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HomeMy Public PortalAbout2020 3rd Quarter ReportVisit the Investments Thought Leadership Site (https://insights-north-america.aon.com/investment); sharing our best thinking. Metropolitan St. Louis Sewer District Pension Plan | Third Quarter 2020 Quarterly Investment Review Executive Summary Page 1 Total Plan Page 6 Total Domestic Equity Page 18 Total International Equity Page 32 Total Fixed Income Page 44 Real Estate Page 58 Market Environment Page 62 Appendix Page 76 Disclaimers and Notes Page 86 Table Of Contents Executive Summary Page 1 Opinions,estimates,forecasts,and statements on financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice.The views and strategies described may not be suitable for all investors.References to specific securities,asset classes, and financial markets are for illustrative purposes only and are not intended to be,and should not be interpreted as,recommendations. 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Market Highlights 14.1% 8.0% 5.3% 9.0% 4.2% 8.2%8.8% 6.8% -3.1% 13.7% 9.9% 4.6% 2.5%3.6% 7.2%7.3%6.5% -6.0%-10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% S&P 500 Russell 2000 MSCI EAFE MSCI Emerging Markets Bloomberg Bar cla ys U.S. Aggr eg ate Bloomberg Barclays U.S. Long Gov't Bloomberg Barclays U.S. Long Credit Bloomberg Barcla ys U.S. High Yield Bloomberg Commodi ty Index LONG TERM ANNUALIZED RET URNS AS OF 09/30/2020 Five-Year Ten-Year Sour ce:Ru ssell, MSCI, Bloomberg Barclay s, B loomberg 8.9% 4.9%4.8% 9.6% 0.6%0.1%2.0%4.6% 9.1% 5.6% -8.7%-7.1% -1.2% 6.8% 21.1% 8.0% 0.6% -12.1%-15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% S&P 500 Russell 2000 MSCI EAFE MSCI Emerging Markets Bloomber g Barclays U.S. Aggreg ate Bloomberg Bar cla ys U.S. Long Gov't Bloomberg Barclays U.S. Long Credit Bloomberg Barclays U.S. High Yield Bloomberg Commodi ty Index SHORT TERM RET URNS AS OF 09/30/2020 Third Quarter 2020 YT D Sour ce:Ru ssell, MSCI, Bloomber g Barclay s, B loomberg MSCI Indi ces show net total retur ns thr oug hout thi s repor t. Al l other indi ces show gross total returns.. Page 3 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc. Market Highlights Third Quarter YT D 1-Year 3-Year1 5-Year1 10-Year1 Equity MSCI All Count ry World IMI 8.11%0.48%9.57%6.47%9.97%8.47% MSCI All Count ry World 8.13%1.37%10.44%7.12%10.30%8.55% Dow Jones U.S. Total St ock Market 9.07%5.25%14.77%11.53%13.60%13.43% Russell 3000 9.21%5.41%15.00%11.65%13.69%13.48% S&P 500 8.93%5.57%15.15%12.28%14.15%13.74% Russell 2000 4.93%-8.69%0.39%1.77%8.00%9.85% MSCI All Count ry World ex-U.S. IMI 6.80%-5.21%3.51%1.13%6.31%4.17% MSCI All Count ry World ex-U.S.6.25%-5.44%3.00%1.16%6.23%4.00% MSCI EAFE 4.80%-7.09%0.49%0.62%5.26%4.62% MSCI EAFE (Local Currenc y)1.22%-9.44%-4.74%0.55%4.83%6.26% MSCI Emerging Markets 9.56%-1.16%10.54%2.42%8.97%2.50% Fixed Income Bloomberg Barclays Global Aggregate 2.66%5.72%6.24%4.10%3.92%2.36% Bloomberg Barclays U.S. Aggregate 0.62%6.79%6.98%5.24%4.18%3.64% Bloomberg Barclays U.S. Long Gov't 0.13%21.13%16.21%11.79%8.18%7.18% Bloomberg Barclays U.S. Long Credit 1.97%8.00%9.28%8.63%8.82%7.32% Bloomberg Barclays U.S. Long Gov't/Credit 1.22%14.20%12.92%10.21%8.78%7.36% Bloomberg Barclays U.S. TIPS 3.03%9.22%10.08%5.79%4.61%3.57% Bloomberg Barclays U.S. High Yield 4.60%0.62%3.25%4.21%6.79%6.47% Bloomberg Barclays Global Treasury ex U.S.3.82%4.67%4.65%3.41%3.72%1.23% JP Morgan EMBI Global (Emerging Markets)2.28%0.37%2.47%3.27%6.03%5.21% Commodities Bloomberg Commodity Index 9.07%-12.08%-8.20%-4.18%-3.09%-6.03% Goldman Sachs Commodity Index 4.61%-33.38%-27.84%-9.46%-7.88%-8.84% Hedge Funds HF RI Fund-Weighted Composite2 4.24%0.64%4.23%2.79%4.07%3.64% HF RI Fund of Funds2 4.13%2.44%5.59%2.84%3.06%2.87% Real Estate NA REIT U.S. Equity REITS 1.44%-17.54%-18.16%0.20%3.95%7.90% FTSE Global Core Infrastructur e Index 3.62%-7.36%-3.88%5.72%8.74%9.00% Private Equity Burgiss Private iQ Global Private Equity3 0.95%10.12%10.00%11.89% MSCI Indices show net total returns througho ut this report. All othe r ind ices show gross total returns. 1 Periods are annualized. 2 Latest 5 months of HFR data are estimated by HFR and may change in the future. 3 Burgiss Private iQ Global Private Equity data is as at Mar 31, 2020 Returns of the Major Capital Markets Period Ending 09/30/2020 Page 4 (This Page Left Blank Intentionally) Page 5 Total Plan Page 6 Change in Market Value From July 1, 2020 to September 30, 2020 Summary of Cash Flow $0.0 $150.0 $300.0 $450.0 ($150.0)Millions ($)Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value $287.3 ($5.2) $13.8 $296.0 1 Quarter Year To Date 1 Year Total Pension Beginning Market Value 287,337,954 295,877,142 280,210,900 + Additions / Withdrawals -5,197,889 -7,770,918 -6,502,857 + Investment Earnings 13,833,520 7,867,361 22,265,542 = Ending Market Value 295,973,586 295,973,586 295,973,586 Total Pension Total Plan Asset Summary As of September 30, 2020 Page 7 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - 15 Years Total Pension Policy Benchmark 0.0 3.0 6.0 9.0 12.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/93 4.3 2.6 7.8 5.8 7.0 6.4 4.8 2.7 8.0 5.5 6.5 6.2 7.2 Total Pension Benchmark 0.96 1.00 1.04 1.08 1.12 9/05 3/07 9/08 3/10 9/11 3/13 9/14 3/16 9/17 3/19 9/20 0.99 Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% 4.0% -2.0 % -4.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Plan Performance Summary As of September 30, 2020Total Pension Page 8 Allocation Market Value ($) %Policy(%) Performance(%) 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date Total Pension 295,973,586 100.0 100.0 4.8 (69)2.7 (53)8.0 (54)5.5 (79)6.5 (93)6.2 (94)7.2 (52)01/01/1993 Policy Benchmark 4.3 (86)2.6 (54)7.8 (56)5.8 (75)7.0 (86)6.4 (92) All Public Plans < $1B-Total Fund Median 5.3 2.9 8.4 6.8 8.2 7.8 7.3 Total Domestic Equity 105,162,263 35.5 8.4 (41)3.9 (37)13.4 (32)10.7 (37)12.2 (54)11.5 (46)09/01/2013 Russell 3000 Index 9.2 (14)5.4 (25)15.0 (25)11.6 (21)13.7 (27)12.5 (18) All Public Plans-US Equity Segment Median 8.2 3.0 12.1 10.0 12.3 11.4 IM U.S. Equity (SA+CF) Median 6.9 -2.6 5.4 6.9 10.5 10.1 Total Large-Cap Equity 73,699,913 24.9 25.0 9.4 (27)6.5 (31)16.1 (30)12.4 (30)13.1 (32)13.0 (35)9.5 (53)06/01/2003 Russell 1000 Index 9.5 (27)6.4 (31)16.0 (31)12.4 (30)14.1 (26)13.8 (26)9.9 (43) IM U.S. Equity (SA+CF) Median 6.7 -3.3 3.9 6.0 9.6 11.1 9.6 BlackRock Russell 1000 Index Fund Non-Lending 73,699,913 24.9 9.5 (27)6.6 (31)16.2 (30)12.4 (30)12.6 (31)03/01/2017 Russell 1000 Index 9.5 (27)6.4 (31)16.0 (31)12.4 (30)12.6 (31) IM U.S. Equity (SA+CF) Median 6.7 -3.3 3.9 6.0 7.0 Total Small-Cap Equity 31,462,350 10.6 10.0 6.2 (56)-2.1 (48)7.1 (46)6.6 (49)10.1 (48)11.6 (47)10.6 (31)06/01/2003 Russell 2000 Index 4.9 (68)-8.7 (63)0.4 (57)1.8 (67)8.0 (60)9.9 (63)8.8 (66) IM U.S. Equity (SA+CF) Median 6.7 -3.3 3.9 6.0 9.6 11.1 9.6 Kennedy Mid Cap Value 15,450,348 5.2 6.5 (53)-11.0 (68)-3.5 (65)1.4 (68)7.5 (63)9.7 (65)8.4 (51)02/01/2008 IM U.S. Equity (SA+CF) Median 6.7 -3.3 3.9 6.0 9.6 11.1 8.4 Russell Midcap Value Index 6.4 (54)-12.8 (74)-7.3 (76)0.8 (71)6.4 (71)9.7 (65)7.3 (67) TimesSquare Small Cap Growth 16,012,002 5.4 6.1 (58)7.3 (29)18.3 (27)11.6 (35)12.5 (40)13.2 (40)02/01/2002 Russell 2000 Growth Index 7.2 (49)3.9 (39)15.7 (31)8.2 (47)11.4 (46)12.3 (49)8.4 (67) IM U.S. Equity (SA+CF) Median 6.9 -2.6 5.4 6.9 10.5 12.1 9.0 Total International Equity 53,822,612 18.2 18.0 6.1 (79)-2.4 (40)6.1 (49)1.5 (78)5.6 (95)4.1 (99)09/01/2013 MSCI AC World ex USA Index (Net)6.3 (78)-5.4 (75)3.0 (73)1.2 (81)6.2 (81)4.1 (98) All Public Plans-Intl. Equity Segment Median 7.5 -3.4 5.9 2.4 7.4 5.5 IM International Equity (MF) Median 8.2 -1.6 7.9 2.5 7.6 5.8 Morgan Stanley International Equity 35,197,474 11.9 3.5 (83)-2.5 (46)4.7 (52)1.7 (45)5.1 (67)5.2 (38)4.3 (68)04/01/2005 MSCI EAFE Index (Net)4.8 (74)-7.1 (65)0.5 (67)0.6 (55)5.3 (65)4.6 (48)4.2 (70) IM International Equity (MF) Median 7.5 -3.5 5.1 1.0 6.3 4.5 5.3 Morgan Stanley Emerging Markets Fund 18,625,138 6.3 11.1 (24)-2.4 (54)8.5 (54)0.5 (63)6.7 (70)2.1 (53)6.4 (47)04/01/2005 MSCI Emerging Markets Index (Net)9.6 (44)-1.2 (45)10.5 (41)2.4 (42)9.0 (36)2.5 (41)7.0 (41) IM Emerging Markets Equity (MF) Median 9.2 -1.9 9.1 1.6 7.9 2.1 6.3 Asset Allocation & Performance As of September 30, 2020 Page 9 Asset Allocation & Performance As of September 30, 2020 Allocation Market Value ($) %Policy(%) Performance(%) 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date Total Fixed Income 102,625,427 34.7 35.0 2.0 (25)5.4 (75)6.6 (64)4.5 (88)4.6 (75)3.6 (77)4.5 (88)07/01/2003 Blmbg. Barc. Intermed. U.S. Government/Credit 0.6 (88)5.9 (67)6.3 (69)4.4 (89)3.4 (95)2.9 (93)3.6 (97) All Public Plans-US Fixed Income Segment Median 1.7 6.8 7.2 5.4 5.0 4.4 5.1 IM U.S. Fixed Income (SA+CF) Median 1.3 4.9 5.7 4.6 4.4 4.1 4.6 Income Research 39,505,405 13.3 1.0 (29)6.9 (7)7.1 (10)4.7 (17)3.6 (32)3.2 (36)4.7 (22)07/01/2001 Blmbg. Barc. Intermed. U.S. Government/Credit 0.6 (62)5.9 (39)6.3 (37)4.4 (37)3.4 (50)2.9 (60)4.2 (51) IM U.S. Intermediate Duration (SA+CF) Median 0.7 5.7 6.1 4.3 3.4 3.0 4.2 Prudential Core Plus Bond 38,450,958 13.0 2.1 (24)6.5 (50)7.0 (49)6.1 (7)5.7 (13)5.2 (7)06/01/2015 Blmbg. Barc. U.S. Aggregate 0.6 (98)6.8 (45)7.0 (48)5.2 (56)4.2 (79)3.9 (71) IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 1.6 6.5 6.9 5.3 4.7 4.3 Brandywine Global Opportunistic Fixed Income 24,669,064 8.3 3.4 (48)1.0 (63)5.2 (39)1.4 (89)4.3 (63)3.6 (51)5.0 (42)01/01/2005 FTSE World Government Bond Index 2.9 (62)7.1 (14)6.8 (23)4.4 (33)3.9 (71)1.9 (94)3.0 (99) IM Global Fixed Income (SA+CF) Median 3.4 2.5 4.3 3.7 4.7 3.6 4.9 Hedge Fund 1,192,794 0.4 0.0 Entrust Capital Diversified Fund 1,192,794 0.4 Real Estate 31,211,351 10.5 12.0 -0.4 -2.8 -3.0 0.7 2.8 6.6 4.6 06/01/2006 Real Estate Performance Benchmark 0.3 0.4 1.9 5.1 6.3 9.4 7.1 UBS Trumbull Property Fund 31,211,351 10.5 -0.4 -2.8 -3.0 0.7 2.8 6.6 4.6 06/01/2006 Real Estate Performance Benchmark 0.3 0.4 1.9 5.1 6.3 9.4 7.1 Cash Account 1,959,140 0.7 0.0 0.0 0.5 1.0 1.7 1.2 0.6 1.4 07/01/2003 ICE BofAML 3 Month U.S. T-Bill 0.0 0.6 1.1 1.7 1.2 0.6 1.3 **The EnTrust Capital Diversified Fund market value is as of 8/31/2020 and is currently in the process of liquidation. Page 10 Performance(%) 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 Total Pension 16.2 (91)-4.3 (43)12.3 (86)5.1 (86)-0.7 (69)2.9 (94)10.9 (92)12.1 (46)1.2 (20)11.2 (75) Policy Benchmark 17.4 (84)-4.5 (51)12.2 (87)6.6 (51)-1.4 (80)3.5 (92)12.3 (86)11.6 (58)1.1 (21)11.5 (69) Total Domestic Equity 30.6 (36)-6.1 (62)20.1 (55)9.6 (94)1.9 (8)10.1 (87)---- Russell 3000 Index 31.0 (29)-5.2 (39)21.1 (31)12.7 (50)0.5 (43)12.6 (23)---- Total Large-Cap Equity 31.4 (28)-4.8 (32)20.4 (41)7.9 (73)3.9 (15)10.9 (36)32.0 (71)14.0 (62)2.4 (26)12.4 (87) Russell 1000 Index 31.4 (28)-4.8 (32)21.7 (35)12.1 (52)0.9 (32)13.2 (18)33.1 (63)16.4 (37)1.5 (33)16.1 (64) BlackRock Russell 1000 Index Fund Non-Lending 31.4 (28)-4.8 (31)-------- Russell 1000 Index 31.4 (28)-4.8 (32)-------- Total Small-Cap Equity 28.7 (44)-9.5 (60)19.6 (45)15.6 (37)-4.8 (74)7.2 (61)40.3 (23)13.3 (67)0.8 (39)26.8 (24) Russell 2000 Index 25.5 (65)-11.0 (67)14.6 (70)21.3 (18)-4.4 (73)4.9 (75)38.8 (28)16.3 (38)-4.2 (74)26.9 (24) Kennedy Mid Cap Value 28.6 (45)-14.5 (85)18.0 (52)22.9 (15)-9.9 (93)15.8 (6)33.3 (62)13.6 (65)-0.8 (51)27.0 (23) Russell Midcap Value Index 27.1 (55)-12.3 (73)13.3 (76)20.0 (22)-4.8 (75)14.7 (10)33.5 (60)18.5 (22)-1.4 (54)24.8 (32) TimesSquare Small Cap Growth 28.2 (46)-4.2 (27)21.1 (36)8.4 (63)1.0 (31)-2.5 (93)47.7 (5)13.1 (67)2.6 (17)27.3 (15) Russell 2000 Growth Index 28.5 (44)-9.3 (61)22.2 (30)11.3 (51)-1.4 (47)5.6 (70)43.3 (9)14.6 (54)-2.9 (56)29.1 (10) Total International Equity 20.2 (96)-14.6 (75)28.0 (65)0.3 (93)-2.0 (41)-5.5 (100)---- MSCI AC World ex USA Index (Net)21.5 (86)-14.2 (61)27.2 (74)4.5 (39)-5.7 (90)-3.9 (81)---- Morgan Stanley International Equity 20.4 (61)-13.8 (31)25.2 (73)-2.0 (82)0.4 (31)-6.1 (70)20.3 (40)19.6 (43)-7.6 (10)6.1 (89) MSCI EAFE Index (Net)22.0 (48)-13.8 (31)25.0 (74)1.0 (64)-0.8 (40)-4.9 (59)22.8 (25)17.3 (66)-12.1 (30)7.8 (83) Morgan Stanley Emerging Markets Fund 19.5 (50)-17.3 (62)35.0 (51)6.7 (62)-10.3 (26)-4.5 (71)-0.8 (48)20.2 (42)-18.4 (37)18.5 (58) MSCI Emerging Markets Index (Net)18.4 (58)-14.6 (34)37.3 (38)11.2 (37)-14.9 (59)-2.2 (50)-2.6 (60)18.2 (58)-18.4 (37)18.9 (53) Asset Allocation & Performance As of September 30, 2020 Page 11 Asset Allocation & Performance As of September 30, 2020 Performance(%) 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 Total Fixed Income 9.1 (53)-1.0 (77)6.3 (16)4.2 (59)-2.1 (92)2.4 (98)-1.7 (62)10.9 (16)3.8 (100)8.7 (51) Blmbg. Barc. Intermed. U.S. Government/Credit 6.8 (92)0.9 (14)2.1 (96)2.1 (89)1.1 (18)3.1 (96)-0.9 (37)3.9 (100)5.8 (93)5.9 (99) Income Research 6.7 (42)0.8 (41)2.0 (75)2.3 (43)0.9 (60)3.3 (52)-0.9 (59)5.9 (25)5.6 (50)6.2 (47) Blmbg. Barc. Intermed. U.S. Government/Credit 6.8 (39)0.9 (37)2.1 (64)2.1 (51)1.1 (42)3.1 (61)-0.9 (55)3.9 (75)5.8 (39)5.9 (62) Prudential Core Plus Bond 11.3 (12)-0.4 (39)6.6 (11)5.8 (23)------ Blmbg. Barc. U.S. Aggregate 8.7 (76)0.0 (19)3.5 (83)2.6 (88)------ Brandywine Global Opportunistic Fixed Income 9.3 (49)-5.2 (91)12.8 (3)5.2 (53)-8.4 (91)6.3 (15)-3.5 (75)14.1 (28)8.0 (11)13.9 (20) FTSE World Government Bond Index 5.9 (87)-0.8 (24)7.5 (45)1.6 (89)-3.6 (60)-0.5 (84)-4.0 (83)1.6 (94)6.4 (24)5.2 (86) Hedge Fund Entrust Capital Diversified Fund Real Estate -2.9 6.0 5.3 6.0 ------ Real Estate Performance Benchmark 6.4 6.7 7.0 8.0 ------ UBS Trumbull Property Fund -3.0 6.0 5.3 6.0 11.7 10.4 9.2 9.0 12.1 15.9 Real Estate Performance Benchmark 6.4 6.7 7.0 8.0 13.3 11.8 11.0 10.5 14.3 13.1 Cash Account 2.3 2.0 1.0 0.3 0.0 0.0 0.0 0.1 0.0 0.1 ICE BofAML 3 Month U.S. T-Bill 2.3 1.9 0.9 0.3 0.1 0.0 0.1 0.1 0.1 0.1 Page 12 Total Fund Performance 0.00%2.00%4.00%6.00%8.00% Total Fund Total Fund Benchmark Total Value Added 4.82% 4.32% 0.51% Total Value Added:0.51% 0.00%0.20%0.40%0.60% Other Manager Value Added Asset Allocation 0.05% 0.44% 0.02% Total Asset Allocation:0.02% Average Active Weight 0.00%2.00%-2.00 %-4.00 % Cash Account Real Estate Hedge Fund Total Fixed Income Total International Equity Total Small-Cap Equity Total Large-Cap Equity Weight (%)0.57% -1.37 % 0.40% -0.37 % 0.03% 0.48% 0.24% Asset Allocation Value Added 0.00%0.05%0.10%-0.05 %-0.10 % -0.02 % 0.03% 0.04% -0.01 % 0.00% 0.00% -0.02 % Total Manager Value Added:0.44% Manager Value Added 0.00%0.40%0.80%-0.40 % 0.00% -0.13 % 0.00% 0.49% -0.03 % 0.13% -0.02 % Total Pension Total Fund Attribution 1 Quarter Ending September 30, 2020 Page 13 Total Fund Performance 0.00%4.00%8.00%12.00% Total Fund Total Fund Benchmark Total Value Added 7.99% 7.76% 0.24% Total Value Added:0.24% 0.00%0.60%1.20%-0.60 %-1.20 % Other Manager Value Added Asset Allocation 0.08% 0.58% -0.43 % Total Asset Allocation:-0.43 % Average Active Weight 0.00%0.82%1.64%-0.82 %-1.64 % Cash Account Real Estate Hedge Fund Total Fixed Income Total International Equity Total Small-Cap Equity Total Large-Cap Equity Weight (%)0.64% -0.64 % 0.43% 0.15% -0.26 % 0.04% -0.35 % Asset Allocation Value Added 0.00%0.08%-0.08 %-0.16 %-0.24 % -0.04 % -0.08 % 0.01% -0.07 % -0.01 % -0.11 % -0.12 % Total Manager Value Added:0.58% Manager Value Added 0.00%0.75%1.50%-0.75 %-1.50 % 0.00% -0.60 % 0.00% -0.08 % 0.56% 0.68% 0.02% Total Pension Total Fund Attribution 1 Year Ending September 30, 2020 Page 14 -20.0 -12.0 -4.0 4.0 12.0 20.0 28.0 36.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 Total Pension 4.8 (69)2.7 (53)8.0 (54)5.5 (79)6.5 (93)6.2 (94)16.2 (91)-4.3 (43)12.3 (86)¢ Policy Benchmark 4.3 (86)2.6 (54)7.8 (56)5.8 (75)7.0 (86)6.4 (92)17.4 (84)-4.5 (51)12.2 (87)˜ 5th Percentile 6.7 6.9 12.9 9.4 10.0 9.2 22.5 -1.6 18.1 1st Quartile 5.9 4.5 10.4 7.8 8.9 8.4 20.9 -3.6 16.0 Median 5.3 2.9 8.3 6.8 8.2 7.8 19.9 -4.5 15.1 3rd Quartile 4.7 1.3 6.4 5.7 7.5 7.1 18.2 -5.3 13.4 95th Percentile 3.2 -0.9 3.9 4.0 5.9 6.0 14.7 -6.5 8.5 Population 564 562 560 542 504 402 808 741 637 Plan Sponsor Peer Group Analysis As of September 30, 2020 All Public Plans < $1B-Total Fund Parentheses contain percentile rankings. Page 15 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics Total Pension Policy Benchmark FTSE 3 Month T-Bill -2.0 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 Risk (Standard Deviation %) Total Pension Policy Benchmark 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 12/97 3/00 6/02 9/04 12/06 3/09 6/11 9/13 12/15 3/18 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Pension -0.41 1.07 -0.38 0.98 0.67 -0.70 1.04 6.51 8.23 0.99 Policy Benchmark 0.00 0.00 N/A 1.00 0.75 0.00 1.00 6.98 7.84 1.00 FTSE 3 Month T-Bill -5.92 7.87 -0.75 0.01 N/A 1.18 0.00 1.16 0.24 -0.12 Total Pension Risk Profile As of September 30, 2020Total Pension Page 16 Market Value ($) Current Allocation (%) Target Allocation (%) Minimum Allocation (%) Maximum Allocation (%) Differences (%) Total Pension 295,973,586 100.0 100.0 N/A N/A 0.0 Total Large-Cap Equity 73,699,913 24.9 25.0 20.0 30.0 -0.1 Total Small-Cap Equity 31,462,350 10.6 10.0 5.0 15.0 0.6 Total International Equity 53,822,612 18.2 18.0 13.0 23.0 0.2 Total Fixed Income 102,625,427 34.7 35.0 30.0 40.0 -0.3 Hedge Fund 1,192,794 0.4 0.0 0.0 0.0 0.4 Real Estate 31,211,351 10.5 12.0 7.0 17.0 -1.5 Cash Account 1,959,140 0.7 0.0 0.0 0.0 0.7 Target Allocation Actual Allocation Allocation Differences 0.0%10.0%20.0%30.0%40.0%50.0%-10.0 %-20.0 % Cash Account $1,959.1K Real Estate $31,211.4K Hedge Fund $1,192.8K Total Fixed Income $102,625.4K Total International Equity $53,822.6K Total Small-Cap Equity $31,462.3K Total Large-Cap Equity $73,699.9K 0.0% 12.0% 0.0% 35.0% 18.0% 10.0% 25.0% 0.7% 10.5% 0.4% 34.7% 18.2% 10.6% 24.9% 0.7% -1.5 % 0.4% -0.3 % 0.2% 0.6% -0.1 % Total Pension Asset Allocation Compliance As of September 30, 2020 Page 17 Total Domestic Equity Page 18 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - 5 Years Current Allocation Total Domestic Equity Russell 3000 Index 0.0 6.0 12.0 18.0 24.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years Inception 9/1/13 9.2 5.4 15.0 11.6 13.7 12.5 8.4 3.9 13.4 10.7 12.2 11.5 September 30, 2020 : $105M TimesSquare Small Cap Growth:15.2% Kennedy Mid Cap Value:14.7% BlackRock Russell 1000 Index Fund Non-Lending:70.1% Total Domestic Equity Benchmark 0.92 0.96 1.00 1.04 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 0.94 Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% 4.0% -2.0 % -4.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Domestic Equity Portfolio Overview As of September 30, 2020Total Domestic Equity Page 19 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 2019 2018 2017 Total Domestic Equity 8.4 (41)3.9 (37)13.4 (32)10.7 (37)12.2 (54)30.6 (36)-6.1 (62)20.1 (55)¢ Russell 3000 Index 9.2 (14)5.4 (25)15.0 (25)11.6 (21)13.7 (27)31.0 (29)-5.2 (39)21.1 (31)˜ 5th Percentile 9.8 7.7 17.1 12.7 14.5 32.2 -3.7 24.0 1st Quartile 8.9 5.0 14.7 11.3 13.8 31.3 -5.0 21.4 Median 8.2 3.0 12.1 10.0 12.3 30.0 -5.8 20.3 3rd Quartile 7.5 0.4 8.9 8.8 11.5 27.9 -6.8 18.7 95th Percentile 6.6 -5.1 1.6 5.0 8.4 24.4 -9.1 16.7 Population 71 64 63 58 56 64 65 87 Plan Sponsor Peer Group Analysis As of September 30, 2020 All Public Plans-US Equity Segment Parentheses contain percentile rankings. Page 20 Annualized Return vs. Annualized Standard Deviation 3 Years Rolling 3 Years Standard Deviation 3 Years Historical Statistics Total Domestic Equity Russell 3000 Index FTSE 3 Month T-Bill -3.0 0.0 3.0 6.0 9.0 12.0 15.0 18.0 Return (%)0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 Risk (Standard Deviation %) Total Domestic Equity Russell 3000 Index 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Domestic Equity -0.73 1.41 -0.52 1.00 0.54 -1.12 1.03 10.70 19.05 1.00 Russell 3000 Index 0.00 0.00 N/A 1.00 0.60 0.00 1.00 11.65 18.44 1.00 FTSE 3 Month T-Bill -11.11 18.48 -0.60 0.03 N/A 1.68 0.00 1.65 0.21 -0.18 Total Domestic Equity Risk Profile As of September 30, 2020Total Domestic Equity Page 21 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information BlackRock Russell 1000 Index Fund Non-Lending Russell 1000 Index 0.0 6.0 12.0 18.0 24.0 Return1 Quarter Year To Date 1 Year 3 Years Inception 3/1/17 9.5 6.4 16.0 12.4 12.6 9.5 6.6 16.2 12.4 12.6 Account Name:BlackRock Russell 1000 Index Fund Non-Lending Inception Date:03/01/2017 Account Structure:Commingled Fund Asset Class:US Equity Benchmark:Russell 1000 Index Peer Group:IM U.S. Equity (SA+CF) Quarterly Out Performance Quarterly Under Performance 0.0% 0.2% 0.4% -0.2 % -0.4 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 BlackRock Russell 1000 Index Fund Non-Lending Benchmark 0.99 1.00 1.01 2/17 8/17 2/18 8/18 2/19 8/19 2/20 9/20 1.00 BlackRock Russell 1000 Index Fund Non-Lending Performance Summary As of September 30, 2020BlackRock Russell 1000 Index Fund Non-Lending Page 22 -55.0 -40.0 -25.0 -10.0 5.0 20.0 35.0 50.0 65.0 80.0 Return1 Quarter Year To Date 1 Year 3 Years 2019 BlackRock Russell 1000 Index Fund Non-Lending 9.5 (27)6.6 (31)16.2 (30)12.4 (30)31.4 (28)¢ Russell 1000 Index 9.5 (27)6.4 (31)16.0 (31)12.4 (30)31.4 (28)˜ 5th Percentile 13.7 29.4 43.1 23.5 39.1 1st Quartile 9.6 10.7 19.5 13.7 31.8 Median 6.7 -3.3 3.9 6.0 27.8 3rd Quartile 4.1 -13.4 -7.0 -0.2 23.3 95th Percentile 0.4 -23.5 -17.7 -6.5 14.2 Population 1,483 1,478 1,458 1,386 1,742 BlackRock Russell 1000 Index Fund Non-Lending Peer Group Analysis As of September 30, 2020 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 23 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information Kennedy Mid Cap Value Russell Midcap Value Index 0.0 10.0 20.0 -10.0 -20.0 -30.0Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 2/1/08 6.4 -12.8 -7.3 0.8 6.4 9.7 7.36.5 -11.0 -3.5 1.4 7.5 9.7 8.4 Account Name:Kennedy Mid Cap Value Inception Date:01/02/2008 Account Structure:Commingled Fund Asset Class:US Equity Benchmark:Russell Midcap Value Index Peer Group:IM U.S. Equity (SA+CF) Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Kennedy Mid Cap Value Benchmark 0.80 1.00 1.20 1.40 1/08 4/09 7/10 10/11 1/13 4/14 7/15 10/16 1/18 4/19 9/20 1.14 Kennedy Mid Cap Value Performance Summary As of September 30, 2020Kennedy Mid Cap Value Page 24 -55.0 -40.0 -25.0 -10.0 5.0 20.0 35.0 50.0 65.0 80.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 Kennedy Mid Cap Value 6.5 (53)-11.0 (68)-3.5 (65)1.4 (68)7.5 (63)9.7 (65)28.6 (45)-14.5 (85)18.0 (52)¢ Russell Midcap Value Index 6.4 (54)-12.8 (74)-7.3 (76)0.8 (71)6.4 (71)9.7 (65)27.1 (55)-12.3 (73)13.3 (76)˜ 5th Percentile 13.7 29.4 43.1 23.5 20.5 17.2 39.1 2.7 32.3 1st Quartile 9.6 10.7 19.5 13.7 14.1 13.8 31.8 -3.9 23.7 Median 6.7 -3.3 3.9 6.0 9.6 11.1 27.8 -7.8 18.4 3rd Quartile 4.1 -13.4 -7.0 -0.2 5.7 8.8 23.3 -12.7 13.4 95th Percentile 0.4 -23.5 -17.7 -6.5 1.6 6.1 14.2 -18.9 5.5 Population 1,483 1,478 1,458 1,386 1,317 1,098 1,742 1,835 1,906 Kennedy Mid Cap Value Peer Group Analysis As of September 30, 2020 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 25 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics Kennedy Mid Cap Value Russell Midcap Value Index FTSE 3 Month T-Bill -2.0 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 Risk (Standard Deviation %) Kennedy Mid Cap Value Russell Midcap Value Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Kennedy Mid Cap Value 0.94 3.39 0.28 0.96 0.44 1.26 0.96 7.49 17.55 0.98 Russell Midcap Value Index 0.00 0.00 N/A 1.00 0.37 0.00 1.00 6.38 17.94 1.00 FTSE 3 Month T-Bill -6.72 17.98 -0.37 0.02 N/A 1.17 0.00 1.16 0.24 -0.14 Kennedy Mid Cap Value Risk Profile As of September 30, 2020Kennedy Mid Cap Value Page 26 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 24.0 32.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 2/1/02 7.2 3.9 15.7 8.2 11.4 12.3 8.4 6.1 7.3 18.3 11.6 12.5 13.2 10.4 Account Name:TimesSquare Small Cap Growth Inception Date:02/01/2002 Account Structure:Commingled Fund Asset Class:US Equity Benchmark:Russell 2000 Growth Index Peer Group:IM U.S. Equity (SA+CF) Quarterly Out Performance Quarterly Under Performance 0.0% 4.0% 8.0% 12.0% -4.0 % -8.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 TimesSquare Small Cap Growth Benchmark 0.80 1.00 1.20 1.40 1.60 1.80 1/02 10/03 7/05 4/07 1/09 10/10 7/12 4/14 1/16 10/17 9/20 1.41 TimesSquare Small Cap Growth Performance Summary As of September 30, 2020TimesSquare Small Cap Growth Page 27 -55.0 -40.0 -25.0 -10.0 5.0 20.0 35.0 50.0 65.0 80.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 TimesSquare Small Cap Growth 6.1 (58)7.3 (29)18.3 (27)11.6 (35)12.5 (40)13.2 (40)28.2 (53)-4.2 (30)21.1 (42)¢ Russell 2000 Growth Index 7.2 (49)3.9 (39)15.7 (31)8.2 (47)11.4 (46)12.3 (49)28.5 (51)-9.3 (63)22.2 (35)˜ 5th Percentile 13.8 29.5 43.2 23.9 21.0 17.6 39.2 3.2 32.8 1st Quartile 9.6 10.0 19.3 14.0 14.7 14.4 32.4 -3.4 24.2 Median 6.9 -2.6 5.4 6.9 10.5 12.1 28.6 -7.1 19.2 3rd Quartile 4.5 -12.5 -5.9 0.7 6.7 9.8 24.4 -11.6 14.5 95th Percentile 0.6 -22.7 -17.0 -5.7 2.5 7.2 15.0 -17.8 6.4 Population 1,794 1,791 1,789 1,759 1,685 1,450 2,244 2,467 2,566 TimesSquare Small Cap Growth Peer Group Analysis As of September 30, 2020 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 28 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics TimesSquare Small Cap Growth Russell 2000 Growth Index FTSE 3 Month T-Bill -4.0 0.0 4.0 8.0 12.0 16.0 20.0 Return (%)0.0 5.0 10.0 15.0 20.0 25.0 30.0 Risk (Standard Deviation %) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation TimesSquare Small Cap Growth 0.95 4.55 0.21 0.95 0.63 1.27 0.98 12.48 20.16 0.97 Russell 2000 Growth Index 0.00 0.00 N/A 1.00 0.58 0.00 1.00 11.42 20.13 1.00 FTSE 3 Month T-Bill -11.77 20.17 -0.58 0.02 N/A 1.18 0.00 1.16 0.24 -0.14 TimesSquare Small Cap Growth Risk Profile As of September 30, 2020TimesSquare Small Cap Growth Page 29 Asset Allocation As of 09/30/2020 0.0%50.0%100.0%150.0% Other Convertibles Cash Fixed Income Equities 0.0% 0.0% 1.9% 2.9% 95.2% Fund Characteristics As of 09/30/2020 Total Securities 112 Avg. Market Cap $3,481.87 Million P/E 41.82 P/B 7.44 Div. Yield 1.78% Annual EPS -1.85 5Yr EPS 19.01 3Yr EPS Growth 17.08 Top Ten Securities As of 09/30/2020 Q2 Holdings Inc ORD 1.79 % Bandwidth Inc ORD 1.66 % Acceleron Pharma Inc ORD 1.65 % SailPoint Technologies Holdings 1.63 % JPMorgan US Government Money Market 1.59 % Dreyfus Government Cash Management;Insti 1.54 % Dreyfus Inst Preferred Govt Money 1.54 % National Vision Holdings Inc ORD 1.50 % Rexnord Corp ORD 1.47 % Blueprint Medicines Corp ORD 1.34 % Sector/Quality Allocation As of 09/30/2020 0.0%8.0%16.0%24.0%32.0% Health Care Industrials Information Technology Consumer Discretionary Financials Non Classified Equity Consumer Staples Telecommunication Services Materials Utilities 20.6% 20.2% 19.5% 10.4% 9.8% 8.7% 2.3% 2.1% 1.0% 0.7% TimesSquare Small Cap Growth Mutual Fund Attributes As of September 30, 2020 Page 30 (This Page Left Blank Intentionally) Page 31 Total International Equity Page 32 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - 5 Years Current Allocation Total International Equity MSCI AC World ex USA Index (Net) 0.0 6.0 12.0 -6.0 -12.0Return 1 Quarter Year To Date 1 Year 3 Years 5 Years Inception 9/1/13 6.3 -5.4 3.0 1.2 6.2 4.1 6.1 -2.4 6.1 1.5 5.6 4.1 September 30, 2020 : $54M Morgan Stanley Emerging Markets Fund:34.6% Morgan Stanley International Equity:65.4% Total International Equity Benchmark 0.92 0.96 1.00 1.04 1.08 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 0.97 Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total International Equity Portfolio Overview As of September 30, 2020Total International Equity Page 33 -40.0 -25.0 -10.0 5.0 20.0 35.0 50.0 65.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 2019 2018 2017 Total International Equity 6.1 (79)-2.4 (40)6.1 (49)1.5 (78)5.6 (95)20.2 (96)-14.6 (75)28.0 (65)¢ MSCI AC World ex USA Index (Net)6.3 (78)-5.4 (75)3.0 (73)1.2 (81)6.2 (81)21.5 (86)-14.2 (61)27.2 (74)˜ 5th Percentile 11.0 10.5 19.8 7.3 10.6 30.6 -10.6 33.3 1st Quartile 8.5 -0.4 9.4 4.2 8.4 25.9 -13.1 30.1 Median 7.5 -3.4 5.9 2.4 7.4 23.7 -13.6 28.8 3rd Quartile 6.3 -5.5 3.0 1.6 6.4 22.4 -14.6 26.7 95th Percentile 4.6 -8.5 0.2 0.1 5.4 20.3 -16.5 24.1 Population 70 65 65 62 60 65 68 83 Plan Sponsor Peer Group Analysis As of September 30, 2020 All Public Plans-Intl. Equity Segment Parentheses contain percentile rankings. Page 34 Annualized Return vs. Annualized Standard Deviation 3 Years Rolling 3 Years Standard Deviation 3 Years Historical Statistics Total International Equity MSCI AC World ex USA Index (Net) FTSE 3 Month T-Bill 0.8 1.0 1.2 1.4 1.6 1.8 2.0 Return (%)0.0 4.0 8.0 12.0 16.0 20.0 24.0 Risk (Standard Deviation %) Total International Equity MSCI AC World ex USA Index (Net) 0.0 4.0 8.0 12.0 16.0 20.0 24.0 12/17 6/18 12/18 6/19 12/19 6/20 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total International Equity 0.26 3.13 0.08 0.96 0.07 0.35 0.97 1.47 15.96 0.98 MSCI AC World ex USA Index (Net)0.00 0.00 N/A 1.00 0.05 0.00 1.00 1.16 16.23 1.00 FTSE 3 Month T-Bill -0.84 16.27 -0.05 0.04 N/A 1.66 0.00 1.65 0.21 -0.19 Total International Equity Risk Profile As of September 30, 2020Total International Equity Page 35 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information Morgan Stanley International Equity MSCI EAFE Index (Net) 0.0 6.0 12.0 -6.0 -12.0Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 4.8 -7.1 0.5 0.6 5.3 4.6 4.23.5 -2.5 4.7 1.7 5.1 5.2 4.3 Account Name:Morgan Stanley International Equity Inception Date:04/01/2005 Account Structure:Mutual Fund Asset Class:International Equity Benchmark:MSCI EAFE Index (Net) Peer Group:IM International Equity (MF) Quarterly Out Performance Quarterly Under Performance 0.0% 4.0% 8.0% -4.0 % -8.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Morgan Stanley International Equity Benchmark 0.72 0.81 0.90 0.99 1.08 1.17 3/05 9/06 3/08 9/09 3/11 9/12 3/14 9/15 3/17 9/18 9/20 1.01 Morgan Stanley International Equity Performance Summary As of September 30, 2020Morgan Stanley International Equity Page 36 -60.0 -40.0 -20.0 0.0 20.0 40.0 60.0 80.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 Morgan Stanley International Equity 3.5 (83)-2.5 (46)4.7 (52)1.7 (45)5.1 (67)5.2 (38)20.4 (61)-13.8 (31)25.2 (73)¢ MSCI EAFE Index (Net)4.8 (74)-7.1 (65)0.5 (67)0.6 (55)5.3 (65)4.6 (48)22.0 (48)-13.8 (31)25.0 (74)˜ 5th Percentile 14.9 18.2 32.2 10.2 14.3 9.7 33.0 -7.6 47.1 1st Quartile 10.2 3.0 14.2 4.4 9.0 6.1 26.2 -12.9 35.6 Median 7.5 -3.5 5.1 1.0 6.3 4.5 21.8 -15.7 28.6 3rd Quartile 4.7 -9.8 -2.2 -1.9 4.3 2.4 18.0 -18.5 24.9 95th Percentile 0.5 -22.3 -15.2 -7.6 0.4 -1.8 8.3 -23.5 16.7 Population 787 787 787 787 787 444 832 881 903 Morgan Stanley International Equity Peer Group Analysis As of September 30, 2020 IM International Equity (MF) Parentheses contain percentile rankings. Page 37 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics Morgan Stanley International Equity MSCI EAFE Index (Net) FTSE 3 Month T-Bill -1.5 0.0 1.5 3.0 4.5 6.0 7.5 Return (%)0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 Risk (Standard Deviation %) Morgan Stanley International Equity MSCI EAFE Index (Net) 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Morgan Stanley International Equity -0.27 4.38 -0.06 0.90 0.35 0.28 0.91 5.07 13.42 0.95 MSCI EAFE Index (Net)0.00 0.00 N/A 1.00 0.35 0.00 1.00 5.26 14.01 1.00 FTSE 3 Month T-Bill -4.97 14.04 -0.35 0.02 N/A 1.17 0.00 1.16 0.24 -0.15 Morgan Stanley International Equity Risk Profile As of September 30, 2020Morgan Stanley International Equity Page 38 Asset Allocation As of 09/30/2020 0.0%50.0%100.0%150.0% Other Convertibles Cash Fixed Income Equities 0.0% 0.0% 0.5% 1.5% 98.1% Fund Characteristics As of 09/30/2020 Total Securities 65 Avg. Market Cap $99,175.71 Million P/E 28.02 P/B 4.67 Div. Yield 2.63% Annual EPS 1.85 5Yr EPS 8.68 3Yr EPS Growth 8.51 Top Ten Securities As of 09/30/2020 Reckitt Benckiser Group PLC ORD 4.65 % Henkel AG & Co KGaA PFD 4.11 % SAP SE ORD 3.77 % Sanofi SA ORD 3.34 % Fresenius SE & Co KGaA ORD 3.06 % Novartis AG ORD 2.91 % Relx PLC ORD 2.88 % Tencent Holdings Ltd ORD 2.83 % Barrick Gold Corp ORD 2.78 % AIA Group Ltd ORD 2.78 % Sector/Quality Allocation As of 09/30/2020 0.0%15.0%30.0%45.0% Consumer Staples Health Care Information Technology Financials Industrials Materials Consumer Discretionary Energy 31.2% 18.1% 15.2% 11.9% 10.4% 6.1% 3.5% 1.6% Morgan Stanley International Equity Mutual Fund Attributes As of September 30, 2020 Page 39 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information Morgan Stanley Emerging Markets Fund MSCI Emerging Markets Index (Net) 0.0 8.0 16.0 24.0 -8.0Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 9.6 -1.2 10.5 2.4 9.0 2.5 7.0 11.1 -2.4 8.5 0.5 6.7 2.1 6.4 Account Name:Morgan Stanley Emerging Markets Fund Inception Date:04/01/2005 Account Structure:Mutual Fund Asset Class:International Equity Benchmark:MSCI Emerging Markets Index (Net) Peer Group:IM Emerging Markets Equity (MF) Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Morgan Stanley Emerging Markets Fund Benchmark 0.70 0.80 0.90 1.00 1.10 1.20 3/05 9/06 3/08 9/09 3/11 9/12 3/14 9/15 3/17 9/18 9/20 0.92 Morgan Stanley Emerging Markets Fund Performance Summary As of September 30, 2020Morgan Stanley Emerging Markets Fund Page 40 -55.0 -40.0 -25.0 -10.0 5.0 20.0 35.0 50.0 65.0 80.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 Morgan Stanley Emerging Markets Fund 11.1 (24)-2.4 (54)8.5 (54)0.5 (63)6.7 (70)2.1 (53)19.5 (50)-17.3 (62)35.0 (51)¢ MSCI Emerging Markets Index (Net)9.6 (44)-1.2 (45)10.5 (41)2.4 (42)9.0 (36)2.5 (41)18.4 (58)-14.6 (34)37.3 (38)˜ 5th Percentile 15.7 17.1 30.4 9.8 14.9 6.0 31.2 -8.6 46.6 1st Quartile 11.0 2.8 15.1 4.1 10.4 3.6 24.5 -13.5 39.6 Median 9.2 -1.9 9.1 1.6 7.9 2.1 19.4 -16.0 35.0 3rd Quartile 6.8 -7.5 1.6 -1.1 5.7 1.0 15.2 -18.7 28.4 95th Percentile 1.0 -22.8 -15.9 -7.9 0.3 -3.6 6.1 -23.1 19.7 Population 203 203 203 203 203 95 220 233 240 Morgan Stanley Emerging Markets Fund Peer Group Analysis As of September 30, 2020 IM Emerging Markets Equity (MF) Parentheses contain percentile rankings. Page 41 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics Morgan Stanley Emerging Markets Fund MSCI Emerging Markets Index (Net) FTSE 3 Month T-Bill -3.0 0.0 3.0 6.0 9.0 12.0 Return (%)0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 Risk (Standard Deviation %) Morgan Stanley Emerging Markets Fund MSCI Emerging Markets Index (Net) 0.0 6.0 12.0 18.0 24.0 30.0 36.0 42.0 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Morgan Stanley Emerging Markets Fund -2.09 4.13 -0.51 0.94 0.39 -1.82 0.97 6.69 17.41 0.97 MSCI Emerging Markets Index (Net)0.00 0.00 N/A 1.00 0.51 0.00 1.00 8.97 17.36 1.00 FTSE 3 Month T-Bill -8.96 17.41 -0.51 0.04 N/A 1.19 0.00 1.16 0.24 -0.20 Morgan Stanley Emerging Markets Fund Risk Profile As of September 30, 2020Morgan Stanley Emerging Markets Fund Page 42 Asset Allocation As of 09/30/2020 0.0%50.0%100.0%150.0% Other Convertibles Cash Fixed Income Equities 0.0% 0.0% 0.5% 1.1% 98.4% Fund Characteristics As of 09/30/2020 Total Securities 92 Avg. Market Cap $212,582.41 Million P/E 34.14 P/B 7.10 Div. Yield 1.72% Annual EPS 12.47 5Yr EPS 19.35 3Yr EPS Growth 21.15 Top Ten Securities As of 09/30/2020 Taiwan Semiconductor Manufacturing 8.21 % Tencent Holdings Ltd ORD 7.59 % Alibaba Group Holding Ltd DR 6.68 % Samsung Electronics Co Ltd ORD 4.78 % Kweichow Moutai Co Ltd ORD 3.31 % Alibaba Group Holding Ltd ORD 2.70 % ASML Holding NV DR 2.36 % China Mengniu Dairy Co Ltd ORD 1.79 % China Resources Beer Holdings Co 1.78 % Yandex NV ORD 1.75 % Sector/Quality Allocation As of 09/30/2020 0.0%15.0%30.0%45.0%60.0% Information Technology Consumer Discretionary Consumer Staples Financials Industrials Health Care Energy Materials Telecommunication Services 34.8% 19.6% 13.2% 10.2% 6.0% 5.7% 4.7% 2.6% 1.6% Morgan Stanley Emerging Markets Fund Mutual Fund Attributes As of September 30, 2020 Page 43 Total Fixed Income Page 44 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - 5 Years Current Allocation Total Fixed Income Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 3.0 6.0 9.0 12.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 7/1/03 0.6 5.9 6.3 4.4 3.4 2.9 3.6 2.0 5.4 6.6 4.5 4.6 3.6 4.5 September 30, 2020 : $103M Income Research:38.5% Brandywine Global Opportunistic Fixed Income:24.0% Prudential Core Plus Bond:37.5% Total Fixed Income Benchmark 0.96 1.00 1.04 1.08 1.12 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 1.06 Quarterly Out Performance Quarterly Under Performance 0.0% 4.0% 8.0% -4.0 % -8.0 % -12.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Total Fixed Income Portfolio Overview As of September 30, 2020Total Fixed Income Page 45 -12.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 Total Fixed Income 2.0 (25)5.4 (75)6.6 (64)4.5 (88)4.6 (75)3.6 (77)9.1 (53)-1.0 (77)6.3 (16)¢ Blmbg. Barc. Intermed. U.S. Government/Credit 0.6 (88)5.9 (67)6.3 (69)4.4 (89)3.4 (95)2.9 (93)6.8 (92)0.9 (14)2.1 (96)˜ 5th Percentile 2.7 12.1 10.2 6.5 6.0 6.4 11.9 1.6 7.5 1st Quartile 1.9 8.3 8.2 5.9 5.5 5.0 10.3 0.5 5.7 Median 1.7 6.8 7.2 5.4 5.0 4.4 9.3 -0.2 4.5 3rd Quartile 1.0 5.2 6.0 4.9 4.6 3.9 8.0 -0.9 3.4 95th Percentile 0.1 2.3 3.8 3.8 3.3 2.8 6.2 -3.5 2.2 Population 75 69 68 65 63 45 68 72 84 Plan Sponsor Peer Group Analysis As of September 30, 2020 All Public Plans-US Fixed Income Segment Parentheses contain percentile rankings. Page 46 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics Total Fixed Income Blmbg. Barc. Intermed. U.S. Government/Credit FTSE 3 Month T-Bill -1.5 0.0 1.5 3.0 4.5 6.0 Return (%)0.0 0.8 1.6 2.4 3.2 4.0 4.8 5.6 6.4 Risk (Standard Deviation %) Total Fixed Income Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 2.0 4.0 6.0 8.0 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Fixed Income 1.21 3.06 0.40 0.54 0.79 -0.09 1.39 4.58 4.32 0.74 Blmbg. Barc. Intermed. U.S. Government/Credit 0.00 0.00 N/A 1.00 0.98 0.00 1.00 3.39 2.30 1.00 FTSE 3 Month T-Bill -2.22 2.26 -0.98 0.05 N/A 1.08 0.02 1.16 0.24 0.22 Total Fixed Income Risk Profile As of September 30, 2020Total Fixed Income Page 47 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information Income Research Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 3.0 6.0 9.0 12.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 7/1/01 0.6 5.9 6.3 4.4 3.4 2.9 4.2 1.0 6.9 7.1 4.7 3.6 3.2 4.7 Account Name:Income Research Inception Date:07/01/2001 Account Structure:Commingled Fund Asset Class:US Fixed Income Benchmark:Blmbg. Barc. Intermed. U.S. Government/Credit Peer Group:IM U.S. Intermediate Duration (SA+CF) Quarterly Out Performance Quarterly Under Performance 0.0% 0.7% 1.4% 2.1% -0.7 % -1.4 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Income Research Benchmark 0.96 1.02 1.08 1.14 1.20 6/01 6/03 6/05 6/07 6/09 6/11 6/13 6/15 6/17 9/20 1.10 Income Research Performance Summary As of September 30, 2020Income Research Page 48 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 Income Research 1.0 (29)6.9 (7)7.1 (10)4.7 (17)3.6 (32)3.2 (36)6.7 (42)0.8 (41)2.0 (75)¢ Blmbg. Barc. Intermed. U.S. Government/Credit 0.6 (62)5.9 (39)6.3 (37)4.4 (37)3.4 (50)2.9 (60)6.8 (39)0.9 (37)2.1 (64)˜ 5th Percentile 1.7 7.3 7.6 5.2 4.6 4.3 8.5 1.5 4.4 1st Quartile 1.1 6.2 6.6 4.6 3.7 3.3 7.0 1.0 2.7 Median 0.7 5.7 6.1 4.3 3.4 3.0 6.6 0.7 2.2 3rd Quartile 0.5 4.9 5.3 4.0 3.1 2.7 5.9 0.4 2.0 95th Percentile 0.3 2.6 3.1 2.8 2.0 1.9 4.5 -0.7 1.4 Population 86 86 85 83 82 70 104 108 112 Income Research Peer Group Analysis As of September 30, 2020 IM U.S. Intermediate Duration (SA+CF) Parentheses contain percentile rankings. Page 49 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics Income Research Blmbg. Barc. Intermed. U.S. Government/Credit FTSE 3 Month T-Bill 0.0 0.8 1.6 2.4 3.2 4.0 4.8 Return (%)0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 Risk (Standard Deviation %) Income Research Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 0.9 1.8 2.7 3.6 4.5 5.4 6.3 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Income Research 0.16 0.47 0.35 0.96 1.04 0.21 0.98 3.56 2.31 0.98 Blmbg. Barc. Intermed. U.S. Government/Credit 0.00 0.00 N/A 1.00 0.98 0.00 1.00 3.39 2.30 1.00 FTSE 3 Month T-Bill -2.22 2.26 -0.98 0.05 N/A 1.08 0.02 1.16 0.24 0.22 Income Research Risk Profile As of September 30, 2020Income Research Page 50 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information Prudential Core Plus Bond Blmbg. Barc. U.S. Aggregate 0.0 3.0 6.0 9.0 12.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years Inception 6/1/15 0.6 6.8 7.0 5.2 4.2 3.9 2.1 6.5 7.0 6.1 5.7 5.2 Account Name:Prudential Core Plus Bond Inception Date:06/01/2015 Account Structure:Commingled Fund Asset Class:US Fixed Income Benchmark:Blmbg. Barc. U.S. Aggregate Peer Group:IM U.S. Broad Market Core+ Fixed Income (SA+CF) Quarterly Out Performance Quarterly Under Performance 0.0% 5.0% 10.0% -5.0 % -10.0 % 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 Prudential Core Plus Bond Benchmark 0.95 1.00 1.05 1.10 1.15 5/15 11/15 5/16 11/16 5/17 11/17 5/18 11/18 5/19 11/19 9/20 1.07 Prudential Core Plus Bond Performance Summary As of September 30, 2020Prudential Core Plus Bond Page 51 -12.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 2019 2018 2017 Prudential Core Plus Bond 2.1 (24)6.5 (50)7.0 (49)6.1 (7)5.7 (13)11.3 (12)-0.4 (39)6.6 (11)¢ Blmbg. Barc. U.S. Aggregate 0.6 (98)6.8 (45)7.0 (48)5.2 (56)4.2 (79)8.7 (76)0.0 (19)3.5 (83)˜ 5th Percentile 3.4 8.5 8.7 6.3 6.4 13.4 1.0 7.5 1st Quartile 2.0 7.5 7.9 5.7 5.2 10.6 -0.2 5.1 Median 1.6 6.5 6.9 5.3 4.7 9.5 -0.8 4.5 3rd Quartile 1.3 5.1 5.8 4.7 4.2 8.7 -1.5 3.8 95th Percentile 0.7 0.6 1.1 1.2 2.4 6.7 -3.6 2.9 Population 94 93 92 89 88 118 117 128 Prudential Core Plus Bond Peer Group Analysis As of September 30, 2020 IM U.S. Broad Market Core+ Fixed Income (SA+CF) Parentheses contain percentile rankings. Page 52 Annualized Return vs. Annualized Standard Deviation 3 Years Rolling 3 Years Standard Deviation 3 Years Historical Statistics Prudential Core Plus Bond Blmbg. Barc. U.S. Aggregate FTSE 3 Month T-Bill 0.0 2.0 4.0 6.0 8.0 Return (%)0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Risk (Standard Deviation %) Prudential Core Plus Bond Blmbg. Barc. U.S. Aggregate 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Prudential Core Plus Bond 0.91 3.77 0.24 0.58 0.79 -0.50 1.27 6.09 5.63 0.76 Blmbg. Barc. U.S. Aggregate 0.00 0.00 N/A 1.00 1.06 0.00 1.00 5.24 3.37 1.00 FTSE 3 Month T-Bill -3.54 3.33 -1.06 0.04 N/A 1.59 0.01 1.65 0.21 0.19 Prudential Core Plus Bond Risk Profile As of September 30, 2020Prudential Core Plus Bond Page 53 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information Brandywine Global Opportunistic Fixed Income FTSE World Government Bond Index 0.0 3.0 6.0 9.0 12.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/05 2.9 7.1 6.8 4.4 3.9 1.9 3.03.4 1.0 5.2 1.4 4.3 3.6 5.0 Account Name:Brandywine Global Opportunistic Fixed Income Inception Date:01/01/2005 Account Structure:Commingled Fund Asset Class:International Fixed Income Benchmark:FTSE World Government Bond Index Peer Group:IM Global Fixed Income (SA+CF) Quarterly Out Performance Quarterly Under Performance 0.0% 10.0% 20.0% -10.0 % -20.0 % -30.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 Brandywine Global Opportunistic Fixed Income Benchmark 0.60 0.90 1.20 1.50 1.80 12/04 6/06 12/07 6/09 12/10 6/12 12/13 6/15 12/16 6/18 9/20 1.34 Brandywine Global Opportunistic Fixed Income Performance Summary As of September 30, 2020Brandywine Global Opportunistic Fixed Income Page 54 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 Return1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2019 2018 2017 Brandywine Global Opportunistic Fixed Income 3.4 (49)1.0 (63)5.2 (39)1.4 (89)4.3 (63)3.6 (51)9.3 (48)-5.2 (89)12.8 (4)¢ FTSE World Government Bond Index 2.9 (63)7.1 (14)6.8 (23)4.4 (33)3.9 (72)1.9 (94)5.9 (87)-0.8 (24)7.5 (46)˜ 5th Percentile 5.8 8.4 9.1 6.3 6.7 6.2 15.1 1.5 11.8 1st Quartile 4.1 5.8 6.7 4.6 5.8 5.0 13.0 -1.1 9.0 Median 3.4 2.5 4.3 3.7 4.7 3.6 9.0 -2.4 7.3 3rd Quartile 2.3 -0.7 1.8 2.5 3.9 2.5 7.8 -3.9 5.2 95th Percentile 1.1 -4.8 -2.0 0.0 2.4 1.7 4.0 -7.0 2.4 Population 141 141 140 135 132 80 160 175 186 Brandywine Global Opportunistic Fixed Income Peer Group Analysis As of September 30, 2020 IM Global Fixed Income (SA+CF) Parentheses contain percentile rankings. Page 55 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics Brandywine Global Opportunistic Fixed Income FTSE World Government Bond Index FTSE 3 Month T-Bill -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Risk (Standard Deviation %) Brandywine Global Opportunistic Fixed Income FTSE World Government Bond Index 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Brandywine Global Opportunistic Fixed Income 0.62 6.77 0.09 0.46 0.38 0.06 1.14 4.32 9.14 0.68 FTSE World Government Bond Index 0.00 0.00 N/A 1.00 0.53 0.00 1.00 3.95 5.43 1.00 FTSE 3 Month T-Bill -2.87 5.43 -0.53 0.00 N/A 1.15 0.00 1.16 0.24 0.02 Brandywine Global Opportunistic Fixed Income Risk Profile As of September 30, 2020Brandywine Global Opportunistic Fixed Income Page 56 (This Page Left Blank Intentionally) Page 57 Real Estate Page 58 Return Summary Quarterly Excess Performance Ratio of Cumulative Wealth - Since Inception Account Information UBS Trumbull Property Fund NCREIF Property Index 0.0 6.0 12.0 18.0 -6.0 -12.0Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 6/1/06 0.7 0.5 2.0 5.1 6.3 9.4 7.1 -0.4 -2.8 -3.0 0.7 2.8 6.6 4.6 Account Name:UBS Trumbull Property Fund Inception Date:06/01/2006 Account Structure:Commingled Fund Asset Class:US Private Real Estate Benchmark:NCREIF Property Index Peer Group: Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% -3.0 % -6.0 % -9.0 % 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 9/20 UBS Trumbull Property Fund Benchmark 0.60 0.80 1.00 1.20 5/06 11/07 5/09 11/10 5/12 11/13 5/15 11/16 5/18 9/20 0.71 UBS Trumbull Property Fund Performance Summary As of September 30, 2020UBS Trumbull Property Fund Page 59 Annualized Return vs. Annualized Standard Deviation 5 Years Rolling 5 Years Standard Deviation 5 Years Historical Statistics UBS Trumbull Property Fund NCREIF Property Index FTSE 3 Month T-Bill -1.5 0.0 1.5 3.0 4.5 6.0 7.5 9.0 Return (%)0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 Risk (Standard Deviation %) UBS Trumbull Property Fund NCREIF Property Index 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 9/20 Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation UBS Trumbull Property Fund -3.35 2.40 -1.40 0.44 0.50 -5.51 1.37 2.77 3.12 0.66 NCREIF Property Index 0.00 0.00 N/A 1.00 3.14 0.00 1.00 6.28 1.51 1.00 FTSE 3 Month T-Bill -4.99 1.59 -3.14 0.00 N/A 1.26 -0.02 1.16 0.43 -0.06 UBS Trumbull Property Fund Risk Profile As of September 30, 2020UBS Trumbull Property Fund Page 60 (This Page Left Blank Intentionally) Page 61 Market Environment Page 62 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Global Equity Markets 8.1%6.8%9.1% 0.8% 7.4%6.5% 2.1% 6.7% 3.2% 9.8%9.6% 3.5% 14.5% -14.5% 6.8% -1.7%-0.4% 5.6% -4.4% 10.1% -20% -10% 0% 10% 20% ACWI IMI 42.6% ACWI ex-U.S. IMI 57.4% US A IMI 3.8% UK IMI 7.4% Japa n IMI 2.8% Ca na da IMI 0.2% Israel IMI 13.1% Europe ex-UK IMI 3.2% Pacific ex-Ja pa n IMI 12.2% Emergi ng Ma rkets IMI GLOBAL MSCI IMI INDEX RETURNS (US D) AS OF 09/30/2020 Third Q uarter 2020 On e-Year Source: MSCI Global equities continued their rebound over the third quarter as they broke through their pre-pandemic all time highs in early September. This performance was supported by optimism over progress in Covid-19 vaccine trials and supportive monetary and fiscal policies. However, rising fears of a second wave coronavirus outbreak and failure to agree further fiscal stimulus reversed some of the equity market‘s gains, bringing the MSCI AC World Investable Market Index’s local currency return over the quarter to 6.9%. Depreciation of the U.S. dollar further pushed up the returns to 8.1% in USD terms. Emerging Markets equities were the best performers with a return of 9.8% over the quarter, supported by strong returns from the Consumer Discretionary and Information Te chnology sectors. Chinese equities continued their strong performance, boosted by the government’s successful containment of Covid-19, despite increasing U.S.- China tensions. UK equities were the worst performer, returning 0.8% over the quarter. The UK’s economy contracted by 19.8% over the second quarter, the worst Q2 contraction of any major developed economy. Heightened Brexit uncertainty also weighed on UK equities, as trade negotiations continue ahead of the end of the transition period in December. Page 63 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Global Equity Markets The two exhibits on this slide illustrate the percentage that each country/region represents of the global and international equity markets as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex-U.S. IMI Index, respectively. Page 64 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. U.S. Equity Markets 9.2%5.2% 14.0% 6.4%9.4% 2.6%7.2% 15.0% -3.9% 41.2% -7.3% 23.2% -14.9% 15.7% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% Russell 3000 29.6% Large Value 41.2% Large Gr owth 15.0% Medium Value 8.5% Medium Gr owth 2.7% Small Value 3.0% Small Gr owth RUS SELL STYL E RETURNS AS OF 09/30/2020 Third Q uarter 2020 One-Year Sourc e: Russell Indexes U.S. equities ended the quarter above the pre-pandemic high set in February 2020, as rebounding economic data and strong performances from big tech stocks continued to push equity markets. The U.S. unemployment rate fell to 8.4% in August, down from April’s all-time high of 14.7%, with jobless claims data suggesting that over half of the jobs lost since the start of the pandemic have now been recovered. However, an acrimonious election campaign ahead of November’s presidential election and deadlocked congressional negotiations over a new fiscal stimulus package cast a shadow over the market.The Russell 3000 Index rose 9.2% during the third quarter and 15.0% over the one-year period. Except Energy, all sectors generated positive returns over the quarter. Consumer Discretionary was the best performing sector with a return of 17.5% while the Energy sector fell by 16.4%. Small cap stocks underperformed both large and medium cap stocks over the quarter, whilst Value stocks continued to underperform their Growth counterparts in Q3 2020. 9.2%12.0%6.5% 17.5%7.7% -16.4% 11.9%11.7% 3.3%5.7% 15.0% 47.6% 24.6%29.9% 4.7% -43.0% 9.0% 1.5% -7.9%-5.4% -5 0.0% -4 0.0% -3 0.0% -2 0.0% -1 0.0% 0.0% 10 .0% 20 .0% 30 .0% 40 .0% 50 .0% Russ ell 3000 26.5% Techno logy 14.1% Healthcare 16.4% Cons. Disc 5.5% Cons. Staples 2.0% Energy 1.9% Basic Mate ria ls 13.6% Industrials 9.7% Financials 3.1% Utilities RUSSELL SECTOR RETURNS AS OF 09/30/2020 Third Qu ar te r 20 20 On e-Year Source: Russell Index es . Russell introduced Telecommu nicat ions and Re al Es tate as new sectors on 09/30/2020. Returns for the new sectors have been excluded due to t he lack of historic al data. Page 65 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. U.S. Fixed Income Markets 0.6%0.2% 1.5% 0.1%0.8% 1.7% 7.0% 8.0%7.9% 4.4%4.5% 6.6% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% Bar cl ay s Agg. Bon d 40.6% Gov t 28.6% Corp. 28.1% MBS 0.4% ABS 2.3% CMBS BL OOM BERG BARCLAYS AGGREG ATE RETURNS BY SECTOR AS OF 09/30/2020 Third Q uarter 2020 One-YearSource: Fac tSet 0.2%0.4%0.8%1.3%1.2% 3.4% 5.6% 7.8% 9.3% 12.9% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 1-3 Y r.3-5 Y r.5-7 Y r.7-10 Yr.>10 Yr. BL OOM BERG BARCLAYS AGGREG ATE RETURNS BY MATURI TY A S OF 09/30/2020 Third Q uarter 2020 One-YearSource: FactSet 0.2% 0.9%1.2% 2.1% 4.6% 6.6%6.9% 8.4% 7.0% 3.3% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% Aaa Aa A Baa High Yield BL OOM BERG BARCLAYS AGGREG ATE RETURNS BY QUALITY AND HI GH YIELD RET URNS AS OF 09/30/2020 Third Q uarter 2020 On e-YearSource: Fac tSet The Bloomberg Barclays U.S. Aggregate Bond Index rose by 0.6%. CMBS bonds were the best performer with a return of 1.7%, followed by corporate bonds which rose by 1.5%. Bonds with 7-10 year maturities performed the best with a return of 1.3%. The Federal Reserve (Fed) continued to buy corporate bonds through its $750 billion corporate lending facility, ensuring that demand remains high High yield bonds rose by 4.6%. Within investment grade bonds, Baa bonds outperformed with a return of 2.1%. Page 66 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. U.S. Fixed Income Markets -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% Sep 10 Sep 12 Sep 14 Sep 16 Sep 18 Sep 20 U.S. 10-YEAR TREASURY AND TIPS YIELDS 10Y TIP S Yield 10Y Treasury Yield Sour ce:U.S. Department of Treas ury -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 0 5 10 15 20 25 30 Ma turit y (Y ears) U.S. TREAS URY YIELD CURV E 9/30/2019 6/30/2020 9/30/2020 Sour ce:U.S. Department of Treasur y The U.S. nominal yield curve slightly steepened over the quarter, but overall yields were broadly unchanged. The Fed projected that it would keep interest rates near zero until at least 2023. During the quarter, the Fed also announced a major policy shift by adopting an “average inflation targeting” approach. Under this new approach the Fed will seek an average of 2.0% inflation over time by allowing inflation to run above the target to make up for periods where inflation ran below the target. Since inflation has recently run below the target, a period of higher inflation could be tolerated under the approach without the Fed having to tighten monetary policy. The 10-year U.S. treasury yield ended the quarter 3bps higher at 0.69% and the 30-year yield increased by 5bps to 1.46%. The 10-year TIPS yield fell by 26bps over the quarter to -0.94%. Breakeven inflation rose across the curve, with the short end rising by a greater extent. The Fed’s new “average inflation targeting” approach, the continued relaxation of lockdown measures and the anticipation of further fiscal stimulus raised inflationary expectations over the quarter. Page 67 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. European Fixed Income Markets 0% 2% 4% 6% 8% 10% 12% 14% 16% 2014 2015 2016 2017 2018 2019 2020 EUROZO NE PERIPHERAL BOND SPREADS (10-YEAR SPREADS OVER GERMAN BUNDS ) Spain Italy Portugal Gr eece Irel and Sour ce:FactSet European government bond spreads over 10-year German bunds continued to narrow across the Euro Area. European Union leaders struck a deal on a €750bn coronavirus recovery package, which the European Commission will fund by borrowing in the capital markets for the first time. Elsewhere, the Eurozone witnessed a second consecutive month of deflation, putting pressure on the European Central Bank to allow inflation to overshoot its target in the future. German bund yields fell by 5bps to -0.53% over the quarter. In Q2 2020 the Eurozone economy suffered the sharpest drop in growth since its inception, with GDP contracting by 12.1% on a quarter-on-quarter basis. Spain, which is one of the worst hit countries by the Covid-19 pandemic, was the worst performing major Eurozone economy over the quarter as it contracted by 18.5%. Italian government bond yields fell the most at 37bps to 0.87%, whereas, Spanish and Portuguese government bond yields fell by 22bps and 21bps to 0.25% and 0.26% respectively. Page 68 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Credit Spreads Spre ad (bps)09/30/2020 06/30/2020 09/30/2019 Qua rterly Cha nge (bps)One -Year Change (bps) U.S. Aggregate 60 68 46 -8 14 Long Gov't 0 1 1 -1 -1 Long Credit 188 202 167 -14 21 Long Gov't /Credit 111 120 95 -9 16 MBS 61 70 46 -9 15 CMBS 106 132 70 -26 36 ABS 41 68 37 -27 4 Corporate 136 150 115 -14 21 High Yield 517 626 373 -109 144 Global Emerging Mark et s 334 393 312 -59 22 So urce: F actSet, B lo omberg Barclays Credit markets generally performed well as spreads continued to fall, especially in the riskier credit areas. However, similar to equity markets, growing concerns over rising COVID cases and uncertainty with regards to the next round of fiscal stimulus caused spreads to widen in September. Overall, credit spreads over U.S. treasuries narrowed over the quarter. Riskier areas of credit, such as U.S. high yield bonds and emerging market debt performed well. High yield credit spreads narrowed significantly in Q3 2020, decreasing by 109bps, whilst Global Emerging Markets spreads narrowed by 59bps over the quarter. Page 69 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Currency 80 90 100 110 120 130 140 Sep 14 Sep 15 Sep 16 Sep 17 Sep 18 Sep 19 Sep 20 U.S. DOLLAR REL ATIVE TO EUR, GBP AND JP Y REBAS ED TO 100 AT 09/30/2014 EUR/USD GBP/USD JPY/USD Source: FactSet St ronger Do llar We ak er Do llar 90 95 100 105 110 115 120 125 Sep 14 Sep 15 Sep 16 Sep 17 Sep 18 Sep 19 Sep 20 TRADE WEI GHTED U.S. DOLLAR INDEX (1973 = 100) Source:Federal R es er ve The U.S. dollar weakened against major currencies over the quarter as it fell by 2.9% on a trade-weighted basis. The resurgence of Covid-19 cases in the US and heightened political uncertainty ahead of November’s presidential election was a drag on the dollar, whilst expectations of looser monetary policy and a higher inflation outlook provided further headwinds. Sterling rose by 1.8% on a trade-weighted basis over the quarter. Hopes that a UK-EU trade deal will be reached by the end of the year boosted sterling over July and August, but sterling came under renewed pressure in September as UK-EU clashes over the Internal Markets Bill raised fears of a chaotic departure. Over the quarter sterling appreciated by 4.4% against the U.S. dollar. The U.S. dollar depreciated by 4.2% and 2.2% against the euro and yen respectively. Page 70 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Commodities 9.1% 10.7% 4.3% 11.2% 7.8% 11.9% 7.7% 12.3% 13.8% -8.2% 5.9% -40.7% 1.6% 27.2% 2.8% 2.6% 1.2% -25.1% -50.0%-40.0%-30.0%-20.0%-10.0%0.0%10.0%20.0%30.0%40.0% Bloomber g Commodity Index Ex-Ener gy Ener gy Industrial Metals Pr ec. Metals Agric. Softs Gr ains Livest ock COMMODITY R ETURNS AS OF 09/30/2020 Third Quarter 2020 On e-Year Source:Bl oomb erg Note: Softs and G rains are par t of the wi der Agr iculture sector Commodities started the quarter off strong before falling back in tandem with equity markets in September. Despite the poor performance in September, the Bloomberg Commodity Index returned 9.1%. The Energy sector rose by 4.3% over the quarter. Oil had another turbulent quarter with prices seeming to stabilize in July and August as OPEC+ agreed to scale back its production cuts from 9.7 million barrels per day to 7.7 million barrels per day until the end of the year. However, WTI crude prices fell by 5.6% in September as OPEC reduced its demand expectations for the rest of 2020 to 90.2 million barrels per day as global coronavirus cases continued to grow. The price of Brent crude oil fell by 0.5% to $40.9/bbl. whilst WTI crude oil spot prices rose by 2.4% to $40.2/bbl. On a one-year basis, the Energy sector is down by 40.7%. Livestock was the best performing sector, rising by 13.8% in Q3 2020. Page 71 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Hedge Fund Markets Overview Hedge fund performance was positive across all strategies in the third quarter. Over the quarter, Fixed Income/Convertible Arbitrage and Equity Hedge strategies were the best performers, returning 6.6% and 6.0% respectively. HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of 4.2% and 4.1% respectively. Page 72 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Private Equity Market Overview –Q2 2020 Slide 1 of 2 Sources: 1 Preqin 2 Standard & Poor’s 3 PwC/CB Insights MoneyTree Report 4 PitchBook/NVCA Venture Monitor 5 Fitch Ratings 6 Thomson Reuters 7 UBS Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: Total Purchase Price ÷ EBITDA. Fundraising: In 2Q 2020, $162.3 billion was raised by 349 funds, which was a decrease of 17.7% on a capital basis and 15.9% by number of funds over the prior quarter. Dry powder stood at nearly $2.2 trillion at the end of the quarter, a modest increase compared to the previous quarter.1 Buyout: Global private equity-backed buyout deals totaled $61.9 billion in 2Q 2020, which was down 40.1% on a capital basis and down 30.0% by number of deals from 1Q 2020.1 In 2Q 2020, the average purchase price multiple for all U.S. LBOs was 9.2x EBITDA, a decrease of 2.0x over 1Q 2020 and lower than the five-year average (10.6x).2 Large cap purchase price multiples stood at 9.2x in 2Q 2020, down compared to 1Q 2020’s level of 10.9x.2 The weighted average purchase price multiple across all European transaction sizes averaged 12.6x EBITDA for 2Q 2020, up from the 12.2x multiple seen at the end of 1Q 2020. Purchase prices for transactions of greater than €1.0 billion increased to 12.7x at the end of 2Q 2020, a jump from the 12.1x seen at the previous quarter end. Globally, exit value totaled $36.4 billion from 296 deals during the second quarter, meaningfully down from the $70.0 billion in exits from 453 deals during 1Q 2020.1 Venture: During the second quarter, 1,374 venture-backed transactions totaling $26.9 billion were completed in the U.S., which was a decrease on a capital basis over the prior quarter’s total of $27.0 billion across 1,336 deals. This was 16.3% higher than the five-year quarterly average of $23.1 billion.3 Total U.S. venture-backed exit activity totaled approximately $21,2 billion across 147 completed transactions in 2Q 2020, down on a capital basis from the $24.1 billion across 229 exits in 1Q 2020. Through 2Q 2020, U.S. exit activity represented only 17.3% of 2019’s total.4 Mezzanine: Six funds closed on $2.6 billion during the second quarter. This was up from the prior quarter’s total of $2.3 billion raised by six funds and represented 53.0% of the five-year quarterly average of $4.9 billion. Estimated dry powder was $48.6 billion at the end of 2Q 2020, up from the $48.5 billion seen at the end of 1Q 2020.1 Source: Preqin LTM Global Private Equity-Backed Buyout Deal Volume 0 1,000 2,000 3,000 4,000 5,000 6,000 7,000 8,000 $0 $1 00 $2 00 $3 00 $4 00 $5 00 $6 00 1Q 12 4Q 12 3Q 13 2Q 14 1Q 15 4Q 15 3Q 16 2Q 17 1Q 18 4Q 18 3Q 19 2Q 20 # of DealsValue ($ Billions)De al Value ($ Billions) Nu mber of De al s Page 73 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. Private Equity Market Overview –Q2 2020 Slide 2 of 2 Distressed Debt: The LTM U.S. high-yield default rate was 5.1% at June 2020, and was expected to increase during the following month.5 During the quarter, $22.5 billion was raised by 18 funds, substantially higher than the $4.5 billion raised by 10 funds in 1Q 2020 and the five-year quarterly average of $11.4 billion.1 Dry powder was estimated at $127.3 billion at the end of 2Q 2020, which was up from the $117.2 billion seen at the end of 4Q 2019. This remained above the five-year annual average level of $109.3 billion.1 Secondaries:11 funds raised $22.7 billion during the quarter, up from the $21.3 billion raised by 16 funds in 1Q 2020. The quarter surpassed the record-breaking amount raised in 1Q 2020, which was the most raised since Q1 2017.1 At the end of 2Q 2020, there were an estimated 82 secondary and direct secondary funds in market targeting roughly $71.7 billion.1 The average discount rate for all private equity sectors finished the quarter at 20.8%, lower than the 18.1% discount at the end of 1Q 2020.6 Infrastructure: $13.9 billion of capital was raised by 28 funds in 2Q 2020 compared to $38.7 billion of capital raised by 23 partnerships in 1Q 2020. At the end of the quarter, dry powder stood at an estimated $219.7 billion, down slightly from 1Q 2020’s total of $220.7 billion. Infrastructure managers completed 313 deals with an estimated aggregate deal value of $47.0 billion in 2Q 2020 compared to 644 deals totaling $81.8 billion a quarter ago.1 Natural Resources: During 2Q 2020, two funds closed on $0.3 billion compared to six funds totaling $4.6 billion in 1Q 2020. Energy and utilities industry managers completed approximately 67 deals totaling an estimated $8.1 billion through 2Q 2020, which represented 47.8% of energy and utilities deal value during all of 2019.1 Source: S&P Sources: 1 Preqin 2 Standard & Poor’s 3 PwC/CB Insights MoneyTree Report 4 PitchBook/NVCA Venture Monitor 5 Fitch Ratings 6 Thomson Reuters 7 UBS Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: Total Purchase Price ÷ EBITDA. U.S. LBO Purchase Price Multiples –All Transactions Sizes 8.7x 8.8x 9.8x 10.3x 10.0x 10.6x 10.6x 11.5x 10.6x 0.0x 2.0x 4.0x 6.0x 8.0x 10.0x 12.0x Senior Debt/EBI TDA Sub Debt/EBITDA Equity/EBITD A Others Page 74 Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.. U.S. Commercial Real Estate Markets *Indicates preliminary NFI-ODCE data gross of fees CAP RATES BY SECTOR SOURCE: RCA, AON 6/30/2020 U.S.Core Real Estate returned 0.48%*over the third quarter,equating to a 1.4%total gross return year-over-year,including a 4.0%income return.Shelter in place orders and social distancing practices have most severely impacted the retail and hotel property sectors.Property valuations have begun to price in the loss of cash flow as a result of COVID-19.Transaction volume has contracted -57%YoY through Q3 2020,and price discovery continues to be limited. Global property markets,as measured by the FTSE EPRA/NAREIT Developed Real Estate Index,returned 2.3%(USD)in aggregate during the third quarter and experienced a cumulative decline of -19.1%YTD.REIT market performance was driven by Asia Pacific (2.0%USD),North America (0.9% USD)and Europe (3.1%USD).The U.S.REIT markets (FTSE NAREIT Equity REITs Index)returned 1.4%in the third quarter.The U.S.10-year treasury bond yields rose by 3bps to 0.69%during the quarter. The coronavirus fueled market volatility in the stock and bond markets has created a situation of uncertainty for private real estate pricing.Public markets are searching for the right pricing level in light of the global pandemic,and how it will affect the regional and global economies.Implied volatility continues to signal elevated levels of uncertainty concerning public market implied valuations.Considering this situation,we are recommending that investments with pre-specified assets be postponed.Private market transactions based on appraisal valuations lag the most current information,and they do not fully reflect the current market conditions. We are proactively evolving our investment strategy.In the post-coronavirus world,supply chains may move back to North America which will require corresponding real estate infrastructure.Demand for last mile logistics,already a key investment theme,will accelerate.Live and work preference changes will create opportunities.Interest rates are likely to remain lower for even longer,making real estate a very compelling alternative to fixed income investments. Blind pool funds offer a potential to have capital available when the new opportunity set presents itself.Those strategies need careful review in light of the changing market dynamics.Strategies that worked previously in a growth-oriented market may not be appropriate for what may be more opportunistic style investing.Regions,countries and property types all need to be reevaluated. 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0% '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20 Office Industrial Retail Apartment 0.5%1.4% 5.2%6.6%10.3% 1.4% -18.2% 0.2% 3.9%7.9% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% Q3 2020 1-Year 3-Year s 5-Year s 10-Years PRIVATE VS. PUBL IC REAL ES TATE RET URNS AS OF 09/30/2020 Pr ivate (NF I-ODCE Gr oss)*Public (NA REIT Gr oss) *Third quarter r eturns a re p reliminary Sour ces : NCREIF, FactSet Page 75 Appendix Page 76 Fee Schedule Market Value As of 09/30/2020 $000 % of Portfolio Estimated Annual Fee $000 Estimated Annual Fee (%) Total Pension 295,974 100.00 1,417 0.48 Total Domestic Equity 105,162 35.53 270 0.26 BlackRock Russell 1000 Index Fund Non-Lending 0.04 % of Assets 73,700 24.90 26 0.04 Kennedy Mid Cap Value 0.75 % of First $25 M 0.70 % of Next $25 M 0.60 % Thereafter 15,450 5.22 116 0.75 TimesSquare Small Cap Growth 0.80 % of Assets 16,012 5.41 128 0.80 Total International Equity 53,823 18.18 497 0.92 Morgan Stanley International Equity 0.91 % of Assets 35,197 11.89 320 0.91 Morgan Stanley Emerging Markets Fund 0.95 % of Assets 18,625 6.29 177 0.95 Total Fixed Income 102,625 34.67 358 0.35 Income Research 0.45 % of First $10 M 0.35 % of Next $10 M 0.30 % of Next $10 M 0.23 % of Next $20 M 0.23 % of Next $50 M 0.20 % Thereafter 39,505 13.35 132 0.33 Prudential Core Plus Bond 0.30 % of First $50 M 0.28 % of Next $100 M 0.25 % of Next $100 M 0.20 % Thereafter 38,451 12.99 115 0.30 Brandywine Global Opportunistic Fixed Income 0.45 % of First $50 M 0.40 % of Next $50 M 0.35 % Thereafter 24,669 8.33 111 0.45 Real Estate 31,211 10.55 269 0.86 UBS Trumbull Property Fund 0.96 % of First $10 M 0.83 % of Next $15 M 0.81 % of Next $25 M 0.79 % of Next $50 M 0.67 % of Next $150 M 0.60 % of Next $150 M 0.56 % of Next $200 M 0.52 % Thereafter 31,211 10.55 269 0.86 Cash Account 0.20 % of Assets 1,959 0.66 4 0.20 Total Pension Fee Schedule As of September 30, 2020 Page 77 Benchmark Descriptions Policy Benchmark From October 1, 2018 to May 31, 2020, the Policy Index consists of 25% Russell 1000 Index, 10% Russell 2000 Index, 12% MSCI EAFE Index (net), 6% MSCI EM Index (net), 14% BC Int. Gov/Credit Index, 8% Citi WG Bond Index, 13% Barclays U.S. Aggregate Index, and 12% NCREIF Property Index. From January 1, 2017 to October 1, 2018, 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 Inde x, 15% HFRI Fund of Funds Composite Index, 10% NCREIF Property Index. From August 1, 2015 to January 1, 2017, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% M SCI EAFE Index, 4% MSCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Inde x, 15% HFRI Fund of Funds Composite Index, 5% Wellington 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% MSC I EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI World/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA/25% BC High Yield Blen d Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lynch US High Yield Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. 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 World/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA/25% BC High Yield Blend Index,1 4% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lynch US High Yield Cash Pay Index, 4% CPI+5%, 5% Wellington 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 Ind ex,3% MSCI Emerging Markets Index, 10% 65% MSCI World/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA/25% BC High Yield Blend Index, 13% BC I ntermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lynch US High Yield, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% Wellington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Index-OEDCE As of June 1, 2020, the Policy Index consists of 25% Russell 1000 Index, 10% Russell 2000 Index, 12% MSCI EAFE Index (net), 6% M SCI EM Index (net), 14% Bloomberg Barclays Int. Gov/Credit Index, 8% FTSE World Government Bond Index, 13% Bloomberg Barclays U.S. Aggregate Index, and 12% NCREIF ODCE Index . Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity Total Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year Page 78 Benchmark Descriptions Bloomberg Barclays Corporate High Yield Bond Index -An index that covers the U.S.D-dominated, non-investment grade, fixed rate, taxable corporate bond market. Debt issues from emerging market countries are excluded. Securities are classified as high-yield if the middle rating is Ba1/BB+ or below. Bloomberg Barclays Emerging Markets Index -An unmanaged index that tracks total returns for external-currency-denominated debt instruments of the emerging markets. Bloomberg Barclays Global Aggregate -Provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and U.S.D investment grade 144A securities. Bloomberg Barclays Global Treasury Ex-U.S. -The Barclays Global Treasury ex U.S. Index is a subset of the flagship Global Treasury Index that does not have any exposure to U.S. debt. This multi-currency benchmark includes investment grade, fixed-rate bonds issued by governments in their native currencies. Bloomberg Barclays Inflation Index -Measures the performance of the U.S. Treasury Inflation Protected Securities ("TIPS") market. Bloomberg Barclays Universal Index -A market value-weighted index which is the union of the U.S. Aggregate Index, U.S. High Yield Corporate Index, Eurodollar Index, U.S. Emerging Markets Index and the CMBS High Yield Index. The Index is appropriate for core plus fixed income mandates. Bloomberg Barclays U.S. Aggregate Bond Index -A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backed securities with at least one year to maturity and an outstanding par value of $250 M or greater. This index is a broad measure of the performance of the investment grade U.S. fixed income market. Bloomberg Barclays U.S. Government/Credit Index -A subcomponent of the Barclays Capital Aggregate Index, this benchmark includes treasury securities, government related issues, and high quality corporate bonds with an outstanding par value of $250 M or greater and at least one year of maturity remaining. Bloomberg Barclays U.S. Government Index -A market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more. Bloomberg Barclays U.S. High Yield Index -An index composed of non-investment grade corporate debt denominated in U.S. dollars. The issues have to have an outstanding par value of $150 M or greater and at least one year of maturity remaining. Bloomberg Barclays U.S. Intermediate Aggregate Bond Index -A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backed securities with one to ten years to maturity and an outstanding par value of $250 M or greater. Bloomberg Barclays U.S. Intermediate Government Bond Index -An unmanaged index considered representative of intermediate-term fixed-income obligations issued by the U.S. Treasury, government agencies and quasi-federal corporations. Bloomberg Barclays U.S. Intermediate Government/Credit Index -A market-value weighted index consisting of U.S. government bonds and SEC-registered corporate bonds with one to ten years to maturity and an outstanding par value of $150 M or greater. Bloomberg Barclays U.S. Intermediate Treasury -An unmanaged index considered representative of intermediate-term fixed-income obligations issued by the U.S. Treasury. Bloomberg Barclays U.S. Long Credit Bond Index -An unmanaged index considered representative of long-term fixed-income obligations issued by U.S. corporate, specified foreign debentures, and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. Page 79 Benchmark Descriptions Bloomberg Barclays U.S. Long Gov’t/Credit Index -The Barclays Capital U.S. Government/ Credit Bond Index measures performance of U.S. dollar denominated U.S. treasuries, government-related, and investment grade U.S. corporate securities that have a remaining maturity of greater than or equal to 1 year. In addition, the securities have $250 M or more of outstanding face value, and must be fixed rate and non-convertible. Bloomberg Barclays U.S. Long Government Bond Index -An unmanaged index considered representative of long-term fixed-income obligations issued by the U.S. Treasury, government agencies and quasi-federal corporations. Bloomberg Barclays U.S. TIPS -A market value-weighted index consisting of U.S. Treasury Inflation Protected Securities with one or more years remaining until maturity with total outstanding issue size of $500m or more. Bloomberg Barclays U.S. Treasury 20-30 Year STRIPS Index -A subcomponent of the Barclays Aggregate Index, this benchmark includes long-term treasury STRIPS. Bloomberg Commodity Index -Consists of 22 exchange-traded futures on physical commodities, which are weighted to account for economic significance and market liquidity. Performance is calculated on an excess return basis and reflects commodity future price movements. BofA Merrill Lynch 3 Month Treasury Bill -An index that measures the average return of the last three-month U.S. Treasury Bill issues. BofA Merrill Lynch High Yield Master -A market-capitalization weighted index that tracks the performance of U.S. dollar-denominated, below investment grade corporate debt publicly issued in the U.S. domestic market. Citigroup 90-Day T-Bill Index -An index that measures the average return of the last three-month U.S. Treasury Bill issues. Credit Suisse Leveraged Loan Index -Designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market. CRSP U.S. Large Cap Index -an index comprised of nearly 640 U.S. large cap companies and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 85% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December. CRSP U.S. Total Market Index -an index comprised of nearly 4,000 constituents across mega, large, small, and micro capitalizations and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 100% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December. DJ U.S. Completion Total Stock Market Index -A capitalization-weighted index that consists of the stocks in the Dow Jones U.S. Total Stock Market Index less the stocks in the S&P 500 Stock Index. DJ U.S. Total Stock Market Index -A capitalization-weighted stock index representing all domestic common stocks traded regularly on the organized exchanges. The index is the broadest measure of the aggregate domestic stock market and includes approximately 5,000 stocks. FTSE 4Good U.S. Select Index -a socially responsible investment (SRI) index of U.S. stocks that excludes companies with certain business activities such as weapons, tobacco, gambling, alcohol, nuclear power, and adult entertainment. FTSE All-World ex-U.S. Index -A capitalization-weighted stock index representing 46 developed market countries and emerging market countries excluding the U.S. Page 80 Benchmark Descriptions FTSE EPRA NAREIT Global ex-U.S. Index -Designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate. FTSE Global All Cap ex U.S. Index -a market-capitalization weighted index representing the performance of roughly 5350 large, mid and small cap companies in 46 Developed and Emerging markets worldwide, excluding the USA. FTSE Global Core Infrastructure Index -Represents the performance of infrastructure and infrastructure-related securities companies in a set of industries that FTSE defines as being involved in infrastructure. The series is based on the FTSE Global Equity Index Series and both developed and emerging markets are included. FTSE NAREIT U.S. Equity REITS -Free float adjusted, market capitalization weighted index of U.S. based equity real estate investment trusts (REITs). Goldman Sachs Commodity Index -A composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures. HFRI Fund-of-Fund Index -This index is equal-weighted including 800 constituents. It includes both domestic and offshore accounts and is valued in U.S.dollars. Only fund-of- fund products are included in the index that have at least $50 M under managements and have been actively trading for at least one year. All funds report net monthly returns. HFRI Fund Weighted Composite Index -The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in U.S. Dollar and have a minimum of $50 M under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds. Hueler Stable Value Index -The Hueler Analytics Stable Value Pooled Fund Comparative Universe represents investment strategies of $96 billion in stable value assets, across 24 pooled funds, invested in contracts universe across a universe of 16 general account issuers and 14 synthetic wrap providers.The allocation of pooled fund assets is dominated by synthetic contracts issued by insurance companies and banks. iMoneyNet All Taxable Money Funds Index -An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets. iMoneyNet Money Fund Average -An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets. J.P. Morgan EMBI Global Diversified -Comprised of dollar-denominated Brady bonds, traded loans and Eurobonds issued by emerging market sovereign and quasi-sovereign entities. The Diversified version limits the weights of the index countries by only including a specified portion of those countries' eligible current face amounts of debt outstanding, providing for a more even distribution of weights within the countries in the index. MSCI All Country World ex-U.S. Index -A capitalization-weighted index of stocks representing 44 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. Index consists of 23 developed and 21 emerging countries, but excludes the U.S. MSCI All Country World ex-U.S. Index IMI-A capitalization-weighted index of large, mid and small cap stocks representing 22 developed (excluding the United States) and 24 emerging market countries. The index is the broadest measure of the aggregate non-U.S. stock market, covering approximately 99% of the global equity investment opportunity set outside of the United States. Page 81 Benchmark Descriptions MSCI All Country World ex-U.S. Small Cap Index -Covers all investable small cap securities with a market capitalization below that of the companies in the MSCI Standard Indices (excluding U.S.), and target approximately 14% of each market’s free-float adjusted market capitalization. MSCI All Country World Index -A capitalization-weighted index of stocks representing 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. MSCI All Country World Index IMI -A capitalization-weighted index of large, mid and small cap stocks representing 23 developed and 24 emerging market countries. The index is the broadest measure of the aggregate global stock market, covering approximately 99% of the global equity investment opportunity set. MSCI EAFE Growth Index -A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the growth-oriented companies. MSCI EAFE Index -A capitalization-weighted index of stocks representing 22 developed countries in Europe, Australia, Asia, and the Far East. MSCI EAFE Small Cap Index -A capitalization-weighted index of small cap stocks representing 23 developed country markets in Europe, Australia, Asia, and the Far East. MSCI EAFE Value Index -A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the value-oriented companies. MSCI Emerging Markets Index -A capitalization-weighted index of stocks representing 22 emerging country markets. MSCI Emerging Markets Value Index -A capitalization-weighted index considered representative of value stocks across 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. MSCI U.S. Broad Market Index -A capitalization-weighted stock index that aggregates the MSCI U.S. Large Cap 300, Mid Cap 450, Small Cap 1,750 and Micro Cap Indices. This index represents approximately 99.5% of the capitalization of the U.S. Equity market and includes approximately 3,562 companies. MSCI U.S. REIT Index -A broad index that fairly represents the equity REIT opportunity set with proper investability screens to ensure that the index is investable and replicable. The index represents approximately 85% of the U.S. REIT universe. MSCI World Index -A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, representing 24 developed market country indices. NCREIF Property Index -A capitalization-weighted index of privately owned investment grade income-producing properties representing approximately $269 billion in assets. NFI ODCE Index -A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute the index are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investment results. The returns shown in this report are net of management fees of the respective funds included in the index. Rolling 3-year Constant Maturity Treasury Index -An index published by the Federal Reserve Board based on the monthly average yield of a range of Treasury securities, all adjusted to the equivalent of a three-year maturity. Russell 1000 Growth Index -An index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher I/B/E/S growth forecasts. Russell 1000 Index -A capitalization-weighted index of the 1,000 largest publicly traded U.S. stocks by capitalization. Page 82 Benchmark Descriptions Russell 1000 Value Index -An index that measures the performance of those stocks included in the Russell 1000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell 2000 Growth Index -A capitalization-weighted index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell 2000 Index -A capitalization-weighted index of the smallest 2,000 stocks in the Russell 3000 Index. The index excludes the largest-and smallest-capitalization issues in the domestic stock market. Russell 2000 Value Index -An index that measures the performance of those stocks included in the Russell 2000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell 2500 Growth Index -A capitalization-weighted index representing those companies within the Russell 2500 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell 2500 Index -The Index is constructed by first identifying the 3,000 largest-capitalization U.S. stocks and ranking them by market capitalizations, choosing the bottom 2,500 names on the list. Russell 2500 Value Index -An index that measures the performance of those stocks included in the Russell 2500 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell 3000 Growth Index -A capitalization-weighted index consisting of those Russell 3000 Index stocks that have higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell 3000 Index -A capitalization-weighted index consisting of the 3,000 largest publicly traded U.S. stocks by capitalization. This index is a broad measure of the performance of the aggregate domestic equity market. Russell 3000 Value Index -A capitalization-weighted index consisting of those Russell 3000 Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell Mid Cap Growth Index -A capitalization-weighted index representing those stocks in the Russell MidCap Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell Mid Cap Index -A capitalization-weighted index of the 800 smallest stocks in the Russell 1000 Index. This index is a broad measure of mid-capitalization stocks. Russell Mid Cap Value Index -A capitalization-weighted index consisting of those Russell MidCap Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. S&P 500 Index -A capitalization-weighted index representing stocks chosen by Standard & Poor's, Inc. for their size, liquidity, stability and industry group representation. The companies in the S&P 500 Index are generally among the largest in their industries. Page 83 Benchmark Descriptions S&P Completion Index -The S&P Completion Index is a sub-index of the S&P Total Market Index, including all stocks eligible for the S&P TMI and excluding all current constituents of the S&P 500. The index covers approximately 4,000 constituents, offering investors broad exposure to mid, small,and micro cap companies. S&P Leverage Loan Index -A daily total return index that uses LSTA/LPC Mark-to-Market Pricing to calculate market value change. S&P MidCap 400 Index -A market-capitalization-weighted index of stocks in all major industries in the mid-range of the U.S. stock market. Wilshire REIT -A measure of the types of U.S. real estate securities that represent the ownership and operation of commercial or residential real estate. To be included in the index, a company must have a market capitalization of $200 M and have at least 75% of the total revenue derived from the ownership and operation of the real estate assets. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect our fees or expenses. Past performance is no guarantee of future results. Please feel free to contact us at retirement@aon.com for more index information. Page 84 (This Page Left Blank Intentionally) Page 85 Disclaimers and Notes Page 86 Notes: §The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time weighted. §Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking. §Due to rounding throughout the report,percentage totals displayed may not sum up to 100.0%.Additionally,individual fund totals in dollar terms may not sum up to the plan totals. §All information presented in this report should be considered preliminary.Finalized data will be available on next Quarterly Investment Report after the close of the quarter. Notes Page 87 Past performance is not necessarily indicative of future results. Unless otherwise noted,performance returns presented reflect the respective fund’s performance as indicated.Returns may be presented on a before-fees basis (gross)or after- fees basis (net).After-fee performance is net of each respective sub-advisors’investment management fees and include the reinvestment of dividends and interest as indicated on the notes page within this report or on the asset allocation and performance summary pages.Actual returns may be reduced by Aon Investments’investment advisory fees or other trust payable expenses you may incur as a client.Aon Investments’advisory fees are described in Form ADV Part 2A.Portfolio performance,characteristics and volatility also may differ from the benchmark(s) shown. The information contained herein is confidential and proprietary and provided for informational purposes only.It is not complete and does not contain certain material information about making investments in securities including important disclosures and risk factors.All securities transactions involve substantial risk of loss.Under no circumstances does the information in this report represent a recommendation to buy or sell stocks, limited partnership interests, or other investment instruments. The data contained in these reports is compiled from statements provided by custodian(s),record-keeper(s),and/or other third-party data provider(s).This document is not intended to provide,and shall not be relied upon for,accounting and legal or tax advice.Aon Investments has not conducted additional audits and cannot warrant its accuracy or completeness.We urge you to carefully review all custodial statements and notify Aon Investments with any issues or questions you may have with respect to investment performance or any other matter set forth herein. 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