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DB Plan Performance Report 1Q17Performance Review Metropolitan St. Louis Sewer District Pension Plan 1st Quarter 2017 Pavilion Advisory Group Inc. 227 W. Monroe Street, Suite 2020 Chicago, IL 60606 Phone: 312-798-3200 Fax: 312-902-1984 www.pavilioncorp.com 1 Capital Markets Review 1 2 Performance Summary 10 3 Asset Class Diversification 32 4 Manager Evaluation 38 5 Calendar Year Performance 66 6 Appendix 68 Table of Contents Capital Markets Review 1 Capital Markets Review Summary 6.8 6.1 2.5 7.2 7.7 11.4 3.6 1.8 15.4 17.2 26.2 11.7 10.8 17.2 11.3 MSCI Global ACWI IMI S&P 500 Russell 2000 MSCI EAFE S&P Dev ex U.S. SC MSCI EMF HFRI Equity Hedged* BBG Barclays Global Agg. Performance: Past Quarter and Year (%) Past Quarter Past 12 Months Equities (Stocks)Synchronizing Global Growth §Accelerating global growth propelled risk assets higher,as robust economic data continued to affirm improving expectations demonstrated by employment growth, positive business and sentiment surveys,credit expansion,and normalizing inflation.The widespread strength of underlying economic data insulated and allowed capital markets to digest events ranging from the triggering of Article 50 (BREXIT)to U.S.political turmoil. §With inflation rates near central banks’targeted levels,global monetary policy remained generally accommodative.While the U.S.path to normalization is still expected to be gradual,strengthening data supported a March rate increase for the second consecutive quarter and generated little drama.During the March meeting,the Federal Open Market Committee (“FOMC”)discussed the future wind down of its balance sheet operations,spurring spread widening in mortgage1.8 0.8 -0.4 2.7 0.1 2.5 -2.3 7.2 1.4 1.0 -1.9 0.4 0.6 16.9 0.3 5.3 8.7 13.5 5.5 2.4 -5 0 5 10 15 20 25 30 BBG Barclays Global Agg. BBG Barclays Agg. WGBI ex-U.S. Hedged BofAML High Yield Cons. 91-Day T-Bills NAREIT Bloomberg Commodity Alerian MLP HFRI FoF:Cons.* CPI * HFRI data are subject to revision. Source: FactSet & BloombergFixed Income (Bonds)Alternativeswind down of its balance sheet operations,spurring spread widening in mortgage related securities. §Global growth helped boost domestic and international equities.After turning positive in the third quarter of 2016,domestic profit growth accelerated in the fourth quarter with first quarter earnings expected to maintain the upward trend. Outside the U.S.,emerging market equities rebounded during the quarter, recovering from the fourth quarter’s U.S.dollar headwinds. §Domestically,interest rates flattened at the front-end of the curve in anticipation of the FOMC decision to hike rates,marginally detracting from performance. Economic conditions also lead to spread compression for most sectors,driving outperformance relative to similar duration Treasuries.Internationally,a weakening U.S.dollar helped drive solid gains,particularly for local emerging market debt,which surged +6.5%. §Commodity prices turned down during the quarter,dragged by energy and agriculture prices.Warmer than average temperatures and increasing oil production adversely affected prices.Trailing one-year returns,however,remain strong,buoyed by oil’s rise from $37 a barrel at the end of the first quarter of 2016. 2 Capital Markets Review Asset Class Outlook Equities §The first quarter witnessed another strong performance by equity markets.While many suggest performance is being driven by anticipated policy changes,dubbing it the “Trump Rally,”we believe improving fundamentals have been at least as strong a force. First,the significant rebound in corporate profits has almost certainly enhanced performance.FactSet’s consensus analysts’estimate for first quarter S&P 500 earnings growth is 8.9%,which would be the strongest earnings growth rate since quarter four of 2013.Second,these earnings improvements and performance are not unique to U.S. markets.The rising tide of global growth appears to be lifting all boats,as emerging markets and Europe also posted strong performance over the quarter.Absent interruptions from geopolitical risks,we anticipate growth will continue to support equity market performance.Additionally,any U.S.policy enhancements should provide tailwinds for the U.S.equity market. Fixed Income §While the FOMC decided to raise rates during the quarter,officials made clear future rate increases likely would be very gradual.Minutes from the meeting also revealed that committee members began to focus attention on reducing the Federal Reserve’s (“Fed”) balance sheet (reversing QE).Based on guidance provided by Fed leadership,we expect balance sheet reduction will be relatively gradual undertaken largely by allowing2.5% 3.0% 3.5% Projected vs Expected Path of Fed Funds 500 700 900 1100 1300 1500 1700 1900 Jun-03Dec-04Jun-06Dec-07Jun-09Dec-10Jun-12Dec-13Jun-15Dec-16Billions of DollarsU.S. Corporate Profits U.S. Recession Source: Federal Reserve FRED Data Seasonally Adjusted Annual Rate balance sheet reduction will be relatively gradual undertaken largely by allowing existing assets to mature,without replacement -the current practice.Given the challenge of removing accommodation using two levers,rate increases and balance sheet reduction,rather than just one,Fed officials likely will be even more cautious pursuing rate increases.Any policy adjustment is unlikely to be implemented much before year end.Despite rising yields,we continue to believe investors are well served to maintain some high quality duration risk as portfolio protection including exposure to select securitized sectors such as Non-Agency MBS,CMBS,and off-the-run ABS.With the further tightening of credit spreads and with material dollar appreciation possibly having run its course,opportunities in emerging market debt deserve careful evaluation as the risk return benefits continue to move in its favor. Real Assets (Inflation Protection Assets) §Inflation is now approaching or slightly exceeding policy targets in many developed markets.Despite the recent uptick,a modest pullback is anticipated as year-over-year price comparisons in the energy sector become more favorable.In the U.S.,we do not anticipate inflation levels sustaining an increase much above the Federal Reserve’s 2% target near-term.As a result,equity positions should provide some protection against near term inflation.In the current low yield environment,we maintain our view that global listed infrastructure likely provides a diversifying income stream with a slightly lower volatility profile than commodities.Within commodities and infrastructure,we continue to favor the energy complex.We maintain a cautious view on REITs,due to historical correlations with long duration instruments. 0.5% 1.0% 1.5% 2.0% 2.5% May-17 May-18 May-19 May-20Yield Futures FOMC Median "Dots"FOMC Neutral Rate -1.0 0.0 1.0 2.0 3.0 Jul-15Aug-15Sep-15Oct-15Nov-15Dec-15Jan-16Feb-16Mar-16Apr-16May-16Jun-16Jul-16Aug-16Sep-16Oct-16Nov-16Dec-16Jan-17Feb-17Year-Over-Year InflationInflation rates rising United States European Union United Kingdom Japan Source: Bloomberg Source: Bloomberg 3 Capital Markets Review Key Market Risks Fixed Income Equities Financial StressesValuationsCyclicalCurrent Risk Levels Source: BloombergLowHigh Cyclical Risks Remain Low with Regional Disturbances Present §Ongoing Threat of European Fractures: 0 5 10 15 20 25 30 35 40 0 10 20 30 40 50 60 70 80 UniCredit PriceE.U. Bank Index PriceEuropean Union Bank Stocks versus UniCredit MSCI Euro Bank Index (lhs)UniCredit (rhs) Source: Federal Reserve FRED Data Source: Bloomberg, FactSet, Recession Alert, & Pavilion Analysis §Ongoing Threat of European Fractures: •The results of French elections could reduce or increase the risks of a French departure from the union. •The Greek bailout remains unpopular in Germany,and with fall elections looming German negotiators have thwarted efforts toward Greek debt relief,forestalling any agreement on the final and much needed payment of the Greek bailout.Will we see a repeat of 2015? •While banks in other E.U.countries have addressed re-capitalization issues,Italy has not,and the underperformance of Italian banks will make recapitalization efforts more difficult going forward potentially setting the stage for a tightening of European financial conditions. §Policy Misstep or Shortfall:The failure to pass healthcare reform has increased uncertainty regarding the administration’s ability to advance other elements of its business friendly agenda.Additionally,the absence of a clear international policy or doctrine appears to have elevated geopolitical risks.With uncertainty rising,capital investment may slow and investors may chose to reduce risk exposures –risk off. §Resurgence in Dollar Appreciation:In 2014 and 2015,the rapid rise of the dollar tightened global financial conditions,slowing global growth.With yields rising in the U.S.,there is concern of a possible repeat of these circumstances.Fortunately,the dollar has been fairly steady despite rising yi elds;however,anything triggering further rapid appreciation –such as a flight to quality –likely would dampen growth. 0.5% 0.6% 0.7% 0.8% 0.9% 1.0% 1.1% 1.2% 1.3% 1.4% 70 75 80 85 90 95 100 Mar-15Jun-15Sep-15Dec-15Mar-16Jun-16Sep-16Dec-16Mar-17YieldDollar IndexU.S. Dollar Holding Steady U.S. Dollar Index: Major Currencies (lhs)2-Year Yield (rhs) 4 Capital Markets Review Economy Improving Growth Greets a New President Source: Federal Reserve, BOL Fed Balance Sheet and Mortgage Rates Source: Federal Reserve Real Wage and Salary Growth 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 0 500 1000 1500 2000 2500 3000 Dec-08Dec-09Dec-10Dec-11Dec-12Dec-13Dec-14Dec-15Dec-16Rates (%)$ Billions -Fed Bond HoldingsFed Treasury Bonds Fed Mortgage bonds 30-Year Mortgage 15-Year Mortgage -6 -4 -2 0 2 4 6 8 10 Jan-60Jan-63Jan-66Jan-69Jan-72Jan-75Jan-78Jan-81Jan-84Jan-87Jan-90Jan-93Jan-96Jan-99Jan-02Jan-05Jan-08Jan-11Jan-14Jan-17Percent§With expectations of an improving U.S.economy,investors looked for signals that could dampen enthusiasm.President Trump’s stamp on the federal government began with regulatory rollbacks affecting energy,financial oversight and trade.Policy mi ssteps included targeted travel restrictions and an initial defeat on healthcare reform,which cast some doubt on Congress’s ability to quickly implement a broader agenda.Tax reform,including individual and corporate rate cuts,was not pursued,and put pressure on equities,as expectations of higher profit margins diminished absent lower taxes. §The Federal Reserve (“Fed”)raised interest rates 25 bps during March,in-line with market predictions for scale,if not a bit early on timing.Fed balance sheet reductions remain as a powerful tool for influencing interest rates,generally in a higher direction,when the Fed decides to reduce its bond holdings.U.S.dollar movements during the quarter were heavily influenced by the changing winds of trade policies.Versus European currencies,the dollar was relatively stable,though weaker against the Mexican peso and Japanese yen.The diminished likelihood of trade wars and tariffs reversed the decline of the peso and yen. §Domestic manufacturing showed improvement,owing to an improving global economy and a friendlier regulatory and tax outlook.Unemployment remained low and temporary employment,typically a leading indicator of future payroll growth,improved as well.Housing starts continued to contribute to overall growth,reflecting higher incomes,strengthening consumer balance sheets and continued tight inventories.Despite increasing home prices and rising interest rates,housing costs remain near historic low levels and should allow housing to continue its positive contributions to growth.Real wage gains have been fairly modest throughout the recovery.Continuing improvements in payroll growth should see a reversal in this trend,further sustaining consumer demand.Source: Federal Reserve Source: Federal Reserve Industrial Production 40 50 60 70 80 90 100 110 120 Jan-81Jan-83Jan-85Jan-87Jan-89Jan-91Jan-93Jan-95Jan-97Jan-99Jan-01Jan-03Jan-05Jan-07Jan-09Jan-11Jan-13Jan-15Jan-172012 = 1005 Capital Markets Review Equities First Quarter World and Emerging Market Equity ReturnsFirst Quarter S&P 500 Sector Returns -6.7% -4.0% 2.5% 3.5% 4.6% 5.9% 6.1% 6.4% 6.4% 8.4% 8.4% Energy Telecom Financials Real Estate Industrials Materials S&P 500 Cons Staples Utilities Healthcare Cons Disc 6.9% 6.1%6.4% 7.9%7.2% 11.4% 12.9% 16.8% 11.8% 17.1% 4.4% 10.4% 0.0% 5.0% 10.0% 15.0% 20.0% MSCI S&P MSCI MSCI MSCI MSCI China South Taiwan India South Brazil Growth Outperformed Value in the First Quarter Growth and Emerging Markets Propel Equity Markets Higher §The S&P 500 Index returned +6.1%during the first quarter.Growth-oriented sectors led returns with Information Technology the strongest performing sector during the quarter,followed by Consumer Discretionary and Healthcare.Energy and Telecom were the only sectors to post a loss during the first quarter,marking a reversal from last year in which these were the two strongest performing sectors. §Most developed market equity indices provided similar returns in the 6%to 8%range during the quarter.Emerging Market equities bounced back significantly from the fourth quarter,returning 11.4%,led by India and South Korea.Currency gains contributed to U.S.dollar investor returns for both EAFE and emerging equity markets, as the U.S.dollar depreciated about 2.5%and 3.5%,respectively,against the EAFE and Emerging Market baskets of currencies. §In yet another reversal from 2016,growth outperformed value in the first quarter. While U.S.large-cap stocks outperformed small-cap stocks across styles,within the value space mid-cap stocks were the top performers. Source: Factset, MSCI Source: Factset, S&P 12.6% -10.0%-5.0%0.0%5.0%10.0%15.0% Cons Disc Info Tech MSCI ACWI S&P 500 MSCI World MSCI ACWI x US MSCI EAFE MSCI EM China South Korea Taiwan India South Africa Brazil 3.3%3.8% -0.1% 6.0% 10.2% 8.9% 6.9% 5.3% 8.5% 12.8% -10.0% 0.0% 10.0% 20.0% U.S. Large Cap U.S. Mid Cap U.S. Small Cap Int'l Developed Emerging Mkts Value Growth Source: Factset, MSCI, Russell 6 Source: Bloomberg Barclays Capital Markets Review Fixed Income Best Period Second Best Period Worst Period Second W ors t Period Trailing Ten-Year Credit Spreads Source: Bloomberg Barclays Duration –Ad justed Excess Returns to Treasuries (bps) 2010 2011 2012 2013 2014 2015 2016 1Q17 Aggregat e 171 -114 226 93 10 -53 138 11 Agenc y 77 -25 166 1 10 -133 121 27 MBS 225 -106 91 98 40 -5 -11 -17 ABS 169 52 246 24 53 44 95 22 CM BS 1501 47 841 97 108 -28 236 8 Credi t 192 -322 693 226 -18 -169 442 47 Hi gh Y ield 974 -240 1394 923 -112 -577 1573 214 EMD (US D)508 -537 1503 -32 -120 3 880 259 0 250 500 750 1000 1250 1500 1750 2000 Option-Adjusted Spread (OAS)U.S.Corpor at e High Y ie ld - OAS U.S.HY 10 -Year Median U.S.IG Credit - OAS U.S.IG Credit 10-Year Median Yields Stable as the FOMC Hikes and Washington Disappoints §Short term Treasury yields rose in the quarter as the Federal Reserve raised the Fed Fund’s rate 25 bps in March,but left future hike projections unchanged,signaling a more dovish tone than expected.Committee members are currently predicting two more hikes in 2017,and it’s likely that market’s future focus will shift to the normalization of the Fed’s balance sheet.Treasury yields remained range bound on the quarter,and all major fixed income sectors posted positive absolute returns to start the year. §Treasuries returned +0.7%for the quarter.Economic growth has accelerated,which should push interest rates higher across the curve,but domestic and foreign investors’insatiable demand for longer-dated Treasuries resulted in a flatter curve over the quarter.The yield curve spread between 2 year and 30 year Treasuries fell 13 bps to 175 bps,while the spread between 10 year and 30 year Treasuries narrowed 1bp to 62 bps. §Investment grade credit returned +1.3%for the quarter and outpaced Treasuries by 47 bps on a duration-adjusted basis.The OAS of the U.S.Credit Index ended the quarter 6 bps tighter at 112 bps.Despite the Fed interest rate hike,Brexit,lower oil prices and the Administration’s failed initiative on new healthcare legislation,issuance hit an all-time record of $391B for the first quarter.Corporate high yield returned +2.7%on the quarter,benefitting from strong demand and rising equity markets. §Agency MBS generated a +0.5%absolute return,but trailed duration-matched Treasuries by 17 bps for the quarter.The OAS of the Mortgage Index ended the quarter 12 bps wider at 27 bps spurred by the Fed’s discussion of the ultimate end of reinvestment in Agency MBS.Lower prepayment speeds and duration drift linked to MBS’negative convexity reduced returns as coupon income and tight spreads weren’t enough to compensate investors for higher interest rate risk. U.S. Treasury Yield Curve Change Source: US Dept. of The Treasury 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 0 5 10 15 20 25 30Yield to MaturityMaturity (Years) 3/31/2016 12/30/2016 3/31/2017 7 Capital Markets Review Alternative Investments Global Alternatives Perform Despite Weaker Dollar §Hedge Funds:Hedge fund strategies were generally benefitted from global risk-on sentiment during the quarter.Stock selection was positive across long/short equity strategies,and even market-neutral managers posted sizable gains.Managers with a growth versus a value bias tended -2% 0% 2% 4% 6% 8% 10% 12% 30-Dec-16 30-Jan-17 28-Feb-17 31-Mar-17Cumulative ReturnHF Longs HF Shorts S&P Long -Shorts Commonly-held hedge fund long positions outperformed the S&P 500, while short positions underperformed the S&P 500. This led to positive alpha across US-focused long/short equity managers. Top Hedge Fund Equity Longs vs Shorts (Goldman VIP) Source: Bloomberg -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% -60% -40% -20% 0% 20% 40% 60% '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 Infrastructure vs. Inflation Global Infrastructure (% YoY, 4m lead) Headline inflation (%YoY) market-neutral managers posted sizable gains.Managers with a growth versus a value bias tended to outperform,as did those with long exposures to outperforming sectors such as technology and healthcare.Managers with exposure to the energy sector underperformed.Many distressed credit strategies that did well in 2016 due to their exposures to volatile energy names generally lagged other credit funds during the quarter.A robust merger and financing environment continues to be a boon to event-driven strategies. §While many hedge funds invest globally,most are hedged foreign currency and did not benefit from the falling dollar in the same way as global stocks and bonds.The weaker dollar and declining interest rate volatility environment hurt macro strategies. §Real Assets:Global economic activity and inflation data continued their upswing into the first quarter.During periods of rising inflation,real assets are expected to perform well,due to a positive correlation to inflation.In particular,revenues earned by infrastructure assets often are linked to inflation which provides investors with increased income during inflationary periods. During the quarter,infrastructure surged +7.2%,and outperformed other inflation-sensitive assets such as commodities (-2.3%),real estate (+2.6%),and TIPS (+1.1%). §Private Capital Markets:Private equity fundraising 2016 momentum carried into the first quarter of 2017,as total fundraising ($156B)approached the historic 1Q 2008 figure of $170B. Transaction volume,however,continued its slide with deal counts falling -55%YoY.Deal counts saw a decline for a fifth consecutive quarter,though M&A multiples remain elevated,with the median EV/EBITDA multiple edging up to 10.2x in 1Q 2017.The pace of venture investment weakened again,although overall deal value was up incrementally due to several large deals.As venture capital-backed companies continue to remain private longer and first-time fund raises decrease,this value/volume dynamic is be expected to persist.In the first quarter,over $16.5B was deployed into more than 1,800 companies,equating to YoY declines of -12%and -24%, respectively. HF Longs HF Shorts S&P Long -Shorts 6.1% 6.8% 3.2% 0.8% 1.8% 2.7%2.5% 1.4% 4.4% 1.7% 0.5% 0% 5% 10%L/S equity managers mostly kept pace with their beta to global equity markets. Global equity markets, however, were boosted by a falling dollar, while hedge fund managers are generally FX-hedged Lower-quality and hedged strategies outperformed domestic bonds. Global stocks/bonds performed well mo stly due to FX, while FX-neutral hedge funds and long-dollar macro funds lagged. *Asset-weighted is used instead of fund-weighted, as it is available and more indicative of the universe. Sources: Bloomberg, Goldman Sachs Hedge Funds vs Long-Only: Total Returns 2017 Q1 Sources: Hedge Fund Research, Factset 8 Quarter Year To Date 1 Year 2 Years 3 Years 5 Years 7 Years 10 Years Domestic Equity Indices Dow Jones Wilshire 5000 5.6 5.6 18.3 8.9 10.0 13.2 12.9 7.6 S&P 500 6.1 6.1 17.2 9.2 10.4 13.3 12.9 7.5 Russell 1000 Index 6.0 6.0 17.4 8.6 10.0 13.3 13.0 7.6 Russell 1000 Growth Index 8.9 8.9 15.8 8.9 11.3 13.3 13.7 9.1 Russell 1000 Value Index 3.3 3.3 19.2 8.3 8.7 13.1 12.2 5.9 Russell Midcap Index 5.1 5.1 17.0 6.0 8.5 13.1 13.2 7.9 Russell Midcap Growth Index 6.9 6.9 14.1 4.2 7.9 12.0 12.8 8.1 Russell Midcap Value Index 3.8 3.8 19.8 7.6 8.9 14.1 13.4 7.5 Russell 2000 Index 2.5 2.5 26.2 6.7 7.2 12.4 12.3 7.1 Russell 2000 Growth Index 5.3 5.3 23.0 4.1 6.7 12.1 12.9 8.1 Russell 2000 Value Index -0.1 -0.1 29.4 9.3 7.6 12.5 11.6 6.1 International Equity Indices MSCI EAFE 7.2 7.2 11.7 1.2 0.5 5.8 4.7 1.1 MSCI EAFE Growth Index 8.5 8.5 7.4 1.7 1.5 6.0 5.5 2.0 MSCI EAFE Value Index 6.0 6.0 16.0 0.6 -0.6 5.6 3.9 0.0 MSCI EAFE Small Cap 8.0 8.0 11.0 7.0 3.6 9.2 8.3 3.0 MSCI AC World Index 6.9 6.9 15.0 4.9 5.1 8.4 7.8 4.0 MSCI AC World ex US 7.9 7.9 13.1 1.4 0.6 4.4 3.8 1.4 MSCI Emerging Markets Index 11.4 11.4 17.2 1.5 1.2 0.8 1.7 2.7 Fixed Income Indices Blmbg. Barc. U.S. Aggregate 0.8 0.8 0.4 1.2 2.7 2.3 3.5 4.3 Blmbg. Barc. Intermed. U.S. Government/Credit 0.8 0.8 0.4 1.2 2.0 1.9 2.9 3.8 Blmbg. Barc. U.S. Long Government/Credit 1.6 1.6 1.0 0.7 5.5 4.8 7.4 6.9 Blmbg. Barc. U.S. Corp: High Yield 2.7 2.7 16.4 5.9 4.6 6.8 7.8 7.5 BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.4 0.2 0.2 0.1 0.1 0.7 Blmbg. Barc. U.S. TIPS 1.3 1.3 1.5 1.5 2.0 1.0 3.5 4.2 Citigroup Non-U.S. World Government Bond 2.0 2.0 -4.8 1.3 -2.6 -1.5 0.6 2.6 JPM EMBI Global Diversified (external currency)3.9 3.9 8.9 6.5 6.2 5.8 6.9 7.0 JPM GBI-EM Global Diversified (local currency)6.5 6.5 5.5 1.8 -2.7 -1.6 1.1 4.1 Real Asset Indices Bloomberg Commodity Index Total Return -2.3 -2.3 8.7 -6.5 -13.9 -9.5 -5.9 -6.2 Dow Jones Wilshire REIT 0.0 0.0 2.0 3.4 10.2 9.8 12.3 4.4 Capital Markets Review Index Returns As of March 31, 2017 (Percentage Return) _________________________ Returns for periods greater than one year are annualized. 9 Performance Summary 10 Performance Summary - March 2017 During the first quarter, the Metropolitan St. Louis Sewer District pension plan outperformed its benchmark by 10 basis points (bps) returning +3.5%. On a trailing one-year basis, the Portfolio reported a gain of 7.8%, underperforming the Policy Benchmark return of 8.6%. Asset Class Diversification Current asset allocation was within investment policy targets. The Plan was slightly overweight in large-cap, small-cap, and international equity and underweight fixed income, hedge funds, and real estate. Manager Evaluation First quarter performance was favorably impacted by the following managers as they outpaced their benchmarks: Morgan Stanley International Equity, Prudential Core Plus, and Brandywine Global Opportunistic. First quarter performance was unfavorably impacted by the following managers that underperformed their benchmarks: TimesSquare Small Cap Growth, Lighthouse Global Long/Short, Entrust Capital Diversified, and UBS Trumbull Property. In February, all four large-cap managers, which included T. Rowe Price Large-Cap Core Growth, Vanguard S&P 500, Vanguard Windsor II and Holland, were liquidated. Proceeds were used to purchase shares in the BlackRock Russell 1000 Passive U.S. Equity Collective Investment Trust. Pension Plan Executive Summary 11 Pension Plan Executive Summary Capital Markets Review The S&P 500 Index returned +6.1% during the first quarter. Growth-oriented sectors led returns with Information Technology the strongest performing sector during the quarter, followed by Consumer Discretionary and Healthcare. Energy and Telecom were the only sectors to post a loss during the first quarter, marking a reversal from last year in which these were the two strongest performing sectors. Short term Treasury yields rose in the quarter, as the FOMC raised the Fed Fund’s rate 25 bps in March, but left future hike projections unchanged, signaling a more dovish tone than expected. Committee members currently are predicting two more hikes in 2017, and it’s likely that the market’s future focus will shift to the normalization of the Fed’s balance sheet. Treasury yields remained range bound on the quarter, and all major fixed income sectors posted positive absolute returns to start the year. Treasuries returned +0.7% for the quarter. Economic growth has accelerated, which should push interest rates higher across the curve, but domestic and foreign investors’ insatiable demand for longer-dated Treasuries resulted in a flatter curve over the quarter. The yield curve spread between two-year and 30-year Treasuries fell 13 bps to 175 bps. Most developed market equity indices provided similar returns in the 6% to 8% range during the quarter. Emerging Market equities bounced back significantly from the fourth quarter, returning 11.4%, led by India and South Korea. Currency gains contributed to U.S. dollar investor returns for both EAFE and emerging equity markets, as the U.S. dollar depreciated about 2.5% and 3.5%, respectively, against the EAFE and Emerging Market baskets of currencies. In yet another reversal from 2016, growth outperformed value in the first quarter. While U.S. large-cap stocks outperformed small-cap stocks across styles, within the value space mid-cap stocks were the top performers. 12 Total Composite Policy Benchmark 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception 3.4 3.4 8.6 3.4 5.7 4.8 7.8 3.5 3.5 7.8 3.0 5.2 4.9 7.3 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 3.5 3.5 7.8 3.0 5.2 4.9 7.3 24y 3m Policy Benchmark 3.4 3.4 8.6 3.4 5.7 4.8 N/A Performance Summary Total Composite vs. Policy Benchmark As of March 31, 2017 ____________ Performance is reported net of fees. See appendix for full description of the policy benchmark. 13 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 20.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 3.5 (92)3.5 (92)7.8 (97)3.0 (98)5.2 (98)6.1 (98)4.9 (91)¢£ 5th Percentile 5.5 5.5 13.8 7.0 9.4 9.4 6.8 1st Quartile 4.9 4.9 11.8 6.2 8.4 8.6 6.1 Median 4.5 4.5 10.8 5.7 7.9 8.2 5.7 3rd Quartile 4.1 4.1 9.9 5.0 7.3 7.6 5.4 95th Percentile 3.3 3.3 8.6 4.0 6.2 6.7 4.6 Performance Comparison All Public Plans <= $500 mil As of March 31, 2017 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 14 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 20.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 3.5 (89)3.5 (89)7.8 (96)3.0 (98)5.2 (97)6.1 (97)4.9 (85)¢£ 5th Percentile 5.5 5.5 13.6 6.9 9.4 9.4 6.7 1st Quartile 4.9 4.9 11.9 6.2 8.4 8.6 6.0 Median 4.5 4.5 10.9 5.6 7.8 8.1 5.6 3rd Quartile 4.0 4.0 10.0 5.0 7.2 7.6 5.2 95th Percentile 2.9 2.9 8.1 3.7 6.0 6.4 4.3 Performance Comparison All Public Plans As of March 31, 2017 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 15 -25.0 -10.0 5.0 20.0 35.0 50.0 65.0 80.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 27.1 (96)14.8 (42)25.6 (60)9.0 (6)13.7 (24)9.2 (40)0.7 (71)¢£ 5th Percentile 59.1 24.5 43.5 9.3 22.4 12.7 8.1 1st Quartile 51.4 17.5 34.2 5.2 12.6 10.1 2.4 Median 46.6 14.3 28.8 4.9 5.6 8.4 1.2 3rd Quartile 41.1 11.5 21.4 4.2 4.1 5.4 0.6 95th Percentile 28.4 7.5 13.9 2.5 1.5 3.6 0.1 Asset Allocation Comparison All Public Plans <= $500 mil As of March 31, 2017 _________________________ Parentheses contain percentile rankings. 16 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 27.1 (85)14.8 (49)25.6 (52)9.0 (7)13.7 (45)9.2 (37)0.7 (70)¢£ 5th Percentile 58.5 28.3 44.8 9.8 32.3 13.9 8.1 1st Quartile 50.5 20.4 33.4 5.3 20.5 10.1 2.5 Median 43.9 14.7 26.2 4.7 11.7 8.0 1.2 3rd Quartile 34.0 11.8 20.3 3.1 5.3 5.1 0.6 95th Percentile 19.1 7.1 12.8 0.7 2.2 2.8 0.1 Asset Allocation Comparison All Public Plans As of March 31, 2017 _________________________ Parentheses contain percentile rankings. 17 3 Years 5 Years 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)3.0 3.8 4.6 5.4 6.2 7.0 7.8 Risk (Standard Deviation %) Policy Benchmark (5.5 , 3.4) Total Composite (5.6 , 3.0) 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (5.8 , 5.7) Total Composite (6.0 , 5.2) Performance Summary Risk and Return Summary As of March 31, 2017 18 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 255,980,110 100.0 3.5 3.5 7.8 3.0 5.2 4.9 7.3 24y 3m Policy Benchmark 3.4 3.4 8.6 3.4 5.7 4.8 N/A Total Equity Composite 107,142,783 41.9 6.3 6.3 14.0 5.7 N/A N/A 8.8 3y 7m MSCI AC World IMI 6.9 6.9 16.0 5.6 9.1 4.8 8.8 Domestic Equity Composite 69,347,667 27.1 4.7 4.7 15.7 8.4 N/A N/A 11.5 3y 7m Russell 3000 Index 5.7 5.7 18.1 9.8 13.2 7.5 12.8 Large-Cap Equity Composite 53,290,328 20.8 5.0 5.0 14.5 8.9 11.6 7.2 8.6 13y 10m Russell 1000 Index 6.0 6.0 17.4 10.0 13.3 7.6 9.2 Small-Cap Equity Composite 16,057,339 6.3 4.1 4.1 19.7 6.7 12.0 8.9 11.2 13y 10m Russell 2000 Index 2.5 2.5 26.2 7.2 12.4 7.1 10.1 International Equity Composite 37,795,116 14.8 9.2 9.2 10.6 0.4 N/A N/A 3.4 3y 7m MSCI AC World ex USA Index 7.9 7.9 13.1 0.6 4.4 1.4 3.9 Developed International Equity Composite 26,804,373 10.5 8.4 8.4 9.2 0.0 5.2 1.9 4.5 17y 11m MSCI EAFE Index 7.2 7.2 11.7 0.5 5.8 1.1 3.6 Emerging International Equity Composite 10,990,743 4.3 11.3 11.3 13.7 0.7 1.4 1.8 6.9 12y MSCI Emerging Markets Index 11.4 11.4 17.2 1.2 0.8 2.7 7.3 Fixed Income Composite 88,678,400 34.6 2.2 2.2 2.0 1.5 2.3 4.6 4.4 13y 9m Barclays Intermediate U.S. Government/Credit 0.8 0.8 0.4 2.0 1.9 3.8 3.5 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2017 _________________________ Performance is reported net of fees. 19 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2017 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Funds Composite 34,978,122 13.7 1.9 1.9 5.8 N/A N/A N/A 0.8 2y 1m HFRI Fund of Funds Composite Index 2.4 2.4 6.2 1.8 3.2 1.2 0.4 60% MSCI ACWI / 40% BC Agg 4.4 4.4 9.0 4.3 6.1 4.5 3.1 Real Estate Composite.23,450,554 9.2 0.9 0.9 5.1 8.9 8.9 4.7 8.0 39y 3m NCREIF Property Index 1.5 1.5 7.3 10.6 10.7 6.7 9.3 Cash Account 1,730,251 0.7 0.2 0.2 0.9 0.6 0.4 0.7 1.3 13y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.4 0.2 0.1 0.7 1.3 _________________________ Performance is reported net of fees. 20 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Domestic Large-Cap Equity Managers Blackrock Russell 1000 Index Fund Non-Lending 53,290,273 20.8 6.0 (48)6.0 (48)17.4 (34)10.0 (19)13.3 (13)7.6 (30)0.1 (54)0y 1m Russell 1000 Index 6.0 (47)6.0 (47)17.4 (33)10.0 (19)13.3 (13)7.6 (30)0.1 (53) IM U.S. Large Cap Equity 5.9 5.9 16.0 8.4 11.8 6.8 0.1 Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 8,294,807 3.2 4.0 (17)4.0 (17)21.7 (13)7.8 (33)12.2 (59)N/A 10.4 (1)9y 3m Russell Midcap Value Index 3.8 (24)3.8 (24)19.8 (38)8.9 (17)14.1 (16)7.5 (22)8.8 (29) IM U.S. Mid Cap Value Equity 3.1 3.1 19.1 7.4 12.5 6.5 7.5 TimesSquare Small Cap Growth Fund 7,762,532 3.0 4.0 (50)4.0 (50)17.4 (91)5.1 (41)11.4 (42)9.3 (11)9.8 (5)15y 2m Russell 2000 Growth Index 5.3 (27)5.3 (27)23.0 (53)6.7 (33)12.1 (20)8.1 (16)8.0 (36) IM U.S. Small Cap Growth Equity 3.9 3.9 24.1 4.1 11.0 7.3 7.7 Developed International Equity Manager Morgan Stanley International Equity Fund I 26,804,373 10.5 8.4 (54)8.4 (54)9.0 (74)0.0 (66)5.2 (45)1.9 (43)4.2 (67)12y MSCI EAFE Index 7.2 (78)7.2 (78)11.7 (54)0.5 (56)5.8 (32)1.1 (61)4.3 (64) IM International Equity 8.7 8.7 12.1 0.8 4.9 1.5 5.0 Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 10,990,743 4.3 11.3 (59)11.3 (59)13.6 (72)0.8 (55)1.4 (39)1.8 (59)7.0 (43)12y MSCI Emerging Markets Index 11.4 (56)11.4 (56)17.2 (46)1.2 (48)0.8 (57)2.7 (40)7.3 (35) IM Emerging Markets Equity 11.8 11.8 16.6 1.0 1.0 2.2 6.8 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2017 _________________________ Performance is reported net of fees. 21 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2017 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 35,901,007 14.0 0.7 (48)0.7 (48)0.7 (50)2.0 (19)2.1 (21)4.4 (6)4.8 (5)15y 9m Barclays Intermediate U.S. Government/Credit 0.8 (27)0.8 (27)0.4 (57)2.0 (19)1.9 (31)3.8 (18)4.2 (15) IM U.S. Intermediate Duration Fixed Income 0.7 0.7 0.7 1.5 1.4 3.2 3.7 Prudential Core Plus Bond Fund 29,624,053 11.6 1.7 (19)1.7 (19)3.8 (29)3.9 (7)4.2 (5)5.9 (6)3.2 (9)1y 10m Blmbg. Barc. U.S. Aggregate 0.8 (97)0.8 (97)0.4 (99)2.7 (50)2.3 (86)4.3 (78)1.6 (69) IM U.S. Broad Market Core+ Fixed Income 1.3 1.3 2.9 2.7 3.0 4.9 2.0 Brandywine Global Opportunistic Fixed Income 23,153,340 9.0 5.2 (4)5.2 (4)1.9 (41)1.1 (38)2.8 (20)5.8 (1)5.4 (3)12y 3m Citigroup World Government Bond Index 1.6 (64)1.6 (64)-3.7 (91)-1.2 (87)-0.6 (88)3.0 (65)2.5 (73) IM Global Fixed Income 2.0 2.0 1.4 0.4 1.3 3.5 3.3 _________________________ Performance is reported net of fees. 22 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2017 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Fund Managers Lighthouse Global Long/Short Fund Limited 18,672,566 7.3 2.8 2.8 8.0 4.8 7.1 4.6 4.0 2y 1m HFRI Equity Hedge (Total) Index 3.9 3.9 11.6 3.0 4.9 3.0 3.2 Entrust Capital Diversified Fund 16,305,556 6.4 0.8 0.8 3.3 -2.6 2.0 2.5 -4.8 1y 8m HFRI Fund of Funds Composite Index 2.4 2.4 6.2 1.8 3.2 1.2 -0.2 Real Estate Manager UBS Trumbull Property Fund 23,450,554 9.2 0.9 0.9 5.1 8.9 8.9 4.7 5.7 10y 10m NCREIF Property Index 1.5 1.5 7.3 10.6 10.7 6.7 7.4 Cash Account 1,730,251 0.7 0.2 0.2 0.9 0.6 0.4 0.7 1.3 13y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.4 0.2 0.1 0.7 1.3 Total Composite 255,980,110 100.0 3.5 3.5 7.8 3.0 5.2 4.9 7.3 24y 3m _________________________ Performance is reported net of fees. 23 YTD 2016 2015 2014 2013 2012 2011 2010 Total Fund Total Composite 3.5 5.1 -0.7 2.9 10.9 12.1 1.2 11.2 Policy Benchmark 3.4 6.6 -1.4 3.5 12.3 11.6 1.1 11.5 Domestic Equity Blackrock Russell 1000 Index Fund Non-Lending 6.0 (48)12.1 (31)0.9 (46)13.2 (17)33.1 (44)16.4 (34)1.5 (23)16.1 (23) Russell 1000 Index 6.0 (47)12.1 (31)0.9 (46)13.2 (17)33.1 (44)16.4 (34)1.5 (23)16.1 (23) IM U.S. Large Cap Equity Median 5.9 9.3 0.3 10.9 32.5 15.3 -1.4 13.4 Kennedy Mid Cap Value 4.0 (17)22.9 (13)-9.9 (86)15.8 (5)33.3 (73)13.6 (86)-0.8 (20)27.0 (10) Russell Midcap Value Index 3.8 (24)20.0 (41)-4.8 (45)14.7 (11)33.5 (73)18.5 (25)-1.4 (27)24.8 (32) IM U.S. Mid Cap Value Equity 3.1 18.5 -5.9 10.6 36.0 16.2 -4.2 22.2 TimesSquare Small Cap Growth 4.0 (50)8.4 (65)1.0 (17)-2.5 (82)47.7 (23)13.1 (34)2.6 (5)27.3 (49) Russell 2000 Growth Index 5.3 (27)11.3 (57)-1.4 (34)5.6 (12)43.3 (45)14.6 (23)-2.9 (31)29.1 (33) IM U.S. Small Cap Growth Equity 3.9 12.8 -4.2 1.5 42.4 11.6 -4.7 27.1 International Equity Morgan Stanley International Equity Fund I 8.4 (54)-2.0 (79)0.4 (31)-6.1 (68)20.4 (38)19.6 (40)-7.6 (7)6.1 (89) MSCI EAFE Index 7.2 (78)1.0 (57)-0.8 (38)-4.9 (55)22.8 (24)17.3 (64)-12.1 (27)7.8 (80) IM International Equity 8.7 1.8 -2.8 -4.5 17.4 18.6 -14.9 12.9 Morgan Stanley Emerging Markets Fund I 11.3 (59)6.7 (59)-10.3 (26)-4.5 (69)-0.8 (46)20.2 (32)-18.4 (35)18.5 (48) MSCI Emerging Markets Index 11.4 (56)11.2 (30)-14.9 (57)-2.2 (43)-2.6 (58)18.2 (56)-18.4 (36)18.9 (44) IM Emerging Markets Equity 11.8 8.3 -14.1 -3.0 -1.5 18.8 -19.5 18.3 Fixed Income Income Research 0.7 (48)2.3 (33)0.9 (20)3.3 (32)-0.9 (41)5.9 (16)5.6 (41)6.2 (22) Blmbg. Barc. Intermed. U.S. Government/Credit 0.8 (27)2.1 (41)1.1 (16)3.1 (36)-0.9 (39)3.9 (35)5.8 (36)5.9 (31) IM U.S. Intermediate Duration Fixed Income 0.7 1.7 0.4 2.1 -1.3 2.9 5.0 5.1 Performance Summary Manager Performance As of March 31, 2017 24 Performance Summary Manager Performance As of March 31, 2017 YTD 2016 2015 2014 2013 2012 2011 2010 Prudential Core Plus Bond Fund 1.7 (19)5.8 (15)-0.1 (46)7.1 (14)-1.0 (49)10.6 (11)7.6 (20)9.6 (30) Blmbg. Barc. U.S. Aggregate 0.8 (97)2.6 (83)0.5 (15)6.0 (36)-2.0 (78)4.2 (98)7.8 (14)6.5 (87) IM U.S. Broad Market Core+ Fixed Income 1.3 4.2 -0.2 5.3 -1.1 8.3 5.9 8.3 Brandywine Global Opportunistic Fixed Income 5.2 (4)5.2 (24)-8.4 (97)6.3 (11)-3.5 (70)14.1 (5)8.0 (7)13.9 (1) Citigroup World Government Bond Index 1.6 (64)1.6 (78)-3.6 (45)-0.5 (80)-4.0 (78)1.6 (99)6.4 (17)5.2 (63) IM Global Fixed Income 2.0 3.4 -3.8 1.9 -2.5 7.3 4.1 6.0 Hedge Funds Lighthouse Global Long/Short Fund Limited 2.8 0.2 7.4 4.9 20.2 6.1 -2.1 5.2 HFRI Equity Hedge (Total) Index 3.9 5.5 -1.0 1.8 14.3 7.4 -8.4 10.5 Entrust Capital Diversified Fund 0.8 -1.1 -7.3 1.8 13.2 7.4 -4.7 11.1 HFRI Fund of Funds Composite Index 2.4 0.5 -0.3 3.4 9.0 4.8 -5.7 5.7 Real Estate UBS Trumbull Property Fund 0.9 6.0 11.7 10.4 9.2 9.0 12.1 15.9 NCREIF Property Index 1.5 8.0 13.3 11.8 11.0 10.5 14.3 13.1 Cash Account 0.2 0.8 0.1 0.6 0.1 0.1 0.1 -1.6 BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.3 0.1 0.0 0.1 0.1 0.1 0.1 25 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Return (%)9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 Risk (Standard Deviation %) Russell 1000 Index MSCI Emerging Markets MSCI EAFE Russell 2000 Growth Russell Midcap Value Kennedy Mid Cap Value TimesSquare Small Cap Growth Morgan Stanley Emerging Markets Morgan Stanley International Equity BlackRock Russell 1000 Index Fund Non-Lending Performance Summary Risk and Return Summary - Equity Managers 5 Years Ending March 31, 2017 26 -1.4 -0.7 0.0 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 Return (%)0.0 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0 7.7 8.4 9.0 Risk (Standard Deviation %) Citigroup World Government Bond Index BC Intermediate U.S. Government/Credit Blmbg. Barc. U.S. Aggregate Prudential Core Plus Bond Fund Income Research Brandywine Global Performance Summary Risk and Return Summary - Fixed Income Managers 5 Years Ending March 31, 2017 27 -10.0 -6.0 -2.0 2.0 6.0 10.0 14.0 18.0 22.0 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund HFRI Equity Hedge (Total) Index NCREIF Property Index Lighthouse Global Long/Short Fund Limited UBS TPF Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending March 31, 2017 28 Manager Compliance Checklist First Quarter 2017 Ma na ge rs Bl ackRo ck Ru sse ll 1000 Ke nne dy Ti mesS qua re Morga n Stanle y I nt'l Morga n Stanle y EM Incom e Re se arch Or gani zati onal /Produ ct Is sues No ma teria l c hanges to investment team ++++++ No ma teria l o rg aniza tional c hanges +--+++ Accounting or regulatory concerns ++++++ Cu rre ntly in adherence to guidelin es ++++++ Po rt fo lio ch aracteris tics me et stylis tic expectations ++++++ Re lati ve Perfor mance 1 Th ree-year re turn better than benchmark N/A ----In-Lin e Th ree-year ra nkin g better than peer group median +++--+ Five year re turn better than benchmark N/A ---++ 1 Manager performance is evaluated net of investment management fees. Five year re turn better than benchmark N/A ---++ Five year ra nkin g better than peer group media n +-++++ Perfor ma nc e s tatus ++++++ Da te perfo rmance s tatus changed Summa ry status ++++++ Da te s umma ry status changed 29 Manager Compliance Checklist First Quarter 2017 Ma na ge rs Prude ntia l Br andyw ine Gl oba l Li ghthouse En trust UBS Or gani zati onal /Produ ct Is sues No ma teria l c hanges to investment team +++++ No ma teria l o rg aniza tional c hanges +++-+ Accounting or regulatory concerns +++++ Cu rre ntly in adherence to guidelin es +++++ Po rt fo lio ch aracteris tics me et stylis tic expectations +++++ Re lati ve Perfor mance 1 Th ree-year re turn better than benchmark +++-- Th ree-year ra nkin g better than peer group median ++N/A N/A N/A Five year re turn better than benchmark +++-- 1 Manager performance is evaluated net of investment management fees. Five year re turn better than benchmark +++-- Five year ra nkin g better than peer group media n ++N/A N/A N/A Perfor ma nc e s tatus +++-+ Da te perfo rmance s tatus changed 4Q 16 Summa ry status +++++ Da te s umma ry status changed 30 Manager Compliance Issue Explanation Recommended Action Comments EnTrust Organizational Changes/ Performance EnTrust combined their business with that of The Permal Group, a global alternative asset manager that was established in 1973 and acquired by Legg Mason in 2005. The deal closed in mid –2016. Gregg Hymowitz now serves as the Chairman and Chief Executive Officer of EnTrustPermal, as well as continue to be the Chair of the EnTrustPermal Global Investment Committee. Hold Pavilion will be reviewing the effects of the combination and advise you if we see any organizational risk that may impair the investment process. After producing solid results relative to the HFRI Fund of Funds Composite Index in calendar years 2009-2013, Entrust has struggled the past three years. The strategy has also experienced outflows as of late, with assets at approximately $3 billion, down from a peak in 2014 of over $5 billion. We will be watching the performance of this fund closely during 2017. Manager Compliance Checklist First Quarter 2017 Entrust trailed the HFRI Fund of Funds Composite Index over the three-and five-year periods by 440 and 120 basis points, respectively. closely during 2017. 31 Asset Class Diversification 32 March 31, 2017 : $255,980,110 Target Allocation Actual Allocation Allocation Differences 0.0%6.0%12.0%18.0%24.0%30.0%36.0%42.0%-6.0 %-12.0 % Cash Account $1,730,251 Real Estate Composite $23,450,554 Hedge Funds Composite $34,978,122 Fixed Income Composite $88,678,400 Emerging International Equity Composite $10,990,743 Developed International Equity Composite $26,804,373 Small-Cap Equity Composite $16,057,339 Large-Cap Equity Composite $53,290,328 0.0% 10.0% 15.0% 35.0% 4.0% 10.0% 6.0% 20.0% 0.7% 9.2% 13.7% 34.6% 4.3% 10.5% 6.3% 20.8% 0.7% -0.8 % -1.3 % -0.4 % 0.3% 0.5% 0.3% 0.8% Asset Class Diversification Investment Policy Allocation As of March 31, 2017 33 Asset Class Diversification Investment Program Structure As of March 31, 2017 Asse t Cl as s/Type Manager Total Asse ts ($, mil.) as of 3/31/2017 Pe rce nt of Total Targ et Allocati on Weighting Re lati ve to Targe t Al lowabl e Range To tal Assets ($, mil.) as of 12/31/2016 Large-Cap Equi ty $53.3 20.8%20.0%+0.8%15 -25%$51.9 Co re Va nguard Instit utio nal $0.0 0.0%0.0%+0.0%$16.9 Va lu e Va nguard Winds or $0.0 0.0%0.0%+0.0%$12.8 Gr owth T. Rowe Pric e $0.0 0.0%0.0%+0.0%$12.2 Gr owth Ho lla nd $0.0 0.0%0.0%+0.0%$9.9 Co re Bla ckRo ck $53.3 20.8%20.0%+0.8%$0.0 Small-Cap Equity $16.1 6.3%6.0%+0.3%2 -8%$16.8 Va lu e Ke nnedy $8.3 3.2%3.0%+0.2%$8.6 Gr owth Time sSquare $7.8 3.0%3.0%+0.0%$8.1 Inte rnati onal Equi ty $37.8 14.8%14.0%+0.8%$35.9 De veloped Morgan Stanley $26.8 10.5%10.0%+0.5%5 -15%$26.0 *Totals may not add to exactly 100.0% due to rounding. De veloped Morgan Stanley $26.8 10.5%10.0%+0.5%5 -15%$26.0 Eme rg in g Marke ts Morgan Stanley $11.0 4.3%4.0%+0.3%2 -8%$9.9 Fixed Income $88.7 34.6%35.0%-0.4%$86.7 Do me stic Co re In come Res earch $35.9 14.0%14.0%+0.0%10 -20%$35.6 Gl obal Bra ndywin e Glo bal $23.2 9.0%9.0%+0.0%4 -14%$22.0 Do me stic Co re Plus Pru dential $29.6 11.6%12.0%-0.4%10 -20%$29.1 He dge Funds $35.0 13.7%15.0%-1.3%0 -20% $34.3 He dge Funds Lig hthous e Glo bal $18.7 7.3%7.5%-0.2%$18.2 He dge Funds En trus t $16.3 6.4%7.5%-1.1%$16.2 Re al Es tate $23.5 9.2%10.0%-0.8%$23.2 Re al Es tate UBS T ru mb ull $23.5 9.2%10.0%-0.8%0 -12%$23.2 Cash $1.7 0.7%0.0%+0.7%$2.3 Ca sh Acco unt Ca sh Account $1.7 0.7%0.0%+0.7%$2.3 To tal $256.0 100.0%100.0%-0.0%$251.2 34 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)98,267 93,537 Median Mkt. Cap ($M)8,569 1,565 Price/Earnings ratio 21.1 19.2 Price/Book ratio 3.0 2.6 5 Yr. EPS Growth Rate (%)10.5 8.7 Current Yield (%)2.0 2.4 Debt to Equity 0.9 1.1 Number of Stocks 1,277 8,575 Beta (3 Years, Monthly)0.95 1.00 Consistency (3 Years, Monthly)50.00 1.00 Sharpe Ratio (3 Years, Monthly)0.58 0.56 Information Ratio (3 Years, Monthly)0.01 - Up Market Capture (3 Years, Monthly)99.14 - Down Market Capture (3 Years, Monthly)98.48 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 1.7 1.7 0.0 24.6 Unilever NV 1.6 0.2 1.4 21.7 Reckitt Benckiser Group PLC 1.4 0.1 1.3 7.0 L'Oreal S.A., Paris 1.2 0.1 1.1 5.3 Microsoft Corp 1.1 1.1 0.0 6.6 Novartis AG 1.0 0.4 0.6 5.6 Tencent Holdings LTD 1.0 0.4 0.6 17.2 Pernod-Ricard 0.9 0.1 0.8 9.2 Nestle SA, Cham Und Vevey 0.9 0.5 0.4 6.8 Roche Holding AG 0.9 0.4 0.5 15.3 % of Portfolio 11.7 5.0 Distribution of Market Capitalization (%) Equity Composite MSCI AC World IMI 0.0 15.0 30.0 45.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 33.3 30.0 22.4 14.3 0.0 36.3 26.6 24.6 10.9 1.6 Sector Weights (%) Equity Composite MSCI AC World IMI 0.0 4.0 8.0 12.0 16.0 20.0 24.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 1.6 2.3 2.4 3.4 5.3 18.1 12.2 11.5 14.0 5.2 12.5 11.5 0.0 3.1 3.0 4.1 5.7 16.1 11.6 10.9 17.8 6.3 8.9 12.4 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World IMI As of March 31, 2017 35 Total Equity Composite MSCI AC World IMI Australia 0.0 2.5 Hong Kong 2.2 2.2 Japan 4.7 8.0 New Zealand 0.0 0.1 Singapore 0.2 0.7 Pacific 7.1 13.5 Austria 0.1 0.1 Belgium 0.0 0.4 Finland 0.0 0.3 France 4.2 2.9 Germany 2.4 2.9 Ireland 1.3 1.1 Italy 0.0 0.7 Netherlands 2.6 1.2 Portugal 0.2 0.1 Spain 0.0 1.1 EMU 10.7 10.9 Denmark 0.0 0.5 Norway 0.0 0.3 Sweden 0.3 1.1 Switzerland 3.9 2.9 United Kingdom 4.4 6.4 Europe ex EMU 8.6 11.2 Canada 1.0 3.3 United States 62.0 51.1 Israel 0.0 0.3 Middle East 0.0 0.3 Developed Markets 89.5 90.2 Total Equity Composite MSCI AC World IMI Brazil 0.8 0.8 Cayman Islands 0.0 0.0 Chile 0.1 0.1 Colombia 0.1 0.0 Mexico 0.6 0.4 Peru 0.1 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.6 1.4 China 1.2 1.6 India 0.8 1.0 Indonesia 0.5 0.3 Korea 1.4 1.7 Malaysia 0.2 0.3 Philippines 0.4 0.1 Taiwan 0.8 1.4 Thailand 0.2 0.3 EM Asia 5.5 6.7 Czech Republic 0.1 0.0 Egypt 0.1 0.0 Greece 0.0 0.0 Hungary 0.1 0.0 Poland 0.3 0.1 Qatar 0.0 0.1 Russia 0.2 0.4 South Africa 0.5 0.7 Turkey 0.0 0.1 United Arab Emirates 0.0 0.1 EM Europe + Middle East + Africa 1.3 1.6 Emerging Markets 8.3 9.7 Frontier Markets 0.4 0.0 Cash 1.6 0.0 Other 0.3 0.1 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World IMI As of March 31, 2017 36 Portfolio Characteristics Maturity Distribution (%) Credit Quality Distribution (%) Risk Characteristics - 3 Years Sector Distribution (%) Portfolio Benchmark Effective Duration 5.2 4.1 Avg. Maturity 7.6 4.4 Avg. Quality A AA Yield To Maturity (%)3.3 2.1 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated64.0 6.2 12.9 16.9 0.0 0.0 0.0 0.0 42.2 9.2 16.9 23.1 4.9 2.4 0.5 0.9 Consistency Sharpe Ratio Information Ratio Up Market Capture Down Market Capture Total Fixed Income Composite 52.8 0.4 -0.2 128.4 184.7 Barclays Intermediate U.S. Government/Credit 0.0 0.9 N/A 100.0 100.0 90 Day U.S. Treasury Bill 41.7 N/A -0.9 2.9 -1.1 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 36.7 29.1 34.2 0.0 0.0 9.8 17.3 25.0 31.0 5.5 11.5 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.9 3.4 26.3 0.0 0.0 0.0 11.3 2.1 0.0 0.0 0.0 0.0 19.6 0.3 29.9 3.4 1.7 10.8 13.7 5.5 1.4 3.1 3.7 7.1 Fixed Income Portfolio - Characteristics Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2017 37 Manager Evaluation 38 Historical Performance Three Year Rolling Percentile Ranking Relative Performance Historical Statistics - Monthly Periodicity (Apr-2012 - Mar-2017) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 BlackRock Russell 1000 Index Fund Non-Lending 6.0 6.0 17.4 10.0 13.3 7.6 12.1 0.9 13.2 33.1 16.4 1.5 16.1 28.5 -37.6 5.8 Russell 1000 Index 6.0 6.0 17.4 10.0 13.3 7.6 12.1 0.9 13.2 33.1 16.4 1.5 16.1 28.4 -37.6 5.8 IM U.S. Large Cap Equity 5.9 5.9 16.0 8.4 11.8 6.8 9.3 0.3 10.9 32.5 15.3 -1.4 13.4 28.2 -37.9 7.0 BlackRock Russell 1000 Index Fund Non-Lending Rank 48 48 34 19 13 30 31 46 17 44 34 23 23 49 47 57 BlackRock Russell 1000 Index Fund Non-Lending Russell 1000 Index 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 Cumulative Annualized Over/Under Relative Performance Over/Under Performance 0.0 0.1 -0.1 -0.2Return (%)6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date BlackRock Russell 1000 Index Fund Non-Lending 13.3 10.2 12.9 0.0 1.0 1.3 0.0 -0.3 5.6 45.0 14y Russell 1000 Index 13.3 10.2 12.9 0.0 1.0 1.3 0.0 N/A 5.6 0.0 14y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.2 -1.3 0.0 30.0 14y Manager Evaluation BlackRock Russell 1000 Index Fund Non-Lending vs. Russell 1000 Index As of March 31, 2017 39 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)147,060 147,060 Median Mkt. Cap ($M)9,019 9,019 Price/Earnings ratio 21.3 21.3 Price/Book ratio 3.2 3.2 5 Yr. EPS Growth Rate (%)11.7 11.7 Current Yield (%)2.0 2.0 Debt to Equity 1.1 1.1 Number of Stocks 997 997 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)45.00 1.00 Sharpe Ratio (5 Years, Monthly)1.27 1.27 Information Ratio (5 Years, Monthly)-0.28 - Up Market Capture (5 Years, Monthly)99.96 - Down Market Capture (5 Years, Monthly)99.96 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 3.5 3.5 0.0 24.6 Microsoft Corp 2.2 2.2 0.0 6.6 Amazon.com Inc 1.5 1.5 0.0 18.2 Johnson & Johnson 1.5 1.5 0.0 8.8 Exxon Mobil Corp 1.5 1.5 0.0 -8.3 Berkshire Hathaway Inc 1.4 1.4 0.0 2.3 JPMorgan Chase & Co 1.4 1.4 0.0 2.4 Facebook Inc 1.4 1.4 0.0 23.5 General Electric Co 1.2 1.2 0.0 -4.9 AT&T Inc 1.1 1.1 0.0 -1.1 % of Portfolio 16.7 16.7 Distribution of Market Capitalization (%) BlackRock Russell 1000 Index Fund Non-Lending Russell 1000 Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 49.0 28.9 18.8 3.3 49.0 28.9 18.8 3.3 Sector Weights (%) BlackRock Russell 1000 Index Fund Non-Lending Russell 1000 Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.1 2.3 3.7 3.2 21.4 10.4 13.4 14.6 6.3 8.8 12.8 3.1 2.3 3.7 3.2 21.4 10.4 13.4 14.6 6.3 8.8 12.8 Manager Evaluation BlackRock Russell 1000 Index Fund Non-Lending vs. Russell 1000 Index As of March 31, 2017 40 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2012 - Mar - 2017)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Kennedy Mid Cap Value 4.0 4.0 21.7 7.8 12.2 N/A 22.9 -9.9 15.8 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A Russell Midcap Value Index 3.8 3.8 19.8 8.9 14.1 7.5 20.0 -4.8 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 IM U.S. Mid Cap Value Equity 3.1 3.1 19.1 7.4 12.5 6.5 18.5 -5.9 10.6 36.0 16.2 -4.2 22.2 36.5 -38.2 0.8 Kennedy Mid Cap Value Rank 17 17 13 33 59 N/A 13 86 5 73 86 20 10 54 1 N/A Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 10.0 12.0 14.0 16.0 18.0 Return (%)8.0 8.5 9.0 9.5 10.0 10.5 11.0 11.5 12.0 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value Average Active Weight 0.0 3.0 6.0 9.0-3.0-6.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -1.4 -1.4 -1.1 -1.8 2.4 -0.4 -0.5 -1.8 -0.2 -0.5 2.5 4.2 Allocation (Total: 0.1) 0.0 0.2 0.4-0.2-0.4 0.0 0.1 0.0 0.0 0.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 Stock (Total: 0.4) 0.0 0.8 1.6-0.8-1.6 0.1 0.0 -0.1 0.2 0.2 -0.2 0.3 -0.4 -0.2 -0.2 0.7 0.0 Kennedy Mid Cap Value 0.0 0.5 1.0 1.5-0.5-1.0 0.1 0.1 -0.1 0.2 0.4 -0.2 0.3 -0.4 -0.2 -0.3 0.8 -0.1 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of March 31, 2017 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 41 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)10,316 13,869 Median Mkt. Cap ($M)8,529 6,649 Price/Earnings ratio 21.1 19.6 Price/Book ratio 2.3 2.1 5 Yr. EPS Growth Rate (%)14.2 9.8 Current Yield (%)1.9 2.2 Debt to Equity 1.0 1.0 Number of Stocks 57 565 Beta (5 Years, Monthly)1.11 1.00 Consistency (5 Years, Monthly)53.33 1.00 Sharpe Ratio (5 Years, Monthly)0.99 1.27 Information Ratio (5 Years, Monthly)-0.48 - Up Market Capture (5 Years, Monthly)100.27 - Down Market Capture (5 Years, Monthly)117.02 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) ON Semiconductor Corp 3.0 0.2 2.8 21.4 Reinsurance Group of America Inc.3.0 0.2 2.8 1.2 Western Digital Corp 2.4 0.7 1.7 22.2 Centene Corp 2.3 0.1 2.2 26.1 East West Bancorp Inc.2.3 0.2 2.1 1.9 Huntington Bancshares Inc 2.3 0.4 1.9 1.9 Old Dominion Freight Line Inc 2.3 0.1 2.2 -0.1 Reliance Steel & Aluminum Co 2.2 0.2 2.0 1.2 Torchmark Corp 2.2 0.3 1.9 4.8 PacWest Bancorp 2.2 0.2 2.0 -1.3 % of Portfolio 24.2 2.6 Distribution of Market Capitalization (%) Kennedy Capital Management Russell Midcap Value Index 0.0 25.0 50.0 75.0 100.0 $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 25.5 61.0 13.5 0.0 11.5 73.6 10.8 4.1 Sector Weights (%) Kennedy Capital Management Russell Midcap Value Index 0.0 5.0 10.0 15.0 20.0 25.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 4.1 9.7 0.0 12.0 5.8 12.2 12.0 4.1 17.4 9.2 2.4 11.0 0.0 11.2 1.2 13.9 6.1 9.5 12.9 4.1 19.6 9.6 3.3 8.6 Manager Evaluation Kennedy Capital Management vs. Russell Midcap Value Index As of March 31, 2017 42 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2012 - Mar - 2017)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 TimesSquare Small Cap Growth 4.0 4.0 17.4 5.1 11.4 9.3 8.4 1.0 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 Russell 2000 Growth Index 5.3 5.3 23.0 6.7 12.1 8.1 11.3 -1.4 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 IM U.S. Small Cap Growth Equity 3.9 3.9 24.1 4.1 11.0 7.3 12.8 -4.2 1.5 42.4 11.6 -4.7 27.1 33.1 -42.7 7.5 TimesSquare Small Cap Growth Rank 50 50 91 41 42 11 65 17 82 23 34 5 49 41 1 35 TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 11.2 11.9 12.6 13.3 Return (%)12.6 12.7 Risk (Standard Deviation %) Russell 2000 Growth Index TimesSquare Small Cap Growth Average Active Weight 0.0 15.0 30.0-15.0-30.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.2 1.2 -1.2 -2.7 3.5 8.4 -8.5 -4.1 2.0 -1.7 -1.5 5.0 Allocation (Total: -1.4) 0.0 0.4-0.4-0.8-1.2 0.0 -0.1 0.0 -0.1 0.0 -0.3 -0.6 0.1 -0.4 0.1 0.0 -0.3 Stock (Total: 0.0) 0.0 0.6 1.2 1.8-0.6-1.2 -0.2 0.1 0.1 -0.1 -0.3 0.7 0.0 0.1 0.0 0.1 -0.5 0.0 TimesSquare Small Cap Growth 0.0 0.4 0.8-0.4-0.8-1.2 -0.2 0.0 0.1 -0.2 -0.3 0.4 -0.5 0.1 -0.4 0.2 -0.4 -0.3 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2017 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 43 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)2,231 2,395 Median Mkt. Cap ($M)1,922 915 Price/Earnings ratio 31.4 26.8 Price/Book ratio 3.7 3.9 5 Yr. EPS Growth Rate (%)12.2 12.6 Current Yield (%)0.8 0.8 Debt to Equity 0.2 1.0 Number of Stocks 95 1,157 Beta (5 Years, Monthly)0.85 1.00 Consistency (5 Years, Monthly)46.67 1.00 Sharpe Ratio (5 Years, Monthly)0.87 0.83 Information Ratio (5 Years, Monthly)-0.22 - Up Market Capture (5 Years, Monthly)86.36 - Down Market Capture (5 Years, Monthly)81.28 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) On Assignment Inc 2.4 0.3 2.1 9.9 MKS Instruments Inc 2.2 0.0 2.2 16.0 Bright Horizons Family Solutions Inc 2.0 0.3 1.7 3.5 j2 Global Inc 1.9 0.4 1.5 3.0 Ultimate Software Group Inc 1.8 0.0 1.8 7.1 Kennedy-Wilson Holdings Inc 1.8 0.1 1.7 9.2 WEX Inc 1.7 0.0 1.7 -7.3 Albany International Corp.1.7 0.0 1.7 -0.2 Monro Muffler Brake Inc 1.7 0.2 1.5 -8.6 PolyOne Corp 1.6 0.3 1.3 6.8 % of Portfolio 18.8 1.6 Distribution of Market Capitalization (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 50.0 100.0 150.0 $5 Bil - $20 Bil $0 - $5 Bil Cash 4.8 95.2 0.03.3 91.6 5.1 Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 5.1 0.5 2.1 4.0 2.8 28.4 24.5 9.4 3.2 3.4 1.7 14.9 0.0 0.8 0.8 5.4 5.5 25.0 15.9 21.8 5.7 1.2 3.0 14.8 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2017 44 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2012 - Mar - 2017)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Morgan Stanley International Equity 8.4 8.4 9.0 0.0 5.2 1.9 -2.0 0.4 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 MSCI EAFE Index 7.2 7.2 11.7 0.5 5.8 1.1 1.0 -0.8 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 IM International Equity 8.7 8.7 12.1 0.8 4.9 1.5 1.8 -2.8 -4.5 17.4 18.6 -14.9 12.9 36.4 -46.0 13.2 Morgan Stanley International Equity Rank 54 54 74 66 45 43 79 31 68 38 40 7 89 92 3 70 Morgan Stanley International Equity MSCI EAFE Index 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 4.8 5.4 6.0 6.6 Return (%)8.8 9.2 9.6 10.0 10.4 10.8 11.2 11.6 12.0 Risk (Standard Deviation %) MSCI EAFE Index Morgan Stanley International Equity Average Active Weight 0.0 20.0 40.0-20.0-40.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary -3.4 -1.9 -3.1 1.2 1.5 -1.4 5.8 -10.2 -2.8 21.1 -6.9 Allocation (Total: 0.9) 0.0 0.3 0.6-0.3 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.3 0.4 0.1 Stock (Total: 0.3) 0.0 0.4 0.8-0.4-0.8 0.0 -0.3 -0.1 0.4 0.1 0.1 0.3 -0.2 0.2 0.0 -0.2 Morgan Stanley International Equity 0.0 0.3 0.6 0.9-0.3-0.6 0.0 -0.3 -0.1 0.4 0.2 0.0 0.4 -0.2 0.4 0.4 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2017 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 45 Total Attribution 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4-0.2-0.4-0.6 Pacific Other North America Middle East Europe ex EMU EMU EM Asia 0.1 0.0 0.2 0.0 -0.1 0.7 0.0 Performance Attribution Average Active Weight 0.0 10.0 20.0-10.0-20.0-30.0 Pacific Other North America Middle East Europe ex EMU EMU EM Asia -14.6 -0.3 4.3 -0.7 8.9 0.9 1.4 Allocation (Total: 0.6) 0.0 0.3 0.6 0.9-0.3-0.6 0.1 0.0 0.6 0.0 -0.1 0.0 0.0 Stock (Total: 0.4) 0.0 0.4 0.8 1.2-0.4-0.8 0.0 0.0 -0.3 0.0 0.0 0.7 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index 1 Quarter Ending March 31, 2017 46 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)74,925 55,723 Median Mkt. Cap ($M)26,127 9,745 Price/Earnings ratio 21.1 18.3 Price/Book ratio 2.9 2.1 5 Yr. EPS Growth Rate (%)6.9 3.9 Current Yield (%)2.4 3.2 Debt to Equity 0.7 1.2 Number of Stocks 63 929 Beta (5 Years, Monthly)0.89 1.00 Consistency (5 Years, Monthly)40.00 1.00 Sharpe Ratio (5 Years, Monthly)0.47 0.49 Information Ratio (5 Years, Monthly)-0.20 - Up Market Capture (5 Years, Monthly)92.24 - Down Market Capture (5 Years, Monthly)93.71 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Unilever NV 6.3 0.6 5.7 21.7 Reckitt Benckiser Group PLC 5.7 0.4 5.3 7.0 L'Oreal S.A., Paris 5.0 0.4 4.6 5.3 Novartis AG 4.2 1.3 2.9 5.6 Roche Holding AG 3.7 1.4 2.3 15.3 Nestle SA, Cham Und Vevey 3.6 1.8 1.8 6.8 Pernod-Ricard 3.6 0.2 3.4 9.2 Bayer AG 3.5 0.7 2.8 10.5 SAP AG Systeme Anwendungen 3.3 0.7 2.6 12.6 Sanofi 3.2 0.8 2.4 11.5 % of Portfolio 42.1 8.3 Distribution of Market Capitalization (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 25.3 42.1 28.7 3.9 0.0 39.9 36.4 21.3 0.2 2.2 Sector Weights (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.2 0.0 2.6 0.7 9.6 8.9 14.7 14.6 9.8 2.6 28.0 6.3 0.0 3.4 4.4 3.7 7.9 5.7 14.3 10.7 21.3 5.0 11.4 12.2 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2017 _______________________________ Holdings as of December 31, 2016 as more recent data was unavailable at time of report production. 47 Morgan Stanley International Equity MSCI EAFE Index Australia 0.0 7.6 Hong Kong 4.6 3.2 Japan 18.8 23.4 New Zealand 0.0 0.2 Singapore 0.0 1.3 Pacific 23.4 35.7 Austria 0.0 0.2 Belgium 0.0 1.2 Finland 0.0 1.0 France 16.4 9.6 Germany 9.2 9.4 Ireland 1.6 0.5 Italy 0.0 2.0 Netherlands 10.1 3.7 Portugal 0.5 0.2 Spain 0.0 3.3 EMU 37.7 31.0 Denmark 0.0 1.6 Norway 0.0 0.6 Sweden 1.4 2.9 Switzerland 14.1 8.8 United Kingdom 15.8 18.1 Europe ex EMU 31.2 32.1 Canada 3.4 0.0 United States 0.0 0.3 Israel 0.0 0.7 Middle East 0.0 0.7 Developed Markets 95.8 99.7 Morgan Stanley International Equity MSCI EAFE Index Brazil 0.0 0.0 Cayman Islands 0.0 0.0 Chile 0.0 0.0 Colombia 0.0 0.0 Mexico 0.0 0.0 Peru 0.0 0.0 Virgin Islands 0.0 0.0 EM Latin America 0.0 0.0 China 0.9 0.0 India 0.0 0.0 Indonesia 0.0 0.0 Korea 1.1 0.0 Malaysia 0.0 0.0 Philippines 0.0 0.0 Taiwan 0.0 0.0 Thailand 0.0 0.0 EM Asia 1.9 0.0 Czech Republic 0.0 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.0 0.0 Qatar 0.0 0.0 Russia 0.0 0.0 South Africa 0.0 0.0 Turkey 0.0 0.0 United Arab Emirates 0.0 0.0 EM Europe + Middle East + Africa 0.0 0.0 Emerging Markets 1.9 0.0 Frontier Markets 0.0 0.0 Cash 2.2 0.0 Other 0.0 0.3 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2017 _______________________________ Holdings as of December 31, 2016 as more recent data was unavailable at time of report production. 48 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2012 - Mar - 2017)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Morgan Stanley Emerging Markets 11.3 11.3 13.6 0.8 1.4 1.8 6.7 -10.3 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 MSCI Emerging Markets Index 11.4 11.4 17.2 1.2 0.8 2.7 11.2 -14.9 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 IM Emerging Markets Equity 11.8 11.8 16.6 1.0 1.0 2.2 8.3 -14.1 -3.0 -1.5 18.8 -19.5 18.3 72.7 -54.6 36.7 Morgan Stanley Emerging Markets Rank 59 59 72 55 39 59 59 26 69 46 32 35 48 62 69 22 Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 0.0 0.6 1.2 1.8 2.4 Return (%)11.5 12.0 12.5 13.0 13.5 14.0 14.5 Risk (Standard Deviation %) MSCI Emerging Markets Index Morgan Stanley Emerging Markets Average Active Weight 0.0 5.0 10.0-5.0-10.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.7 -0.4 -1.5 -0.9 -2.5 2.2 -1.2 1.9 -3.9 1.4 5.2 2.3 Allocation (Total: 0.0) 0.0 0.3 0.6-0.3-0.6 0.0 0.0 0.0 0.0 -0.1 0.0 0.1 0.0 0.3 -0.1 0.1 -0.3 Stock (Total: 0.8) 0.0 0.6 1.2 1.8-0.6-1.2 0.0 0.0 0.0 -0.2 0.6 -0.4 0.1 0.7 -0.3 -0.2 0.4 0.0 Morgan Stanley Emerging Markets 0.0 0.5 1.0 1.5-0.5-1.0 0.0 0.0 0.0 -0.2 0.4 -0.3 0.2 0.7 0.0 -0.3 0.5 -0.3 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2017 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 49 Total Attribution 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6-0.2-0.4-0.6-0.8-1.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -0.1 0.3 -0.1 0.2 0.1 0.0 -0.4 0.9 0.1 -0.3 Performance Attribution Average Active Weight 0.0 6.0 12.0-6.0-12.0-18.0-24.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash 0.1 2.5 1.3 3.5 0.7 2.9 2.5 -3.5 -12.3 2.3 Allocation (Total: 0.4) 0.0 0.3 0.6 0.9-0.3-0.6 0.0 0.3 -0.1 0.2 0.1 0.0 0.0 0.3 -0.3 -0.3 Stock (Total: 0.4) 0.0 0.4 0.8 1.2 1.6-0.4-0.8-1.2 -0.1 0.0 0.0 0.0 0.0 0.0 -0.5 0.6 0.3 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index 1 Quarter Ending March 31, 2017 50 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)52,819 57,359 Median Mkt. Cap ($M)8,790 5,372 Price/Earnings ratio 16.9 14.0 Price/Book ratio 2.7 2.4 5 Yr. EPS Growth Rate (%)10.5 7.6 Current Yield (%)2.1 2.5 Debt to Equity 0.9 0.9 Number of Stocks 132 830 Beta (5 Years, Monthly)0.87 1.00 Consistency (5 Years, Monthly)50.00 1.00 Sharpe Ratio (5 Years, Monthly)0.16 0.12 Information Ratio (5 Years, Monthly)0.10 - Up Market Capture (5 Years, Monthly)87.55 - Down Market Capture (5 Years, Monthly)84.22 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Tencent Holdings LTD 4.8 3.7 1.1 17.2 Samsung Electronics Co Ltd 3.8 4.1 -0.3 23.1 Taiwan Semiconductor Manufacturing 2.8 3.5 -0.7 10.9 Bank of China Ltd 2.1 0.9 1.2 11.9 Alibaba Group Holding Ltd 2.0 2.8 -0.8 22.8 Grupo Financiero Banorte 1.9 0.3 1.6 16.5 Itau Unibanco Holding SA 1.8 0.9 0.9 17.2 China Construction Bank Corp 1.7 1.5 0.2 4.4 Banco Bradesco Sa Brad 1.6 0.6 1.0 14.7 Samsonite International SA 1.6 0.0 1.6 27.5 % of Portfolio 24.1 18.3 Distribution of Market Capitalization (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 20.1 27.9 37.0 15.1 0.0 19.5 21.8 39.4 16.3 3.0 Sector Weights (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 6.0 12.0 18.0 24.0 30.0 36.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.0 0.0 4.7 2.0 5.9 21.2 6.4 1.6 26.5 4.8 8.2 15.7 0.0 2.8 5.6 2.6 7.5 24.5 5.9 2.4 24.1 7.3 6.9 10.4 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2017 51 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Australia 0.0 0.0 Hong Kong 9.8 10.6 Japan 0.0 0.0 New Zealand 0.0 0.0 Singapore 0.0 0.0 Pacific 9.8 10.6 Austria 0.9 0.0 Belgium 0.0 0.0 Finland 0.0 0.0 France 0.0 0.0 Germany 0.8 0.0 Ireland 0.0 0.0 Italy 0.0 0.0 Netherlands 0.5 0.0 Portugal 0.7 0.0 Spain 0.0 0.0 EMU 2.9 0.0 Denmark 0.0 0.0 Norway 0.0 0.0 Sweden 0.0 0.0 Switzerland 0.7 0.0 United Kingdom 0.0 0.0 Europe ex EMU 0.7 0.0 Canada 0.0 0.0 United States 1.1 0.3 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 14.5 10.9 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Brazil 7.8 7.6 Cayman Islands 0.0 0.0 Chile 0.6 1.2 Colombia 0.7 0.4 Mexico 6.0 3.7 Peru 0.5 0.1 Virgin Islands 0.0 0.0 EM Latin America 15.6 13.0 China 9.5 16.3 India 7.9 8.9 Indonesia 5.1 2.5 Korea 10.8 15.1 Malaysia 1.5 2.4 Philippines 3.5 1.2 Taiwan 7.7 12.2 Thailand 2.3 2.3 EM Asia 48.3 60.9 Czech Republic 1.1 0.2 Egypt 0.6 0.1 Greece 0.0 0.3 Hungary 0.9 0.3 Poland 3.3 1.2 Qatar 0.0 0.8 Russia 1.9 3.8 South Africa 4.4 6.6 Turkey 0.0 1.0 United Arab Emirates 0.0 0.7 EM Europe + Middle East + Africa 12.2 15.2 Emerging Markets 76.1 89.1 Frontier Markets 3.6 0.0 Cash 3.0 0.0 Other 2.8 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2017 52 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2012 - Mar-2017) Historical Statistics - Monthly Periodicity (Apr-2012 - Mar-2017) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Income Research 0.7 0.7 0.7 2.0 2.1 4.4 2.3 0.9 3.3 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 Barclays Intermediate U.S. Government/Credit 0.8 0.8 0.4 2.0 1.9 3.8 2.1 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 IM U.S. Intermediate Duration Fixed Income 0.7 0.7 0.7 1.5 1.4 3.2 1.7 0.4 2.1 -1.3 2.9 5.0 5.1 7.1 1.9 5.7 Income Research Rank 48 48 50 19 21 6 33 20 32 41 16 41 22 19 54 8 Income Research Barclays Intermediate U.S. Government/Credit 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 1.6 1.8 2.0 2.2 2.4 Return (%)2.1 2.2 2.3 2.4 Risk (Standard Deviation %) Barclays Intermediate U.S. Government/Credit Income Research Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Income Research 2.1 2.1 2.0 0.3 1.0 1.0 0.4 0.6 1.3 53.3 20y 2m Barclays Intermediate U.S. Government/Credit 1.9 2.1 1.8 0.0 1.0 0.8 0.0 N/A 1.3 0.0 20y 2m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.1 -0.8 0.0 38.3 20y 2m Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2017 53 Portfolio Characteristics Portfolio Benchmark Effective Duration 4.0 4.1 Avg. Maturity 4.6 4.4 Avg. Quality AA-AA Yield To Maturity (%)2.3 2.1 Credit Quality Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBB64.0 6.2 12.9 16.9 55.1 3.9 14.4 26.6 Maturity Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs0.0 36.7 29.1 34.2 0.0 11.3 17.9 37.2 30.0 3.5 Sector Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.9 3.4 26.3 0.0 0.0 11.3 2.1 0.0 0.0 0.0 0.0 33.2 0.0 41.9 0.4 8.3 0.0 0.0 2.2 0.4 5.3 8.3 Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2017 54 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2012 - Mar-2017) Historical Statistics - Monthly Periodicity (Apr-2012 - Mar-2017) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Prudential Core Plus Bond Fund 1.7 1.7 3.8 3.9 4.2 5.9 5.8 -0.1 7.1 -1.0 10.6 7.6 9.6 18.7 -2.1 4.6 Blmbg. Barc. U.S. Aggregate 0.8 0.8 0.4 2.7 2.3 4.3 2.6 0.5 6.0 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 IM U.S. Broad Market Core+ Fixed Income 1.3 1.3 2.9 2.7 3.0 4.9 4.2 -0.2 5.3 -1.1 8.3 5.9 8.3 14.3 -3.0 5.5 Prudential Core Plus Bond Fund Rank 19 19 29 7 5 6 15 46 14 49 11 20 30 25 46 77 Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 0.0 2.0 4.0 6.0 8.0 Return (%)2.4 2.7 3.0 3.3 3.6 3.9 4.2 4.5 Risk (Standard Deviation %) Blmbg. Barc. U.S. Aggregate Prudential Core Plus Bond Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Prudential Core Plus Bond Fund 4.2 3.6 4.1 1.4 1.2 1.1 1.4 1.3 2.3 61.7 17y 10m Blmbg. Barc. U.S. Aggregate 2.3 2.9 2.2 0.0 1.0 0.8 0.0 N/A 1.8 0.0 17y 10m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.9 -0.8 0.0 36.7 17y 10m Manager Evaluation Prudential Core Plus Bond Fund vs. Blmbg. Barc. U.S. Aggregate As of March 31, 2017 55 Portfolio Characteristics Portfolio Benchmark Effective Duration 6.0 6.0 Avg. Maturity 7.3 8.2 Avg. Quality A AA+ Yield To Maturity (%)3.9 2.6 Credit Quality Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated71.7 4.6 10.2 13.5 0.0 0.0 0.0 0.0 41.9 4.1 12.3 23.7 7.9 6.6 0.9 2.6 Maturity Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 20.9 19.9 42.0 5.6 11.69.0 15.5 25.3 35.8 4.2 10.3 Sector Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS36.6 2.7 21.0 0.0 28.5 0.5 7.1 1.9 0.0 0.0 0.0 1.7 9.3 0.8 28.7 10.2 2.8 22.2 2.7 4.9 0.9 3.7 2.6 11.3 Manager Evaluation Prudential Core Plus Bond Fund vs. Blmbg. Barc. U.S. Aggregate As of March 31, 2017 56 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2012 - Mar-2017) Historical Statistics - Monthly Periodicity (Apr-2012 - Mar-2017) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Brandywine Global Opportunistic Fixed Income 5.2 5.2 1.9 1.1 2.8 5.8 5.2 -8.4 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 Citigroup World Government Bond Index 1.6 1.6 -3.7 -1.2 -0.6 3.0 1.6 -3.6 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 IM Global Fixed Income 2.0 2.0 1.4 0.4 1.3 3.5 3.4 -3.8 1.9 -2.5 7.3 4.1 6.0 11.8 -2.3 7.7 Brandywine Global Opportunistic Fixed Income Rank 4 4 41 38 20 1 24 97 11 70 5 7 1 22 75 2 Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0 25 50 75 100Return Percentile Rank6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 3/17 -6.0 -3.0 0.0 3.0 6.0 9.0 Return (%)6.2 6.4 6.6 6.8 7.0 7.2 7.4 Risk (Standard Deviation %) Citigroup World Government Bond Index Brandywine Global Opportunistic Fixed Income Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Brandywine Global Opportunistic Fixed Income 2.8 7.4 2.9 3.6 1.0 0.4 5.1 0.7 5.0 58.3 12y 3m Citigroup World Government Bond Index -0.6 5.2 -0.6 0.0 1.0 -0.1 0.0 N/A 4.0 0.0 12y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.2 0.1 0.0 50.0 12y 3m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of March 31, 2017 57 Portfolio Characteristics Portfolio Benchmark Effective Duration 6.2 7.8 Avg. Maturity 12.6 8.9 Avg. Quality A AA- Yield To Maturity (%)4.0 1.2 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBBelow B12.3 51.8 23.8 12.1 0.0 0.0 0.0 22.4 23.8 26.8 16.8 8.8 0.6 0.8 Maturity Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 15.0 30.0 45.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 24.2 19.8 26.0 29.9 0.0 8.6 18.5 5.5 26.2 10.2 31.0 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 25.0 50.0 75.0 100.0 TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther34.9 0.0 0.0 0.0 65.1 0.0 0.0 0.0 0.0 11.6 12.7 0.1 2.1 49.0 14.8 0.8 6.4 2.6 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of March 31, 2017 58 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2012 - Mar-2017) Historical Statistics - Quarterly Periodicity (Apr-2012 - Mar-2017) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Lighthouse Global Long/Short Fund Limited 2.8 2.8 8.0 4.8 7.1 4.6 0.2 7.4 4.9 20.2 6.1 -2.1 5.2 10.1 -14.1 13.9 HFRI Equity Hedge (Total) Index 3.9 3.9 11.6 3.0 4.9 3.0 5.5 -1.0 1.8 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 -8.0 -16.0Active Return (%)3/04 6/05 9/06 12/07 3/09 6/10 9/11 12/12 3/14 6/15 3/17 2.0 4.0 6.0 8.0 10.0 Return (%)4.5 4.8 5.1 5.4 5.7 6.0 6.3 6.6 Risk (Standard Deviation %) HFRI Equity Hedge (Total) Index Lighthouse Global Long/Short Fund Limited Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Lighthouse Global Long/Short Fund Limited 7.1 4.9 6.9 3.9 0.6 1.4 3.9 0.5 2.4 55.0 13y 3m HFRI Equity Hedge (Total) Index 4.9 5.8 4.8 0.0 1.0 0.8 0.0 N/A 3.6 0.0 13y 3m 90 Day U.S. Treasury Bill 0.1 0.1 0.0 0.1 0.0 N/A 5.8 -0.8 0.0 30.0 13y 3m Manager Evaluation Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index As of March 31, 2017 59 Portfolio Characteristics Portfolio Manager Count 31 Net Exposure %26.5 Leverage 141.9 # Managers Funded 1 # Managers Redeemed 0 Region Allocation (Net Geographic Exposure) Asia 10.7% Europe 16.9% Latin America 7.7%United States 64.7% Strategy Allocation Value 10.0% Trading 20.3% Event Driven 11.3% Sector Specialist 58.3% Manager Evaluation Lighthouse Global Long/Short Fund Limited As of March 31, 2017 60 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2012 - Mar-2017) Historical Statistics - Quarterly Periodicity (Apr-2012 - Mar-2017) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 Entrust Capital Diversified Fund 0.8 0.8 3.3 -2.6 2.0 2.5 -1.1 -7.3 1.8 13.2 7.4 -4.7 11.1 35.2 -26.0 9.9 HFRI Fund of Funds Composite Index 2.4 2.4 6.2 1.8 3.2 1.2 0.5 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 Rolling 3 Years Active Return Quarterly Active Return 0.0 6.0 12.0 18.0 -6.0 -12.0Active Return (%)12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 3/17 0.0 1.5 3.0 4.5 6.0 Return (%)2.8 3.2 3.6 4.0 4.4 4.8 5.2 5.6 6.0 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Entrust Capital Diversified Fund 2.0 5.0 2.0 -1.4 1.1 0.4 2.9 -0.4 3.4 35.0 13y 6m HFRI Fund of Funds Composite Index 3.2 3.8 3.1 0.0 1.0 0.8 0.0 N/A 2.4 0.0 13y 6m 90 Day U.S. Treasury Bill 0.1 0.1 0.0 0.1 0.0 N/A 3.8 -0.8 0.0 15.0 13y 6m Manager Evaluation Entrust Capital Diversified Fund vs. HFRI Fund of Funds Composite Index As of March 31, 2017 61 Portfolio Characteristics Portfolio Manager Count 28 Net Exposure %69.5 Leverage 146.6 # Managers Funded 0 # Managers Redeemed 0 Region Allocation (Net Geographic Exposure) Asia 2.1% Europe 15.4% Japan -4.9 % Latin America 9.5% Other 2.5%US/Canada 75.4% Strategy Allocation Trading 3.1% Opportunistic 15.9% Long/Short 8.1% Activist 19.0% Credit 27.9% Event Driven 26.1% Manager Evaluation Entrust Capital Diversified Fund As of March 31, 2017 62 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2012 - Mar-2017) Historical Statistics - Quarterly Periodicity (Apr-2012 - Mar-2017) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 UBS Trumbull Property Fund 0.9 0.9 5.1 8.9 8.9 4.7 6.0 11.7 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 NCREIF Property Index 1.5 1.5 7.3 10.6 10.7 6.7 8.0 13.3 11.8 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 Rolling 3 Years Active Return Quarterly Active Return 0.0 5.0 10.0 -5.0 -10.0Active Return (%)3/78 9/81 3/85 9/88 3/92 9/95 3/99 9/02 3/06 9/09 3/13 3/17 6.0 8.0 10.0 12.0 14.0 Return (%)0.8 0.9 1.0 1.1 1.2 1.3 1.4 1.5 Risk (Standard Deviation %) NCREIF Property Index UBS Trumbull Property Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date UBS Trumbull Property Fund 8.9 1.3 8.5 -2.1 1.0 6.5 0.7 -2.4 0.0 15.0 39y 3m NCREIF Property Index 10.7 1.0 10.2 0.0 1.0 9.7 0.0 N/A 0.0 0.0 39y 3m 90 Day U.S. Treasury Bill 0.1 0.1 0.0 0.6 0.0 N/A 1.1 -9.7 0.0 0.0 39y 3m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2017 63 Portfolio Characteristics Portfolio Benchmark # Properties 218 7,139 # Investors 454 N/A Total Fund Assets 19,800 533,753 Property Type UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 OfficeApartmentRetailIndustrialHotel36.6 24.5 23.9 14.0 1.0 30.0 31.0 23.0 13.0 3.0 Property Location UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 EastWestSouthMidwest33.3 38.4 19.7 8.6 34.0 38.0 15.0 13.0 Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2017 64 Type City Ac quis ition Da te % Oc cupa nc y Cos t ($000) Fa ir Market Value ($000) Offic e Bo ston Dec-11 76%667,876$ 763,000$ Offic e Ne w York Ju n-06 82%666,688$ 623,000$ Re tail Ca mb rid ge May-89 96%296,371$ 597,410$ Re tail Da lla s Dec-02 96%420,590$ 585,000$ Apart me nts Ne w York Ju l-11 95%391,572$ 524,000$ Offic e Ne w York Ju l-11 95%219,593$ 513,527$ Offic e Ch ic ag o Dec-11 93%411,029$ 510,494$ Re tail Ch ic ag o No v-13 96%232,715$ 484,948$ Offic e Ne w York Se p-14 93%286,180$ 469,628$ As of De ce mber 31,2016* 20 La rge st Inve st ments Manager Evaluation UBS Trumbull Property Fund As of March 31, 2017 Offic e Ne w York Se p-14 93%286,180$ 469,628$ Offic e Po rt la nd Aug-15 97%376,010$ 423,180$ Re tail Montebello Dec-88 99%193,570$ 327,000$ Re tail Eme ry ville Aug-14 92%310,030$ 324,000$ Offic e Se at tle Oc t-84 98%243,437$ 316,000$ Offic e Sa n Fra ncis co Dec-85 95%170,329$ 301,160$ Offic e De nver Ju n-06 86%189,808$ 274,400$ Offic e Pa sadena May-84 86%191,054$ 245,000$ Offic e Washin gton Ju n-15 92%246,833$ 237,000$ Offic e De nver Apr-82 94%157,795$ 212,000$ Offic e Pleas anton Dec-03 100%203,333$ 212,000$ Re tail Millb ury Se p-04 99%156,000$ 209,100$ All o ther in vestme nts ----11,989,045$ 14,414,358$ To tal Pr operties 18,019,857$ 22,566,204$ *Data not yet available for most recent quarter. 65 Calendar Year Performance 66 Year To Date 2016 2015 2014 2013 2012 2011 2010 2009 2008 Total Composite 3.5 5.1 -0.7 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 Policy Benchmark 3.4 6.6 -1.4 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 Total Equity Composite 6.3 6.3 0.5 4.7 N/A N/A N/A N/A N/A N/A MSCI AC World Index 6.9 7.9 -2.4 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 Domestic Equity Composite 4.7 9.6 1.9 10.1 N/A N/A N/A N/A N/A N/A Russell 3000 Index 5.7 12.7 0.5 12.6 33.6 16.4 1.0 16.9 28.3 -37.3 International Equity Composite 9.2 0.3 -2.0 -5.5 N/A N/A N/A N/A N/A N/A MSCI AC World ex USA Index 7.9 4.5 -5.7 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 Fixed Income Composite 2.2 4.2 -2.1 2.4 -1.7 10.9 3.8 8.7 18.9 -3.4 Barclays Intermediate U.S. Government/Credit 0.8 2.1 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 Hedge Funds Composite 1.9 -0.4 N/A N/A N/A N/A N/A N/A N/A N/A HFRI Fund of Funds Composite Index 2.4 0.5 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 Calendar Year Performance Composite Performance As of March 31, 2017 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 67 Appendix 68 Current Manager Fee Schedule Fe e (%) Do mest ic Eq ui ty Black Rock $53,290,273 20.8 0.04 0.06 US Passive Large Cap (CIT )$ 18,652 Kennedy $8,294,807 3.2 0.90 0.75 US Mid Cap Valu e $ 74,653 Times Sq uare $7,762,532 3.0 1.05 1.00 US Small Cap Growth $ 81,507 Inte rna ti ona l Equity Morgan St anley Int ernat ional $26,804,373 10.5 0.95 0.93 All EA FE Equit y $ 254,642 Morgan St anley Emerging M arket s $10,990,743 4.3 1.03 1.14 Emergi ng Mkts Equit y $ 113,205 Fi xed Income Income Res ear ch $35,901,007 14.0 0.30 0.30 US Core Fixe d Income $ 107,703 Prudent ial $29,624,053 11.6 0.30 0.35 US Core Plus Fixe d Income $ 88,872 Brandy wine $23,153,340 9.0 0.45 0.43 Global A gg F ixed Income $ 104,190 He dge Funds* Tota l Assets ($ millions )% o f Tota l Proje cted An nua l Fe e eVestment Al lia nc e Universe Media n eVestment Allia nc e Universe Investment performance calculated net of fees. * Incentive fees may be paid to underlying hedge fund managers.During 2016, the average incentive fee for managers in the Entrust Fund was 16.5% of profits.Some managers were subject to a hurdle rate.The average incentive fee for managers in the Lighthouse fee was 19.3% of profits.Some managers were subject to a hurdle rate. Light hous e $18,672,566 7.3 1.58 N/A N/A $ 295,027 Ent rust $16,314,859 6.4 2.64 N/A N/A $ 430,712 Re al Esta te UBS T rumbull $23,450,554 9.2 1.00 N/A N/A $ 234,506 Ca sh Money Market $1,730,251 0.7 0.16 0.19 US Cas h M anagement $ 2,768 Pavilion-Consulting Fee $ 118,836 US Bank Cus tody and Benefit Payment Fee $ 78,146 Tota l $255,989,359 100.0 %0.78%$ 2,003,418 69 2013 Acti on Sep tember •The M et rop olit an St . Louis Sewer District hired Pavilion Advisory Group as their invest ment consult ant. 2014 Acti on February •Pavilion p resent ed an asset allocat ion and investment and manager struct ure review to the F inance Commit tee.Pavilion recommended t he adop tion of new asset allocat ion targe ts and allowable ranges that would p ermit the eliminat ion of t he tact ical as set allocat ion and market neut ral s trat egies , the ad dit ion of hedge fund strat egies through hedge f und of funds, and the reduction of t he number of managers and exposure to high yield and non- US debt in the fixed income p ortfolio. T he following asset allocat ion s tructure was p rop os ed: 40% Equit y 35% Fixed Income 25% Alt ernatives Appendix History of Investment Decisions Given Pyramis ' p oor p er formance and rapidly declining as sets in the s trat egy,Pavilion furt her recommended the manager be t erminat ed immediat ely . T he Commit tee ap proved t hese recommendations. Sep tember •Pavilion downgraded PIM CO’s manager rating stat us from “negat iv e w at ch” t o “sell.” Pavilion init ially downgraded PIM CO to “negat iv e w at ch” in January following the dep art ure of co-CIO Mohamed El-Erian, and not ed we would closely monit or t he firm for organiz at ional s tabilit y,asset flow s,and p erformance. Novemb er & December •Pavilion conducted an equit y long/s hort hedge fund of funds search and p resent ed the rep ort to the F inance Commit tee.Pavilion recommended Light house C ap it al P artners Global Long/Short Fund which was support ed by Metrop olit an St Louis Sew er St aff. T he F und rep laced PIMCO All Asset Fund on M arch 1, 2015. 70 2015 Acti on May •Pavilion recommended liquidat ing the t he Pict et Local Currency Emerging Market Debt Fund, Loomis Sayles Credit Fund and the Penn Capital High Yi eld Fund and inves ting the p roceeds int o the Prudent ial T otal Ret urn Fund. T he recommendation is support ed by the Office of t he Secr et ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendat io n t o go t o t he Board of T rus tees . Pavilion p rovided t he Finance Commit tee w it h a revised St at ement of Investment Policy , Object iv es an d Op erat ing Guidelines . T he p olicy was reviewed with and sup port ed by the O ffice of t he Secr et ary Treas urer. T he Finance Commit tee requested addit ional t ime t o review the document . June •Pavilion recommended liquidat ing the G MO Asset Allocat ion Fund and investing the p roceeds in t he Light house G lobal Long/Short Eq uit y Fund and t he Entrust Diversified Hedge F und of F unds. T he recommendat ion was support ed by the O ffice of t he Secret ary Treas urer and t he Inves tment Commit tee.The F inance Commit tee ap proved t he recommendation t o go t o t he Board of T rustees . T he Finance Commit tee review ed and ap proved t he revised Statement of Investment Policy , O bject ives and Op erat ing G uidelines provided at the M ay meet in g.The r ev is ed Inves tment Policy document was approved by the Board of T rustees . Appendix History of Investment Decisions 2016 Acti on Novemb er •Pavilion conducted a sear ch to replace t he pens ion p lan's large -cap managers with an index s trat egy.The Finance Commit tee agreed to liq uidat e all four of its large -cap managers, which include T . Rowe P rice Large -Cap Core Growth, Van gu ard S&P 500, Vanguard Windsor II and H olland, and use thes e funds t o p urchase s hares in a Blackrock Russell 1000 P assive U.S.Equit y CIT . December •Wellingt on Divers ified Inflat ion Hedges was terminat ed and p roceeds were moved t o t he UBS T rumbull Prop erty Fund. 2017 Acti on February •In February , all four large -cap managers T.Rowe P rice Large-Cap Growt h, Vangu ard S&P 500, Vangu ard Windsor II and Holland were liquidated and p roceeds used to p urchase shar es in the BlackRock Rus sell 1000 Pas sive U .S. Equity CIT . 71 All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013. To tal Composite returns prior to September 1, 2013 were provided by New England Pension Consultants. Separate account manager returns prior to September 1, 2013 were provided by the investment managers and are displayed net of fees. Benchmark Comparison One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success. Universe Comparison A p erformance measurement universe is created by arraying the results of a large number of professional investment managers from the best to worst. Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentile represents the bottom performing 1% of managers. Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad Appendix Benchmark and Universe Descriptions Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad universes will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 10 years or more), a manager ranking in the top quartile (top 25%) of these broad universes would be perceived as performing well. Policy Benchmark As of August 1, 2015, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% MSCI EAFE Index, 4% MSCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Composite Index, 5% We llington DIH Multi-Asset Inflation Index and 5% NCREIF Property Index. From March 1, 2015 to August 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. 72 Policy Benchmark(Cont.) From April 1, 2014 to March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% CPI+5%, 5% We llington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index- OEDCE. Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index,3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yi eld Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yi eld, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% We llington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Index-OEDCE. Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity To tal Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year Appendix Benchmark and Universe Descriptions Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year 73 This report contains confidential and proprietary information and is intended for the exclusive use of the parties to whom it was provided. Facts and information provided in this report are believed to be accurate at the time of preparation. However, certain information in this document has been provided to Pavilion Advisory Group Inc. (Pavilion) by third parties and subject to change at any time and based on market conditions. Although we believe this information is reliable, we have not independently verified the information. Returns are net of investment fees unless otherwise denoted. Returns for periods greater than one year are annualized. Mutual fund returns assume reinvestment of all distributions at net asset value (NAV) and deduction of fund expenses. Past performance does not guarantee future results. This document may include certain forward-looking statements that are based on current estimates and forecasts. Actual results could differ materially. Investing in securities products involves risk, including possible loss of principal as the value of investments fluctuates. This report is not to be reproduced, redistributed or retransmitted in any form without prior expressed written consent from Pavilion. ©2017 Pavilion Advisory Group Inc. All rights reserved. www.pavilioncorp.com Disclosures 74