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Home My Public Portal About2016 1st Quarter ReportPerformance Review Metropolitan St. Louis Sewer District Pension Plan 1st Quarter 2016 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 63 5 Capital Markets Review 65 6 Appendix 72 Table of Contents Performance Summary 1 Performance Summary - March 2016 During the first quarter, the Metropolitan St. Louis Sewer District pension plan underperformed its benchmark, reporting a return of 0.9% while the Policy Benchmark reported a return of 1.4%. On a trailing one-year basis, the plan reported a loss of -1.8%, underperforming the Policy Benchmark return of -1.3%. Asset Class Diversification Current asset allocation was within investment policy targets. The Plan was slightly overweight in fixed income, equities, and real estate and underweight hedge funds and real assets. Manager Evaluation First quarter performance was the most favorably impacted by the following managers as they outpaced their benchmarks: TimeSquare Small Cap Growth, Kennedy Mid Cap Value, Morgan Stanley International Equity, Brandywine Global Opportunistic Fixed Income, Prudential Core Plus Bond Fund, and Wellington Diversified Inflation Hedges. First quarter performance was the most unfavorably impacted by the following managers that underperformed their benchmarks: T. Rowe Price Large Cap Core Growth, Vanguard Windsor II, Holland Large Cap Growth, Morgan Stanley Emerging Markets Equity, Entrust Capital Diversified, and Lighthouse Global Long/Short. Wellington Diversified Inflation Hedges has been put on negative watch as it has underperformed its benchmark consistently over longer-term periods. Pension Plan Executive Summary 2 Pension Plan Executive Summary Capital Markets Review The S&P 500 finished the quarter in positive territory with a 1.3% return. While the market started the quarter down on continued fears of global instability, a weaker dollar, and ECB bond buying expansion fueled a rally in the latter part of the quarter. With the exception of financials and health care, all sectors posted gains. The Federal Reserve backtracked on its outlook for 100 bps of interest rate hikes during 2016. Markets reacted so negatively during January that the Fed speculated its December rate hike may have been the proximate cause. Other central banks continue to push rates lower or expand bond purchases as global growth forecasts trend lower. The U.S. dollar grew weaker throughout the quarter as persistently weak global demand lowered prospects of monetary tightening. Stock markets remained dependent on easy money policies, especially as earnings growth rates trend lower. An ongoing industrial slowdown, excluding autos, is worrying as indicators point to a low first quarter GDP. Crude oil prices fell to a low of $26/barrel during February, but finished the quarter slightly above the year-end price. The appearance of a deal between OPEC and Russia to stabilize production halted the price decline and led the market to its more natural level around $40-50/barrel. Emerging markets posted strong gains in the first quarter, benefiting from both favorable market returns and currency gains. Latin America was the strongest performing region.Fixed income markets improved during the quarter as accommodative responses from global central banks eased investors’ fears over slowing global growth. Yields declined across the curve after the Fed reduced market expectations for rate hikes in 2016 from four to two. The first quarter saw a reversal in the performance of growth and value stocks, with value outperforming growth, especially in the small-cap space. In general, large cap stocks performed better than small cap stocks. The weakness in the small cap growth segment, however, pulled the overall small cap stock indices down. Recommendations or Action Items No recommendations at this time. 3 Total Composite Policy Benchmark 0.0 3.0 6.0 9.0 12.0 -3.0 -6.0Return Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception 1.4 1.4 -1.3 3.8 4.9 5.0 7.7 0.9 0.9 -1.8 3.3 4.7 5.1 7.2 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 0.9 0.9 -1.8 3.3 4.7 5.1 7.3 23y 3m Policy Benchmark 1.4 1.4 -1.3 3.8 4.9 5.0 N/A Performance Summary Total Composite vs. Policy Benchmark As of March 31, 2016 ____________ Performance is reported net of fees. See appendix for full description of the policy benchmark. 4 -12.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 0.9 (50)0.9 (50)-1.8 (54)3.3 (97)4.7 (97)8.8 (96)5.1 (83)¢£ 5th Percentile 2.1 2.1 0.7 7.9 8.1 12.4 6.5 1st Quartile 1.3 1.3 -0.6 7.0 7.3 11.4 6.2 Median 0.9 0.9 -1.6 6.3 6.5 10.8 5.7 3rd Quartile 0.3 0.3 -2.7 5.5 5.9 10.2 5.2 95th Percentile -0.4 -0.4 -4.0 4.3 4.8 8.9 4.3 Performance Comparison All Public Plans <= $500 mil As of March 31, 2016 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 5 -12.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 0.9 (52)0.9 (52)-1.8 (57)3.3 (96)4.7 (97)8.8 (96)5.1 (79)¢£ 5th Percentile 2.3 2.3 0.7 7.9 8.0 12.5 6.5 1st Quartile 1.4 1.4 -0.4 6.9 7.2 11.5 6.0 Median 0.9 0.9 -1.4 6.2 6.5 10.9 5.6 3rd Quartile 0.4 0.4 -2.6 5.4 5.8 10.2 5.2 95th Percentile -0.3 -0.3 -3.9 4.1 4.8 8.9 4.3 Performance Comparison All Public Plans As of March 31, 2016 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 6 3 Years 5 Years 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)3.0 3.8 4.6 5.4 6.2 7.0 7.8 Risk (Standard Deviation %) Policy Benchmark (6.3 , 3.8) Total Composite (6.4 , 3.3) 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (7.2 , 4.9) Total Composite (7.4 , 4.7) Performance Summary Risk and Return Summary As of March 31, 2016 7 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 242,557,975 100.0 0.9 0.9 -1.8 3.3 4.7 5.1 7.3 23y 3m Policy Benchmark 1.4 1.4 -1.3 3.8 4.9 5.0 N/A Total Equity Composite 97,929,702 40.4 -0.8 -0.8 -3.8 N/A N/A N/A 6.8 2y 7m MSCI AC World IMI 0.4 0.4 -3.8 6.1 5.8 4.8 6.1 Domestic Equity Composite 65,202,783 26.9 -0.8 -0.8 -2.1 N/A N/A N/A 10.0 2y 7m Russell 3000 Index 1.0 1.0 -0.3 11.1 11.0 6.9 10.8 Large-Cap Equity Composite 50,114,237 20.7 -1.1 -1.1 -0.1 11.6 10.6 6.8 8.2 12y 10m Russell 1000 Index 1.2 1.2 0.5 11.5 11.4 7.1 8.6 Small-Cap Equity Composite 15,088,546 6.2 0.6 0.6 -8.9 8.2 8.7 7.4 10.6 12y 10m Russell 2000 Index -1.5 -1.5 -9.8 6.8 7.2 5.3 8.9 International Equity Composite 32,726,919 13.5 -0.9 -0.9 -7.2 N/A N/A N/A 0.8 2y 7m MSCI AC World ex USA Index -0.4 -0.4 -9.2 0.3 0.3 1.9 0.5 Developed International Equity Composite 24,888,192 10.3 -2.5 -2.5 -6.8 1.5 3.4 2.8 4.2 16y 11m MSCI EAFE Index -3.0 -3.0 -8.3 2.2 2.3 1.8 3.1 Emerging International Equity Composite 7,838,727 3.2 4.6 4.6 -9.4 -4.3 -2.6 2.7 6.3 11y MSCI Emerging Markets Index 5.7 5.7 -12.0 -4.5 -4.1 3.0 6.4 Fixed Income Composite 86,631,966 35.7 4.4 4.4 1.7 0.8 3.1 5.2 4.6 12y 9m Barclays Intermediate U.S. Government/Credit 2.4 2.4 2.1 1.8 3.0 4.3 3.7 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2016 _________________________ Performance is reported net of fees. 8 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Funds Composite 33,071,475 13.6 -4.1 -4.1 -5.4 N/A N/A N/A -3.6 1y 1m HFRI Fund of Funds Composite Index -2.8 -2.8 -5.4 1.9 1.3 1.5 -4.4 Real Estate Composite.15,394,499 6.3 1.8 1.8 10.7 10.6 10.2 5.7 8.1 38y 3m NCREIF Property Index 2.2 2.2 11.8 11.9 11.9 7.6 9.3 Real Assets Composite 8,001,220 3.3 5.0 5.0 -14.8 -11.4 -8.9 N/A -3.9 6y Wellington DIH Multi-Asset Inflation Index 5.3 5.3 -12.2 -9.3 -7.9 -0.5 -3.7 Cash Account 1,529,113 0.6 0.1 0.1 0.2 0.3 0.2 1.1 1.3 12y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.1 0.1 0.1 1.1 1.4 _________________________ Performance is reported net of fees. 9 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Domestic Large-Cap Equity Managers Vanguard Windsor II 12,222,335 5.0 0.2 (48)0.2 (48)-2.9 (40)8.6 (42)9.7 (29)5.9 (28)6.0 (27)14y 11m Russell 1000 Value Index 1.6 (20)1.6 (20)-1.5 (24)9.4 (23)10.2 (15)5.7 (32)6.1 (26) IM U.S. Large Cap Value Equity 0.2 0.2 -3.6 8.3 8.6 5.0 5.3 Vanguard Institutional Index Fund 15,811,605 6.5 1.3 (20)1.3 (20)1.8 (14)11.8 (23)11.6 (16)7.0 (25)4.9 (43)16y 6m S&P 500 1.3 (20)1.3 (20)1.8 (14)11.8 (23)11.6 (15)7.0 (26)4.9 (43) IM U.S. Large Cap Equity -0.4 -0.4 -1.8 10.1 9.8 6.1 4.6 T. Rowe Price Inst. Large-Cap Core Growth 11,910,542 4.9 -5.5 (86)-5.5 (86)-0.7 (44)14.6 (8)13.1 (6)8.5 (11)15.1 (11)3y 1m Russell 1000 Growth Index 0.7 (7)0.7 (7)2.5 (10)13.6 (21)12.4 (14)8.3 (14)14.6 (17) IM U.S. Large Cap Growth Equity -2.7 -2.7 -1.2 11.8 10.5 6.9 12.6 Holland Large Cap Growth 10,169,755 4.2 -1.5 (34)-1.5 (34)1.3 (19)10.7 (72)10.4 (54)7.9 (23)11.1 (80)3y 1m Russell 1000 Growth Index 0.7 (7)0.7 (7)2.5 (10)13.6 (21)12.4 (14)8.3 (14)14.6 (17) IM U.S. Large Cap Growth Equity -2.7 -2.7 -1.2 11.8 10.5 6.9 12.6 Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 7,897,943 3.3 5.0 (14)5.0 (14)-8.5 (88)8.7 (59)8.7 (56)N/A 9.1 (5)8y 3m Russell Midcap Value Index 3.9 (28)3.9 (28)-3.4 (43)9.9 (33)10.5 (17)7.2 (19)7.6 (36) IM U.S. Mid Cap Value Equity 2.7 2.7 -4.7 9.1 9.2 6.1 6.8 TimesSquare Small Cap Growth Fund 7,190,603 3.0 -3.9 (39)-3.9 (39)-9.4 (25)7.1 (40)8.4 (27)7.9 (2)9.3 (3)14y 2m Russell 2000 Growth Index -4.7 (56)-4.7 (56)-11.8 (45)7.9 (29)7.7 (38)6.0 (23)7.0 (47) IM U.S. Small Cap Growth Equity -4.5 -4.5 -12.5 6.2 6.9 5.0 6.9 Developed International Equity Manager Morgan Stanley International Equity Fund I 24,888,192 10.3 -2.5 (71)-2.5 (71)-6.8 (34)1.5 (48)3.4 (21)2.8 (36)3.8 (62)11y MSCI EAFE Index -3.0 (77)-3.0 (77)-8.3 (46)2.2 (39)2.3 (34)1.8 (57)3.7 (65) IM International Equity -0.7 -0.7 -8.7 1.3 1.2 2.1 4.5 Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 7,838,727 3.2 4.6 (40)4.6 (40)-9.1 (24)-4.1 (42)-2.5 (26)2.7 (42)6.4 (33)11y MSCI Emerging Markets Index 5.7 (30)5.7 (30)-12.0 (57)-4.5 (48)-4.1 (53)3.0 (36)6.4 (31) IM Emerging Markets Equity 3.7 3.7 -11.5 -4.7 -4.1 2.4 5.9 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2016 _________________________ Performance is reported net of fees. 10 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 34,256,432 14.1 2.3 (18)2.3 (18)1.7 (19)1.7 (19)3.3 (11)5.0 (5)5.1 (4)14y 9m Barclays Intermediate U.S. Government/Credit 2.4 (13)2.4 (13)2.1 (8)1.8 (15)3.0 (19)4.3 (15)4.5 (15) IM U.S. Intermediate Duration Fixed Income 1.7 1.7 1.0 1.2 2.3 3.7 3.9 Prudential Core Plus Bond Fund 28,896,342 11.9 3.6 (8)3.6 (8)1.3 (20)3.0 (10)5.2 (5)6.2 (6)2.0 (8)0y 10m Barclays U.S. Aggregate 3.0 (22)3.0 (22)2.0 (5)2.5 (26)3.8 (56)4.9 (61)2.6 (3) IM U.S. Broad Market Core+ Fixed Income 2.6 2.6 0.3 2.0 3.9 5.2 0.9 Brandywine Global Opportunistic Fixed Income 23,479,192 9.7 8.7 (1)8.7 (1)-0.1 (55)0.7 (39)4.3 (9)6.5 (1)5.7 (1)11y 3m Citigroup World Government Bond Index 7.1 (4)7.1 (4)5.9 (1)0.5 (45)1.2 (66)4.2 (51)3.0 (71) IM Global Fixed Income 3.2 3.2 0.5 0.2 1.8 4.2 3.6 _________________________ Performance is reported net of fees. 11 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Fund Managers Lighthouse Global Long/Short Fund Limited 17,287,704 7.1 -4.6 -4.6 -1.2 6.7 5.7 5.2 0.4 1y 1m HFRI Equity Hedge (Total) Index -1.7 -1.7 -4.6 2.6 1.7 2.7 -4.0 Entrust Capital Diversified Fund 15,783,771 6.5 -3.5 -3.5 -12.3 0.0 0.7 3.3 -10.8 0y 8m HFRI Fund of Funds Composite Index -2.8 -2.8 -5.4 1.9 1.3 1.5 -5.8 Real Estate Manager UBS Trumbull Property Fund 15,394,499 6.3 1.8 1.8 10.7 10.6 10.2 5.7 5.8 9y 10m NCREIF Property Index 2.2 2.2 11.8 11.9 11.9 7.6 7.5 Real Asset Manager Wellington Diversified Inflation Hedges 8,001,220 3.3 5.0 5.0 -14.8 -11.4 -8.9 N/A -3.9 6y Wellington DIH Multi-Asset Inflation Index 5.3 5.3 -12.2 -9.3 -7.9 -0.5 -3.7 Cash Account 1,529,113 0.6 0.1 0.1 0.2 0.3 0.2 1.1 1.3 12y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.1 0.1 0.1 1.1 1.4 Total Composite 242,557,975 100.0 0.9 0.9 -1.8 3.3 4.7 5.1 7.3 23y 3m _________________________ Performance is reported net of fees. 12 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Return (%)9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 Risk (Standard Deviation %) MSCI EAFE Russell 2000 Growth Russell Midcap Value Russell 1000 Growth S&P 500 Russell 1000 Value Holland Large Cap Growth Kennedy Mid Cap Value TimesSquare Small Cap Growth Morgan Stanley International Equity Vanguard Windsor II Fund Vanguard Institutional Index Fund T. Rowe Price Inst. Large-Cap Core Growth Performance Summary Risk and Return Summary - Equity Managers 5 Years Ending March 31, 2016 13 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 5.4 6.0 Return (%)0.0 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0 7.7 8.4 9.0 Risk (Standard Deviation %) Citigroup World Government Bond Index BC Intermediate U.S. Government/Credit Barclays U.S. Aggregate Prudential Core Plus Bond Fund Income Research Brandywine Global Performance Summary Risk and Return Summary - Fixed Income Managers 5 Years Ending March 31, 2016 14 -10.0 -6.0 -2.0 2.0 6.0 10.0 14.0 18.0 22.0 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund HFRI Equity Hedge (Total) Index NCREIF Property Index Lighthouse Global Long/Short Fund Limited Wellington DIH Multi-Asset Inflation Index Wellington DIH UBS TPF Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending March 31, 2016 15 Manager Compliance Checklist First Quarter 2016 Managers Va ngua rd Windsor Vangua rd Insti tu ti onal T.Ro we Price Holland Ke nne dy TimesS qua re Morga n Stanley Int'l Morga n Stanley EM Organizational /Produ ct Is sues No ma teria l c hanges to inves tment team -+++++++ No ma teria l o rg aniza tional changes ++++++++ Accounting or re gulatory 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 Thre e-year return better than benchmark -N/A +----+ Thre e-year rankin g better than peer group median +++--+++ Fiv e year ret urn better than benchmark -N/A +--+++ Fiv e year rankin g better than peer group median +++--+++ 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 16 Manager Compliance Checklist First Quarter 2016 Mana ge rs Income Re se arch Prude ntial Bra ndyw ine Global Lighthouse Entrust 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 s tylis tic expectations +++++++ Re lati ve Perfor mance 1 Th re e-year return better than benchmark -+++--- Th re e-year rankin g better than peer group median +++N/A N/A N/A N/A Fiv e year re turn better than benchmark ++++--- +++ 1 Manager performance is evaluated net of investment management fees. Fiv e year ra nkin g better than peer group median +++N/A N/A N/A N/A Perfor manc e s tatus ++++++- Da te perfo rmance s tatus changed 1Q 16 Summary status +++++++ Da te s umma ry status changed 17 Manager Compliance Issue Explanation Recommended Action Comments Vanguard Windsor II Investment Team Changes Jim Barrow stepped down as PM of Windsor II at the end of 2015. He had managed Barrow Hanley’s portion of Windsor II assets (approximately 60%) since 1985. As had already been well- communicated over the past couple of years, his replacements are David Ganucheau and Jeff Fahrenbruch. Hold Messrs. Ganucheau and Fahrenbruch have 19 and 18 years of investment experience, respectively, and have managed money for Barrow Hanley since July 2011. However, investors are losing a great deal of experience with this change. W e recommend holding on the to the Fund but will continue to observe performance and flows. Prudential Fixed Investment Team Chief Compliance Officer, James Hartmann, resigned effective Hold The announcements do not impact Pavilion’s opinion or rating on any Prudential strategies, but Manager Compliance Checklist First Quarter 2016 Fixed Income Team Changes Hartmann, resigned effective September 4th. A search for his replacement has been initiated and they expect to have a candidate in place shortly. In the interim, Teresa Gilbreath, who is James’ supervisor and Chief Compliance Officer for Prudential’s asset management businesses, will serve as Prudential Fixed Income’s Chief Compliance Officer. The head of Prudential Fixed Income, Jim Sullivan, has transitioned into the role of Executive Chairman effective January 1, 2016. As Executive Chairman, Sullivan will oversee the strategic direction of the business. Mike Lillard, currently CIO, will become head of Prudential Fixed Income and maintain his CIO role.This change will have minimal impact on the day-to-day portfolio management. opinion or rating on any Prudential strategies, but it will be important to monitor Mike Lillard’s future workload. 18 Manager Compliance Issue Explanation Recommended Action Comments Income Research Investment Team Changes Jen Karpinski, Portfolio Manager on the Corporate team, left Income Research as of June 1st. Her responsibilities were reallocated to the other Corporate Portfolio Managers on the team. Julia Hébert, a Portfolio Manager and member of their Credit Team, has left Income Research as of January 15th.Her responsibilities have been reallocated to the other Credit Portfolio Managers on the team. Senior Portfolio Manager Jim Hold Given IR+M’s team approach to managing portfolios we do not have concerns about these departures. Manager Compliance Checklist First Quarter 2016 Senior Portfolio Manager Jim Gubitosi will be assuming portfolio management responsibilities on the Credit Team. Jim comes from the Securitized/Government team within Income Research. EnTrust Organizational Changes EnTrust will be combining their business with that of The Permal Group, a global alternative asset manager that was established in 1973 and acquired by Legg Mason in 2005.The deal is expected to close in mid –2016. Gregg Hymowitz will serve as the Chairman and Chief Executive Officer of EnTrustPermal, as well as continue to be the Chair of the EnTrustPermal Global Investment Committee. Hold Pavilion will be reviewing the effects of the combination and advise you if we see any organizational risk that may impair the investment process.We will be watching the performance of this fund closely during 2016. 19 Manager Compliance Issue Explanation Recommended Action Comments Wellington Performance The manager underperformed the W ellington DIH Multi-Asset Inflation Index by 210 and 100 basis points over the rolling three-and five-year periods. Watch Wellington Diversified Inflation Hedges has been put on negative watch as it has underperformed its benchmark consistently over longer-term periods. Manager Compliance Checklist First Quarter 2016 20 Asset Class Diversification 21 March 31, 2016 : $242,557,975 Target Allocation Actual Allocation Allocation Differences 0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 % Cash Account $1,529,113 Real Asset Composite $8,001,220 Real Estate Composite $15,394,499 Hedge Funds Composite $33,071,475 Fixed Income Composite $86,631,966 Emerging International Equity Composite $7,838,727 Developed International Equity Composite $24,888,192 Small-Cap Equity Composite $15,088,546 Large-Cap Equity Composite $50,114,237 0.0% 5.0% 5.0% 15.0% 35.0% 4.0% 10.0% 6.0% 20.0% 0.6% 3.3% 6.3% 13.6% 35.7% 3.2% 10.3% 6.2% 20.7% 0.6% -1.7 % 1.3% -1.4 % 0.7% -0.8 % 0.3% 0.2% 0.7% Asset Class Diversification Investment Policy Allocation As of March 31, 2016 22 Asse t Cl ass/Type Manage r Total Asse ts ($,mil.)as of 3/31/2016 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 12/31/2015 La rge -Ca p Equity $50.1 20.7%20.0%+ 0 .7 %15 -25%$51.3 Co re Va nguard Ins titutional $15.8 6.5%6.0%+ 0.5%$15.6 Va lu e Va nguard Windsor $12.2 5.0%5.0%+ 0.0%$12.8 Gr owth T. Rowe Price $11.9 4.9%5.0%- 0.1%$12.6 Gr owth Ho lla nd $10.2 4.2%4.0%+ 0.2%$10.3 Small-Ca p Equity $15.1 6.2%6.0%+ 0 .2 %2 -8%$15.0 Va lu e Kennedy $7.9 3.3%3.0%+ 0.3%$7.5 Gr owth Time sSquare $7.2 3.0%3.0%- 0.0%$7.5 Inte rna ti ona l Equity $32.7 13.5%14.0%- 0 .5 %$33.0 Developed Morgan Stanley $24.9 10.3%10.0%+ 0.3%5 -15%$25.5 Eme rg in g Marke ts Morgan Stanley $7.8 3.2%4.0%- 0.8%2 -8%$7.5 Fix ed Income $86.6 35.7%35.0%+ 0 .7 %$86.1 Asset Class Diversification Investment Program Structure As of March 31, 2016 Fix ed Income $86.6 35.7%35.0%+ 0 .7 %$86.1 Do me stic Core In come Res earch $34.3 14.1%14.0%+ 0.1%10 -20%$35.3 Global Br andywin e Glo bal $23.5 9.7%9.0%+ 0.7%4 -14%$21.6 Do me stic Core Plu s Pru dential $28.9 11.9%12.0%- 0.1%10 -20%$29.2 He dge Funds $33.1 13.6%15.0%- 1 .4 %0 -20%$34.5 Hedge Funds Li ghthouse Glo bal $17.3 7.1%7.5%- 0.4%$18.1 Hedge Funds En trust $15.8 6.5%7.5%- 1.0%$16.3 Real Es tate $15.4 6.3%5.0%+ 1 .3 %$15.1 Re al Es tate UBS Tru mb ull $15.4 6.3%5.0%+ 1.3%0 -10%$15.1 Real As set $8.0 3.3%5.0%- 1 .7 %$7.6 Re al Asset Wellin gton $8.0 3.3%5.0%- 1.7%0 -10%$7.6 Ca sh $1.5 0.6%0.0%+ 0 .6 %$1.7 Ca sh Account Ca sh Account $1.5 0.6%0.0%+ 0.6%$1.7 Tota l $242.6 100.0%100.0%+ 0 .0 %$244.3 *Totals may not add to exactly 100.0% due to rounding. 23 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)87,026 80,673 Median Mkt. Cap ($M)11,786 1,355 Price/Earnings ratio 19.1 17.1 Price/Book ratio 3.1 2.6 5 Yr. EPS Growth Rate (%)9.6 7.3 Current Yield (%)2.1 2.6 Debt to Equity 0.9 0.7 Number of Stocks 925 8,633 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 (%) Amazon.com Inc 1.5 0.6 0.9 -12.2 Microsoft Corp 1.4 1.0 0.3 0.3 Apple Inc 1.3 1.5 -0.2 4.1 Google Inc (Class C)1.2 0.6 0.7 -1.8 Reckitt Benckiser Group PLC 1.2 0.2 1.1 4.5 Unilever NV 1.2 0.2 1.0 3.9 British American Tobacco PLC 1.2 0.3 0.9 8.5 Nestle SA, Cham Und Vevey 1.2 0.6 0.6 0.7 Visa Inc 1.0 0.4 0.7 -1.2 Facebook Inc 1.0 0.6 0.4 9.0 % of Portfolio 12.2 5.8 Distribution of Market Capitalization (%) Equity Composite MSCI AC World IMI 0.0 15.0 30.0 45.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 30.8 30.1 23.7 15.5 0.0 35.5 28.9 21.6 12.0 2.0 Sector Weights (%) Equity Composite MSCI AC World IMI 0.0 5.0 10.0 15.0 20.0 25.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.1 2.0 1.7 2.3 3.7 18.2 11.4 14.1 15.0 3.5 13.4 14.6 0.0 0.0 3.4 3.6 5.1 15.1 11.4 11.4 20.7 6.1 9.9 13.2 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World IMI As of March 31, 2016 24 Total Equity Composite MSCI AC World IMI Australia 0.0 2.3 Hong Kong 0.3 1.1 Japan 3.9 7.9 New Zealand 0.0 0.1 Singapore 0.0 0.5 Pacific 4.2 11.9 Austria 0.1 0.1 Belgium 0.2 0.5 Finland 0.0 0.4 France 3.0 3.1 Germany 2.1 2.9 Ireland 0.4 0.2 Italy 0.1 0.8 Netherlands 2.5 1.0 Portugal 0.1 0.1 Spain 0.0 1.0 EMU 8.4 10.1 Denmark 0.0 0.6 Norway 0.0 0.2 Sweden 0.3 1.1 Switzerland 3.7 2.9 United Kingdom 9.3 6.5 Europe ex EMU 13.3 11.4 Canada 0.8 3.1 United States 63.6 52.7 Israel 0.0 0.3 Middle East 0.0 0.3 Developed Markets 90.3 89.6 Total Equity Composite MSCI AC World IMI Brazil 0.4 0.6 Cayman Islands 0.0 0.0 Chile 0.0 0.1 Colombia 0.1 0.0 Mexico 0.6 0.5 Peru 0.1 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.3 1.3 China 1.8 2.6 India 0.8 0.9 Indonesia 0.3 0.3 Korea 1.0 1.7 Malaysia 0.0 0.4 Philippines 0.3 0.1 Taiwan 0.9 1.3 Thailand 0.1 0.2 EM Asia 5.2 7.5 Czech Republic 0.1 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.2 0.1 Qatar 0.0 0.1 Russia 0.1 0.3 South Africa 0.5 0.7 Turkey 0.1 0.2 United Arab Emirates 0.0 0.1 EM Europe + Middle East + Africa 1.1 1.7 Emerging Markets 7.5 10.4 Frontier Markets 0.1 0.0 Cash 2.0 0.0 Other 0.2 0.0 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World IMI As of March 31, 2016 25 Portfolio Characteristics Maturity Distribution (%) Credit Quality Distribution (%) Risk Characteristics - 3 Years Sector Distribution (%) Portfolio Benchmark Effective Duration 5.6 4.0 Avg. Maturity 8.4 4.3 Avg. Quality A AA Yield To Maturity (%)3.3 2.1 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBNot RatedBBelow B64.6 5.9 13.4 16.1 0.0 0.0 0.0 0.0 36.2 9.9 19.0 23.4 6.8 0.6 3.6 0.6 Consistency Sharpe Ratio Information Ratio Up Market Capture Down Market Capture Total Fixed Income Composite 44.4 0.2 -0.3 116.8 172.8 Barclays Intermediate U.S. Government/Credit 0.0 0.8 N/A 100.0 100.0 90 Day U.S. Treasury Bill 47.2 N/A -0.8 1.0 -0.6 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 38.3 27.8 33.9 0.0 0.0 6.8 17.2 26.9 28.5 6.2 14.3 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesCreditMBSABSMunicipalsCashOtherCMBSAgenciesHigh YieldNon-USEmerging57.1 25.8 0.0 0.0 0.0 0.0 0.0 0.0 4.8 0.0 10.2 2.1 16.6 31.0 2.0 10.4 1.7 1.5 7.1 8.7 0.1 5.1 9.5 6.4 Fixed Income Portfolio - Characteristics Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2016 26 Manager Evaluation 27 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2011 - Mar - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Vanguard Windsor II 0.2 0.2 -2.9 8.6 9.7 5.9 -3.1 11.3 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 Russell 1000 Value Index 1.6 1.6 -1.5 9.4 10.2 5.7 -3.8 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 IM U.S. Large Cap Value Equity 0.2 0.2 -3.6 8.3 8.6 5.0 -3.8 10.9 32.7 15.3 -2.3 12.6 24.1 -36.8 1.7 17.9 Vanguard Windsor II Rank 48 48 40 42 29 28 33 40 76 28 14 83 27 49 45 44 Vanguard Windsor II Russell 1000 Value Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 9.0 9.5 10.0 10.5 11.0 Return (%)12.3 12.6 12.9 13.2 13.5 13.8 14.1 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 -3.7 0.2 0.3 -0.8 2.5 0.3 5.7 -7.9 -3.7 2.1 5.0 Allocation (Total: -0.1) 0.0 0.6 1.2-0.6-1.2 -0.5 0.0 0.0 -0.1 0.0 0.0 -0.2 0.5 -0.1 0.1 0.1 Stock (Total: -1.7) 0.0 0.9 1.8-0.9-1.8-2.7 0.0 0.1 0.0 0.1 0.1 -0.1 -0.1 -1.3 -0.7 0.4 -0.1 Vanguard Windsor II 0.0 0.5 1.0-0.5-1.0-1.5 -0.5 0.1 0.0 0.0 0.2 -0.1 -0.3 -0.7 -0.8 0.4 0.0 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of March 31, 2016 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)112,364 110,516 Median Mkt. Cap ($M)19,224 7,119 Price/Earnings ratio 15.8 17.3 Price/Book ratio 2.6 2.1 5 Yr. EPS Growth Rate (%)6.2 2.6 Current Yield (%)2.7 2.6 Debt to Equity 1.4 1.0 Number of Stocks 279 684 Beta (5 Years, Monthly)0.97 1.00 Consistency (5 Years, Monthly)45.00 1.00 Sharpe Ratio (5 Years, Monthly)0.82 0.84 Information Ratio (5 Years, Monthly)-0.27 - Up Market Capture (5 Years, Monthly)97.11 - Down Market Capture (5 Years, Monthly)98.59 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Microsoft Corp 3.3 2.0 1.3 0.3 Medtronic PLC 3.1 1.1 2.0 -2.0 JPMorgan Chase & Co 2.8 2.2 0.6 -9.7 Philip Morris International Inc 2.7 0.8 2.0 12.8 Pfizer Inc 2.7 1.9 0.9 -7.2 Wells Fargo & Co 2.6 2.3 0.3 -10.3 Johnson & Johnson 2.3 2.7 -0.4 6.1 Bank of America Corp 2.3 1.4 0.8 -19.4 Raytheon Co.2.2 0.4 1.8 -1.0 Honeywell International Inc 2.2 0.0 2.2 8.8 % of Portfolio 26.1 14.7 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 - $5 Bil 42.0 31.0 21.2 5.8 49.7 33.7 13.0 3.6 Sector Weights (%) Vanguard Windsor II Russell 1000 Value Index 0.0 8.0 16.0 24.0 32.0 40.0 Other Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.3 3.0 3.2 2.1 14.2 11.2 17.8 19.7 9.1 8.8 10.6 0.0 7.0 2.9 2.8 11.6 10.4 11.7 28.2 12.7 7.4 5.3 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of March 31, 2016 29 Historical Performance Three Year Rolling Percentile Ranking Relative Performance Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Vanguard Institutional Index 1.3 1.3 1.8 11.8 11.6 7.0 1.4 13.7 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 S&P 500 Index 1.3 1.3 1.8 11.8 11.6 7.0 1.4 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 IM U.S. Large Cap Equity -0.4 -0.4 -1.8 10.1 9.8 6.1 0.0 10.9 32.6 15.3 -1.4 13.4 28.0 -37.8 6.8 13.1 Vanguard Institutional Index Rank 20 20 14 23 16 25 41 15 53 41 19 33 58 40 59 30 Vanguard Institutional Index S&P 500 Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 Cumulative Annualized Over/Under Relative Performance Over/Under Performance 0.0 0.1 0.2 -0.1 -0.2Return (%)6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Vanguard Institutional Index 11.6 12.4 11.8 0.0 1.0 0.9 0.0 -2.7 7.0 10.0 16y 6m S&P 500 Index 11.6 12.4 11.8 0.0 1.0 1.0 0.0 N/A 6.9 0.0 16y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.4 -1.0 0.0 20.0 16y 6m Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of March 31, 2016 30 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)137,960 137,949 Median Mkt. Cap ($M)18,472 18,411 Price/Earnings ratio 19.3 19.3 Price/Book ratio 3.2 3.2 5 Yr. EPS Growth Rate (%)7.6 7.2 Current Yield (%)2.2 2.2 Debt to Equity 0.9 0.9 Number of Stocks 505 504 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)30.00 1.00 Sharpe Ratio (5 Years, Monthly)0.96 0.96 Information Ratio (5 Years, Monthly)-1.64 - Up Market Capture (5 Years, Monthly)99.93 - Down Market Capture (5 Years, Monthly)100.06 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 3.4 3.4 0.0 4.1 Microsoft Corp 2.4 2.4 0.0 0.3 Exxon Mobil Corp 1.9 1.9 0.0 8.2 Johnson & Johnson 1.7 1.7 0.0 6.1 General Electric Co 1.7 1.7 0.0 2.9 Facebook Inc 1.5 1.5 0.0 9.0 Berkshire Hathaway Inc 1.4 1.5 -0.1 7.5 AT&T Inc 1.3 1.3 0.0 15.4 Amazon.com Inc 1.3 1.3 0.0 -12.2 Wells Fargo & Co 1.2 1.2 0.0 -10.3 % of Portfolio 17.8 17.8 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 50.5 33.2 15.9 0.5 50.5 33.2 15.9 0.5 Sector Weights (%) Vanguard Institutional Index S&P 500 Index 0.0 5.0 10.0 15.0 20.0 25.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.4 2.8 2.8 20.8 10.1 14.3 15.6 6.8 10.4 12.9 3.4 2.8 2.8 20.8 10.1 14.3 15.6 6.8 10.4 12.9 Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of March 31, 2016 31 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2011 - Mar - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 T. Rowe Price LCC Growth -5.5 -5.5 -0.7 14.6 13.1 8.5 11.3 9.3 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 Russell 1000 Growth Index 0.7 0.7 2.5 13.6 12.4 8.3 5.7 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 IM U.S. Large Cap Growth Equity -2.7 -2.7 -1.2 11.8 10.5 6.9 5.5 10.5 34.1 14.9 -1.8 15.1 35.0 -39.8 13.8 6.7 T. Rowe Price LCC Growth Rank 86 86 44 8 6 11 5 67 6 18 20 36 20 72 56 24 T. Rowe Price LCC Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 11.2 11.9 12.6 13.3 14.0 14.7 Return (%)11.2 11.9 12.6 13.3 14.0 14.7 15.4 16.1 Risk (Standard Deviation %) Russell 1000 Growth Index T. Rowe Price LCC 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 0.0 -2.0 -2.2 -0.6 -0.7 8.7 0.6 -0.3 -8.6 5.2 Allocation (Total: -1.6) 0.0 0.5-0.5-1.0-1.5 0.0 -0.3 0.0 0.0 0.0 -0.8 0.0 0.0 -0.4 0.0 Stock (Total: -4.7) 0.0 0.8-0.8-1.6-2.4 0.0 0.0 0.0 -0.9 -0.5 -1.4 -0.5 0.0 -0.1 -1.5 T. Rowe Price LCC Growth 0.0 0.9 1.8-0.9-1.8-2.7-3.6 0.0 -0.3 0.0 -0.9 -0.5 -2.2 -0.5 0.1 -0.5 -1.4 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of March 31, 2016 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)133,125 136,286 Median Mkt. Cap ($M)30,115 8,715 Price/Earnings ratio 23.9 21.6 Price/Book ratio 4.8 5.3 5 Yr. EPS Growth Rate (%)11.6 12.4 Current Yield (%)0.8 1.6 Debt to Equity 0.8 -0.2 Number of Stocks 136 635 Beta (5 Years, Monthly)1.11 1.00 Consistency (5 Years, Monthly)56.67 1.00 Sharpe Ratio (5 Years, Monthly)0.92 1.00 Information Ratio (5 Years, Monthly)0.22 - Up Market Capture (5 Years, Monthly)108.19 - Down Market Capture (5 Years, Monthly)109.35 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 7.0 2.2 4.8 -12.2 Google Inc (Class C)4.5 2.1 2.4 -1.8 Facebook Inc 4.4 2.3 2.1 9.0 Priceline Group Inc (The)3.7 0.6 3.0 1.1 Microsoft Corp 3.2 2.4 0.8 0.3 Danaher Corp 3.1 0.1 3.0 2.3 Visa Inc 2.9 1.4 1.5 -1.2 Alphabet Inc 2.7 2.1 0.6 -1.9 MasterCard Inc 2.6 0.9 1.7 -2.7 Allergan PLC 2.3 0.5 1.8 -14.2 % of Portfolio 36.4 14.6 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 47.9 29.3 19.3 3.5 45.8 43.0 11.1 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 1.0 29.6 10.9 22.6 6.5 0.0 3.2 26.2 0.1 2.4 3.5 28.2 11.1 15.6 5.6 0.5 11.7 21.3 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of March 31, 2016 33 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2011 - Mar - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Holland Large Cap Growth -1.5 -1.5 1.3 10.7 10.4 7.9 7.1 7.2 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 Russell 1000 Growth Index 0.7 0.7 2.5 13.6 12.4 8.3 5.7 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 IM U.S. Large Cap Growth Equity -2.7 -2.7 -1.2 11.8 10.5 6.9 5.5 10.5 34.1 14.9 -1.8 15.1 35.0 -39.8 13.8 6.7 Holland Large Cap Growth Rank 34 34 19 72 54 23 33 91 82 74 5 49 31 5 80 54 Holland Large Cap Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 6.0 8.0 10.0 12.0 14.0 16.0 Return (%)11.1 11.4 11.7 12.0 12.3 12.6 12.9 13.2 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 0.0 -2.1 -2.2 1.7 2.1 -2.5 -1.6 -0.5 -0.8 1.9 4.0 Allocation (Total: 0.0) 0.0 0.4 0.8-0.4-0.8 0.0 -0.3 0.0 0.0 0.1 0.2 0.0 0.0 0.0 0.0 0.0 Stock (Total: -1.8) 0.0 0.8-0.8-1.6 0.0 0.0 -0.1 0.3 -0.3 0.2 -0.3 0.0 -0.7 -0.9 0.0 Holland Large Cap Growth 0.0 0.6 1.2-0.6-1.2-1.8 0.0 -0.3 -0.1 0.3 -0.3 0.4 -0.3 0.0 -0.7 -0.9 0.0 Manager Evaluation Holland Large Cap Growth vs. Russell 1000 Growth Index As of March 31, 2016 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)121,031 136,286 Median Mkt. Cap ($M)33,453 8,715 Price/Earnings ratio 23.7 21.6 Price/Book ratio 5.1 5.3 5 Yr. EPS Growth Rate (%)13.1 12.4 Current Yield (%)1.2 1.6 Debt to Equity 0.7 -0.2 Number of Stocks 52 635 Beta (5 Years, Monthly)1.03 1.00 Consistency (5 Years, Monthly)50.00 1.00 Sharpe Ratio (5 Years, Monthly)0.82 1.00 Information Ratio (5 Years, Monthly)-0.59 - Up Market Capture (5 Years, Monthly)96.67 - Down Market Capture (5 Years, Monthly)107.98 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 4.7 6.0 -1.3 4.1 Visa Inc 4.7 1.4 3.3 -1.2 Google Inc (Class C)4.5 2.1 2.5 -1.8 Amazon.com Inc 4.1 2.2 1.9 -12.2 Priceline Group Inc (The)3.5 0.6 2.8 1.1 Adobe Systems Inc 3.3 0.5 2.9 -0.1 Southwest Airlines Co.3.3 0.3 3.0 4.2 CVS Health Corp 3.0 1.0 2.0 6.6 Honeywell International Inc 2.7 0.8 1.9 8.8 United Parcel Service Inc 2.7 0.7 2.0 10.5 % of Portfolio 36.4 15.5 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 47.9 29.3 19.3 3.5 0.0 41.5 32.1 19.2 3.2 3.9 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 3.9 0.0 0.9 1.2 30.0 13.1 13.6 3.7 0.0 10.7 22.7 0.0 0.1 2.4 3.5 28.2 11.1 15.6 5.6 0.5 11.7 21.3 Manager Evaluation Holland Capital Management vs. Russell 1000 Growth Index As of March 31, 2016 35 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2011 - Mar - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Kennedy Mid Cap Value 5.0 5.0 -8.5 8.7 8.7 N/A -9.9 15.8 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A N/A Russell Midcap Value Index 3.9 3.9 -3.4 9.9 10.5 7.2 -4.8 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 IM U.S. Mid Cap Value Equity 2.7 2.7 -4.7 9.1 9.2 6.1 -3.9 10.7 35.6 16.0 -4.1 22.5 35.7 -38.1 0.6 14.7 Kennedy Mid Cap Value Rank 14 14 88 59 56 N/A 89 5 72 87 21 10 52 1 N/A N/A Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 6.0 8.0 10.0 12.0 14.0 Return (%)13.5 14.0 14.5 15.0 15.5 16.0 16.5 17.0 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value 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 -1.5 -1.6 -1.8 2.7 3.0 -3.5 -3.1 -2.5 -0.7 4.3 4.7 Allocation (Total: -0.1) 0.0 0.3 0.6-0.3-0.6 -0.2 -0.1 -0.1 -0.1 0.1 0.3 0.1 0.0 0.0 0.0 -0.2 Stock (Total: 1.5) 0.0 0.5 1.0 1.5-0.5-1.0 0.2 0.0 0.8 -0.2 0.1 0.1 -0.1 0.1 0.4 0.2 0.0 Kennedy Mid Cap Value 0.0 0.4 0.8 1.2-0.4-0.8 0.0 -0.1 0.7 -0.2 0.2 0.4 0.0 0.1 0.3 0.2 -0.2 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of March 31, 2016 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)8,626 11,744 Median Mkt. Cap ($M)7,582 5,665 Price/Earnings ratio 19.4 19.2 Price/Book ratio 2.2 2.0 5 Yr. EPS Growth Rate (%)11.4 6.2 Current Yield (%)2.1 2.4 Debt to Equity 0.8 1.1 Number of Stocks 60 554 Beta (5 Years, Monthly)1.11 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)0.63 0.82 Information Ratio (5 Years, Monthly)-0.44 - Up Market Capture (5 Years, Monthly)102.02 - Down Market Capture (5 Years, Monthly)114.63 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Reinsurance Group of America Inc.2.7 0.2 2.5 13.0 UGI Corp 2.5 0.2 2.3 20.0 Xcel Energy Inc.2.4 0.7 1.7 17.4 Reliance Steel & Aluminum Co 2.3 0.2 2.2 20.2 Whirlpool Corp 2.3 0.4 1.9 23.5 Concho Resources Inc 2.3 0.4 1.9 8.8 Corporate Office Properties Trust Inc 2.3 0.1 2.2 21.5 DTE Energy Co 2.3 0.5 1.8 14.0 ON Semiconductor Corp 2.3 0.0 2.2 -2.1 Teradyne Inc.2.2 0.2 2.1 4.8 % of Portfolio 23.7 3.0 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 15.3 66.0 18.7 0.0 6.9 67.0 21.4 4.7 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 4.7 8.7 0.0 3.7 13.3 14.0 3.3 30.0 5.3 1.7 15.3 0.0 13.2 1.7 6.1 9.5 9.7 5.6 33.0 8.3 4.4 8.4 Manager Evaluation Kennedy Capital Management vs. Russell Midcap Value Index As of March 31, 2016 37 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2011 - Mar - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 TimesSquare Small Cap Growth -3.9 -3.9 -9.4 7.1 8.4 7.9 1.0 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 Russell 2000 Growth Index -4.7 -4.7 -11.8 7.9 7.7 6.0 -1.4 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 IM U.S. Small Cap Growth Equity -4.5 -4.5 -12.5 6.2 6.9 5.0 -3.3 1.7 43.8 12.0 -3.9 26.9 33.1 -42.6 7.8 9.7 TimesSquare Small Cap Growth Rank 39 39 25 40 27 2 21 86 26 37 8 44 37 1 36 15 TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 6.6 7.2 7.8 8.4 9.0 9.6 Return (%)17.1 17.4 17.7 18.0 18.3 18.6 18.9 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 Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 0.1 0.9 -1.6 4.4 8.7 -12.5 -2.4 0.0 -1.2 -1.4 5.2 Allocation (Total: 2.4) 0.0 1.0 2.0 3.0-1.0 0.0 0.0 -0.1 -0.1 0.0 0.9 1.7 -0.1 0.0 -0.1 -0.1 0.3 Stock (Total: -1.7) 0.0 2.0-2.0-4.0 0.0 0.0 0.1 -0.1 -0.5 -1.2 0.8 -0.5 0.2 0.1 -0.7 0.0 TimesSquare Small Cap Growth 0.0 2.0 4.0-2.0-4.0 0.0 0.0 0.0 -0.2 -0.4 -0.3 2.5 -0.6 0.2 0.1 -0.8 0.3 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2016 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)2,057 2,029 Median Mkt. Cap ($M)1,713 693 Price/Earnings ratio 25.1 23.3 Price/Book ratio 3.4 3.5 5 Yr. EPS Growth Rate (%)13.8 13.9 Current Yield (%)0.6 0.8 Debt to Equity 0.3 0.5 Number of Stocks 98 1,181 Beta (5 Years, Monthly)0.87 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)0.59 0.51 Information Ratio (5 Years, Monthly)0.07 - Up Market Capture (5 Years, Monthly)87.64 - Down Market Capture (5 Years, Monthly)80.66 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) ExlService Holdings Inc 2.3 0.2 2.1 15.3 Bright Horizons Family Solutions Inc 2.1 0.3 1.8 -3.0 Ultimate Software Group Inc 2.1 0.0 2.1 -1.0 MKS Instruments Inc 2.0 0.0 2.0 5.1 Albany International Corp.2.0 0.0 2.0 3.3 PolyOne Corp 1.9 0.3 1.6 -4.4 Burlington Stores Inc 1.9 0.5 1.4 31.1 On Assignment Inc 1.8 0.2 1.6 -17.9 Littelfuse Inc 1.8 0.3 1.5 15.3 Monro Muffler Brake Inc 1.7 0.3 1.5 8.2 % of Portfolio 19.7 2.2 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 1.9 98.1 0.04.3 90.2 5.4 Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth 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 1.0 5.4 0.0 1.1 2.4 29.1 22.2 14.2 5.2 1.1 2.6 15.7 0.0 0.0 0.1 1.0 4.3 25.5 14.1 23.7 8.4 1.0 3.6 18.2 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2016 39 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2011 - Mar - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Morgan Stanley International Equity -2.5 -2.5 -6.8 1.5 3.4 2.8 0.4 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 MSCI EAFE Index -3.0 -3.0 -8.3 2.2 2.3 1.8 -0.8 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 IM International Equity -0.7 -0.7 -8.7 1.3 1.2 2.1 -2.8 -4.5 17.4 18.6 -14.9 12.9 36.5 -46.0 13.2 26.2 Morgan Stanley International Equity Rank 71 71 34 48 21 36 31 68 38 40 7 89 92 4 70 78 Morgan Stanley International Equity MSCI EAFE Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 1.0 2.0 3.0 4.0 5.0 Return (%)12.4 12.8 13.2 13.6 14.0 14.4 14.8 15.2 Risk (Standard Deviation %) MSCI EAFE Index Morgan Stanley International Equity 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 -3.7 -1.7 -0.2 -0.7 -5.1 3.6 -7.7 -1.2 17.4 -3.0 2.3 Allocation (Total: 1.1) 0.0 0.8 1.6-0.8 -0.1 -0.1 0.0 0.0 -0.2 -0.1 0.5 -0.1 1.1 0.0 0.1 Stock (Total: -0.2) 0.0 0.8 1.6-0.8-1.6 0.0 -0.1 0.6 -0.2 0.1 0.1 -0.7 -0.3 0.5 -0.3 0.0 Morgan Stanley International Equity 0.0 0.7 1.4 2.1 2.8-0.7-1.4 -0.1 -0.1 0.6 -0.2 -0.1 0.0 -0.2 -0.3 1.6 -0.2 0.1 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2016 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 0.3 0.6 0.9 1.2 1.5 1.8-0.3-0.6-0.9-1.2-1.5-1.8 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -0.8 0.0 0.9 0.1 0.5 0.1 0.1 0.1 Performance Attribution Average Active Weight 0.0 15.0 30.0-15.0-30.0 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -16.3 0.0 1.4 -0.8 16.5 -3.7 0.7 2.3 Allocation (Total: 0.2) 0.0 0.2 0.4-0.2-0.4 0.1 0.0 -0.1 0.1 0.0 0.0 0.1 0.1 Stock (Total: 0.7) 0.0 0.7 1.4 2.1-0.7-1.4-2.1 -0.9 0.0 1.0 0.0 0.5 0.1 0.0 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index 1 Quarter Ending March 31, 2016 41 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)71,450 53,327 Median Mkt. Cap ($M)26,211 8,940 Price/Earnings ratio 18.3 15.4 Price/Book ratio 2.9 2.2 5 Yr. EPS Growth Rate (%)8.5 6.0 Current Yield (%)3.0 3.4 Debt to Equity 1.1 1.2 Number of Stocks 63 928 Beta (5 Years, Monthly)0.89 1.00 Consistency (5 Years, Monthly)45.00 1.00 Sharpe Ratio (5 Years, Monthly)0.30 0.22 Information Ratio (5 Years, Monthly)0.25 - Up Market Capture (5 Years, Monthly)95.12 - Down Market Capture (5 Years, Monthly)89.58 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Reckitt Benckiser Group PLC 4.8 0.5 4.3 4.5 Unilever NV 4.7 0.6 4.1 3.9 British American Tobacco PLC 4.6 0.9 3.7 8.5 Nestle SA, Cham Und Vevey 4.6 2.0 2.6 0.7 L'Oreal S.A., Paris 3.6 0.4 3.2 6.4 Novartis AG 3.5 1.4 2.1 -12.9 Glaxosmithkline PLC 3.5 0.8 2.7 3.4 Japan Tobacco Inc 3.5 0.4 3.1 12.3 Imperial Brands PLC 3.2 0.5 2.7 6.5 Roche Holding AG 3.1 1.5 1.7 -7.6 % of Portfolio 39.0 8.9 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 23.1 42.1 29.6 5.1 0.0 39.4 35.7 19.8 3.0 2.1 Sector Weights (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.1 0.0 3.0 6.9 6.4 8.1 15.5 16.2 2.1 31.4 8.3 0.0 3.9 5.1 6.7 5.4 13.3 11.5 23.7 4.7 12.6 13.2 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2016 42 Morgan Stanley International Equity MSCI EAFE Index Australia 0.0 7.1 Hong Kong 0.6 3.2 Japan 15.0 22.4 New Zealand 0.0 0.2 Singapore 0.0 1.4 Pacific 15.6 34.2 Austria 0.0 0.2 Belgium 0.8 1.4 Finland 0.0 1.0 France 10.4 10.0 Germany 8.1 9.1 Ireland 1.1 0.6 Italy 0.4 2.2 Netherlands 8.6 3.1 Portugal 0.0 0.2 Spain 0.0 3.1 EMU 29.3 30.9 Denmark 0.0 2.0 Norway 0.0 0.6 Sweden 1.0 2.9 Switzerland 14.3 9.1 United Kingdom 34.7 19.3 Europe ex EMU 50.0 33.9 Canada 2.1 0.0 United States 0.0 0.2 Israel 0.0 0.8 Middle East 0.0 0.8 Developed Markets 97.1 100.0 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 0.8 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 0.8 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 0.8 0.0 Frontier Markets 0.0 0.0 Cash 2.1 0.0 Other 0.0 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of March 31, 2016 43 Historical Performance Buy and Hold Attribution Risk and Return (Apr - 2011 - Mar - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Morgan Stanley Emerging Markets 4.6 4.6 -9.1 -4.1 -2.5 2.7 -10.3 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 MSCI Emerging Markets Index 5.7 5.7 -12.0 -4.5 -4.1 3.0 -14.9 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 IM Emerging Markets Equity 3.7 3.7 -11.5 -4.7 -4.1 2.4 -14.2 -3.0 -1.4 18.8 -19.5 18.3 72.7 -54.6 36.8 32.3 Morgan Stanley Emerging Markets Rank 40 40 24 42 26 42 25 69 46 32 35 48 62 69 22 12 Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 -7.5 -6.0 -4.5 -3.0 -1.5 0.0 1.5 Return (%)12.8 13.6 14.4 15.2 16.0 16.8 17.6 18.4 Risk (Standard Deviation %) MSCI Emerging Markets Index Morgan Stanley Emerging Markets Average Active Weight 0.0 5.0 10.0-5.0-10.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.9 0.1 -0.7 -0.3 2.5 -0.6 -3.2 -4.6 1.4 5.6 2.6 Allocation (Total: -0.8) 0.0 0.3-0.3-0.6-0.9 -0.1 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.4 0.0 -0.2 -0.1 Stock (Total: -0.1) 0.0 0.4 0.8-0.4-0.8 0.0 0.0 -0.2 -0.3 0.0 0.0 -0.2 0.0 0.2 0.3 0.0 Morgan Stanley Emerging Markets 0.0 0.3 0.6-0.3-0.6-0.9 -0.1 0.1 -0.3 -0.3 0.0 0.0 -0.1 -0.5 0.2 0.2 -0.1 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2016 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 0.6-0.2-0.4-0.6-0.8-1.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -0.1 0.2 0.0 0.0 0.0 -0.3 0.2 -0.6 -0.1 -0.1 Performance Attribution Average Active Weight 0.0 8.0 16.0-8.0-16.0-24.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash 1.5 1.8 1.4 1.2 0.7 4.4 1.8 -3.2 -12.1 2.6 Allocation (Total: 0.1) 0.0 0.3 0.6 0.9-0.3-0.6-0.9 -0.1 0.2 0.0 0.0 0.0 -0.3 0.2 -0.2 0.5 -0.1 Stock (Total: -1.0) -0.8 -0.6 -0.4 -0.2 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.4 -0.5 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index 1 Quarter Ending March 31, 2016 45 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)37,037 41,805 Median Mkt. Cap ($M)7,054 5,010 Price/Earnings ratio 13.8 12.4 Price/Book ratio 2.4 2.2 5 Yr. EPS Growth Rate (%)11.2 8.2 Current Yield (%)2.3 2.9 Debt to Equity 0.9 0.9 Number of Stocks 137 835 Beta (5 Years, Monthly)0.84 1.00 Consistency (5 Years, Monthly)56.67 1.00 Sharpe Ratio (5 Years, Monthly)-0.08 -0.14 Information Ratio (5 Years, Monthly)0.27 - Up Market Capture (5 Years, Monthly)85.92 - Down Market Capture (5 Years, Monthly)82.47 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Tencent Holdings LTD 3.8 2.9 0.9 3.8 Taiwan Semiconductor Manufacturing 2.8 3.4 -0.6 17.0 Samsung Electronics Co Ltd 2.5 3.5 -1.0 7.1 China Mobile Ltd 2.2 1.9 0.4 -1.3 Fomento Economico Mex 2.2 0.5 1.7 4.3 Naspers Ltd 1.8 1.5 0.3 2.3 China Construction Bank Corp 1.7 1.5 0.3 -6.9 Samsonite International SA 1.7 0.0 1.7 11.5 Grupo Financiero Banorte 1.6 0.4 1.2 3.8 Ashok Leyland Ltd 1.5 0.1 1.5 23.4 % of Portfolio 21.8 15.7 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 17.0 22.4 42.0 18.7 0.0 14.9 14.7 41.6 25.8 2.9 Sector Weights (%) Morgan Stanley Emerging Markets MSCI Emerging Markets 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 0.4 2.9 1.0 6.2 6.0 19.5 10.9 1.9 24.0 2.6 9.8 15.0 0.0 0.0 3.2 6.9 6.6 20.7 6.8 2.6 27.4 7.7 8.3 9.8 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2016 46 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Australia 0.0 0.0 Hong Kong 1.2 0.2 Japan 0.7 0.0 New Zealand 0.0 0.0 Singapore 0.0 0.0 Pacific 1.9 0.2 Austria 1.5 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 1.2 0.0 Portugal 0.9 0.0 Spain 0.0 0.0 EMU 3.7 0.0 Denmark 0.0 0.0 Norway 0.0 0.0 Sweden 0.0 0.0 Switzerland 0.7 0.0 United Kingdom 0.0 0.0 Europe ex EMU 0.7 0.0 Canada 0.0 0.0 United States 1.5 0.0 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 7.8 0.2 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Brazil 5.4 6.6 Cayman Islands 0.0 0.0 Chile 0.6 1.3 Colombia 0.8 0.5 Mexico 7.0 4.5 Peru 1.7 0.4 Virgin Islands 0.0 0.0 EM Latin America 15.5 13.3 China 16.0 23.6 India 9.6 8.1 Indonesia 3.6 2.7 Korea 12.0 15.6 Malaysia 0.0 3.5 Philippines 4.3 1.4 Taiwan 10.4 12.4 Thailand 1.4 2.2 EM Asia 57.3 69.5 Czech Republic 1.2 0.2 Egypt 0.4 0.2 Greece 0.0 0.4 Hungary 0.0 0.3 Poland 3.0 1.4 Qatar 0.0 1.0 Russia 0.7 3.8 South Africa 6.6 7.3 Turkey 1.2 1.6 United Arab Emirates 0.0 0.9 EM Europe + Middle East + Africa 13.1 17.0 Emerging Markets 85.9 99.8 Frontier Markets 1.2 0.0 Cash 2.9 0.0 Other 2.2 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of March 31, 2016 47 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2011 - Mar-2016) Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Income Research 2.3 2.3 1.7 1.7 3.3 5.0 0.9 3.3 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 4.5 Barclays Intermediate U.S. Government/Credit 2.4 2.4 2.1 1.8 3.0 4.3 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 IM U.S. Intermediate Duration Fixed Income 1.7 1.7 1.0 1.2 2.3 3.7 0.4 2.1 -1.3 2.9 5.0 5.3 7.4 1.5 5.6 3.7 Income Research Rank 18 18 19 19 11 5 21 33 42 18 40 24 20 52 7 10 Income Research Barclays Intermediate U.S. Government/Credit 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 2.4 2.7 3.0 3.3 3.6 3.9 Return (%)2.0 2.1 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 3.3 2.1 3.2 0.4 0.9 1.6 0.7 0.4 0.9 55.0 19y 2m Barclays Intermediate U.S. Government/Credit 3.0 2.0 2.9 0.0 1.0 1.4 0.0 N/A 0.9 0.0 19y 2m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.0 0.0 N/A 2.0 -1.4 0.0 25.0 19y 2m Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2016 48 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.9 4.0 Avg. Maturity 4.6 4.3 Avg. Quality AA-AA Yield To Maturity (%)2.2 2.1 Credit Quality Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBNot Rated64.6 5.9 13.4 16.1 0.0 0.0 49.1 7.3 18.0 25.1 0.3 0.2 Maturity Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs0.0 38.3 27.8 33.9 0.0 8.7 21.5 43.0 22.3 4.5 Sector Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS57.1 4.8 25.8 0.0 0.0 10.2 2.1 0.0 0.0 0.0 0.0 27.2 0.0 41.8 0.8 7.3 0.0 0.0 3.0 0.2 7.3 12.4 Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of March 31, 2016 49 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2011 - Mar-2016) Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Prudential Core Plus Bond Fund 3.6 3.6 1.3 3.0 5.2 6.2 -0.1 7.1 -1.0 10.6 7.6 9.6 18.7 -2.1 4.6 5.1 Barclays U.S. Aggregate 3.0 3.0 2.0 2.5 3.8 4.9 0.5 6.0 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 4.3 IM U.S. Broad Market Core+ Fixed Income 2.6 2.6 0.3 2.0 3.9 5.2 -0.5 5.4 -1.1 8.2 6.2 8.2 14.2 -2.2 5.6 4.0 Prudential Core Plus Bond Fund Rank 8 8 20 10 5 6 41 13 50 11 19 28 27 49 77 18 Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 0.0 2.0 4.0 6.0 8.0 Return (%)2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 Risk (Standard Deviation %) Barclays U.S. Aggregate Prudential Core Plus Bond Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Prudential Core Plus Bond Fund 5.2 3.4 5.1 1.5 1.0 1.5 2.0 0.7 1.7 65.0 16y 10m Barclays U.S. Aggregate 3.8 2.9 3.7 0.0 1.0 1.3 0.0 N/A 1.3 0.0 16y 10m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.0 0.0 N/A 2.9 -1.3 0.0 25.0 16y 10m Manager Evaluation Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate As of March 31, 2016 50 Portfolio Characteristics Portfolio Benchmark Effective Duration 6.0 5.5 Avg. Maturity 7.6 7.8 Avg. Quality A-AA+ Yield To Maturity (%)4.0 2.2 Credit Quality Distribution (%) Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated71.5 4.3 11.1 13.1 0.0 0.0 0.0 0.0 32.4 5.3 14.4 25.2 10.0 10.2 0.9 1.6 Maturity Distribution (%) Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 21.5 25.3 38.1 3.5 11.6 5.4 14.7 27.3 38.2 3.8 10.7 Sector Distribution (%) Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS36.6 3.6 21.0 0.0 28.2 0.5 6.5 1.8 0.0 0.0 0.0 1.8 7.1 0.3 31.6 15.2 2.5 22.5 1.4 5.8 1.0 0.4 0.9 11.4 Manager Evaluation Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate As of March 31, 2016 51 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2011 - Mar-2016) Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Brandywine Global Opportunistic Fixed Income 8.7 8.7 -0.1 0.7 4.3 6.5 -8.4 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 Citigroup World Government Bond Index 7.1 7.1 5.9 0.5 1.2 4.2 -3.6 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 IM Global Fixed Income 3.2 3.2 0.5 0.2 1.8 4.2 -3.7 1.9 -2.5 7.4 4.0 6.1 12.1 -2.5 7.4 5.7 Brandywine Global Opportunistic Fixed Income Rank 1 1 55 39 9 1 97 11 72 5 8 1 23 73 2 1 Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0 25 50 75 100Return Percentile Rank6/06 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 3/16 -3.0 0.0 3.0 6.0 9.0 Return (%)4.8 5.1 5.4 5.7 6.0 6.3 6.6 6.9 Risk (Standard Deviation %) Citigroup World Government Bond Index Brandywine Global Opportunistic Fixed Income Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Brandywine Global Opportunistic Fixed Income 4.3 6.3 4.3 3.4 0.8 0.7 4.5 0.7 3.0 70.0 11y 3m Citigroup World Government Bond Index 1.2 5.4 1.2 0.0 1.0 0.2 0.0 N/A 3.1 0.0 11y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.4 -0.2 0.0 55.0 11y 3m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of March 31, 2016 52 Portfolio Characteristics Portfolio Benchmark Effective Duration 7.7 7.8 Avg. Maturity 14.9 8.7 Avg. Quality A AA- Yield To Maturity (%)4.0 0.8 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 15.0 30.0 45.0 60.0 AAAAAABBBBBBBelow B18.5 44.2 25.0 12.4 0.0 0.0 0.0 22.0 19.5 26.0 18.6 12.2 0.7 1.0 Maturity Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 24.0 19.4 27.2 14.2 15.3 5.9 14.1 3.1 25.6 11.7 39.6 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 25.0 50.0 75.0 100.0 TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther32.6 0.0 0.0 0.0 67.4 0.0 0.0 0.0 0.0 12.8 14.4 0.1 3.0 33.5 16.5 0.7 4.8 14.3 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of March 31, 2016 53 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2011 - Mar-2016) Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Lighthouse Global Long/Short Fund Limited -4.6 -4.6 -1.2 6.7 5.7 5.2 7.4 4.9 20.2 6.1 -2.1 5.2 10.1 -14.1 13.9 11.3 HFRI Equity Hedge (Total) Index -1.7 -1.7 -4.6 2.6 1.7 2.7 -1.0 1.8 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 -8.0 -16.0Active Return (%)3/04 6/05 9/06 12/07 3/09 6/10 9/11 12/12 3/14 3/16 -4.0 0.0 4.0 8.0 12.0 Return (%)4.8 5.4 6.0 6.6 7.2 7.8 8.4 9.0 9.6 Risk (Standard Deviation %) HFRI Equity Hedge (Total) Index Lighthouse Global Long/Short Fund Limited Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Lighthouse Global Long/Short Fund Limited 5.7 5.6 5.7 4.7 0.6 1.0 5.0 0.7 2.8 60.0 12y 3m HFRI Equity Hedge (Total) Index 1.7 8.1 2.0 0.0 1.0 0.2 0.0 N/A 6.1 0.0 12y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.1 -0.2 0.0 40.0 12y 3m Manager Evaluation Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index As of March 31, 2016 54 Portfolio Characteristics Portfolio Manager Count 23 Net Exposure %31.0 Leverage 112.0 # Managers Funded 1 # Managers Redeemed 0 Region Allocation (Net Geographic Exposure) Asia 13.1% Europe 24.0% Latin America 7.9% United States 55.0% Strategy Allocation Value 11.8% Trading 19.9% Event Driven 14.5% Sector Specialist 53.8% Manager Evaluation Lighthouse Global Long/Short Fund Limited As of March 31, 2016* *Portfolio Information is represented as of 12/31/2015. Data as of 3/31/2016 was not yet available at the time of report production. 55 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2011 - Mar-2016) Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Entrust Capital Diversified Fund -3.5 -3.5 -12.3 0.0 0.7 3.3 -7.4 1.8 13.2 7.4 -4.7 11.1 35.2 -26.0 9.9 12.8 HFRI Fund of Funds Composite Index -2.8 -2.8 -5.4 1.9 1.3 1.5 -0.2 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 Rolling 3 Years Active Return Quarterly Active Return 0.0 6.0 12.0 18.0 -6.0 -12.0Active Return (%)12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/16 -0.6 0.0 0.6 1.2 1.8 2.4 Return (%)3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Entrust Capital Diversified Fund 0.7 6.4 0.8 -0.9 1.2 0.1 3.4 -0.2 4.9 45.0 12y 6m HFRI Fund of Funds Composite Index 1.3 4.6 1.4 0.0 1.0 0.3 0.0 N/A 3.2 0.0 12y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.6 -0.3 0.0 30.0 12y 6m Manager Evaluation Entrust Capital Diversified Fund vs. HFRI Fund of Funds Composite Index As of March 31, 2016 56 Portfolio Characteristics Portfolio Manager Count 28 Net Exposure %46.8 Leverage 161.3 # Managers Funded 1 # Managers Redeemed 0 Region Allocation (Net Geographic Exposure) Asia 0.1% Europe 20.5% Japan 0.8% Latin America 10.0% Other 2.0%US/Canada 66.5% Strategy Allocation Trading 11.6% Special Situations 21.8% Opportunistic 14.1% Activist 24.0% Credit 25.6% Event Driven 0.2%Long/Short 2.6% Manager Evaluation Entrust Capital Diversified Fund As of March 31, 2016 57 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2011 - Mar-2016) Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 UBS Trumbull Property Fund 1.8 1.8 10.7 10.6 10.2 5.7 11.7 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 NCREIF Property Index 2.2 2.2 11.8 11.9 11.9 7.6 13.3 11.8 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 Rolling 3 Years Active Return Quarterly Active Return 0.0 5.0 10.0 -5.0 -10.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 3/16 6.0 8.0 10.0 12.0 14.0 16.0 Return (%)0.6 0.7 0.8 0.9 1.0 1.1 1.2 Risk (Standard Deviation %) NCREIF Property Index UBS Trumbull Property Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date UBS Trumbull Property Fund 10.2 1.1 9.8 -0.1 0.9 9.2 0.8 -2.0 0.0 20.0 38y 3m NCREIF Property Index 11.9 0.8 11.4 0.0 1.0 13.9 0.0 N/A 0.0 0.0 38y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.2 0.0 N/A 0.8 -13.9 0.0 0.0 38y 3m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2016 58 Portfolio Characteristics Portfolio Benchmark # Properties 214 7,323 # Investors 419 N/A Total Fund Assets ($000) ($000)18 491 Property Type UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 OfficeApartmentRetailIndustrialHotel37.1 24.3 23.1 14.4 1.1 31.0 31.0 23.0 11.0 4.0 Property Location UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 EastWestSouthMidwest33.5 36.9 20.3 9.3 37.0 36.0 14.0 13.0 Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2016* *Portfolio Information is represented as of 12/31/2015. Data as of 3/31/2016 was not yet available at the time of report production. 59 Type City Ac quis ition Da te % Occupa nc y Cos t ($000) Fa ir Ma rket Value ($000) Office Bo ston Dec-11 99%647,253$ 735,000$ Office Ne w York Ju n-06 96%663,778$ 674,000$ Re tail Ca mb rid ge May-89 95%293,153$ 575,063$ Re tail Da lla s Dec-02 94%407,609$ 526,000$ Apart me nts Ne w York Ju l-11 96%391,566$ 510,000$ Office Ne w York Ju l-11 94%205,695$ 494,397$ Office Ch ic ag o Dec-11 100%394,928$ 488,879$ Office Ne w York Se p-14 94%280,203$ 470,138$ Re tail Ch ic ag o No v-13 95%226,317$ 468,789$ As of S epte mber 30,2015* 20 La rge st Inve st me nts Manager Evaluation UBS Trumbull Property Fund As of March 31, 2016 Re tail Ch ic ag o No v-13 95%226,317$ 468,789$ Office Po rt la nd Aug-15 95%372,860$ 365,751$ Re tail Eme ry ville Aug-14 96%306,815$ 306,000$ Re tail Montebello Dec-88 95%186,702$ 296,000$ Office Se attle Oc t-84 93%233,446$ 292,000$ Office De nver Ju n-06 96%178,188$ 278,000$ Office Sa n Fra ncis co Dec-85 97%166,259$ 261,384$ Office Washin gton Ju n-15 95%246,735$ 248,000$ Office Pa sadena May-84 96%185,467$ 235,000$ Office De nver Apr-82 92%143,745$ 225,000$ Re tail Millb ury Se p-04 99%156,000$ 203,400$ Ho tel Ne w York Ju n-10 N/A 158,950$ 188,900$ All o ther in vestme nts ----10,780,946$ 12,772,787$ Total Properties 16,626,615$ 20,614,488$ *Data not yet available for most recent quarter. 60 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2011 - Mar-2016) Historical Statistics (Apr-2011 - Mar-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Wellington Diversified Inflation Hedges 5.0 5.0 -14.8 -11.4 -8.9 N/A -21.1 -12.8 -3.9 5.2 -8.6 N/A N/A N/A N/A N/A Wellington DIH Multi-Asset Inflation Index 5.3 5.3 -12.2 -9.3 -7.9 -0.5 -19.4 -11.4 -2.1 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 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 12/14 6/15 3/16 -10.8 -9.9 -9.0 -8.1 -7.2 -6.3 -5.4 Return (%)12.0 12.5 13.0 13.5 14.0 14.5 15.0 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 -8.9 14.1 -8.2 -0.2 1.1 -0.6 2.2 -0.4 13.2 45.0 6y Wellington DIH Multi-Asset Inflation Index -7.9 12.8 -7.3 0.0 1.0 -0.6 0.0 N/A 11.9 0.0 6y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.8 0.6 0.0 55.0 6y Manager Evaluation Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index As of March 31, 2016 61 Manager Evaluation We llington Diversified Inflation Hedges Sector Allocation As of March 31, 2016* Fund Composition Fund Weights Relative to Benchmark Energy 24.5% Metals & Mi ni ng 0.9% TIPS 9.8% Emerging Markets In flati on-Link ed Bonds 3.6% Cash 0.6% 10.5% 0.0% 3.4% 0.0% 5.0% 10.0% 15.0% 20.0% Global Inflation-Sensitive Equities Commodities Fixed Income & Cash Agri culture 5.3% Enduring Assets 13.7%Precious Metals 2.0% Inflati on Opportuni ti es 15.8% Commoditi es 23.8% -13.9% -2 0.0% -1 5.0% -1 0.0% -5 .0 % 0.0% Eq ui ties Fi xed In come Commo dities Cash *Portfolio Information is represented as of 12/31/2015. Data as of 3/31/2016 was not yet available at the time of report production. 62 Calendar Year Performance 63 Year To Date 2015 2014 2013 2012 2011 2010 2009 2008 2007 Total Composite 0.9 -0.7 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 Policy Benchmark 1.4 -1.4 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 8.3 Total Equity Composite -0.8 0.5 4.7 N/A N/A N/A N/A N/A N/A N/A MSCI AC World Index 0.2 -2.4 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 Domestic Equity Composite -0.8 1.9 10.1 N/A N/A N/A N/A N/A N/A N/A Russell 3000 Index 1.0 0.5 12.6 33.6 16.4 1.0 16.9 28.3 -37.3 5.1 International Equity Composite -0.9 -2.0 -5.5 N/A N/A N/A N/A N/A N/A N/A MSCI AC World ex USA Index -0.4 -5.7 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 Fixed Income Composite 4.4 -2.1 2.4 -1.7 10.9 3.8 8.7 18.9 -3.4 6.4 Barclays Intermediate U.S. Government/Credit 2.4 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 Hedge Funds Composite -4.1 N/A N/A N/A N/A N/A N/A N/A N/A N/A HFRI Fund of Funds Composite Index -2.8 -0.2 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 Calendar Year Performance Composite Performance As of March 31, 2016 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 64 Capital Markets Review 65 Capital Markets Rev iew Economy U.S.Dollar Weakens and Oil Prices Stabilize as Fed Backtracks on Rate 30 40 50 60 70 80 90 10 0 Mar-72Mar-74Mar-76Mar-78Mar-80Mar-82Mar-84Mar-86Mar-88Mar-90Mar-92Mar-94Mar-96Mar-98Mar-00Mar-02Mar-04Mar-06Mar-08Mar-10Mar-12Mar-14Mar-16PercentCapacit y Utilization Motor Ve hi cl es Oil & Gas Tot al -40 -30 -20 -10 0 10 20 Dec-14Jan-15Feb-15Mar-15Apr-15May-15Jun-15Jul-15Aug-15Sep-15Oct-15Nov-15Dec-15Jan-16Feb-16Mar-16PercentCurrencies vs USD Aus tr alia China Indi a S.Kore a Ja pan Brazi l Can ada Mexi co Capacity Utilization Source: Federal Reserve Currencies vs. U.S. Dollar Source: Bloomberg U.S.Dollar Weakens and Oil Prices Stabilize as Fed Backtracks on Rate Hike •Crude oil prices fell to a low of $26/barrel during February,but finished the quarter slightly above the year-end price.The appearance of a deal between OPEC and Russia to stabilize production halted the price decline and led the market to its more natural level around $40-50/barrel.Natural gas prices declined to levels last seen in 1994.A mild winter helped to lower heating bills,but retailers blamed the weather for lower sales of jackets,sweaters and snow removal equipment.Since the fracking revolution took off in the last decade,natural gas prices have remained low,rising with the expected cold winter outbursts. •The Federal Reserve backtracked on its outlook for 100 bps of interest rate hikes during 2016.Markets reacted so negatively during January that the Fed speculated its December rate hike may have been the proximate cause.Other central banks continue to push rates lower or expand bond purchases as global growth forecasts trend lower.Commodity prices rebounded strongly following the Fed’s revised forecast for rate hikes.With a new estimate of 50 bps in 2016 rate hikes,emerging market stocks soared on the hope that the U.S.dollar would not strengthen significantly. •The U.S.dollar grew weaker throughout the quarter as persistently weak global demand lowered prospects of monetary tightening.Stock markets remained dependent on easy money policies,especially as earnings growth rates trend lower.An ongoing industrial slowdown,excluding autos,is worrying as indicators point to a low first quarter GDP. 0 2 4 6 8 10 12 14 16 18 0 20 40 60 80 100 120 140 160 Mar-98Mar-99Mar-00Mar-01Mar-02Mar-03Mar-04Mar-05Mar-06Mar-07Mar-08Mar-09Mar-10Mar-11Mar-12Mar-13Mar-14Mar-15Mar-16Natural Gas ($/MMBtu)Oil ($/barrel)Oil and Natural Gas Prices Oil (WT I C rude) Natural Gas Source: Bloomberg Oil and Natural Gas Prices 66 0.2% 11.3% 1.3% -2.1%-2.5%-3.8%-3.0% 19.1% 12.6% 5.7% 1.9% -1.5% 3.6% 1.3% -6.7%-4.9% -9.3% -6.5% 11.8% 7.2% 2.7% 0.3% -20.0% -10.0% 0.0% 10 .0% 20 .0% 30 .0% U.S. Do lla r Return Lo ca l Curre ncy Retu rn S&P 500 Sector Returns Capital Markets Rev iew Equities 1th Quarter 2016 World Equity Returns Developed Markets Emerging Markets -5.5% -5.1% 1.3% 1.6% 2.6% 3.6% 4.0% 5.0% 5.6% 15.6% 16.6% -15.0%-10.0%-5.0%0.0%5.0%10.0%15 .0%20 .0%25 .0% Healt h Care Financial s S&P 500 Cons.Disc . Info Tech Materials Ene rgy Indus trials Cons.Staples Utilities Telecom 1Q16 1st Quarter 2016 Value vs. Growth Returns U.S.Starts Year With Modest Gains;Emerging Markets Benefit from Currency Gains vs.the U.S.Dollar •The S&P 500 finished the quarter in positive territory with a 1.3%return.While the market started the quarter down on continued fears of global instability,a weaker dollar,and ECB bond buying expansion fueled a rally in the latter part of the quarter. With the exception of financials and health care,all sectors posted gains.Defensive sectors –telecom,utilities and consumer staples –led the market. •Emerging markets posted strong gains in the first quarter,benefiting from both favorable market returns and currency gains.Latin America was the strongest performing region.Among the BRICs,Brazil and Russia both posted large gains (28.5%and 15.8%)while China and India declined (-4.8%and -2.5%).Developed markets declined 3.0%,which would have been exacerbated if the dollar hadn’t experienced weakness during the quarter. •The first quarter saw a reversal in the performance of growth and value stocks,with value outperforming growth,especially in the small-cap space.In general,large cap stocks performed better than small cap stocks.The weakness in the small cap growth segment,however,pulled the overall small cap stock indices down.Mid-cap was the best performing U.S.market cap segment with a 3.8%return for the quarter. 0.7%1.6% -4.7% 1.7% -10.0% -5.0% 0.0% 5.0% 10.0% Russell 100 0 Gr owth Russell 100 0 Value Russell 200 0 Grow th Russell 200 0 Value 67 Trailing Ten-Year Credit Spreads Source: Barclays Source: Barclays Duration-adjusted Excess Returns to Treasuries (bps) Capital Markets Rev iew Fixed Income Best Period Second Best Period Wors t Period Second W orst Period 2009 2010 2011 2012 2013 2014 2015 1Q16 Aggre ga te 746 171 -114 226 93 10 -53 -4 Agency 288 77 -25 166 1 10 -133 23 MBS 495 225 -106 91 98 40 -5 -38 ABS 2496 169 52 246 24 53 44 16 CMBS 2960 1501 47 841 97 108 -28 58 Credit 1990 192 -322 693 226 -18 -169 18 Hi gh Yield 5955 974 -240 1394 923 -112 -577 77 Em erging 3797 508 -537 1503 -32 -120 3 123 0 250 500 750 1000 1250 1500 1750 2000 Option-Adjusted Spread (OAS)Barclays U.S. Credit U.S. Credit 10-Year Average Barclays U.S. HY HY 10-Year Average Source: US Dept of The Treasury Bond Markets Bounce Back After Sharp Declines to Start the Year •Fixed income markets improved during the quarter as accommodative responses from global central banks eased investors’fears over slowing global growth.Yields declined across the curve after the Fed reduced market expectations for rate hikes in 2016 from four to two. •Despite significant spread widening through mid-February,high yield (+3.4%) and investment grade (+4.0%)corporates ended the quarter with strong returns.High yield spreads tightened by 183 bps from their mid-quarter wides to finish four bps tighter as oil prices rebounded.Within investment grade credit,the financial sector saw spreads widen by 21 bps as low rates continue to weigh on bank profitability. •Locally denominated emerging market debt ended the quarter up 11.0%.EM currencies rallied against the dollar in March and posted their strongest monthly return since 1998.The Brazilian real (+10.3%),led the charge as sentiment improved towards commodity producers resulting in increased demand for riskier assets. •Treasury inflation protected securities (TIPS)had their strongest quarterly return in four years (+4.5%)as inflation expectations rose.Core CPI inflation rose to above 2%year-over-year and the Fed’s preferred core PCE inflation increased sharply to 1.7%. U.S. Treasury Yield Curve Change 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 0 5 10 15 20 25 30Yield to MaturityMaturity (Years) 3/31/2015 12/31/2015 3/31/2016 68 47% 42% 17% 14% 11%11%11%11% 6%6% 0% 10% 20% 30% 40% 50%Proportion of Fund SearchesFund Strategy Capital Markets Review Hedge Funds HFRI Index Performance –First Quarter and Trailing 12 Months Short Term Volatility Weighs on Hedge Fund Returns 2.0% -3.8% -5.1% -4.1% 2.3% -3.3% -6.3% 3.3% -4.5% -10.1% -0.7% 3.0% 0.4% -2.5% -0.8% 1.1% 1.2% -1.0% 0.6% -1.7% -1.3% -0.6% -12%-10%-8%-6%-4%-2%0%2%4%6%8% BC Aggregate Bond Index MSCI All-Country World Index Fund of Funds Hedge Fund Composite Merger Arbitrage Global Macro Event Driven Equity Market Neutral Equity Hedge Distressed Securities Convertible Arbitrage Q1 One Year Hedge Fund Strategies Sought by Investors over the Next 12 Months Source: Preqin Source: HFR Inc. Short Term Volatility Weighs on Hedge Fund Returns •Hedge fund manager performance was generally negative across strategies during the first quarter,with the exception of global macro (+1.2%),merger arbitrage (+1.1%)and equity market neutral (+0.6%).Hedge funds (-0.8%)underperformed compared to broad market indices,as the MSCI All-Country World Index (+0.4%) eked out a positive return due to strong results in March (+7.4%).The Barclays Capital Aggregate Bond Index (+3.0%)provided positive results each month of the quarter. •Equity hedge and distressed security strategies were among the worst performing strategies during the quarter,returning -1.7%and -1.3%,respectively.Defensive positioning proved detrimental for equity hedge managers,as global equity markets experienced a sharp reversal mid-quarter to end in positive territory. Distressed securities strategies were burdened by a lack of liquidity and high yield spread widening in January and early February but were able to recoup some of losses in March.March was the first positive month for distressed strategies since the summer of 2015. •Global macro and merger arbitrage strategies were standout performers. Systematic macro managers were key contributors within the macro strategy,while merger arbitrage benefited from M&A spread tightening during the quarter. •Hedge fund assets decreased by $39.6 billion through February 2016.The fall in assets can be attributed to investor outflows of $15.8 billion and negative performance attribution of $23.8 billion,according to HFR Inc.According to Preqin,a hedge fund investor database,replacement and new manager search activity is slightly up year-over year and investors are most interested in long/short equity and macro strategies. Hedge Fund Assets and Flows -$2 00,000 $20 0,000 $60 0,000 $1,0 00,00 0 $1,4 00,00 0 $1,8 00,00 0 $2,2 00,00 0 $2,6 00,00 0 $3,0 00,00 0 Assets ($MM)Net Asset Flow Esti mated Assets Source: HFR, Inc. 69 NCREIF 3 Mon.1 Y r.3 Y rs.5 Y rs.10 Y rs. NCREIF 2.9%13.3%12.0%12.2%7.8% Ap artments 2.7%12.0%10.9%11.9%7.3% In dustrials 3.2%14.9%13.5%13.2%7.8% Office 2.6%12.5%11.3%11.4%7.5% Retail 3.5%15.3%13.8%13.3%8.7% East 2.3%11.3%10.0%10.6%7.1% Midwest 2.4%12.4%11.4%11.2%6.9% South 3.0%14.0%13.2%12.7%8.1% West 3.6%15.3%13.5%13.7%8.5% Capital Markets Review Real Assets Real Estate Returns as of Fourth Quarter 2015 Source: NCREIF NCREIF Property Index Forecast Returns Source: LaSalle Investment Management Real Estate Performs Well; Precious Metals Post Double Digit Returns 2013 2014 2015 2016 2017 2018 2019 In come Return 5.6%5.4%5.0%5.0%5.0%5.0%5-6% Ap preciation 5.2%6.2%8.0%1-3%(3%) - (2%) (3%) - (2%)1-2% Total Return 11.0%11.8%13.3%6-8%1-3%2-4%5-7% PREA Consensus Survey 8.5%6.9%5.7% Actual Forecast S&P GSCI Returns –Commodities Post Declines with Exception of Precious Metals Real Estate Performs Well; Precious Metals Post Double Digit Returns •Private real estate returned 2.9%during the fourth quarter,bringing the 2015 return to 13.3%.By sector,retail properties performed best for the quarter and year,followed by the industrial sector.By region,the west and south performed best.For the year,income accounted for 5%of the index return,with appreciation accounting for the remainder.The income yield on the NCREIF Index declined to 1.2%in the fourth quarter,which breaks the previous quarter’s record for the lowest level in the index’s history.The yield on the real estate index ended 2015 at a 46 bps discount to the Baa corporate bond yield,much lower than the 15-year average of a 30 bps premium.Cap rates hit a new low. Estimates of future returns are low relative to the past five years. •U.S.and global REITs had strong first quarter returns of 6.0%and 5.2%, respectively.The U.S.and Asian Pacific markets contributed most to the global index return for the quarter.Europe and emerging markets returned 2.0%and 1.9%,respectively during the first quarter.U.S.REITs ended the quarter with a 3.7%yield,a nearly two percent premium relative to 10-year U.S.Treasuries.At quarter end,U.S.and global REITs are trading at premiums to their NAVs of 13%and 6%,respectively. •The Goldman Sachs Commodity Index declined -2.5%during the first quarter, driven by declines in crude oil prices.Precious metals were a bright spot, returning 16.0%,as investors sought gold’s safety in a relatively challenging quarter for risk assets. -2.5 -10.7 -0.9 1.9 16.0 -28.7 -41.6 -8.8 -19.0 2.7 -24.5 -34.2 -14.4 -12.6 -9.8 -17.4 -25.1 -15.3 -13.6 -5.5 -50 % -40 % -30 % -20 % -10 % 0% 10 % 20 % GSCI Crude Oil Agri cu lture In dus tria l Me tal s Prec io us Me tal s 1Q2 016 1 ye ar 3 ye ars 5 ye ars Source: S&P GSCI 70 Quarter Year To Date 1 Year 2 Years 3 Years 5 Years 7 Years 10 Years Domestic Equity Indices Dow Jones Wilshire 5000 1.2 1.2 0.2 6.1 11.3 11.0 17.0 6.9 S&P 500 1.3 1.3 1.8 7.1 11.8 11.6 17.0 7.0 Russell 1000 Index 1.2 1.2 0.5 6.4 11.5 11.4 17.2 7.1 Russell 1000 Growth Index 0.7 0.7 2.5 9.1 13.6 12.4 17.9 8.3 Russell 1000 Value Index 1.6 1.6 -1.5 3.8 9.4 10.2 16.3 5.7 Russell Midcap Index 2.2 2.2 -4.0 4.4 10.4 10.3 19.1 7.4 Russell Midcap Growth Index 0.6 0.6 -4.7 4.9 11.0 10.0 18.7 7.4 Russell Midcap Value Index 3.9 3.9 -3.4 3.9 9.9 10.5 19.5 7.2 Russell 2000 Index -1.5 -1.5 -9.8 -1.2 6.8 7.2 16.4 5.3 Russell 2000 Growth Index -4.7 -4.7 -11.8 -0.6 7.9 7.7 17.2 6.0 Russell 2000 Value Index 1.7 1.7 -7.7 -1.8 5.7 6.7 15.5 4.4 International Equity Indices MSCI EAFE -3.0 -3.0 -8.3 -4.7 2.2 2.3 9.7 1.8 MSCI EAFE Growth Index -2.1 -2.1 -3.7 -1.4 3.8 3.7 10.7 2.9 MSCI EAFE Value Index -4.0 -4.0 -12.8 -8.0 0.6 0.8 8.6 0.6 MSCI EAFE Small Cap -0.6 -0.6 3.2 0.1 7.3 5.6 15.1 3.4 MSCI AC World Index 0.2 0.2 -4.3 0.4 5.5 5.2 12.6 4.1 MSCI AC World ex US -0.4 -0.4 -9.2 -5.2 0.3 0.3 9.2 1.9 MSCI Emerging Markets Index 5.7 5.7 -12.0 -6.0 -4.5 -4.1 8.2 3.0 Fixed Income Indices Barclays U.S. Aggregate 3.0 3.0 2.0 3.8 2.5 3.8 4.5 4.9 Barcap Intermediate U.S. Government/Credit 2.4 2.4 2.1 2.8 1.8 3.0 3.8 4.3 Barclays U.S. Long Government/Credit 7.3 7.3 0.4 7.8 4.8 8.5 8.8 7.6 Barclays US Corp: High Yield 3.4 3.4 -3.7 -0.9 1.8 4.9 12.4 7.0 BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.1 0.1 0.1 0.1 0.1 1.1 Barclays U.S. TIPS 4.5 4.5 1.5 2.3 -0.7 3.0 4.2 4.6 Citigroup Non-U.S. World Government Bond 9.1 9.1 7.7 -1.4 -0.2 0.2 2.5 4.0 JPM EMBI Global Diversified (external currency)5.0 5.0 4.2 4.9 3.4 6.2 9.7 7.2 JPM GBI-EM Global Diversified (local currency)11.0 11.0 -1.6 -6.5 -6.7 -2.0 4.9 5.0 Real Asset Indices Bloomberg Commodity Index Total Return 0.4 0.4 -19.6 -23.4 -16.9 -14.1 -4.5 -6.2 Dow Jones Wilshire REIT 5.2 5.2 4.8 14.5 11.1 12.1 24.9 6.3 Capital Markets Review Index Returns As of March 31, 2016 (Percentage Return) _________________________ Returns for periods greater than one year are annualized. 71 Appendix 72 Current Manager Fee Schedule Fe e (%) Do mest ic Eq uity Van gu ard Winds or II $12,222,335 5.0 0.26 0.82 US Large Cap Valu e $ 31,778 Van gu ard Ins titutional Index $15,811,605 6.5 0.04 0.13 US Passive Large Cap Equit y $ 6,325 T.Rowe Price $11,910,542 4.9 0.57 0.83 US Large Cap Growth $ 67,890 Holland $10,169,755 4.2 0.80 0.83 US Large Cap Growth $ 81,358 Kennedy $7,897,943 3.3 0.90 0.91 US Mid Cap Valu e $ 71,081 TimeSquare $7,190,603 3.0 1.02 1.00 US Small C ap Growth $ 73,344 Inte rna ti ona l Equity Morgan Stanley Int ernational $24,888,192 10.3 0.95 0.97 All A CWI ex-US Equit y $ 236,438 Morgan Stanley Emergi ng Markets $7,838,727 3.2 1.24 1.20 Emerging Mkts Eq uit y $ 97,200 Fixed Incom e Income Res earch $34,256,432 14.1 0.30 0.50 US Core Fixe d Income $ 102,769 Prudent ial $28,896,342 11.9 0.30 0.51 US Core Plus Fixe d Income $ 86,689 Brandy wine $23,479,192 9.7 0.45 0.65 Global A gg F ixed Income $ 105,656 He dge Funds* Light house $17,290,983 7.1 1.00 N/A N/A $ 172,910 Tota l As sets ($ millions )% o f Tota l Proje cted Annua l Fe e eVestment Al lianc e Unive rse Me dia n eVestment Allia nc e Universe * Represents management fee paid to fund of funds manager. Additional fees payed to underlying hedge fund range from 1.25–2.00%.Incentive fees may be paid to underlying hedge fund managers of 15-20% of the profits above a certain threshold on a manager by manager basis Light house $17,290,983 7.1 1.00 N/A N/A $ 172,910 Ent rust $15,783,771 6.5 1.35 N/A N/A $ 213,081 Re al Esta te UBS Trumbull $15,394,499 6.3 1.00 N/A N/A $ 153,945 Re al Asse ts Wellingt on Divers if ied $8,001,220 3.3 0.90 0.93 Liquid Real Assets $ 72,011 Ca sh Money Market $1,529,113 0.6 0.20 0.19 US Cash M anagement $ 3,058 Pavilion-Consult ing Fee $ 118,836 US Bank Cust ody and Benefit Paymen t Fee $ 78,146 Total $242,561,254 100.0 %0.71 $ 1,772,516 73 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. 74 2015 Acti on May •Pavilion recommended liquidat ing the t he Pict et Local Currency Emerging Market Debt Fund, Loomis Say les Credit Fund and t he Penn Capital High Yield Fund and investing the p roceeds int o the Prudent ial T otal Ret urn Fund. T he recommendation is support ed by the Office of t he Secr et ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendat ion t o go t o t he Board of T rust ees . Pavilion p rovided t he Finance Commit tee w it h a revised St at ement of Investment Policy , Object iv es and Operating Guidelines. T he p olicy was reviewed with and sup port ed by the O ffice of t he Secr et ary Treas urer. T he Finance Commit tee requested addit ional t ime t o review the documen t. June •Pavilion recommended liquidat ing the G MO Asset Allocat ion Fund and investing the p roceeds in t he Light house G lobal Long/Short Equit y Fund and t he Entrust Diversified Hedge F und of F unds. T he recommendat ion was support ed by the O ffice of t he Secret ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendation t o go t o t he Board of T rustees . T he Finance Commit tee reviewed and ap proved t he revised Statement of Investment Policy , O bject ives and Op erat ing G uidelines provided at the M ay meet ing.The r evis ed Investment Policy document was approved by the Board of Trustees . Appendix History of Investment Decisions 75 All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013. To tal Composite returns prior to September 1, 2013 were provided by New England Pension Consultants. Separate account manager returns prior to September 1, 2013 were provided by the investment managers and are displayed net of fees. Benchmark Comparison One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success. Universe Comparison A p erformance measurement universe is created by arraying the results of a large number of professional investment managers from the best to worst. Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentile represents the bottom performing 1% of managers. Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad Appendix Benchmark and Universe Descriptions Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad universes will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 10 years or more), a manager ranking in the top quartile (top 25%) of these broad universes would be perceived as performing well. Policy Benchmark As of August 1, 2015, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% MSCI EAFE Index, 4% MSCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Composite Index, 5% We llington DIH Multi-Asset Inflation Index and 5% NCREIF Property Index. From March 1, 2015 to August 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. 76 Policy Benchmark(Cont.) From April 1, 2014 to March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% CPI+5%, 5% We llington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index- OEDCE. Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index,3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yi eld Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yi eld, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% We llington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Index-OEDCE. Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity To tal Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year Appendix Benchmark and Universe Descriptions Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year 77