumer Staples $1,094, % (21.03)% % 14.34% Shimano Inc Ord Consumer Discretionary $965, % (15.85)% % 8.64% Inmarsat Plc London Shs Telecommunications $953, % (11.41)% Tenaris Adr Energy $943, % (9.09)% % % British American Tobacco Consumer Staples $1,481, % (6.73)% % 10.5 Japan Tobacco Inc Ord Consumer Staples $1,968, % (6.71)% % 2.9 Amorepacific (Pacific) Consumer Staples $1,208, % (5.11)% % 20.0 Nestle S A Shs Nom New Consumer Staples $2,137, % (3.81)% % 6.05% Fomento Economico Mexicano S Spon Ad Consumer Staples $2,117, % (2.86)% % 17.3 Whitbread Consumer Discretionary $1,952, % (1.95)% %

204 American Century Non-US SC Period Ended September 30, 2017 Investment Philosophy American Century s philosophy of growth investing is centered on the belief that accelerating growth in earnings and revenues, rather than the absolute level of growth, is more highly correlated to stock price performance. This philosophy often directs analysts to research different companies than other growth managers, as they do not require an absolute threshold of earnings or revenue growth. This philosophy allows American Century to take advantage of both the normal price appreciation that results from a company s earnings growth, and the markets re-rating of a company s price-to-earnings multiple. The goal is to construct a portfolio of international stocks that are experiencing accelerating growth that are believed to be sustainable over time. The product was funded during the second quarter of Prior history represents that of the composite. Quarterly Summary and Highlights American Century Non-US SC s portfolio posted a 10.84% return for the quarter placing it in the 8 percentile of the Callan International Small Cap group for the quarter and in the 49 percentile for the last year. American Century Non-US SC s portfolio outperformed the MSCI ACWI ex US Small Cap by 3.94% for the quarter and outperformed the MSCI ACWI ex US Small Cap for the year by 4.7. Quarterly Asset Growth Beginning Market Value $39,187,199 Net New Investment $0 Investment Gains/(Losses) $4,248,526 Ending Market Value $43,435,725 Performance vs Callan International Small Cap (Gross) 35% 3 25% 2 15% 1 5% (74) (8) (82) (49) (80) (54) Last Quarter Last Last 1-1/4 Last 3 Years Last 5 Years Last 10 Years Year Years 10th Percentile th Percentile Median th Percentile th Percentile American Century Non-US SC MSCI ACWI ex US Small Cap (90) (48) (92) (53) (91) (51) Relative Returns vs MSCI ACWI ex US Small Cap Callan International Small Cap (Gross) Annualized Five Year Risk vs Return 8% 22% 6% 2 Relative Returns 4% 2% (2%) (4%) Returns 18% 16% 14% 12% 1 American Century Non-US SC MSCI ACWI ex US Small Cap (6%) 8% (8%) American Century Non-US SC 6% Standard Deviation 116

205 American Century Non-US SC Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan International Small Cap (Gross) (2) (4) (6) (8) /16-9/ th Percentile (0.42) (9.37) (41.38) 25th Percentile (1.85) (11.52) (45.38) Median (3.43) (13.65) (48.22) 75th Percentile (2.47) 6.62 (6.43) (15.71) (51.34) 90th Percentile (4.57) 3.40 (9.15) (17.80) (53.33) American Century Non-US SC (5.63) (5.61) (13.72) (51.31) MSCI ACWI ex US Small Cap (4.03) (18.50) (50.23) Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Small Cap 25% 2 Relative Returns 15% 1 5% (5%) (1) American Century Non-US SC Callan Intl Small Cap Risk Adjusted Return Measures vs MSCI ACWI ex US Small Cap Rankings Against Callan International Small Cap (Gross) Five Years Ended September 30, (60) (68) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile American Century Non-US SC (60) 117

206 American Century Non-US SC Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan International Small Cap (Gross) Five Years Ended September 30, Excess Return (2 ) American Century Non-US SC (4 ) Tracking Error Market Capture vs MSCI ACWI ex US Sm Cap (USD Net Div) Rankings Against Callan International Small Cap (Gross) Five Years Ended September 30, Up Market Capture (44) Down Market Capture 10th Percentile th Percentile Median th Percentile th Percentile American Century Non-US SC (22) Risk Statistics Rankings vs MSCI ACWI ex US Sm Cap (USD Net Div) Rankings Against Callan International Small Cap (Gross) Five Years Ended September 30, % 1 5% (14) (21) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile American Century Non-US SC (26) Beta (24) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile American Century Non-US SC (70) 118

207 American Century Non-US SC Equity Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Portfolio Characteristics Percentile Rankings Rankings Against Callan International Small Cap as of September 30, 2017 Percentile Ranking (72) (31) (40) (4) (70) (10) (65) (22) (28) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile th Percentile Median th Percentile (0.24) 90th Percentile (0.31) American Century Non-US SC MSCI ACWI ex US Sm Cap (USD Net Div) (0.03) (94) (63) (16) Sector Weights The graph below contrasts the manager s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager s sector diversification are also shown. The regional allocation chart compares the manager s geographical region weights with those of the benchmark as well as the median region weights of the peer group. Sector Allocation September 30, 2017 Regional Allocation September 30, 2017 Information Technology Industrials Consumer Discretionary Financials Health Care Consumer Staples Materials Real Estate Energy Mgr MV 5 Mgr MV Dev Europe/Mid East Pacific Basin Emerging Markets Mgr MV 5 Mgr MV Utilities Telecommunications Miscellaneous Sector Diversification Manager 2.57 sectors Index 3.19 sectors North America Country Diversification Manager 4.82 countries Index 4.91 countries 5% 1 15% 2 25% 3 American Century Non-US SC MSCI ACWI ex US Sm Cap (USD Net Div) Callan Intl Small Cap American Century Non-US SC MSCI ACWI ex US Sm Cap (USD Net Div) Callan Intl Small Cap 119

208 Current Holdings Based Style Analysis American Century Non-US SC As of September 30, 2017 This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various regional and style segments of the international/global equity market. The market is segmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector. Style Map vs Callan Intl Small Cap Holdings as of September 30, 2017 Style Exposure Matrix Holdings as of September 30, 2017 Mega Large Europe/ Mid East 4.6% (5) 10.4% (12) 26.8% (26) 41.8% (43) 10.9% (302) 15.9% (394) 15. (331) 41.8% (1027) 0. (0) 3.9% (6) 6. (6) 9.8% (12) N. America 1.9% (67) 2.7% (83) 2.6% (68) 7.3% (218) 2.8% (3) 8.8% (11) 18. (21) 29.7% (35) Mid Pacific 9.2% (428) 9.9% (421) 9.5% (365) 28.6% (1214) Small American Century Non-US SC MSCI ACWI ex US Small Cap Emerging/ FM 0.7% (1) 5.7% (5) 12.3% (15) 18.7% (21) 6.8% (610) 7.4% (621) 8.1% (590) 22.3% (1821) 8.1% (9) 28.8% (34) 63.1% (68) 100. (111) Total Micro 28.9% (1407) 35.9% (1519) 35.2% (1354) 100. (4280) Value Core Growth Value Core Growth Total Combined Z-Score Style Distribution Holdings as of September 30, Bar #1=American Century Non-US SC (Combined Z: 0.80 Growth Z: 0.23 Value Z: -0.57) Bar #2=MSCI ACWI ex US Small Cap (Combined Z: Growth Z: Value Z: 0.01) (9) 8.1% (1407) 28.9% (1519) (34) 35.9% 28.8% (68) 63.1% Value Core Growth (1354) 35.2% Europe/Mid East N. America Pacific Emerging/FM Sector Weights Distribution Holdings as of September 30, % 2 15% 1 5% Bar #1=American Century Non-US SC Bar #2=MSCI ACWI ex US Small Cap COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH PUBUTL 21.2 Value Core Growth 120

209 American Century Non-US SC Top 10 Portfolio Holdings Characteristics as of September 30, Largest Holdings Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Rentokil Initial Industrials $1,054, % 13.16% % - Teleperformance Shs Industrials $804, % 18.09% % 16.81% Asr Nederland Financials $796, % 18.18% % (4.40)% A2 Consumer Staples $774, % 58.71% % Vakrangee Sftw. Information Technology $772, % 13.94% % Straumenn Hldg Ag Namen Akt Health Care $702, % 12.86% % 18.87% Saab Ab Shs B Industrials $683, % 2.69% % (3.05)% Icq Banca Cisalpina Dead - Delisted Financials $674, % 12.83% % 14.89% Nh Hotel Group S A Shs Consumer Discretionary $649, % 12.34% % 50.5 Duerr Industrials $578, % 11.69% % 5.95% 10 Best Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Magazine Luiza Sa Consumer Discretionary $309, % % % 77.57% Aixtron Ag Aachen Akt Information Technology $242, % 89.75% % Daifuku Co Industrials $332, % 65.42% % 24.99% A2 Consumer Staples $774, % 58.71% % Venture Corporation Ltd Shs Information Technology $558, % 48.43% % 23.76% Baozun Spn.Adr 1:1 Information Technology $417, % % Ing Life Insurance Korea Ltd Financials $447, % Hosiden Corp Information Technology $379, % 42.73% % 0.92% Outsourcing Industrials $389, % 42.64% % 25.91% Future Retail (New) Consumer Discretionary $105, % 40.85% Worst Performers Stock Sector Ending Market Value Percent of Portfolio Qtrly Return Market Capital Price/ Forecasted Earnings Ratio Dividend Yield Forecasted Growth in Earnings Evolable Asia Consumer Discretionary $151, % (21.34)% Vector Consumer Discretionary $238, % (16.20)% % 23.32% Medy-Tox Health Care $202, % (11.73)% Daibeck Advd.Mats. Materials $256, % (10.86)% % 19.26% Elior Sca Consumer Discretionary $361, % (8.74)% % 9.19% Sakata Seed Corp Shs Consumer Staples $283, % (8.18)% % 24.79% Askul Corp Tokyo Ord Consumer Discretionary $81, % (8.13)% % 75.7 Anritsu Corp Shs Information Technology $234, % (7.40)% % 24.45% Gmo Payment Gateway Inc Toky Shs Information Technology $324, % (5.88)% % 27.15% Idorsia Ltd Common Stock Chf.05 Health Care $213, % (5.40)% 2.13 (7.54)

210 Fixed Income Fixed Income

211 Fixed Income Period Ended September 30, 2017 Quarterly Summary and Highlights Fixed Income s portfolio posted a 1.51% return for the quarter placing it in the 8 percentile of the Pub Pln- Domestic Fixed group for the quarter and in the 17 percentile for the last year. Fixed Income s portfolio outperformed the Blmbg Aggregate Index by 0.67% for the quarter and outperformed the Blmbg Aggregate Index for the year by 3.62%. Quarterly Asset Growth Beginning Market Value $201,118,328 Net New Investment $-144,228 Investment Gains/(Losses) $3,043,888 Ending Market Value $204,017,988 Performance vs Pub Pln- Domestic Fixed (Gross) 7% 6% (17) 5% 4% (17) (8) (15) (67) 3% (74) 2% (71) (8) 1% (73) (89) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Fixed Income Blmbg Aggregate Index Relative Return vs Blmbg Aggregate Index Pub Pln- Domestic Fixed (Gross) Annualized Five Year Risk vs Return 3% 9% 2% 8% 7% Relative Returns 1% (1%) Returns 6% 5% 4% 3% Fixed Income (2%) 2% 1% Blmbg Aggregate Index (3%) Fixed Income Standard Deviation 123

212 Fixed Income Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- Domestic Fixed (Gross) (1) (2) 12/16-9/ th Percentile th Percentile Median (1.02) (1.76) 75th Percentile (0.50) 4.30 (1.96) (8.50) 90th Percentile (2.11) 2.87 (2.92) (11.37) Fixed Income (0.00) 5.77 (0.81) (2.32) Blmbg Aggregate Index (2.02) Cumulative and Quarterly Relative Return vs Blmbg Aggregate Index 12% 1 Relative Returns 8% 6% 4% 2% (2%) (4%) Fixed Income Pub Pln- Dom Fixed Risk Adjusted Return Measures vs Blmbg Aggregate Index Rankings Against Pub Pln- Domestic Fixed (Gross) Five Years Ended September 30, (0.5) (1.0) (18) (26) (19) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile (0.15) 90th Percentile (0.22) 0.51 (0.48) Fixed Income

213 Fixed Income Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Pub Pln- Domestic Fixed (Gross) Five Years Ended September 30, Excess Return (1 ) Fixed Income (2 ) Tracking Error Rolling 12 Quarter Tracking Error vs Blmbg Aggregate Index 2.5% Fixed Income Pub Pln- Dom Fixed Tracking Error % Risk Statistics Rankings vs Blmbg Aggregate Index Rankings Against Pub Pln- Domestic Fixed (Gross) Five Years Ended September 30, % % % % % 0. (8) (27) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Fixed Income (20) Beta (13) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile Fixed Income (70) 125

214 BlackRock U.S. Debt Fund Period Ended September 30, 2017 Investment Philosophy Core Bond peer group includes managers that are typically benchmarked versus a domestic, investment grade fixed income index and generally will not make meaningful investments in securities outside of the benchmark. The product was funded during the fourth quarter of Performance prior is that of the composite. Quarterly Summary and Highlights BlackRock U.S. Debt Fund s portfolio posted a 0.88% return for the quarter placing it in the 63 percentile of the Callan Core Bond Fixed Income group for the quarter and in the 84 percentile for the last year. BlackRock U.S. Debt Fund s portfolio outperformed the Blmbg Aggregate by 0.04% for the quarter and outperformed the Blmbg Aggregate for the year by 0.12%. Quarterly Asset Growth Beginning Market Value $98,911,411 Net New Investment $-12,158 Investment Gains/(Losses) $875,014 Ending Market Value $99,774,267 Performance vs Callan Core Bond Fixed Income (Gross) 7% 6% 5% 4% (92) (88) 3% 2% (89) (85) (96) (81) (98) (95) 1% (79) (63) (91) (84) Last Quarter Last Last 3 Years Last 5 Years Last 5-3/4 Last 10 Years Year Years 10th Percentile th Percentile Median th Percentile th Percentile BlackRock U.S. Debt Fund Blmbg Aggregate Relative Return vs Blmbg Aggregate Callan Core Bond Fixed Income (Gross) Annualized Five Year Risk vs Return % 3.4% 3.2% Relative Returns Returns % 2.6% 2.4% BlackRock U.S. Debt Fund 2.2% 2. Blmbg Aggregate (0.1) BlackRock U.S. Debt Fund 1.8% Standard Deviation 126

215 BlackRock U.S. Debt Fund Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Core Bond Fixed Income (Gross) 25% 2 15% 1 5% (5%) (1) (15%) /16-9/ th Percentile (0.66) th Percentile (1.10) Median (1.47) th Percentile (1.84) (2.45) 90th Percentile (0.03) 5.36 (2.32) (7.12) BlackRock U.S. Debt Fund (1.92) Blmbg Aggregate (2.02) Cumulative and Quarterly Relative Return vs Blmbg Aggregate % Relative Returns % % 0. (0.5%) BlackRock U.S. Debt Fund Callan Core Bond FI Risk Adjusted Return Measures vs Blmbg Aggregate Rankings Against Callan Core Bond Fixed Income (Gross) Five Years Ended September 30, (14) (86) (89) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median th Percentile th Percentile BlackRock U.S. Debt Fund

216 BlackRock U.S. Debt Fund Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Core Bond Fixed Income (Gross) Five Years Ended September 30, Excess Return BlackRock U.S. Debt Fund (0.2 ) Tracking Error Rolling 12 Quarter Tracking Error vs Bloomberg Barclays Aggregate 1.2% 1. BlackRock U.S. Debt Fund Callan Core Bond FI Tracking Error 0.8% 0.6% 0.4% 0.2% Risk Statistics Rankings vs Bloomberg Barclays Aggregate Rankings Against Callan Core Bond Fixed Income (Gross) Five Years Ended September 30, % % % % 0. (51) Standard (99) Downside (100) Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile BlackRock U.S. Debt Fund Beta (37) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile BlackRock U.S. Debt Fund (1) 128

217 PIMCO Fixed Income Period Ended September 30, 2017 Investment Philosophy PIMCO emphasizes adding value by rotating through the major sectors of the domestic and international bond markets. They also seek to enhance returns through duration management. The product was funded during the third quarter of The custom index is currently composed of 25% Barclays Mortgage, 25% Barclays Credit, 25% Barclays High Yield, and 25% JP Morgan EMBI Global. Prior to 2/1/2012, the custom index was composed of 7 Barclays Mortgage, 15% Barclays Credit, and 15% Barclays High Yield. Quarterly Summary and Highlights PIMCO Fixed Income s portfolio posted a 2.12% return for the quarter placing it in the 3 percentile of the Callan Core Plus Fixed Income group for the quarter and in the 1 percentile for the last year. PIMCO Fixed Income s portfolio outperformed the Custom Index by 0.49% for the quarter and outperformed the Custom Index for the year by 3.42%. Quarterly Asset Growth Beginning Market Value $102,206,917 Net New Investment $-132,070 Investment Gains/(Losses) $2,168,874 Ending Market Value $104,243,721 Performance vs Callan Core Plus Fixed Income (Gross) 8% 7% 6% 5% 4% 3% 2% 1% (3) A(3) B(94) (8) A(1) (3) A(1) B(97) B(100) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 15 Years Year (9) A(1) B(100) 10th Percentile th Percentile Median th Percentile th Percentile PIMCO Fixed Income A Blmbg Aggregate Index B Custom Index (21) A(12) B(97) (35) A(9) B(97) Relative Return vs Custom Index Callan Core Plus Fixed Income (Gross) Annualized Five Year Risk vs Return 2% 5.5% 5. PIMCO Fixed Income 1% 4.5% Relative Returns Returns % 3. Custom Index (1%) 2.5% 2. Blmbg Aggregate Index (2%) PIMCO Fixed Income 1.5% Standard Deviation 129

218 PIMCO Fixed Income Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Core Plus Fixed Income (Gross) (1) (2) 6 A(1) 5 B(99) A(1) B(100) B(38) A(75) B(61) A(85) A(1) B(100) 75 B(39) 93 A(77) A(25) B(96) 64 A(74) B(100) 12/16-9/ A(34) B(99) 27 10th Percentile th Percentile (0.13) Median (0.67) (5.17) 75th Percentile (0.36) 5.70 (1.07) (9.34) 90th Percentile (1.08) 5.36 (1.66) (13.26) PIMCO Fixed Income A (0.39) 5.48 (0.12) (5.85) Blmbg Aggregate Index B (2.02) Custom Index (1.28) B(5) A(63) Cumulative and Quarterly Relative Return vs Custom Index Relative Returns 8% 6% 4% 2% (2%) (4%) (6%) (8%) (1) (12%) PIMCO Fixed Income Blmbg Aggregate Index Callan Core Plus FI Risk Adjusted Return Measures vs Custom Index Rankings Against Callan Core Plus Fixed Income (Gross) Five Years Ended September 30, (0.5) (1.0) (1.5) A(13) B(99) A(21) B(100) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile (0.07) 25th Percentile (0.41) Median (0.65) 75th Percentile (0.18) 0.85 (0.81) 90th Percentile (0.47) 0.76 (0.95) PIMCO Fixed Income A Blmbg Aggregate Index B (0.75) 0.60 (1.01) A(1) B(97) 130

219 PIMCO Fixed Income Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Core Plus Fixed Income (Gross) Five Years Ended September 30, PIMCO Fixed Income 0.5 Excess Return 0.0 (0.5 ) (1.0 ) (1.5 ) (2.0 ) Blmbg Aggregate Index (2.5 ) Tracking Error Rolling 12 Quarter Tracking Error vs Custom Index Tracking Error 3.5% % % 1. PIMCO Fixed Income Blmbg Aggregate Index Callan Core Plus FI 0.5% Risk Statistics Rankings vs Custom Index Rankings Against Callan Core Plus Fixed Income (Gross) Five Years Ended September 30, % 5% 4% 3% 2% 1% A(1) B(64) B(2) A(88) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile PIMCO Fixed Income A Blmbg Aggregate Index B B(4) A(43) Beta A(1) B(86) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile PIMCO Fixed Income A Blmbg Aggregate Index B A(38) B(96) 131

220 PIMCO Fixed Income Bond Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager s portfolio characteristics with the range of characteristics for the portfolios which make up the manager s style group. This analysis illustrates whether the manager s current holdings are consistent with other managers employing the same style. Fixed Income Portfolio Characteristics Rankings Against Callan Core Plus Fixed Income as of September 30, (42) (7) (14) (88) (94) (1) (87) (5) 0 (2) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile th Percentile Median th Percentile th Percentile (0.10) PIMCO Fixed Income (0.52) Blmbg Aggregate (63) (99) Sector Allocation and Quality Ratings The first graph compares the manager s sector allocation with the average allocation across all the members of the manager s style. The second graph compares the manager s weighted average quality rating with the range of quality ratings for the style. Corp (incl 144A) US Trsy RMBS Gov Related ABS CMOs Sector Allocation September 30, Mgr MV 5 Mgr MV Quality Ratings vs Callan Core Plus Fixed Income Trsy AAA AA+ (4) AA AA- A+ Tax-Exempt US Muni 0.4 A CMBS A- (94) Non-Agency RMBS 1.2 Other Cash (11.6 ) (6.1 ) (4) (2) PIMCO Fixed Income Blmbg Aggregate Callan Core Plus Fixed Income BBB+ Weighted Average Quality Rating 10th Percentile AA 25th Percentile AA- Median A+ 75th Percentile A 90th Percentile A- PIMCO Fixed Income A- Blmbg Aggregate AA+ 132

221 PIMCO Fixed Income Portfolio Characteristics Summary As of September 30, 2017 Portfolio Structure Comparison The charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatest influence on return. The first chart compares the two portfolios across sectors. The second chart compares the duration distribution. The last chart compares the distribution across quality ratings. Sector Distribution 6 Percent of Portfolio 4 2 (2) (6.1 ) PIMCO Fixed Income Blmbg Aggregate Index 0.1 (11.6 ) (4) Corp (incl 144A) US Trsy RMBS Gov Related ABS CMOs Tax-Exempt US Muni CMBS Other Cash Duration Distribution 5 Weighted Average: PIMCO Fixed Income: Blmbg Aggregate Index: Duration Percent of Portfolio < Years Duration 7-10 >10 Quality Distribution 10 Weighted Average: PIMCO Fixed Income: Blmbg Aggregate Index: Quality A- AA+ Percent of Portfolio AAA AA A 24.7 BBB BB B Quality Rating 1.4 CCC 0.1 CC C D 133

222 Real Estate Real Estate

223 Real Estate Period Ended September 30, 2017 Investment Philosophy The Total Real Estate Funds Database consists of both open and closed-end commingled funds as well as separate accounts managed by real estate firms. The returns represent the overall performance of institutional capital invested in real estate properties. Quarterly Summary and Highlights Real Estate s portfolio posted a 1.86% return for the quarter placing it in the 37 percentile of the Pub Pln- Real Estate group for the quarter and in the 27 percentile for the last year. Real Estate s portfolio underperformed the NFI-ODCE Value Weight Gr by 0.0 for the quarter and outperformed the NFI-ODCE Value Weight Gr for the year by 0.28%. Quarterly Asset Growth Beginning Market Value $74,848,945 Net New Investment $-866,601 Investment Gains/(Losses) $1,385,751 Ending Market Value $75,368,095 Performance vs Pub Pln- Real Estate (Gross) 14% 12% 1 (30) (33) (12) (10) 8% (29) (27) 6% 4% (47) (62) 2% (34) (37) Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years 10th Percentile th Percentile Median th Percentile th Percentile Real Estate NFI-ODCE Value Weight Gr Relative Return vs NFI-ODCE Value Weight Gr Pub Pln- Real Estate (Gross) Annualized Five Year Risk vs Return 1.5% 14% Relative Returns % 0. (0.5%) Returns 13% 12% 11% 1 9% 8% 7% Real Estate NFI-ODCE Value Weight Gr (1.) 6% 5% (1.5%) Real Estate 4% Standard Deviation 135

224 Real Estate Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Pub Pln- Real Estate (Gross) (1) (2) (3) (4) (5) /16-9/ th Percentile (2.71) 25th Percentile (12.77) (8.25) Median (25.86) (11.84) 75th Percentile (32.60) (18.58) 90th Percentile (0.23) (41.02) (38.31) Real Estate (29.69) (12.89) NCREIF NFI-ODCE Val Wt Gr (29.76) (10.01) Cumulative and Quarterly Relative Return vs NCREIF NFI-ODCE Val Wt Gr 6% 4% Relative Returns 2% (2%) (4%) (6%) (8%) Real Estate Pub Pln- Real Estate Risk Adjusted Return Measures vs NCREIF NFI-ODCE Val Wt Gr Rankings Against Pub Pln- Real Estate (Gross) Five Years Ended September 30, (2) (4) (82) (28) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile (0.12) Median (0.39) 75th Percentile (0.66) 90th Percentile (2.24) 1.82 (2.05) Real Estate (0.79) (15) 136

225 Real Estate Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Pub Pln- Real Estate (Gross) Five Years Ended September 30, Excess Return 0 (2 ) (4 ) Real Estate (6 ) (8 ) Tracking Error Rolling 12 Quarter Tracking Error vs NCREIF NFI-ODCE Value Weight Gross Tracking Error 4.5% % % % % 0. Real Estate Pub Pln- Real Estate Risk Statistics Rankings vs NCREIF NFI-ODCE Value Weight Gross Rankings Against Pub Pln- Real Estate (Gross) Five Years Ended September 30, % 6% 5% 4% 3% 2% 1% (64) (95) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile Real Estate (81) (0.2) (0.4) Beta (10) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile (0.14) 0.00 Real Estate (7) 137

226 JP Morgan Strategic Property Fund Period Ended September 30, 2017 Investment Philosophy J.P. Morgan s Strategic Property Fund is an actively managed diversified, core, open-end commingled pension trust fund. It seeks an income-driven rate of return of 100 basis points over the NFI-ODCE Equal Weight Net Index over a full market cycle (three to five year horizon) through asset, geographic and sector selection and active asset management. The Fund invests in high quality stabilized assets with dominant competitive characteristics in markets with attractive demographics throughout the United States. The product was funded in the fourth quarter of Quarterly Summary and Highlights JP Morgan Strategic Property Fund s portfolio posted a 1.72% return for the quarter placing it in the 35 percentile of the Callan Open-End Core Commingled Real Est group for the quarter and in the 44 percentile for the last year. JP Morgan Strategic Property Fund s portfolio underperformed the NCREIF NFI-ODCE Val Wt Gr by 0.15% for the quarter and underperformed the NCREIF NFI-ODCE Val Wt Gr for the year by 0.09%. Quarterly Asset Growth Beginning Market Value $49,341,089 Net New Investment $-489,539 Investment Gains/(Losses) $842,009 Ending Market Value $49,693,559 Performance vs Callan Open-End Core Commingled Real Est (Net) 16% 14% 12% 1 8% (43) (44) (30) (39) (20) (18) (28) (5) 6% 4% (34) (18) 2% (32) (35) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 16-3/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile JP Morgan Strategic Property Fund NCREIF NFI-ODCE Val Wt Gr Relative Returns vs NCREIF NFI-ODCE Val Wt Gr Callan Open-End Core Commingled Real Est (Net) Annualized Five Year Risk vs Return 1. 15% 0.5% 14% Relative Returns 0. (0.5%) Returns 13% 12% 11% 1 JP Morgan Strategic Property Fund NCREIF NFI-ODCE Val Wt Gr (1.) 9% (1.5%) JP Morgan Strategic Property Fund 8% Standard Deviation 138

227 JP Morgan Strategic Property Fund Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Open-End Core Commingled Real Est (Net) (1) (2) (3) (4) (5) (6) /16-9/ th Percentile (20.77) (2.54) 25th Percentile (25.49) (5.51) Median (28.89) (10.25) 75th Percentile (33.22) (14.99) 90th Percentile (43.44) (25.43) JP Morgan Strategic Property Fund (26.53) (8.09) NCREIF NFI-ODCE Val Wt Gr (29.76) (10.01) Cumulative and Quarterly Relative Return vs NCREIF NFI-ODCE Val Wt Gr 3% 2% Relative Returns 1% (1%) (2%) (3%) (4%) JP Morgan Strategic Property Fund Callan OE Core Cmngld RE Risk Adjusted Return Measures vs NCREIF NFI-ODCE Val Wt Gr Rankings Against Callan Open-End Core Commingled Real Est (Net) Five Years Ended September 30, (2) (4) (47) (12) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile (0.18) Median (0.69) 5.90 (0.63) 75th Percentile (1.13) 5.07 (1.12) 90th Percentile (2.74) 3.60 (2.29) JP Morgan Strategic Property Fund (0.08) (17) 139

228 JP Morgan Strategic Property Fund Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Open-End Core Commingled Real Est (Net) Five Years Ended September 30, Excess Return 1 0 (1 ) (2 ) (3 ) JP Morgan Strategic Property Fund (4 ) Tracking Error Rolling 12 Quarter Tracking Error vs NCREIF NFI-ODCE Value Weight Gross Tracking Error 2.2% % 1.6% 1.4% 1.2% % 0.6% 0.4% 0.2% JP Morgan Strategic Property Fund Callan OE Core Cmngld RE Risk Statistics Rankings vs NCREIF NFI-ODCE Value Weight Gross Rankings Against Callan Open-End Core Commingled Real Est (Net) Five Years Ended September 30, % % % % 0. (59) (89) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile JP Morgan Strategic Property Fund (91) Beta (31) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile JP Morgan Strategic Property Fund (9) 140

229 JP Morgan Income and Growth Fund Period Ended September 30, 2017 Investment Philosophy The product was funded in the fourth quarter of Quarterly Summary and Highlights JP Morgan Income and Growth Fund s portfolio posted a 2.15% return for the quarter placing it in the 36 percentile of the Callan Real Estate Value Added Open End group for the quarter and in the 37 percentile for the last year. JP Morgan Income and Growth Fund s portfolio outperformed the NCREIF NFI-ODCE Val Wt Gr by 0.28% for the quarter and outperformed the NCREIF NFI-ODCE Val Wt Gr for the year by 0.99%. Quarterly Asset Growth Beginning Market Value $25,507,855 Net New Investment $-377,062 Investment Gains/(Losses) $543,743 Ending Market Value $25,674,536 Performance vs Callan Real Estate Value Added Open End (Net) 18% 16% 14% (40) 12% 1 8% 6% 4% 2% (40) (36) (61) (37) (71) (64) (75) (6) (42) (56) (12) Last Quarter Last Last 3 Years Last 5 Years Last 10 Years Last 11-3/4 Year Years 10th Percentile th Percentile Median th Percentile th Percentile JP Morgan Income and Growth Fund NCREIF NFI-ODCE Val Wt Gr Relative Returns vs NCREIF NFI-ODCE Val Wt Gr Callan Real Estate Value Added Open End (Net) Annualized Five Year Risk vs Return 6% 16% 5% 4% 15% Relative Returns 3% 2% 1% (1%) (2%) Returns 14% 13% 12% 11% JP Morgan Income and Growth Fund NCREIF NFI-ODCE Val Wt Gr (3%) JP Morgan Income and Growth Fund Standard Deviation 141

230 JPM Income and Growth Fund Return Analysis Summary Return Analysis The graphs below analyze the manager s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Callan Real Estate Value Added Open End (Net) (2) (4) (6) (8) /16-9/ th Percentile (41.24) (4.81) 25th Percentile (42.72) (13.03) Median (45.40) (16.25) 75th Percentile (61.06) (25.95) 90th Percentile 3.57 (1.33) (66.35) (42.95) JPM Income and Growth Fund (44.09) (27.07) NCREIF NFI-ODCE Val Wt Gr (29.76) (10.01) Cumulative and Quarterly Relative Return vs NCREIF NFI-ODCE Val Wt Gr 12% 1 Relative Returns 8% 6% 4% 2% (2%) (4%) JPM Income and Growth Fund Callan RE Val Add Opn End Risk Adjusted Return Measures vs NCREIF NFI-ODCE Val Wt Gr Rankings Against Callan Real Estate Value Added Open End (Net) Five Years Ended September 30, (2) (4) (6) (94) (84) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile th Percentile Median (0.42) th Percentile (1.77) th Percentile (2.74) 3.16 (0.47) JPM Income and Growth Fund (3.25) (47) 142

231 JPM Income and Growth Fund Risk Analysis Summary Risk Analysis The graphs below analyze the risk or variation of a manager s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager s risk statistics versus the peer group. Risk Analysis vs Callan Real Estate Value Added Open End (Net) Five Years Ended September 30, Excess Return JPM Income and Growth Fund (1 ) (2 ) Tracking Error Rolling 12 Quarter Tracking Error vs NCREIF NFI-ODCE Value Weight Gross Tracking Error 5.5% % % % % 1. JPM Income and Growth Fund Callan RE Val Add Opn End Risk Statistics Rankings vs NCREIF NFI-ODCE Value Weight Gross Rankings Against Callan Real Estate Value Added Open End (Net) Five Years Ended September 30, % % % % % 0. (12) (47) Standard Downside Tracking Deviation Risk Error 10th Percentile th Percentile Median th Percentile th Percentile JPM Income and Growth Fund (16) Beta (1) R-Squared 10th Percentile th Percentile Median th Percentile th Percentile JPM Income and Growth Fund (48) 143

232 Infrastructure Infrastructure

233 Infrastructure Period Ended September 30, 2017 Quarterly Summary and Highlights Infrastructure s portfolio outperformed the CPI + 4% by 2.55% for the quarter and outperformed the CPI + 4% for the year by 8.7. Quarterly Asset Growth Beginning Market Value $48,959,696 Net New Investment $-3,635,564 Investment Gains/(Losses) $2,066,458 Ending Market Value $47,390, % Returns % Last Quarter Last Year Last 3 Years Last 5 Years Last 8-3/4 Years Infrastructure CPI + 4% Relative Return vs CPI + 4% Annualized Five Year Risk vs Return 1 8% 6% 9.5% % Infrastructure Relative Returns 4% 2% (2%) (4%) Returns % % 6. (6%) 5.5% (8%) 5. CPI + 4% (1) Infrastructure 4.5% Standard Deviation 145

234 Macquarie European Infrastructure Period Ended September 30, 2017 Investment Philosophy The product was funded in the fourth quarter of Quarterly Summary and Highlights Macquarie European Infrastructure s portfolio outperformed the CPI + 4% by 4.5 for the quarter and outperformed the CPI + 4% for the year by 18.81%. Quarterly Asset Growth Beginning Market Value $21,925,712 Net New Investment $-3,644,318 Investment Gains/(Losses) $1,321,544 Ending Market Value $19,602, % Returns 15% % Last Quarter Last Year Last 3 Years Last 5 Years Last 8-3/4 Years Macquarie European Infrastructure CPI + 4% Relative Return vs CPI + 4% Annualized Five Year Risk vs Return 15% 1 1 9% Macquarie European Infrastructure Relative Returns 5% (5%) Returns 8% 7% 6% (1) 5% CPI + 4% (15%) Macquarie European Infrastructure 4% Standard Deviation 146

235 SteelRiver Infrastructure North America Period Ended September 30, 2017 Investment Philosophy The product was funded in the fourth quarter of Quarterly Summary and Highlights SteelRiver Infrastructure North America s portfolio outperformed the CPI + 4% by 0.9 for the quarter and outperformed the CPI + 4% for the year by 1.04%. Quarterly Asset Growth Beginning Market Value $27,033,984 Net New Investment $8,754 Investment Gains/(Losses) $744,914 Ending Market Value $27,787,651 14% 12% Returns 8% 6% % 2% Last Quarter Last Year Last 3 Years Last 5 Years Last 8-3/4 Years SteelRiver Infrastructure North America CPI + 4% Relative Return vs CPI + 4% Annualized Five Year Risk vs Return 15% % 8. SteelRiver Infrastructure North America Relative Returns 5% (5%) Returns 7.5% % 6. (1) 5.5% 5. CPI + 4% (15%) SteelRiver Infrastructure North America 4.5% Standard Deviation 147

236 Definitions Definitions

237 Common Stock Portfolio Characteristics All Portfolio Characteristics are derived by first calculating the characteristics for each security, and then calculating the weighted average of these values for the portfolio. Cash Flow/Sales - Cash flow divided by sales. Cash flow is the cash generated by a company after all cash expenses, including income taxes and minority interest, but before provision for dividends. Expenses do not include non-cash expenses such as depreciation. Sales represent gross sales reduced by cash discounts, returned sales, etc. Debt to Capital Ratio - The Debt to Capital ratio is a measure of the level of total debt of a company as a portion of the total capital. The Debt to Capital Ratio is equal to Total Debt divided by Total Capital. Total Debt includes both current and long term debt. Total Capital is equal to all invested capital. The invested capital includes: 1)Total Debt; 2) the carrying value (par or stated value per share) or preferred stock; 3) the par or stated value of preferred or common stocks not owned by the parent company; and 4) common equity, which includes common stock, capital surplus, and retained earnings. Diversification Ratio - The ratio of the number of securities comprising the most concentrated half of the portfolio market value (see Issue Concentration) divided by the total number of portfolio securities (see Number of Securities). This value expresses to what extent a portfolio is equally weighted versus concentrated, given the number of names in the portfolio. This value can range from a high of 5 (equal weighted) to a low of 1% (half of the portfolio in 1% of the names). Dividends/Cash Flow - The Dividend/Cash Flow ratio is a measure of the sustainability or safety of a given dividend payment amount. Common stock dividends divided by cash flow. The common stock dividends are the total dollar amount of dividends for a stock over the preceding twelve months. Cash flow is the cash generated by a company after all cash expenses, including income taxes and minority interest, but before the provision for dividends. Earnings/Sales - Earnings/Sales is a measure of a company s profitability, specifically measuring the relationship between the firm s costs and its sales. The value is equal to the earnings of a company divided by net sales. Earnings represent the income of a company after all expenses, income taxes, and minority interest, but before provisions for common and/or preferred stock dividends. Sales represent gross sales reduced by cash discounts, returned sales, etc. Forecasted Earnings Yield - This "yield" is a forward-looking valuation measure of a company s common stock. It expresses the amount of earnings estimated for next year per dollar of current share price as a percentage yield. This value is calculated by dividing, for each stock, the consensus (mean) analysts earnings forecasts for the next year by the current share price. These earnings estimates are for recurring, non-extraordinary earnings per primary common share. The individual earnings yields (E/P) are then weighted by their respective portfolio market values in order to calculate a weighted average representative of the portfolio as a whole. Forecasted Long-Term Earnings Growth - This growth rate is a measure of a company s expected long-term success in generating future year-over-year earnings growth. This growth rate is a market value weighted average of the consensus (mean) analysts long-term earnings growth rate forecast for each company in the portfolio. The definition of long-term varies by analyst but is limited to a 3-8 year range. This value is expressed as the expected average annual growth of earnings in percent. Forecasted Price/Earnings Ratio - This ratio is a forward-looking valuation measure of a company s common stock. It encapsulates the amount of earnings estimated for next year per dollar of current share price. This value is calculated by dividing the present stock price of each company in the portfolio by the consensus (mean) analysts earnings forecasts for the next year. These earnings estimates are for recurring, non-extraordinary earnings per primary common share. 149

238 Common Stock Portfolio Characteristics Growth in Assets - This value represents a weighted average five year annual growth rate of assets per common stock share. The rates of growth in assets for trailing twelve month periods are calculated using the assets-per-share values for each time period. The five-year growth in assets figure is calculated for each security in a portfolio. From these individual values, a weighted average value is calculated for the portfolio. The number of shares in each time period is adjusted to reflect any splits, mergers, or other capital changes. Total Assets includes the sum of current, non-current, and intangible assets. Growth in Book Value - This value represents a weighted average five year annual growth rate of book value per common stock share. The rates of growth in book value for trailing twelve month periods are calculated using the book value-per-share values for each time period. The five-year growth in book value figure is calculated for each security in a portfolio. From these individual values, a weighted average value is calculated for the portfolio. The number of shares in each time period is adjusted to reflect any splits, mergers, or other capital changes. Total Book Value is the sum of the common stock outstanding, capital surplus, and retained earnings. Growth in Cash Flows - This value represents a weighted average five year annual growth rate of cash flow per common stock share. The rates of growth in cash flow for trailing twelve month periods are calculated using the cash flow-per-share values for each time period. The five-year growth in cash flow figure is calculated for each security in a portfolio. From these individual values, a weighted average value is calculated for the portfolio. The number of shares in each time period is adjusted to reflect any splits, mergers, or other capital changes. Cash flow is the cash generated by a company after all cash expenses, including income taxes and minority interest, but before provision for dividends. In this case, common shares are the shares used to calculate primary earnings per share. Primary earnings per share are earnings per share that are not diluted, because it is assumed that securities that are convertible into equities are not converted. Growth in Sales - This value represents a weighted average five year annual growth rate of sales per common stock share. The rates of growth in sales for trailing twelve month periods are calculated using the sales-per-share values for each time period. The five-year growth in sales figure is calculated for each security in a portfolio. From these individual values, a weighted average value is calculated for the portfolio. The number of shares in each time period is adjusted to reflect any splits, mergers, or other capital changes. Sales represent gross sales reduced by cash discounts, return sales, etc. In this case, common shares are the shares used to calculate primary earnings per share. Primary earnings per share are earnings per share that are not diluted, because it is assumed that securities that are convertible into equities are not converted. Interest/Pretax Earnings - This value is used as a measure of the ability of a company to meet interest payments out of earnings. The ratio is equal to the interest expense divided by earnings. Earnings are the value before: 1) interest expense, the expense of securing both short and long-term debt; 2) state, federal, and foreign taxes; 3) extraordinary items and discontinued operation; 4) provision for common and preferred dividends; and 5) minority interests, which is that portion of the consolidated subsidiary income applicable to common stock not owned by the parent company. MSCI Combined Z-Score is a holdings-based measure of the "growthyness" or "valueyness" of an individual stock or portfolio of stocks based on fundamental financial ratio analysis. The Combined Z-Score is the difference between the MSCI Growth Z-Score and the MSCI Value Z-Score (Growth-Value). The underlying Growth Z-Score is an aggregate score based on 5 financial fundamentals: Long Term Forward Earnings Growth, Short Term Forward Earnings Growth, Current Internal Growth Rate, Long Term Historical Earnings Growth and Long Term Historical Sales Growth. The underlying Value Z-Score is an aggregate score based on 3 financial fundamentals: Price/Book, Price/Forward Earnings, and Dividend Yield. The MSCI Combined Z-Score usually ranges between +2 and -2. A significantly positive Combined Z-Score implies significant portfolio "growthyness". A Combined Z-Score close to 0.0 (positive or negative) implies "core-like" characteristics, and a significantly negative Combined Z-Score implies portfolio "valueyness". 150

239 Common Stock Portfolio Characteristics MSCI Growth Z-Score is a holdings-based measure of the "growthyness" of an individual stock or portfolio of stocks based on fundamental financial ratio analysis. The Growth Z-Score is an aggregate score based on the growth scores of 5 separate financial fundamentals: Long Term Forward Earnings Growth, Short Term Forward Earnings Growth, Current Internal Growth (ROE * (1-payout ratio)), Long Term Historical Earnings Growth and Long Term Historical Sales Growth. The MSCI Growth Z-Score usually ranges between +3 and -3. A significantly positive Growth Z-Score implies significant "growthyness" in the stock or portfolio. A Growth Z-Score close to 0.0 (positive or negative) implies "core-like" style characteristics, and a significantly negative Growth Z-Score implies more "valueyness" in the stock or portfolio (although the MSCI Value Z-Score should be used to confirm this). MSCI Value Z-Score is a holdings-based measure of the "valueyness" of an individual stock or portfolio of stocks based on fundamental financial ratio analysis. The Value Z-Score is an aggregate score based on the value scores of 3 separate financial fundamentals: Price/Book, Price/Forward Earnings, and Dividend Yield. The MSCI Value Z-Score usually ranges between +3 and -3. A significantly positive Value Z-Score implies significant "valueyness" in the stock or portfolio. A Value Z-Score close to 0.0 (positive or negative) implies "core-like" style characteristics, and a significantly negative Value Z-Score implies more "growthyness" in the stock or portfolio (although the MSCI Growth Z-Score should be used to confirm this). Market Capitalization (weighted median) - The weighted median market cap is the point at which half of the market value of the portfolio is invested in stocks with a greater market cap, and consequently the other half is invested in stocks with a lower market cap. Payout Ratio - The Payout Ratio describes the portion of earnings over a twelve month period that is paid out as dividends and addresses the sustainability of a given dividend level. The ratio is equal to ex-dividends per share divided by fully diluted earnings per share, excluding extraordinary items and discontinued operations. Ex-dividend implies that the dividend is declared but not paid and that a buyer of a stock after an ex-dividend does not receive the dividend. Fully diluted earnings per share are earnings that are reduced or diluted, by assuming the conversion of all securities that are convertible into equities. Plant and Equipment/Assets - This ratio shows the portion of Total Assets that consists of capital goods permanently employed in the business of a company. The ratio is equal to the book value of gross plant and equipment assets divided by the total assets. Plant and equipment includes land, buildings, machinery, and any other equipment permanently employed in the business of a company. Total assets includes the sum of all current, non-current, and intangible assets. R & D/Sales - Research and development expenditures divided by sales. Research and development expenses are costs that relate to the development of new products or services. Sales represent gross sales reduced by cash discounts, returned sales, etc. Relative Sector Variance - A measure illustrating how significantly a portfolio currently differs from the sector weights of the index. This measure is the sum of the differences (absolute value) between the portfolio and index sector weights across all sectors. The higher the number the more aggressive the deviation from the index sector weights, and vice versa. This relative risk measure can help explain the magnitude of past tracking error and potential future tracking error versus the index. S & P Rating - This is the Standard and Poor s market weighted average rating of all of the rated securities in the portfolio. Stock ratings are intended to provide an objective measure of the risk of a company in terms of the perceived level of stability in earnings and dividends. Securities which are not rated by Standard and Poor s are excluded from the weighted average rating. 151

240 Common Stock Portfolio Characteristics Sales - Equal to gross sales and earnings from interest, dividends, and rents. Gross sales is the amount of actual billings to customers for delivery of products and services in exchange for cash, a promise to pay, or a money equivalent, reduced by returns, allowances, and discounts. Earnings from interest, dividends, and rents is net of transaction costs. Sector Concentration - A measure of current portfolio diversification by economic sector (equity) or market sector (fixed income) to illustrate potential risk from concentrated sector exposures. The measure itself represents how few sectors contain half of the portfolio market value. A low number means the assets are concentrated in a few sectors and potentially highly exposed to the risks of those sectors. Total Assets - Everything a company owns or is due. Includes all current, non-current, and intangible assets. Current assets include cash, temporary investments, receivables, inventories, and prepaid expenses. Non-current assets include fixed assets such as buildings and machinery. Intangible assets include such items as patents and goodwill. Value of Holdings - This represents the total market value of all the securities in the portfolio, computed as the sum of the products of the closing value per share and the number of shares of each security held in the portfolio. 152

241 Fixed Income Portfolio Characteristics All Portfolio Characteristics are derived by first calculating the characteristics for each security, and then calculating the market value weighted average of these values for the portfolio. Allocation by Sector - Sector allocation is one of the tools which managers often use to add value without impacting the duration of the portfolio. The sector weights exhibit can be used to contrast a portfolio s weights with those of the index to identify any significant sector bets. Average Coupon - The average coupon is the market value weighted average coupon of all securities in the portfolio. The total portfolio coupon payments per year are divided by the total portfolio par value. Average Moody s Rating for Total Portfolio - A measure of the credit quality as determined by the individual security ratings. The ratings for each security, from Moody s Investor Service, are compiled into a composite rating for the whole portfolio. Quality symbols range from Aaa+ (highest investment quality - lowest credit risk) to C (lowest investment quality - highest credit risk). Average Option Adjusted (Effective) Convexity - Convexity is a measure of the portfolio s exposure to interest rate risk. It is a measure of how much the duration of the portfolio will change given a change in interest rates. Generally, securities with negative convexities are considered to be risky in that changes in interest rates will result in disadvantageous changes in duration. When a security s duration changes it indicates that the stream of expected future cash-flows has changed, generally having a significant impact on the value of the security. The option adjusted convexity for each security in the portfolio is calculated using models developed by Lehman Brothers and Salomon Brothers which determine the expected stream of cash-flows for the security based on various interest rate scenarios. Expected cash-flows take into account any put or call options embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal prepayments. Average Option Adjusted (Effective) Duration - Duration is one measure of the portfolio s exposure to interest rate risk. Generally, the higher a portfolio s duration, the more that its value will change in response to interest rate changes. The option adjusted duration for each security in the portfolio is calculated using models developed by Lehman Brothers and Salomon Brothers which determine the expected stream of cash-flows for the security based on various interest rate scenarios. Expected cash-flows take into account any put or call options embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal prepayments. Average Price - The average price is equal to the portfolio market value divided by the number of securities in the portfolio. Portfolios with an average price above par will tend to generate more current income than those with an average price below par. Average Years to Expected Maturity - This is a measure of the market-value-weighted average of the years to expected maturity across all of the securities in the portfolio. Expected years to maturity takes into account any put or call options embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal prepayments. Average Years to Stated Maturity - The average years to stated maturity is the market value weighted average time to stated maturity for all securities in the portfolio. This measure does not take into account imbedded options, sinking fund paydowns, or prepayments. Current Yield - The current yield is the current annual income generated by the total portfolio market value. It is equal to the total portfolio coupon payments per year divided by the current total portfolio market value. 153

242 Fixed Income Portfolio Characteristics Duration Dispersion - Duration dispersion is the market-value weighted standard deviation of the portfolio s individual security durations around the total portfolio duration. The higher the dispersion, the more variable the security durations relative to the total portfolio duration ("barbellness"), and the smaller the dispersion, the more concentrated the holdings durations around the overall portfolio s ("bulletness"). The purpose of this statistic is to gauge the "bulletness" or "barbellness" of a portfolio relative to its total duration and to that of its benchmark index. Effective Yield - The effective yield is the actual total annualized return that would be realized if all securities in the portfolio were held to their expected maturities. Effective yield is calculated as the internal rate of return, using the current market value and all expected future interest and principal cash flows. This measure incorporates sinking fund paydowns, expected mortgage principal prepayments, and the exercise of any "in-the-money" imbedded put or call options. Weighted Average Life - The weighted average life of a security is the weighted average time to payment of all remaining principal. It is calculated by multiplying each expected future principal payment amount by the time left to the payment. This amount is then divided by the total amount of principal remaining. Weighted average life is commonly used as a measure of the investment life for pass-through security types for comparison to non-pass-through securities. 154

243 Risk/Reward Statistics The risk statistics used in this report examine performance characteristics of a manager or a portfolio relative to a benchmark (market indicator) which assumes to represent overall movements in the asset class being considered. The main unit of analysis is the excess return, which is the portfolio return minus the return on a risk free asset (3 month T-Bill). R-Squared indicates the extent to which the variability of the portfolio returns are explained by market action. It can also be thought of as measuring the diversification relative to the appropriate benchmark. An r-squared value of.75 indicates that 75% of the fluctuation in a portfolio return is explained by market action. An r-squared of 1.0 indicates that a portfolio s returns are entirely related to the market and it is not influenced by other factors. An r-squared of zero indicates that no relationship exists between the portfolio s return and the market. Relative Standard Deviation is a simple measure of a manager s risk (volatility) relative to a benchmark. It is calculated by dividing the manager s standard deviation of returns by the benchmark s standard deviation of returns. A relative standard deviation of 1.20, for example, means the manager has exhibited 2 more risk than the benchmark over that time period. A ratio of.80 would imply 2 less risk. This ratio is especially useful when analyzing the risk of investment grade fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark. Residual Portfolio Risk is the unsystematic risk of a fund, the portion of the total risk unique to the fund (manager) itself and not related to the overall market. This reflects the "bets" which the manager places in that particular asset market. These bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that portfolio. Rising and Declining Periods refer to the sub-asset class cycles vis-a-vis the broader asset class. This is determined by evaluating the cumulative relative sub-asset class index performance to that of the broader asset class index. For example, to determine the Growth Style cycle, the S&P 500 Growth Index (sub-asset class) performance is compared to that of the S&P 500 Index (broader asset class). Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the "risk-free" return (usually 3 Month Treasury Bill) from the portfolio return and dividing the resulting "excess return" by the portfolio s risk level (standard deviation). The result is a measure of return gained per unit of risk taken. Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation, however, lies in these two areas: (1) the statistical significance of the denominator, and (2) its reliance on the persistence of skewness in return distributions. Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is. The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns are normally distributed (ie. has a bell shaped curve distribution) then approximately 2/3 of the returns would occur within plus or minus one standard deviation from the sample mean. Total Portfolio Risk is a measure of the volatility of the quarterly excess returns of an asset. Total risk is composed of two measures of risk: market (non-diversifiable or systematic) risk and residual (diversifiable or unsystematic) risk. The purpose of portfolio diversification is to reduce the residual risk of the portfolio. 155

244 Risk/Reward Statistics Tracking Error is a statistical measure of a portfolio s risk relative to an index. It reflects the standard deviation of a portfolio s individual quarterly or monthly returns from the index s returns. Typically, the lower the Tracking Error, the more "index-like" the portfolio. Treynor Ratio represents the portfolio s average excess return over a specified period divided by the beta relative to its benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk assumed. Note: Alpha, Total Risk, and Residual Risk are annualized. 156

245 Callan Research/Education Callan Research/Education

246 Εξηιβιτ 1 Τηε Πριϖατε Dεβτ Υνιϖερσε 2 What is Callan s deinition of private debt? Our characterization of private debt deines its objective as obtaining an income-oriented return from an unlisted debt or debt-like instrument. We then organize the private debt universe by major issuer, collateral asset, or project type, including: Real estate Corporate credit Infrastructure Other strategies The goal of our private debt research is to provide Callan clients with the broadest opportunity set. We believe this approach offers a lexible framework to discuss strategies and provides the perspective needed to ind pockets of value with similar fundamental credit exposure in different parts of the private debt universe. We organize our coverage of private debt without consideration for its position in the capital stack or by the target returns of the strategies. For instance, we would look at mezzanine debt not as a category; instead, we treat it as an investment structure and examine the underlying credit characteristics (i.e., nature of assets/projects/issuers, deal sponsorship, level of equity cushion, underlying business plans, etc.), which really determine the risk/return proile. Corporate Credit Ρεαλ Εστατε Dεβτ Infrastructure Debt Focuses on privately negotiated, Focuses on debt or debt-like instruments collateralized by real estate instruments collateralized by Focuses on debt or debt-like non-traded debt or debt-like instruments typically issued to middle assets (primarily commercial real infrastructure assets, projects, or market companies estate) or interests in them interests in them Expected Return λοω Εξπεχτεδ Ρισκ λοω Observed Volatility λοω Diversiication Beneit ηιγη ηιγη ηιγη λοω λοω λοω ποορ εξχελλεντ ποορ εξχελλεντ ποορ εξχελλεντ Note: Other strategies include residential mortgage/home equity finance, auto finance, niche consumer lending, equipment lending/ leasing, global trade lending, litigation funding, commercial auto finance, and niche commercial lending. ηιγη ηιγη ηιγη λοω λοω λοω ηιγη ηιγη ηιγη CALLAN INSTITUTE ΧΑΛΛΑΝ ΙΝΣΤΙΤΥΤΕ 3ρδ Θυαρτερ 2017 Εδυχατιον Ρεσεαρχη ανδ Εδυχατιοναλ Προγραmσ Τηε Χαλλαν Ινστιτυτε προϖιδεσ βοτη ρεσεαρχη το υπδατε χλιεντσ ον τηε λατεστ ινδυστρψ τρενδσ ανδ χαρεφυλλψ στρυχτυρεδ εδυχατιοναλ προγραmσ το ενηανχε τηε κνοωλεδγε οφ ινδυστρψ προφεσσιοναλσ. ςισιτ ωωω.χαλλαν.χοm/λιβραρψ το σεε αλλ οφ ουρ πυβλιχατιονσ, ανδ ωωω.χαλλαν.χοm/βλογ το ϖιεω ουρ βλογ Περσπεχτιϖεσ. Φορ mορε ινφορmατιον χονταχτ Αννα Wεστ ατ / ινστιτυτε χαλλαν.χοm. Νεω Ρεσεαρχη φροm Χαλλαν σ Εξπερτσ Τηε Πριϖατε Dεβτ Πιε: Dο Ψου Wαντ α Σλιχε? Dο Ψου Νεεδ Ονε? Ασ ινστιτυτιον αλ ινϖεστορσ χονσιδερ τηε mεριτσ ανδ ρισκσ οφ χονστρυχτινγ πριϖατε δεβτ αλλοχατιονσ ιν τηειρ πορτφολιοσ, Χαλλαν σ ϑαψ Κλοεπφερ, τηε διρεχτορ οφ Χαπιταλ Μαρκετσ Ρεσεαρχη; ανδ ϑαψ Ναψακ, α χονσυλταντ ιν ουρ Πριϖατε Εθυιτψ Ρεσεαρχη γρουπ, πρεπαρεδ α σετ οφ ανσωερσ το σοmε κεψ θυεστιονσ αβουτ πριϖατε δεβτ. Χαλλαν 2017 Νυχλεαρ Dεχοmmισσιονινγ Φυνδινγ Στυδψ Τηισ στυδψ, δονε αννυαλλψ, οφφερσ κεψ ινσιγητσ ιντο τηε στατυσ οφ νυχλεαρ δεχοmmισσιονινγ φυνδινγ ιν τηε Υ.Σ. Τηε 2017 στυδψ χοϖερσ 54 υτιλιτιεσ ωιτη αν οωνερσηιπ ιντερεστ ιν τηε 99 οπερατινγ νυχλεαρ ρεαχτορσ ανδ 11 οφ τηε νον οπερατινγ ρεαχτορσ ιν τηε Υ.Σ. Ιτ φουνδ τηατ τηε ηεαλτη οφ νυχλεαρ δεχοmmισσιονινγ φυνδινγ ηασ ρεmαινεδ φαιρλψ σταβλε, ηοϖερινγ νεαρ 7 οϖερ τηε παστ δεχαδε. Συρϖεψ 2017 Πριϖατε Εθυιτψ Συρϖεψ Factors Impacting Institutional Private Equity Implementation Χαλλαν 2017 Πριϖατε Εθυιτψ Συρϖεψ Χαλλαν χονδυχτεδ α συρϖεψ οφ ινστιτυ τιοναλ πριϖατε εθυιτψ ινϖεστορσ. Wε φο χυσεδ ον δεπλοψmεντ mοδελσ, παττερνσ οφ ινϖεστmεντ ανδ χοmmιτmεντ αχτιϖιτιεσ over time, governance and oversight, stafing and resources, and ρεσπονσιβιλιτιεσ φορ προγραm αδmινιστρατιον φυνχτιονσ. Ουρ Συρϖεψ ινχλυδεδ 69 ινστιτυτιοναλ ινϖεστορσ ωιτη πριϖατε εθυιτψ προγραmσ τοταλινγ βιλλιον. Ουρ Συρϖεψ φουνδ τηατ αν αρραψ οφ αδmινισ τρατιον ισσυεσ αφφεχτ ηοω ινστιτυτιοναλ πριϖατε εθυιτψ πορτφολιοσ αρε χονστρυχτεδ, mονιτορεδ, ανδ mαναγεδ. Wε φουνδ τηεσε φαχτορσ λεδ το λεσσ τηαν ιδεαλ χηοιχεσ φορ ιmπλεmεντινγ τηε προγραmσ, οφτεν ινχλυδινγ συβ οπτιmαλ υσε οφ τηε δισχρετιοναρψ χονσυλταντ/ φυνδ οφ φυνδσ mοδελ φορ χερταιν πριϖατε εθυιτψ προγραmσ. Τηε Τριπλε Πλαψ: Αδδινγ Τιmβερλανδ, Φαρmλανδ, ανδ Ινφραστρυχτυρε το Πορτφολιοσ Τιmβερλανδ, φαρmλανδ, ανδ ινφρα structure offer diversiication, stable income, and inlation protec τιον φορ ινστιτυτιοναλ ινϖεστορ πορτφολιοσ. Χαλλαν βελιεϖεσ α χοmβι νατιον οφ τηεσε τηρεε ρεαλ ασσετσ οφφερσ διστινχτ αδϖανταγεσ. Ρεαχηινγ φορ Ηιγηερ Γρουνδ: Τηε Εϖολυτιον οφ ΤDΦσ Ταργετ δατε φυνδσ (ΤDΦσ) αρε αν ιmπροϖεmεντ οϖερ φορmερ χοmmον δε φαυλτσ, βυτ τηεψ νεεδ το εϖολϖε. Τηε σολυτιονσ ινχλυδε υσινγ υν correlated asset classes, in-plan annuities, dynamic qualiied δεφαυλτ ινϖεστmεντ αλτερνατιϖεσ, ορ γυαραντεεδ ινχοmε προδυχτσ. Περιοδιχαλσ Πριϖατε Μαρκετσ Τρενδσ, Συmmερ 2017 Γαρψ Ροβερτσον δισ χυσσεσ τηε συργε οφ mονεψ ιντο τηε πριϖατε mαρκετσ ασ ηιγη πριχεσ περσιστ. Ηεδγε Φυνδ Μονιτορ, 3ρδ Θυαρτερ 2017 ϑιm ΜχΚεε δισχυσσεσ φουρ mαϕορ σεχυλαρ τρενδσ τηατ αρε ον α πρεδιχταβλε χουρσε το ιν χρεασινγλψ ωειγη ον mαρκετσ οϖερ τηε λονγερ τερm: δεmογραπηιχσ, iscal policy, monetary policy, and market valuations. Μαρκετ Πυλσε Φλιπβοοκ, 2νδ Θυαρτερ 2017 Α θυαρτερλψ mαρκετ ρεφερενχε γυιδε χοϖερινγ ινϖεστmεντ ανδ φυνδ σπονσορ τρενδσ ιν the U.S. economy, U.S. and non-u.s. equities and ixed income, alternatives, and deined contribution plans. Χαπιταλ Μαρκετ Ρεϖιεω, 2νδ Θυαρτερ 2017 Α θυαρτερλψ νεωσ λεττερ προϖιδινγ ινσιγητσ ον τηε εχονοmψ ανδ ρεχεντ περφορmανχε in equity, ixed income, alternatives, international, real estate, and οτηερ χαπιταλ mαρκετσ. Μοντηλψ Περιοδιχ Ταβλε οφ Ινϖεστmεντ Ρετυρνσ Τηισ υπδατε relects the latest results for major indices.

247 Εϖεντσ Μισσ ουτ ον α Χαλλαν χονφερενχε ορ ωορκσηοπ? Εϖεντ συmmα ριεσ ανδ σπεακερσ πρεσεντατιονσ αρε αϖαιλαβλε ον ουρ ωεβσιτε: ωωω.χαλλαν.χοm/λιβραρψ/ Μαρκ ψουρ χαλενδαρσ φορ ουρ υπχοmινγ Ρεγιοναλ Wορκσηοπσ, Οχτοβερ 24 ιν Νεω Ψορκ ανδ Οχτοβερ 26 ιν Χηιχαγο, ωηερε ωε λλ χοϖερ ηιγηλιγητσ φροm ουρ σοον το βε πυβλισηεδ Ινϖεστmεντ Μαν αγεmεντ Φεε Συρϖεψ ανδ οτηερ ασπεχτσ οφ φεεσ. Χαλλαν σ Νατιοναλ Χονφερενχε ωιλλ βε ηελδ ϑανυαρψ 29 31, 2018, ατ τηε Παλαχε Ηοτελ ιν Σαν Φρανχισχο. Φορ mορε ινφορmατιον αβουτ εϖεντσ, πλεασε χονταχτ Βαρβ Γερρατψ: / γερρατψ χαλλαν.χοm Τηε Χεντερ φορ Ινϖεστmεντ Τραινινγ Εδυχατιοναλ Σεσσιονσ Τηε Χεντερ φορ Ινϖεστmεντ Τραινινγ, βεττερ κνοων ασ τηε Χαλλαν Χολλεγε, προϖιδεσ α φουνδατιον οφ κνοωλεδγε φορ ινδυστρψ προφεσ σιοναλσ ωηο αρε ινϖολϖεδ ιν τηε ινϖεστmεντ δεχισιον mακινγ προ χεσσ. Ιτ ωασ φουνδεδ ιν 1994 το προϖιδε χλιεντσ ανδ νον χλιεντσ αλικε with basic- to intermediate-level instruction. Our next sessions are: Ιντροδυχτιον το Ινϖεστmεντσ Σαν Φρανχισχο, Απριλ 10 11, 2018 Σαν Φρανχισχο, ϑυλψ 24 25, 2018 Χηιχαγο, Οχτοβερ 2 3, 2018 Τηισ προγραm φαmιλιαριζεσ φυνδ σπονσορ τρυστεεσ, σταφφ, ανδ ασσετ mαναγεmεντ αδϖισερσ ωιτη βασιχ ινϖεστmεντ τηεορψ, τερmινολογψ, ανδ πραχτιχεσ. Ιτ λαστσ ονε ανδ α ηαλφ δαψσ ανδ ισ δεσιγνεδ φορ ιν dividuals who have less than two years of experience with assetmαναγεmεντ οϖερσιγητ ανδ/ορ συππορτ ρεσπονσιβιλιτιεσ. Τυιτιον φορ τηε Ιντροδυχτορψ Χαλλαν Χολλεγε σεσσιον ισ 2,350 περ περσον. Τυιτιον ινχλυδεσ ινστρυχτιον, αλλ mατεριαλσ, βρεακφαστ ανδ λυνχη ον each day, and dinner on the irst evening with the instructors. Χυστοmιζεδ Σεσσιονσ Τηε Χαλλαν Χολλεγε ισ εθυιππεδ το χυστοmιζε α χυρριχυλυm το meet the training and educational needs of a speciic organization. Τηεσε ταιλορεδ σεσσιονσ ρανγε φροm βασιχ το αδϖανχεδ ανδ χαν take place anywhere even at your ofice. Εδυχατιον: Βψ τηε Νυmβερσ Λεαρν mορε ατ ωωω.χαλλαν.χοm/εϖεντσ/χαλλαν χολλεγε ιντρο ορ χονταχτ Κατηλεεν Χυννιε: / χυννιε χαλλαν.χοm 525 Αττενδεεσ (ον αϖεραγε) οφ τηε Ινστιτυτε σ αννυαλ Νατιοναλ Χονφερενχε 50+ Υνιθυε πιεχεσ οφ ρεσεαρχη τηε Ινστιτυτε γενερατεσ εαχη ψεαρ 3,500 Τοταλ αττενδεεσ οφ τηε Χαλλαν Χολλεγε σινχε Ψεαρ τηε Χαλλαν Ινστιτυτε ωασ φουνδεδ Wε τηινκ τηε βεστ ωαψ το λεαρν σοmετηινγ ισ το τεαχη ιτ. Εντρυστινγ χλιεντ εδυχατιον το ουρ χονσυλταντσ ανδ σπεχιαλιστσ ενσυρεσ τηατ τηεψ ηαϖε α τοταλ χοmmανδ οφ τηειρ συβϕεχτ mαττερ. Τηισ ισ ονε ρεασον ωηψ εδυχατιον ανδ ρεσεαρχη ηαϖε been cornerstones of our irm for more than 40 years. Ron Peyton, Executive Chairman ΧαλλανΛΛΧ Χαλλαν

248 Disclosures Disclosures

249 Quarterly List as of September 30, 2017 List of Callan s Investment Manager Clients Confidential For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Callan is committed to ensuring that we do not consider an investment manager s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list. Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan s Compliance Department. Manager Name 1607 Capital Partners, LLC Aberdeen Asset Management PLC Acadian Asset Management LLC AEGON USA Investment Management AEW Capital Management Affiliated Managers Group, Inc. Alcentra AllianceBernstein Allianz Global Investors Allianz Life Insurance Company of North America American Century Investments AMP Capital Investors Limited Amundi Smith Breeden LLC Angelo, Gordon & Co. Apollo Global Management AQR Capital Management Ares Management LLC Ariel Investments, LLC Aristotle Capital Management, LLC Artisan Holdings Atlanta Capital Management Co., LLC Aviva Investors Americas AXA Investment Managers Baillie Gifford Overseas Limited Baird Advisors Bank of America Barings LLC Baron Capital Management, Inc. Barrow, Hanley, Mewhinney & Strauss, LLC BlackRock BMO Global Asset Management BNP Paribas Investment Partners BNY Mellon Asset Management Boston Partners Brandes Investment Partners, L.P. Brandywine Global Investment Management, LLC Manager Name Brigade Capital Management, LP Brown Brothers Harriman & Company Cambiar Investors, LLC Capital Group CastleArk Management, LLC Causeway Capital Management CBRE Global Investors Chartwell Investment Partners ClearBridge Investments, LLC Cohen & Steers Capital Management, Inc. Columbia Management Investment Advisers, LLC Columbus Circle Investors Conning Asset Management Company Corbin Capital Partners, L.P. Cornerstone Capital Management Cramer Rosenthal McGlynn, LLC Credit Suisse Asset Management Crestline Investors, Inc. D.E. Shaw Investment Management, L.L.C. DePrince, Race & Zollo, Inc. Deutsche Asset Management Diamond Hill Capital Management, Inc. Dimensional Fund Advisors LP Doubleline Duff & Phelps Investment Mgmt. Co. Eagle Asset Management, Inc. EARNEST Partners, LLC Eaton Vance Management Epoch Investment Partners, Inc. Fayez Sarofim & Company Federated Investors Fidelity Institutional Asset Management Fiera Capital Corporation First Eagle Investment Management, LLC First Hawaiian Bank Wealth Management Division Fisher Investments Knowledge. Experience. Integrity. Page 1 of 2

250 Manager Name Franklin Templeton Franklin Templeton Institutional Fred Alger Management, Inc. Fuller & Thaler Asset Management, Inc. GAM (USA) Inc. GMO Goldman Sachs Asset Management Goodwin Capital Advisers Guggenheim Investments Guggenheim Partners Asset Management GW&K Investment Management Harbor Capital Group Trust Hartford Funds Hartford Investment Management Co. Heitman LLC Henderson Global Investors Holland Capital Management Hotchkis & Wiley Capital Management, LLC HSBC Global Asset Management Income Research + Management, Inc. Insight Investment Management Limited INTECH Investment Management, LLC Invesco Investec Asset Management Ivy Investments Janus Capital Management, LLC Jarislowsky Fraser Global Investment Management Jensen Investment Management Jobs Peak Advisors Johnson Institutional Management J.P. Morgan Asset Management J.P. Morgan Chase & Company Kayne Anderson Capital Advisors LP KeyCorp Lazard Asset Management Legal & General Investment Management America Lincoln National Corporation LM Capital Group, LLC LMCG Investments, LLC Longview Partners Loomis, Sayles & Company, L.P. Lord Abbett & Company Los Angeles Capital Management LSV Asset Management MacKay Shields LLC Macquarie Investment Management (formerly Delaware Investments) Man Investments Inc. Manulife Asset Management McKinley Capital Management, LLC MFS Investment Management MidFirst Bank Mondrian Investment Partners Limited Montag & Caldwell, LLC Morgan Stanley Investment Management Mountain Lake Investment Management LLC MUFG Union Bank, N.A. Neuberger Berman Newton Investment Management (fka Newton Capital Mgmt) Nicholas Investment Partners Manager Name Nikko Asset Management Co., Ltd. Northern Trust Asset Management Nuveen Investments, Inc. OFI Global Asset Management Old Mutual Asset Management O Shaughnessy Asset Management, LLC Pacific Investment Management Company Parametric Portfolio Associates Peregrine Capital Management, Inc. PGIM PGIM Fixed Income PGIM Real Estate PineBridge Investments Pioneer Investments PNC Capital Advisors, LLC PPM America Principal Global Investors Private Advisors, LLC Putnam Investments, LLC QMA (Quantitative Management Associates) RBC Global Asset Management Regions Financial Corporation RidgeWorth Capital Management, Inc. Rockefeller & Co., Inc. Rockpoint Group Rothschild Asset Management, Inc. Russell Investments Santander Global Facilities Schroder Investment Management North America Inc. Smith, Graham & Co. Investment Advisors, L.P. Smith Group Asset Management Standard Life Investments Limited Standish State Street Global Advisors Stone Harbor Investment Partners, L.P. T. Rowe Price Associates, Inc. Taplin, Canida & Habacht Teachers Insurance & Annuity Association of America The Boston Company Asset Management, LLC The Guardian Life Insurance Company of America The Hartford The Lionstone Group The London Company The TCW Group, Inc. Thompson, Siegel & Walmsley LLC Thornburg Investment Management, Inc. Tri-Star Trust Bank UBS Asset Management Van Eck Global Versus Capital Group Victory Capital Management Inc. Vontobel Asset Management, Inc. Voya Financial Voya Investment Management (fka ING) WCM Investment Management WEDGE Capital Management Wellington Management Company, LLP Wells Capital Management Western Asset Management Company William Blair & Company Knowledge. Experience. Integrity. Page 2 of 2 September 30, 2017

251 The Legalities of Pension Reform: How Do You Get There from Here? - The Washington Post 1 of 7 11/7/2017, 1:35 PM [Note: The following is a blog post I wrote for Reason.org, which you can also find here.. Click here to see an archive of the posts I ve written for Reason.org, including various articles about the law of public-employee pensions (this one and this one,, as well as this white paper about the California Rule).] Underfunded pension liabilities are a major fiscal problem for state and local governments. But as all public employee pension reformers are aware, the federal and state constitutions impose limits on how drastically public pension benefits can be cut. The chief relevant constitutional provision is the federal Constitution s Contract Clause: No State shall... pass any... Law impairing the Obligation of Contracts. The Supreme Court judges state contractual impairments under a three-part test, stated in, among other cases, Energy Reserves Group, Inc. v. Kansas Power & Light Co. (1983): (1) Has there been a substantial impairment of a contractual relationship? (2) If so, does the state have a significant and legitimate public purpose behind the regulation? (3) If so, is the adjustment of the rights and responsibilities of contracting parties... based upon reasonable conditions and... of a character appropriate to the public purpose justifying the legislation s adoption? States generally have analogous language in their own constitutions: for instance, the Texas and Georgia

252 The Legalities of Pension Reform: How Do You Get There from Here? - The Washington Post 2 of 7 11/7/2017, 1:35 PM Constitutions have Contract Clauses with nearly identical language to the federal version. Despite this general uniformity, the constitutional law of public employee pension reform actually differs quite a bit from state to state. One reason is that some states have special, extra-protective provisions in their own constitutions, sometimes specifically aimed at pension protection. In Illinois, for instance, the state constitution provides that [m]embership in any [state or local] pension or retirement system... shall be an enforceable contractual relationship, the benefits of which shall not be diminished or impaired ; the Arizona Constitution has nearly identical language, and the Michigan Constitution s approach is similar. Another reason is that states differ in whether they classify public employee pensions as contracts at all. Generally, public employee pensions are defined by statute rather than being written down in a physical contract. And classically, they were usually categorized as gratuities which the state could change virtually at will, without running into any Contract Clause problems. Arkansas still takes this approach, at least for pensions with no employee contribution element. The path to public-employee pension reform in such states is quite easy: the politics of pension reform may still be tricky, but legally, all the legislature needs to do is amend the statute even to the point of wiping out the pensions entirely. Most states have moved away from the gratuity approach. But that doesn t necessarily mean all public- employee pensions are binding contracts. Some states consider pensions to be more akin to property interests. (And even then, that might imply strong property protection, as in New Mexico, or weak property protection, as in Maine.) Some states consider pensions to be promises of a sort, but ones that are only protected if the beneficiary has reasonably relied on the promise. (That s the approach in Minnesota.) And even in the states that consider pensions to be binding contracts, there s still the question of what s included in the contract. In Florida, for instance, the legislature can change pension benefits as much as it wants, as long as it protects the amounts that have been accrued so far. Oklahoma provides less protection: the legislature can change your pension benefits until the moment you retire.

253 The Legalities of Pension Reform: How Do You Get There from Here? - The Washington Post 3 of 7 11/7/2017, 1:35 PM Perhaps the high point of pension protection is in California and states that follow a similar approach, like Arizona and Illinois. In those states, the contract is taken to include not only the amounts earned so far based on work already done, but also the formulas that were part of the law at the moment one was hired (e.g., a 3% annual cost of living increase, a 5% employee contribution rate, etc.). So in those states, even a purely prospective reduction in the annual cost of living increase from 3% to 2%, or an increase in the employee contribution rate from 5% to 6%, would be unconstitutional. A recent California appellate case has seemed to back away from this extremely protective approach,, but it remains to be seen whether this move will be upheld by the California Supreme Court. (As noted earlier, Arizona and Illinois have special Pension Clauses, which might explain their more aggressive approach; but California follows a similar approach under its ordinary Contract Clause, though it lacks a Pension Clause. The precise constitutional language probably matters less than the general attitudes of judges in different states.) How can pension reformers proceed in those California Rule states?? One possibility is to make pension reforms apply only to new hires. (One s ability to take advantage of this by firing existing employees will presumably be limited by civil-service laws and government-employee unions.) Another possibility is to amend the state constitution an approach taken in Arizona, where the Pension Clause was surgically amended to exempt one particular pension reform statute. These interlocking questions Is there a contract? What does it cover? are nicely illustrated in Kentucky, which has major pension underfunding problems and is now going through a pension reform of its own. In 1972, the Kentucky legislature passed the following statute: It is hereby declared that in consideration of the contributions by the members [of the Kentucky Employees Retirement System (KERS)] and in further consideration of benefits received by the state from the member s employment, KRS to shall... constitute an inviolable contract of the Commonwealth, and the benefits provided therein shall... not be subject to reduction or impairment by alteration, amendment, or repeal.

254 The Legalities of Pension Reform: How Do You Get There from Here? - The Washington Post 4 of 7 11/7/2017, 1:35 PM Why would such a statute have been necessary? As noted above, it would make clear that the pension is a contract, not a gratuity. Otherwise, 3 of the Kentucky Constitution would apply: every grant of a... privilege... shall remain subject to revocation, alteration or amendment. Instead, 19 applies a conventional Contract Clause, under which [n]o... law impairing the obligation of contracts[] shall be enacted. The inviolable contract statute serves a useful function sending pensions covered by KERS into the 19 box rather than the 3 box. So the contract is inviolable. But what s in the contract what features can t be reduced or impaired? Perhaps, like in California, the contract is an agreement to retain pension formulas at least as generous as those that were in effect when the employee was hired. (The explicit reference to particular statutory sections might be taken to endorse that view: perhaps the contract includes the 5% employee contribution rate specified in KRS , and the specific cost of living adjustments specified in KRS ) Or perhaps, like in Florida, the contract is just an agreement to pay the pension benefits that have been earned based on work already done. (On this view, the reference to statutory sections just clarifies that these sections apply, however they may be modified by the legislature going forward.) The statute itself doesn t say which is the true meaning, and Kentucky caselaw has been fairly sparse. Litigation doesn t arise unless someone tries to change the system in a way that s unfavorable to public employees, so states with a long history of pension-reform efforts will naturally have more judicial decisions on the subject. The leading recent case in Kentucky is Jones v. Board of Trustees of Kentucky Retirement Systems (1995). In Jones,, the Board of Trustees determined that the state should increase its contributions to the system; the governor and legislature refused to do so. The dispute revolved around differences in how to value retirement system assets whether to use market value or book value. The Kentucky Supreme Court held that the governor s and legislature s actions were legal, on the theory that the Kentucky Constitution and statutes protected actual benefits against substantial impairment, and didn t mandate any particular funding mechanism. Because no substantial impairment had been shown, the Court wrote, we need not decide under what circumstances the state s contract with its workers could be lawfully impaired. So there appears to be some continuing ambiguity here. In 2013, the legislature amended the statute. Now, the inviolable contract blockquote above is prefaced with

255 The Legalities of Pension Reform: How Do You Get There from Here? - The Washington Post 5 of 7 11/7/2017, 1:35 PM For members who begin participating in the Kentucky Employees Retirement System prior to January 1, For later hires, a new subsection says: For members who begin participating in the Kentucky Employees Retirement System on or after January 1, 2014, the General Assembly reserves the right to amend, suspend, or reduce the benefits and rights provided under KRS to if, in its judgment, the welfare of the Commonwealth so demands, except that the amount of benefits the member has accrued at the time of amendment, suspension, or reduction shall not be affected. So at least with respect to new hires who participate in KERS, the law seems clear: the legislature is free to change pension benefits, as long as it does so prospectively. As to older hires, the legislature may also have that ability, but there s more legal uncertainty. The same is true of some other Kentucky retirement systems, like the Kentucky Legislators Retirement Plan or the Judicial Retirement Plan, which have a similar pre-/post-2014 dichotomy. But some Kentucky plans lack inviolable contract language entirely. One recent case, litigated in federal court under Kentucky law, was Puckett v. Lexington-Fayette Urban County Government (2016), where retired policeman Tommy Puckett challenged a legislative reduction of his cost-of-living adjustments. The Sixth Circuit rejected a challenge to this reduction under the federal Contract Clause. Puckett was a member of the Lexington-Fayette Urban County Government Policemen s and Firefighters Retirement Fund, which unlike KERS and similar funds wasn t created by a contract-looking statute. The Sixth Circuit held that because the statute showed no intention of creating a contract (such as inviolable contract language), there was no Contract Clause violation. Admittedly, the Sixth Circuit s analysis was only under the federal Contract Clause, not the state Contract Clause, and it s theoretically possible that Kentucky s Contract Clause might be stricter; but Kentucky caselaw doesn t strongly suggest that possibility. The fact that Tommy Puckett s cost-of-living adjustments could be reduced even years after he had retired, therefore not at all prospectively suggests that the legal barriers to pension reform are fairly low in Kentucky.

256 The Legalities of Pension Reform: How Do You Get There from Here? - The Washington Post 6 of 7 11/7/2017, 1:35 PM What does the current pension reform effort look like in Kentucky? The current plan proposed by Gov. Bevin and legislative leaders covers a number of different public pension systems not just KERS, but also the Teachers Retirement System, the County Employees Retirement System, the State Police Retirement System, and several others. The full proposal is big and complicated, and space doesn t permit a full analysis here. But let s look, for instance, at the Teachers Retirement System (TRS) component, which is briefly summarized here and somewhat more lengthily summarized here. The basic idea is to switch employees from the current defined benefit plan into a defined contribution plan. But rather than doing so immediately, the plan adopts a gradual approach. Current teachers can continue to participate in the current defined benefit plan until they reach 27 years of service, or age 60 that is, until they ve accrued full unreduced retirement eligibility. If they ve reached that threshold by July 1, 2018, they move into a Social Security replacement defined contribution plan but they can still opt to continue in their defined benefit plan for up to three more years. If they haven t reached that threshold by July 1, 2018, they still participate in the defined benefit plan until 27 years or age 60, and then move into the defined contribution plan. Eventually all current employees would be shifted into the defined contribution plan, but the shift would be gradual. Some of the individual changes are unambiguously negative: for instance, TRS members are currently entitled to a 1.5% cost of living adjustment, whereas the new plan would suspend cost of living adjustments for five years. Whether the net effect of all the changes is positive or negative depends on the interaction of a lot of moving parts, which is beyond the scope of this article. Is all this legal? It s hard to say because, as noted above, the contours of the inviolable contract for the pre-2014 hires are a bit up in the air. But, broadly speaking, Kentucky law seems to be friendlier to reform efforts than the law of many other states. And even if the contract does include existing formulas, retirees are only protected against substantial impairments that are unreasonable and not backed by a significant public purpose. So if this reform proposal passes, it may be able to avoid the legal hurdles that have bedeviled pension reform efforts elsewhere.

257 The Legalities of Pension Reform: How Do You Get There from Here? - The Washington Post 7 of 7 11/7/2017, 1:35 PM [NOTE: Edited to remove references to Maryland law and insert references to Florida law.]

258 What to know about public pensions & interest rate assumptions Benefi of 3 11/7/2017, 1:39 PM

259 What to know about public pensions & interest rate assumptions Benefi of 3 11/7/2017, 1:39 PM That s according to Milliman s 2017 Public Pension Funding Study, which also finds that there s a 79-basis-point gap between the sponsor-reported discount rate and independently-determined rate assumptions indicating that further reductions are likely. Based on information that was reported by the plan sponsors at their last fiscal year ends for most, June 30, 2016 the study finds that plan assets were still showing the effects of market downturns in and Total plan assets as of the last fiscal year ends stood at $3.19 trillion, down from $3.24 trillion as of the prior fiscal year ends (generally June 30, 2015). RELATED But since the last fiscal year ends, market performance has been strong; estimated aggregate plan assets are up to $3.44 trillion as of June 30, The study estimates that the plans experienced a median annualized return on assets of percent in the period between their fiscal year ends and June 30, A new GAO report offers an unflattering analysis of the country s hybrid public-private retirement system -- and an urgent call... When it comes to the aggregate funded ratio for the country s largest public pension plans, as of June 30 of this year it s estimated to be 70.7 percent; that s up from 67.7 percent at the end of the plans latest reported fiscal years, usually June 30 of Total pension liability at fiscal year ends for the 100 public plans was an aggregate $4.72 trillion for more than 26 million members; that s estimated to have risen to $4.87 trillion as of June 30 of this year. However, Milliman s analysis estimates that total liabilities for these plans could be higher. The study recalibrated total pension liability for each plan, based on market consensus that longterm investment returns have been falling and using independently determined interest rate assumptions. For this study, interest rate indicates the assumptions plan sponsors have chosen to determine their contribution amounts, while discount rate indicates the rate used to measure liabilities for fi i l ti