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Home My Public Portal About2014 1st Quarter ReportPerformance Review Metropolitan St. Louis Sewer District Pension Plan 1st Quarter 2014 Pavilion Advisory Group Inc. 227 W. Monroe Street, Suite 2020 Chicago, IL 60606 Phone: 312-798-3200 Fax: 312-902-1984 www.pavilioncorp.com 1 Performance Summary 1 2 Asset Class Diversification 18 3 Manager Evaluation 24 4 Calendar Year Performance 64 5 Capital Markets Review 66 6 Appendix 74 Table of Contents Performance Summary 1 Performance Summary - March 2014 During the fourth quarter, the Metropolitan St. Louis Sewer District gained 1.6%, matching the Policy Benchmark return. On a trailing one-year basis, the Plan returned 8.7%, trailing the Policy Benchmark by 110 basis points. Asset Class Diversification The Finance Committee approved new asset allocation policy targets and allowable asset class ranges at the February 2014 meeting. Current asset allocation was within investment policy targets. The Plan was underweight in fixed income, real estate, and real assets. A continued overweight exposure to the equity markets was due to market appreciation in 2013. Manager Evaluation During the first quarter, the following managers notably outperformed their respective benchmarks: Kennedy Mid Cap Value, Brandywine Global Opportunistic Fixed Income, and PIMCO All Asset Fund. First quarter performance was negatively impacted by the following managers as they underperformed their respective benchmarks: T. Rowe Price Institutional Large-Cap Growth, Holland Large Cap Growth, TimesSquare Small Cap Growth Fund, and Pictet Emerging Local Currency Debt Fund. Effective January 6, 2014, Brian Hess, an associate portfolio manager and senior research analyst within the global fixed income team, left Brandywine and joined Loomis Sayles as a Global Strategist. The three remaining portfolio managers, David Hoffman, Steve Smith, and Francis Scotland, each bring over 35 years of investment experience to the team. Because the portfolio management team is organized as generalists, there should be no distinct gap in research coverage. Brandywine has no immediate hiring plans to fill Mr. Hess's void. On January 17, 2014, Morgan Stanley announced the retirement of Peter Wright, co-lead portfolio manager of the International Equity Strategy, effective December 17, 2014. William Lock will be the sole lead portfolio manager from December 2014. While this is a key departure for the team, Pavilion believes that this retirement notice a year in advance will give the International Equity Strategy team adequate time to transition all of Mr. Wright's responsibilities. Pavilion will continue to monitor this manager for further developments. On January 21, 2014, PIMCO announced that Mohamed El-Erian, the Chief Executive Officer and co-Chief Investment Officer, resigned and will be leaving the firm in mid-March. Mr. El-Erian's roles will be transitioned to various individuals within the firm over the next two months. Bill Gross' title will revert to CIO, while Andrew Balls and Daniel Ivascyn were promoted to deputy CIO positions. Douglas Hodge, previously the firm's COO, will replace Mr. El-Erian as the CEO. Additionally, on January 29, 2014, the firm announced that Marc Seidner, a member of the firm's Investment Committee, left the firm to join GMO. The firm appointed four additional deputy CIOs, Mark Kiesel, Scott Mather, Mihir Worah, and Virginie Maisonneuve, to join Andrew Balls and Dan Ivascyn. As a result of these changes, Pavilion has placed PIMCO on "watch" status. Pension Plan Executive Summary 2 Pension Plan Executive Summary The Pyramis Market Neutral strategy was liquidated on February 28th, with proceeds going to Vanguard Institutional Index ($1,835,000), Kennedy ($916,000), TimesSquare ($916,000), Morgan Stanley International Equity ($1,834,000), Income Research & Management ($1,834,000), and Brandywine ($1,834,000). The remaining balance was reallocated to cash. Capital Markets Review Macroeconomic and geopolitical concerns sent the global equity markets on a roller coaster ride during the first quarter. In the beginning of the quarter, risk aversion grew, equity markets tumbled, and emerging market currencies sold off. However, in February and March, as emerging market currencies stabilized and U.S. market weakness was attributed to the brutal winter weather, equity markets rebounded and produced modest gains for the quarter. Stronger corporate earnings also helped spark the turnaround. Within the domestic equity market, value companies significantly outperformed growth companies, while large-cap companies outperformed small-cap companies. Nonetheless, the strongest returns came from the mid-cap segment. Moreover, defensive sectors, including utilities and health care, saw the strongest rallies. In the developed international equity market, it was a tale of two continents, where the European region, in particular the Nordic countries, experienced robust results while the Asia-Pacific region, in particular Japan, produced negative returns. The fixed income market bounced back considerably from poor 2013 results. All major fixed income benchmarks produced positive total returns during the quarter, as the yield curve flattened during the quarter. Recommendations or Action Items No recommendations or action items at this meeting. Pavilion will bring manager recommendations to the Committee once the new Secretary- Treasurer and Assistant Treasurer have been appointed and conducted the appropriate due diligence on manager search projects. 3 Total Composite Policy Benchmark 0.0 3.0 6.0 9.0 12.0 15.0 18.0 Return (%)Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception 1.6 1.6 9.8 7.7 12.8 6.7 8.4 1.6 1.6 8.7 7.4 12.2 6.6 7.9 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 1.6 1.6 8.7 7.4 12.2 6.6 7.9 21y 3m Policy Benchmark 1.6 1.6 9.8 7.7 12.8 6.7 N/A Performance Summary Total Composite vs. Policy Benchmark As of March 31, 2014 ____________ Performance is reported net of fees. See appendix for full description of the policy benchmark. 4 -7.0 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 20.0 23.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 1.6 (62)1.6 (62)8.7 (96)7.4 (86)12.2 (92)5.7 (44)6.6 (53)¢£ 5th Percentile 2.6 2.6 16.2 10.6 16.4 6.8 7.8 1st Quartile 2.0 2.0 14.2 9.8 15.0 6.2 7.1 Median 1.7 1.7 13.0 9.0 14.1 5.7 6.7 3rd Quartile 1.4 1.4 12.0 8.0 13.3 5.1 6.2 95th Percentile 0.8 0.8 9.2 6.0 11.8 4.0 5.3 Performance Comparison All Public Plans <= $500 mil As of March 31, 2014 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 5 -7.0 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 20.0 23.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 1.6 (70)1.6 (70)8.7 (92)7.4 (88)12.2 (91)5.7 (41)6.6 (63)¢£ 5th Percentile 2.8 2.8 16.2 10.6 16.7 7.0 8.0 1st Quartile 2.1 2.1 14.1 9.8 15.2 6.1 7.3 Median 1.8 1.8 12.8 9.0 14.2 5.6 6.9 3rd Quartile 1.5 1.5 11.6 8.1 13.3 5.0 6.4 95th Percentile 0.8 0.8 7.3 6.2 11.4 4.1 5.5 Performance Comparison All Public Plans As of March 31, 2014 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 6 3 Years 5 Years 7.0 8.5 10.0 11.5 13.0 14.0 Return (%)7.0 7.2 7.4 7.6 7.8 8.0 8.2 8.4 8.6 8.8 9.0 Risk (Standard Deviation %) Policy Benchmark (8.4 , 12.8) Total Composite (8.3 , 12.2) 7.0 8.5 10.0 11.5 13.0 14.0 Return (%)7.0 7.2 7.4 7.6 7.8 8.0 8.2 8.4 8.6 8.8 9.0 Risk (Standard Deviation %) Policy Benchmark (7.6 , 7.7)Total Composite (7.9 , 7.4) Performance Summary Risk and Return Summary As of March 31, 2014 7 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 246,916,197 100.0 1.6 1.6 8.7 7.4 12.2 6.6 7.9 21y 3m Policy Benchmark 1.6 1.6 9.8 7.7 12.8 6.7 N/A Total Equity Composite 103,845,842 42.1 0.7 0.7 N/A N/A N/A N/A 14.5 0y 7m MSCI AC World Index 1.1 1.1 16.6 8.6 17.8 7.0 14.1 Domestic Equity Composite 69,172,872 28.0 1.0 (65)1.0 (65)N/A N/A N/A N/A 16.1 (N/A)0y 7m Russell 3000 Index 2.0 (30)2.0 (30)22.6 (42)14.6 (12)21.9 (25)7.9 (40)16.4 (N/A) Broad Equity Peer Group Median 1.4 1.4 22.0 12.7 20.7 7.6 N/A Large-Cap Equity Composite 54,083,255 21.9 0.9 (65)0.9 (65)23.3 (36)13.7 (41)19.3 (64)7.3 (47)8.5 (N/A)10y 10m Russell 1000 Index 2.0 (35)2.0 (35)22.4 (46)14.7 (25)21.7 (25)7.8 (36)8.9 (N/A) Large-Cap Equity Peer Group Median 1.5 1.5 21.9 13.2 20.1 7.2 N/A Small-Cap Equity Composite 15,089,617 6.1 1.3 (44)1.3 (44)24.9 (55)14.4 (30)24.5 (53)10.7 (8)12.5 (N/A)10y 10m Russell 2000 Index 1.1 (51)1.1 (51)24.9 (54)13.2 (53)24.3 (56)8.5 (48)10.9 (N/A) Small-Cap Equity Peer Group Median 1.1 1.1 25.2 13.3 24.7 8.4 N/A International Equity Composite 34,672,970 14.0 0.2 (55)0.2 (55)N/A N/A N/A N/A 11.5 (N/A)0y 7m MSCI AC World ex USA Index 0.5 (44)0.5 (44)12.3 (47)4.1 (54)15.5 (56)7.1 (64)12.6 (N/A) International Equity Peer Group Median 0.3 0.3 11.9 4.4 15.8 7.6 N/A Developed International Equity Composite 27,465,462 11.1 0.4 (55)0.4 (55)14.3 (65)8.9 (19)14.7 (75)6.7 (54)5.5 (N/A)14y 11m MSCI EAFE Index 0.7 (50)0.7 (50)17.6 (41)7.2 (39)16.0 (49)6.5 (58)4.2 (N/A) Developed International Equity Peer Group Median 0.6 0.6 16.1 6.4 15.9 6.9 N/A Emerging International Equity Composite 7,207,508 2.9 -0.5 (44)-0.5 (44)-2.2 (59)-0.8 (33)15.0 (51)N/A 9.1 (45)9y MSCI Emerging Markets Index -0.4 (42)-0.4 (42)-1.4 (48)-2.9 (65)14.5 (60)10.1 (41)9.4 (40) Emerging Markets Equity Peer Group Median -0.7 -0.7 -1.7 -2.1 15.0 9.3 8.6 Fixed Income Composite 83,780,489 33.9 2.2 (21)2.2 (21)0.0 (64)4.4 (20)7.9 (27)5.4 (9)5.3 (13)10y 9m Barclays Intermediate U.S. Government/Credit 1.0 (82)1.0 (82)-0.1 (67)3.1 (70)4.2 (86)3.9 (78)3.9 (75) Intermediate Duration Fixed Income Peer Group Median 1.3 1.3 0.2 3.6 6.3 4.4 4.3 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2014 _________________________ Performance is reported net of fees. 8 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2014 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Tactical Asset Allocation Composite 24,835,524 10.1 1.7 1.7 10.4 7.8 12.1 6.6 6.6 10y 10m 65% MSCI World (Net) / 35% BC Aggregate 1.5 1.5 12.1 8.2 13.7 6.3 7.4 Alternatives Composite 10,997,542 4.5 3.0 3.0 N/A N/A N/A N/A 4.9 0y 7m 3 Month T-Bills + 3%0.8 0.8 3.1 3.1 3.1 4.7 1.8 Real Estate Composite 10,878,243 4.4 2.2 2.2 10.1 9.8 6.4 6.9 4.6 7y 10m NCREIF Property Index 2.7 2.7 11.2 11.7 7.9 8.7 6.5 Real Assets Composite 11,107,377 4.5 2.1 2.1 -1.5 -3.8 N/A N/A 2.7 4y Wellington DIH Multi-Asset Inflation Index 2.1 2.1 1.1 -3.5 7.3 5.9 2.0 Cash Account 1,471,180 0.6 0.0 0.0 0.1 0.1 -0.2 1.5 1.5 10y 10m BofA Merrill Lynch 3 Month US T-Bill 0.0 0.0 0.1 0.1 0.1 1.7 1.6 _________________________ Performance is reported net of fees. 9 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Domestic Large-Cap Equity Managers Vanguard Windsor II 17,919,763 7.3 2.9 (21)2.9 (21)22.0 (44)14.9 (20)21.2 (30)7.8 (32)6.5 (N/A)12y 11m Russell 1000 Value Index 3.0 (18)3.0 (18)21.6 (49)14.8 (22)21.8 (21)7.6 (37)6.5 (N/A) Large-Cap Value Equity Peer Group Median 1.9 1.9 21.4 13.2 20.0 7.1 N/A Vanguard Institutional Index Fund 9,707,924 3.9 1.8 (41)1.8 (41)21.8 (52)14.6 (27)21.2 (31)7.4 (45)4.6 (66)14y 6m S&P 500 1.8 (41)1.8 (41)21.9 (51)14.7 (26)21.2 (31)7.4 (45)4.6 (67) Large-Cap Equity Peer Group Median 1.5 1.5 21.9 13.2 20.1 7.2 5.4 T. Rowe Price Inst. Large-Cap Core Growth 13,043,268 5.3 -1.1 (84)-1.1 (84)29.4 (11)16.7 (11)23.0 (21)8.0 (40)29.7 (N/A)1y 1m Russell 1000 Growth Index 1.1 (31)1.1 (31)23.2 (55)14.6 (32)21.7 (33)7.9 (43)25.4 (N/A) Large-Cap Growth Equity Peer Group Median 0.3 0.3 23.7 13.3 20.4 7.5 N/A Holland Large Cap Growth 13,412,300 5.4 -0.4 (71)-0.4 (71)19.5 (84)13.0 (58)20.8 (41)7.4 (53)19.8 (N/A)1y 1m Russell 1000 Growth Index 1.1 (31)1.1 (31)23.2 (55)14.6 (32)21.7 (33)7.9 (43)25.4 (N/A) Large-Cap Growth Equity Peer Group Median 0.3 0.3 23.7 13.3 20.4 7.5 N/A Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 8,288,925 3.4 6.5 (1)6.5 (1)24.8 (25)13.8 (28)23.8 (40)N/A 11.7 (5)6y 3m Russell Midcap Value Index 5.2 (7)5.2 (7)23.0 (36)15.2 (15)26.4 (17)10.2 (24)8.8 (38) Mid-Cap Value Equity Peer Group Median 2.2 2.2 21.9 12.2 23.3 9.0 8.1 TimesSquare Small Cap Growth Fund 6,800,692 2.8 -4.4 (100)-4.4 (100)24.0 (75)14.7 (36)25.2 (49)11.6 (6)11.0 (N/A)12y 2m Russell 2000 Growth Index 0.5 (50)0.5 (50)27.2 (55)13.6 (51)25.2 (48)8.9 (38)8.3 (N/A) Small-Cap Growth Equity Peer Group Median 0.5 0.5 28.2 13.6 25.0 8.4 N/A Developed International Equity Manager Morgan Stanley International Equity Fund I 27,465,462 11.1 0.2 (59)0.2 (59)14.1 (66)8.9 (19)14.6 (76)6.5 (59)5.7 (61)9y MSCI EAFE Index 0.7 (50)0.7 (50)17.6 (41)7.2 (39)16.0 (49)6.5 (58)5.6 (62) International Equity Peer Group Median 0.6 0.6 16.1 6.4 15.9 6.9 6.1 Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 7,207,508 2.9 -0.5 (44)-0.5 (44)-2.1 (58)-0.8 (33)15.0 (51)9.5 (46)9.1 (44)9y MSCI Emerging Markets Index -0.4 (42)-0.4 (42)-1.4 (48)-2.9 (65)14.5 (60)10.1 (41)9.4 (40) Emerging Markets Equity Peer Group Median -0.7 -0.7 -1.7 -2.1 15.0 9.3 8.6 Performance Summary Manager Asset Allocation and Performance As of March 31, 2014 _________________________ Performance is reported net of fees. 10 Performance Summary Manager Asset Allocation and Performance As of March 31, 2014 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 32,733,687 13.3 1.1 (68)1.1 (68)-0.2 (69)3.7 (48)6.1 (53)4.8 (20)5.5 (21)12y 9m Barclays Intermediate U.S. Government/Credit 1.0 (82)1.0 (82)-0.1 (67)3.1 (70)4.2 (86)3.9 (78)4.8 (57) Intermediate Duration Fixed Income Peer Group Median 1.3 1.3 0.2 3.6 6.3 4.4 4.9 Penn Capital 12,764,040 5.2 2.4 (92)2.4 (92)6.2 (85)7.2 (92)13.8 (89)N/A 7.0 (85)8y 9m BofA Merrill Lynch US High Yield, Cash Pay Index 3.0 (43)3.0 (43)7.5 (48)8.7 (37)17.9 (25)8.5 (30)8.6 (27) High Yield Fixed Income Peer Group Median 2.9 2.9 7.4 8.4 16.7 8.1 8.0 Loomis Credit Asset Fund 4,892,670 2.0 2.2 (16)2.2 (16)4.6 (12)7.1 (1)N/A N/A 8.6 (1)4y 1m 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 2.5 (15)2.5 (15)3.5 (26)6.4 (2)12.1 (1)6.2 (11)7.3 (5) Alternative Credit Focus Funds Peer Group Median 1.2 1.2 1.4 3.4 9.0 4.3 4.7 Brandywine Global Opportunistic Fixed Income 21,643,673 8.8 4.2 (6)4.2 (6)0.7 (53)6.7 (7)11.8 (3)N/A 6.9 (8)9y 3m Citigroup World Government Bond 2.7 (40)2.7 (40)1.4 (41)1.9 (77)3.8 (89)4.2 (63)3.7 (70) Global Fixed Income Peer Group Median 2.4 2.4 0.8 3.1 6.3 4.8 4.3 Pictet Emerging Local Currency Debt Fund 11,746,419 4.8 1.2 (59)1.2 (59)-8.9 (61)-0.1 (69)N/A N/A 1.9 (78)2y 6m JPM GBI-EM Global Diversified 1.9 (27)1.9 (27)-7.1 (22)1.1 (21)9.8 (14)9.3 (N/A)3.4 (35) Emerging Markets (LC) Fixed Income Peer Group Median 1.5 1.5 -8.6 0.2 8.9 N/A 2.8 Tactical Asset Allocation Manager GMO Asset Allocation Fund 24,835,524 10.1 1.7 (62)1.7 (62)10.4 (30)7.8 (33)12.1 (66)7.0 (22)6.3 (33)7y 8m 65% MSCI World (Net) / 35% BC Aggregate 1.5 (67)1.5 (67)12.1 (26)8.2 (29)13.7 (55)6.3 (36)5.6 (57) IM Flexible Portfolio (MF) Median 2.2 2.2 4.2 5.9 14.2 6.0 5.9 _________________________ Performance is reported net of fees. 11 Performance Summary Manager Asset Allocation and Performance As of March 31, 2014 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Alternatives Manager PIMCO All Asset Fund I 10,997,542 4.5 2.3 2.3 2.2 5.7 11.8 6.4 6.2 8y 3m Barclays U.S. Treasury Inflation Notes: 1-10 Year 1.0 1.0 -4.9 2.2 4.0 4.0 4.4 Real Estate Manager UBS Trumbull Property Fund 10,878,243 4.4 2.2 2.2 10.1 9.8 6.4 6.9 4.6 7y 10m NCREIF Property Index 2.7 2.7 11.2 11.7 7.9 8.7 6.5 Real Asset Manager Wellington Diversified Inflation Hedges 11,107,377 4.5 2.1 2.1 -1.5 -3.8 N/A N/A 2.7 4y Wellington DIH Multi-Asset Inflation Index 2.1 2.1 1.1 -3.5 7.3 5.9 2.0 Cash Account 1,471,180 0.6 0.0 0.0 0.1 0.1 -0.2 1.5 1.5 10y 10m BofA Merrill Lynch 3 Month US T-Bill 0.0 0.0 0.1 0.1 0.1 1.7 1.6 Total Composite 246,916,197 100.0 1.6 1.6 8.7 7.4 12.2 6.6 7.9 21y 3m _________________________ Performance is reported net of fees. 12 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 28.0 Return (%)12.0 12.8 13.5 14.3 15.1 15.8 16.6 17.4 18.2 18.9 19.7 20.5 21.2 22.0 Risk (Standard Deviation %) MSCI Emerging Markets MSCI EAFE Russell 2000 Growth Russell Midcap Value Russell 1000 Growth S&P 500 Russell 1000 Value Holland Large Cap Growth Kennedy Mid Cap Value TimesSquare Small Cap Growth Morgan Stanley Emerging MarketsMorgan Stanley International Equity Vanguard Windsor II Fund Vanguard Institutional Index Fund T. Rowe Price Inst. Large-Cap Core Growth Performance Summary Risk and Return Summary - Equity Managers 5 Years Ending March 31, 2014 13 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 Return (%)0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 Risk (Standard Deviation %) 50% BC Credit / 25% S&P LSTA / 25% BY High Yield JPM GBI-EM Global Diversified Citigroup World Government Bond BofA Merrill Lynch US High Yield, Cash Pay Index BC Intermediate U.S. Government/Credit Penn Capital Income Research Brandywine Global Performance Summary Risk and Return Summary - Fixed Income Managers 5 Years Ending March 31, 2014 14 1.5 3.0 4.5 6.0 7.5 9.0 10.5 12.0 13.5 15.0 16.5 Return (%)1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 Risk (Standard Deviation %) Barclays U.S. Treasury Inflation Notes: 1-10 Year Wellington DIH Multi-Asset Inflation Index 65% MSCI World (Net) / 35% BC Aggregate UBS TPF PIMCO All Asset GMO Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending March 31, 2014 15 Manager Compliance Checklist First Quarter 2014 Mana ge rs Vangua rd Windsor Vangua rd Inst itutional T. Row e Price Holland Ke nne dy Ti me sS qua re Morgan Stanle y I nt'l Morga n Stanley EM Organi zati onal /Produ ct Is sues No ma teria l c hanges to investment team ü ü ü ü ü ü Ye s ü No ma teria l o rg aniza tional changes ü ü ü ü ü ü ü ü Accounting or regulatory concerns ü ü ü ü ü ü ü ü Cu rrently in adherence to guidelin es ü ü ü ü ü ü ü ü Po rt fo lio characteris tics me et stylis tic expectations ü ü ü ü ü ü ü ü Re lati ve Perfor mance 1 Th re e-year re turn better than benchmark ü N/A ü No (-1 60 bps )No (-1 40 bps )ü ü ü Th re e-year ra nkin g better than peer group median ü ü ü No (5 8)ü ü ü ü Fiv e year return better than benchmark No (-6 0 bps )N/A ü No (-9 0 bps )No (-2 60 bps )In Li ne No (-1 40 bps )ü 1 Manager performance is evaluated net of investment management fees. Fiv e year rankin g better than peer group median ü ü ü ü ü ü No (7 6)No (5 1) Perfor manc e s tatus Gr een Gr een Gr een Gr een Gr een Gr een Gr een Gr een Da te perfo rmance s tatus changed Summary status Re pl ac e Gr een Gr een Gr een Gr een Gr een Gr een Re pl ac e Da te s umma ry status changed 4Q13 4Q13 16 Manager Compliance Checklist First Quarter 2014 Ma na ge rs Income Re se arch Penn Loomis Brandyw ine Gl oba l Picte t GMO PIMCO UBS Wellington Or gani zational /Produ ct Is sues No ma teria l c hanges to inves tment team ü ü ü Ye s ü ü Ye s ü ü No ma teria l o rg an iza tional changes ü ü ü ü ü ü ü ü ü Accounting or re gulatory concerns ü ü ü ü ü ü ü ü ü Cu rre ntly in adherence to guidelin es ü ü ü ü ü ü ü ü ü Po rt fo lio characteris tics me et stylis tic expectations ü ü ü ü ü ü ü ü ü Re lati ve Performance 1 Th re e-year return better than benchmark ü No (-1 50 bps )ü ü No (-1 20 bps )No (-4 0 bps )ü No (-1 80 bps )No (-3 0 bps ) Th re e-year rankin g better than peer group media n ü No (9 2)ü ü No (6 9)ü N/A N/A N/A Fiv e year return better than benchmark ü No (-4 10 bps )N/A ü N/A No (-1 60 bps )ü No (-2 10 bps )N/A 1 Manager performance is evaluated net of investment management fees. Fiv e year return better than benchmark ü No (-4 10 bps )N/A ü N/A No (-1 60 bps )ü No (-2 10 bps )N/A Fiv e year rankin g better than peer group med ia n ü No (8 9)N/A ü N/A No (6 6)N/A N/A N/A Perfor ma nc e s tatus Gr een Re d Gr een Gr een Re d Gr een Gr een Gr een Gr een Da te perfo rmance s tatus chan ged Summa ry status Gr een Te rminate Te rminate Gr een Te rminate Te rminate Te rminate Gr een Gr een Da te s umma ry status changed 4Q13 4Q13 4Q13 4Q13 4Q13 17 Asset Class Diversification 18 March 31, 2014 : $246,916,197 Target Allocation Actual Allocation Allocation Differences 0.0%5.0%10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%-5.0 %-10.0 % Cash Account $1,471,180 Real Asset Composite $11,107,377 Real Estate Composite $10,878,243 Alternatives Composite $10,997,542 Tactical Asset Allocation Composite $24,835,524 Fixed Income Composite $83,780,489 Emerging International Equity Composite $7,207,508 Developed International Equity Composite $27,465,462 Small-Cap Equity Composite $15,089,617 Large-Cap Equity Composite $54,083,255 0.0% 5.0% 5.0% 4.0% 10.0% 35.0% 3.0% 11.0% 6.0% 21.0% 0.6% 4.5% 4.4% 4.5% 10.1% 33.9% 2.9% 11.1% 6.1% 21.9% 0.6% -0.5 % -0.6 % 0.5% 0.1% -1.1 % -0.1 % 0.1% 0.1% 0.9% Asset Class Diversification Investment Policy Allocation As of March 31, 2014 19 Asse t Cl ass/Type Manager Total Asse ts ($,mil.)as of 3/31/2014 Perce nt of Total Targe t Allocation Weighting Re lati ve to Ta rge t Al lowable Ra nge Total Asse ts ($,mil.)as of 1/1/2014 Large -Ca p Equity $54.1 21.9%21.0%+ 0 .9%15 -25%$52.7 Co re Va nguard Ins titutional $9.7 3.9%6.0%- 2.1%$7.7 Va lu e Va nguard Windsor $17.9 7.3%5.0%+ 2.3%$18.1 Gr owth T. Rowe Price $13.0 5.3%5.0%+ 0.3%$13.4 Gr owth Ho lla nd $13.4 5.4%5.0%+ 0.4%$13.4 Small-Ca p Equity $15.1 6.1%6.0%+ 0 .1%2 -8%$13.5 Va lu e Kennedy $8.3 3.4%3.0%+ 0.4%$6.9 Gr owth Time sSquare $6.8 2.8%3.0%- 0.2%$6.7 Inte rna ti ona l Equity $34.7 14.0%14.0%+ 0 .0%$32.8 Developed Morgan Stanley $27.5 11.1%11.0%+ 0.1%5 -15%$25.5 Eme rgin g Marke ts Morgan Stanley $7.2 2.9%3.0%- 0.1%2 -8%$7.2 Fix ed Income $83.8 33.9%35.0%- 1 .1%$78.3 Asset Class Diversification Investment Program Structure As of March 31, 2014 Fix ed Income $83.8 33.9%35.0%- 1 .1%$78.3 Do me stic Core In come Res earch $32.7 13.3%14.0%- 0.7%10 -20%$30.5 High Yie ld Penn Capit al $12.8 5.2%5.0%+ 0.2%0 -7%$12.4 Op portunistic Cr edit Lo omis $4.9 2.0%2.0%- 0.0%0 -5%$4.8 Global Br andywin e Glo bal $21.6 8.8%9.0%- 0.2%4 -14%$18.9 Eme rgin g Marke ts De bt Pictet $11.7 4.8%5.0%- 0.2%0 -7%$11.6 Tacti ca l $24.8 10.1%10.0%+ 0 .1%$24.4 Ba la nced GM O $24.8 10.1%10.0%+ 0.1%0 -12%$24.4 Alte rna ti ve s $11.0 4.5%4.0%+ 0 .5%$21.8 Marke t Neutral Py ramis $0.0 0.0%0.0%+ 0.0%0 -7%$10.1 Absolu te Return PIMCO $11.0 4.5%4.0%+ 0.5%0 -7%$11.7 Hedge Funds TBD $0.0 0.0%----0 -20%$0.0 Real Es tate $10.9 4.4%5.0%- 0 .6%$10.6 Re al Es tate UBS Tru mb ull $10.9 4.4%5.0%- 0.6%0 -10%$10.6 Real As set $11.1 4.5%5.0%- 0 .5%$10.9 Re al Asset Wellin gton $11.1 4.5%5.0%- 0.5%0 -10%$10.9 Ca sh $1.5 0.6%0.0%+ 0 .6%$1.4 Ca sh Account Ca sh Account $1.5 0.6%0.0%+ 0.6%$1.4 Tota l $246.9 100.0%100.0%+ 0 .0%$246.4 *Totals may not add to exactly 100.0% due to rounding. 20 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Google Inc 1.4 0.9 0.5 -0.6 British American Tobacco PLC 1.3 0.3 1.0 6.8 Unilever NV 1.2 0.2 1.0 2.9 Nestle SA, Cham Und Vevey 1.2 0.7 0.5 2.6 Reckitt Benckiser Group PLC 1.2 0.2 1.0 4.2 Sanofi 1.1 0.4 0.8 -1.9 Amazon.com Inc 1.1 0.3 0.7 -15.7 Novartis AG 1.0 0.5 0.4 9.6 Visa Inc 0.9 0.3 0.6 -2.9 Apple Inc 0.9 1.3 -0.5 -3.8 % of Portfolio 11.2 5.0 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)72,288 84,491 Median Mkt. Cap ($M)12,313 8,689 Price/Earnings ratio 18.4 16.0 Price/Book ratio 2.8 2.4 5 Yr. EPS Growth Rate (%)9.8 8.6 Current Yield (%)2.0 2.6 Debt to Equity 0.8 1.2 Number of Stocks 958 2,441 Beta -1.00 Consistency -- Sharpe Ratio -- Information Ratio -- Up Market Capture -- Down Market Capture -- Sector Weights (%) Total Equity Composite MSCI AC World Index 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.2 2.1 1.7 2.0 4.6 16.2 10.9 13.7 16.0 8.6 11.5 12.6 0.0 0.0 3.3 3.9 6.1 12.7 10.8 10.6 21.5 9.7 9.7 11.7 Distribution of Market Capitalization (%) Total Equity Composite MSCI AC World Index 0.0 15.0 30.0 45.0 60.0 >$59 Bil $15 Bil - $59 Bil $2 Bil - $15 Bil $0 - $2 Bil Cash 42.6 35.3 21.8 0.3 0.0 39.5 29.3 25.5 3.6 2.1 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World Index As of March 31, 2014 21 Total Equity Composite MSCI AC World Index Australia 0.5 2.9 Hong Kong 0.4 1.7 Japan 4.5 7.3 New Zealand 0.0 0.0 Singapore 0.0 0.6 Pacific 5.4 12.5 Austria 0.2 0.1 Belgium 0.2 0.4 Finland 0.0 0.3 France 3.0 3.6 Germany 2.2 3.5 Ireland 0.8 0.5 Italy 0.4 0.9 Netherlands 1.6 1.3 Portugal 0.1 0.1 Spain 0.1 1.3 EMU 8.6 12.0 Denmark 0.0 0.5 Norway 0.0 0.3 Sweden 0.7 1.2 Switzerland 4.6 3.7 United Kingdom 8.6 7.8 Europe ex EMU 13.9 13.6 Canada 0.5 3.7 United States 62.1 48.0 Israel 0.0 0.2 Middle East 0.0 0.2 Developed Markets 90.7 90.0 Total Equity Composite MSCI AC World Index Brazil 0.5 1.2 Cayman Islands 0.0 0.0 Chile 0.0 0.2 Colombia 0.1 0.1 Mexico 0.5 0.5 Peru 0.1 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.3 2.0 China 1.5 1.3 India 0.6 0.7 Indonesia 0.1 0.3 Korea 1.2 1.7 Malaysia 0.2 0.4 Philippines 0.3 0.1 Taiwan 0.5 1.2 Thailand 0.3 0.2 EM Asia 4.6 6.0 Czech Republic 0.1 0.0 Egypt 0.0 0.0 Greece 0.0 0.1 Hungary 0.1 0.0 Poland 0.2 0.2 Russia 0.1 0.6 South Africa 0.3 0.8 Turkey 0.0 0.2 EM Europe + Middle East + Africa 0.8 1.9 Emerging Markets 6.7 9.8 Frontier Markets 0.1 0.0 Cash 2.1 0.0 Other 0.5 0.1 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World Index As of March 31, 2014 22 Portfolio Characteristics Maturity Distribution (%) Credit Quality Distribution (%) Risk Characteristics - 3 Years Sector Distribution (%) Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 50.0 100.0 AAAAAABBBBBBBelow BNot Rated65.3 6.5 14.1 14.1 0.0 0.0 0.0 0.0 24.6 11.0 16.7 22.6 10.1 11.7 0.7 2.6 Portfolio Benchmark Effective Duration 4.8 3.9 Avg. Maturity 7.4 4.2 Avg. Quality A-AA+ Yield To Maturity (%)3.9 1.6 Consistency Sharpe Ratio Information Ratio Up Market Capture Down Market Capture Total Fixed Income Composite 55.6 1.0 0.4 146.2 Barclays Intermediate U.S. Government/Credit 0.0 1.4 N/A 100.0 90 Day U.S. Treasury Bill 36.1 N/A -1.4 0.9 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 50.0 100.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.4 6.4 24.4 0.0 0.0 0.0 10.5 2.3 0.0 0.0 0.0 0.0 11.2 0.4 17.2 16.3 4.0 2.3 17.0 16.7 1.7 3.3 5.2 4.8 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 20.0 40.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 41.2 27.6 31.2 0.0 0.0 5.9 19.6 20.0 38.7 6.2 9.7 Fixed Income Portfolio - Characteristics Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2014 23 Manager Evaluation 24 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2009 - Mar - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Vanguard Windsor II 2.9 2.9 22.0 14.9 21.2 7.8 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2 18.4 Russell 1000 Value Index 3.0 3.0 21.6 14.8 21.8 7.6 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1 16.5 Large-Cap Value Equity Peer Group Median 1.9 1.9 21.4 13.2 20.0 7.1 31.7 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1 12.5 Vanguard Windsor II Rank 21 21 44 20 30 32 61 28 17 86 41 44 55 35 36 6 20.0 21.0 22.0 23.0 Return (%)16.4 16.5 16.6 Risk (Standard Deviation %) Russell 1000 Value Index Vanguard Windsor II Vanguard Windsor II Russell 1000 Value Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Average Active Weight 0.0 5.0 10.0-5.0-10.0-15.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.1 0.2 0.8 -1.4 0.0 1.1 4.4 -7.2 -2.4 3.4 0.9 2.5 Allocation (Total: -0.1) 0.0 0.2 0.3 0.5-0.2-0.3 -0.1 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.1 0.0 0.0 -0.1 Stock (Total: -0.1) 0.0 0.5 1.0-0.5-1.0 0.1 -0.1 0.0 0.0 0.2 0.5 -0.4 -0.2 -0.1 -0.2 0.2 0.0 Vanguard Windsor II 0.0 0.2 0.4 0.6 0.8-0.2-0.4-0.6 -0.1 -0.1 0.0 0.0 0.2 0.5 -0.2 -0.3 0.0 -0.3 0.1 -0.1 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of March 31, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 25 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) JPMorgan Chase & Co 2.8 2.4 0.4 4.5 Microsoft Corp 2.8 0.0 2.8 10.4 Raytheon Co.2.7 0.3 2.4 9.6 Pfizer Inc 2.7 2.3 0.4 5.8 WellPoint Inc 2.7 0.3 2.4 8.3 Wells Fargo & Co 2.5 2.5 0.0 10.3 American Express Co 2.5 0.0 2.5 -0.5 Medtronic Inc 2.3 0.7 1.6 7.2 Johnson & Johnson 2.3 2.5 -0.3 8.0 Bank of America Corp 2.2 2.0 0.2 10.5 % of Portfolio 25.3 13.0 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)98,254 112,687 Median Mkt. Cap ($M)21,820 6,640 Price/Earnings ratio 15.3 16.2 Price/Book ratio 2.2 2.0 5 Yr. EPS Growth Rate (%)11.2 6.2 Current Yield (%)2.6 2.2 Debt to Equity 1.2 1.0 Number of Stocks 291 664 Beta (5 Years, Monthly)0.96 1.00 Consistency (5 Years, Monthly)43.33 1.00 Sharpe Ratio (5 Years, Monthly)1.43 1.42 Information Ratio (5 Years, Monthly)-0.22 - Up Market Capture (5 Years, Monthly)95.68 - Down Market Capture (5 Years, Monthly)92.76 - Sector Weights (%) Vanguard Windsor II Russell 1000 Value Index 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 36.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.8 2.4 3.9 2.6 1.5 9.1 11.8 17.8 21.7 12.1 8.9 7.2 0.0 0.0 6.1 2.5 2.9 9.0 10.2 13.5 29.1 14.5 5.8 6.4 Distribution of Market Capitalization (%) Vanguard Windsor II Russell 1000 Value Index 0.0 20.0 40.0 60.0 80.0 >$59 Bil $15 Bil - $59 Bil $2 Bil - $15 Bil $0 - $2 Bil Cash 47.8 31.3 20.6 0.2 0.0 52.1 32.5 13.0 0.0 2.4 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of March 31, 2014 *Portfolio characteristics as of 12/31/2013. 26 Historical Performance Three Year Rolling Percentile Ranking Relative Performance Historical Statistics (Apr-2009 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Vanguard Institutional Index 1.8 1.8 21.8 14.6 21.2 7.4 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9 10.9 S&P 500 Index 1.8 1.8 21.9 14.7 21.2 7.4 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9 10.9 Large-Cap Equity Peer Group Median 1.5 1.5 21.9 13.2 20.1 7.2 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2 Vanguard Institutional Index Rank 41 41 52 27 31 45 51 36 22 38 56 45 55 32 62 44 Cumulative Annualized Over/Under Relative Performance Over/Under Performance 0.0 0.1 0.2 -0.1Return (%)6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Vanguard Institutional Index S&P 500 Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Vanguard Institutional Index 21.2 15.7 20.8 0.0 1.0 1.3 0.0 0.0 8.1 25.0 14y 6m S&P 500 Index 21.2 15.7 20.8 0.0 1.0 1.3 0.0 N/A 8.1 0.0 14y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 15.7 -1.3 0.0 20.0 14y 6m Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of March 31, 2014 27 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 2.9 2.9 0.0 -3.8 Exxon Mobil Corp 2.5 2.5 0.0 -2.8 Google Inc 1.9 1.9 0.0 -0.6 Microsoft Corp 1.9 1.9 0.0 10.4 Johnson & Johnson 1.7 1.7 0.0 8.0 General Electric Co 1.6 1.6 0.0 -6.8 Wells Fargo & Co 1.4 1.4 0.0 10.3 JPMorgan Chase & Co 1.4 1.4 0.0 4.5 Chevron Corp 1.4 1.4 0.0 -4.0 Procter & Gamble Co (The)1.3 1.3 0.0 -0.2 % of Portfolio 17.8 17.8 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)117,991 117,990 Median Mkt. Cap ($M)16,994 16,984 Price/Earnings ratio 17.6 17.6 Price/Book ratio 2.8 2.8 5 Yr. EPS Growth Rate (%)10.0 9.9 Current Yield (%)2.0 2.0 Debt to Equity 0.8 0.8 Number of Stocks 502 500 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)35.00 1.00 Sharpe Ratio (5 Years, Monthly)1.46 1.46 Information Ratio (5 Years, Monthly)-0.06 - Up Market Capture (5 Years, Monthly)100.01 - Down Market Capture (5 Years, Monthly)100.05 - Sector Weights (%) Vanguard Institutional Index S&P 500 Index 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.1 2.5 3.5 18.6 10.7 13.4 16.4 10.1 9.7 12.1 3.1 2.5 3.5 18.6 10.7 13.4 16.4 10.1 9.7 12.1 Distribution of Market Capitalization (%) Vanguard Institutional Index S&P 500 Index 0.0 20.0 40.0 60.0 80.0 >$59 Bil $15 Bil - $59 Bil $2 Bil - $15 Bil 54.3 34.3 11.4 54.3 34.3 11.4 Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of March 31, 2014 28 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2009 - Mar - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 T. Rowe Price LCC Growth -1.1 -1.1 29.4 16.7 23.0 8.0 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0 7.3 Russell 1000 Growth Index 1.1 1.1 23.2 14.6 21.7 7.9 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 Large-Cap Growth Peer Group Median 0.3 0.3 23.7 13.3 20.4 7.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 T. Rowe Price LCC Growth Rank 84 84 11 11 21 40 12 16 27 39 14 78 55 33 69 56 20.0 22.0 24.0 26.0 Return (%)15.0 15.3 15.6 15.9 16.2 16.5 16.8 17.1 17.4 17.7 18.0 18.3 Risk (Standard Deviation %) Russell 1000 Growth Index T. Rowe Price LCC Growth T. Rowe Price LCC Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.2 -1.7 -0.2 -2.7 1.0 2.1 3.7 -0.5 -9.4 7.3 0.6 Allocation (Total: -0.2) 0.0 0.2 0.3-0.2-0.3-0.5 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.1 -0.2 0.0 Stock (Total: -1.8) 0.0 0.5-0.5-1.0-1.5 0.0 0.0 0.0 -0.9 -0.3 -0.2 -0.1 -0.1 0.1 -0.3 0.0 T. Rowe Price LCC Growth 0.0 0.5 1.0-0.5-1.0-1.5 0.0 0.0 0.0 -0.9 -0.3 -0.1 -0.1 -0.1 0.2 -0.5 0.0 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of March 31, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 29 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Google Inc 5.7 3.1 2.7 -0.6 Amazon.com Inc 4.4 1.3 3.1 -15.7 Priceline.Com Inc 3.3 0.6 2.7 2.5 Gilead Sciences Inc 3.1 1.1 2.0 -5.6 MasterCard Inc 2.7 0.9 1.8 -10.5 Danaher Corp 2.6 0.1 2.6 -2.7 McKesson Corp 2.4 0.4 2.0 9.5 Biogen Idec Inc 2.3 0.7 1.5 9.4 Visa Inc 2.2 1.2 1.0 -2.9 Precision Castparts Corp.2.1 0.4 1.7 -6.1 % of Portfolio 30.8 9.7 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)74,441 98,236 Median Mkt. Cap ($M)23,358 8,349 Price/Earnings ratio 22.3 19.7 Price/Book ratio 4.5 4.5 5 Yr. EPS Growth Rate (%)17.0 14.1 Current Yield (%)0.7 1.6 Debt to Equity 0.2 1.4 Number of Stocks 147 626 Beta (5 Years, Monthly)1.11 1.00 Consistency (5 Years, Monthly)56.67 1.00 Sharpe Ratio (5 Years, Monthly)1.38 1.46 Information Ratio (5 Years, Monthly)0.40 - Up Market Capture (5 Years, Monthly)109.29 - Down Market Capture (5 Years, Monthly)113.88 - Sector Weights (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 36.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.3 0.0 0.3 4.3 22.6 14.3 16.5 8.2 4.2 2.6 26.6 0.0 0.1 2.2 4.6 27.2 12.3 12.4 5.5 4.8 11.7 19.2 Distribution of Market Capitalization (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 20.0 40.0 60.0 >$59 Bil $15 Bil - $59 Bil $2 Bil - $15 Bil $0 - $2 Bil Cash 48.5 30.2 21.2 0.1 0.0 41.8 47.2 10.7 0.0 0.3 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of March 31, 2014 30 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2009 - Mar - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Holland Large Cap Growth -0.4 -0.4 19.5 13.0 20.8 7.4 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 -0.1 12.0 Russell 1000 Growth Index 1.1 1.1 23.2 14.6 21.7 7.9 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 Large-Cap Growth Equity Peer Group Median 0.3 0.3 23.7 13.3 20.4 7.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 Holland Large Cap Growth Rank 71 71 84 58 41 53 77 66 14 51 22 22 78 58 93 18 19.5 21.0 22.5 24.0 Return (%)14.8 15.0 15.2 15.4 15.6 15.8 16.0 16.2 16.4 Risk (Standard Deviation %) Russell 1000 Growth Index Holland Large Cap Growth Holland Large Cap Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Average Active Weight 0.0 5.0 10.0-5.0-10.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.2 -2.0 -1.7 5.2 -3.8 2.1 -1.8 5.0 -3.8 -1.1 2.2 Allocation (Total: 0.4) 0.0 0.2 0.3 0.5-0.2-0.3 0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.3 0.0 0.0 0.0 Stock (Total: -1.8) 0.0 0.5 1.0-0.5-1.0-1.5 0.0 0.0 0.0 -1.0 0.2 -0.5 0.0 -0.3 -0.1 -0.2 0.0 Holland Large Cap Growth 0.0 0.5 1.0-0.5-1.0-1.5 0.0 0.0 -0.1 -0.9 0.2 -0.4 0.0 0.0 0.0 -0.2 0.0 Manager Evaluation Holland Large Cap Growth vs. Russell 1000 Growth Index As of March 31, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 31 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Qualcomm Inc.4.8 1.4 3.4 6.7 Visa Inc 4.2 1.2 3.1 -2.9 Range Resources Corp.4.0 0.1 3.9 -1.5 Amazon.com Inc 3.6 1.3 2.3 -15.7 Google Inc 3.5 3.1 0.4 -0.6 Adobe Systems Inc 3.3 0.1 3.2 9.8 Citrix Systems Inc.3.2 0.1 3.1 -9.2 Priceline.Com Inc 3.2 0.6 2.5 2.5 Apple Inc 2.9 3.9 -1.0 -3.8 Cisco Systems Inc 2.7 0.0 2.7 0.7 % of Portfolio 35.3 11.8 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)79,786 98,236 Median Mkt. Cap ($M)33,318 8,349 Price/Earnings ratio 25.1 19.7 Price/Book ratio 4.6 4.5 5 Yr. EPS Growth Rate (%)12.4 14.1 Current Yield (%)1.1 1.6 Debt to Equity 0.6 1.4 Number of Stocks 48 626 Beta (5 Years, Monthly)0.97 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)1.42 1.46 Information Ratio (5 Years, Monthly)-0.23 - Up Market Capture (5 Years, Monthly)95.96 - Down Market Capture (5 Years, Monthly)95.00 - Sector Weights (%) Holland Capital Management Russell 1000 Growth Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.2 0.0 0.0 2.9 31.0 10.0 14.4 3.5 9.8 7.6 18.6 0.0 0.1 2.2 4.6 27.2 12.3 12.4 5.5 4.8 11.7 19.2 Distribution of Market Capitalization (%) Holland Capital Management Russell 1000 Growth Index 0.0 15.0 30.0 45.0 60.0 >$59 Bil $15 Bil - $59 Bil $2 Bil - $15 Bil $0 - $2 Bil Cash 48.5 30.2 21.2 0.1 0.0 41.4 26.8 28.6 1.0 2.2 Manager Evaluation Holland Capital Management vs. Russell 1000 Growth Index As of March 31, 2014 32 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2009 - Mar - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Kennedy Mid Cap Value 6.5 6.5 24.8 13.8 23.8 N/A 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A N/A N/A N/A Russell Midcap Value Index 5.2 5.2 23.0 15.2 26.4 10.2 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 12.6 23.7 Mid-Cap Value Equity Peer Group Median 2.2 2.2 21.9 12.2 23.3 9.0 33.4 15.5 -3.0 20.7 32.9 -38.9 2.7 13.9 8.6 16.7 Kennedy Mid Cap Value Rank 1 1 25 28 40 N/A 51 63 33 9 43 10 N/A N/A N/A N/A 20.0 25.0 30.0 Return (%)17.4 17.6 17.8 18.0 18.2 18.4 18.6 18.8 19.0 19.2 19.4 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -4.3 -0.7 0.4 2.1 5.1 -0.4 -9.9 1.5 -0.9 5.0 2.2 Allocation (Total: -0.7) 0.0 0.2 0.3-0.2-0.3-0.5 -0.2 0.0 0.0 0.0 -0.1 0.0 0.0 0.0 0.0 -0.3 -0.1 Stock (Total: 2.8) 0.0 1.0 2.0-1.0-2.0 -0.1 0.0 -0.5 0.4 0.1 0.7 0.5 0.8 -0.3 1.3 0.0 Kennedy Mid Cap Value 0.0 0.4 0.8 1.2 1.6 2.0-0.4-0.8-1.2 -0.3 0.0 -0.5 0.4 0.0 0.7 0.5 0.8 -0.3 1.0 -0.1 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of March 31, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 33 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Foot Locker Inc.2.5 0.2 2.2 13.9 Protective Life Corp 2.4 0.2 2.3 4.2 Helmerich & Payne Inc.2.4 0.4 2.1 28.8 Skyworks Solutions Inc 2.4 0.0 2.3 31.4 Ultra Petroleum Corp.2.3 0.2 2.2 24.2 Steel Dynamics Inc 2.2 0.1 2.1 -8.4 Hospira Inc 2.2 0.3 2.0 4.8 Cadence Design Systems Inc 2.2 0.0 2.2 10.8 Dana Holding Corp 2.2 0.0 2.2 18.9 Teradyne Inc.2.1 0.1 2.0 12.9 % of Portfolio 23.0 1.4 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)7,716 11,207 Median Mkt. Cap ($M)6,225 5,418 Price/Earnings ratio 18.8 18.0 Price/Book ratio 2.1 1.9 5 Yr. EPS Growth Rate (%)3.6 4.5 Current Yield (%)1.6 2.0 Debt to Equity 0.6 1.2 Number of Stocks 55 535 Beta (5 Years, Monthly)0.93 1.00 Consistency (5 Years, Monthly)50.00 1.00 Sharpe Ratio (5 Years, Monthly)1.42 1.50 Information Ratio (5 Years, Monthly)-0.51 - Up Market Capture (5 Years, Monthly)93.65 - Down Market Capture (5 Years, Monthly)98.19 - Sector Weights (%) Kennedy Capital Management Russell Midcap Value Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.5 9.0 0.0 5.5 12.2 15.0 5.9 23.0 9.2 2.7 13.9 0.0 11.9 0.7 5.4 10.9 11.5 8.7 32.3 7.2 2.9 8.6 Distribution of Market Capitalization (%) Kennedy Capital Management Russell Midcap Value Index 0.0 50.0 100.0 150.0 $15 Bil - $59 Bil $2 Bil - $15 Bil $0 - $2 Bil Cash 30.3 69.0 0.7 0.0 12.8 83.7 0.0 3.5 Manager Evaluation Kennedy Capital Management vs. Russell Midcap Value Index As of March 31, 2014 34 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2009 - Mar - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 TimesSquare Small Cap Growth -4.4 -4.4 24.0 14.7 25.2 11.6 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4 11.1 Russell 2000 Growth Index 0.5 0.5 27.2 13.6 25.2 8.9 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2 14.3 Small-Cap Growth Equity Peer Group Median 0.5 0.5 28.2 13.6 25.0 8.4 44.7 12.7 -2.7 27.7 34.5 -40.6 9.9 9.9 5.8 11.3 TimesSquare Small Cap Growth Rank 100 100 75 36 49 6 31 47 14 53 46 11 49 14 10 53 25.0 25.1 25.2 25.3 25.4 Return (%)18.0 18.3 18.6 18.9 19.2 19.5 19.8 20.1 20.4 20.7 21.0 21.3 Risk (Standard Deviation %) Russell 2000 Growth Index TimesSquare Small Cap Growth TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 -0.9 -3.6 11.0 8.0 -8.7 -0.7 0.2 -0.2 -7.9 3.0 Allocation (Total: 0.1) 0.0 0.5 1.0-0.5-1.0 0.0 0.0 0.0 -0.1 0.1 -0.3 0.0 0.0 0.0 0.4 0.0 Stock (Total: -4.9) 0.0 1.0 2.0-1.0-2.0-3.0-4.0 0.0 0.0 0.1 -2.5 -0.8 -1.2 -0.1 0.1 -0.4 -0.1 0.0 TimesSquare Small Cap Growth 0.0 1.0 2.0-1.0-2.0-3.0-4.0 0.0 0.0 0.0 -2.6 -0.7 -1.5 -0.1 0.1 -0.4 0.3 0.0 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 35 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) On Assignment Inc 2.5 0.2 2.3 10.5 Solera Holdings Inc 2.2 0.0 2.2 -10.3 Ultimate Software Group Inc 2.1 0.4 1.6 -10.6 Portfolio Recovery Associates Inc 2.0 0.3 1.6 9.5 WEX Inc 1.9 0.4 1.5 -4.0 Heartland Payment Systems Inc 1.8 0.2 1.6 -16.7 Air Methods Corp 1.7 0.2 1.5 -8.3 PolyOne Corp 1.7 0.4 1.3 3.9 Dealertrack Technologies Inc 1.7 0.2 1.5 2.3 Albany International Corp.1.7 0.0 1.6 -0.7 % of Portfolio 19.2 2.5 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)2,152 2,108 Median Mkt. Cap ($M)1,631 883 Price/Earnings ratio 28.2 24.8 Price/Book ratio 3.6 4.0 5 Yr. EPS Growth Rate (%)13.7 14.9 Current Yield (%)0.4 0.6 Debt to Equity 0.6 0.9 Number of Stocks 105 1,156 Beta (5 Years, Monthly)0.83 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)1.46 1.27 Information Ratio (5 Years, Monthly)-0.11 - Up Market Capture (5 Years, Monthly)88.87 - Down Market Capture (5 Years, Monthly)75.63 - Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.4 0.0 0.0 1.7 32.5 24.7 12.9 7.1 4.4 3.9 10.3 0.0 0.1 0.9 5.1 24.7 15.7 21.7 7.3 3.8 4.9 15.8 Distribution of Market Capitalization (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 20.0 40.0 60.0 80.0 $2 Bil - $15 Bil $0 - $2 Bil Cash 45.4 54.6 0.0 49.6 48.0 2.4 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2014 36 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2009 - Mar - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Morgan Stanley International Equity 0.2 0.2 14.1 8.9 14.6 6.5 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5 20.0 MSCI EAFE Index 0.7 0.7 17.6 7.2 16.0 6.5 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 13.5 20.2 International Equity Peer Group Median 0.6 0.6 16.1 6.4 15.9 6.9 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5 Morgan Stanley International Equity Rank 59 59 66 19 76 59 54 35 10 88 92 1 66 76 100 38 12.0 14.0 16.0 18.0 Return (%)15.0 16.0 17.0 18.0 19.0 20.0 21.0 22.0 Risk (Standard Deviation %) MSCI EAFE Index Morgan Stanley International Equity Morgan Stanley International Equity MSCI EAFE Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Average Active Weight 0.0 10.0 20.0 30.0-10.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.5 -2.6 1.5 2.1 -6.4 3.1 -6.2 1.4 13.0 -5.0 2.6 Allocation (Total: 0.2) 0.0 0.2 0.3 0.5-0.2-0.3-0.5 -0.2 0.1 0.0 0.0 0.0 0.2 0.1 0.0 0.0 0.1 0.0 Stock (Total: -0.8) 0.0 1.0 2.0-1.0-2.0 0.0 0.0 0.3 -0.3 -0.1 -0.3 -0.9 -0.2 0.6 0.0 0.0 Morgan Stanley International Equity 0.0 0.4 0.8 1.2-0.4-0.8-1.2-1.6 -0.2 0.1 0.3 -0.3 -0.1 -0.2 -0.8 -0.2 0.6 0.1 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 37 Total Attribution 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8-0.1-0.2-0.3-0.4-0.5-0.6-0.7-0.8-0.9 Pacific Other North America Middle East Europe ex EMU EMU EM Europe + Middle East + Africa EM Asia Cash -0.5 0.0 0.0 -0.1 0.4 -0.5 0.0 0.1 0.0 Performance Attribution Average Active Weight 0.0 10.0 20.0 30.0-10.0-20.0-30.0 Pacific Other North America Middle East Europe ex EMU EMU EM Europe + Middle East + Africa EM Asia Cash -12.6 -0.3 1.2 -0.4 12.9 -4.9 -0.1 1.6 2.6 Allocation (Total: 0.4) 0.0 0.2 0.3 0.5 0.6-0.2-0.3 0.4 0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 0.0 Stock (Total: -1.0) 0.0 0.3 0.5 0.8-0.3-0.5-0.8-1.0-1.3-1.5 -0.9 0.0 0.0 0.0 0.3 -0.4 0.0 0.0 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index 1 Quarter Ending March 31, 2014 38 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) British American Tobacco PLC 4.8 0.8 4.0 6.8 Unilever NV 4.6 0.5 4.1 2.9 Nestle SA, Cham Und Vevey 4.6 1.8 2.8 2.6 Reckitt Benckiser Group PLC 4.4 0.4 4.0 4.2 Sanofi 4.0 0.9 3.0 -1.9 Novartis AG 3.7 1.5 2.2 9.6 Roche Holding AG 3.1 1.6 1.5 10.2 Diageo PLC 2.8 0.6 2.2 -5.4 SAP AG Systeme Anwendungen 2.7 0.6 2.2 -5.7 Prudential PLC 2.0 0.4 1.6 -3.0 % of Portfolio 36.7 9.1 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)81,337 65,552 Median Mkt. Cap ($M)37,291 9,086 Price/Earnings ratio 16.6 15.4 Price/Book ratio 2.5 2.0 5 Yr. EPS Growth Rate (%)4.0 5.0 Current Yield (%)3.1 3.2 Debt to Equity 1.2 1.2 Number of Stocks 71 916 Beta (5 Years, Monthly)0.86 1.00 Consistency (5 Years, Monthly)46.67 1.00 Sharpe Ratio (5 Years, Monthly)0.93 0.90 Information Ratio (5 Years, Monthly)-0.37 - Up Market Capture (5 Years, Monthly)89.21 - Down Market Capture (5 Years, Monthly)88.01 - Sector Weights (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.9 0.0 2.4 8.5 6.2 5.4 14.4 19.4 8.8 25.0 7.0 0.0 3.8 5.0 8.1 4.5 12.9 10.4 25.6 6.9 11.0 11.8 Distribution of Market Capitalization (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 15.0 30.0 45.0 60.0 >$59 Bil $15 Bil - $59 Bil $2 Bil - $15 Bil $0 - $2 Bil Cash 38.9 37.7 23.3 0.1 0.0 51.2 30.9 14.6 0.4 2.9 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2014 39 Morgan Stanley International Equity MSCI EAFE Index Australia 1.8 7.9 Hong Kong 0.5 2.7 Japan 16.8 19.7 New Zealand 0.0 0.1 Singapore 0.0 1.5 Pacific 19.1 31.9 Austria 0.0 0.3 Belgium 0.0 1.2 Finland 0.0 0.9 France 9.9 9.8 Germany 8.3 9.4 Ireland 1.1 0.3 Italy 1.4 2.5 Netherlands 5.7 3.1 Portugal 0.0 0.2 Spain 0.0 3.5 EMU 26.4 31.2 Denmark 0.0 1.4 Norway 0.0 0.8 Sweden 2.5 3.3 Switzerland 16.1 9.3 United Kingdom 28.9 21.1 Europe ex EMU 47.5 35.9 Canada 1.2 0.0 United States 0.3 0.0 Israel 0.0 0.5 Middle East 0.0 0.5 Developed Markets 94.5 99.5 Morgan Stanley International Equity MSCI EAFE Index Brazil 0.0 0.0 Cayman Islands 0.0 0.0 Chile 0.0 0.0 Colombia 0.0 0.0 Mexico 0.0 0.0 Peru 0.0 0.0 Virgin Islands 0.0 0.0 EM Latin America 0.0 0.0 China 1.9 0.0 India 0.0 0.0 Indonesia 0.0 0.0 Korea 0.0 0.0 Malaysia 0.0 0.0 Philippines 0.0 0.0 Taiwan 0.0 0.0 Thailand 0.0 0.0 EM Asia 1.9 0.0 Czech Republic 0.0 0.0 Egypt 0.0 0.0 Greece 0.0 0.2 Hungary 0.0 0.0 Poland 0.0 0.0 Russia 0.0 0.0 South Africa 0.0 0.0 Turkey 0.0 0.0 EM Europe + Middle East + Africa 0.0 0.2 Emerging Markets 1.9 0.2 Frontier Markets 0.0 0.0 Cash 2.9 0.0 Other 0.7 0.3 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2014 40 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2009 - Mar - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Morgan Stanley Emerging Markets -0.5 -0.5 -2.1 -0.8 15.0 9.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 34.5 24.1 MSCI Emerging Markets Index -0.4 -0.4 -1.4 -2.9 14.5 10.1 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 34.0 25.6 Emerging Markets Equity Peer Group Median -0.7 -0.7 -1.7 -2.1 15.0 9.3 -1.1 19.5 -19.2 19.2 74.0 -54.5 37.4 32.3 32.9 24.9 Morgan Stanley Emerging Markets Rank 44 44 58 33 51 46 47 39 41 55 69 71 25 16 41 60 13.0 14.0 15.0 16.0 Return (%)22.2 22.5 22.8 23.1 23.4 23.7 24.0 24.3 24.6 Risk (Standard Deviation %) MSCI Emerging Markets Index Morgan Stanley Emerging Markets Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Average Active Weight 0.0 5.0 10.0-5.0-10.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.3 0.2 0.5 -5.6 1.1 2.3 3.1 -2.9 -5.1 4.0 3.6 2.2 Allocation (Total: 0.5) 0.0 0.2 0.3 0.5-0.2-0.3 -0.1 0.0 0.1 0.2 0.0 0.0 0.1 0.0 0.2 0.0 0.1 0.0 Stock (Total: -0.2) 0.0 0.5 1.0 1.5-0.5-1.0-1.5 0.0 0.1 0.0 0.4 -0.6 -0.3 0.0 0.6 -0.3 -0.3 0.0 0.0 Morgan Stanley Emerging Markets 0.0 0.5 1.0 1.5-0.5-1.0-1.5 -0.1 0.1 0.1 0.6 -0.6 -0.2 0.1 0.6 -0.1 -0.3 0.2 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 41 Total Attribution 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6-0.2-0.4-0.6-0.8-1.0-1.2 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash 0.5 0.0 -0.1 0.0 -0.4 -0.6 -0.2 0.1 0.9 0.0 Performance Attribution Average Active Weight 0.0 2.5 5.0 7.5 10.0-2.5-5.0-7.5-10.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -2.5 0.8 1.6 0.3 2.5 5.7 -2.0 -4.1 -4.4 2.2 Allocation (Total: -0.7) 0.0 0.2 0.4 0.6-0.2-0.4-0.6-0.8-1.0 0.2 0.0 0.0 0.0 -0.4 -0.6 0.0 0.1 0.0 0.0 Stock (Total: 0.9) 0.0 0.3 0.5 0.8 1.0 1.3 1.5-0.3-0.5-0.8 0.3 0.0 -0.2 0.0 0.0 0.0 -0.2 0.1 0.9 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index 1 Quarter Ending March 31, 2014 42 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Samsung Electronics Co Ltd 3.6 3.7 -0.1 -3.3 Tencent Holdings LTD 2.5 1.9 0.6 9.0 Taiwan Semiconductor Manufacturing 2.4 2.6 -0.2 10.1 Hyundai Motor Co Ltd 2.0 1.0 1.1 4.8 Bank of China Ltd 1.9 0.9 1.0 -3.7 BRF - Brasil Foods S.A.1.7 0.4 1.3 -2.8 Cemex SAB de CV 1.6 0.4 1.2 6.8 Naspers Ltd 1.5 1.2 0.3 5.6 Grupo Financiero Banorte 1.3 0.5 0.8 -3.5 America Movil SA De CV, Mexico 1.3 0.9 0.3 -14.9 % of Portfolio 19.7 13.3 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)34,280 38,764 Median Mkt. Cap ($M)8,250 5,061 Price/Earnings ratio 14.6 11.0 Price/Book ratio 2.5 2.1 5 Yr. EPS Growth Rate (%)14.8 14.4 Current Yield (%)2.1 2.8 Debt to Equity 0.9 0.9 Number of Stocks 158 820 Beta (5 Years, Monthly)0.93 1.00 Consistency (5 Years, Monthly)50.00 1.00 Sharpe Ratio (5 Years, Monthly)0.79 0.74 Information Ratio (5 Years, Monthly)0.05 - Up Market Capture (5 Years, Monthly)94.09 - Down Market Capture (5 Years, Monthly)88.46 - Sector Weights (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.5 2.7 0.0 9.2 3.7 17.9 7.8 4.8 25.6 5.8 10.2 11.9 0.0 0.0 3.5 6.9 9.4 16.7 6.6 1.7 26.8 10.8 8.5 9.1 Distribution of Market Capitalization (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 15.0 30.0 45.0 60.0 >$59 Bil $15 Bil - $59 Bil $2 Bil - $15 Bil $0 - $2 Bil Cash 21.7 31.3 44.3 2.7 0.0 18.2 27.7 48.6 2.8 2.7 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2014 43 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Australia 0.0 0.0 Hong Kong 3.0 6.2 Japan 0.5 0.0 New Zealand 0.0 0.0 Singapore 0.5 0.1 Pacific 3.9 6.2 Austria 2.3 0.0 Belgium 0.0 0.0 Finland 0.0 0.0 France 0.0 0.0 Germany 0.0 0.0 Ireland 0.0 0.0 Italy 0.0 0.0 Netherlands 0.5 0.0 Portugal 1.0 0.0 Spain 1.0 0.0 EMU 4.8 0.0 Denmark 0.0 0.0 Norway 0.0 0.0 Sweden 0.0 0.0 Switzerland 1.1 0.0 United Kingdom 1.0 0.0 Europe ex EMU 2.1 0.0 Canada 0.0 0.0 United States 1.4 0.1 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 12.3 6.4 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Brazil 7.2 11.1 Cayman Islands 0.0 0.0 Chile 0.6 1.6 Colombia 2.1 1.1 Mexico 7.0 5.1 Peru 1.1 0.3 Virgin Islands 0.0 0.0 EM Latin America 18.0 19.2 China 9.6 12.8 India 8.4 6.7 Indonesia 1.5 2.7 Korea 15.4 15.8 Malaysia 2.3 3.9 Philippines 4.1 1.0 Taiwan 7.1 11.9 Thailand 4.0 2.3 EM Asia 52.3 57.0 Czech Republic 0.9 0.3 Egypt 0.0 0.2 Greece 0.0 0.0 Hungary 0.9 0.2 Poland 3.5 1.8 Russia 1.6 5.3 South Africa 4.9 7.8 Turkey 0.0 1.6 EM Europe + Middle East + Africa 11.7 17.2 Emerging Markets 82.0 93.5 Frontier Markets 1.1 0.2 Cash 2.7 0.0 Other 1.9 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2014 44 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2009 - Mar-2014) Historical Statistics (Apr-2009 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Income Research 1.1 1.1 -0.2 3.7 6.1 4.8 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 4.5 2.8 3.7 Barclays Intermediate U.S. Government/Credit 1.0 1.0 -0.1 3.1 4.2 3.9 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 1.6 3.0 Intermediate Duration Fixed Income Peer Group Median 1.3 1.3 0.2 3.6 6.3 4.4 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 2.6 Income Research Rank 68 68 69 48 53 20 61 41 28 49 24 29 9 14 1 19 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)2.0 2.2 2.4 2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2 Risk (Standard Deviation %) Barclays Intermediate U.S. Government/Credit Income Research Income Research Barclays Intermediate U.S. Government/Credit 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Income Research 6.1 3.6 5.9 1.2 1.2 1.6 2.1 0.9 1.0 70.0 17y 2m Barclays Intermediate U.S. Government/Credit 4.2 2.6 4.1 0.0 1.0 1.6 0.0 N/A 1.0 0.0 17y 2m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.6 -1.6 0.0 15.0 17y 2m Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2014 45 Credit Quality Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 50.0 100.0 AAAAAABBB65.3 6.5 14.1 14.1 52.3 9.6 16.9 21.2 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.8 3.9 Avg. Maturity 4.5 4.2 Avg. Quality AA-AA+ Yield To Maturity (%)2.0 1.6 Sector Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 50.0 100.0 TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.4 6.4 24.4 0.0 0.0 10.5 2.3 0.0 0.0 0.0 0.0 23.9 0.9 37.7 8.5 5.2 0.0 0.0 2.9 0.5 8.6 11.8 Maturity Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 20.0 40.0 60.0 1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs41.2 27.6 31.2 0.0 0.0 33.9 30.6 32.8 1.6 1.1 Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2014 46 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2009 - Mar-2014) Historical Statistics (Apr-2009 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Penn Capital 2.4 2.4 6.2 7.2 13.8 N/A 5.9 13.3 4.2 15.0 37.5 -21.0 1.8 8.9 N/A N/A BofA Merrill Lynch US High Yield, Cash Pay Index 3.0 3.0 7.5 8.7 17.9 8.5 7.4 15.4 4.5 15.2 56.3 -26.2 2.2 11.6 2.8 10.8 High Yield Fixed Income Peer Group Median 2.9 2.9 7.4 8.4 16.7 8.1 7.4 15.3 4.0 14.7 47.3 -24.3 2.6 10.7 3.1 10.4 Penn Capital Rank 92 92 85 92 89 N/A 78 80 46 41 79 25 74 84 N/A N/A 5.0 10.0 15.0 20.0 25.0 Return (%)5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 Risk (Standard Deviation %) BofA Merrill Lynch US High Yield, Cash Pay Index Penn Capital Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Penn Capital 13.8 7.1 13.2 2.8 0.6 1.9 4.9 -0.8 2.1 35.0 8y 9m BofA Merrill Lynch US High Yield, Cash Pay Index 17.9 11.3 17.3 0.0 1.0 1.5 0.0 N/A 2.8 0.0 8y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 11.3 -1.5 0.0 15.0 8y 9m Manager Evaluation Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index As of March 31, 2014 47 Credit Quality Distribution (%) Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 50.0 100.0 BBBBBBBelow B0.0 45.4 38.7 15.9 1.2 32.3 66.5 0.0 Portfolio Characteristics Portfolio Benchmark Effective Duration 4.1 4.2 Avg. Maturity 6.2 6.7 Avg. Quality B B+ Yield To Maturity (%)5.8 5.6 Sector Distribution (%) Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 50.0 100.0 150.0 High YieldCashOther100.0 0.0 0.0 96.2 3.5 0.3 Maturity Distribution (%) Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 50.0 100.0 150.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 8.1 22.8 63.2 3.9 2.14.1 2.6 16.7 76.1 0.5 0.0 Manager Evaluation Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index As of March 31, 2014 48 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2014) Historical Statistics (Apr-2010 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Loomis Credit Asset Fund 2.2 2.2 4.6 7.1 N/A N/A 4.4 14.2 3.3 N/A N/A N/A N/A N/A N/A N/A 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 2.5 2.5 3.5 6.4 12.1 6.2 2.1 11.0 5.8 10.6 34.3 -15.9 3.6 6.8 3.0 6.7 Alternative Credit Focus Funds Peer Group Median 1.2 1.2 1.4 3.4 9.0 4.3 0.8 8.6 1.3 8.1 21.9 -12.7 4.6 5.1 1.4 6.1 Loomis Credit Asset Fund Rank 16 16 12 1 N/A N/A 14 6 22 N/A N/A N/A N/A N/A N/A N/A 5.0 6.0 7.0 8.0 9.0 10.0 Return (%)2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2 4.4 4.6 4.8 5.0 Risk (Standard Deviation %) 50% BC Credit / 25% S&P LSTA / 25% BY High Yield Loomis Credit Asset Fund Loomis Credit Asset Fund 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Loomis Credit Asset Fund 8.1 4.4 7.9 -0.5 1.2 1.8 1.9 0.5 1.8 68.8 4y 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 7.1 3.3 6.9 0.0 1.0 2.1 0.0 N/A 1.1 0.0 4y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.3 -2.1 0.0 12.5 4y Manager Evaluation Loomis Credit Asset Fund vs. 50% BC Credit / 25% S&P LSTA / 25% BY High Yield As of March 31, 2014 49 Credit Quality Distribution (%) Loomis Credit Asset Fund 0.0 10.0 20.0 30.0 40.0 AAAAAABBBBBBBelow BNot Rated6.7 3.4 15.0 22.1 22.9 26.4 3.5 0.0 Portfolio Characteristics Portfolio Effective Duration 3.8 Avg. Maturity 7.1 Avg. Quality BB+ Yield To Maturity (%)4.4 Sector Distribution (%) Loomis Credit Asset Fund 0.0 15.0 30.0 45.0 TreasuriesCreditHigh YieldMBSABSNon-USEmergingMunicipalsOtherCMBS0.1 20.8 26.9 4.3 4.4 1.2 0.5 6.7 31.3 3.7 Maturity Distribution (%) Loomis Credit Asset Fund 0.0 25.0 50.0 75.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs9.9 14.1 14.0 49.5 5.7 6.9 Manager Evaluation Loomis Credit Asset Fund As of March 31, 2014 50 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2009 - Mar-2014) Historical Statistics (Apr-2009 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Brandywine Global Opportunistic Fixed Income 4.2 4.2 0.7 6.7 11.8 N/A -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 -0.9 N/A Citigroup World Government Bond 2.7 2.7 1.4 1.9 3.8 4.2 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 -6.9 10.3 Global Fixed Income Peer Group Median 2.4 2.4 0.8 3.1 6.3 4.8 -1.7 7.5 3.7 6.1 12.0 -2.1 7.7 5.7 0.7 9.5 Brandywine Global Opportunistic Fixed Income Rank 6 6 53 7 3 N/A 69 15 12 10 25 74 18 21 55 N/A -10.0 0.0 10.0 20.0 30.0 Return (%)4.8 5.2 5.6 6.0 6.4 6.8 7.2 7.6 8.0 8.4 8.8 Risk (Standard Deviation %) Citigroup World Government Bond Brandywine Global Opportunistic Fixed Income Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Brandywine Global Opportunistic Fixed Income 11.8 7.7 11.5 7.7 1.0 1.5 4.8 1.6 1.6 80.0 9y 3m Citigroup World Government Bond 3.8 5.8 3.9 0.0 1.0 0.7 0.0 N/A 2.4 0.0 9y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.8 -0.7 0.0 45.0 9y 3m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond As of March 31, 2014 51 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 50.0 100.0 AAAAAABBBBBBBelow BNot Rated17.8 67.3 2.1 12.8 0.0 0.0 0.0 0.0 14.7 27.3 26.8 20.5 7.4 0.1 1.7 1.5 Portfolio Characteristics Portfolio Benchmark Effective Duration 7.0 6.9 Avg. Maturity 13.1 8.3 Avg. Quality A AA Yield To Maturity (%)4.7 1.4 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 50.0 100.0 -50.0 TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther28.4 0.0 0.0 0.0 71.6 0.0 0.0 0.0 0.07.2 4.9 0.1 1.7 65.5 17.8 0.8 2.3 -0.3 Maturity Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 15.0 30.0 45.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 28.2 19.7 27.4 13.1 11.6 7.4 14.0 7.2 27.6 12.1 31.7 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond As of March 31, 2014 52 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Mar-2014) Historical Statistics (Jul-2010 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Pictet Emerging Local Currency Debt Fund 1.2 1.2 -8.9 -0.1 N/A N/A -10.3 15.3 -2.3 N/A N/A N/A N/A N/A N/A N/A JPM GBI-EM Global Diversified 1.9 1.9 -7.1 1.1 9.8 9.3 -9.0 16.8 -1.8 15.7 22.0 -5.2 18.1 15.2 6.3 23.0 Emerging Markets LC Peer Group Median 1.5 1.5 -8.6 0.2 8.9 N/A -10.4 16.6 -3.3 14.3 24.1 N/A N/A N/A N/A N/A Pictet Emerging Local Currency Debt Fund Rank 59 59 61 69 N/A N/A 45 68 40 N/A N/A N/A N/A N/A N/A N/A 0.0 1.5 3.0 4.5 6.0 7.5 Return (%)9.2 9.4 9.6 9.8 10.0 10.2 10.4 10.6 Risk (Standard Deviation %) JPM GBI-EM Global Diversified Pictet Emerging Local Currency Debt Fund Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0 25 50 75 100Return Percentile Rank6/04 6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Pictet Emerging Local Currency Debt Fund 3.0 9.6 3.4 -1.4 0.9 0.4 1.0 -1.8 5.7 6.7 3y 9m JPM GBI-EM Global Diversified 4.8 10.2 5.1 0.0 1.0 0.5 0.0 N/A 5.8 0.0 3y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.2 -0.5 0.0 46.7 3y 9m Manager Evaluation Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified As of March 31, 2014 53 Credit Quality Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 50.0 100.0 AAAAAABBBBBNot Rated0.0 0.2 20.0 61.1 18.3 0.40.2 0.1 16.3 54.1 13.7 15.6 Portfolio Characteristics Portfolio Benchmark Effective Duration 4.4 4.6 Avg. Maturity 6.4 6.8 Avg. Quality BBB BBB+ Yield To Maturity (%)5.5 6.9 Country/Region Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 50.0 100.0 AsiaEastern EuropeLatin AmericaAfricaOthers27.1 36.1 25.1 11.7 0.0 24.7 38.5 22.2 14.5 0.2 Sector Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 50.0 100.0 150.0 Local CurrencyCashOther100.0 0.0 0.0 86.2 13.7 0.2 Manager Evaluation Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified As of March 31, 2014 *Portfolio characteristics as of 12/31/2013. 54 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2009 - Mar-2014) Historical Statistics (Apr-2009 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 GMO Asset Allocation Fund 1.7 1.7 10.4 7.8 12.1 7.0 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.1 9.5 13.4 65% MSCI World (Net) / 35% BC Aggregate 1.5 1.5 12.1 8.2 13.7 6.3 15.9 11.9 -0.7 10.5 21.6 -26.9 8.4 14.4 7.1 11.1 9.0 10.5 12.0 13.5 15.0 16.5 Return (%)8.0 8.4 8.8 9.2 9.6 10.0 10.4 10.8 11.2 11.6 12.0 12.4 Risk (Standard Deviation %) 65% MSCI World (Net) / 35% BC Aggregate GMO Asset Allocation Fund Rolling 3 Years Active Return Quarterly Active Return 0.0 10.0 20.0 -10.0 -20.0Active Return (%)3/97 9/98 3/00 9/01 3/03 9/04 3/06 9/07 3/09 9/10 3/12 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date GMO Asset Allocation Fund 12.1 9.3 11.9 0.8 0.8 1.3 2.6 -0.7 4.5 35.0 17y 5m 65% MSCI World (Net) / 35% BC Aggregate 13.7 11.1 13.6 0.0 1.0 1.2 0.0 N/A 5.5 0.0 17y 5m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 11.1 -1.2 0.0 20.0 17y 5m Manager Evaluation GMO Asset Allocation Fund vs. 65% MSCI World (Net) / 35% BC Aggregate As of March 31, 2014 55 U.S. Equity 19.3% ABS 3.8% Alpha Only 9.4% Alternative Asset Op portunity 5.3% Special Situatio ns 0.5% Cas h &Cas h Equivalents 1.9% Manager Evaluation GMO Asset Allocation Fund As of March 31, 2014 3.3%1.8% 17.1% 0.0% 5.0% 10.0% 15.0% 20.0% Fund Composition Fund Weights Relative to Benchmark Int ernatio nal Equity 27.1% Risk Premium 2.5%Emerg ing Market s 8.6% Strat eg ic Fixed Income 4.5% Emerg ing Co untry Debt 3.7% TIP S 13.4% -12.6% -9.6% -20.0% -15.0% -10.0% -5.0% U.S. Equities Int'l.Equities Em ergin g Equities Fixed Income Ot her 56 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2009 - Mar-2014) Historical Statistics (Apr-2009 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 PIMCO All Asset Fund I 2.3 2.3 2.2 5.7 11.8 6.4 0.8 15.4 2.4 13.7 23.0 -15.5 8.7 5.3 6.5 11.8 Barclays U.S. Treasury Inflation Notes: 1-10 Year 1.0 1.0 -4.9 2.2 4.0 4.0 -5.6 5.0 8.9 5.2 12.0 -2.4 11.4 1.6 1.9 7.1 -10.0 0.0 10.0 20.0 30.0 Return (%)1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 Risk (Standard Deviation %) Barclays U.S. Treasury Inflation Notes: 1-10 Year PIMCO All Asset Fund I Rolling 3 Years Active Return Quarterly Active Return 0.0 10.0 20.0 -10.0 -20.0Active Return (%)12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date PIMCO All Asset Fund I 11.8 8.3 11.6 8.2 0.9 1.4 7.6 1.0 3.4 85.0 11y 8m Barclays U.S. Treasury Inflation Notes: 1-10 Year 4.0 3.6 3.9 0.0 1.0 1.1 0.0 N/A 2.5 0.0 11y 8m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.6 -1.1 0.0 10.0 11y 8m Manager Evaluation PIMCO All Asset Fund I vs. Barclays U.S. Treasury Inflation Notes: 1-10 Year As of March 31, 2014 57 Manager Evaluation PIMCO All Asset Fund I Sector Allocations As of March 31, 2014 U.S. Equity Strat eg ies 1.2% Glo bal Eq uity Strat eg ies 22.9% Short -Te rm Strat eg ies In flat io n Relat ed Strat eg ies 8.9% Alternat ive Strat eg ies 13.8% U.S. Core &Lo ng Maturi ty Bond Strat eg ies 4.8% Cred it Strat eg ies 23.4% EM & Glo bal Bond Strat eg ies 24.4% Strat eg ies 0.6% 58 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2009 - Mar-2014) Historical Statistics (Apr-2009 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 UBS Trumbull Property Fund 2.2 2.2 10.1 9.8 6.4 6.9 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 20.1 13.5 NCREIF Property Index 2.7 2.7 11.2 11.7 7.9 8.7 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 20.1 14.5 3.0 4.5 6.0 7.5 9.0 10.5 Return (%)4.4 4.6 4.8 5.0 5.2 5.4 5.6 5.8 6.0 6.2 6.4 Risk (Standard Deviation %) NCREIF Property Index UBS Trumbull Property Fund Rolling 3 Years Active Return Quarterly Active Return 0.0 5.0 10.0 -5.0 -10.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date UBS Trumbull Property Fund 6.4 5.8 6.3 -2.4 1.1 1.1 1.7 -0.8 3.9 25.0 36y 3m NCREIF Property Index 7.9 4.9 7.7 0.0 1.0 1.6 0.0 N/A 2.9 0.0 36y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.0 -1.6 0.0 15.0 36y 3m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2014 59 Property Type UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 OfficeApartmentRetailIndustrialHotel35.9 24.9 23.5 13.5 2.1 31.0 33.0 22.0 9.0 5.0 Portfolio Characteristics Portfolio Benchmark # Properties 190 6,968 # Investors 400 N/A Leverage %12.5 N/A Property Location UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 EastWestSouthMidwest34.4 35.2 21.0 9.4 40.8 30.9 15.0 13.3 Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2014 60 Type City Ac quis ition Da te % Occupa nc y Cos t ($000) Fa ir Market Value ($000) Office Ne w York Ju n-06 100%655,997$ 687,000$ Office Bo ston Dec-11 89%625,939$ 639,000$ Re tail Da lla s Dec-02 90%398,253$ 501,000$ Apart me nts Ne w York Ju l-11 94%391,531$ 465,000$ Office Ch ic ag o Dec-11 100%384,455$ 422,562$ Re tail Ch ic ag o No v-13 97%320,482$ 416,336$ Re tail Ca mb rid ge May-89 96%291,300$ 531,315$ Office Washin gton May-06 80%238,411$ 261,000$ Apart me nts Bro okly n Dec-07 96%225,037$ 240,000$ As of Ma rch 31,2014 20 La rge st Investm ents Manager Evaluation UBS Trumbull Property Fund As of March 31, 2014 Apart me nts Bro okly n Dec-07 96%225,037$ 240,000$ Office Se attle Oc t-84 76%221,373$ 230,000$ Office Pleas anton Dec-03 98%190,718$ 144,000$ Office Ne w York Ju l-11 95%190,104$ 424,336$ Ho tel Da lla s Apr-05 77%185,205$ 153,000$ Re tail Montebello Dec-88 96%183,318$ 260,000$ Office Pa sadena May-84 97%179,863$ 194,000$ Re tail White Plains Se p-05 73%164,774$ 91,300$ Office Sa n Fra ncis co Dec-85 87%161,090$ 201,939$ Office De nver Ju n-06 89%156,596$ 224,609$ Re tail Millb ury Se p-04 99%156,000$ 189,000$ Ho tel Ne w York Ju n-10 N/A 152,450$ 153,370$ All o ther in vestme nts ------10,208,561$ 9,708,709$ To tal Properties 15,681,457$ 16,137,476$ 61 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2014) Historical Statistics (Apr-2010 - Mar-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Wellington Diversified Inflation Hedges 2.1 2.1 -1.5 -3.8 N/A N/A -3.9 5.2 -8.6 N/A N/A N/A N/A N/A N/A N/A Wellington DIH Multi-Asset Inflation Index 2.1 2.1 1.1 -3.5 7.3 5.9 -2.1 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 19.7 16.0 1.0 2.0 3.0 4.0 Return (%)13.2 13.6 14.0 14.4 14.8 15.2 15.6 16.0 16.4 16.8 17.2 Risk (Standard Deviation %) Wellington DIH Multi-Asset Inflation Index Wellington Diversified Inflation Hedges Rolling 3 Years Active Return Quarterly Active Return 0.0 2.0 4.0 -2.0 -4.0Active Return (%)6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 3/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Wellington Diversified Inflation Hedges 2.7 15.9 3.8 0.6 1.1 0.2 2.4 0.4 10.8 56.3 4y Wellington DIH Multi-Asset Inflation Index 2.0 14.2 2.9 0.0 1.0 0.2 0.0 N/A 9.7 0.0 4y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.2 -0.2 0.0 43.8 4y Manager Evaluation Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index As of March 31, 2014 62 Manager Evaluation We llington Diversified Inflation Hedges Sector Allocation As of March 31, 20141 En ergy 28.7% TIPS 8.1% Emerging Markets In flati on -Linked Bon ds 5.7% Cash 6.7% 8% 3% 0% 0% 5% 10% 15% 20% Fund Composition Fund Weights Relative to Benchmark En ergy 30.8% TIPS 5.6% Emergin g Markets In flati on -Linked Bon ds 7.2% Cash 0.4% Me ta ls & Mining 3.0% Agricultu re 5.1% En du ri ng Assets 11 .7% Preciou s Meta ls 8.7% Commodities 22.4% Global Inflation-Sensitive Equities Commodities Fixed Income & Cash -11% -20% -15% -10% -5% 0% Equities Fixed Income Commodities Ca sh 1Allocations as of February 28, 2014. March 31, 2014 portfolio sector positioning was not available at the time of report production. Metals & Mi ning 7.6% Agricu lture 5.5%En du ri ng Assets 4.9% Preciou s Metals 5.0% In flati on Opportu niti es 5.0% Commoditi es 27.9% 63 Calendar Year Performance 64 Year To Date 2013 2012 2011 2010 2009 2008 2007 2006 2005 Total Composite 1.6 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 11.8 5.6 Policy Benchmark 1.6 12.5 11.6 1.1 11.5 19.5 -20.6 8.3 13.0 5.7 Total Equity Composite 0.7 N/A N/A N/A N/A N/A N/A N/A N/A N/A MSCI AC World Index 1.1 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 21.0 10.8 Domestic Equity Composite 1.0 (65)N/A N/A N/A N/A N/A N/A N/A N/A N/A Russell 3000 Index 2.0 (30)33.6 (40)16.4 (26)1.0 (16)16.9 (39)28.3 (59)-37.3 (38)5.1 (62)15.7 (31)6.1 (63) Broad Equity Peer Group Median 1.4 32.5 14.6 -2.1 16.2 29.6 -38.4 6.5 13.6 7.0 International Equity Composite 0.2 (55)N/A N/A N/A N/A N/A N/A N/A N/A N/A MSCI AC World ex USA Index 0.5 (44)15.3 (54)16.8 (72)-13.7 (32)11.2 (74)41.4 (64)-45.5 (36)16.7 (66)26.7 (55)16.6 (86) International Equity Peer Group Median 0.3 15.6 18.5 -15.2 13.6 44.1 -47.0 18.3 27.0 19.7 Fixed Income Composite 2.2 (21)-1.7 (82)10.9 (1)3.8 (72)8.7 (10)18.9 (8)-3.4 (70)6.4 (26)5.6 (8)2.8 (1) Barclays Intermediate U.S. Government/Credit 1.0 (82)-0.9 (55)3.9 (70)5.8 (22)5.9 (54)5.2 (100)5.1 (13)7.4 (9)4.1 (42)1.6 (46) Intermediate Duration Fixed Income Peer Group Median 1.3 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 Tactical Asset Allocation Composite 1.7 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.3 5.0 60% World / 40% Agg 1.6 14.5 11.3 0.0 10.2 20.4 -24.7 8.3 13.6 6.7 Alternatives Composite 3.0 N/A N/A N/A N/A N/A N/A N/A N/A N/A 3 Month T-Bills + 3%0.8 3.1 3.1 3.1 3.1 3.2 5.1 8.2 8.0 6.2 Calendar Year Performance Composite Performance As of March 31, 2014 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 65 Capital Markets Review 66 Weather and Russian Aggression Drive Markets •Intense weather patterns affected the U.S.economy to a greater extent than seen in many years.The Federal Reserve tied weather extremes to nearly every major data point in their outlook for first quarter growth,setting expectations lower for GDP segments not tied to energy. •The western half of the U.S.was hit with a withering drought,which challenged farmers to find alternative irrigation sources.Cities imposed strict limits on residential water usage,and the country braced for higher fruit prices emanating from under-producing California farms.Ranchers struggled to find adequate grasslands for livestock,even as herds were thinned over the past several years.Beef prices hit a multi-year high as a result.The eastern U.S.struggled through a winter that offered heavy snowstorms and bitter cold with ruthless repetitiveness.Consumers sheltered in their homes more often than usual,turning malls and auto showrooms into ghost towns for days at a time.Retail sales were hurt during the quarter,but as the temperature warms,consumers are likely to release their pent-up shopping desires. •Housing construction has remained relatively level over the past year,with volatility increasing in the southern U.S.The South depends on northern transplants to bolster housing construction.As recent graduates faced a tough job market,their usual home Capital Markets Rev iew Economy 0 100 200 300 400 500 600 Mar-08Jul-08Nov-08Mar-09Jul-09Nov-09Mar-10Jul-10Nov-10Mar-11Jul-11Nov-11Mar-12Jul-12Nov-12Mar-13Jul-13Nov-13Mar-14ThousandsHousing Permits New Eng land Mid wes t South West Source:Bloomberg 52 54 56 58 Manufacturin g PMI U.S. housing construction.As recent graduates faced a tough job market,their usual home buying pattern shifted causing more to rent or live with parents.Older homebuyers rely on younger buyers mo ving up in home size in order to sell their own homes,and as the pattern has been disrupted,homebuilders have faced weaker demand. •Emerging markets faced continued headwinds from slogging commodity prices, excepting energy.China’s manufacturing sector contracted as domestic demand and exports weakened.A tepid Eurozone and struggling emerging economies contributed to China’s export weakness. •The Fed taper pressured foreign currencies as central banks struggled to either match U.S.dollar mo vements by tightening or standing pat and dealing with rising inflation. Turkey’s central bank chose to raise interest rates,against the wishes of the Turkish leadership,which was afraid of a public backlash.As the Federal Reserve stimulus had to wind down at some point,countries whose currencies are tied to the U.S.dollar knew that they would need to follow suit or face economic headwinds. •Russia’s invasion of Crimea sparked worldwide condemnation.Sanctions imposed by the U.S.and its allies sent the Russian stock market tumbling while the ruble shed over 10%of its value for a short time.The Russian economy is likely to enter a recession as trade suffers.Europe worried about natural gas supplies,fearing that Putin could stop exports in retaliation of the sanctions. 40 42 44 46 48 50 May-11Jul-11Sep-11Nov-11Jan-12Mar-12May-12Jul-12Sep-12Nov-12Jan-13Mar-13May-13Jul-13Sep-13Nov-13Jan-14Mar-14China Eurozone Source: Bloomberg/Markit/HSBC Growth > 50 Contraction <50 -12 -10 -8 -6 -4 -2 0 2 4 6 12/31/2013 1/31/2014 2/28/2014 3/31/2014Percent vs USDForeign Curre ncies Canad a Mex ico Tu rkey China S. Korea Brazil Russia Source: Bloomberg 67 -2.1% 0.4% 0.5% 0.6% 1.5% 2.0% 2.2% 2.8% 3.0% 5.7% 9.5% -4.0 %-1.0%2.0%5.0%8.0%11.0% Cons. Disc. Te lecom Indust rials Cons.Staples Fi nancials Russell 30 00 Info Tech Fi nancials Materia ls Health Care Utilities 1st Quarter 2014 Sector Returns Capital Markets Rev iew Equities First Quarter Equity Roller Coaster Ride Ends With Modest Gains •The global equity markets experienced a fair amount of day-to-day volatility caused by macroeconomic and geopolitical concerns that included Janet Yellen’s testimony on potential interest rate increases and Russia’s annexation of the Crimean peninsula.Early in the quarter, risk aversion grew,equity markets tumbled,emerging market currencies sold off,and economic data out of China and the U.S.was relatively weak.The markets,however,turned bullish in the latter half of the quarter as emerging market currencies stabilized,the outlook for military intervention in Ukraine waned,and weak U.S.data was attributed to brutal winter weather.The rally helped the S&P 500 Index gain 1.8%during the quarter.Internationally, developed markets outperformed emerging markets for the sixth straight quarter as the MSCI EAFE Index advanced 0.7%while the MSCI EM Index returned -0.4%. •During the first quarter,value companies significantly outperformed growth companies.From a capitalization perspective,large-cap companies outperformed small-cap companies,however the strongest returns came from the mid-cap segment.Sector performance was mixed.Within the Russell 3000 Index,defensive sectors were the top performers,including utilities (+9.5%) and health care (+5.7%).The utilities sector’s high dividends attracted investors in today’s low interest rate environment.Consumer discretionary (-2.1%)was the only sector to register0% 10% 20% 30%Relative PerformanceDeveloped vs. Emerging Markets: 3 Year Relative Performance Rolling 3 Year Annualized Relative Returns Developed Markets Outperformed low interest rate environment.Consumer discretionary (-2.1%)was the only sector to register a loss during the period,as harsh winter weather kept consumers home. •The MSCI EAFE Index advanced 0.7%during the first quarter.The European region (+2.1%) and,in particular,the Nordic countries (+4.7%)and EMU (+2.8%),performed best as investors cheered slow but stable economic growth and reduced austerity measures.Signs of economic improvement aided markets in peripheral countries Italy (+14.6%),Ireland (+14.0%),and Portugal (+9.7%).The Pacific region (-2.5%)was weighed down by Japan (- 5.6%),as investor sentiment towards aggressive fiscal stimulus faded. •Emerging market equities experienced pronounced volatility and fell in the first quarter.The MSCI EM Index returned -0.4%.A strong rally in the latter half of the quarter almost offset losses experienced in January when developing countries’currencies faced selling pressure. Despite currencies stabilizing later in the quarter,slowing Chinese economic growth and political uncertainty in Russia and Ukraine weighed on performance across the developing world.China (-5.9%),Korea (-2.2%),and Russia (-14.5%)were major detractors among developing countries while Indonesia (+21.2%),India (+8.2%),and Thailand (+7.4%)were notable contributors. •Over the past two years,price-to-earnings ratios have risen on improving fundamentals and investor confidence.U.S.equity valuations are now near their long-term averages.Non-U.S. equity valuations,however,remain below long-term averages,with emerging market valuations appearing least expensive. 10 15 20 25 30 35 Mar 2004 Mar 2005 Mar 2006 Mar 2007 Mar 2008 Mar 2009 Mar 2010 Mar 2011 Mar 2012 Mar 2013 Mar 2014 Russell 3000 Price/Earnings Ratio -40% -30% -20% -10% 0%1993199419951996199719981999200020012002200320042005200620072008200920102011201220132014Relative PerformanceEmerging Markets Outperformed Source: Pyramis Global Advisors Source: Russell Indices valuation data 68 Bond Bears Snooze in Q1 •Long-term U.S.Treasury yields declined amid soft economic data and ongoing stress in select emerging markets.The yield curve flattened during the quarter as short term yields rose marginally while ten and thirty year rates declined 31 and 40 basis points (bps), respectively.Bond markets continued to fixate on every comment released by the Federal Reserve.Short-term rates increased in March after the Fed implied it may begin raising rates sooner than investors anticipated,only to fall after Janet Yellen said rates might rise six months after tapering ends.Nevertheless,all major fixed income benchmarks produced positive total returns during the quarter,as longer duration assets benefited from declining long-term rates while continued yield appetite supported credit-related sectors.The Barclays Aggregate Index returned +1.8%in Q1,while other top performing market segments included long government/credit (+6.6%),municipals (+3.3%),and high yield (+3.0%). •Investment grade credit spreads narrowed from 111 bps to 103 bps during the quarter and the sector generated duration-adjusted excess returns to Treasuries of 75 bps.Spreads grinded tighter amid healthy corporate fundamentals,low default rates,accommodative global central bank policy,and investors’ongoing appetite for yield.Investment grade credit spreads,as represented by the Barclays U.S.Credit Index,are currently well-below the ten ye ar average and at the tightest level since the third quarter of 2007.Approximately Source: Barclays US Treasury Yield Curve Change by Maturity Duration-adjusted Excess Returns to Treasuries (bps) Capital Markets Rev iew Fixed Income Best Period Second Best Period Worst Period Second W orst Period 0.4% 0.6% 0.8% 1.0% 1.2%Change in Yield1Q14 1 Year Ending 1Q14 2007 2008 2009 2010 2011 2012 2013 1Q14 Aggregate -206 -710 746 171 -114 226 93 16 Age ncy -56 -110 288 77 -25 166 1 30 MBS -177 -232 495 225 -106 91 98 -24 ABS -634 -2223 2496 169 52 246 24 19 CMBS -435 -3274 2960 1501 47 841 97 65 Cre dit -464 -1786 1990 192 -322 693 226 75 Hi gh Yield -777 -3832 5955 974 -240 1394 923 199 Em erging -457 -2842 3797 508 -537 1503 -32 127 0 100 200 300 400 500 600 Option-Adjusted Spread (OAS)Date Bar clays US Credit 10-Year Average the ten ye ar average and at the tightest level since the third quarter of 2007.Approximately $300 billion of new investment grade corporate bond issuance came to market during the quarter,and many deals were three-to-four times oversubscribed,indicating continued insatiable demand for credit.Below investment grade credit sectors also benefited,as high yield corporates and bank loans generated total returns of +3.0%and +1.1%,respectively. •The Agency MBS sector produced a total return of +1.6%during the quarter but lagged duration-adjusted Treasuries by 24 bps as spreads widened and a variety of technical forces impacted the mortgage market.Since the end of 2013,the Fed has reduced its monthly mortgage purchase amount from $40 billion to $25 billion per month,the latter of which accounts for approximately 70%to 80%of gross new issuance.Supply also pulled back as rising mortgage rates,coupled with severe winter weather,contributed to decreased new purchase applications and refinancing activity during the quarter.Supported by more favorable supply/demand dynamics,CMBS and ABS spreads tightened 19 and 6 bps, respectively,leading to positive duration-adjusted excess returns to Treasuries.Non- Agency MBS produced positive returns during the quarter,as the sector continued to generate interest given attractive loss-adjusted yi elds,appreciating home values,and a lack of new issue supply. •Non-U.S.developed government bonds advanced during the quarter,returning +2.4%in local currency terms and +3.2%in U.S.dollar terms.Emerging markets were shaky to start the year as fears of QE reduction and heightened political tensions in the Ukraine,Turkey, and Venezuela led to a broad sell-off in January.However,most emerging markets recovered in February and March,leading to quarterly returns of +3.7%in hard currency bonds and +1.9%in local currency emerging debt.Source: Barclays Trailing 10-Year Investment Grade Credit Spreads Source: US Dept of The Treasury -0.6% -0.4% -0.2% 0.0% 0.2%Change in YieldMaturity (Years) 69 Hedge Funds Navigate Choppy Markets •Hedge funds generated positive returns during the first quarter’s choppy market environment,with the HFR Hedge Fund Composite Index up 1.1%.The MSCI All-Country World Index suffered a large sell-off in January (-4.0%)fueled by renewed concerns about slowing economic growth and political turmoil in many emerging market countries.Hedge funds largely protected capital during the downturn,with the Hedge Fund Composite Index losing only 50 basis points during the month. A sharp reversal in investor perspectives led to solid hedge fund gains in February (+1.9%),albeit not enough to keep pace with global equities (+4.9%).March,however,proved to be more challenging for hedge funds to navigate,as a late month correction among long equity holdings that had previously outperformed hurt returns.Nonetheless,all strategies other than Global Macro remain in the black for the year. •Global equity markets experienced big swings over the five trading days from March 20 to March 27, and long/short equity managers struggled during this period.According to Goldman Sachs,the weekly return of its “GS VIP”Index,which is comprised of the 50 stocks that most frequently appear among the top ten hedge fund holdings,had one of its worst weeks since 2001.The only periods where the Index performed worse were the market retreats in 2002,2008’s market meltdown,and the 2011 debt ceiling debacle.Despite headwinds in March,the HFR Equity Hedge Index finished the quarter up 1.3%,slightly ahead of the MSCI All-Country World Index. •In a continuation of 2013’s trend,distressed hedge fund strategies were the top performers during the Returns as of March 31, 2014 Source: Hedge Fund Research, Inc. Capital Markets Review Hedge Funds St yle Fi rst Qu ar ter 2013 Co nv er tible A rbitr age 2.1%8.0% Di stressed Sec ur itie s 2.7%14.1% Eq uity He dge 1.3%14.3% Eq uity Ma rket Neutral 1.5%6.4% Ev ent Driven 1.8%12.5% Glo bal Ma cro -0.5%-0.5% Me rger Arbitr age 0.7%4.7% He dge Fund Compos ite 1.1%9.1% Fu nd of Fu nds 0.4%9.0% MS CI A ll-Co untry World Index 1.2%23.4% BC Aggregate Bond Index 1.8%-2.0% •In a continuation of 2013’s trend,distressed hedge fund strategies were the top performers during the quarter (+2.7%).Many distressed hedge fund managers,particularly those that historically focused on U.S.investments,are building out European-focused distressed debt teams as interest in the heavily discounted bonds of bankrupt European companies has grown steadily.The rising number of distressed assets being put up for sale by banks and other financial institutions in Europe has provided hedge fund managers with increased opportunities. •Global macro strategies continued to struggle during the first quarter.Managers that take long and short positions in futures contracts accounted for the majority of the HFR Global Macro Index’s decline.Highly levered exposure to equity markets hurt performance in January when the equity markets sold off,while long exposure to bonds,metals and energy negatively contributed during March.On an annualized basis,the trailing three-year return of the Global Macro Index was a disappointing -4.6%. •The hedge fund industry has achieved near-record level assets under management.According to data compiled from eVestment,total hedge fund industry assets climbed 10%in 2013 to $2.86 trillion, modestly below the all-time high of $2.94 trillion reached in June 2008. •Despite total hedge fund capital back up to near-record levels,new hedge fund launches during 2013 fell to their lowest level in three years according to the latest HFR Market Microstructure Industry Report.In addition,fund liquidations increased to their highest level since 2009.Also notable was the very wide performance dispersion between top and bottom decile managers across many hedge fund strategies during 2013.The top decile of all HFR Index constituents reported a gain of 41.6% compared with a decline of 18.9%for the bottom decile.Wide dispersion of manager returns continued through the first quarter. Source: Hedge Fund Research/ The Wall Street Journal -1,500 -1,000 -500 0 500 1,000 1,500 2,000 20002001200220032004200520062007200820092010201120122013Estimated Number of Hedge FundsLaunched Liquidated 70 Returns as of December 31, 2013 Private Real Estate Returns Steady; Commodities Shrug Off Geopolitical Tensions •With interest rates and inflation holding steady at historically low levels,2013 was the fourth consecutive year of double digit gains for private real estate (and sixteenth consecutive quarter of positive gains).The NCREIF Property Index (“NPI”)returned 2.5%in the fourth quarter and 11.0%for the year,lagging the broader equity market but surpassing the bond market.Appreciation and income each achieved returns over 5%for the year with capital appreciation driven mostly from cap rate compression as net operating income was flat on average.Industrial and retail properties outperformed other property types for the year.Within retail,sector returns continue to be bolstered by regional and super regional malls while the warehouse subsector has led industrial properties. •Despite achieving strong and steady performance over the last four years,the private real estate market still has yet to achieve the same level of fundraising experienced pre-2008. According to Preqin,during 2013 only $76 billion in capital was raised among 162 funds,however,this was an improvement over 2012. •In a reversal from 2013,domestic REITs generated an 8.8%return in the first quarter compared to 1.8%for the S&P 500 due to solid quarterly earnings reports and a Capital Markets Review Real Assets NCREIF 3 Mon.1 Yr.3 Yrs.5 Yrs.10 Yrs. NCREIF 2.5%11.0%11.9%5.7%8.6% Ap artments 2.5%10.4%12.3%6.7%8.4% In dustrials 2.9%12.3%12.5%5.1%8.1% Offi ce 2.3%9.9%11.0%4.3%8.2% Retail 2.7%12.9%12.7%7.5%10.1% Hotel 2.3%7.7%9.2%2.5%6.9% Eas t 2.3%9.3%10.8%5.3%8.7% Mi dwest 2.1%10.6%10.9%5.4%7.2% South 2.8%12.5%12.1%6.2%8.5% We st 2.7%11.8%13.2%5.8%9.2% 303 360 321 224250 300 350 400 No. of Closed Funds Aggregate Ca pital Raised ($, bil.) An nual Closed-End Private Real Estate Fundraising compared to 1.8%for the S&P 500 due to solid quarterly earnings reports and a continued low interest rate environment.International REITs were challenged (-1.2%) by several factors including emerging markets growth concerns,particularly China,and Ukraine geopolitical headlines.Investors remain wary on the outlook for REITs with a backdrop of rising interest rates despite strong fundamentals.The real estate market continues to witness little new construction,which has led to declining vacancy rates and rent increases,in turn,improving earnings growth and rising dividends. •Commodity markets bounced back during the first quarter of 2014 with a return of 7.0%, which was well ahead of both equity and bond markets.Harsh weather throughout much of the nation,fears of shortages due to geopolitical tensions in Ukraine,and declining stockpiles of agricultural goods were all driving factors for the quarterly gain. •Softs were the best-performing sector in the Index,up 21.4%,and were driven by coffee (+58.2%)due to drought conditions in Brazil.Livestock and grains each were up over 16%during the quarter.In particular,concerns over potential embargos or military action drove up the prices of wheat and corn as Russia and Ukraine are large producers. Additionally,Kansas,which accounts for approximately 20%of total U.S.wheat production,suffered extreme drought conditions further elevating prices.Industrial metals were the worst-performing sector,down 4.6%.Weak manufacturing data from China,a stronger dollar,and some signs of a strengthening U.S.economy exerted downward pressure on the metals subsectors. Source: Ibbotson DJ-UBS Commodity Index Components Total Return Ending March 31, 2014 Segment 3 Months 1 Year 3 Years 5 Years 30.6%Energy 4.2%2.3%-7.9%-2.8% 14.6%Petroleum 0.5%2.2%-1.3%8.7% 15.0%Indus trial Metals -4.6%-10.5%-14.4%4.7% 15.1%Prec ious Metals 5.4%-22.8%-8.6%6.9% 24.6%Grains 16.1%0.2%-1.2%6.0% 5.7%Live stock 16.4%20.0%-0.4%1.2% 9.0%Soft s 21.4%4.2%-14.7%9.1% 100.0%To tal Mark et 7.0%-2.1%-7.4%4.2% Al loca ti on 190 185 195 224 162 104 131 141 52 47 64 67 76 0 50 100 150 200 250 2006 2007 2008 2009 2010 2011 2012 2013 Ye ar of Final Clos e Source: Preqin Real Estate Online 71 $80 $100 $120 •Private equity performance data in the ThomsonOne database has yet to be updated for the fourth quarter of 2013.During 3Q13,buyout funds modestly outperformed public equity markets,producing a pooled IRR of 5.4%versus 5.2%for the S&P 500.Venture capital funds lagged the S&P 500,producing a pooled IRR of 4.1%.Mega buyout and late stage venture capital funds were the strongest performers for the quarter while small buyout was the worst performing fund segment.Buyout funds exceeded the return of public markets over the trailing one-ye ar period while venture capital funds trailed the S&P 500 by a large margin.However,there was a considerable performance disparity between early and late stage funds for the one-year period,as those segments produced pooled IRRs of 4.7%and 18.5%,respectively. •In total,private equity funds raised nearly $84 billion during 1Q14,9%less than the prior quarter but 20%more than the same period last year.After a flurry of activity in the second half of 2013,buyout funds had their lowest quarterly fundraising total since 3Q12,raising approximately $33 billion.Conversely,venture capital funds experienced a substantial improvement during 1Q14,raising more than $13 billion,an 89%increase from the prior quarter and nearly double the amount raised in the same period last ye ar.U.S.venture firms, which dominate the venture capital space,raised $9.4 billion during 1Q14,their highest quarterly total in more than six years. Source: Thomson Reuters ThomsonOne database, April 2014. Note: Data is continuously updated and is therefore subject to change. Strongest Quarter for Ve nture-Backed IPOs Since 2000 Global Fundraising Investment Horizon Pooled IRR as of 9/30/13 Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years Early Stage Venture 3.0%4.7%3.7%0.6%2.3%21.1% Balanced Venture 4.0%6.2%4.9%2.1%6.3%10.0% Later Stage Venture 6.0%18.5%9.3%6.4%8.3%13.6% All Venture 4.1%8.2%5.2%2.3%5.0%14.8% Small Buyouts 0.2%16.1%5.9%3.0%11.2%12.3% Medium Buyouts 2.0%13.5%9.6%5.4%9.9%11.9% Large Buyouts 4.8%17.1%10.2%6.3%12.6%10.3% Mega Buyouts 6.8%24.1%13.7%9.5%9.2%9.2% All Buyouts 5.4%20.4%11.5%7.3%10.9%10.6% Mezzanine 2.8%13.9%7.0%4.6%7.0%7.6% Distressed/Turnaround 3.5%15.8%10.5%10.3%10.2%10.2% All Private Equity 4.9%17.4%10.2%6.7%9.6%11.2% S&P 500 5.2%19.0%16.2%10.6%8.0%8.1% Capital Markets Rev iew Pr ivate Equity $0 $20 $40 $60 $80 $,BillionsVC Buyout Real Assets Secondary Funds Distre ssed/SS 0 5000 10000 15000 20000 0 5 10 15 20 25 30 35 40 Agg. Value ($,Millions)# of DealsVent ure-Backed IPOs #Venture-Bac ked IPOs $ Value quarterly total in more than six years. •During 1Q14,buyout firms announced the fewest number of deals in a quarter in four years. According to Preqin,688 buyout-backed deals were announced during the first quarter, down from 769 deals in the prior quarter and 733 deals in the same period last year. However,the aggregate value of buyout-backed deals increased by 31%during the quarter as the average deal size significantly increased. •Buyout-backed exit activity declined in 1Q14 relative to the prior quarter but remained strong relative to historical averages.According to Preqin,there were 310 buyout-backed exits with an aggregate exit value of $87 billion in 1Q14,compared to 395 exits worth $94 billion in the prior quarter and 324 exits worth $52 billion in the same period last year.Since the beginning of 2006,there has been an average of 266 exits worth $58 billion per quarter. •The first quarter of 2014 saw continued strength for the venture-backed IPO market led by the biotechnology sector.According to Thomson Reuters and the National Venture Capital Association,there were 36 venture-backed IPOs in 1Q14,the highest quarterly total since 2000 and the fourth consecutive quarter with more than 20 venture-backed IPOs.Biotech companies represented 19 of the 36 IPOs that occurred during 1Q14.Venture-backed M&A activity increased modestly during 1Q14,as 105 venture-backed M&A deals were completed versus 92 deals in the prior quarter and 86 deals in the same period last year.The average deal size for venture-backed M&A deals reached $259 million in 1Q14,the highest average since 2004. Source: Thomson Reuters ThomsonOne database, April 2014. Source: Thomson Reuters & National Venture Capital Association, April 2014. Venture-Backed IPO Activity 72 Quarter Year To Date 1 Year 2 Years 3 Years 5 Years 7 Years 10 Years Domestic Equity Indices Dow Jones Wilshire 5000 2.0 2.0 22.8 18.6 14.6 22.1 6.9 8.1 S&P 500 1.8 1.8 21.9 17.8 14.7 21.2 6.3 7.4 Russell 1000 Index 2.0 2.0 22.4 18.4 14.7 21.7 6.6 7.8 Russell 1000 Growth Index 1.1 1.1 23.2 16.5 14.6 21.7 8.2 7.9 Russell 1000 Value Index 3.0 3.0 21.6 20.2 14.8 21.8 4.8 7.6 Russell Midcap Index 3.5 3.5 23.5 20.4 14.4 25.6 7.7 10.1 Russell Midcap Growth Index 2.0 2.0 24.2 18.4 13.5 24.7 8.2 9.5 Russell Midcap Value Index 5.2 5.2 23.0 22.2 15.2 26.4 6.8 10.2 Russell 2000 Index 1.1 1.1 24.9 20.5 13.2 24.3 7.1 8.5 Russell 2000 Growth Index 0.5 0.5 27.2 20.7 13.6 25.2 8.6 8.9 Russell 2000 Value Index 1.8 1.8 22.6 20.3 12.7 23.3 5.4 8.1 International Equity Indices MSCI EAFE 0.7 0.7 17.6 14.4 7.2 16.0 1.3 6.5 MSCI EAFE Growth Index 0.1 0.1 14.9 13.1 7.2 15.9 2.2 6.6 MSCI EAFE Value Index 1.2 1.2 20.2 15.5 7.2 16.1 0.3 6.4 MSCI EAFE Small Cap 3.4 3.4 23.3 18.2 9.4 21.7 2.8 8.6 MSCI AC World Index 1.1 1.1 16.6 13.5 8.6 17.8 3.5 7.0 MSCI AC World ex US 0.5 0.5 12.3 10.3 4.1 15.5 1.7 7.1 MSCI Emerging Markets Index -0.4 -0.4 -1.1 0.6 -2.5 14.8 3.7 10.5 Fixed Income Indices Barclays Aggregate 1.8 1.8 -0.1 1.8 3.7 4.8 5.0 4.5 Barcap Intermediate U.S. Government/Credit 1.0 1.0 -0.1 1.7 3.1 4.2 4.5 3.9 Barclays U.S. Long Government/Credit 6.6 6.6 -0.9 3.9 9.0 9.1 7.5 6.5 Barclays US Corp: High Yield 3.0 3.0 7.5 10.3 9.0 18.2 8.7 8.7 BofA Merrill Lynch 3 Month US T-Bill 0.0 0.0 0.1 0.1 0.1 0.1 0.9 1.7 Barclays U.S. Treasury: U.S. TIPS 1.9 1.9 -6.5 -0.6 3.5 4.9 5.2 4.5 Citigroup Non-U.S. World Government Bond 3.2 3.2 2.4 0.1 1.4 4.1 4.9 4.3 JPM EMBI Global Diversified (external currency)3.7 3.7 0.6 5.2 7.1 11.7 7.4 8.2 JPM GBI-EM Global Diversified (local currency)1.9 1.9 -7.1 0.0 1.1 9.8 7.1 9.3 Real Asset Indices Dow Jones - UBS Commodity 7.0 7.0 -2.1 -2.6 -7.4 4.2 -2.7 0.4 Dow Jones Wilshire REIT 10.1 10.1 4.4 9.1 10.5 29.2 2.0 8.2 Capital Markets Review Index Returns As of March 31, 2014 (Percentage Return) _________________________ Returns for periods greater than one year are annualized. 73 Appendix 74 2013 Acti on Sep tember •The M et rop olit an St.Louis Sew er D istrict hired Pav ilion Advisory Group as their investment consultant . 2014 Acti on February •Pavilio n p resent ed an as set allocat ion and investment and manager structure review to the F inance Commit tee.Pavilion recommended t he ad op tion of new as set allocat ion t ar ge ts and allowable ranges that would p ermit the eliminat ion of t he tact ical as set allocat ion and market neut ral st rategi es , t he addit ion of hedge fund strat egies through hedge fund of funds, and t he reduction of the number of manage rs and exposure to high yield and non-US d ebt in the fixed income p ortfolio. T he following as set allocat ion s tructure was p rop osed: 40% Equity 35% Fixe d Income 25% Alternat ives Appendix History of Investment Decisions Given Pyramis ' p oor p erformance and rapidly declining a ssets in t he strategy , Pav ilion furt her recommended t he manager be terminat ed immediat ely . T he Commit tee ap proved t hese recommendat io ns. 75 All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013. To tal Composite returns prior to September 1, 2013 were provided by New England Pension Consultants. Separate account manager returns prior to September 1, 2013 were provided by the investment managers and are displayed net of fees. Benchmark Comparison One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success. Universe Comparison A p erformance measurement universe is created by arraying the results of a large number of professional investment managers from the best to worst. Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentile represents the bottom performing 1% of managers. Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad Appendix Benchmark and Universe Descriptions Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad universes will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 10 years or more), a manager ranking in the top quartile (top 25%) of these broad universes would be perceived as performing well. Policy Benchmark As of April 1, 2014, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 5%T-Bills+3%, 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 Index,3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yi eld Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yi eld, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% We llington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Index-OEDCE. Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity To tal Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year. 76