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HomeMy Public PortalAbout2015 1st Quarter ReportPerformance Review Metropolitan St. Louis Sewer District Pension Plan 1st Quarter 2015 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 21 3 Manager Evaluation 27 4 Calendar Year Performance 67 5 Capital Markets Review 69 6 Appendix 77 Table of Contents Performance Summary 1 Performance Summary - March 2015 During the first quarter, the Metropolitan St. Louis Sewer District pension plan outperformed its benchmark, reporting an increase of 2.0% while the Policy Benchmark reported a gain of 1.3%. On a trailing one-year basis, the plan reported a gain of 3.4%, ahead of the Policy Benchmark by 40 basis points. Asset Class Diversification Current asset allocation was within investment policy targets. The Plan was slightly underweight in fixed income and real assets and overweight equities and real estate. Manager Evaluation First quarter outperformance was most significantly impacted by the following managers as they significantly outpaced their respective benchmarks: T. Rowe Price Large Cap Growth, Kennedy Mid Cap Value, Lighthouse Global Long/Short, Brandywine Global Fixed Income, and Morgan Stanley Emerging Markets. Capital Markets Review The Federal Reserve maintained its ultra-low interest rate policy, further pushing back its expected timeline for raising rates. Investors lowered expectations for a rate increase after the Fed lowered its unemployment rate target to 5.0-5.2% from 5.5%, and cited economic growth’s recent dependency on low rates. Not wanting to quash economic expansion by raising rates too early remains a tenet of Janet Yellen’s philosophy. Non-U.S. equities outperformed domestic equities during the first quarter. Aggressive central bank stimulus action, particularly from the ECB and Bank of Japan, bolstered non-U.S. equities. However, given the increased stimulus measures and anticipation of the first U.S. interest rate hike sometime in 2015, most currencies depreciated versus the U.S. dollar, hindering U.S. dollar-denominated returns. Despite the strengthening U.S. dollar and weakening commodity prices, emerging market equities also advanced in U.S. dollar terms. The euro fell to 2003 levels as it broke the $1.05/€ value during April. Long-term interest rates in Germany, Finland and Switzerland went negative as the ECB bond-buying program added to the euro’s weakness. Greece continued to teeter on the edge of default as a new government threatened to not repay loans unless payback terms were eased. European lenders balked at the idea, forcing Greek leaders to abide by current loan covenants. Pension Plan Executive Summary 2 Pension Plan Executive Summary Recommendations or Action Items Upon review of the current Metropolitan St. Louis Sewer District Statement of Investment Policy, Objectives and Operating Guidelines, Pavilion recommends the changes outlined in the draft policy provided to Staff and to the Finance Committee. Pavilion recommends that the Metropolitan St. Louis Sewer District liquidate their exposure to Pictet Local Currency Emerging Market Debt, Loomis Sayles Credit, and Penn Capital High Yield. From a governance perspective, we think small allocations to dedicated specialists of the fixed income market is an inefficient investment process and MSD would be better served by utilizing a “core plus” fixed income manager who will invest in these markets as their research highlights compelling investment opportunities. The fixed income investment process will be more nimble and sensitive to opportunities in the market when they are available. Pavilion recommends that the Metropolitan St. Louis Sewer District invest the proceeds in the Prudential total Return Fund, a “core plus” fixed income manager that we have high conviction in. Pavilion recommends that the Metropolitan St. Louis Sewer District eliminate their exposure to the GMO Asset Allocation Fund. This fund lacks compelling performance, lagging its benchmark significantly over the past five years annualized for multiple quarters, placing it in the third quartile among its peers. GMO’s tactical asset allocation strategies have not added value to MSD’s investment program. Pavilion recommends that the Metropolitan St. Louis Sewer District invest the proceeds of the GMO redemption in the diversified hedge fund of funds program that commenced during August, 2014. 25% of the proceeds should be invested in Lighthouse Global Equity Long Short Fund and 75% of the proceeds should be invested in Entrust Diversified hedge fund of funds. Entrust is a Multistrategy hedge fund of funds that we have high conviction in. 3 MSD Manager Recommendations Curre nt Propose d Al location Al location Larg e Cap Equity 21.0%20.0% Small C ap Equity 6.0%6.0% Inte rnat io nal Equity 14.0%14.0% Fix ed Income 35.0%35.0% Dome stic Core Income Research 14.0%14.0% Domestic Core Plus Prud entia l Tota l Return 0.0%12.0% Opp C re dit Lo omis 2.0%0.0% High Yi eld Pe nn Capital 5.0%0.0% Globa l Brandyw ine Glo ba l 9.0%9.0% Emerging Mark ets Picte t 5.0%0.0% Tactical 10.0%0.0% Balanc ed GM O 10.0%0.0% Absolute Re turn &He dg e Funds 4.0%15.0% HFOF (L/S Equit y)Lighthous e 4.0%7.5% HFOF (Multi-Stra t)EnTrust 0.0%7.5% Re al Es tate 5.0%5.0% Re al Assets 5.0%5.0% To tal 100.0%100.0% 4 Total Composite Policy Benchmark 0.0 2.0 4.0 6.0 8.0 10.0 12.0 Return (%)Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception 1.3 1.3 3.0 7.1 7.6 6.3 8.2 2.0 2.0 3.4 6.8 7.4 6.4 7.7 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 2.0 2.0 3.4 6.8 7.4 6.4 7.7 22y 3m Policy Benchmark 1.3 1.3 3.0 7.1 7.6 6.3 N/A Performance Summary Total Composite vs. Policy Benchmark As of March 31, 2015 ____________ Performance is reported net of fees. See appendix for full description of the policy benchmark. 5 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 2.0 (84)2.0 (84)3.4 (97)6.8 (96)7.4 (96)5.6 (93)6.4 (69)¢£ 5th Percentile 3.4 3.4 10.2 11.9 11.1 8.2 7.9 1st Quartile 2.9 2.9 8.8 10.8 10.2 7.6 7.2 Median 2.5 2.5 7.7 10.2 9.6 6.9 6.8 3rd Quartile 2.1 2.1 6.6 9.3 8.8 6.4 6.3 95th Percentile 1.4 1.4 4.4 7.2 7.5 5.4 5.6 Performance Comparison All Public Plans <= $500 mil As of March 31, 2015 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 6 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 2.0 (82)2.0 (82)3.4 (98)6.8 (97)7.4 (96)5.6 (90)6.4 (75)¢£ 5th Percentile 3.4 3.4 10.2 12.0 11.3 8.1 7.9 1st Quartile 2.8 2.8 8.6 10.8 10.2 7.4 7.3 Median 2.5 2.5 7.5 10.1 9.6 6.7 6.9 3rd Quartile 2.1 2.1 6.5 9.2 8.8 6.2 6.4 95th Percentile 1.4 1.4 4.7 7.4 7.5 5.3 5.8 Performance Comparison All Public Plans As of March 31, 2015 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 7 3 Years 5 Years 5.0 7.0 9.0 11.0 13.0 14.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (5.8 , 7.1) Total Composite (6.1 , 6.8) 5.0 7.0 9.0 11.0 13.0 14.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (7.6 , 7.6) Total Composite (7.8 , 7.4) Performance Summary Risk and Return Summary As of March 31, 2015 8 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 252,050,808 100.0 2.0 2.0 3.4 6.8 7.4 6.4 7.7 22y 3m Policy Benchmark 1.3 1.3 3.0 7.1 7.6 6.3 N/A Total Equity Composite 105,026,274 41.7 3.7 3.7 7.7 N/A N/A N/A 14.2 1y 7m MSCI AC World IMI 2.7 2.7 5.7 11.5 9.8 7.3 13.0 Domestic Equity Composite 70,127,968 27.8 3.3 (28)3.3 (28)12.5 (14)N/A N/A N/A 18.4 (N/A)1y 7m Russell 3000 Index 1.8 (63)1.8 (63)12.4 (15)16.4 (13)14.7 (13)8.4 (30)18.5 (N/A) Broad Equity Peer Group Median 2.3 2.3 8.9 14.5 12.9 7.8 N/A Large-Cap Equity Composite 54,596,628 21.7 2.7 (30)2.7 (30)12.9 (29)14.8 (51)13.4 (43)8.2 (37)8.9 (N/A)11y 10m Russell 1000 Index 1.6 (49)1.6 (49)12.7 (30)16.4 (24)14.7 (21)8.3 (32)9.3 (N/A) Large-Cap Equity Peer Group Median 1.5 1.5 10.3 14.8 13.1 7.7 N/A Small-Cap Equity Composite 15,531,340 6.2 5.1 (28)5.1 (28)11.2 (14)17.3 (26)16.4 (20)11.0 (4)12.4 (N/A)11y 10m Russell 2000 Index 4.3 (39)4.3 (39)8.2 (33)16.3 (34)14.6 (46)8.8 (34)10.7 (N/A) Small-Cap Equity Peer Group Median 3.7 3.7 6.0 15.1 14.2 8.2 N/A International Equity Composite 34,898,306 13.8 4.6 (29)4.6 (29)-1.3 (51)N/A N/A N/A 6.2 (N/A)1y 7m MSCI AC World ex USA Index 3.5 (65)3.5 (65)-1.0 (47)6.4 (49)4.8 (57)5.5 (68)7.1 (N/A) International Equity Peer Group Median 4.0 4.0 -1.3 6.3 5.1 6.0 N/A Developed International Equity Composite 27,757,550 11.0 5.0 (46)5.0 (46)-1.5 (53)8.4 (47)6.5 (45)4.9 (62)5.0 (N/A)15y 11m MSCI EAFE Index 4.9 (49)4.9 (49)-0.9 (45)9.0 (36)6.2 (52)4.9 (62)3.9 (N/A) Developed International Equity Peer Group Median 4.8 4.8 -1.3 8.2 6.3 5.3 N/A Emerging International Equity Composite 7,140,756 2.8 3.2 (20)3.2 (20)-0.9 (49)1.3 (39)2.3 (40)8.1 (46)8.1 (46)10y MSCI Emerging Markets Index 2.2 (30)2.2 (30)0.4 (37)0.3 (57)1.7 (51)8.5 (30)8.5 (30) Emerging Markets Equity Peer Group Median 1.4 1.4 -1.2 0.6 1.8 8.0 8.0 Fixed Income Composite 87,120,437 34.6 0.5 (100)0.5 (100)0.6 (100)2.7 (59)4.3 (44)5.3 (14)4.9 (20)11y 9m Barclays Intermediate U.S. Government/Credit 1.4 (51)1.4 (51)3.6 (50)2.3 (69)3.5 (66)4.3 (71)3.9 (73) Intermediate Duration Fixed Income Peer Group Median 1.5 1.5 3.5 3.0 4.1 4.8 4.4 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2015 _________________________ Performance is reported net of fees. 9 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2015 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Tactical Asset Allocation Composite 25,057,398 9.9 1.3 1.3 0.9 6.3 6.5 6.0 6.1 11y 10m 65% MSCI World (Net) / 35% BC Aggregate 2.1 2.1 6.0 9.1 8.3 6.2 7.2 Alternatives Composite 10,163,120 4.0 3.4 3.4 1.9 N/A N/A N/A 4.3 1y 7m 3 Month T-Bills + 3%0.7 0.7 3.0 3.1 3.1 4.5 3.0 Real Estate Composite 13,911,484 5.5 2.7 2.7 10.9 9.5 11.5 6.4 5.3 8y 10m NCREIF Property Index 3.6 3.6 12.7 11.5 12.8 8.4 7.2 Real Assets Composite 9,307,872 3.7 -2.8 -2.8 -17.0 -6.5 -1.6 N/A -1.6 5y Wellington DIH Multi-Asset Inflation Index -3.3 -3.3 -16.1 -6.0 -1.9 2.3 -1.9 Cash Account 1,464,223 0.6 0.1 0.1 0.7 0.3 -0.2 1.4 1.4 11y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.5 1.5 _________________________ Performance is reported net of fees. 10 Allocation Market Value ($)% 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 12,956,925 5.1 -0.1 (70)-0.1 (70)8.0 (56)14.8 (50)12.8 (46)7.3 (44)6.6 (N/A)13y 11m Russell 1000 Value Index -0.7 (83)-0.7 (83)9.3 (40)16.4 (23)13.8 (25)7.2 (45)6.7 (N/A) Large-Cap Value Equity Peer Group Median 0.8 0.8 8.5 14.7 12.5 7.0 N/A Vanguard Institutional Index Fund 15,489,912 6.1 0.9 (64)0.9 (64)12.7 (30)16.1 (28)14.4 (26)8.0 (41)5.1 (66)15y 6m S&P 500 1.0 (64)1.0 (64)12.7 (30)16.1 (28)14.5 (26)8.0 (41)5.1 (66) Large-Cap Equity Peer Group Median 1.5 1.5 10.3 14.8 13.1 7.7 5.8 T. Rowe Price Inst. Large-Cap Core Growth 13,063,090 5.2 6.0 (9)6.0 (9)17.2 (18)17.9 (11)17.1 (9)9.7 (29)23.5 (N/A)2y 1m Russell 1000 Growth Index 3.8 (46)3.8 (46)16.1 (26)16.3 (30)15.6 (24)9.4 (35)20.9 (N/A) Large-Cap Growth Equity Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 N/A Holland Large Cap Growth 13,086,701 5.2 4.1 (39)4.1 (39)12.1 (68)12.9 (80)13.8 (58)8.4 (55)16.1 (N/A)2y 1m Russell 1000 Growth Index 3.8 (46)3.8 (46)16.1 (26)16.3 (30)15.6 (24)9.4 (35)20.9 (N/A) Large-Cap Growth Equity Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 N/A Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 8,095,170 3.2 3.4 (38)3.4 (38)12.5 (13)16.9 (29)15.7 (15)N/A 11.8 (1)7y 3m Russell Midcap Value Index 2.4 (58)2.4 (58)11.7 (16)18.6 (10)15.8 (13)9.6 (26)9.2 (27) Mid-Cap Value Equity Peer Group Median 2.8 2.8 7.0 15.2 13.7 8.7 8.1 TimesSquare Small Cap Growth Fund 7,436,170 3.0 7.2 (29)7.2 (29)9.3 (44)17.2 (37)16.8 (33)12.1 (3)10.9 (N/A)13y 2m Russell 2000 Growth Index 6.6 (42)6.6 (42)12.1 (20)17.7 (31)16.6 (35)10.0 (27)8.6 (N/A) Small-Cap Growth Equity Peer Group Median 5.7 5.7 8.4 15.7 15.6 8.9 N/A Developed International Equity Manager Morgan Stanley International Equity Fund I 27,757,550 11.0 5.0 (47)5.0 (47)-1.6 (55)8.3 (50)6.4 (46)4.9 (63)4.9 (63)10y MSCI EAFE Index 4.9 (49)4.9 (49)-0.9 (45)9.0 (36)6.2 (52)4.9 (62)4.9 (62) International Equity Peer Group Median 4.8 4.8 -1.3 8.2 6.3 5.3 5.3 Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 7,140,756 2.8 3.2 (20)3.2 (20)-0.9 (49)1.3 (39)2.3 (40)8.1 (46)8.1 (46)10y MSCI Emerging Markets Index 2.2 (30)2.2 (30)0.4 (37)0.3 (57)1.7 (51)8.5 (30)8.5 (30) Emerging Markets Equity Peer Group Median 1.4 1.4 -1.2 0.6 1.8 8.0 8.0 Performance Summary Manager Asset Allocation and Performance As of March 31, 2015 _________________________ Performance is reported net of fees. 11 Performance Summary Manager Asset Allocation and Performance As of March 31, 2015 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 36,633,895 14.5 1.5 (40)1.5 (40)3.7 (47)2.7 (58)3.9 (61)5.1 (23)5.3 (24)13y 9m Barclays Intermediate U.S. Government/Credit 1.4 (51)1.4 (51)3.6 (50)2.3 (69)3.5 (66)4.3 (71)4.7 (57) Intermediate Duration Fixed Income Peer Group Median 1.5 1.5 3.5 3.0 4.1 4.8 4.8 Penn Capital 12,867,499 5.1 2.3 (66)2.3 (66)0.1 (84)5.4 (96)7.0 (89)N/A 6.3 (88)9y 9m BofA Merrill Lynch US High Yield, Cash Pay Index 2.5 (51)2.5 (51)2.0 (47)7.4 (35)8.4 (43)8.0 (23)7.9 (25) High Yield Fixed Income Peer Group Median 2.5 2.5 1.9 7.2 8.2 7.5 7.4 Loomis Credit Asset Fund 5,136,126 2.0 2.3 (7)2.3 (7)4.5 (8)6.6 (1)7.4 (1)N/A 7.8 (1)5y 1m 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 2.3 (7)2.3 (7)4.5 (8)5.6 (3)6.6 (2)6.3 (1)6.8 (3) Alternative Credit Focus Funds Peer Group Median 1.1 1.1 0.7 2.8 3.8 4.2 4.0 Brandywine Global Opportunistic Fixed Income 22,080,675 8.8 -0.4 (53)-0.4 (53)1.6 (32)4.1 (19)6.9 (4)6.8 (9)6.3 (11)10y 3m Citigroup World Government Bond -2.5 (85)-2.5 (85)-5.5 (83)-1.6 (89)1.4 (86)3.1 (77)2.7 (81) Global Fixed Income Peer Group Median -0.1 -0.1 -0.9 1.7 3.6 4.3 3.9 Pictet Emerging Local Currency Debt Fund 10,402,242 4.1 -4.3 (81)-4.3 (81)-11.4 (65)-5.0 (74)N/A N/A -2.1 (84)3y 6m JPM GBI-EM Global Diversified -4.0 (70)-4.0 (70)-11.1 (60)-3.9 (35)0.7 (20)6.3 (N/A)-1.0 (40) Emerging Markets (LC) Fixed Income Peer Group Median -3.5 -3.5 -10.4 -4.3 -0.2 N/A -1.2 Tactical Asset Allocation Manager GMO Asset Allocation Fund 25,057,398 9.9 1.3 (65)1.3 (65)0.9 (76)6.3 (60)6.5 (69)6.2 (37)5.6 (49)8y 8m 65% MSCI World (Net) / 35% BC Aggregate 2.1 (46)2.1 (46)6.0 (29)9.1 (24)8.3 (35)6.2 (39)5.7 (46) IM Flexible Portfolio (MF) Median 1.9 1.9 3.5 7.1 7.5 5.9 5.6 _________________________ Performance is reported net of fees. 12 Performance Summary Manager Asset Allocation and Performance As of March 31, 2015 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Alternatives Manager Lighthouse Global Long/Short Fund Limited 10,163,120 4.0 3.7 3.7 7.9 9.7 6.9 6.5 1.6 0y 1m HFRI Equity Hedge (Total) Index 2.1 2.1 2.8 6.1 4.7 4.8 0.3 Real Estate Manager UBS Trumbull Property Fund 13,911,484 5.5 2.7 2.7 10.9 9.5 11.5 6.4 5.3 8y 10m NCREIF Fund Index-Open End Diversified Core Equity 3.4 3.4 13.2 12.4 14.3 6.7 5.4 Real Asset Manager Wellington Diversified Inflation Hedges 9,307,872 3.7 -2.8 -2.8 -17.0 -6.5 -1.6 N/A -1.6 5y Wellington DIH Multi-Asset Inflation Index -3.3 -3.3 -16.1 -6.0 -1.9 2.3 -1.9 Cash Account 1,464,223 0.6 0.1 0.1 0.7 0.3 -0.2 1.4 1.4 11y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.5 1.5 Total Composite 252,050,808 100.0 2.0 2.0 3.4 6.8 7.4 6.4 7.7 22y 3m _________________________ Performance is reported net of fees. 13 12.0 12.8 13.6 14.4 15.2 16.0 16.8 17.6 18.4 19.2 20.0 Return (%)12.0 12.8 13.6 14.4 15.2 16.0 16.8 17.6 18.4 19.2 20.0 Risk (Standard Deviation %) 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 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, 2015 14 -1.5 0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 Return (%)0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 12.0 13.5 15.0 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 Loomis Credit Asset Income Research Brandywine Global Performance Summary Risk and Return Summary - Fixed Income Managers 5 Years Ending March 31, 2015 15 -6.0 -3.0 0.0 3.0 6.0 9.0 12.0 15.0 18.0 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Risk (Standard Deviation %) Lighthouse Global Long/Short Fund Limited Barclays U.S. Treasury Inflation Notes: 1-10 Year NCREIF Fund Index-Open End Diversified Core Equity Wellington DIH Multi-Asset Inflation Index 65% MSCI World (Net) / 35% BC Aggregate Wellington DIH UBS TPF GMO Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending March 31, 2015 16 Manager Compliance Checklist First Quarter 2015 Mana gers Va nguard Windsor Vanguard Insti tutiona l T. Row e Price Ho lland Ke nne dy TimesS qua re Morga n Stanley Int'l Morga n Stanle y EM Organizational /Produ ct Is sues No ma terial c hanges to investme nt team ++++++-+ No ma terial o rg aniza tional changes ++++++++ Accounting or regulat ory concerns ++++++++ Cu rrently in adherence to guidelin es ++++++++ Po rt fo lio characteris tics me et s tylis tic expectations ++++++++ Re lati ve Perfor mance 1 Th re e-year re turn better than benchmark -N/A +----+ Th re e-year ra nkin g better t han peer group median +++-++++ Fiv e year return better t han benchmark -N/A +--+++ 1 Manager performance is evaluated net of investment management fees. ++++ Fiv e year rankin g better than peer group median +++-++++ Perfor mance s tatus ++++++++ Da te perfo rmance s tatus changed Summary status ++++++++ Da te s umma ry status changed 17 Manager Compliance Checklist First Quarter 2015 Ma nage rs Income Re se arch Penn Loomis Bra ndyw ine Gl oba l Picte t GMO Lighthouse UBS Wellington Organi zati onal/Produ ct Is sues No ma teria l c hanges to investme nt team +++-+++++ No ma teria l o rg aniza tional c hanges +++++++++ Accounting or re gulatory concerns +++++++++ Cu rre ntly in adherence to guidelin es +++++++++ Po rt fo lio characteris tics me et stylis tic expectations +++++++++ Re lative Performance 1 Thre e-year return better than benchmark +-++----- Thre e-year rankin g better than peer group media n --++--N/A N/A N/A Fiv e year re turn better than benchmark +-++N/A ---+ 1 Manager performance is evaluated net of investment management fees. Fiv e year re turn better than benchmark +-++N/A ---+ Fiv e year ra nkin g better than peer group median --++N/A -N/A N/A N/A Perfor mance s tatus +-++--+++ Da te perfo rmance s tatus changed 4Q13 4Q13 3Q14 Summary status +Sell Sell +Sell Sell +++ Da te summa ry status changed 4Q13 4Q13 4Q13 4Q13 18 Manager Compliance Issue Explanation Recommended Action Comments GMO Performance The manager underperformed the 65% MSCI W orld / 35% BC Aggregate Index by 280 and 180 basis points over the rolling three-and five-year periods, ranking in the 60th and 69th percentile of the flexible portfolio peer group universe, respectively. Sell Pavilion does not believe from a structural perspective that allocating to tactical asset allocation strategies will add value to the overall investment program. Manager Compliance Checklist First Quarter 2015 Loomis Sayles Credit Asset Fund Asset Flows & Fixed Income Structure Optimization Asset flows have declined from $1 billion in 2009 to $520 million in Q4 of 2014. From a structural perspective we recommend MSD eliminate their allocation to a dedicated credit manager and instead consider a core plus fixed income manager that can allocate across multiple fixed income sectors and regions. Streamline fixed income manager structure and reduction in the number of managers from 5 to 3 will be required. Sell While we have a high degree of confidence in Loomis Sayles credit research process and investment team, assets have declined significantly and fixed income structure optim ization process leaves no place for this strategy on a stand alone basis. 19 Manager Compliance Issue Explanation Recommended Action Comments Penn Performance & Fixed Income Structure Optimization The manager underperformed the BofA Merrill Lynch US High Yield,Cash Pay Index by 200 and 140 basis points over the rolling three-and five-year periods, ranking in the 96th and 89th percentile of the high yield fixed income peer group universe, respectively. Sell Although the product delivers consistent, predictable performance with a focus on downside protection, from a structural perspective we do not support having a m anager dedicated to high yield for a portfolio of this size. Pictet Performance & Fixed Income Structure The manager underperformed the JPM GBI-EM Global Diversified Index by 110 basis points over the rolling three- Sell The strategy lacks compelling performance. The product is expected to provide excellent downside protection, yet generated meaningful Manager Compliance Checklist First Quarter 2015 Structure Optimization 110 basis points over the rolling three- year period, ranking in the 74th percentile of the emerging markets fixed income peer group universe. protection, yet generated meaningful underperformance during 2013. Pavilion recommends re-allocating to another global bond strategy that provides greater diversification and more consistent performance. Also, from a structural perspective we do not support having a manager dedicated to emerging market local currency debt for a portfolio of this size. 20 Asset Class Diversification 21 March 31, 2015 : $252,050,808 Target Allocation Actual Allocation Allocation Differences 0.0%6.0%12.0%18.0%24.0%30.0%36.0%42.0%-6.0 %-12.0 % Cash Account $1,464,223 Real Asset Composite $9,307,872 Real Estate Composite $13,911,484 Alternatives Composite $10,163,120 Tactical Asset Allocation Composite $25,057,398 Fixed Income Composite $87,120,437 Emerging International Equity Composite $7,140,756 Developed International Equity Composite $27,757,550 Small-Cap Equity Composite $15,531,340 Large-Cap Equity Composite $54,596,628 0.0% 5.0% 5.0% 4.0% 10.0% 35.0% 3.0% 11.0% 6.0% 21.0% 0.6% 3.7% 5.5% 4.0% 9.9% 34.6% 2.8% 11.0% 6.2% 21.7% 0.6% -1.3 % 0.5% 0.0% -0.1 % -0.4 % -0.2 % 0.0% 0.2% 0.7% Asset Class Diversification Investment Policy Allocation As of March 31, 2015 22 Asse t Cl ass/Type Manage r Total Asse ts ($,mil.)as of 3/31/2015 Perce nt of Total Ta rge t Allocation Weighting Re lati ve to Ta rge t Al low able Ra nge Total Asse ts ($,mil.)as of 12/31/2014 La rge -Ca p Equity $54.6 21.7%21.0%+ 0 .7 %15 -25%$56.2 Co re Va nguard Ins titutional $15.5 6.1%6.0%+ 0.1%$16.1 Va lu e Va nguard Windsor $13.0 5.1%5.0%+ 0.1%$13.3 Gr owth T. Rowe Price $13.1 5.2%5.0%+ 0.2%$13.6 Gr owth Ho lla nd $13.1 5.2%5.0%+ 0.2%$13.2 Small-Ca p Equity $15.5 6.2%6.0%+ 0 .2 %2 -8%$15.2 Va lu e Kennedy $8.1 3.2%3.0%+ 0.2%$8.3 Gr owth Time sSquare $7.4 3.0%3.0%- 0.0%$6.9 Inte rna ti ona l Equity $34.9 13.8%14.0%- 0 .2 %$33.7 Developed Morgan Stanley $27.8 11.0%11.0%+ 0.0%5 -15%$26.7 Eme rg in g Marke ts Morgan Stanley $7.1 2.8%3.0%- 0.2%2 -8%$6.9 Asset Class Diversification Investment Program Structure As of March 31, 2015 Fix ed Income $87.1 34.6%35.0%- 0 .4 %$86.6 Do me stic Core In come Res earch $36.6 14.5%14.0%+ 0.5%10 -20%$36.1 High Yie ld Pe nn Capit al $12.9 5.1%5.0%+ 0.1%0 -7%$12.6 Op portunistic Credit Lo omis $5.1 2.0%2.0%+ 0.0%0 -5%$5.0 Global Br andywin e Glo bal $22.1 8.8%9.0%- 0.2%4 -14%$22.1 Eme rg in g Marke ts De bt Pictet $10.4 4.1%5.0%- 0.9%0 -7%$10.9 Ta cti ca l $25.1 9.9%10.0%- 0 .1 %$24.7 Ba la nced GM O $25.1 9.9%10.0%- 0.1%0 -12%$24.7 Alte rna ti ve s $10.2 4.0%4.0%+ 0 .0 %$9.8 Hedge Funds Li ghthouse Glo bal $10.2 4.0%4.0%+ 0.0%0 -20%$0.0 PIMCO $0.0 0.0%----$9.8 Real Es tate $13.9 5.5%5.0%+ 0 .5 %$13.5 Re al Es tate UBS Tru mb ull $13.9 5.5%5.0%+ 0.5%0 -10%$13.5 Real As set $9.3 3.7%5.0%- 1 .3 %$9.6 Re al Asset Wellin gton $9.3 3.7%5.0%- 1.3%0 -10%$9.6 Ca sh $1.5 0.6%0.0%+ 0 .6 %$1.3 Ca sh Account Ca sh Account $1.5 0.6%0.0%+ 0.6%$1.3 Tota l $252.0 100.0%100.0%+ 0 .0 %$250.7 *Totals may not add to exactly 100.0% due to rounding. 23 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)83,373 80,707 Median Mkt. Cap ($M)13,244 1,444 Price/Earnings ratio 20.1 17.8 Price/Book ratio 3.2 2.7 5 Yr. EPS Growth Rate (%)14.0 13.2 Current Yield (%)1.8 2.3 Debt to Equity 0.7 1.2 Number of Stocks 957 8,550 Beta -1.00 Consistency -- Sharpe Ratio -- Information Ratio -- Up Market Capture -- Down Market Capture -- Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 1.6 1.7 -0.1 13.2 Nestle SA, Cham Und Vevey 1.2 0.6 0.7 3.0 Reckitt Benckiser Group PLC 1.2 0.1 1.1 6.0 British American Tobacco PLC 1.1 0.2 0.9 -2.5 Unilever NV 1.1 0.2 0.9 6.6 Amazon.com Inc 1.0 0.3 0.7 19.9 Visa Inc 1.0 0.3 0.7 0.0 Novartis AG 0.9 0.5 0.4 9.4 Google Inc (Class C)0.9 0.4 0.5 4.1 Priceline Group Inc (The)0.9 0.1 0.7 2.1 % of Portfolio 10.9 4.4 Distribution of Market Capitalization (%) Total Equity Composite MSCI AC World IMI 0.0 10.0 20.0 30.0 40.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 31.7 30.5 23.2 14.6 0.0 33.0 30.7 23.4 10.7 2.2 Sector Weights (%) Total Equity Composite MSCI AC World IMI 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.0 2.2 1.6 2.0 4.1 16.9 11.1 14.4 15.8 5.2 11.9 14.8 0.0 0.0 3.2 3.3 5.7 13.9 11.4 11.9 21.7 7.0 9.0 13.0 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World IMI As of March 31, 2015 24 Total Equity Composite MSCI AC World IMI Australia 0.3 2.5 Hong Kong 0.5 1.9 Japan 5.2 8.0 New Zealand 0.0 0.1 Singapore 0.1 0.6 Pacific 6.0 13.1 Austria 0.1 0.1 Belgium 0.1 0.5 Finland 0.0 0.3 France 2.8 2.9 Germany 2.0 3.1 Ireland 0.6 0.5 Italy 0.2 0.9 Netherlands 1.6 1.1 Portugal 0.1 0.1 Spain 0.0 1.2 EMU 7.5 10.6 Denmark 0.0 0.6 Norway 0.0 0.3 Sweden 0.5 1.1 Switzerland 4.2 3.2 United Kingdom 9.0 6.9 Europe ex EMU 13.8 12.1 Canada 0.8 3.3 United States 62.9 51.0 Israel 0.0 0.2 Middle East 0.0 0.2 Developed Markets 91.0 90.4 Total Equity Composite MSCI AC World IMI Brazil 0.4 0.7 Cayman Islands 0.0 0.0 Chile 0.0 0.1 Colombia 0.1 0.1 Mexico 0.4 0.5 Peru 0.1 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.0 1.4 China 1.7 1.5 India 0.7 0.8 Indonesia 0.2 0.3 Korea 0.9 1.6 Malaysia 0.1 0.4 Philippines 0.3 0.1 Taiwan 0.7 1.4 Thailand 0.2 0.3 EM Asia 4.7 6.4 Czech Republic 0.1 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.2 0.2 Qatar 0.0 0.1 Russia 0.0 0.3 South Africa 0.4 0.8 Turkey 0.0 0.2 United Arab Emirates 0.0 0.1 EM Europe + Middle East + Africa 0.8 1.7 Emerging Markets 6.5 9.5 Frontier Markets 0.1 0.0 Cash 2.2 0.0 Other 0.1 0.1 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World IMI As of March 31, 2015 25 Portfolio Characteristics Maturity Distribution (%) Credit Quality Distribution (%) Risk Characteristics - 3 Years Sector Distribution (%) Portfolio Benchmark Effective Duration 4.5 3.9 Avg. Maturity 6.9 4.3 Avg. Quality A AA Yield To Maturity (%)3.7 1.5 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated65.0 6.1 14.5 14.4 0.0 0.0 0.0 0.0 25.8 9.8 19.3 22.5 9.8 11.0 0.4 1.4 Consistency Sharpe Ratio Information Ratio Up Market Capture Down Market Capture Total Fixed Income Composite 61.1 0.6 0.1 132.0 Barclays Intermediate U.S. Government/Credit 0.0 1.1 N/A 100.0 90 Day U.S. Treasury Bill 36.1 N/A -1.1 0.9 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 40.6 26.3 33.1 0.0 0.0 8.7 18.9 21.1 35.3 5.5 10.5 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.7 5.6 24.6 0.0 0.0 0.0 10.6 2.5 0.0 0.0 0.0 0.0 22.6 0.3 21.0 16.1 2.3 3.9 14.5 3.7 1.5 2.3 5.9 5.9 Fixed Income Portfolio - Characteristics Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2015 26 Manager Evaluation 27 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Vanguard Windsor II -0.1 -0.1 8.0 14.8 12.8 7.3 11.3 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2 Russell 1000 Value Index -0.7 -0.7 9.3 16.4 13.8 7.2 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1 Large-Cap Value Equity Peer Group Median 0.8 0.8 8.5 14.7 12.5 7.0 10.2 31.7 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1 Vanguard Windsor II Rank 70 70 56 50 46 44 36 61 28 17 86 41 44 55 35 36 Vanguard Windsor II Russell 1000 Value Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 10.8 11.7 12.6 13.5 14.4 15.3 Return (%)14.5 14.6 14.7 Risk (Standard Deviation %) Russell 1000 Value Index Vanguard Windsor II Average Active Weight 0.0 8.0 16.0-8.0-16.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.6 0.4 0.3 -1.5 3.9 -1.1 3.3 -7.9 -2.6 1.4 4.2 2.1 Allocation (Total: 0.5) 0.0 0.3 0.6-0.3-0.6 0.1 0.0 0.0 0.0 -0.2 0.0 0.3 0.0 0.1 0.0 0.2 0.0 Stock (Total: 0.2) 0.0 0.5 1.0-0.5-1.0 0.0 0.1 0.0 -0.1 0.2 -0.1 0.2 -0.6 0.3 0.1 0.1 0.0 Vanguard Windsor II 0.0 0.5 1.0-0.5-1.0-1.5 0.1 0.1 0.0 -0.1 0.0 -0.1 0.5 -0.5 0.4 0.1 0.3 0.0 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of March 31, 2015 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 28 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)106,226 107,001 Median Mkt. Cap ($M)22,394 7,600 Price/Earnings ratio 16.3 17.3 Price/Book ratio 2.5 2.1 5 Yr. EPS Growth Rate (%)10.1 8.1 Current Yield (%)2.5 2.4 Debt to Equity 1.4 1.4 Number of Stocks 268 700 Beta (5 Years, Monthly)0.99 1.00 Consistency (5 Years, Monthly)43.33 1.00 Sharpe Ratio (5 Years, Monthly)0.97 1.03 Information Ratio (5 Years, Monthly)-0.40 - Up Market Capture (5 Years, Monthly)96.69 - Down Market Capture (5 Years, Monthly)99.92 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Medtronic PLC 2.8 1.1 1.7 8.4 Pfizer Inc 2.8 2.2 0.6 12.7 Anthem Inc 2.8 0.4 2.3 23.4 JPMorgan Chase & Co 2.7 2.3 0.5 -2.6 Microsoft Corp 2.6 1.2 1.4 -11.9 Wells Fargo & Co 2.5 2.6 -0.1 -0.1 Target Corp 2.2 0.5 1.7 8.9 Citigroup Inc 2.2 1.5 0.6 -4.8 Intel Corp 2.1 1.4 0.7 -13.2 PNC Financial Services Group Inc.2.1 0.5 1.6 2.8 % of Portfolio 24.6 13.6 Distribution of Market Capitalization (%) Vanguard Windsor II Russell 1000 Value Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 43.5 29.8 21.1 5.6 0.0 47.6 34.5 13.1 2.6 2.2 Sector Weights (%) Vanguard Windsor II Russell 1000 Value Index 0.0 8.0 16.0 24.0 32.0 40.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.3 2.2 3.7 2.6 1.5 12.5 9.0 18.2 21.3 8.6 8.7 11.4 0.0 0.0 6.2 2.1 3.1 9.0 10.2 14.7 29.8 10.9 7.2 6.9 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of March 31, 2015 29 Historical Performance Three Year Rolling Percentile Ranking Relative Performance Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Vanguard Institutional Index 0.9 0.9 12.7 16.1 14.4 8.0 13.7 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9 S&P 500 Index 1.0 1.0 12.7 16.1 14.5 8.0 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9 Large-Cap Equity Peer Group Median 1.5 1.5 10.3 14.8 13.1 7.7 10.3 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 Vanguard Institutional Index Rank 64 64 30 28 26 41 16 51 36 22 38 56 45 55 32 62 Vanguard Institutional Index S&P 500 Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 Cumulative Annualized Over/Under Relative Performance Over/Under Performance 0.0 0.1 0.2 -0.1 -0.2Return (%)6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Vanguard Institutional Index 14.4 14.1 14.6 0.0 1.0 1.0 0.0 -3.5 8.1 5.0 15y 6m S&P 500 Index 14.5 14.1 14.7 0.0 1.0 1.0 0.0 N/A 8.1 0.0 15y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.1 -1.0 0.0 20.0 15y 6m Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of March 31, 2015 30 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)133,544 134,167 Median Mkt. Cap ($M)18,870 18,772 Price/Earnings ratio 19.2 19.2 Price/Book ratio 3.1 3.1 5 Yr. EPS Growth Rate (%)13.4 13.4 Current Yield (%)2.0 2.0 Debt to Equity 1.2 1.2 Number of Stocks 505 502 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)25.00 1.00 Sharpe Ratio (5 Years, Monthly)1.11 1.11 Information Ratio (5 Years, Monthly)-1.86 - Up Market Capture (5 Years, Monthly)99.93 - Down Market Capture (5 Years, Monthly)100.05 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 3.9 4.0 0.0 13.2 Exxon Mobil Corp 1.9 2.0 0.0 -7.4 Microsoft Corp 1.8 1.8 0.0 -11.9 Johnson & Johnson 1.5 1.5 0.0 -3.1 Wells Fargo & Co 1.4 1.4 0.0 -0.1 General Electric Co 1.4 1.4 0.0 -0.9 Berkshire Hathaway Inc 1.4 1.4 -0.1 -3.9 JPMorgan Chase & Co 1.2 1.2 0.0 -2.6 Procter & Gamble Co (The)1.2 1.2 0.0 -9.4 Pfizer Inc 1.2 1.2 0.0 12.7 % of Portfolio 16.9 17.1 Distribution of Market Capitalization (%) Vanguard Institutional Index S&P 500 Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 50.2 34.1 15.2 0.4 0.0 50.0 34.0 15.1 0.4 0.5 Sector Weights (%) Vanguard Institutional Index S&P 500 Index 0.0 5.0 10.0 15.0 20.0 25.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.5 3.0 2.3 3.1 19.6 10.3 14.9 16.1 8.0 9.6 12.5 0.0 3.0 2.3 3.2 19.7 10.4 14.9 16.2 8.0 9.7 12.6 Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of March 31, 2015 31 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 T. Rowe Price LCC Growth 6.0 6.0 17.2 17.9 17.1 9.7 9.3 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0 Russell 1000 Growth Index 3.8 3.8 16.1 16.3 15.6 9.4 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 Large-Cap Growth Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 10.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 T. Rowe Price LCC Growth Rank 9 9 18 11 9 29 61 12 16 27 39 14 78 55 33 69 T. Rowe Price LCC Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 12.0 14.0 16.0 18.0 20.0 Return (%)13.5 14.0 14.5 15.0 15.5 16.0 16.5 17.0 Risk (Standard Deviation %) Russell 1000 Growth Index T. Rowe Price LCC Growth 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 -2.1 -0.3 -6.7 2.0 7.8 2.4 -1.6 -8.2 5.5 1.3 Allocation (Total: 0.1) 0.0 0.2 0.4-0.2-0.4 0.0 0.0 0.0 0.0 -0.1 0.2 -0.1 0.0 0.0 0.0 -0.1 Stock (Total: 1.4) 0.0 0.8 1.6-0.8-1.6 0.0 0.0 0.2 -0.2 -0.2 1.0 -0.3 0.2 0.1 0.7 0.0 T. Rowe Price LCC Growth 0.0 0.6 1.2 1.8 2.4-0.6-1.2 0.0 0.0 0.2 -0.2 -0.3 1.2 -0.4 0.2 0.1 0.8 -0.1 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of March 31, 2015 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 32 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)102,756 130,254 Median Mkt. Cap ($M)28,559 9,154 Price/Earnings ratio 27.6 21.8 Price/Book ratio 5.5 5.3 5 Yr. EPS Growth Rate (%)23.1 18.8 Current Yield (%)0.6 1.5 Debt to Equity -0.5 1.4 Number of Stocks 134 679 Beta (5 Years, Monthly)1.09 1.00 Consistency (5 Years, Monthly)55.00 1.00 Sharpe Ratio (5 Years, Monthly)1.13 1.16 Information Ratio (5 Years, Monthly)0.40 - Up Market Capture (5 Years, Monthly)107.72 - Down Market Capture (5 Years, Monthly)105.30 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 4.4 1.3 3.1 19.9 Biogen Inc 3.0 0.9 2.1 24.4 Priceline Group Inc (The)2.9 0.6 2.4 2.1 McKesson Corp 2.9 0.5 2.4 9.1 Facebook Inc 2.7 1.5 1.2 5.4 Google Inc (Class C)2.6 1.4 1.2 4.1 Visa Inc 2.5 1.2 1.3 0.0 Danaher Corp 2.5 0.1 2.4 -0.8 MasterCard Inc 2.4 0.8 1.6 0.5 Actavis PLC 2.3 1.0 1.3 15.6 % of Portfolio 28.4 9.2 Distribution of Market Capitalization (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 44.7 31.7 20.3 3.3 38.0 47.8 14.2 0.0 Sector Weights (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.0 0.0 3.6 24.2 13.0 24.4 6.6 1.7 2.8 23.7 0.1 2.2 3.9 28.6 11.9 14.3 5.2 4.5 10.6 18.8 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of March 31, 2015 33 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Holland Large Cap Growth 4.1 4.1 12.1 12.9 13.8 8.4 7.2 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 -0.1 Russell 1000 Growth Index 3.8 3.8 16.1 16.3 15.6 9.4 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 Large-Cap Growth Equity Peer Group Median 3.4 3.4 14.0 15.1 14.2 8.6 10.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 Holland Large Cap Growth Rank 39 39 68 80 58 55 82 77 66 14 51 22 22 78 58 93 Holland Large Cap Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 10.0 12.0 14.0 16.0 18.0 Return (%)12.8 13.2 13.6 14.0 14.4 14.8 15.2 15.6 Risk (Standard Deviation %) Russell 1000 Growth Index Holland Large Cap Growth Average Active Weight 0.0 4.0 8.0-4.0-8.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 -2.1 -1.1 3.6 -2.5 -0.6 -1.6 0.3 1.1 0.4 2.5 Allocation (Total: 0.0) 0.0 0.2-0.2-0.4 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.1 Stock (Total: 0.4) 0.0 0.8 1.6-0.8-1.6 0.0 0.0 0.0 -0.9 0.7 0.1 0.0 0.0 0.6 0.0 0.0 Holland Large Cap Growth 0.0 0.6 1.2 1.8-0.6-1.2-1.8 0.0 0.0 0.0 -0.9 0.8 0.1 0.1 0.0 0.6 0.0 -0.1 Manager Evaluation Holland Large Cap Growth vs. Russell 1000 Growth Index As of March 31, 2015 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 34 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)108,231 130,254 Median Mkt. Cap ($M)37,284 9,154 Price/Earnings ratio 22.6 21.8 Price/Book ratio 5.0 5.3 5 Yr. EPS Growth Rate (%)19.0 18.8 Current Yield (%)1.0 1.5 Debt to Equity 0.7 1.4 Number of Stocks 50 679 Beta (5 Years, Monthly)0.96 1.00 Consistency (5 Years, Monthly)45.00 1.00 Sharpe Ratio (5 Years, Monthly)1.05 1.16 Information Ratio (5 Years, Monthly)-0.55 - Up Market Capture (5 Years, Monthly)94.16 - Down Market Capture (5 Years, Monthly)100.55 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Visa Inc 4.5 1.2 3.3 0.0 Apple Inc 4.5 6.8 -2.3 13.2 Qualcomm Inc.3.7 1.1 2.7 -6.2 Google Inc (Class C)3.6 1.4 2.1 4.1 Priceline Group Inc (The)3.5 0.6 3.0 2.1 Adobe Systems Inc 3.3 0.3 2.9 1.7 Gilead Sciences Inc 3.2 1.4 1.8 4.1 Citrix Systems Inc.3.2 0.1 3.1 0.1 Medtronic PLC 3.1 0.0 3.1 8.4 Amazon.com Inc 3.0 1.3 1.7 19.9 % of Portfolio 35.5 14.2 Distribution of Market Capitalization (%) Holland Capital Management Russell 1000 Growth Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 44.7 31.7 20.3 3.3 0.0 42.0 33.1 20.1 2.6 2.3 Sector Weights (%) Holland Capital Management Russell 1000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.3 0.0 0.0 1.3 30.9 10.3 14.6 3.8 4.6 11.4 20.7 0.0 0.1 2.2 3.9 28.6 11.9 14.3 5.2 4.5 10.6 18.8 Manager Evaluation Holland Capital Management vs. Russell 1000 Growth Index As of March 31, 2015 35 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Kennedy Mid Cap Value 3.4 3.4 12.5 16.9 15.7 N/A 15.8 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A N/A N/A Russell Midcap Value Index 2.4 2.4 11.7 18.6 15.8 9.6 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 12.6 Mid-Cap Value Equity Peer Group Median 2.8 2.8 7.0 15.2 13.7 8.7 6.2 33.4 15.5 -3.0 20.7 32.9 -38.9 2.7 13.9 8.6 Kennedy Mid Cap Value Rank 38 38 13 29 15 N/A 4 51 63 33 9 43 10 N/A N/A N/A Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 15.6 15.7 15.8 15.9 16.0 Return (%)15.3 15.6 15.9 16.2 16.5 16.8 17.1 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value 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 -3.1 -0.3 -4.1 1.0 6.9 -2.8 -8.4 1.7 0.7 5.1 3.4 Allocation (Total: 0.0) 0.0 0.3 0.6-0.3-0.6 0.2 0.0 0.1 0.0 0.1 -0.3 0.0 -0.1 0.0 0.1 -0.1 Stock (Total: 1.1) 0.0 0.8 1.6-0.8-1.6 -0.3 0.0 0.2 0.2 0.1 0.5 -0.4 0.4 -0.3 0.8 0.0 Kennedy Mid Cap Value 0.0 0.6 1.2 1.8-0.6-1.2 -0.1 0.0 0.3 0.2 0.2 0.2 -0.4 0.3 -0.3 1.0 -0.1 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of March 31, 2015 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 36 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)8,433 12,296 Median Mkt. Cap ($M)7,077 5,983 Price/Earnings ratio 16.8 19.2 Price/Book ratio 2.4 2.2 5 Yr. EPS Growth Rate (%)14.5 11.6 Current Yield (%)1.7 2.1 Debt to Equity 1.0 2.3 Number of Stocks 60 574 Beta (5 Years, Monthly)1.04 1.00 Consistency (5 Years, Monthly)55.00 1.00 Sharpe Ratio (5 Years, Monthly)1.05 1.11 Information Ratio (5 Years, Monthly)0.01 - Up Market Capture (5 Years, Monthly)101.68 - Down Market Capture (5 Years, Monthly)103.51 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Reinsurance Group of America Inc.2.4 0.2 2.3 6.8 Urban Outfitters Inc 2.3 0.0 2.3 29.9 Brixmor Property Group Inc 2.2 0.1 2.2 7.8 Lincoln National Corp 2.1 0.5 1.6 0.0 Brookdale Senior Living Inc 2.1 0.0 2.1 3.0 Mid-America Apartment Communities Inc.2.1 0.2 1.9 4.5 Gentex Corp 2.1 0.1 2.0 1.8 Southwest Airlines Co.2.0 0.1 1.9 4.8 Hospira Inc 2.0 0.5 1.5 43.4 Roper Industries Inc.2.0 0.3 1.7 10.2 % of Portfolio 21.4 1.8 Distribution of Market Capitalization (%) Kennedy Capital Management Russell Midcap Value Index 0.0 25.0 50.0 75.0 100.0 $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 16.8 65.4 17.8 0.02.0 72.5 22.7 2.8 Sector Weights (%) Kennedy Capital Management Russell Midcap Value Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.8 8.2 0.0 2.7 11.2 15.9 5.6 26.0 5.4 3.7 18.4 0.0 11.7 0.3 6.5 10.7 9.3 10.2 33.5 3.6 3.2 10.9 Manager Evaluation Kennedy Capital Management vs. Russell Midcap Value Index As of March 31, 2015 37 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 TimesSquare Small Cap Growth 7.2 7.2 9.3 17.2 16.8 12.1 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4 Russell 2000 Growth Index 6.6 6.6 12.1 17.7 16.6 10.0 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2 Small-Cap Growth Equity Peer Group Median 5.7 5.7 8.4 15.7 15.6 8.9 2.7 44.7 12.7 -2.7 27.7 34.5 -40.6 9.9 9.9 5.8 TimesSquare Small Cap Growth Rank 29 29 44 37 33 3 81 31 47 14 53 46 11 49 14 10 TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 16.2 16.4 16.6 16.8 17.0 Return (%)17.8 18.0 18.2 18.4 18.6 18.8 19.0 19.2 19.4 Risk (Standard Deviation %) Russell 2000 Growth Index TimesSquare Small Cap Growth Average Active Weight 0.0 15.0 30.0-15.0-30.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.2 0.2 -3.0 4.6 10.3 -12.4 -1.7 0.4 -0.6 -2.0 4.5 Allocation (Total: -1.0) 0.0 0.5 1.0-0.5-1.0-1.5 0.0 0.0 0.2 0.0 -0.3 -0.7 0.1 0.0 0.0 0.0 -0.3 Stock (Total: 1.6) 0.0 1.0 2.0-1.0-2.0 0.0 0.0 0.0 -0.7 0.2 0.5 0.7 -0.4 0.1 1.2 0.0 TimesSquare Small Cap Growth 0.0 0.7 1.4 2.1-0.7-1.4-2.1 0.0 0.0 0.2 -0.7 -0.2 -0.2 0.8 -0.4 0.1 1.2 -0.3 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2015 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 38 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)2,354 2,399 Median Mkt. Cap ($M)1,898 898 Price/Earnings ratio 30.4 25.8 Price/Book ratio 3.8 4.3 5 Yr. EPS Growth Rate (%)18.1 19.1 Current Yield (%)0.5 0.6 Debt to Equity 0.5 -0.3 Number of Stocks 101 1,188 Beta (5 Years, Monthly)0.87 1.00 Consistency (5 Years, Monthly)53.33 1.00 Sharpe Ratio (5 Years, Monthly)1.04 0.94 Information Ratio (5 Years, Monthly)-0.04 - Up Market Capture (5 Years, Monthly)88.77 - Down Market Capture (5 Years, Monthly)79.07 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) On Assignment Inc 2.2 0.2 2.0 15.6 Ultimate Software Group Inc 2.2 0.5 1.7 15.8 Albany International Corp.2.0 0.0 2.0 5.1 CoStar Group Inc 1.9 0.0 1.9 7.7 Henry (Jack) & Associates Inc.1.8 0.0 1.8 12.9 Solera Holdings Inc 1.8 0.0 1.8 1.3 Corporate Executive Board Company (The)1.7 0.3 1.5 10.6 Wisdomtree Investments Inc 1.7 0.3 1.5 37.5 Monro Muffler Brake Inc 1.7 0.2 1.5 12.8 j2 Global Inc 1.7 0.3 1.4 6.4 % of Portfolio 18.8 1.9 Distribution of Market Capitalization (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 50.0 100.0 150.0 $5 Bil - $20 Bil $0 - $5 Bil Cash 4.2 95.8 0.05.0 90.8 4.3 Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 4.3 0.0 0.9 1.6 29.9 23.4 12.3 6.6 3.0 3.2 14.9 0.0 0.3 0.7 4.3 25.8 14.3 24.7 7.5 3.0 3.6 15.7 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2015 39 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Morgan Stanley International Equity 5.0 5.0 -1.6 8.3 6.4 4.9 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5 MSCI EAFE Index 4.9 4.9 -0.9 9.0 6.2 4.9 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 13.5 International Equity Peer Group Median 4.8 4.8 -1.3 8.2 6.3 5.3 -5.3 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 Morgan Stanley International Equity Rank 47 47 55 50 46 63 61 54 35 10 88 92 1 66 76 100 Morgan Stanley International Equity MSCI EAFE Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 5.7 6.0 6.3 6.6 6.9 Return (%)14.0 14.5 15.0 15.5 16.0 16.5 17.0 17.5 Risk (Standard Deviation %) MSCI EAFE Index Morgan Stanley International Equity Average Active Weight 0.0 15.0 30.0-15.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.9 -3.5 0.0 2.6 -6.0 3.1 -6.7 0.2 13.9 -2.2 2.5 Allocation (Total: 0.3) 0.0 0.3 0.6-0.3-0.6 0.4 0.1 0.0 0.1 -0.1 0.2 0.0 0.0 0.0 -0.1 -0.1 Stock (Total: -0.3) 0.0 0.6 1.2-0.6-1.2 0.0 0.2 0.2 0.1 -0.6 -0.3 0.6 -0.1 -0.4 -0.1 0.0 Morgan Stanley International Equity 0.0 0.5 1.0 1.5-0.5-1.0-1.5 0.4 0.3 0.2 0.1 -0.6 -0.1 0.6 -0.1 -0.4 -0.1 -0.1 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2015 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 40 Total Attribution 0.0 0.1 0.2 0.3 0.4 0.5 0.6-0.1-0.2-0.3-0.4-0.5 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash 0.0 0.0 0.0 0.0 -0.1 0.4 -0.1 -0.1 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 Asia Cash -12.1 -0.3 1.1 -0.6 12.6 -4.5 1.3 2.5 Allocation (Total: -1.0) 0.0 0.2-0.2-0.4-0.6 -0.3 0.0 0.0 0.0 -0.4 0.0 -0.1 -0.1 Stock (Total: 1.0) 0.0 0.2 0.4 0.6 0.4 0.0 0.0 0.0 0.3 0.4 0.0 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index 1 Quarter Ending March 31, 2015 41 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)78,677 62,810 Median Mkt. Cap ($M)32,750 9,305 Price/Earnings ratio 20.0 17.5 Price/Book ratio 2.7 2.2 5 Yr. EPS Growth Rate (%)5.9 11.1 Current Yield (%)2.7 2.9 Debt to Equity 0.7 1.1 Number of Stocks 75 910 Beta (5 Years, Monthly)0.91 1.00 Consistency (5 Years, Monthly)43.33 1.00 Sharpe Ratio (5 Years, Monthly)0.48 0.44 Information Ratio (5 Years, Monthly)0.02 - Up Market Capture (5 Years, Monthly)94.67 - Down Market Capture (5 Years, Monthly)92.24 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Nestle SA, Cham Und Vevey 4.7 1.9 2.8 3.0 Reckitt Benckiser Group PLC 4.6 0.4 4.1 6.0 British American Tobacco PLC 4.2 0.7 3.5 -2.5 Unilever NV 4.1 0.5 3.6 6.6 Novartis AG 3.6 1.8 1.8 9.4 Sanofi 3.0 0.9 2.1 7.8 Roche Holding AG 2.9 1.5 1.4 4.8 Toyota Motor Corp 2.7 1.5 1.3 12.4 Diageo PLC 2.7 0.5 2.1 -3.2 Prudential PLC 2.4 0.5 1.9 8.3 % of Portfolio 34.8 10.2 Distribution of Market Capitalization (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 29.0 39.5 27.2 4.3 0.0 32.8 38.2 24.2 1.8 3.0 Sector Weights (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 6.0 12.0 18.0 24.0 30.0 36.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.0 0.0 2.9 8.3 5.5 8.2 13.6 19.4 4.6 24.6 9.9 0.0 3.6 4.7 7.5 4.9 12.7 11.4 26.0 5.1 11.0 13.1 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2015 42 Morgan Stanley International Equity MSCI EAFE Index Australia 1.1 7.3 Hong Kong 0.7 3.1 Japan 19.5 22.2 New Zealand 0.0 0.1 Singapore 0.0 1.5 Pacific 21.3 34.3 Austria 0.0 0.2 Belgium 0.0 1.3 Finland 0.0 0.9 France 9.4 9.2 Germany 7.4 9.4 Ireland 1.1 0.3 Italy 0.7 2.3 Netherlands 5.7 3.0 Portugal 0.0 0.2 Spain 0.0 3.5 EMU 24.2 30.3 Denmark 0.0 1.6 Norway 0.0 0.6 Sweden 1.8 3.1 Switzerland 15.3 9.3 United Kingdom 32.0 19.8 Europe ex EMU 49.1 34.5 Canada 1.5 0.0 United States 0.0 0.0 Israel 0.0 0.6 Middle East 0.0 0.6 Developed Markets 96.1 99.7 Morgan Stanley International Equity MSCI EAFE Index Brazil 0.0 0.0 Cayman Islands 0.0 0.0 Chile 0.0 0.0 Colombia 0.0 0.0 Mexico 0.0 0.0 Peru 0.0 0.0 Virgin Islands 0.0 0.0 EM Latin America 0.0 0.0 China 0.9 0.0 India 0.0 0.0 Indonesia 0.0 0.0 Korea 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 0.9 0.0 Czech Republic 0.0 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.0 0.0 Qatar 0.0 0.0 Russia 0.0 0.0 South Africa 0.0 0.0 Turkey 0.0 0.0 United Arab Emirates 0.0 0.0 EM Europe + Middle East + Africa 0.0 0.0 Emerging Markets 0.9 0.0 Frontier Markets 0.0 0.0 Cash 3.0 0.0 Other 0.0 0.3 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2015 43 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2010 - Mar - 2015)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Morgan Stanley Emerging Markets 3.2 3.2 -0.9 1.3 2.3 8.1 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 34.5 MSCI Emerging Markets Index 2.2 2.2 0.4 0.3 1.7 8.5 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 34.0 Emerging Markets Equity Peer Group Median 1.4 1.4 -1.2 0.6 1.8 8.0 -2.6 -1.1 19.5 -19.2 19.2 74.0 -54.5 37.4 32.3 32.9 Morgan Stanley Emerging Markets Rank 20 20 49 39 40 46 69 47 39 41 55 69 71 25 16 41 Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 1.0 1.5 2.0 2.5 3.0 Return (%)15.2 15.6 16.0 16.4 16.8 17.2 17.6 18.0 18.4 Risk (Standard Deviation %) MSCI Emerging Markets Index Morgan Stanley Emerging Markets Average Active Weight 0.0 4.0 8.0-4.0-8.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.1 0.5 -3.6 -1.6 0.2 0.6 2.4 -2.1 1.5 2.7 2.4 Allocation (Total: 0.2) 0.0 0.2 0.4-0.2-0.4 0.2 0.0 0.2 -0.1 0.0 0.0 -0.1 0.0 0.0 0.0 0.0 Stock (Total: -0.3) 0.0 0.6 1.2-0.6-1.2 0.0 -0.1 0.1 -0.2 0.2 -0.2 -0.3 -0.2 -0.2 0.6 0.0 Morgan Stanley Emerging Markets 0.0 0.4 0.8 1.2-0.4-0.8 0.2 -0.1 0.3 -0.3 0.2 -0.2 -0.4 -0.2 -0.2 0.7 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2015 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 44 Total Attribution 0.0 0.2 0.4 0.6 0.8-0.2-0.4-0.6-0.8 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -0.4 0.2 0.1 -0.1 -0.1 0.1 -0.2 -0.1 0.4 0.0 Performance Attribution Average Active Weight 0.0 4.0 8.0-4.0-8.0-12.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -2.8 1.6 1.4 1.2 1.8 3.3 2.0 -7.0 -3.9 2.4 Allocation (Total: -0.5) 0.0 0.2 0.4-0.2-0.4-0.6 -0.3 0.2 0.0 -0.1 -0.1 0.1 -0.2 0.0 -0.1 0.0 Stock (Total: 0.4) 0.0 0.3 0.6 0.9-0.3-0.6 -0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.1 0.5 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index 1 Quarter Ending March 31, 2015 45 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)39,481 45,442 Median Mkt. Cap ($M)8,489 5,226 Price/Earnings ratio 15.3 13.0 Price/Book ratio 2.7 2.4 5 Yr. EPS Growth Rate (%)22.5 14.3 Current Yield (%)2.0 2.7 Debt to Equity 0.9 0.9 Number of Stocks 142 836 Beta (5 Years, Monthly)0.89 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)0.22 0.18 Information Ratio (5 Years, Monthly)0.06 - Up Market Capture (5 Years, Monthly)90.92 - Down Market Capture (5 Years, Monthly)88.36 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Tencent Holdings LTD 3.3 2.5 0.8 30.9 Bank of China Ltd 3.0 1.2 1.8 2.5 Samsung Electronics Co Ltd 2.9 3.7 -0.8 7.0 Taiwan Semiconductor Manufacturing 2.6 2.9 -0.4 4.3 China Mobile Ltd 2.0 2.1 0.0 11.9 Fomento Economico Mex 2.0 0.5 1.5 6.2 BRF SA 1.9 0.3 1.6 -16.5 Naspers Ltd 1.9 1.6 0.3 17.8 Samsonite International SA 1.6 0.0 1.6 17.2 China Life Insurance Co Ltd 1.5 0.8 0.7 11.5 % of Portfolio 22.7 15.6 Distribution of Market Capitalization (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 17.4 26.5 40.2 15.9 0.0 16.3 16.1 43.2 20.0 4.4 Sector Weights (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 4.4 0.4 7.9 4.2 17.7 6.9 3.2 28.1 4.1 9.7 13.4 0.0 3.3 7.3 7.0 19.1 6.8 2.4 28.5 8.0 8.1 9.4 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2015 46 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Australia 0.0 0.0 Hong Kong 3.7 7.3 Japan 0.3 0.0 New Zealand 0.0 0.0 Singapore 0.5 0.1 Pacific 4.5 7.4 Austria 2.1 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 0.4 0.0 Portugal 1.0 0.0 Spain 0.0 0.0 EMU 3.5 0.0 Denmark 0.0 0.0 Norway 0.0 0.0 Sweden 0.0 0.0 Switzerland 0.7 0.0 United Kingdom 0.7 0.0 Europe ex EMU 1.4 0.0 Canada 0.0 0.0 United States 1.3 0.1 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 10.6 7.5 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Brazil 5.5 7.3 Cayman Islands 0.0 0.0 Chile 0.6 1.4 Colombia 0.8 0.6 Mexico 6.6 4.7 Peru 1.1 0.3 Virgin Islands 0.0 0.0 EM Latin America 14.6 14.3 China 11.7 15.6 India 10.4 7.5 Indonesia 2.6 2.8 Korea 12.6 15.0 Malaysia 0.9 3.5 Philippines 4.3 1.4 Taiwan 10.0 12.8 Thailand 3.0 2.4 EM Asia 55.5 61.0 Czech Republic 1.1 0.2 Egypt 0.5 0.2 Greece 0.0 0.3 Hungary 0.0 0.2 Poland 2.6 1.5 Qatar 0.3 0.8 Russia 0.5 3.7 South Africa 6.3 8.0 Turkey 0.0 1.5 United Arab Emirates 0.0 0.6 EM Europe + Middle East + Africa 11.4 17.1 Emerging Markets 81.5 92.5 Frontier Markets 1.5 0.0 Cash 4.4 0.0 Other 2.0 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2015 47 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Income Research 1.5 1.5 3.7 2.7 3.9 5.1 3.3 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 4.5 2.8 Barclays Intermediate U.S. Government/Credit 1.4 1.4 3.6 2.3 3.5 4.3 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 1.6 Intermediate Duration Fixed Income Peer Group Median 1.5 1.5 3.5 3.0 4.1 4.8 3.4 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 Income Research Rank 40 40 47 58 61 23 55 61 41 28 49 24 29 9 14 1 Income Research Barclays Intermediate U.S. Government/Credit 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 2.8 3.2 3.6 4.0 4.4 4.8 Return (%)2.2 2.3 2.4 Risk (Standard Deviation %) Barclays Intermediate U.S. Government/Credit Income Research Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Income Research 3.9 2.3 3.8 0.6 0.9 1.7 0.7 0.5 1.0 60.0 18y 2m Barclays Intermediate U.S. Government/Credit 3.5 2.4 3.4 0.0 1.0 1.5 0.0 N/A 1.0 0.0 18y 2m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.3 -1.5 0.0 20.0 18y 2m Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2015 48 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.8 3.9 Avg. Maturity 4.5 4.3 Avg. Quality AA-AA Yield To Maturity (%)1.9 1.5 Credit Quality Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBBNot Rated65.0 6.1 14.5 14.4 0.0 48.7 9.2 17.9 23.6 0.6 Maturity Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 40.6 26.3 33.1 0.0 0.0 12.0 23.3 31.6 29.9 2.1 1.1 Sector Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.7 5.6 24.6 0.0 0.0 10.6 2.5 0.0 0.0 0.0 0.0 19.1 0.8 40.9 3.6 9.3 0.0 0.0 3.1 0.6 8.6 14.0 Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2015 49 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Penn Capital 2.3 2.3 0.1 5.4 7.0 N/A 0.2 5.9 13.3 4.2 15.0 37.5 -21.0 1.8 8.9 N/A BofA Merrill Lynch US High Yield, Cash Pay Index 2.5 2.5 2.0 7.4 8.4 8.0 2.4 7.4 15.4 4.5 15.2 56.3 -26.2 2.2 11.6 2.8 High Yield Fixed Income Peer Group Median 2.5 2.5 1.9 7.2 8.2 7.5 2.4 7.4 15.3 4.0 14.7 47.3 -24.3 2.6 10.7 3.1 Penn Capital Rank 66 66 84 96 89 N/A 88 78 80 46 41 79 25 74 84 N/A Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 4.0 6.0 8.0 10.0 Return (%)4.6 4.8 5.0 5.2 5.4 5.6 5.8 6.0 6.2 6.4 Risk (Standard Deviation %) BofA Merrill Lynch US High Yield, Cash Pay Index Penn Capital Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Penn Capital 7.0 5.2 6.9 -0.1 0.9 1.3 1.4 -0.9 2.5 30.0 9y 9m BofA Merrill Lynch US High Yield, Cash Pay Index 8.4 5.9 8.2 0.0 1.0 1.4 0.0 N/A 3.0 0.0 9y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.9 -1.4 0.0 25.0 9y 9m Manager Evaluation Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index As of March 31, 2015 50 Portfolio Characteristics Portfolio Benchmark Effective Duration 4.6 4.4 Avg. Maturity 6.8 6.2 Avg. Quality B BB+ Yield To Maturity (%)6.5 6.6 Credit Quality Distribution (%) Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBBelow BNot Rated0.0 0.0 0.0 0.0 47.3 40.1 12.7 0.00.0 0.0 0.0 0.7 32.8 63.2 0.0 3.3 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 10.4 21.9 61.0 4.2 2.53.6 2.6 17.4 73.2 0.9 2.4 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 3.6 0.2 Manager Evaluation Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index As of March 31, 2015* _______________________ *Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production. 51 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Loomis Credit Asset Fund 2.3 2.3 4.5 6.6 7.4 N/A 4.3 4.4 14.2 3.3 N/A N/A N/A N/A N/A N/A 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 2.3 2.3 4.5 5.6 6.6 6.3 4.8 2.1 11.0 5.8 10.6 34.3 -15.9 3.6 6.8 3.0 Alternative Credit Focus Funds Peer Group Median 1.1 1.1 0.7 2.8 3.8 4.2 1.1 0.7 8.5 1.1 7.8 21.9 -12.7 4.5 5.9 1.6 Loomis Credit Asset Fund Rank 7 7 8 1 1 N/A 12 15 6 21 N/A N/A N/A N/A N/A N/A Loomis Credit Asset Fund 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 5.6 6.4 7.2 8.0 8.8 Return (%)2.4 2.7 3.0 3.3 3.6 3.9 4.2 4.5 4.8 Risk (Standard Deviation %) 50% BC Credit / 25% S&P LSTA / 25% BY High Yield Loomis Credit Asset Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Loomis Credit Asset Fund 7.4 4.1 7.2 -0.5 1.2 1.7 1.7 0.5 1.6 65.0 5y 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 6.6 3.2 6.4 0.0 1.0 2.0 0.0 N/A 1.0 0.0 5y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.2 -2.0 0.0 15.0 5y Manager Evaluation Loomis Credit Asset Fund vs. 50% BC Credit / 25% S&P LSTA / 25% BY High Yield As of March 31, 2015 52 Portfolio Characteristics Portfolio Effective Duration 4.9 Avg. Maturity 8.4 Avg. Quality BB+ Yield To Maturity (%)4.8 Credit Quality Distribution (%) Loomis Credit Asset Fund 0.0 10.0 20.0 30.0 40.0 AAAAAABBBBBBBelow BNot Rated4.9 3.0 15.9 26.4 26.8 20.2 2.2 0.6 Maturity Distribution (%) Loomis Credit Asset Fund 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs7.3 12.2 25.3 42.9 12.3 Sector Distribution (%) Loomis Credit Asset Fund 0.0 15.0 30.0 45.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingCashOtherCMBS1.2 0.1 28.1 27.8 4.0 4.8 0.2 0.9 4.2 25.7 3.0 Manager Evaluation Loomis Credit Asset Fund As of March 31, 2015 *Other is bank loans. 53 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Brandywine Global Opportunistic Fixed Income -0.4 -0.4 1.6 4.1 6.9 6.8 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 -0.9 Citigroup World Government Bond -2.5 -2.5 -5.5 -1.6 1.4 3.1 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 -6.9 Global Fixed Income Peer Group Median -0.1 -0.1 -0.9 1.7 3.6 4.3 1.4 -1.7 7.5 3.7 6.1 12.0 -2.1 7.7 5.7 0.7 Brandywine Global Opportunistic Fixed Income Rank 53 53 32 19 4 9 15 69 15 12 10 25 74 18 21 55 Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 -10.0 -5.0 0.0 5.0 10.0 15.0 Return (%)5.5 5.6 5.7 5.8 5.9 Risk (Standard Deviation %) Citigroup World Government Bond Brandywine Global Opportunistic Fixed Income Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Brandywine Global Opportunistic Fixed Income 6.9 5.7 6.8 5.6 0.9 1.2 3.0 1.7 1.8 80.0 10y 3m Citigroup World Government Bond 1.4 5.6 1.5 0.0 1.0 0.3 0.0 N/A 3.1 0.0 10y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.6 -0.3 0.0 50.0 10y 3m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond As of March 31, 2015 54 Portfolio Characteristics Portfolio Benchmark Effective Duration 5.5 7.5 Avg. Maturity 11.1 8.4 Avg. Quality A AA Yield To Maturity (%)3.4 0.9 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow B17.1 68.4 2.4 12.2 0.0 0.0 0.0 19.7 22.7 30.0 17.8 6.9 2.0 1.0 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 26.5 18.5 27.0 28.0 0.0 6.1 24.1 7.2 28.9 7.1 26.6 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 25.0 50.0 75.0 100.0 TreasuriesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOther32.7 0.0 0.0 0.0 0.0 67.3 0.0 0.0 0.0 0.0 13.3 7.8 0.1 3.1 0.0 57.1 14.6 0.7 2.7 0.7 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond As of March 31, 2015* _______________________ *Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production. 55 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Mar-2015) Historical Statistics (Jul-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Pictet Emerging Local Currency Debt Fund -4.3 -4.3 -11.4 -5.0 N/A N/A -6.3 -10.3 15.3 -2.3 N/A N/A N/A N/A N/A N/A JPM GBI-EM Global Diversified -4.0 -4.0 -11.1 -3.9 0.7 6.3 -5.7 -9.0 16.8 -1.8 15.7 22.0 -5.2 18.1 15.2 6.3 Emerging Markets LC Peer Group Median -3.5 -3.5 -10.4 -4.3 -0.2 N/A -6.0 -10.4 16.7 -3.3 14.3 24.1 N/A N/A N/A N/A Pictet Emerging Local Currency Debt Fund Rank 81 81 65 74 N/A N/A 59 49 70 38 N/A N/A N/A N/A N/A N/A Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0 25 50 75 100Return Percentile Rank6/05 6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 3/15 -2.0 0.0 2.0 4.0 Return (%)9.3 9.6 9.9 10.2 10.5 10.8 11.1 Risk (Standard Deviation %) JPM GBI-EM Global Diversified Pictet Emerging Local Currency Debt Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Pictet Emerging Local Currency Debt Fund -0.2 9.7 0.2 -1.3 0.9 0.0 1.0 -1.5 6.5 15.8 4y 9m JPM GBI-EM Global Diversified 1.2 10.4 1.6 0.0 1.0 0.2 0.0 N/A 6.6 0.0 4y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.3 -0.2 0.0 52.6 4y 9m Manager Evaluation Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified As of March 31, 2015 56 Portfolio Characteristics Portfolio Benchmark Effective Duration 4.8 4.9 Avg. Maturity 7.6 7.3 Avg. Quality BBB BBB+ Yield To Maturity (%)6.5 0.7 Credit Quality Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBBelow BNot Rated0.0 0.1 39.3 57.2 0.2 0.0 0.0 3.20.0 0.1 27.3 53.2 13.7 0.0 0.0 5.7 Sector Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 50.0 100.0 150.0 -50.0 TreasuriesCreditCash100.0 0.0 0.0 94.3 -0.9 6.6 Country/Region Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 15.0 30.0 45.0 AsiaEastern EuropeLatin AmericaAfricaOthers26.6 32.0 29.6 11.8 0.0 26.3 29.1 27.6 11.3 5.7 Manager Evaluation Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified As of March 31, 2015* _______________________ *Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production. 57 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 GMO Asset Allocation Fund 1.3 1.3 0.9 6.3 6.5 6.2 1.3 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.1 9.5 65% MSCI World (Net) / 35% BC Aggregate 2.1 2.1 6.0 9.1 8.3 6.2 5.4 15.9 11.9 -0.7 10.5 21.6 -26.9 8.4 14.4 7.1 Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 24.0 -8.0 -16.0Active Return (%)3/97 12/98 9/00 6/02 3/04 12/05 9/07 6/09 3/11 12/12 3/15 4.0 6.0 8.0 10.0 12.0 Return (%)7.2 7.5 7.8 8.1 8.4 8.7 9.0 9.3 9.6 9.9 Risk (Standard Deviation %) 65% MSCI World (Net) / 35% BC Aggregate GMO Asset Allocation Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date GMO Asset Allocation Fund 6.5 8.0 6.6 -0.5 0.9 0.8 2.3 -0.8 4.7 30.0 18y 5m 65% MSCI World (Net) / 35% BC Aggregate 8.3 9.2 8.4 0.0 1.0 0.9 0.0 N/A 5.6 0.0 18y 5m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.2 -0.9 0.0 25.0 18y 5m Manager Evaluation GMO Asset Allocation Fund vs. 65% MSCI World (Net) / 35% BC Aggregate As of March 31, 2015 58 Manager Evaluation GMO Asset Allocation Fund As of March 31, 2015 Fund Composition Asset Class Weights US Quality 13.4% US Opportunis ti c Va lue 2.0% Europe Value As set Backed Securities 4.5% Em erging Country Debt 4.6% Al pha Only 7.0% Cash and Cash Equivalents 5.7% 15.4% 24.8% 11.9% 29.4% 12.7%15.0% 20.0% 25.0% 30.0% 35.0% Europe Value 17.7% Other International Op portunisti c Value 1.6%Japan 5.5% Em erging Markets 11.9%System atic Global Ma cro 3.1% Risk Prem ium 2.7% Developed Rates 20.2% 11.9% 5.8% 12.7% 0.0% 5.0% 10.0% 15.0% 59 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Lighthouse Global Long/Short Fund Limited 3.7 3.7 7.9 9.7 6.9 6.5 4.9 20.2 6.1 -2.1 5.2 10.1 -14.1 13.9 11.3 12.0 HFRI Equity Hedge (Total) Index 2.1 2.1 2.8 6.1 4.7 4.8 1.8 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 10.6 Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 -8.0 -16.0Active Return (%)3/04 3/05 3/06 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)2.7 3.6 4.5 5.4 6.3 7.2 8.1 9.0 9.9 10.8 Risk (Standard Deviation %) HFRI Equity Hedge (Total) Index Lighthouse Global Long/Short Fund Limited Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Lighthouse Global Long/Short Fund Limited 6.9 5.3 6.8 4.3 0.5 1.3 4.9 0.4 2.4 55.0 11y 3m HFRI Equity Hedge (Total) Index 4.7 8.4 4.9 0.0 1.0 0.6 0.0 N/A 5.8 0.0 11y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.4 -0.6 0.0 35.0 11y 3m Manager Evaluation Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index As of March 31, 2015 60 Portfolio Characteristics Portfolio Manager Count 22 Net Exposure %32.2 Leverage 101.4 # Managers Funded 1 # Managers Redeemed 2 Region Allocation (Net Geographic Exposure) Asia 11.3% Europe 21.0% Other 10.4% United States 57.3% Strategy Allocation Value 11.8% Trading 19.0% Event Driven 16.7% Sector Specialist 52.5% Manager Evaluation Lighthouse Global Long/Short Fund As of March 31, 2015* _______________________ *Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production. 61 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 UBS Trumbull Property Fund 2.7 2.7 10.9 9.5 11.5 6.4 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 20.1 NCREIF Fund Index-Open End Diversified Core Equity 3.4 3.4 13.2 12.4 14.3 6.7 12.3 13.3 11.0 16.0 16.1 -30.7 -10.4 16.1 16.1 20.2 Rolling 3 Years Active Return Quarterly Active Return 0.0 4.0 8.0 -4.0 -8.0 -12.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 3/15 6.0 9.0 12.0 15.0 18.0 Return (%)1.5 1.6 1.7 1.8 1.9 2.0 Risk (Standard Deviation %) NCREIF Fund Index-Open End Diversified Core Equity UBS Trumbull Property Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date UBS Trumbull Property Fund 11.5 1.9 11.0 -2.1 1.0 5.9 1.0 -2.7 0.0 5.0 37y 3m NCREIF Fund Index-Open End Diversified Core Equity 14.3 1.7 13.6 0.0 1.0 8.2 0.0 N/A 0.0 0.0 37y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 -0.1 0.0 N/A 1.6 -8.2 0.0 0.0 37y 3m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Fund Index-Open End Diversified Core Equity As of March 31, 2015 62 Portfolio Characteristics Portfolio Benchmark # Properties 200 6,863 # Investors 418 N/A Total Fund Assets 16,100 426,004 Property Type UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 OfficeApartmentRetailIndustrialOtherHotel37.6 24.2 23.3 13.4 0.0 1.5 30.0 34.0 22.0 9.0 0.0 5.0 Property Location UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 EastWestSouthMidwestOther34.3 35.5 20.7 9.5 0.0 39.8 23.0 14.9 12.9 9.4 Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2015 _______________________ *Portfolio information is represented as of 12/31/2014. Data as of 3/31/2015 was not yet available at the time of report production. 63 Type City Ac quis ition Da te % Occupa nc y Cos t ($000) Fa ir Ma rket Value ($000) Office Ne w York Ju n-06 100%657,000$ 657,000$ Office Bo ston Dec-11 97%673,000$ 673,000$ Re tail Ca mb rid ge May-89 97%559,400$ 561,877$ Re tail Da lla s Dec-02 93%506,000$ 506,000$ Apart me nts Ne w York Ju l-11 95%487,000$ 487,000$ Office Ne w York Ju l-11 98%271,909$ 452,723$ Re tail Ch ic ag o No v-13 96%262,609$ 457,330$ Office Ne w York Se p-14 93%280,884$ 453,540$ Office Ch ic ag o Dec-11 100%463,000$ 467,988$ As of Ma rch 31,2015 20 La rge st Inve st me nts Manager Evaluation UBS Trumbull Property Fund As of March 31, 2015 Office Ch ic ag o Dec-11 100%463,000$ 467,988$ Re tail Eme ry ville Aug-14 99%305,000$ 305,000$ Re tail Montebello Dec-88 99%283,000$ 283,000$ Office Washin gton May-06 80%260,000$ 260,000$ Office De nver Ju n-06 94%251,000$ 251,000$ Office Se attle Oc t-84 85%265,000$ 265,000$ Apart me nts Br ookly n Dec-07 97%252,000$ 252,000$ Office Sa n Fra ncis co Dec-85 88%227,000$ 230,794$ Office De nver Apr-82 91%214,000$ 214,000$ Office Pa sadena May-84 99%223,000$ 223,000$ Re tail Millb ury Se p-04 100%194,700$ 194,700$ Apart me nts Arlin gton Mar-13 95%68,107$ 190,357$ All o ther in vestme nts ----11,173,829$ 11,151,871$ Total Properties 17,877,438$ 18,537,180$ *Portfolio information is represented as of 12/31/2014.Data as of 3/31/2015 was not yet available at the time of report production. 64 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Mar-2015) Historical Statistics (Apr-2010 - Mar-2015) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 Wellington Diversified Inflation Hedges -2.8 -2.8 -17.0 -6.5 -1.6 N/A -12.8 -3.9 5.2 -8.6 N/A N/A N/A N/A N/A N/A Wellington DIH Multi-Asset Inflation Index -3.3 -3.3 -16.1 -6.0 -1.9 2.3 -11.4 -2.1 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 19.7 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 6/14 3/15 -2.4 -2.1 -1.8 -1.5 -1.2 Return (%)13.2 13.8 14.4 15.0 15.6 16.2 16.8 17.4 Risk (Standard Deviation %) Wellington DIH Multi-Asset Inflation Index Wellington Diversified Inflation Hedges Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Wellington Diversified Inflation Hedges -1.6 16.1 -0.4 0.7 1.1 0.0 2.4 0.2 11.8 60.0 5y Wellington DIH Multi-Asset Inflation Index -1.9 14.3 -1.0 0.0 1.0 -0.1 0.0 N/A 10.6 0.0 5y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.3 0.1 0.0 50.0 5y Manager Evaluation Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index As of March 31, 2015 65 Manager Evaluation We llington Diversified Inflation Hedges Sector Allocation As of March 31, 2015 Fund Composition Fund Weights Relative to Benchmark Energy 27.5%TIPS 7.5% Emerging Markets Inflati on-Linked Bonds 3.4% Cash 2.2% 6.9% 0.5% 4.9% 0.0% 5.0% 10.0% 15.0% 20.0% Global Inflation-Sensitive Equities Commodities Fixed Income & Cash Meta ls & Mi ni ng 6.3% Agri culture 5.4% Enduring Assets 10.3% Precious Metals 1.6% Inflati on Op portuni ties 11 .8 % Commoditi es 24.1% -12.2% -2 0.0% -1 5.0% -1 0.0% -5 .0 % Eq ui ties Fi xed In come Commo dities Cash 66 Calendar Year Performance 67 Year To Date 2014 2013 2012 2011 2010 2009 2008 2007 2006 Total Composite 2.0 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 11.8 Policy Benchmark 1.3 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 8.3 13.0 Total Equity Composite 3.7 4.7 N/A N/A N/A N/A N/A N/A N/A N/A MSCI AC World Index 2.3 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 21.0 Domestic Equity Composite 3.3 (28)10.1 (23)N/A N/A N/A N/A N/A N/A N/A N/A Russell 3000 Index 1.8 (63)12.6 (8)33.6 (40)16.4 (26)1.0 (16)16.9 (39)28.3 (59)-37.3 (38)5.1 (62)15.7 (31) Broad Equity Peer Group Median 2.3 8.2 32.5 14.6 -2.1 16.2 29.6 -38.4 6.5 13.6 International Equity Composite 4.6 (29)-5.5 (65)N/A N/A N/A N/A N/A N/A N/A N/A MSCI AC World ex USA Index 3.5 (65)-3.9 (37)15.3 (54)16.8 (72)-13.7 (32)11.2 (74)41.4 (64)-45.5 (36)16.7 (66)26.7 (55) International Equity Peer Group Median 4.0 -4.7 15.6 18.5 -15.2 13.6 44.1 -47.0 18.3 27.0 Fixed Income Composite 0.5 (100)2.4 (83)-1.7 (82)10.9 (1)3.8 (72)8.7 (10)18.9 (8)-3.4 (70)6.4 (26)5.6 (8) Barclays Intermediate U.S. Government/Credit 1.4 (51)3.1 (61)-0.9 (55)3.9 (70)5.8 (22)5.9 (54)5.2 (100)5.1 (13)7.4 (9)4.1 (42) Intermediate Duration Fixed Income Peer Group Median 1.5 3.4 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 Tactical Asset Allocation Composite 1.3 1.3 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.3 60% World / 40% Agg 2.1 5.4 14.5 11.3 0.0 10.2 20.4 -24.7 8.3 13.6 Alternatives Composite 3.4 1.5 N/A N/A N/A N/A N/A N/A N/A N/A 3 Month T-Bills + 3%0.7 3.0 3.1 3.1 3.1 3.1 3.2 5.1 8.2 8.0 Calendar Year Performance Composite Performance As of March 31, 2015 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 68 Capital Markets Review 69 Capital Markets Rev iew Economy 0 10 20 30 40 50 60 0 25 50 75 10 0Probability (%)Fed Rate Increase (bps) Interest Rate Hike Expectations Fall 4/29/201 5 6/17/201 5 7/29/201 5 9/17/201 5 10/28/20 15 12/16/20 15 1/27/201 6 FOMC Me etings: 3/31/2015 3/31/2014 Source: Bloomberg 0.5 0.7 0.9 1.1 1.3 1.5 1.7 1.9 2.1 2.3 $/Foreign Currency US D Reaches Multi-Year Highs $/Euro $/Swiss Franc $/Pound $/100 Yen $/$CAN So ur ce: Bloomberg Interest Rate Hike Delayed as Economic Growth Remains Tepid •The Federal Reserve maintained its ultra-low interest rate policy,further pushing back its expected timeline for raising rates.Investors lowered expectations for a rate increase after the Fed lowered its unemployment rate target to 5.0-5.2%from 5.5%,and cited economic growth’s recent dependency on low rates.Not wanting to quash economic expansion by raising rates too early remains a tenet of Janet Yellen’s philosophy. •The Saudi Arabian plan to maintain market share in the global crude oil market began to take its toll on U.S.and Canadian oil producers.WTI crude prices fell to six year lows,prompting drillers to significantly lower their rig counts and layoff thousands of workers.Although U.S.oil output continued to rise,concerns over diminishing storage capacity added to the price drop,fueling fears that a global oil glut might further bring down prices.By quarter end,prices had rebounded to the mid-$50/barrel range as demand ticked up and expectations of future U.S. production diminished. •The euro fell to 2003 levels as it broke the $1.05/€value during April.Long-term interest rates in Germany,Finland and Switzerland went negative as the ECB bond-buying program added to the euro’s weakness.The Swiss National Bank decoupled the Swiss franc from the euro to prevent inflation caused by the weak euro.The Bank of Canada surprised with a 0.25%rate cut in January,citing a sharp drop in oil prices as a risk to growth.Greece continued to teeter on the edge of default as a new government threatened to not repay loans unless payback terms were eased.European lenders balked at the idea,forcing Greek leaders to abide by current loan covenants. 25 0 30 0 35 0 40 0 45 0 50 0 Barrels (Millions)U.S.Crude Oil in St or age So ur ce:D.O.E. 70 -12.0% -8.0% -4.0% 0.0% 4.0% 8.0% 12.0% 3.5% 7.6% 5.3%4.9% 3.5% 1.0% -6.0% 5.2% 2.2%2.0%1.9% -9.6% 1st Quarter and Trailing One-Year Sector Returns Capital Markets Rev iew Equities 1st Quarter 2015 World Equity Returns (USD) Developed Markets Emerging Markets 10.6% -13.4% 10.5% 7.9% 3.7% 16.6% 17.3% 12.4% 4.0% 16.8% 27.6% -4.6% -2.2% -0.7% 0.4% 1.0% 1.3% 1.7% 1.8% 1.9% 4.7% 7.8% -20.0%-10.0%0.0%10.0%20.0%30.0% Utilities Energy Financials In dustrials Materials Cons.Stapl es In fo Tech Russell 30 00 Te lecom Cons. Disc. Health Care 1Q 15 On e Year 1.6% 4.3% -0.7% 2.0% 3.8% 6.6% 12.7% 8.2% 9.3% 4.4% 16.1% 12.1% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% Russell 1000 In dex Russell 2000 Index Russell 1000 Value Russell 2000 Value Russell 1000 Growth Russell 2000 Growth 1Q15 One Year Russell 1000 Index vs. Russell 2000 Index Central Bank Measures Boost Markets;Strong USD a Hindrance •The Russell 3000 Index experienced modest gains during the first quarter, returning 1.8%.Stocks fell sharply to start the quarter as the price of crude oil continued to fall;however,domestic indices rebounded strongly mid-quarter with oil price stabilization,positive European economic data,and Fed reassurances that they were in no hurry to raise interest rates.Equity markets gave back much of their mid-quarter gains late in the quarter on worse-than-expected U.S. economic data and a strengthening U.S.dollar. •After lagging behind in 2014,small-caps outperformed large-caps.Small-cap indices have less exposure to both the energy sector and foreign currency relative to large-caps,which shielded them from falling oil prices and a strengthening U.S. dollar.Additionally,quarterly performance dispersion among growth and value styles was its largest in more than five years during the first quarter as growth stocks outpaced value stocks. •Non-U.S.equities outperformed domestic equities.Aggressive central bank stimulus action,particularly from the ECB and Bank of Japan,bolstered non-U.S. equities.However,given the increased stimulus measures and anticipation of the first U.S.interest rate hike sometime in 2015,most currencies depreciated versus the U.S.dollar,hindering U.S.dollar-denominated returns.Despite the strengthening U.S.dollar and weakening commodity prices,emerging market equities also advanced in U.S.dollar terms. Broad Va lue Growth 71 Source: Barclays Source: Barclays Duration-adjusted Excess Returns to Treasuries (bps) Trailing Ten-Year High Yield Spreads vs. Energy Sector Capital Markets Rev iew Fixed Income Best Period Second Best Period Wors t Period Second W orst Period 2008 2009 2010 2011 2012 2013 2014 1Q15 Aggre ga te -710 746 171 -114 226 93 10 -9 Age ncy -110 288 77 -25 166 1 10 -3 MBS -232 495 225 -106 91 98 40 -50 ABS -2223 2496 169 52 246 24 53 14 CMBS -3274 2960 1501 47 841 97 108 37 Cre dit -1786 1990 192 -322 693 226 -18 17 Hi gh Yield -3832 5955 974 -240 1394 923 -112 109 Em erging -2842 3797 508 -537 1503 -32 -120 49 0 250 500 750 1000 1250 1500 1750 2000 Option-Adjusted Spread (OAS)U.S. High Yie ld - OAS U.S. HY 10-Year Average HY Energy - OAS HY Energy 10-Year Av erage -1 .2% -1 .0% -0 .8% -0 .6% -0 .4% -0 .2% 0.0% 0.2%Change in YieldMa turity (Years) 1Q 15 1 Yr E nd ing 1Q15 US Treasury Yield Curve Change by Maturity Source: US Dept of The Treasury Risk Appetite Returns in First Quarter •All major fixed income sectors generated positive total returns during the first quarter as continued global central bank accommodation bolstered investor demand for risk assets.U.S.rates declined across the curve in response to dovish comments from the Fed,softer domestic economic data,and growing demand from global investors as many Europeans face negative yields in their home markets.TIPS lagged nominal Treasuries during the quarter as inflations expectations remained subdued. •High yield credit generated the strongest duration-adjusted excess returns to Treasuries during the quarter.Although the sector remained volatile,high yield energy spreads tightened after reaching six-year highs in December.Energy spreads have traded inside the broader high yield segment for much of the past ten years,but remained considerably wider at quarter-end. •Within the securitized markets,CMBS and ABS outperformed MBS on a duration-adjusted basis.MBS lagged due to elevated interest rate volatility and faster-than-expected prepayment speeds. •Global government rates generally declined as many central banks eased policies to stimulate growth,while the U.S.Dollar continued to rally strongly against most developed and emerging currencies. 72 Capital Markets Review Hedge Funds HFRI Index Performance –First Quarter and Trailing 12 Months Hedge Fund Strategies Sought by Investors over the Next 12 Months Source: Preqin 55% 38% 17%16%13%11%11% 6%5%5% 0% 10% 20% 30% 40% 50% 60%Proportion of Fund Searches5.7% 6.0% 5.4% 4.3% 3.4% 9.5% 1.1% 3.5% 3.0% -3.6% 1.4% 1.6% 2.4% 2.5% 2.4% 2.4% 3.4% 2.0% 1.7% 2.3% 0.6% 2.1% -6%-4%-2%0%2%4%6%8%10%12% BC Aggregate Bond Index MSCI All-Country World Index Fund of Fu nds Hedge Fu nd Composite Merger Arbitra ge Gl obal Macro Event Driven Equity Market Ne utral Equity Hedge Distressed Securities Converti bl e Arbitrag e Q1 One Year Source: HFR Inc. Hedge Funds Rise on Macro Trends and Corporate Activity •Hedge Funds posted their best quarterly performance since the first quarter of 2013,with the HFRI Hedge Fund Composite Index returning 2.4%.All of the Composites’sub indices,with the exception of the HFRI Equity Hedge:Short Biased Index,produced positive returns.Managers benefited from trends in currency and commodity markets as well as continued merger and acquisition activity. •Global macro was again the top performing strategy in the first quarter with a return of 3.4%as CTAs continued to lead the segment.CTAs benefited from trends in oil and natural gas markets and long exposure to the U.S.dollar as the dollar continued to appreciate relative to other major currencies.Long/short equity funds outperformed the S&P 500 for the first time since the fourth quarter 2012. Managers benefited from increased volatility in global equity markets and corporate activity,specifically in the health care sector.Distressed was the worst performing strategy during the quarter as exposure to European stressed and distressed credit assets dampened results. •Fund of hedge funds returned 2.5%during the quarter and saw net positive inflows for the first time since the fourth quarter 2012.Fund of hedge funds managers benefited from activist investments and sector focused funds,specifically health care and technology managers. •The hedge-fund industry saw inflows of $18.2 billion during the first quarter according to Hedge Fund Research.According to eVestment,hedge fund assets ended the quarter at a record $2.9 trillion. Hedge Fund Assets and Flows -$500 ,000 $0 $500 ,000 $1,0 00,000 $1,5 00,000 $2,0 00,000 $2,5 00,000 $3,0 00,000 Assets ($MM)Net Asse t Flow Estim ated Ass ets 73 NCREIF 3 M on.1 Yr.3 Yrs.5 Yrs.10 Yr s. NCREIF 3.0%11.8%11.1%12.1%8.4% Ap artm ents 2.8%10.3%10.7%13.1%8.1% In dus trials 3.9%13.4%12.1%12.1%8.3% Offic e 3.1%11.5%10.3%11.3%8.2% Retail 2.7%13.1%12.5%12.8%9.2% Hotel 4.3%11.1%9.0%9.5%7.0% East 2.4%9.3%9.2%9.3%8.0% Mi dwes t 3.0%11.4%10.6%10.7%7.1% South 3.2%13.2%12.2%12.3%8.6% West 3.5%13.6%12.4%13.2%9.1% 20.1x 18.7x17.3x 12.8x Global U.S. Capital Markets Review Real Assets REIT Valuations Look Expensive Brent Price Prospects Uncertainty Remains High Real Estate Return as of December 31, 2014 Real Estate Performs Well; Commodities Prices Suffer Source: Cohen & Steers Source: NCREIF 0.1% 5.1% -7.3% 3.2% Gl obal U.S. Price-to-NAV Price/Cash Flow Multiple 5.1% Curr en t 20 yr Average Source: IMF, April 2015 Date: March 17, 2015 Brent Price Prospects Uncertainty Remains High •Private real estate returned 3.0%during the fourth quarter and 11.8%during 2014.By sector,industrial properties experienced the best returns for the quarter and year.By region,the West and South performed best both in the quarter and year.Low interest rates and strong property fundamentals contributed to modestly declining cap rates and property appreciation.During 2014,NCREIF properties appreciated 6.2%on average.The income return for the year was 5.4%While the income return to real estate has been declining,it exceeds the yield on core fixed income. •Following a stellar 2014,U.S.REITs once again outperformed U.S.equities with a 4.8%first quarter return,compared to 1.0%for the S&P 500.Global REITs trailed U.S. REITs,but still performed strongly with a 4.0%return.Improving European and Japanese economies are leading to better property fundamentals,while high yields in comparison to fixed income are attracting capital.Valuations on REITs,however,look expensive,although yields remain attractive relative to fixed income. •The Bloomberg Commodity Index declined 6.0%during the first quarter and 27.0% during the trailing 12 months,led by energy,which returned -8.9%during the quarter and -48.8%during the trailing 12 months.Rising production,growing stockpiles,and falling demand have contributed to oil price declines.The Brent futures curve suggests that oil prices will rise to about $70/barrel sometime in 2016 and about $78/barrel by December 2020,which implies about a 10%annualized return to oil.One year ago, the Brent futures curve predicted a decline in oil prices to about $100/barrel currently and $90/barrel in 2020.Uncertainty,however,remains high.Metals and agricultural commodities also have declined,but by less.Weaker demand from China has largely affected metals prices while good weather and strong harvests have put downward pressure on major crop prices. 74 0 2000 4000 6000 8000 10000 12000 14000 16000 18000 20000 0 5 10 15 20 25 30 35 40 Total Offer Amount ($,Billions)# of IPOsVentu re -B ac ked I PO s #Ventu re -B ac ked I PO s $Value Venture-Backed IPO ActivityInvestment Horizon Pooled IRR (Preliminary as of 12/31/14) Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years Early Stage VC 17.0%32.7%23.3%19.9%11.4%53.4% Late/Expansion Stage VC 4.9%10.4%17.1%20.7%14.0%15.5% Multi-Stage VC 10.6%20.8%17.8%14.2%10.0%15.5% Al l Venture Capital 14.0%27.0%21.1%18.2%11.2%34.5% Small Buyouts 1.3%7.2%10.5%13.6%17.3%13.9% Medium Buyouts 2.8%8.3%13.7%13.6%17.7%18.4% Large Buyouts 2.3%9.5%13.6%14.5%15.8%16.7% Mega Buyouts 2.7%11.4%16.4%15.1%11.3%11.6% Al l Buyouts 2.6%10.6%15.4%14.8%13.4%14.2% Mezzanine/Sub Debt 1.0%9.7%12.5%12.4%10.7%10.1% Distressed 0.8%6.7%14.4%11.9%10.2%11.4% Al l Private Equity 2.3%11.1%14.9%14.3%12.6%16.2% MSCI AC World Index 0.5%4.8%15.1%9.8%6.7%6.9% Capital Markets Rev iew Pr ivate Equity Ventu re -B ac ked I PO s #Ventu re -B ac ked I PO s $Value $0 $20 $40 $60 $80 $100 $120 $140 $,BillionsVC Buyout Rea l A ssets Seconda ry Fu nds Di st re ss ed /SS Venture-backed IPO Activity Dips Following Banner Year in 2014 •Based on preliminary data as of December 31,2014,the pooled IRR for all private equity funds exceeded that of the MSCI All Country World Index by 180 basis points during the fourth quarter.For the 2014 calendar year,private equity funds significantly outperformed global public equity markets.Venture capital funds performed extremely well in 2014 boosted by a strong IPO environment.Within the buyout space,large-and mega-cap buyout funds outperformed their smaller counterparts for the year. •Private equity fundraising dipped during the first quarter of 2015 compared to the levels seen in 2014.In total,private equity funds raised approximately $89 billion during 1Q15,a decline of 13%from the prior quarter.However,that total was just slightly below the amount raised during the same quarter last year and well above the quarterly averages seen from 2010-2012. •Venture-backed IPO activity dipped during 1Q15 after completing a banner year in 2014,the most active year for IPOs since the dot-com bubble in 2000.A total of 17 venture-backed IPOs with an aggregate offer amount of $1.4 billion were completed in 1Q15,representing declines of 54%and 58%,respectively, compared to 1Q14.Additionally,1Q15 ended a string of seven consecutive quarters with more than 20 IPOs and at least $2.2 billion in aggregate value. Source: ThomsonOne/Cambridge Associates database, April 2015. Note: Data is continuously updated and is therefore subject to change. MSCI AC World Index 0.5%4.8%15.1%9.8%6.7%6.9% Source: Thomson Reuters, ThomsonOne database, April 2015. Source: Thomson Reuters & National Venture Capital Association, April 2015. Global Fundraising 75 Quarter Year To Date 1 Year 2 Years 3 Years 5 Years 7 Years 10 Years Domestic Equity Indices Dow Jones Wilshire 5000 1.6 1.6 12.2 17.2 16.2 14.5 9.3 8.4 S&P 500 1.0 1.0 12.7 17.2 16.1 14.5 8.9 8.0 Russell 1000 Index 1.6 1.6 12.7 17.5 16.4 14.7 9.3 8.3 Russell 1000 Growth Index 3.8 3.8 16.1 19.6 16.3 15.6 10.7 9.4 Russell 1000 Value Index -0.7 -0.7 9.3 15.3 16.4 13.8 7.7 7.2 Russell Midcap Index 4.0 4.0 13.7 18.5 18.1 16.2 11.2 10.0 Russell Midcap Growth Index 5.4 5.4 15.6 19.8 17.4 16.4 11.2 10.2 Russell Midcap Value Index 2.4 2.4 11.7 17.2 18.6 15.8 10.9 9.6 Russell 2000 Index 4.3 4.3 8.2 16.3 16.3 14.6 10.5 8.8 Russell 2000 Growth Index 6.6 6.6 12.1 19.4 17.7 16.6 11.9 10.0 Russell 2000 Value Index 2.0 2.0 4.4 13.2 14.8 12.5 8.9 7.5 International Equity Indices MSCI EAFE 4.9 4.9 -0.9 7.9 9.0 6.2 1.6 4.9 MSCI EAFE Growth Index 5.8 5.8 1.1 7.8 9.0 7.0 2.1 5.6 MSCI EAFE Value Index 3.9 3.9 -2.9 8.1 9.0 5.3 1.0 4.2 MSCI EAFE Small Cap 5.6 5.6 -2.9 9.4 10.7 8.8 4.1 6.2 MSCI AC World Index 2.3 2.3 5.4 10.8 10.7 9.0 4.5 6.4 MSCI AC World ex US 3.5 3.5 -1.0 5.4 6.4 4.8 1.2 5.5 MSCI Emerging Markets Index 2.2 2.2 0.4 -0.5 0.3 1.7 0.6 8.5 Fixed Income Indices Barclays U.S. Aggregate 1.6 1.6 5.7 2.8 3.1 4.4 4.7 4.9 Barcap Intermediate U.S. Government/Credit 1.4 1.4 3.6 1.7 2.3 3.5 3.8 4.3 Barclays U.S. Long Government/Credit 3.4 3.4 15.7 7.1 7.7 10.2 8.8 7.7 Barclays US Corp: High Yield 2.5 2.5 2.0 4.7 7.5 8.6 9.6 8.2 BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.0 0.1 0.1 0.3 1.5 Barclays U.S. TIPS 1.4 1.4 3.1 -1.8 0.6 4.3 3.6 4.6 Citigroup Non-U.S. World Government Bond -4.4 -4.4 -9.8 -3.9 -3.3 0.4 0.5 2.5 JPM EMBI Global Diversified (external currency)2.0 2.0 5.6 3.1 5.4 7.1 7.6 8.1 JPM GBI-EM Global Diversified (local currency)-4.0 -4.0 -11.1 -9.2 -3.9 0.7 3.1 6.3 Real Asset Indices Dow Jones - UBS Commodity -5.9 -5.9 -27.0 -15.5 -11.5 -5.7 -9.6 -3.6 Dow Jones Wilshire REIT 4.7 4.7 25.2 14.4 14.2 16.1 8.6 9.6 Capital Markets Review Index Returns As of March 31, 2015 (Percentage Return) _________________________ Returns for periods greater than one year are annualized. 76 Appendix 77 2013 Acti on Sep tember •The M et rop olit an St . Louis Sewer District hired Pavilion Advisory Group as their invest ment consult ant. 2014 Acti on February •Pavilion p resent ed an asset allocat ion and investment and manager struct ure review to the F inance Commit tee.Pavilion recommended t he adop tion of new asset allocat ion targe ts and allowable ranges that would p ermit the eliminat ion of t he tact ical as set allocat ion and market neut ral s trat egies , the ad dit ion of hedge fund strat egies through hedge f und of funds, and the reduction of t he number of managers and exposure to high yield and non- US debt in the fixed income p ortfolio. T he following asset allocat ion s tructure was p rop os ed: 40% Equit y 35% Fixed Income 25% Alt ernatives Appendix History of Investment Decisions Given Pyramis ' p oor p er formance and rapidly declining as sets in the s trat egy,Pavilion furt her recommended the manager be t erminat ed immediat ely . T he Commit tee ap proved these recommendations. Sep tember •Pavilion downgraded PIM CO’s manager rating stat us from “negat iv e w at ch” t o “sell.” Pavilion init ially downgraded PIM CO to “negat iv e w at ch” in January following the dep art ure of co-CIO Mohamed El-Erian, and noted we would closely monit or t he firm for organiz at ional s tabilit y,asset flow s,and p erformance. November & December •Pavilion conducted an equit y long/s hort hedge fund of funds search and p resent ed the rep ort to the F inance Commit tee.Pavilion recommended Light house C ap it al P artners Global Long/Short Fund which was support ed by Metrop olit an St Louis Sew er St aff. T he F und rep laced PIMCO All Asset Fund on M arch 1, 2015. 78 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 March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. From April 1, 2014 to March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% CPI+5%, 5% We llington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index- OEDCE. 79 Policy Benchmark(Cont.) Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index,3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yi eld Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yi eld, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% We llington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Index-OEDCE. Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity To tal Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year Appendix Benchmark and Universe Descriptions 80