City of Milwaukee Employes Retirement System

March 31, 2015 City of Milwaukee Employes Retirement System Investment Measurement Service Quarterly Review The following report was prepared by Callan Associates Inc. ("CAI") using information from sources that include the following: fund trustee(s); fund custodian(s); investment manager(s); CAI computer software; CAI investment manager and fund sponsor database; third party data vendors; and other outside sources as directed by the client. CAI assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by any information providers external to CAI. Reasonable care has been taken to assure the accuracy of the CAI 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, CAI 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 2015 by Callan Associates Inc.

Table of Contents March 31, 2015 Capital Markets Review 1 Total Fund Investment Manager Asset Allocation 9 Actual vs. Target Asset Allocation 10 Total Fund vs. Total Public Fund Database 12 Quarterly Total Fund Attribution 15 Cumulative Total Fund Attribution 16 Investment Manager Returns - Gross of Fee 17 Investment Manager Returns - Net of Fee 21 Asset Class Rankings 23 Callan Research/Education 24 Disclosures 29

Capital Markets Review Capital Markets Review

ΧΑΛΛΑΝ ΙΝςΕΣΤΜΕΝΤΣ ΙΝΣΤΙΤΥΤΕ ΧΜΡ Πρεϖιεω Φιρστ Θυαρτερ 2015 This Preview contains excerpts from the upcoming Χαπιταλ Μαρκετ Ρεϖιεω (CMR) newsletter, which will be published at the end of the month. Βροαδ Μαρκετ Θυαρτερλψ Ρετυρνσ U.S. Equity (Russell 3000) +1.80% Non-U.S. Equity (MSCI ACWI ex USA) +3.59% Συβδυεδ Ρετυρνσ Υ.Σ. ΕΘΥΙΤΨ Λαυρεν Ματηιασ, ΧΦΑ U.S. Fixed (Barclays Aggregate) -4.36% Cash (90-Day T-Bills) +1.61% Non-U.S. Fixed (Citi Non-U.S.) 0.00% The irst quarter s ups and downs resulted in only a slight net increase for U.S. equities as represented by the Σ&Π 500 Ινδεξ (+0.95%). The U.S. economy made some progress a drop in gasoline prices fueled consumer spending, an increase in jobs decreased unemployment (5.5%), and fourth-quarter GDP growth was conirmed at a modest 2.2%, albeit down from a 5.0% pace in the third quarter. Despite this, Fed Chair Janet ellen remained conservative in her plan to raise interest Χοντινυεδ ον πγ. 2 Τηε Wαιτινγ Γαmε ΝΟΝ Υ.Σ. ΕΘΥΙΤΨ Ματτ Λαι Markets across the globe shook off a historic oil slump to kick off the year in the black. Individual countries largely advanced in local terms, though pockets of economic unrest left a sharp sting in isolated markets. Foreign investors await the arrival of the elusive recovery that only the U.S. enjoys for now. Market volatility in January and March could not stop a largely ascendant February for the ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Ινδεξ, which advanced 3.59% in the irst quarter. A shufle in Health Care sent stocks soaring (+10.63%); Utilities (-4.53%) and commodities-burdened Energy (-4.04%) were the only drag on non-u.s. sectors. Crude oil stayed low, ending March under $50/barrel. Sources: Barclays, Citigroup, Merrill Lynch, MSCI, Russell Investment Group Νεω Ψεαρ σ Ραλλψ Υ.Σ. ΦΙΞΕD ΙΝΧΟΜΕ Nathan Wong, CFA The yield on the 10-year U.S. Treasury note declined for the ifth straight quarter as divergent central bank policies around the globe began to take hold. Long Treasuries again outperformed intermediate Treasuries as rates dropped. High yield Χοντινυεδ ον πγ. 4 Ηοω Λοω Χαν Ψου Γο? ΝΟΝ Υ.Σ. ΦΙΞΕD ΙΝΧΟΜΕ Kyle Fekete Currency effects and declining yield curves deined the world s bond markets. U.S. dollar-denominated and dollar-hedged securities outperformed their local currency-denominated counterparts. The Χιτι Νον Υ.Σ. Wορλδ Γοϖερνmεντ Βονδ Ινδεξ (Ηεδγεδ) increased 2.25%, beating its unhedged equivalent (Χιτι Νον Υ.Σ. Wορλδ Γοϖερνmεντ Βονδ Ινδεξ: 4.36%) by 6.61%. European bonds rallied in the wake of the ECB s quantitative easing announcement. However, the euro s 11% decline against the U.S. dollar offset gains in Χοντινυεδ ον πγ. 3 Χοντινυεδ ον πγ. 5 Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ.

Υ.Σ. Εθυιτψ: Συβδυεδ Ρετυρνσ Χοντινυεδ φροm πγ. 1 rates, indicating it will be a slow process. The strengthening U.S. dollar challenged large multinationals while quantitative easing in Europe helped bolster economic growth abroad. Though the broad U.S. equity market delivered subdued returns, areas of strength persisted. Growth did much better than value with the outperformance of momentum and quality factors and the underperformance of dividend yields. In the irst quarter, investors preferred high beta, high growth, and smaller market capitalization companies. Volatility declined and as a result market participants took on more risk. Θυαρτερλψ Περφορmανχε οφ Σελεχτ Σεχτορσ Russell 1000 Russell 2000 15% 12% 11.5% 9% 7.9% 6% 3% 2.0% 1.4% 0% -0.6% -0.9% -3% -6% Health Care Telecomm Financials Source: Russell Investment Group -5.1% 0.9% Utilities Growth sectors such as Health Care and Technology trumped value sectors including Financials, Telecommunications, and Utilities. Energy stocks were weak again on the heels of volatile oil prices. For active investment managers, sector positioning away from defensive areas and into cyclicals paid off. A preference for smaller, higher-growth and higher-beta stocks provided an additional tailwind. Ρολλινγ Ονε Ψεαρ Ρελατιϖε Ρετυρνσ (vs. Russell 1000) 30% 20% 10% 0% -10% -20% Russell 1000 Growth Russell 1000 Value Russell 1000-30% 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 Source: Russell Investment Group Large cap stocks trailed this quarter (Ρυσσελλ 1000 Ινδεξ: +1.59%) and growth trounced value (Ρυσσελλ 1000 Γροωτη Ινδεξ: +3.84%; Ρυσσελλ 1000 ςαλυε Ινδεξ: -0.72%). Small (Ρυσσελλ 2000 Ινδεξ: +4.32%) and mid cap (Ρυσσελλ Μιδ Χαπ Ινδεξ: +3.95%) stocks reclaimed their performance advantage and small cap growth retained its lead on value. Small cap growth now beats small cap value in all annualized time periods of less than 10 years; beyond that value is on top. Micro cap could not maintain its strong fourth-quarter performance but still posted a positive return (Ρυσσελλ Μιχροχαπ Ινδεξ: +3.14%). Small and large cap sectors exhibited much different quarterly results. Large cap Utilities declined substantially while Health Care which was a positive contributor to both market caps was much stronger in small cap. Utilities companies were punished as the expectations for rising interest rates continued. Merger and acquisition activity was prevalent in the Health Care sector and smaller cap companies beneitted. Energy was the only sector in which both small and large cap declined; weakening oil prices hurt oil services and exploration and production companies. Though large cap trailed small cap overall for the quarter, longer-term returns (one, three, and ive years annualized) show large cap outpacing small. 2

Νον Υ.Σ. Εθυιτψ: Τηε Wαιτινγ Γαmε Χοντινυεδ φροm πγ. 1 The developed ΜΣΧΙ Wορλδ εξ ΥΣΑ Ινδεξ (+3.83%) beat τηε ΜΣΧΙ Εmεργινγ Μαρκετσ Ινδεξ (+2.28%) for the second consecutive quarter. ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Γροωτη (+4.89%) stocks far outpaced ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ ςαλυε (+2.24%) counterparts once again. Small cap stocks provided a healthy boost (ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Σmαλλ Χαπ: +4.01%). Canada (-6.04%) continued to smart from the oil slump and ended up as the largest drag on the developed world outside the U.S. Europe supplied one of 2015 s earliest economic headlines after a 1.1 trillion stimulus plan was unveiled to thwart delation and reignite growth in the region (ΜΣΧΙ Ευροπε Ινδεξ: +3.45%). E.U. unemployment continued its marginal slide to 9.8% in February (from 9.9% at 2014 s end), and the euro s 11% fall against the U.S. dollar saw retail soar (Consumer Discretionary: +8.21%). Advances in Health Care research boosted Denmark to the fore of the developed world (+15.82%). The U.K. (-0.96%) and Spain (-0.57%) were the only drags on the region, hampered mostly by a strong dollar and weak Utilities (European Utilities: -8.51%). The focus shifts to the U.K. s parliamentary elections in May and to ongoing E.U. talks with emerging Greece (more below). Keeping with the previous quarter, the MSCI Paciic Index trumped Europe with a strong gain of 7.61%. Japan (+10.21%) led the region, as fourth-quarter 2014 GDP grew 1.5% Ρεγιοναλ Θυαρτερλψ Περφορmανχε MSCI Japan 10.21% MSCI World ex USA MSCI ACWI ex USA MSCI Europe MSCI Pacific ex Japan MSCI Emerging Markets 3.83% 3.59% 3.45% 3.13% 2.28% (U.S. Dollar) Ρολλινγ Ονε Ψεαρ Ρελατιϖε Ρετυρνσ (vs. MSCI EAFE U.S. Dollar) MSCI Pacific MSCI Europe MSCI EAFE 40% 30% 20% 10% 0% -10% -20% -30% -40% 9596 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 Source: MSCI bucking two quarters of contraction. Only Japan s Energy names slid into the red (-0.66%), while consumer stocks soared (Consumer Discretionary: +10.52%; Consumer Staples: +16.43%). However, inlation continued to notch downward and unemployment rates remained volatile. Singapore dipped 1.91%. ΕΜ Ασια (+5.26%) carried the broad emerging category. Accelerating infrastructure projects and a raised GDP growth forecast (+6.7% in 2015) sent the Philippines (+10.18%) to irst place. China advanced 8.12% on solid Information Technology performance (+32.32%) and robust factory activity in March. China s picture was slightly marred by ever-increasing housing vacancies as well as an anticipated GDP growth rate of 7% this year, continuing a worrisome decline. Russia (+18.61%) rebounded from a crushing fourth quarter as oil prices stabilized. At the other end, Greece fell furthest (-29.32%) as Alexis Tsipras s anti-austerity Syriza party swept the nation s January elections. Soaring debt coupled with troubled talks with E.U. leadership cast further doubt on its future with the euro zone. Signiicant unrest over President Dilma Rousseff s involvement in the Petrobas scandal hurt Brazil (-14.57%), mirroring a restive ΕΜ Λατιν Αmεριχα (-9.49%). The ΜΣΧΙ Φροντιερ Μαρκετσ Ινδεξ (-2.93%) echoed the burden of the strong dollar. Source: MSCI Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 3

Υ.Σ. Φιξεδ Ινχοmε: Νεω Ψεαρ σ Ραλλψ Χοντινυεδ φροm πγ. 1 credit spreads compressed more than investment grade credit spreads, which were largely unchanged during the quarter. Τηε Βαρχλαψσ Αγγρεγατε Ινδεξ climbed 1.61%. At the end of March, more dovish comments from the Fed on raising the federal funds rate drove yields lower across the curve. The 2- to 30-year spread tightened from 2.08% at yearend to 1.98%. The short end of the curve declined the least with the two-year yield ending 11 bps lower. Returns increased moving farther out along the curve. The 30-year Treasury yield dropped 22 bps over the quarter and gained 5.05%. Inlation-protected securities gained 1.4% as measured by the Barclays TIPS Index. The 10-year break-even inlation rate ended the quarter at 1.76%, a marginal increase from the end of 2014. Corporate credit returns were strong across the rating spectrum. Τηε Βαρχλαψσ Χορπορατε Ινδεξ returned 2.32%. Corporate issuance came at a blistering pace in the irst quarter, setting an all-time record, as companies took advantage of the low rate environment. On a duration-adjusted basis, Financials outperformed Industrials and Utilities. Although MBS gained 1.06%, volatility in the 10-year U.S. Treasury led to MBS underperformance of 50 bps against like-duration U.S. Treasuries. High yield bonds performed well as investors continued to search for yield. The Βαρχλαψσ Χορπορατε Ηιγη Ψιελδ Ινδεξ rose 2.52%. Φιξεδ Ινχοmε Ινδεξ Θυαρτερλψ Ρετυρνσ Absolute Return Barclays Aggregate 1.61% Barclays Treasury 1.64% Barclays Agencies 1.17% Barclays CMBS 1.77% Barclays ABS Barclays MBS 0.90% 1.06% Barclays Credit Barclays Corp. High ield 0% 1% 2% 2.16% 2.52% 3% Source: Barclays Ηιστοριχαλ 10 Ψεαρ Ψιελδσ Υ.Σ. Τρεασυρψ Ψιελδ Χυρϖεσ U.S. 10-ear Treasury ield 10-ear TIPS ield Breakeven Inflation Rate 6% 5% 4% 3% 5% 4% 3% March 31, 2015 December 31, 2014 March 31, 2014 2% 1% 0% 2% 1% -1% 05 06 07 08 09 10 11 12 13 14 15 Source: Bloomberg 0% 0 5 Source: Bloomberg 10 15 Maturity (ears) 20 25 30 4

Νον Υ.Σ. Φιξεδ Ινχοmε: Ηοω Λοω...? Χοντινυεδ φροm πγ. 1 unhedged portfolios. The ECB announced on March 9th that it would purchase 1.1 trillion over the next 18 months, including sovereign and corporate bonds, in order to avert delation and encourage lending. Rates around the globe continued their descent in spite of record low yields in many countries. German 10-year bunds, the euro zone s proxy for sovereign debt, declined 36 bps to end the quarter at 0.18% 1.76% below comparable U.S. Treasuries. The bond-buying program also spurred demand for peripheral bonds; Italian and Spanish 10-year bond yields declined 68 and 71 bps, respectively. The threat of a Grexit weighed on investor risk sentiment, but a last-minute agreement on a bridging loan provided a short-term resolution. Greek debt inished the quarter yielding 11.6%. The Commonwealth provided investors with attractive spreads relative to other developed markets. The U.K. 10-year yield ended the quarter at 1.58% and the Bank of England held rates at a record low for the sixth consecutive year. Australia s benchmark 10-year yield ended at 2.32%; the yield spread above Treasuries has declined from 100 bps in the middle of last year to only 40 bps as of quarter end. With the goal of spurring growth, Australia cut its lending rate to a record low in February as the country s currency slid 7% against the U.S. dollar. The Canadian 10-year yield inished at 1.36%. The Bank of Japan maintained the status quo with near-zero interest rates and continued debt purchases as revised fourthquarter economic growth igures were too low to avoid contraction. The Japanese 10-year yield increased 8 bps to 0.41%. Within the emerging markets, the dollar-denominated ϑπμ EMBI Global Diversiied Index gained 2.01%, while the local currency JPM GBI-EM Global Diversiied Index plummeted 3.96% due to overall weakness against the greenback. Russian bonds recovered despite downgrades from Moody s and Standard & Poor s at the beginning of the year. Russia s local currency-denominated bonds gained 15% but are still Εmεργινγ Σπρεαδσ Οϖερ Dεϖελοπεδ 6% 5% 4% 3% 2% 1% 0% Emerging Americas 600 bps 400 bps 200 bps 0 bps Source: Barclays U.S. Treasury Germany U.K. Canada Japan 05 06 07 08 09 10 11 12 13 14 15 Change in 10-ear ields from 4Q14 to1q15-43 bps -36 bps -25 bps -18 bps -50bps -40bps -30bps -20bps -10bps 0bps Source: Bloomberg Emerging EMEA (Europe, Middle East, Africa) 10 Ψεαρ Γλοβαλ Γοϖερνmεντ Βονδ Ψιελδσ Japan U.S. Treasury Germany U.K. Canada 8 bps 10bps (By Region) Emerging Asia 10 11 12 13 14 15 down more than 40% year-over-year. Fellow BRIC country Brazil experienced a deteriorating credit outlook. The country s local currency bonds fell 15%, hurt by a potential downgrade and a currency that slid 17% versus the U.S. dollar. Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ. 5

This Preview contains excerpts from the upcoming Χαπιταλ Μαρκετ Ρεϖιεω (ΧΜΡ) newsletter, which will be published at the end of the month. The ΧΜΡ is a quarterly macroeconomic indicator newsletter that provides thoughtful insights on the economy and recent performance in the equity, ixed income, alternatives, international, real estate, and other capital markets. Ιφ ψου ηαϖε ανψ θυεστιονσ ορ χοmmεντσ, πλεασε εmαιλ ινστιτυτε χαλλαν.χοm. Εδιτορ ιν Χηιεφ Καρεν Wιτηαm Περφορmανχε Dατα Αλπαψ Σοψογυζ, ΧΦΑ; Αδαm Μιλλσ Πυβλιχατιον Λαψουτ Νιχολε Σιλϖα Αβουτ Χαλλαν Callan was founded as an employee-owned investment consulting irm in 1973. Ever since, we have empowered institutional clients with creative, customized investment solutions that are uniquely backed by proprietary research, exclusive data, ongoing education, and decision support. Today, Callan advises on more than $1.8 trillion in total assets, which makes us among the largest independently owned investment consulting irms in the U.S. We use a client-focused consulting model to serve public and private pension plan sponsors, endowments, foundations, operating funds, smaller investment consulting irms, investment managers, and inancial intermediaries. For more information, please visit www.callan.com. Αβουτ τηε Χαλλαν Ινϖεστmεντσ Ινστιτυτε The Callan Investments Institute, established in 1980, is a source of continuing education for those in the institutional investment community. The Institute conducts conferences and workshops and provides published research, surveys, and newsletters. The Institute strives to present the most timely and relevant research and education available so our clients and our associates stay abreast of important trends in the investments industry. 2015 Callan Associates Inc. Certain information herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily veriied the accuracy or completeness of or updated. This report is for informational purposes only and should not be construed as legal or tax advice on any matter. Any investment decision you make on the basis of this report is your sole responsibility. ou should consult with legal and tax advisers before applying any of this information to your particular situation. Reference in this report to any product, service or entity should not be construed as a recommendation, approval, ailiation or endorsement of such product, service or entity by Callan. Past performance is no guarantee of future results. This report may consist of statements of opinion, which are made as of the date they are expressed and are not statements of fact. The Callan Investments Institute (the Institute ) is, and will be, the sole owner and copyright holder of all material prepared or developed by the Institute. No party has the right to reproduce, revise, resell, disseminate externally, disseminate to subsidiaries or parents, or post on internal web sites any part of any material prepared or developed by the Institute, without the Institute s permission. Institute clients only have the right to utilize such material internally in their business. 6

Total Fund Total Fund

Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund s investment managers as of March 31, 2015, with the distribution as of December 31, 2014. Asset Distribution Across Investment Managers March 31, 2015 December 31, 2014 Market Value Weight Market Value Weight Total Domestic Equity $1,502,285,693 30.00% $1,482,140,205 30.15% Northern Trust Global 503,438,928 10.05% 498,674,888 10.14% BlackRock R1000 Alpha Tilts 151,088,865 3.02% 146,362,910 2.98% Cornerstone Investment Partners 191,871,215 3.83% 202,798,614 4.13% Polen Capital Management 221,916,717 4.43% 214,008,116 4.35% Earnest Partners LLC 135,441,955 2.70% 130,402,086 2.65% Dimensional Fund Advisors Inc. 184,679,210 3.69% 180,029,283 3.66% CastleArk Management 113,848,803 2.27% 109,864,308 2.24% Total Global Equity $355,559,383 7.10% $348,859,965 7.10% BlackRock ACWI Value 98,566,024 1.97% 97,580,653 1.99% Grantham Mayo Van Otterloo - - 82 0.00% MFS Investment Management 256,993,359 5.13% 251,272,644 5.11% Transition Management Account - - 6,585 0.00% Total International Equity $1,074,984,710 21.46% $1,021,466,467 20.78% BlackRock ACWI 245,106,403 4.89% 235,137,839 4.78% Brandes Investment Partners 433,171,392 8.65% 407,915,026 8.30% William Blair & Company 255,152,166 5.09% 243,184,095 4.95% Dimensional Fund Advisors Inc. 141,554,749 2.83% 135,229,506 2.75% Total Fixed Income $1,282,398,216 25.61% $1,277,313,323 25.98% BlackRock Intermediate Agg 282,242,520 5.64% 278,447,842 5.66% Reams Asset Management 288,867,918 5.77% 284,881,124 5.80% Loomis, Sayles & Company, L.P. 491,839,221 9.82% 489,467,809 9.96% Wellington Management Company 219,448,556 4.38% 224,516,548 4.57% Total Private Equity $121,161,937 2.42% $116,653,544 2.37% Abbott Capital Management 2010 17,768,642 0.35% 17,418,642 0.35% Abbott Capital Management 2011 19,478,623 0.39% 18,103,623 0.37% Abbott Capital Management 2012 9,726,523 0.19% 8,726,523 0.18% Abbott Capital Management 2013 4,991,801 0.10% 4,466,801 0.09% Abbott Capital Management 2014 2,533,972 0.05% 2,008,972 0.04% Mesirow V 52,761,693 1.05% 53,511,694 1.09% Mesirow VI 6,816,185 0.14% 5,916,185 0.12% NB Secondary Opp Fund III 7,084,498 0.14% 6,501,104 0.13% Absolute Return $262,224,692 5.24% $254,452,748 5.18% Allianz SA 1000 68,910,392 1.38% 66,162,082 1.35% Newton 65,238,862 1.30% 63,290,666 1.29% UBS A & Q 128,075,438 2.56% 125,000,000 2.54% Total Real Estate $380,963,535 7.61% $375,380,032 7.64% Real Estate 380,963,535 7.61% 375,380,032 7.64% Total Cash $28,635,402 0.57% $39,333,688 0.80% Cash 28,635,402 0.57% 39,333,688 0.80% Total Fund $5,008,213,566 100.0% $4,915,599,972 100.0% City of Milwaukee Employes Retirement System 9

Actual vs Target Asset Allocation As of March 31, 2015 The top left chart shows the Fund s asset allocation as of March 31, 2015. 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 Public Fund - Large (>1B). Actual Asset Allocation US Equity 30% Target Asset Allocation US Equity 31% Cash 1% Real Estate 8% Absolute Return 5% Global Equity 7% Real Estate 7% Private Equity 2% Global Equity 10% Private Equity 2% Fixed Income 26% International Equity 21% Fixed Income 28% International Equity 22% $000s Weight Percent $000s Asset Class Actual Actual Target Difference Difference US Equity 1,502,286 30.0% 31.0% (1.0%) (50,261) Global Equity 355,559 7.1% 10.0% (2.9%) (145,262) International Equity 1,074,985 21.5% 22.0% (0.5%) (26,822) Fixed Income 1,282,398 25.6% 28.0% (2.4%) (119,902) Private Equity 121,162 2.4% 2.0% 0.4% 20,998 Absolute Return 262,225 5.2% 0.0% 5.2% 262,225 Real Estate 380,964 7.6% 7.0% 0.6% 30,389 Cash 28,635 0.6% 0.0% 0.6% 28,635 Total 5,008,214 100.0% 100.0% Asset Class Weights vs Public Fund - Large (>1B) 60% 50% 40% Weights 30% 20% (57) (63) (21) (34) (37) (40) 10% 0% (100) (51) (40) (36) (75) (53) (20) (21) (10%) US Fixed Cash Real International Alternative Global Equity Income Estate Equity Equity 10th Percentile 50.97 33.24 3.30 13.02 25.54 24.29 17.41 25th Percentile 42.14 27.35 1.97 9.91 23.17 15.89 0.57 Median 31.99 22.55 0.69 5.40 20.59 9.53 0.00 75th Percentile 25.14 17.88 0.00 0.00 15.31 2.04 0.00 90th Percentile 19.87 9.89 0.00 0.00 10.75 0.00 0.00 Fund 30.00 25.61 0.57 7.61 21.46 7.66 7.10 Target 31.00 28.00 0.00 7.00 22.00 2.00 10.00 % Group Invested 92.54% 95.52% 70.15% 64.18% 89.55% 74.63% 26.87% * Current Quarter Target = 31.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index, 7.0% NCREIF Property (1 Qtr in Arrears) and 2.0% Russell 3000 (On a Qtr Lag) + 3%. City of Milwaukee Employes Retirement System 10

Actual vs Target Historical Asset Allocation The Historical asset allocation for a fund is by far the largest factor explaining its performance. The charts below show the fund s historical actual asset allocation, the fund s historical target asset allocation, and the historical asset allocation of the average fund in the Public Fund Sponsor Database. Actual Historical Asset Allocation 100% 100% 90% 90% 80% 80% 70% 70% 60% Cash Equiv 60% 50% Real Estate 50% 40% Absolute Return Private Equity 40% 30% Fixed Income 30% 20% International Equity 20% 10% Global Equity Domestic Equity 10% 0% 0% 2010 2011 2012 2013 2014 2015 Target Historical Asset Allocation 100% 100% 90% 90% 80% 80% 70% 70% 60% 60% 50% 50% 40% Real Estate Private Equity 40% 30% Fixed Income 30% 20% International Equity 20% 10% Global Equity Domestic Equity 10% 0% 0% 2010 2011 2012 2013 2014 2015 Average Public Fund Sponsor Database Historical Asset Allocation 100% 100% 90% 90% 80% Real Assets 80% 70% Global Balanced 70% 60% Hedge Funds Intl Fixed-Inc 60% 50% Cash Equiv 50% 40% Global Equity Broad Real Estate 40% 30% Other Alternatives 30% 20% Intl Equity 20% 10% Domestic Broad Eq Domestic Fixed 10% 0% 0% 2010 2011 2012 2013 2014 2015 * Current Quarter Target = 31.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index, 7.0% NCREIF Property (1 Qtr in Arrears) and 2.0% Russell 3000 (On a Qtr Lag) + 3%. City of Milwaukee Employes Retirement System 11

Total Fund Period Ended March 31, 2015 Investment Philosophy The Public Fund Sponsor Database consists of public employee pension total funds including both Callan Associates client and surveyed non-client funds. The Total Fund Reference Index consists of 33% Russell 3000, 28% Barclays Capital Aggregate, 22% MSCI EAFE (net), 10% MSCI World (net) and 7% NCREIF Property (One Quarter in Arrears). Quarterly Summary and Highlights Total Fund s portfolio posted a 2.10% return for the quarter placing it in the 72 percentile of the Public Fund Sponsor Database group for the quarter and in the 79 percentile for the last year. Total Fund s portfolio underperformed the Total Fund Reference Index by 0.46% for the quarter and underperformed the Total Fund Reference Index for the year by 1.40%. Quarterly Asset Growth Beginning Market Value $4,915,599,972 Net New Investment $-11,542,241 Investment Gains/(Losses) $104,155,835 Ending Market Value $5,008,213,566 Performance vs Public Fund Sponsor Database (Gross) 14% 12% 10% (31) (31) (43) (35) 8% 6% (45) (79) (53) (47) 4% 2% (27) (72) 0% Last Quarter Last ear Last 3 ears Last 5 ears Last 10 ears 10th Percentile 2.87 8.28 11.16 10.66 7.65 25th Percentile 2.61 7.62 10.50 9.97 7.26 Median 2.32 6.73 9.62 9.31 6.80 75th Percentile 2.05 5.62 8.60 8.31 6.30 90th Percentile 1.72 4.50 7.34 7.71 5.92 Total Fund 2.10 5.50 10.32 9.72 6.84 Total Fund Reference Index 2.56 6.90 10.33 9.60 6.77 Relative Return vs Total Fund Reference Index Public Fund Sponsor Database (Gross) Annualized Ten ear Risk vs Return 3% 10% 2% 9% Relative Returns 1% 0% (1%) (2%) Returns 8% 7% 6% 5% 4% Total Fund Reference Index Total Fund (3%) 3% (4%) 05 2006 2007 2008 2009 2010 2011 2012 2013 201415 Total Fund 2% 0 2 4 6 8 10 12 14 16 Standard Deviation City of Milwaukee Employes Retirement System 12

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 two charts illustrate the manager s ranking relative to their style using various risk-adjusted return measures. Performance vs Public Fund Sponsor Database (Gross) 40% 30% 20% 10% 0% (10%) (20%) (30%) (40%) 27 52 72 66 26 17 44 15 55 87 57 26 12/14-3/15 2014 2013 2012 2011 2010 2009 2008 2007 2006 76 19 50 94 55 34 57 10th Percentile 2.87 7.85 20.43 14.49 3.31 15.10 25.93 (12.58) 10.77 15.73 25th Percentile 2.61 7.00 18.39 13.73 1.92 14.11 22.73 (20.71) 9.53 14.67 Median 2.32 6.02 15.73 12.66 0.91 13.00 20.23 (25.43) 7.97 13.54 75th Percentile 2.05 4.92 13.14 10.92 (0.29) 11.68 16.02 (27.97) 6.84 11.42 90th Percentile 1.72 3.95 9.59 9.34 (1.58) 10.06 12.57 (30.14) 5.75 9.41 Total Fund 2.10 5.31 19.59 14.10 (1.05) 14.08 23.72 (30.68) 7.45 15.42 Total Fund Reference Index 2.56 5.91 18.35 12.90 0.79 11.56 19.10 (25.43) 7.66 14.28 13 Cumulative and Quarterly Relative Return vs Total Fund Reference Index 6% Relative Returns 4% 2% 0% (2%) (4%) (6%) 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 15 Total Fund Pub PlnSponsor DB Risk Adjusted Return Measures vs Total Fund Reference Index Rankings Against Public Fund Sponsor Database (Gross) Ten ears Ended March 31, 2015 10 8 6 4 2 0 (2) Alpha (88) Treynor Ratio 10th Percentile 2.01 8.75 25th Percentile 1.27 6.96 Median 0.48 5.76 75th Percentile (0.03) 5.21 90th Percentile (0.65) 4.56 Total Fund (0.55) 4.69 (87) 1.2 1.0 0.8 0.6 0.4 0.2 0.0 (0.2) (0.4) (0.6) (0.8) (94) (86) (46) Information Sharpe Excess Return Ratio Ratio Ratio 10th Percentile 0.95 0.77 0.37 25th Percentile 0.62 0.61 0.21 Median 0.23 0.52 0.01 75th Percentile (0.01) 0.47 (0.12) 90th Percentile (0.32) 0.41 (0.28) Total Fund (0.45) 0.42 0.03 City of Milwaukee Employes Retirement System 13

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 Public Fund Sponsor Database Ten ears Ended March 31, 2015 1.0 1.2 0.8 1.0 Excess Return 0.6 0.4 0.2 0.0 (0.2 ) (0.4 ) Total Fund Alpha 0.8 0.6 0.4 0.2 0.0 (0.2 ) (0.4 ) (0.6 ) Total Fund (0.6 ) 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 Tracking Error (0.8 ) 0.0 0.5 1.0 1.5 2.0 2.5 3.0 Residual Risk Rolling 12 Quarter Tracking Error vs Targets Compared to Public Fund Sponsor Database 4.50 Tracking Error 4.00 3.50 3.00 2.50 2.00 1.50 1.00 0.50 0.00 Total Fund Group Median 2010 2011 2012 2013 2014 2015 Risk Statistics Rankings vs Targets Rankings Against Public Fund Sponsor Database Ten ears Ended March 31, 2015 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% (0.5%) (1.0%) (63) (93) Excess Alpha Tracking Return Error 10th Percentile 0.51 0.75 2.90 25th Percentile 0.42 0.39 2.24 Median 0.07 0.08 1.65 75th Percentile 0.01 (0.08) 0.92 90th Percentile (0.25) (0.44) 0.61 Total Fund 0.06 (0.55) 1.97 (35) 1.5 1.0 0.5 0.0 (0.5) (1.0) (15) (13) (70) Rel. Std. Beta Excess Info. Deviation Rtn. Ratio Ratio 10th Percentile 1.22 1.17 0.39 0.33 25th Percentile 1.11 1.08 0.25 0.25 Median 1.01 1.00 0.08 0.12 75th Percentile 0.98 0.97 0.01 (0.08) 90th Percentile 0.89 0.88 (0.18) (0.23) Total Fund 1.15 1.14 0.03 (0.45) (98) City of Milwaukee Employes Retirement System 14

Quarterly Total Fund Relative Attribution - March 31, 2015 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: Asset Allocation Effect and Manager Selection Effect. The Asset Allocation Effect represents the excess return due to the actual total fund asset allocation differing from the target asset allocation. Manager Selection Effect represents the total fund impact of the individual managers excess returns relative to their benchmarks. Asset Class Under or Overweighting Domestic Equity (2.84%) Global Equity (2.90%) International Equity (1.22%) Fixed Income (2.01%) Private Equity 2.45% Absolute Return 5.18% Real Estate 0.54% Cash 0.80% (6%) (4%) (2%) 0% 2% 4% 6% 8% Actual vs Target Returns Relative Attribution by Asset Class 0.40% 0.48% 0.48% 0.05% 0.05% 1.36% 1.80% 1.92% 2.31% 5.24% 4.88% 1.61% 3.05% 3.05% 2.79% 3.04% 2.10% 2.56% 0% 1% 2% 3% 4% 5% 6% 7% Actual Target Domestic Equity Global Equity International Equity Fixed Income Private Equity Absolute Return Real Estate Cash Total (0.60%)(0.50%)(0.40%)(0.30%)(0.20%)(0.10%) 0.00% 0.10% 0.20% Manager Effect Asset Allocation Total Relative Attribution Effects for Quarter ended March 31, 2015 Effective Effective Total Actual Target Actual Target Manager Asset Relative Asset Class Weight Weight Return Return Effect Allocation Return Domestic Equity 30% 33% 1.36% 1.80% (0.13%) 0.02% (0.11%) Global Equity 7% 10% 1.92% 2.31% (0.03%) 0.01% (0.02%) International Equity 21% 22% 5.24% 4.88% 0.08% (0.03%) 0.04% Fixed Income 26% 28% 0.40% 1.61% (0.31%) 0.02% (0.30%) Private Equity 2% 0% 0.48% 0.48% 0.00% (0.06%) (0.06%) Absolute Return 5% 0% 3.05% 3.05% 0.00% 0.02% 0.02% Real Estate 8% 7% 2.79% 3.04% (0.02%) 0.00% (0.02%) Cash 1% 0% 0.05% 0.05% 0.00% (0.02%) (0.02%) Total 2.10% = 2.56% + (0.42%) + (0.04%) (0.46%) * Current Quarter Target = 33.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index and 7.0% NCREIF Property (1 Qtr in Arrears). City of Milwaukee Employes Retirement System 15

Cumulative Total Fund Relative Attribution - March 31, 2015 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 asset class. These relative attribution effects separate the cumulative sources of total fund excess return into Asset Allocation Effect and Manager Selection Effect. One ear Relative Attribution Effects Domestic Equity Global Equity International Equity Fixed Income Private Equity Absolute Return Real Estate Cash Total (2.0%) (1.5%) (1.0%) (0.5%) 0.0% 0.5% Manager Effect Asset Allocation Total Cumulative Relative Attribution Effects 0.5% 0.0% (0.5%) (1.0%) (1.5%) (2.0%) Manager Effect Asset Allocation Total 2014 2015 One ear Relative Attribution Effects Effective Effective Total Actual Target Actual Target Manager Asset Relative Asset Class Weight Weight Return Return Effect Allocation Return Domestic Equity 31% 33% 11.19% 12.37% (0.36%) (0.14%) (0.49%) Global Equity 9% 10% 3.51% 6.03% (0.24%) 0.01% (0.24%) International Equity 22% 22% (0.64%) (0.92%) 0.06% (0.03%) 0.03% Fixed Income 26% 28% 2.02% 5.72% (0.99%) 0.03% (0.96%) Private Equity 2% 0% 16.42% 16.42% 0.00% 0.14% 0.14% Absolute Return 3% 0% 6.54% 6.54% 0.00% 0.06% 0.06% Real Estate 7% 7% 12.99% 11.82% 0.08% 0.00% 0.08% Cash 0% 0% (0.31%) (0.31%) 0.00% (0.03%) (0.03%) Total 5.50% = 6.90% + (1.44%) + 0.04% (1.40%) * Current Quarter Target = 33.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index and 7.0% NCREIF Property (1 Qtr in Arrears). City of Milwaukee Employes Retirement System 16

Investment Manager Returns and Peer Group Rankings The table below details the rates of return and peer group rankings for the Fund s investment managers over various time periods ended March 31, 2015. 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. Returns and Rankings for Periods Ended March 31, 2015 Last Last Last Last 3 5 Since Quarter ear ears ears Inception Total Domestic Equity 1.36% 11.19% 15.66% 13.86% 6.61% (7/98) Russell 3000 Index 1.80% 12.37% 16.43% 14.71% 6.08% (7/98) Northern Trust Global 0.96% 76 12.80% 62 16.18% 74 14.51% 63 10.37% (8/88) S&P 500 Index 0.95% 76 12.73% 63 16.11% 75 14.47% 66 10.32% (8/88) CAI Large Cap Core Style 1.50% 13.57% 16.72% 14.96% - BlackRock R1000 Alpha Tilts 3.23% 10 15.45% 22 17.30% 43 16.07% 15 8.10% (5/02) Russell 1000 Index 1.59% 47 12.73% 63 16.45% 62 14.73% 52 7.71% (5/02) CAI Large Cap Core Style 1.50% 13.57% 16.72% 14.96% - Cornerstone Investment Partners (5.39%) 99 1.28% 99 - - 16.86% (6/12) S&P 500 Index 0.95% 22 12.73% 7 16.11% 64 14.47% 35 20.00% (6/12) CAI Large Cap Value Style (0.02%) 9.40% 16.55% 14.00% - Polen Capital Management 3.70% 60 21.18% 7 - - 17.84% (7/12) S&P 500 Index 0.95% 98 12.73% 94 16.11% 49 14.47% 71 18.90% (7/12) CAI Lrg Cap Growth Style 4.03% 15.92% 16.08% 15.38% - Earnest Partners LLC 3.86% 63 10.22% 61 15.73% 58 15.51% 63 10.48% (5/05) Russell MidCap Index 3.95% 61 13.68% 40 18.10% 39 16.16% 46 10.46% (5/05) CAI Mid Cap Style 4.93% 12.22% 17.04% 15.98% - Dimensional Fund Advisors Inc. 2.58% 60 6.71% 67 18.38% 30 15.92% 33 13.08% (11/96) Russell 2000 Value Index 1.98% 77 4.43% 81 14.79% 74 12.54% 90 10.02% (11/96) CAI Small Cap Value Style 3.06% 7.82% 16.95% 15.13% - CastleArk Management 3.63% 91 7.09% 62 - - 18.91% (9/13) Russell 2000 Growth Index 6.63% 38 12.06% 28 17.74% 44 16.58% 55 18.19% (9/13) CAI Sm Cap Growth Style 5.84% 8.13% 17.35% 16.80% - Total Global Equity 1.92% 3.51% 9.57% 7.96% 7.96% (4/10) MSCI World Index 2.31% 6.03% 12.19% 10.01% 10.01% (4/10) BlackRock ACWI Value 1.01% 93 - - - 2.89% (9/14) MSCI ACWI Value 0.19% 95 1.28% 91 9.67% 93 7.60% 97 (4.24%)(9/14) CAI Global Eq Broad Style 3.13% 6.70% 13.11% 10.59% - MFS Investment Management 2.28% 78 7.38% 42 - - 14.05% (12/12) MSCI ACWI Idx 2.44% 73 5.97% 57 11.35% 74 9.57% 70 13.89% (12/12) CAI Global Eq Broad Style 3.13% 6.70% 13.11% 10.59% - City of Milwaukee Employes Retirement System 17

Investment Manager Returns and Peer Group Rankings The table below details the rates of return and peer group rankings for the Fund s investment managers over various time periods ended March 31, 2015. 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. Returns and Rankings for Periods Ended March 31, 2015 Last Last Last Last 3 5 Since Quarter ear ears ears Inception Total International Equity 5.24% (0.64%) 10.37% 8.40% 7.52% (5/96) MSCI EAFE Index 4.88% (0.92%) 9.02% 6.16% 4.68% (5/96) BlackRock ACWI 4.24% 71 0.62% 40 - - 0.60% (1/14) MSCI ACWI ex US Growth 4.89% 56 2.09% 21 7.52% 79 6.11% 75 1.99% (1/14) CAI Non-U.S. Eq. Style 5.05% 0.13% 9.64% 7.25% - Brandes Investment Partners 6.19% 17 (1.68%) 75 10.01% 39 6.66% 69 8.96% (2/98) MSCI EAFE Index 4.88% 58 (0.92%) 67 9.02% 61 6.16% 75 4.77% (2/98) CAI Non-U.S. Eq. Style 5.05% 0.13% 9.64% 7.25% - William Blair & Company 4.92% 55 3.44% 11 10.71% 24 9.91% 5 8.58% (12/03) MSCI ACWI ex-us Index 3.59% 85 (0.57%) 61 6.89% 89 5.29% 86 7.76% (12/03) CAI Non-U.S. Eq. Style 5.05% 0.13% 9.64% 7.25% - Dimensional Fund Advisors Inc. 4.68% 74 (6.25%) 88 11.47% 67 8.75% 88 4.61% (5/06) Blended Benchmark 5.56% 44 (2.92%) 64 10.67% 72 8.45% 89 1.86% (5/06) CAI Int l Small Cap Style 5.23% (1.95%) 12.37% 11.20% - Total Fixed Income 0.40% 2.02% 3.30% 5.22% 8.11% (12/87) Barclays Capital Aggregate 1.61% 5.72% 3.10% 4.41% 6.86% (12/87) BlackRock Intermediate Agg 1.36% 70 4.46% 6 2.57% 53 3.78% 51 5.32% (7/99) Barclays Capital Int Aggregate 1.32% 78 4.24% 12 2.41% 66 3.62% 68 5.20% (7/99) CAI Intermediate F-I Styl 1.43% 3.73% 2.61% 3.80% - Reams Asset Management 1.40% 92 3.95% 96 3.19% 99 5.10% 90 6.25% (1/01) Barclays Capital Aggregate 1.61% 72 5.72% 45 3.10% 100 4.41% 100 5.31% (1/01) CAI FI Core Plus Style 1.82% 5.70% 4.41% 5.77% - Loomis, Sayles & Company, L.P. 0.48% 100 3.01% 99 6.19% 3 7.74% 2 9.64% (12/87) Barclays Capital Aggregate 1.61% 72 5.72% 45 3.10% 100 4.41% 100 6.86% (12/87) CAI FI Core Plus Style 1.82% 5.70% 4.41% 5.77% - Wellington Management Company (2.26%) 90 (5.24%) 93 (1.59%) 96-0.78% (1/11) CG WGBI Index (2.51%) 94 (5.50%) 94 (1.64%) 96 1.42% 95 0.16% (1/11) CAI Global Fixed-Inc DB 0.59% 1.01% 3.73% 4.63% - Total Private Equity 0.48% 16.42% 9.23% - 4.61% (6/10) Abbott Capital Management 2010 0.00% 12.36% 5.85% - (20.76%) (6/10) Abbott Capital Management 2011 0.00% 9.17% 1.40% - (18.81%) (6/11) Abbott Capital Management 2012 0.00% 4.97% - - (2.32%) (7/12) Abbott Capital Management 2013 0.00% (2.17%) - - (3.96%) (5/13) Abbott Capital Management 2014 0.00% (13.86%) - - (13.86%) (4/14) Mesirow V 0.00% 21.07% 13.83% - 10.06% (6/10) Mesirow VI 0.00% 2.22% - - 1.21% (7/13) NB Secondary Opp Fund III 8.97% 60.73% - - (4.63%) (12/13) Russell 3000 (On a Qtr Lag) + 3% 5.99% 15.87% 23.99% - - Absolute Return 3.05% - - - 6.54% (6/14) Allianz SA 1000 4.15% - - - 10.26% (6/14) Newton 3.08% - - - 4.38% (8/14) UBS A & Q 2.46% - - - 2.46% (12/14) Total Real Estate 2.79% 12.99% 12.89% 13.05% 6.20% (7/86) Real Estate 2.79% 79 12.99% 60 12.89% 24 13.05% 73 6.20% (7/86) NCREIF Property (1 Quarter in Arrears) 3.04% 48 11.82% 74 11.11% 57 12.13% 76 - Open-End Real Estate 3.03% 13.15% 11.53% 13.92% - Total Fund 2.10% 5.50% 10.32% 9.72% 9.78% (1/79) Total Fund Reference Index* 2.56% 6.90% 10.33% 9.60% - * Current Quarter Target = 33.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index and 7.0% NCREIF Property (1 Qtr in Arrears). City of Milwaukee Employes Retirement System 18

Investment Manager Returns and Peer Group Rankings The table below details the rates of return and peer group rankings for the Fund s investment managers over various time periods. 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. 12/2014-3/2015 2014 2013 2012 2011 Total Domestic Equity 1.36% 11.63% 33.86% 16.12% (2.48%) Russell 3000 Index 1.80% 12.56% 33.55% 16.42% 1.03% Northern Trust Global 0.96% 76 13.77% 49 32.46% 76 16.07% 48 2.20% 35 S&P 500 Index 0.95% 76 13.69% 50 32.39% 76 16.00% 48 2.11% 36 CAI Large Cap Core Style 1.50% 13.66% 34.34% 15.89% 1.46% BlackRock R1000 Alpha Tilts 3.23% 10 14.11% 42 33.22% 67 19.84% 6 4.37% 25 Russell 1000 Index 1.59% 47 13.24% 65 33.11% 67 16.42% 41 1.50% 49 CAI Large Cap Core Style 1.50% 13.66% 34.34% 15.89% 1.46% Cornerstone Investment Partners (5.39%) 99 8.32% 95 34.87% 46 - - S&P 500 Index 0.95% 22 13.69% 27 32.39% 75 16.00% 59 2.11% 32 CAI Large Cap Value Style (0.02%) 12.54% 34.59% 16.78% 0.61% Polen Capital Management 3.70% 60 17.60% 6 23.45% 99 - - S&P 500 Index 0.95% 98 13.69% 25 32.39% 79 16.00% 55 2.11% 25 CAI Lrg Cap Growth Style 4.03% 11.83% 35.60% 16.14% (0.28%) Earnest Partners LLC 3.86% 63 10.38% 46 31.29% 90 16.53% 47 (0.31%) 32 Russell MidCap Index 3.95% 61 13.22% 22 34.76% 63 17.28% 41 (1.55%) 46 CAI Mid Cap Style 4.93% 9.80% 35.84% 16.26% (1.92%) Dimensional Fund Advisors Inc. 2.58% 60 5.04% 67 42.70% 23 22.43% 20 (6.75%) 78 Russell 2000 Value Index 1.98% 77 4.22% 82 34.52% 81 18.05% 50 (5.50%) 65 CAI Small Cap Value Style 3.06% 5.93% 38.72% 18.12% (3.70%) CastleArk Management 3.63% 91 6.16% 31 - - - Russell 2000 Growth Index 6.63% 38 5.60% 32 43.30% 74 14.59% 50 (2.91%) 61 CAI Sm Cap Growth Style 5.84% 3.41% 46.83% 14.56% (1.34%) Total Global Equity 1.92% 2.32% 24.81% 15.39% (8.95%) MSCI The World Index 2.31% 4.94% 26.68% 15.83% (5.54%) BlackRock ACWI Value 1.01% 93 - - - - MSCI ACWI Value 0.19% 95 2.86% 63 22.43% 87 15.55% 74 (7.35%) 52 CAI Global Eq Broad Style 3.13% 4.53% 28.49% 17.88% (6.97%) MFS Investment Management 2.28% 78 5.59% 27 23.08% 85 - - MSCI ACWI Idx 2.44% 73 4.71% 46 23.44% 84 16.80% 61 (6.86%) 48 CAI Global Eq Broad Style 3.13% 4.53% 28.49% 17.88% (6.97%) City of Milwaukee Employes Retirement System 19

Investment Manager Returns and Peer Group Rankings The table below details the rates of return and peer group rankings for the Fund s investment managers over various time periods. 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. 12/2014-3/2015 2014 2013 2012 2011 Total International Equity 5.24% (3.63%) 26.26% 18.88% (11.84%) MSCI EAFE Index 4.88% (4.90%) 22.78% 17.32% (12.14%) BlackRock ACWI 4.24% 71 (3.34%) 40 - - - MSCI ACWI ex US Growth 4.89% 56 (2.29%) 22 15.86% 87 17.07% 72 (13.93%) 73 CAI Non-U.S. Eq. Style 5.05% (4.12%) 23.32% 18.99% (11.40%) Brandes Investment Partners 6.19% 17 (4.45%) 53 29.45% 8 11.97% 96 (10.13%) 31 MSCI EAFE Index 4.88% 58 (4.90%) 60 22.78% 52 17.32% 69 (12.14%) 57 CAI Non-U.S. Eq. Style 5.05% (4.12%) 23.32% 18.99% (11.40%) William Blair & Company 4.92% 55 (1.77%) 19 21.92% 58 23.79% 9 (11.78%) 54 MSCI ACWI ex-us Index 3.59% 85 (3.44%) 42 15.78% 87 17.39% 69 (13.33%) 68 CAI Non-U.S. Eq. Style 5.05% (4.12%) 23.32% 18.99% (11.40%) Dimensional Fund Advisors Inc. 4.68% 74 (4.99%) 58 32.60% 27 22.79% 65 (16.88%) 83 Blended Benchmark 5.56% 44 (4.95%) 58 29.30% 64 20.00% 79 (15.94%) 73 CAI Int l Small Cap Style 5.23% (3.94%) 31.08% 23.62% (13.73%) Total Fixed Income 0.40% 4.00% (0.53%) 8.82% 7.36% Barclays Capital Aggregate 1.61% 5.97% (2.02%) 4.21% 7.84% BlackRock Intermediate Agg 1.36% 70 4.37% 7 (0.93%) 67 3.68% 86 6.11% 32 Barclays Capital Int Aggregate 1.32% 78 4.12% 11 (1.02%) 74 3.56% 87 5.97% 42 CAI Intermediate F-I Styl 1.43% 3.41% (0.45%) 4.89% 5.87% Reams Asset Management 1.40% 92 4.09% 97 (1.08%) 75 7.94% 61 7.57% 52 Barclays Capital Aggregate 1.61% 72 5.97% 60 (2.02%) 96 4.21% 100 7.84% 39 CAI FI Core Plus Style 1.82% 6.16% (0.71%) 8.29% 7.63% Loomis, Sayles & Company, L.P. 0.48% 100 5.94% 61 2.41% 4 15.47% 1 6.95% 70 Barclays Capital Aggregate 1.61% 72 5.97% 60 (2.02%) 96 4.21% 100 7.84% 39 CAI FI Core Plus Style 1.82% 6.16% (0.71%) 8.29% 7.63% Wellington Management Company (2.26%) 90 (0.55%) 87 (5.38%) 95 3.21% 86 8.87% 15 CG WGBI Index (2.51%) 94 (0.48%) 86 (4.00%) 82 1.65% 95 6.35% 41 CAI Global Fixed-Inc DB 0.59% 2.90% (0.63%) 8.56% 5.44% Total Private Equity 0.48% 15.40% 8.66% 3.44% (3.21%) Abbott Capital Management 2010 0.00% 12.36% 7.33% (1.66%) (38.92%) Abbott Capital Management 2011 0.00% 9.17% 1.20% (5.63%) - Abbott Capital Management 2012 0.00% 4.97% (2.50%) - - Abbott Capital Management 2013 0.00% (2.17%) - - - Abbott Capital Management 2014 0.00% - - - - Mesirow V 0.00% 21.07% 14.22% 6.65% 5.05% Mesirow VI 0.00% 2.22% - - - NB Secondary Opp Fund III 8.97% 19.77% - - - Russell 3000 (On a Qtr Lag) + 3% 5.99% 21.19% 25.11% 33.90% 3.61% Absolute Return 3.05% - - - - Allianz SA 1000 4.15% - - - - Newton 3.08% - - - - UBS A & Q 2.46% - - - - Total Real Estate 2.79% 13.87% 13.58% 9.22% 18.46% Real Estate 2.79% 79 13.87% 25 13.58% 29 9.22% 72 18.46% 12 NCREIF Property (1 Quarter in Arrears) 3.04% 48 11.26% 69 10.99% 68 11.00% 47 16.10% 31 Open-End Real Estate 3.03% 12.09% 12.87% 10.80% 15.33% Total Fund 2.10% 5.31% 19.59% 14.10% (1.05%) Total Fund Reference Index* 2.56% 5.91% 18.35% 12.90% 0.79% * Current Quarter Target = 33.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index and 7.0% NCREIF Property (1 Qtr in Arrears). City of Milwaukee Employes Retirement System 20

Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods ended March 31, 2015. 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 Fee Returns Returns for Periods Ended March 31, 2015 Last Last Last Last 3 5 Since Quarter ear ears ears Inception Total Domestic Equity 1.28% 10.84% 15.31% 13.51% 6.28% (7/98) Russell 3000 Index 1.80% 12.37% 16.43% 14.71% 6.08% (7/98) Northern Trust Global 0.95% 12.78% 16.16% 14.49% 9.44% (9/94) S&P 500 Index 0.95% 12.73% 16.11% 14.47% 9.48% (9/94) BlackRock R1000 Alpha Tilts 3.17% 15.17% 17.05% 15.90% 7.89% (5/02) Russell 1000 Index 1.59% 12.73% 16.45% 14.73% 7.71% (5/02) Cornerstone Investment Partners (5.48%) 0.88% - - 16.40% (6/12) S&P 500 Index 0.95% 12.73% 16.11% 14.47% 20.00% (6/12) Polen Capital Management 3.57% 20.58% - - 17.25% (7/12) S&P 500 Index 0.95% 12.73% 16.11% 14.47% 18.90% (7/12) Earnest Partners LLC 3.73% 9.63% 15.11% 14.81% 9.59% (5/05) Russell MidCap Index 3.95% 13.68% 18.10% 16.16% 10.46% (5/05) Dimensional Fund Advisors Inc. 2.45% 6.14% 17.77% 15.29% 12.39% (11/96) Russell 2000 Value Index 1.98% 4.43% 14.79% 12.54% 10.02% (11/96) CastleArk Management 3.46% 6.38% - - 18.13% (9/13) Russell 2000 Growth Index 6.63% 12.06% 17.74% 16.58% 18.19% (9/13) Total Global Equity 1.83% 3.14% 9.16% 7.47% 7.47% (4/10) MSCI World Index 2.31% 6.03% 12.19% 10.01% 10.01% (4/10) BlackRock ACWI Value 0.99% - - - 2.85% (9/14) MSCI ACWI Value 0.19% 1.28% 9.67% 7.60% (4.24%) (9/14) MFS Investment Management 2.18% 6.95% - - 13.60% (12/12) MSCI ACWI Idx 2.44% 5.97% 11.35% 9.57% 13.89% (12/12) Total International Equity 5.12% (1.11%) 9.80% 7.74% 6.70% (5/96) MSCI EAFE Index 4.88% (0.92%) 9.02% 6.16% 4.68% (5/96) BlackRock ACWI 4.22% 0.56% - - 0.54% (1/14) MSCI ACWI ex US Growth 4.89% 2.09% 7.52% 6.11% 1.99% (1/14) Brandes Investment Partners 6.09% (2.08%) 9.56% 6.15% 8.15% (2/98) MSCI EAFE Index 4.88% (0.92%) 9.02% 6.16% 4.77% (2/98) William Blair & Company 4.82% 3.03% 10.27% 9.47% 8.13% (12/03) MSCI ACWI ex-us Index 3.59% (0.57%) 6.89% 5.29% 7.76% (12/03) Dimensional Fund Advisors Inc. 4.68% (6.25%) 11.31% 8.36% 4.07% (5/06) Blended Benchmark 5.56% (2.92%) 10.67% 8.45% 1.86% (5/06) Total Fixed Income 0.36% 1.88% 3.15% 5.06% 7.22% (9/94) Barclays Capital Aggregate 1.61% 5.72% 3.10% 4.41% 6.05% (9/94) BlackRock Intermediate Agg 1.36% 4.43% 2.54% 3.75% 5.27% (7/99) Barclays Capital Int Aggregate 1.32% 4.24% 2.41% 3.62% 5.20% (7/99) Reams Asset Management 1.36% 3.80% 3.03% 4.91% 5.99% (1/01) Loomis, Sayles & Company, L.P. 0.46% 2.89% 6.07% 7.60% 8.89% (9/94) Barclays Capital Aggregate 1.61% 5.72% 3.10% 4.41% 6.05% (9/94) Wellington Management Company (2.32%) (5.46%) (1.84%) - 0.52% (1/11) CG WGBI Index (2.51%) (5.50%) (1.64%) 1.42% 0.16% (1/11) Total Private Equity 0.48% 16.42% 9.23% - 4.61% (6/10) Abbott Capital Management 2010 0.00% 12.36% 5.85% - (20.76%) (6/10) Abbott Capital Management 2011 0.00% 9.17% 1.40% - (18.81%) (6/11) Abbott Capital Management 2012 0.00% 4.97% - - (2.32%) (7/12) Abbott Capital Management 2013 0.00% (2.17%) - - (3.96%) (5/13) Abbott Capital Management 2014 0.00% (13.86%) - - (13.86%) (4/14) Mesirow V 0.00% 21.07% 13.83% - 10.06% (6/10) Mesirow IV 0.00% 2.22% - - 1.21% (7/13) NB Secondary Opp Fund III 8.97% 60.73% - - (4.63%) (12/13) Russell 3000 (On a Qtr Lag) + 3% 5.99% 15.87% 23.99% - - Absolute Return 3.05% - - - 6.54% (6/14) Allianz SA 1000 4.15% - - - 10.26% (6/14) Newton 3.08% - - - 4.38% (8/14) UBS A & Q 2.46% - - - 2.46% (12/14) Total Real Estate 2.72% 12.68% 12.52% 12.58% 4.95% (7/86) Real Estate 2.72% 12.68% 12.52% 12.58% 4.95% (7/86) NCREIF Property(1Quarter in Arrears) 3.04% 11.82% 11.11% 12.13% - Total Fund 2.03% 5.20% 10.01% 9.39% 9.40% (1/79) Total Fund Reference Index* 2.56% 6.90% 10.33% 9.60% - * Current Quarter Target = 33.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index and 7.0% NCREIF Property (1 Qtr in Arrears). City of Milwaukee Employes Retirement System 21

Investment Manager Returns The table below details the rates of return for the Fund s investment managers over various time periods. 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 Fee Returns 12/2014-3/2015 2014 2013 2012 2011 Total Domestic Equity 1.28% 11.28% 33.44% 15.82% (2.77%) Russell 3000 Index 1.80% 12.56% 33.55% 16.42% 1.03% Northern Trust Global 0.95% 13.75% 32.43% 16.04% 2.19% S&P 500 Index 0.95% 13.69% 32.39% 16.00% 2.11% BlackRock R1000 Alpha Tilts 3.17% 13.83% 32.90% 19.74% 4.34% Russell 1000 Index 1.59% 13.24% 33.11% 16.42% 1.50% Cornerstone Investment Partners (5.48%) 7.89% 34.35% - - S&P 500 Index 0.95% 13.69% 32.39% 16.00% 2.11% Polen Capital Management 3.57% 17.02% 22.84% - - S&P 500 Index 0.95% 13.69% 32.39% 16.00% 2.11% Earnest Partners LLC 3.73% 9.79% 30.60% 15.87% (0.87%) Russell MidCap Index 3.95% 13.22% 34.76% 17.28% (1.55%) Dimensional Fund Advisors Inc. 2.45% 4.47% 41.95% 21.77% (7.26%) Russell 2000 Value Index 1.98% 4.22% 34.52% 18.05% (5.50%) CastleArk Management 3.46% 5.46% - - - Russell 2000 Growth Index 6.63% 5.60% 43.30% 14.59% (2.91%) Total Global Equity 1.83% 1.95% 24.37% 14.88% (9.33%) MSCI The World Index 2.31% 4.94% 26.68% 15.83% (5.54%) BlackRock ACWI Value 0.99% - - - - MSCI ACWI Value 0.19% 2.86% 22.43% 15.55% (7.35%) MFS Investment Management 2.18% 5.17% 22.47% - - MSCI ACWI 2.44% 4.71% 23.44% 16.80% (6.86%) Total International Equity 5.12% (4.09%) 25.66% 18.32% (12.24%) MSCI EAFE Index 4.88% (4.90%) 22.78% 17.32% (12.14%) BlackRock ACWI 4.22% (3.40%) - - - Russell 2000 Growth Index 6.63% 5.60% 43.30% 14.59% (2.91%) Brandes Investment Partners 6.09% (4.84%) 28.93% 11.51% (10.51%) MSCI EAFE Index 4.88% (4.90%) 22.78% 17.32% (12.14%) William Blair & Company 4.82% (2.17%) 21.36% 23.38% (12.15%) MSCI ACWI ex-us Index 3.59% (3.44%) 15.78% 17.39% (13.33%) Dimensional Fund Advisors Inc. 4.68% (4.99%) 32.39% 22.26% (17.46%) Blended Benchmark 5.56% (4.95%) 29.30% 20.00% (15.94%) Total Fixed Income 0.36% 3.85% (0.69%) 8.65% 7.20% Barclays Capital Aggregate 1.61% 5.97% (2.02%) 4.21% 7.84% BlackRock Intermediate Agg 1.36% 4.34% (0.96%) 3.65% 6.08% Barclays Capital Int Aggregate 1.32% 4.12% (1.02%) 3.56% 5.97% Reams Asset Management 1.36% 3.94% (1.23%) 7.78% 7.41% Loomis, Sayles & Company, L.P. 0.46% 5.82% 2.29% 15.33% 6.83% Barclays Capital Aggregate 1.61% 5.97% (2.02%) 4.21% 7.84% Wellington Management Company (2.32%) (0.78%) (5.61%) 2.93% 8.58% CG WGBI Index (2.51%) (0.48%) (4.00%) 1.65% 6.35% Total Private Equity 0.48% 15.40% 8.66% 3.44% (3.21%) Abbott Capital Management 2010 0.00% 12.36% 7.33% (1.66%) (38.92%) Abbott Capital Management 2011 0.00% 9.17% 1.20% (5.63%) - Abbott Capital Management 2012 0.00% 4.97% (2.50%) - - Abbott Capital Management 2013 0.00% (2.17%) - - - Abbott Capital Management 2014 0.00% - - - - Mesirow V 0.00% 21.07% 14.22% 6.65% 5.05% Mesirow VI 0.00% 2.22% - - - NB Secondary Opp Fund III 8.97% 19.77% - - - Russell 3000 (On a Qtr Lag) + 3% 5.99% 21.19% 25.11% 33.90% 3.61% Absolute Return 3.05% - - - - Allianz SA 1000 4.15% - - - - Newton 3.08% - - - - UBS A & Q 2.46% - - - - Total Real Estate 2.72% 13.54% 13.15% 8.83% 18.17% Real Estate 2.72% 13.54% 13.15% 8.83% 18.17% NCREIF Property(1Quarter in Arrears) 3.04% 11.26% 10.99% 11.00% 16.10% Total Fund 2.03% 5.02% 19.26% 13.78% (1.38%) Total Fund Reference Index* 2.56% 5.91% 18.35% 12.90% 0.79% * Current Quarter Target = 33.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index and 7.0% NCREIF Property (1 Qtr in Arrears). City of Milwaukee Employes Retirement System 22

Asset Class Rankings The charts below show the rankings of each asset class component of the Total Fund relative to appropriate comparative databases. In the upper right corner of each graph is the weighted average of the rankings across the different asset classes. The weights of the fund s actual asset allocation are used to make this calculation. The weighted average ranking can be viewed as a measure of the fund s overall success in picking managers and structuring asset classes. Total Asset Class Performance One ear Ended March 31, 2015 Returns 16% 14% 12% 10% 8% 6% 4% 2% 0% (2%) (4%) (27) (69) (57) (83) (73) Pub Pln- CAI Global Eq Broad Pub Pln- Intl Pub Pln- Public Fund Dom Equity Style Equity Dom Fixed - Cash 10th Percentile 13.00 10.91 3.19 6.95 0.91 25th Percentile 12.44 8.38 1.65 5.74 0.24 Median 11.70 6.70 0.02 5.05 0.14 75th Percentile 10.98 4.19 (0.96) 4.01 0.09 90th Percentile 9.51 1.61 (1.67) 3.11 0.03 Asset Class Composite 11.19 3.51 (0.64) 2.02 12.99 Composite Benchmark 12.37 6.03 (0.92) 5.72 11.82 (64) (26) (96) (1) Weighted Ranking 71 (1) Total Asset Class Performance Four and One-Quarter ears Ended March 31, 2015 18% 16% 14% 12% (33) (85) (1) Weighted Ranking 56 (1) Returns 10% 8% 6% 4% (57) (91) (31) (10) (73) (60) 2% 0% Pub Pln- CAI Global Eq Broad Pub Pln- Intl Pub Pln- Public Fund Dom Equity Style Equity Dom Fixed - Cash 10th Percentile 15.40 12.89 7.16 6.78 0.94 25th Percentile 14.95 11.79 5.99 5.72 0.42 Median 14.61 10.24 5.01 4.92 0.29 75th Percentile 14.14 8.90 3.60 4.02 0.10 90th Percentile 13.31 7.78 1.55 2.98 0.04 Asset Class Composite 13.53 7.64 7.17 4.66 13.61 Composite Benchmark 14.83 9.80 5.63 4.09 12.34 * Current Quarter Target = 33.0% Russell 3000 Index, 28.0% Barclays Aggregate Index, 22.0% MSCI EAFE Index, 10.0% MSCI World Index and 7.0% NCREIF Property (1 Qtr in Arrears). City of Milwaukee Employes Retirement System 23

Callan Research/Education Callan Research/Education

10-ear Return and Risk Projections 7.6% 19.0% Broad U.S. Equity Large Cap A Conversation with Lauren Mathias, CFA, Vice President Interviewed by Uvan Tseng, CFA, Vice President Projected Return (10-year geometric) Projected Risk (standard deviation) 18.3% 23.0% Small/Mid Cap 21.5% Global ex-u.s. 20.2% 7.5% 7.9% 7.8% 7.5% 7.9% Price to Earnings Ratio for S&P 500 50 40 30 S&P 500 P/E Ratio Developed Non-U.S. 28.0% Emerging Market Defensive ΧΑΛΛΑΝ ΙΝςΕΣΤΜΕΝΤΣ ΙΝΣΤΙΤΥΤΕ Countdown to a Better DC Plan Τηισ ψεαρ ωε πυτ α διφφερεντ σπιν ον τηε τραδιτιοναλ Νεω Ψεαρ σ Εϖε χουντδοων. Ινστεαδ οφ χουντινγ τηε mιν υτεσ ανδ σεχονδσ υντιλ τηε βαλλ δροπσ, ωε αρε αντιχιπατινγ τηε 10τη αννιϖερσαρψ οφ τηε Πενσιον Προτεχτιον Αχτ (ΠΠΑ) ιν 2016. Τηε ΠΠΑ ινστιτυτεδ χοmπρεηενσιϖε ρεφορmσ το Αmεριχα σ ρετιρεmεντ σψστεm ινχλυδ ινγ δε νεδ χοντριβυτιον ( Χ) πλανσ ιν 2006. Χιτινγ ρεσυλτσ φροm Χαλλαν σ αννυαλ DC Trends Survey, ωε ε πλορε πλαν σπονσορ αδοπτιον οφ ΠΠΑ προϖισιονσ το σεε ηοω τηεψ ηαϖε βενε τεδ, ωηερε τηεψ ηαϖε mετ χηαλλενγεσ, ανδ ωηερε τηεψ χουλδ δο mορε. Wε αλσο οφφερ σεϖεν τακεαωαψσ το ηελπ σπονσορσ βεττερ ποσιτιον τηειρ πλανσ ιν 2015 ασ ωε αππροαχη τηε δεχαδε mαρκ φορ τηισ λεγισλατιον. 1. Educate participants on Roth accounts possible long-term tax advantages. Τηε αϖαιλαβιλιτψ οφ οτη δεσιγνατεδ αχχουντσ ιν Χ πλανσ ωασ οριγιναλλψ σετ το ε πιρε ατ τηε ενδ οφ 2010, βυτ τηε ΠΠΑ mαδε τηεm περmανεντ. Τοδαψ, 62 οφ Χ πλανσ οφφερ οτη δεσιγνατεδ αχχουντσ ανδ ανοτηερ 2 αρε χονσιδερινγ αδδινγ τηεm ιν τηε νεξτ 12 mοντησ αν ιmπρεσσιϖε σηοωινγ. Ηοωεϖερ, Φιδελιτψ 1 ρεπορτσ τηατ ωηεν Ροτη ισ οφφερεδ, ονλψ 7% οφ παρτιχιπαντσ διρεχτ τηειρ χοντριβυτιονσ το ιτ. 2. If you offer managed accounts, review your process for selecting and monitoring the managed account provider. Τηε ΠΠΑ σουγητ το ενχουραγε τηε αϖαιλαβιλιτψ οφ ινϖεστmεντ αδϖιχε το Χ πλαν παρτιχιπαντσ. Ιτ χρεατεδ α προηιβιτεδ τρανσαχτιον εξεmπτιον τηατ αλλοωσ νανχιαλ ινστιτυτιονσ τηατ προϖιδε ινϖεστmεντ οπτιονσ το αλσο οφφερ ινϖεστmεντ αδϖιχε το Χ παρτιχιπαντσ. Τοδαψ, 7 % οφ Χ πλαν σπονσορσ προϖιδε ινϖεστmεντ γυιδανχε ορ αδϖισορψ σερϖιχεσ το παρτιχιπαντσ, ανδ mοστ αρε σατισ εδ ωιτη τηεσε σερϖιχεσ. Ηοωεϖερ, τηε οϖερνmεντ Αχχουνταβιλιτψ φ χε ( Α ) ηασ ραισεδ υεστιονσ αβουτ ονε τψπε οφ αδϖισορψ σερϖιχε τηατ ισ αλσο α υαλι εδ δεφαυλτ ινϖεστmεντ αλτερνατιϖε ( ΙΑ) mαναγεδ αχχουντσ. Ιν ϑυνε 2014, α ΓΑΟ ρεπορτ φουνδ τηατ τηε αδϖανταγεσ οφ mαναγεδ αχχουντσ (ιmπροϖεδ διϖερσι χατιον ανδ ηιγηερ σαϖινγσ ρατεσ) mαψ βε οφφσετ βψ τηειρ φεεσ. Τηε ρεπορτ χονχλυδεδ τηατ τηε επαρτmεντ οφ Λαβορ ( ΟΛ) σηουλδ αχτ το ενσυρε τηατ βοτη πλαν σπονσορσ ανδ παρτιχιπαντσ ηαϖε συφ χιεντ ινφορmατιον το υνδερστανδ ανδ σελεχτ mαναγεδ αχχουντσ. 3. Take advantage of the fund mapping provision and purge the plan of legacy funds in order to streamline the investment fund lineup. Βεηαϖιοραλ ρεσεαρχη σηοωσ τηισ ωιλλ mακε ιτ εασιερ φορ παρτιχιπαντσ το ναϖιγατε τηε Χ πλαν. Τηε ΠΠΑ σ φυνδ mαππινγ προϖισιον εξτενδεδ 404(χ) προτεχτιον το χοϖερ mαππινγ παρτιχιπαντ ασσετσ φροm ονε φυνδ το ανοτηερ ωηεν α φυνδ ισ ρεπλαχεδ. Νεαρλψ 70% οφ πλαν σπονσορσ τηατ ελιmινατεδ φυνδσ ιν 2014 mαππεδ ασσετσ το τηε mοστ σιmιλαρ φυνδ βασεδ ον τηε ρισκ λεϖελ οφ τηε εξιστινγ φυνδ χονσιστεντ ωιτη τηε ΠΠΑ σ προϖισιον. Σεϖεντεεν περχεντ mαππεδ ασσετσ το τηε δεφαυλτ ινϖεστmεντ οπτιον, ωηιχη χουλδ αλσο οφφερ 404(χ) προτεχτιον. Στιλλ, τηε νυmβερ οφ φυνδσ ιν Χ πλανσ χοντινυεσ το χρεεπ ηιγηερ, αχχορδινγ το τηε Χαλλαν Χ Ινδεξ ΤΜ εξχλυδινγ ταργετ δατε φυνδσ (Τ Φσ), τηε τψπιχαλ πλαν ηολδσ 15 φυνδσ, υπ φροm 11 ιν 2006. 1 Fidelity. Building Futures DC Trends Fact Sheet. September 30, 2014. Emerging Managers Σmαλλ Φιρmσ ωιτη Βιγ Ιδεασ U.S. Fixed ΧΑΛΛΑΝ ΙΝςΕΣΤΜΕΝΤΣ Long Duration Non-U.S. Fixed December 2014 Spotlight Research Knowledge. Experience. Integrity. DΕΧΕΜΒΕΡ 2014 Εϖερψβοδψ ηασ το σταρτ σοmεωηερε, ινχλυδινγ ινϖεστmεντ mαναγερσ. Εϖεν τηε λαργεστ ρmσ ωιτη βροαδ ναmε ρεχογνιτιον ανδ συβσταντιαλ ασσετσ ωερε ονχε εmεργινγ ρmσ. Εmεργινγ mαναγερσ γενεραλλψ ινχλυδε σmαλλερ ανδ νεωερ ινϖεστmεντ mαναγερσ, ποτεν τιαλλψ ωιτη ατψπιχαλ οωνερσηιπ στρυχτυρεσ. Wηιλε σmαλλερ ασσετ ποολσ χαν ωορκ αγαινστ τηεm ιν σοmε χασεσ, ιτ χαν αλσο ωορκ ιν τηειρ φαϖορ, εναβλινγ τηεm το αχχεσσ οππορτυνι τιεσ τηατ λαργερ, mορε εσταβλισηεδ ινϖεστmεντ mαναγερσ χαννοτ. Μανψ Υ.Σ. ινστιτυτιοναλ ινϖεστορσ ηαϖε λονγ τραχκ ρεχορδσ οφ δεδιχατεδ ινϖεστmεντσ ωιτη εmεργινγ mαναγερσ ωηιλε οτηερσ αρε ϕυστ σταρτινγ το εξαmινε τηε σπαχε. Εmεργινγ mαναγερ προγραmσ αρε βεχοmινγ mορε χοmmονπλαχε, παρτιχυλαρλψ ατ πυβλιχ πενσιον φυνδσ, ασ ινϖεστορσ ρεχογνιζε τηε ποτεντιαλ πορτφολιο γαινσ τηατ χαν βε αχηιεϖεδ τηρουγη ινϖεστινγ ωιτη τηε διϖερσε ανδ εντρεπρενευριαλ ινϖεστmεντ mαναγερσ τηατ mακε υπ τηε εmεργινγ mαναγερ σπαχε. Χαλλαν ηασ λονγ ρεχογνιζεδ τηε ϖαλυε τηατ διϖερσιτψ οφ προφεσσιοναλσ ανδ ρm σιζε χαν βρινγ το ινϖεστmεντ ουτχοmεσ. Ουρ φουνδερ Εδ Χαλλαν ωασ ινστρυmενταλ ιν λαυνχηινγ Προγρεσσ Ινϖεστmεντ Μαναγεmεντ mορε τηαν τωο δεχαδεσ αγο. Ιν 2010, ωε λαυνχηεδ Χαλλαν Χοννεχτσ το εξπανδ ουρ υνιϖερσε οφ εmεργινγ mαναγερ ανδ mινοριτψ, ωοmεν, ανδ δισαβλεδ οωνεδ ρmσ. Ιν τηισ ιντερϖιεω, Υϖαν Τσενγ ταλκσ ωιτη Λαυρεν Ματηιασ, ωηο οϖερσεεσ Χαλλαν Χοννεχτσ, αβουτ τρενδσ ανδ ισσυεσ ιν τηε εmεργινγ mαναγερ αρενα. TIPS Equity Equity Equity Equities Fixed Income Other d. Dev. Long-Run Average Barclays Aggregate Index Daily ield to Worst 1/02/2001 το 12/31/2014 7% 6% 5% 4% 3% 2% 1% 0% 01 3.8% 5.3% 2.3% 2.4% 3.0% 3.0% 3.2% 2 02 03 Source: Barclays 04 05 06 11.4% Εαχη ψεαρ Χαλλαν δεϖελοπσ λονγ τερm χαπιταλ mαρκετ προϕεχτιονσ, δεταιλινγ εξπεχτεδ ρετυρνσ, στανδαρδ δεϖιατιονσ, ανδ χορρελατιονσ φορ mαϕορ ασσετ χλασσεσ. Τηεσε προϕεχτιονσ αρε τηε χορνερστονε φορ στρατεγιχ πλαννινγ. Τηισ χηαρτιχλε συm mαριζεσ κεψ γυρεσ φροm Χαλλαν σ 2015 χαπιταλ mαρκετ προϕεχτιονσ, ανδ οφφερσ α ηιγη λεϖελ ϖιεω ιντο ηοω ωε γενερατεδ τηε νυmβερσ. 07 08 09 10 11 12 13 14 5.0% 11.1% High ield 2.3% 9.4% 6.2% 16.5% Real Estate 8.5% 33.1% Private Equity 5.3% 9.3% Hedge Funds 2.8% 18.5% Commodities 2.3% 0.9% Cash Equivalents 2.3% 1.5% Inflation Callan s 10-ear Expectations U.S. Equity 7.6%: Υ.Σ. mαρκετσ ενϕοψεδ ροβυστ ρετυρνσ ιν 2014. Τηε εχονοmιχ ουτλοοκ ισ νοω στρονγερ. Λονγ τερm φυνδαmενταλσ βυιλδ το 7.6%: 2.5% 3.5% ρεαλ ΓDΠ γροωτη (ωηιχη τρανσλατεσ το 4.75% 5.75% νοmιναλ εαρνινγσ γροωτη) ανδ 2.4% διϖιδενδ ψιελδ. Global ex-u.s. Equity 7.8%: Τηε σmαλλ πρεmιυm οϖερ Υ.Σ. εθυιτψ ισ λαργελψ δυε τ γινγ mαρκετσ. U.S. Fixed Income 3 ε προϕεχτ ιντερ εστ ρατ φφερ χαπιταλ λοσσ β ση FIRST QTR 2015 Education Research and Educational Programs The Callan Investments Institute provides research that keeps clients updated on the latest industry trends while helping them learn through carefully structured educational programs. Below are the Institute s recent publications all of which can be found at www.callan.com/research. White Papers 2015 Capital Market Projections 2015 Capital Market Projections Charticle Callan s latest charticle offers a high-level view into how we generate our cap market projection numbers. These projections incorporate advanced quantitative modeling as well as qualitative feedback and the economic expertise of Callan s consulting professionals. Our 2015 numbers Global Equity Benchmark Review: ear-end 9/30/2014 Countdown to a Better DC Plan could do more. We also offer seven takeaways to help sponsors better position their plans in 2015 as we approach the decade mark for this legislation. ΙΝΣΤΙΤΥΤΕ Ask the Expert Emerging Managers: Small Firms with Big Ideas

Exhibit 5 All Respondents Exhibit 6 All Respondents Exhibit 7 By Fund Type 4 ΧΑΛΛΑΝ ΙΝςΕΣΤΜΕΝΤΣ ΙΝΣΤΙΤΥΤΕ περχενταγε οφ φυνδσ ινχορπορατινγ ΕΣΓ φαχτορσ ατ 35%, φολλοωεδ βψ τηε Χεντραλ ρεγιον (31%). Ρεσπον δεντσ φροm τηε Σουτηεαστ ρεγιον ηαϖε τηε λοωεστ αδοπτιον ρατε (12%). Αν αδδιτιοναλ 11% αρε χυρρεντλψ χονσιδερινγ ινχορπορατινγ ΕΣΓ (Exhibit 6), αλτηουγη mοστ φυνδσ τηατ ηαϖε νοτ ινχορπορατεδ ΕΣΓ φαχτορσ ιντο ινϖεστmεντ δεχισιον mακινγ ηαϖε νο ιmmεδιατε πλανσ το δο σο (89%). Ενδοωmεντσ αρε τηε mοστ λικελψ το βε αχτιϖελψ χονσιδερινγ ιτ ατ 37% (Exhibit 7). Funds that are incorporating ESG factors by region 35% If you have not incorporated ESG, are you considering it? es 11% No 89% 0% 20% 40% 60% 80% 100% Respondents that are considering incorporating ESG Public 16% Foundation Endowment 0% Corporate 0% 20% 31% 12% 16% 37% Pacific (26 funds) Mountain (15 funds) Central (52 funds) Northeast (37 funds) Southeast (25 funds) CALLAN INVESTMENTS INSTITUTE U.S. Institutional Fund Sponsors and Investment Managers Quarterly Publications DC Observer & Callan DC Index : - Capital Market Review: capital markets. Hedge Fund Monitor: quarterly performance commentary. Private Markets Trends: and other issues involving private equity. Quarterly Data: The Market Pulse Inside Callan s Database report provides performance Real Assets Reporter: investment topics. Surveys Survey 2014 Investment Management Fee Survey ESG Interest and Implementation Survey - 2014 Investment Management Fee Survey This survey captures institutional investment management fee payment practices and trends. - Callan Investments Institute

January 26 28, 2015 Palace Hotel San Francisco CALLAN INVESTMENTS INSTITUTE Event Summary Events Thirty-Fifth National Conference The 2015 National Conference Summary features a synopsis of our speakers: Bowles & also available on our website. Our October 2014 Regional Workshop popularity of alternative index strategies. We covered the origins and theories behind these cusing on the range of products and future trends. This workshop summary write-up will Upcoming Educational Programs Fiduciary Tidal Wave: Navigating DC s Uncharted Waters Facilitators: June 17, 2015 in Chicago June 18, 2015 in San Francisco Our research can be found at www.callan.com/research or feel free to contact us for hard copies. For more information about research or educational events, please contact Ray Combs or Gina Falsetto at institute@callan.com or 415-974-5060. Callan Investments Institute