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Home My Public Portal About2014 3rd Quarter ReportPerformance Review Metropolitan St. Louis Sewer District Pension Plan 3rd Quarter 2014 Pavilion Advisory Group Inc. 227 W. Monroe Street, Suite 2020 Chicago, IL 60606 Phone: 312-798-3200 Fax: 312-902-1984 www.pavilioncorp.com 1 Performance Summary 1 2 Asset Class Diversification 18 3 Manager Evaluation 24 4 Calendar Year Performance 64 5 Capital Markets Review 66 6 Appendix 74 Table of Contents Performance Summary 1 Performance Summary - September 2014 During the third quarter, the Metropolitan St. Louis Sewer District declined -1.9%, outperforming the Policy Benchmark return of -2.3%. On a trailing one-year basis, the Plan returned 7.4%, outpacing the Policy Benchmark by 50 basis points. Asset Class Diversification The Finance Committee approved new asset allocation policy targets and allowable asset class ranges at the February 2014 meeting. Current asset allocation was within investment policy ranges and very close to targets. Manager Evaluation During the third quarter, the following managers notably outperformed their respective benchmarks: T. Rowe Price Institutional Large-Cap Growth, Kennedy Mid Cap Value, TimesSquare Small Cap Growth Fund, Morgan Stanley International Equity Fund, Brandywine Global Opportunistic Fixed Income, and UBS Trumbull Property Fund. Third quarter performance was negatively impacted by the following managers as they underperformed their respective benchmarks: Holland Large Cap Growth, Penn Capital, GMO Asset Allocation Fund, and PIMCO All Asset Fund. Capital Markets Review It was a difficult quarter in the capital markets. U.S. large cap equities posted modest gains while small cap equities severely underperformed. International equity declined across foreign markets, with developed markets underperforming emerging markets. Fixed income volatility returned to the market highlighted by a flight to quality in long term rates. Local currency international debt performed the poorly due to a strengthening U.S. dollar. An expansion of Russia’s invasion of Ukraine, Israel’s military actions to clear Gaza of missiles and tunnels used by attackers, and ISIS conquering territory across Iraq caused investors to pull monies out of Europe and Asia for the perceived safety of the U.S. dollar and Treasury bonds. The rapid ascent of the U.S. dollar sent foreign investment values sharply lower versus their local-currency returns. A wave of economic weakness enveloped Europe, Japan, Brazil, China and many smaller countries. The European Central Bank (ECB) inched closer toward purchasing asset-backed bonds, while further lowering its deposit rate to -0.2%. With the German economy near a zero-growth rate and countries such as Greece and Spain pleading for an end to austerity, the Eurozone economy offered little near-term outlook for growth. Hopes turned to the ECB to offer a Federal Reserve style bailout and inflate the flagging economy, though the bank has been reluctant to put plans into action based on German leaders’ protests. The impending culmination of the Federal Reserve’s asset purchases was a late-quarter headwind for stocks. The U.S. economy faced a perplexing mix of economic readings. The unemployment rate fell to 5.9%, though the number of workers leaving the workforce remained dauntingly high. Retail sales were choppy, yet on an upward trend. A steep drop in oil prices, brought on by increased U.S. production, will be a negative for upcoming energy spending, due to falling gasoline prices, but will be a broader benefit for the economy. Recommendations or Action Items Pavilion downgraded PIMCO’s manager rating status from “negative watch” to “sell.” Pavilion initially downgraded PIMCO to “negative watch” in January following the departure of co- CIO Mohamed El-Erian, and noted we would closely monitor the firm for organizational stability, asset flows, and performance. PIMCO has not made clear improvements in these areas, and the departure of Bill Gross creates a multitude of future unknowns for the firm. Pavilion recommends termination of the PIMCO All Asset Fund in the Pension Plan due to poor performance and organizational issues and instability. The fund has approximately $10.1 million invested as of September 30, 2014. Pavilion is conducting a hedge fund of funds manager search for two managers. The hedged equity manager search is complete and Pavilion recommends hiring the Lighthouse Global Long/Short Equity Fund to replace the PIMCO All Asset fund. The multi-strategy hedge fund of funds is still in progress with additional managers requiring analysis and further due diligence. Pavilion will bring a second recommendation to the Committee when the work is complete and the Secretary-Treasurer has conducted the appropriate due diligence on manager search projects. Pension Plan Executive Summary 2 Pension Plan Executive Summary Manager Search - Hedge Fund of Funds Pavilion commenced a hedge fund of funds search during the third quarter 2014 to populate the hedge fund allocation in the approved investment policy. We initiated our search process by screening over 300 managers based upon the criteria below: ·Organizational structure and ownership (corporate, employee owned, MWBE, etc.) ·Firm assets under management exceed $1 billion ·Strategy assets exceed $1 billion ·Investment process, philosophy, sector strategy and geographic allocations ·Personnel, resources, due diligence, alignment of interests with clients ·Risk management and “fit” with current policy and approved manager roster ·Number of managers in the fund of funds structure ·Key partnership terms including liquidity, contributions/withdrawals, fees/incentives ·Transparency policy ·Performance, net of fees and incentives The search process identified seven candidates presented by Pavilion to the St. Louis Metropolitan Sewer District. Three equity long/short specialists and four multi-strategy specialists: Equity Long/Short Hedge Fund of Funds Finalists 1.ABS Global Portfolio 2.Lighthouse Global Long/Short Ltd. 3.Pointer Offshore, Ltd. Additional due diligence discovered Pointer Offshore Ltd will be closed to new clients in the fourth quarter, disqualifying them from further consideration. Based upon Pavilion’s analysis and St. Louis Metropolitan Sewer District’s additional due diligence, Lighthouse Global Long/Short Ltd is the recommended manager. Multi-strategy Hedge Fund of Fund Finalists 1.Entrust Capital Diversified Fund Ltd. 2.Grosvenor Institutional Partners, Ltd. 3.Ironwood International Ltd. 4.TeamCo Select Tax-Exempt Partners Fund. Ltd. Additional due diligence and analysis is continuing on the multi-strategy hedge fund of funds finalists. A recommendation will be presented at a future Finance Committee meeting date. 3 Total Composite Policy Benchmark 0.0 3.0 6.0 9.0 12.0 15.0 18.0 -3.0 -6.0 -9.0Return (%)Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception -2.3 2.8 6.9 10.8 8.4 6.7 8.3 -1.9 3.3 7.4 10.6 8.3 6.8 7.8 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite -1.9 3.3 7.4 10.6 8.3 6.8 7.8 21y 9m Policy Benchmark -2.3 2.8 6.9 10.8 8.4 6.7 N/A Performance Summary Total Composite vs. Policy Benchmark As of September 30, 2014 ____________ 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 24.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite -1.9 (89)3.3 (79)7.4 (94)10.6 (94)8.3 (95)4.9 (60)6.8 (46)¢£ 5th Percentile 0.2 6.2 13.0 15.8 11.5 6.3 8.0 1st Quartile -0.7 4.9 11.4 14.5 10.6 5.7 7.4 Median -1.1 4.2 10.2 13.6 10.0 5.2 6.8 3rd Quartile -1.5 3.4 9.0 12.6 9.4 4.6 6.4 95th Percentile -2.2 2.2 7.1 10.2 8.2 3.4 5.9 Performance Comparison All Public Plans <= $500 mil As of September 30, 2014 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 5 -12.0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 20.0 24.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite -1.9 (87)3.3 (82)7.4 (94)10.6 (92)8.3 (94)4.9 (58)6.8 (58)¢£ 5th Percentile 0.4 6.8 13.0 15.8 11.7 6.3 8.3 1st Quartile -0.7 5.1 11.2 14.4 10.7 5.6 7.7 Median -1.1 4.3 10.2 13.4 10.2 5.1 7.1 3rd Quartile -1.5 3.6 9.0 12.4 9.4 4.6 6.6 95th Percentile -2.1 2.4 7.1 9.0 8.1 3.5 6.0 Performance Comparison All Public Plans As of September 30, 2014 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 6 3 Years 5 Years 5.0 7.0 9.0 11.0 13.0 14.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (7.7 , 8.4) Total Composite (7.8 , 8.3) 5.0 7.0 9.0 11.0 13.0 14.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (6.7 , 10.8) Total Composite (6.9 , 10.6) Performance Summary Risk and Return Summary As of September 30, 2014 7 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 250,168,126 100.0 -1.9 3.3 7.4 10.6 8.3 6.8 7.8 21y 9m Policy Benchmark -2.3 2.8 6.9 10.8 8.4 6.7 N/A Total Equity Composite 102,579,206 41.0 -1.7 3.5 12.1 N/A N/A N/A 16.2 1y 1m MSCI AC World IMI -2.7 3.6 11.3 17.4 10.9 8.1 15.9 Domestic Equity Composite 68,026,916 27.2 -0.1 (13)5.4 (19)16.1 (15)N/A N/A N/A 19.3 (N/A)1y 1m Russell 3000 Index 0.0 (11)7.0 (8)17.8 (9)23.1 (14)15.8 (12)8.4 (33)20.3 (N/A) Broad Equity Peer Group Median -1.4 3.9 13.6 20.9 14.0 8.0 N/A Large-Cap Equity Composite 53,317,156 21.3 1.0 (28)6.7 (40)18.0 (33)21.6 (49)14.3 (49)8.1 (42)8.7 (N/A)11y 4m Russell 1000 Index 0.7 (35)8.0 (19)19.0 (22)23.2 (26)15.9 (20)8.5 (33)9.1 (N/A) Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 N/A Small-Cap Equity Composite 14,709,760 5.9 -3.8 (8)1.0 (7)9.6 (10)22.9 (27)17.1 (11)11.1 (5)11.9 (N/A)11y 4m Russell 2000 Index -7.4 (65)-4.4 (50)3.9 (53)21.3 (47)14.3 (51)8.2 (44)9.8 (N/A) Small-Cap Equity Peer Group Median -6.6 -4.4 4.2 20.8 14.3 8.0 N/A International Equity Composite 34,552,290 13.8 -4.7 (31)-0.2 (39)4.5 (46)N/A N/A N/A 10.2 (N/A)1y 1m MSCI AC World ex USA Index -5.3 (52)0.0 (36)4.8 (41)11.8 (60)6.0 (57)7.1 (63)11.1 (N/A) International Equity Peer Group Median -5.2 -0.8 4.3 12.2 6.3 7.4 N/A Developed International Equity Composite 27,171,164 10.9 -5.0 (27)-0.7 (34)4.9 (40)14.5 (32)7.4 (38)6.3 (59)5.2 (N/A)15y 5m MSCI EAFE Index -5.9 (53)-1.4 (44)4.3 (52)13.6 (48)6.6 (55)6.3 (58)4.0 (N/A) Developed International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 N/A Emerging International Equity Composite 7,381,126 3.0 -3.5 (44)1.9 (57)3.6 (62)7.7 (60)4.8 (46)N/A 8.9 (46)9y 6m MSCI Emerging Markets Index -3.5 (44)2.4 (47)4.3 (52)7.2 (66)4.4 (52)10.7 (37)9.2 (34) Emerging Markets Equity Peer Group Median -3.7 2.2 4.4 8.1 4.5 10.0 8.5 Fixed Income Composite 87,074,484 34.8 -1.7 (100)3.0 (43)3.3 (45)4.4 (21)5.2 (29)5.4 (10)5.1 (14)11y 3m Barclays Intermediate U.S. Government/Credit 0.0 (37)2.2 (73)2.2 (73)2.0 (82)3.4 (77)4.0 (74)3.8 (74) Intermediate Duration Fixed Income Peer Group Median -0.1 2.6 3.0 2.9 4.5 4.6 4.4 Performance Summary Total Pension Fund Asset Allocation and Performance As of September 30, 2014 _________________________ Performance is reported net of fees. 8 Performance Summary Total Pension Fund Asset Allocation and Performance As of September 30, 2014 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Tactical Asset Allocation Composite 25,034,719 10.0 -2.8 2.5 6.9 9.8 7.7 6.7 6.4 11y 4m 65% MSCI World (Net) / 35% BC Aggregate -1.3 4.0 9.3 12.4 8.7 6.6 7.3 Alternatives Composite 10,088,586 4.0 -2.9 4.5 4.8 N/A N/A N/A 6.0 1y 1m 3 Month T-Bills + 3%0.8 2.3 3.0 3.1 3.1 4.6 3.0 Real Estate Composite 13,188,272 5.3 2.9 7.5 9.6 9.3 10.0 6.7 4.9 8y 4m NCREIF Fund Index-Open End Diversified Core Equity 0.0 5.4 8.6 10.9 11.3 6.4 4.5 Real Assets Composite 10,896,322 4.4 -8.0 -0.3 2.4 1.9 N/A N/A 1.8 4y 6m Wellington DIH Multi-Asset Inflation Index -8.1 -1.1 0.4 1.5 2.3 4.9 1.0 Cash Account 1,306,537 0.5 0.0 0.0 0.1 0.1 -0.3 1.5 1.4 11y 4m BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.6 1.5 _________________________ Performance is reported net of fees. 9 Allocation Market Value ($)% 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 14,123,604 5.6 -0.2 (47)7.4 (26)17.7 (34)22.8 (36)14.8 (33)8.0 (39)6.6 (N/A)13y 5m Russell 1000 Value Index -0.2 (47)8.1 (17)18.9 (22)23.9 (22)15.3 (24)7.8 (42)6.6 (N/A) Large-Cap Value Equity Peer Group Median -0.3 6.1 16.2 21.8 14.0 7.5 N/A Vanguard Institutional Index Fund 12,433,727 5.0 1.1 (25)8.3 (15)19.7 (17)23.0 (30)15.7 (24)8.1 (42)4.9 (64)15y S&P 500 1.1 (25)8.3 (15)19.7 (16)23.0 (29)15.7 (24)8.1 (42)4.9 (65) Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 5.6 T. Rowe Price Inst. Large-Cap Core Growth 13,819,925 5.5 1.8 (29)4.8 (62)18.2 (33)24.6 (11)17.4 (15)9.0 (40)23.9 (N/A)1y 7m Russell 1000 Growth Index 1.5 (38)7.9 (21)19.1 (24)22.4 (36)16.5 (24)8.9 (42)21.7 (N/A) Large-Cap Growth Equity Peer Group Median 1.1 5.5 16.7 21.5 15.1 8.5 N/A Holland Large Cap Growth 12,939,900 5.2 1.2 (47)5.2 (55)15.7 (62)19.5 (76)15.1 (51)8.1 (60)17.2 (N/A)1y 7m Russell 1000 Growth Index 1.5 (38)7.9 (21)19.1 (24)22.4 (36)16.5 (24)8.9 (42)21.7 (N/A) Large-Cap Growth Equity Peer Group Median 1.1 5.5 16.7 21.5 15.1 8.5 N/A Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 8,384,999 3.4 -2.3 (21)11.9 (1)20.9 (1)24.8 (14)17.7 (7)N/A 11.6 (1)6y 9m Russell Midcap Value Index -2.6 (28)8.2 (7)17.5 (6)24.7 (15)17.2 (10)10.2 (16)8.5 (24) Mid-Cap Value Equity Peer Group Median -4.1 1.6 10.0 21.4 14.6 8.9 7.4 TimesSquare Small Cap Growth Fund 6,324,761 2.5 -5.7 (46)-11.1 (89)-2.9 (88)20.0 (52)15.9 (28)11.6 (6)9.9 (N/A)12y 8m Russell 2000 Growth Index -6.1 (56)-4.0 (33)3.8 (30)21.9 (38)15.5 (34)9.0 (30)7.6 (N/A) Small-Cap Growth Equity Peer Group Median -5.8 -5.5 1.9 20.1 14.7 8.0 N/A Developed International Equity Manager Morgan Stanley International Equity Fund I 27,171,164 10.9 -5.0 (27)-0.8 (36)4.7 (43)14.5 (33)7.4 (38)6.5 (55)5.2 (57)9y 6m MSCI EAFE Index -5.9 (53)-1.4 (44)4.3 (52)13.6 (48)6.6 (55)6.3 (58)5.1 (62) International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 5.4 Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 7,381,126 3.0 -3.5 (44)1.9 (57)3.7 (61)7.7 (59)4.8 (45)10.4 (42)8.9 (45)9y 6m MSCI Emerging Markets Index -3.5 (44)2.4 (47)4.3 (52)7.2 (66)4.4 (52)10.7 (37)9.2 (34) Emerging Markets Equity Peer Group Median -3.7 2.2 4.4 8.1 4.5 10.0 8.5 Performance Summary Manager Asset Allocation and Performance As of September 30, 2014 _________________________ Performance is reported net of fees. 10 Performance Summary Manager Asset Allocation and Performance As of September 30, 2014 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 35,723,915 14.3 -0.1 (40)2.5 (63)2.5 (65)2.9 (51)4.0 (60)4.9 (25)5.4 (24)13y 3m Barclays Intermediate U.S. Government/Credit 0.0 (37)2.2 (73)2.2 (73)2.0 (82)3.4 (77)4.0 (74)4.7 (60) Intermediate Duration Fixed Income Peer Group Median -0.1 2.6 3.0 2.9 4.5 4.6 4.8 Penn Capital 12,764,809 5.1 -2.2 (81)2.0 (93)5.6 (88)8.4 (93)8.9 (84)N/A 6.6 (87)9y 3m BofA Merrill Lynch US High Yield, Cash Pay Index -1.9 (54)3.5 (40)7.1 (39)10.9 (46)10.3 (35)8.1 (25)8.2 (25) High Yield Fixed Income Peer Group Median -1.9 3.3 6.9 10.8 10.0 7.6 7.7 Loomis Credit Asset Fund 4,986,911 2.0 -0.6 (55)3.9 (13)6.3 (9)8.8 (1)N/A N/A 8.0 (1)4y 7m 50% BC Credit / 25% S&P LSTA / 25% BY High Yield -0.6 (54)4.2 (12)6.1 (9)6.8 (10)7.3 (1)6.2 (9)6.9 (1) Alternative Credit Focus Funds Peer Group Median -0.5 1.8 3.6 4.1 5.2 4.3 4.4 Brandywine Global Opportunistic Fixed Income 22,103,853 8.8 -2.0 (54)6.2 (9)5.9 (21)5.6 (20)7.6 (3)N/A 6.7 (9)9y 9m Citigroup World Government Bond -3.8 (82)1.0 (82)-0.1 (91)-0.5 (95)1.6 (91)4.1 (71)3.3 (77) Global Fixed Income Peer Group Median -1.8 2.5 3.3 2.9 4.2 4.9 4.3 Pictet Emerging Local Currency Debt Fund 11,494,996 4.6 -5.5 (43)-1.0 (72)-2.5 (70)0.8 (85)N/A N/A 0.8 (85)3y JPM GBI-EM Global Diversified -5.7 (58)0.0 (42)-1.5 (42)2.2 (40)4.4 (15)8.8 (N/A)2.2 (40) Emerging Markets (LC) Fixed Income Peer Group Median -5.6 -0.3 -1.9 1.9 3.8 N/A 1.9 Tactical Asset Allocation Manager GMO Asset Allocation Fund 25,034,719 10.0 -2.8 (67)2.5 (59)6.9 (62)9.8 (61)7.7 (66)7.0 (30)6.0 (37)8y 2m 65% MSCI World (Net) / 35% BC Aggregate -1.3 (35)4.0 (37)9.3 (35)12.4 (33)8.7 (47)6.6 (38)5.6 (50) IM Flexible Portfolio (MF) Median -1.9 3.2 7.8 10.7 8.6 6.1 5.6 _________________________ Performance is reported net of fees. 11 Performance Summary Manager Asset Allocation and Performance As of September 30, 2014 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Alternatives Manager PIMCO All Asset Fund I 10,088,586 4.0 -2.9 3.8 5.2 8.0 7.5 6.4 6.1 8y 9m Barclays U.S. Treasury Inflation Notes: 1-10 Year -2.0 1.9 0.6 0.9 3.4 4.0 4.2 Real Estate Manager UBS Trumbull Property Fund 13,188,272 5.3 2.9 7.5 9.6 9.3 10.0 6.7 4.9 8y 4m NCREIF Fund Index-Open End Diversified Core Equity 0.0 5.4 8.6 10.9 11.3 6.4 4.5 Real Asset Manager Wellington Diversified Inflation Hedges 10,896,322 4.4 -8.0 -0.3 2.4 1.9 N/A N/A 1.8 4y 6m Wellington DIH Multi-Asset Inflation Index -8.1 -1.1 0.4 1.5 2.3 4.9 1.0 Cash Account 1,306,537 0.5 0.0 0.0 0.1 0.1 -0.3 1.5 1.4 11y 4m BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 1.6 1.5 Total Composite 250,168,126 100.0 -1.9 3.3 7.4 10.6 8.3 6.8 7.8 21y 9m _________________________ Performance is reported net of fees. 12 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 28.0 Return (%)12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 21.0 22.0 Risk (Standard Deviation %) Russell 2000 Growth Russell Midcap Value Russell 1000 Growth S&P 500 Russell 1000 Value Holland Large Cap Growth Kennedy Mid Cap Value TimesSquare Small Cap Growth Vanguard Windsor II Fund Vanguard Institutional Index Fund T. Rowe Price Inst. Large-Cap Core Growth Performance Summary Risk and Return Summary - Equity Managers 5 Years Ending September 30, 2014 13 0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 12.0 Return (%)0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 12.0 13.5 Risk (Standard Deviation %) 50% BC Credit / 25% S&P LSTA / 25% BY High Yield JPM GBI-EM Global Diversified Citigroup World Government Bond BofA Merrill Lynch US High Yield, Cash Pay Index BC Intermediate U.S. Government/Credit Penn Capital Income Research Brandywine Global Performance Summary Risk and Return Summary - Fixed Income Managers 5 Years Ending September 30, 2014 14 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Return (%)-4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Risk (Standard Deviation %) 90 Day U.S. Treasury Bill Barclays U.S. Treasury Inflation Notes: 1-10 Year NCREIF Fund Index-Open End Diversified Core Equity Wellington DIH Multi-Asset Inflation Index 65% MSCI World (Net) / 35% BC Aggregate UBS TPF PIMCO All Asset GMO Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending September 30, 2014 15 Manager Compliance Checklist Third Quarter 2014 Mana gers Va nguard Windsor Vanguard Insti tutiona l T. Row e Price Ho lland Ke nne dy TimesS qua re Morga n Stanley Int'l Morga n Stanley EM Organizational /Produ ct Is sues No ma terial c hanges to investme nt team ++++++-+ No ma terial o rganiza tional changes ++++++++ Accounting or regulat ory concerns ++++++++ Cu rrently in adherence to guidelin es ++++++++ Po rt fo lio characteris tics me et s tylis tic expectations ++++++++ Re lati ve Perfor mance 1 Th re e-year re turn better than benchmark -N/A +-+-++ Th re e-year ra nkin g better t han peer group median +++-+-+- Fiv e year return better t han benchmark -N/A +-++++ 1 Manager performance is evaluated net of investment management fees. +++++ Fiv e year rankin g better than peer group median +++-++++ Perfor mance status ++++++++ Da te perfo rmance s tatus changed Summary status Sell ++++++Sell Da te s umma ry status changed 4Q13 4Q13 16 Manager Compliance Checklist Third Quarter 2014 Ma nage rs Income Re se arch Penn Loomis Bra ndyw ine Gl oba l Picte t GMO PIMCO UBS Wellington Organi zati onal/Produ ct Is sues No ma teria l c hanges to investme nt team +++-++-++ No ma teria l o rg aniza tional c hanges +++++++++ Accounting or re gulatory concerns +++++++++ Cu rre ntly in adherence to guidelin es +++++++++ Po rt fo lio characteris tics me et stylis tic expectations +++++++++ Re lative Performance 1 Thre e-year return better than benchmark +-++--+-+ Thre e-year rankin g better than peer group media n --++--N/A N/A N/A Fiv e year re turn better than benchmark +-N/A +N/A -+-N/A 1 Manager performance is evaluated net of investment management fees. Fiv e year re turn better than benchmark +-N/A +N/A -+-N/A Fiv e year ra nkin g better than peer group median --N/A +N/A -N/A N/A N/A Perfor mance s tatus +-++--+++ Da te perfo rmance s tatus changed 4Q13 4Q13 3Q14 Summary status +Sell Sell +Sell Sell Sell ++ Da te summa ry status changed 4Q13 4Q13 4Q13 4Q13 4Q13 17 Asset Class Diversification 18 September 30, 2014 : $250,168,126 Target Allocation Actual Allocation Allocation Differences 0.0%6.0%12.0%18.0%24.0%30.0%36.0%42.0%-6.0 %-12.0 % Cash Account $1,306,537 Real Asset Composite $10,896,322 Real Estate Composite $13,188,272 Alternatives Composite $10,088,586 Tactical Asset Allocation Composite $25,034,719 Fixed Income Composite $87,074,484 Emerging International Equity Composite $7,381,126 Developed International Equity Composite $27,171,164 Small-Cap Equity Composite $14,709,760 Large-Cap Equity Composite $53,317,156 0.0% 5.0% 5.0% 4.0% 10.0% 35.0% 3.0% 11.0% 6.0% 21.0% 0.5% 4.4% 5.3% 4.0% 10.0% 34.8% 3.0% 10.9% 5.9% 21.3% 0.5% -0.6 % 0.3% 0.0% 0.0% -0.2 % 0.0% -0.1 % -0.1 % 0.3% Asset Class Diversification Investment Policy Allocation As of September 30, 2014 19 Asse t Cl ass/Type Ma na ge r Total Asse ts ($,mil.)as of 9/30/2014 Perce nt of Total Target Al location Weighting Re lative to Ta rge t Allowable Ra nge Total Asse ts ($,mil.)as of 7/1/2014 La rge -Ca p Equity $53.3 21.3%21.0%+ 0 .3 %15 -25%$55.9 Co re Va nguard Institutional $12.4 5.0%6.0%- 1.0%$12.3 Va lu e Va nguard Windsor $14.1 5.6%5.0%+ 0.6%$16.0 Gr owth T. Rowe Price $13.8 5.5%5.0%+ 0.5%$13.6 Gr owth Ho lla nd $12.9 5.2%5.0%+ 0.2%$14.0 Small-Ca p Equity $14.7 5.9%6.0%- 0 .1 %2 -8%$15.6 Va lu e Kennedy $8.4 3.4%3.0%+ 0.4%$8.9 Gr owth Time sSquare $6.3 2.5%3.0%- 0.5%$6.7 Inte rna ti ona l Equity $34.6 13.8%14.0%- 0 .2 %$36.3 Developed Morgan Stanley $27.2 10.9%11.0%- 0.1%5 -15%$28.6 Eme rgin g Marke ts Morgan Stanley $7.4 3.0%3.0%- 0.0%2 -8%$7.6 Fix ed Income $87.1 34.8%35.0%- 0 .2 %$88.5 Asset Class Diversification Investment Program Structure As of September 30, 2014 Fix ed Income $87.1 34.8%35.0%- 0 .2 %$88.5 Do me stic Core In come Res earch $35.7 14.3%14.0%+ 0.3%10 -20%$35.7 High Yie ld Penn Capital $12.8 5.1%5.0%+ 0.1%0 -7%$13.0 Op portunistic Credit Lo omis $5.0 2.0%2.0%- 0.0%0 -5%$5.0 Global Brandywin e Glo bal $22.1 8.8%9.0%- 0.2%4 -14%$22.5 Eme rgin g Marke ts Debt Pictet $11.5 4.6%5.0%- 0.4%0 -7%$12.2 Ta cti ca l $25.0 10.0%10.0%+ 0 .0 %$25.8 Ba la nced GM O $25.0 10.0%10.0%+ 0.0%0 -12%$25.8 Alte rna ti ve s $10.1 4.0%4.0%+ 0 .0 %$10.4 Absolu te Return PIM CO $10.1 4.0%4.0%+ 0.0%0 -7%$10.4 Hedge Funds TBD $0.0 0.0%----0 -20%$0.0 Real Es tate $13.2 5.3%5.0%+ 0 .3 %$12.8 Re al Es tate UBS Trumbull $13.2 5.3%5.0%+ 0.3%0 -10%$12.8 Real As set $10.9 4.4%5.0%- 0 .6 %$11.8 Re al Asset Wellin gton $10.9 4.4%5.0%- 0.6%0 -10%$11.8 Ca sh $1.3 0.5%0.0%+ 0 .5 %$1.3 Ca sh Account Ca sh Account $1.3 0.5%0.0%+ 0.5%$1.3 Tota l $250.2 100.0%100.0%+ 0 .0 %$258.4 *Totals may not add to exactly 100.0% due to rounding. 20 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) British American Tobacco PLC 1.2 0.3 1.0 -3.8 Reckitt Benckiser Group PLC 1.2 0.1 1.1 0.6 Sanofi 1.2 0.3 0.9 6.5 Apple Inc 1.2 1.4 -0.2 9.0 Nestle SA, Cham Und Vevey 1.2 0.6 0.6 -5.1 Unilever NV 1.2 0.2 1.0 -8.1 Gilead Sciences Inc 1.1 0.4 0.7 28.4 Amazon.com Inc 1.1 0.3 0.8 -0.7 Google Inc (Class C)1.0 0.4 0.6 0.4 Novartis AG 1.0 0.5 0.5 4.2 % of Portfolio 11.4 4.4 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)78,402 78,388 Median Mkt. Cap ($M)12,427 1,393 Price/Earnings ratio 19.2 16.7 Price/Book ratio 3.0 2.5 5 Yr. EPS Growth Rate (%)14.1 14.4 Current Yield (%)1.9 2.5 Debt to Equity 1.7 1.0 Number of Stocks 960 8,511 Beta -1.00 Consistency -- Sharpe Ratio -- Information Ratio -- Up Market Capture -- Down Market Capture -- Sector Weights (%) Total Equity Composite MSCI AC World IMI 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.0 2.0 1.6 1.8 4.2 17.1 10.6 13.9 15.9 7.7 11.4 13.6 0.0 0.0 3.2 3.5 6.1 13.4 11.4 11.0 21.6 8.9 8.9 12.0 Distribution of Market Capitalization (%) Total Equity Composite MSCI AC World IMI 0.0 10.0 20.0 30.0 40.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 31.1 31.3 22.8 14.8 0.0 31.8 30.9 25.2 10.2 2.0 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World IMI As of September 30, 2014 21 Total Equity Composite MSCI AC World IMI Australia 0.5 2.6 Hong Kong 0.5 1.8 Japan 5.1 7.6 New Zealand 0.0 0.1 Singapore 0.0 0.6 Pacific 6.2 12.7 Austria 0.2 0.1 Belgium 0.2 0.5 Finland 0.0 0.3 France 3.2 3.0 Germany 2.1 2.9 Ireland 0.6 0.5 Italy 0.3 0.9 Netherlands 1.5 1.2 Portugal 0.1 0.1 Spain 0.0 1.2 EMU 8.1 10.7 Denmark 0.0 0.6 Norway 0.0 0.4 Sweden 0.7 1.1 Switzerland 4.4 3.3 United Kingdom 8.6 7.5 Europe ex EMU 13.7 12.8 Canada 0.7 3.9 United States 61.8 49.6 Israel 0.0 0.2 Middle East 0.0 0.2 Developed Markets 90.5 89.9 Total Equity Composite MSCI AC World IMI Brazil 0.6 1.0 Cayman Islands 0.0 0.0 Chile 0.0 0.2 Colombia 0.2 0.1 Mexico 0.6 0.5 Peru 0.1 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.5 1.9 China 1.8 1.3 India 0.7 0.8 Indonesia 0.1 0.3 Korea 1.1 1.6 Malaysia 0.2 0.4 Philippines 0.3 0.1 Taiwan 0.6 1.4 Thailand 0.3 0.3 EM Asia 4.9 6.2 Czech Republic 0.1 0.0 Egypt 0.0 0.0 Greece 0.0 0.1 Hungary 0.0 0.0 Poland 0.2 0.2 Qatar 0.0 0.1 Russia 0.1 0.4 South Africa 0.4 0.8 Turkey 0.0 0.2 United Arab Emirates 0.0 0.1 EM Europe + Middle East + Africa 0.8 1.9 Emerging Markets 7.2 9.9 Frontier Markets 0.1 0.0 Cash 2.0 0.0 Other 0.2 0.1 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World IMI As of September 30, 2014 22 Portfolio Characteristics Maturity Distribution (%) Credit Quality Distribution (%) Risk Characteristics - 3 Years Sector Distribution (%) Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBCCCNR64.9 6.6 14.3 14.2 0.0 0.0 0.0 0.0 26.4 9.9 18.6 21.5 10.3 11.1 0.6 1.6 Portfolio Benchmark Effective Duration 4.6 3.9 Avg. Maturity 7.4 4.2 Avg. Quality A+AA Yield To Maturity (%)3.8 1.7 Consistency Sharpe Ratio Information Ratio Up Market Capture Down Market Capture Total Fixed Income Composite 63.9 1.0 0.7 185.6 Barclays Intermediate U.S. Government/Credit 0.0 1.0 N/A 100.0 90 Day U.S. Treasury Bill 38.9 N/A -1.0 1.0 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesTIPSAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.4 0.0 6.0 24.5 0.0 0.0 0.0 10.6 2.4 0.0 0.0 0.0 0.0 24.6 0.0 0.3 17.9 15.4 2.7 3.3 14.8 3.8 1.2 4.0 5.8 6.2 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 41.7 26.4 31.9 0.0 0.0 3.9 22.4 20.3 39.5 6.5 7.4 Fixed Income Portfolio - Characteristics Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit As of September 30, 2014 23 Manager Evaluation 24 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Vanguard Windsor II -0.2 7.4 17.7 22.8 14.8 8.0 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 7.2 18.4 Russell 1000 Value Index -0.2 8.1 18.9 23.9 15.3 7.8 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 7.1 16.5 Large-Cap Value Equity Peer Group Median -0.3 6.1 16.2 21.8 14.0 7.5 31.7 15.0 -1.5 13.5 25.4 -37.3 2.9 16.6 6.1 12.5 Vanguard Windsor II Rank 47 26 34 36 33 39 61 28 17 86 41 44 55 35 36 6 14.0 14.5 15.0 15.5 16.0 Return (%)14.5 14.6 14.7 Risk (Standard Deviation %) Russell 1000 Value Index Vanguard Windsor II Vanguard Windsor II Russell 1000 Value Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Average Active Weight 0.0 8.0 16.0-8.0-16.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -1.9 0.4 0.3 -1.8 1.7 -1.2 4.3 -8.0 -1.6 3.1 1.8 2.9 Allocation (Total: 0.4) 0.0 0.2 0.4-0.2-0.4 0.1 0.0 0.0 0.0 0.1 0.0 0.1 -0.2 0.1 0.1 0.0 0.0 Stock (Total: -0.1) 0.0 0.4 0.8-0.4-0.8 -0.1 0.0 0.0 0.0 0.0 0.4 0.3 -0.1 -0.3 -0.3 -0.2 0.0 Vanguard Windsor II 0.0 0.3 0.6 0.9-0.3-0.6 0.0 0.0 0.0 0.1 0.1 0.4 0.4 -0.2 -0.2 -0.2 -0.2 0.0 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of September 30, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 25 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Microsoft Corp 3.0 1.4 1.7 11.9 JPMorgan Chase & Co 2.7 2.3 0.4 5.3 Pfizer Inc 2.6 1.9 0.7 0.5 Intel Corp 2.6 1.6 1.0 13.5 Wells Fargo & Co 2.5 2.5 0.0 -0.6 Johnson & Johnson 2.3 2.6 -0.3 2.6 Medtronic Inc 2.3 0.6 1.6 -2.4 Citigroup Inc 2.3 1.6 0.7 10.0 WellPoint Inc 2.2 0.3 1.9 11.6 Philip Morris International Inc 2.2 0.6 1.6 0.1 % of Portfolio 24.6 15.3 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)109,816 112,109 Median Mkt. Cap ($M)22,184 6,878 Price/Earnings ratio 15.7 16.5 Price/Book ratio 2.2 2.0 5 Yr. EPS Growth Rate (%)16.0 11.2 Current Yield (%)2.7 2.4 Debt to Equity 1.2 0.9 Number of Stocks 258 690 Beta (5 Years, Monthly)0.97 1.00 Consistency (5 Years, Monthly)43.33 1.00 Sharpe Ratio (5 Years, Monthly)1.10 1.11 Information Ratio (5 Years, Monthly)-0.20 - Up Market Capture (5 Years, Monthly)96.40 - Down Market Capture (5 Years, Monthly)95.70 - Sector Weights (%) Vanguard Windsor II Russell 1000 Value Index 0.0 8.0 16.0 24.0 32.0 40.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.3 2.3 3.8 2.7 1.6 13.3 8.5 17.3 21.4 10.6 9.4 8.9 0.0 0.0 6.0 2.3 3.3 9.4 10.2 13.5 29.2 12.9 7.1 6.2 Distribution of Market Capitalization (%) Vanguard Windsor II Russell 1000 Value Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 42.4 31.3 20.1 6.2 0.0 45.4 35.1 15.6 1.7 2.3 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of September 30, 2014 *Portfolio characteristics as of 12/31/2013. 26 Historical Performance Three Year Rolling Percentile Ranking Relative Performance Historical Statistics (Oct-2009 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Vanguard Institutional Index 1.1 8.3 19.7 23.0 15.7 8.1 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 4.9 10.9 S&P 500 Index 1.1 8.3 19.7 23.0 15.7 8.1 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 4.9 10.9 Large-Cap Equity Peer Group Median 0.1 6.0 16.4 21.5 14.3 7.8 32.4 14.6 -1.0 14.0 27.8 -37.5 6.2 13.3 5.9 10.2 Vanguard Institutional Index Rank 25 15 17 30 24 42 51 36 22 38 56 45 55 32 62 44 Cumulative Annualized Over/Under Relative Performance Over/Under Performance 0.0 0.1 0.2 -0.1 -0.2Return (%)12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Vanguard Institutional Index S&P 500 Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Vanguard Institutional Index 15.7 14.1 15.8 0.0 1.0 1.1 0.0 -1.3 8.1 15.0 15y S&P 500 Index 15.7 14.1 15.8 0.0 1.0 1.1 0.0 N/A 8.1 0.0 15y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.1 -1.1 0.0 20.0 15y Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of September 30, 2014 27 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 3.4 3.4 0.0 9.0 Exxon Mobil Corp 2.3 2.3 0.0 -5.9 Microsoft Corp 2.2 2.2 0.0 11.9 Johnson & Johnson 1.7 1.7 0.0 2.6 General Electric Co 1.5 1.5 0.0 -1.7 Wells Fargo & Co 1.4 1.4 0.0 -0.6 Berkshire Hathaway Inc 1.3 1.4 -0.1 9.1 Procter & Gamble Co (The)1.3 1.3 0.0 7.4 JPMorgan Chase & Co 1.3 1.3 0.0 5.3 Chevron Corp 1.3 1.3 0.0 -7.8 % of Portfolio 17.7 17.8 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)129,536 129,536 Median Mkt. Cap ($M)17,195 17,148 Price/Earnings ratio 18.6 18.6 Price/Book ratio 2.9 2.9 5 Yr. EPS Growth Rate (%)14.6 14.5 Current Yield (%)2.0 2.0 Debt to Equity 1.2 1.2 Number of Stocks 504 502 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)28.33 1.00 Sharpe Ratio (5 Years, Monthly)1.18 1.18 Information Ratio (5 Years, Monthly)-1.11 - Up Market Capture (5 Years, Monthly)99.95 - Down Market Capture (5 Years, Monthly)100.05 - 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 3.0 2.4 3.5 19.7 10.3 13.9 16.3 9.7 9.5 11.7 3.0 2.4 3.5 19.7 10.3 13.9 16.3 9.7 9.5 11.7 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 48.7 34.7 16.1 0.5 48.7 34.7 16.1 0.5 Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of September 30, 2014 28 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 T. Rowe Price LCC Growth 1.8 4.8 18.2 24.6 17.4 9.0 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 4.0 7.3 Russell 1000 Growth Index 1.5 7.9 19.1 22.4 16.5 8.9 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 Large-Cap Growth Peer Group Median 1.1 5.5 16.7 21.5 15.1 8.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 T. Rowe Price LCC Growth Rank 29 62 33 11 15 40 12 16 27 39 14 78 55 33 69 56 15.3 16.2 17.1 18.0 18.9 Return (%)13.5 14.0 14.5 15.0 15.5 16.0 16.5 17.0 Risk (Standard Deviation %) Russell 1000 Growth Index T. Rowe Price LCC Growth T. Rowe Price LCC Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Average Active Weight 0.0 15.0 30.0-15.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 -1.9 -0.4 -6.3 2.3 4.8 2.3 -1.2 -8.4 8.3 0.6 Allocation (Total: 0.1) 0.0 0.3 0.6-0.3-0.6 0.0 0.0 0.0 -0.2 -0.1 0.3 -0.1 0.1 0.1 -0.1 0.0 Stock (Total: 0.2) 0.0 0.5 1.0-0.5-1.0 0.0 0.0 0.1 -0.1 0.0 0.5 0.4 -0.3 0.1 -0.4 0.0 T. Rowe Price LCC Growth 0.0 0.5 1.0 1.5-0.5-1.0 0.0 -0.1 0.1 -0.2 -0.1 0.8 0.3 -0.1 0.1 -0.4 0.0 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of September 30, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 29 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 4.3 1.2 3.1 -0.7 Gilead Sciences Inc 4.0 1.6 2.4 28.4 Priceline.Com Inc 3.1 0.6 2.6 -3.7 Google Inc (Class C)2.8 1.6 1.2 0.4 Google Inc 2.8 1.6 1.2 0.6 McKesson Corp 2.7 0.4 2.3 4.7 Biogen Idec Inc 2.6 0.8 1.8 4.9 Facebook Inc 2.5 1.5 1.0 17.5 Baidu Inc 2.4 0.0 2.4 16.8 Danaher Corp 2.4 0.1 2.2 -3.4 % of Portfolio 29.5 9.4 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)83,008 116,514 Median Mkt. Cap ($M)26,144 8,528 Price/Earnings ratio 28.8 21.9 Price/Book ratio 5.3 4.9 5 Yr. EPS Growth Rate (%)21.2 17.8 Current Yield (%)0.6 1.5 Debt to Equity 6.2 1.4 Number of Stocks 137 674 Beta (5 Years, Monthly)1.11 1.00 Consistency (5 Years, Monthly)55.00 1.00 Sharpe Ratio (5 Years, Monthly)1.12 1.20 Information Ratio (5 Years, Monthly)0.29 - Up Market Capture (5 Years, Monthly)108.54 - Down Market Capture (5 Years, Monthly)111.19 - 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 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 1.4 0.0 0.4 3.6 22.2 13.0 21.2 7.4 3.8 2.1 24.9 0.0 0.1 2.4 4.2 28.4 11.9 13.6 5.1 5.7 10.3 18.2 Distribution of Market Capitalization (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 43.0 31.4 21.3 4.2 0.0 34.7 44.4 19.6 0.0 1.4 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of September 30, 2014 30 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Holland Large Cap Growth 1.2 5.2 15.7 19.5 15.1 8.1 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 -0.1 12.0 Russell 1000 Growth Index 1.5 7.9 19.1 22.4 16.5 8.9 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 5.3 6.3 Large-Cap Growth Equity Peer Group Median 1.1 5.5 16.7 21.5 15.1 8.5 34.6 14.6 -0.8 15.3 33.4 -38.3 13.8 7.1 6.2 7.7 Holland Large Cap Growth Rank 47 55 62 76 51 60 77 66 14 51 22 22 78 58 93 18 12.0 14.0 16.0 18.0 20.0 Return (%)12.8 13.2 13.6 14.0 14.4 14.8 15.2 15.6 Risk (Standard Deviation %) Russell 1000 Growth Index Holland Large Cap Growth Holland Large Cap Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Average Active Weight 0.0 4.0 8.0-4.0-8.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 -2.3 -1.5 3.3 -1.5 0.5 -2.0 3.9 -2.9 0.0 2.5 Allocation (Total: -0.3) 0.0 0.3-0.3-0.6-0.9 0.0 -0.1 0.0 0.1 0.0 0.0 0.1 -0.5 0.0 0.0 0.0 Stock (Total: 0.3) 0.0 0.7 1.4-0.7-1.4 0.0 0.0 0.0 -0.3 -0.6 0.5 0.1 -0.2 0.8 0.1 0.0 Holland Large Cap Growth 0.0 0.6 1.2 1.8-0.6-1.2-1.8 0.0 -0.1 0.0 -0.3 -0.5 0.5 0.2 -0.7 0.8 0.1 0.0 Manager Evaluation Holland Large Cap Growth vs. Russell 1000 Growth Index As of September 30, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 31 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Qualcomm Inc.4.3 1.2 3.1 -5.1 Google Inc (Class C)4.0 1.6 2.4 0.4 Visa Inc 3.9 1.1 2.9 1.5 Citrix Systems Inc.3.8 0.1 3.7 14.1 Gilead Sciences Inc 3.7 1.6 2.1 28.4 Apple Inc 3.6 5.9 -2.3 9.0 Priceline.Com Inc 3.5 0.6 2.9 -3.7 Amazon.com Inc 3.4 1.2 2.2 -0.7 Adobe Systems Inc 3.3 0.3 2.9 -4.4 Range Resources Corp.3.1 0.1 3.0 -22.0 % of Portfolio 36.4 13.7 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)94,418 116,514 Median Mkt. Cap ($M)38,377 8,528 Price/Earnings ratio 24.5 21.9 Price/Book ratio 4.7 4.9 5 Yr. EPS Growth Rate (%)16.1 17.8 Current Yield (%)1.0 1.5 Debt to Equity 0.6 1.4 Number of Stocks 49 674 Beta (5 Years, Monthly)0.94 1.00 Consistency (5 Years, Monthly)48.33 1.00 Sharpe Ratio (5 Years, Monthly)1.14 1.20 Information Ratio (5 Years, Monthly)-0.43 - Up Market Capture (5 Years, Monthly)93.80 - Down Market Capture (5 Years, Monthly)95.85 - Sector Weights (%) Holland Capital Management Russell 1000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.9 0.0 0.0 3.1 31.0 10.4 12.9 3.7 8.7 8.8 18.5 0.0 0.1 2.4 4.2 28.4 11.9 13.6 5.1 5.7 10.3 18.2 Distribution of Market Capitalization (%) Holland Capital Management Russell 1000 Growth Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 43.0 31.4 21.3 4.2 0.0 34.5 31.7 27.8 3.1 2.9 Manager Evaluation Holland Capital Management vs. Russell 1000 Growth Index As of September 30, 2014 32 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Kennedy Mid Cap Value -2.3 11.9 20.9 24.8 17.7 N/A 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A N/A N/A N/A Russell Midcap Value Index -2.6 8.2 17.5 24.7 17.2 10.2 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 12.6 23.7 Mid-Cap Value Equity Peer Group Median -4.1 1.6 10.0 21.4 14.6 8.9 33.4 15.5 -3.0 20.7 32.9 -38.9 2.7 13.9 8.6 16.7 Kennedy Mid Cap Value Rank 21 1 1 14 7 N/A 51 63 33 9 43 10 N/A N/A N/A N/A 16.5 17.0 17.5 18.0 18.5 Return (%)15.3 15.6 15.9 16.2 16.5 16.8 17.1 17.4 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.9 -0.3 -1.7 -1.3 7.0 -3.0 -9.1 4.0 -0.4 3.0 4.7 Allocation (Total: -0.7) 0.0 0.4-0.4-0.8 0.1 0.0 0.0 0.0 -0.2 -0.2 0.0 -0.5 0.0 0.1 0.1 Stock (Total: 1.0) 0.0 0.6 1.2-0.6-1.2 0.0 0.0 0.0 0.7 0.6 0.2 0.1 -0.1 0.0 -0.3 0.0 Kennedy Mid Cap Value 0.0 0.5 1.0 1.5-0.5-1.0-1.5 0.1 0.0 0.0 0.6 0.4 0.1 0.0 -0.6 0.0 -0.2 0.1 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of September 30, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 33 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Hospira Inc 2.5 0.3 2.2 1.3 Cadence Design Systems Inc 2.3 0.0 2.3 -1.6 Trinity Industries Inc.2.3 0.1 2.2 7.1 Foot Locker Inc.2.3 0.2 2.0 10.2 Reinsurance Group of America Inc.2.2 0.1 2.1 2.0 Community Health Systems Inc 2.2 0.2 2.0 20.8 NetApp Inc 2.2 0.3 1.8 18.2 Helmerich & Payne Inc.2.1 0.1 2.0 -15.1 Lincoln National Corp 2.1 0.5 1.6 4.5 UGI Corp 2.1 0.2 1.9 1.9 % of Portfolio 22.3 2.0 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)8,272 11,123 Median Mkt. Cap ($M)6,684 5,613 Price/Earnings ratio 18.6 18.5 Price/Book ratio 2.2 1.9 5 Yr. EPS Growth Rate (%)13.0 11.2 Current Yield (%)1.7 2.2 Debt to Equity 0.5 0.9 Number of Stocks 57 566 Beta (5 Years, Monthly)1.02 1.00 Consistency (5 Years, Monthly)58.33 1.00 Sharpe Ratio (5 Years, Monthly)1.14 1.14 Information Ratio (5 Years, Monthly)0.16 - Up Market Capture (5 Years, Monthly)101.16 - Down Market Capture (5 Years, Monthly)98.85 - 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 3.5 8.7 0.0 3.8 12.8 15.6 6.1 23.8 8.0 2.0 15.8 0.0 11.9 0.3 7.1 10.8 9.5 9.3 32.2 5.4 3.4 10.0 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 12.1 67.3 20.6 0.01.6 67.9 27.0 3.5 Manager Evaluation Kennedy Capital Management vs. Russell Midcap Value Index As of September 30, 2014 34 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 TimesSquare Small Cap Growth -5.7 -11.1 -2.9 20.0 15.9 11.6 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 13.4 11.1 Russell 2000 Growth Index -6.1 -4.0 3.8 21.9 15.5 9.0 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 4.2 14.3 Small-Cap Growth Equity Peer Group Median -5.8 -5.5 1.9 20.1 14.7 8.0 44.7 12.7 -2.7 27.7 34.5 -40.6 9.9 9.9 5.8 11.3 TimesSquare Small Cap Growth Rank 46 89 88 52 28 6 31 47 14 53 46 11 49 14 10 53 14.8 15.2 15.6 16.0 16.4 16.8 Return (%)17.8 18.0 18.2 18.4 18.6 18.8 19.0 19.2 Risk (Standard Deviation %) Russell 2000 Growth Index TimesSquare Small Cap Growth TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Average Active Weight 0.0 15.0 30.0-15.0-30.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.2 -0.7 -3.7 6.6 9.2 -10.1 -0.1 -0.5 -0.1 -3.9 3.5 Allocation (Total: -0.1) 0.0 0.4 0.8-0.4-0.8 0.0 0.0 0.0 0.1 -0.2 -0.3 0.0 0.1 0.0 0.1 0.2 Stock (Total: 0.3) 0.0 0.5 1.0 1.5-0.5-1.0 0.0 0.0 -0.2 0.7 -0.1 0.5 -0.2 -0.2 0.1 -0.2 0.0 TimesSquare Small Cap Growth 0.0 0.4 0.8 1.2-0.4-0.8 0.0 0.0 -0.1 0.8 -0.3 0.2 -0.2 -0.2 0.1 -0.1 0.2 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of September 30, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 35 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Solera Holdings Inc 2.1 0.0 2.1 -15.8 Albany International Corp.1.9 0.0 1.9 -9.9 WEX Inc 1.9 0.5 1.4 5.1 On Assignment Inc 1.9 0.2 1.7 -24.5 Ultimate Software Group Inc 1.9 0.5 1.4 2.4 Air Methods Corp 1.8 0.3 1.5 7.5 j2 Global Inc 1.7 0.3 1.4 -2.4 Henry (Jack) & Associates Inc.1.6 0.0 1.6 -6.0 CoStar Group Inc 1.6 0.0 1.6 -1.7 Team Health Holdings Inc 1.6 0.5 1.1 16.1 % of Portfolio 18.0 2.3 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)2,093 1,847 Median Mkt. Cap ($M)1,577 785 Price/Earnings ratio 25.1 24.2 Price/Book ratio 3.4 3.7 5 Yr. EPS Growth Rate (%)13.7 17.4 Current Yield (%)0.5 0.6 Debt to Equity 0.5 -5.5 Number of Stocks 107 1,151 Beta (5 Years, Monthly)0.85 1.00 Consistency (5 Years, Monthly)53.33 1.00 Sharpe Ratio (5 Years, Monthly)0.97 0.86 Information Ratio (5 Years, Monthly)-0.01 - Up Market Capture (5 Years, Monthly)87.44 - Down Market Capture (5 Years, Monthly)77.39 - Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 1.0 0.0 0.9 1.6 32.4 24.6 12.7 7.2 3.9 3.8 11.9 0.0 0.2 0.8 5.4 25.9 14.7 21.7 7.6 4.7 3.9 15.2 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 0.7 99.3 0.03.6 95.5 1.0 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of September 30, 2014 36 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Morgan Stanley International Equity -5.0 -0.8 4.7 14.5 7.4 6.5 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 6.5 20.0 MSCI EAFE Index -5.9 -1.4 4.3 13.6 6.6 6.3 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 13.5 20.2 International Equity Peer Group Median -5.8 -1.7 4.3 13.6 6.8 6.6 20.8 18.4 -13.7 11.6 33.5 -44.4 11.9 25.2 15.0 18.5 Morgan Stanley International Equity Rank 27 36 43 33 38 55 54 35 10 88 92 1 66 76 100 38 5.6 6.4 7.2 8.0 8.8 Return (%)13.2 13.8 14.4 15.0 15.6 16.2 16.8 17.4 Risk (Standard Deviation %) MSCI EAFE Index Morgan Stanley International Equity Morgan Stanley International Equity MSCI EAFE Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Average Active Weight 0.0 15.0 30.0-15.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.9 -3.3 0.7 2.2 -5.6 3.7 -7.1 0.8 13.6 -3.2 2.1 Allocation (Total: 0.3) 0.0 0.2 0.4-0.2-0.4 0.0 0.0 0.0 0.1 0.1 0.2 -0.1 0.0 -0.2 0.1 0.1 Stock (Total: 0.6) 0.0 0.5 1.0-0.5-1.0 0.0 0.1 -0.2 0.1 0.1 0.1 0.0 0.1 0.5 -0.1 0.0 Morgan Stanley International Equity 0.0 0.3 0.6 0.9-0.3-0.6 0.0 0.0 -0.3 0.2 0.1 0.3 -0.1 0.1 0.4 0.0 0.1 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of September 30, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 37 Total Attribution 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8-0.1-0.2-0.3-0.4-0.5 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -0.2 0.0 -0.1 0.0 0.5 0.5 0.0 0.1 Performance Attribution Average Active Weight 0.0 10.0 20.0-10.0-20.0 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -10.3 -0.3 1.5 -0.5 11.9 -5.6 1.4 2.1 Allocation (Total: 0.0) 0.0 0.2 0.4-0.2-0.4-0.6 -0.2 0.0 -0.1 0.0 0.0 0.2 0.0 0.1 Stock (Total: 0.9) 0.0 0.2 0.4 0.6 0.8 0.1 0.0 0.0 0.0 0.5 0.3 0.0 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index 1 Quarter Ending September 30, 2014 38 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) British American Tobacco PLC 4.7 0.8 3.9 -3.8 Reckitt Benckiser Group PLC 4.6 0.4 4.2 0.6 Nestle SA, Cham Und Vevey 4.5 1.8 2.7 -5.1 Sanofi 4.4 1.0 3.4 6.5 Unilever NV 4.4 0.5 3.9 -8.1 Novartis AG 3.6 1.7 1.9 4.2 Roche Holding AG 3.2 1.6 1.5 -0.7 Diageo PLC 2.8 0.6 2.2 -7.6 SAP AG Systeme Anwendungen 2.5 0.5 1.9 -6.6 Toyota Motor Corp 2.4 1.3 1.2 -0.9 % of Portfolio 37.0 10.3 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)79,836 64,782 Median Mkt. Cap ($M)30,670 8,932 Price/Earnings ratio 17.5 15.5 Price/Book ratio 2.7 2.1 5 Yr. EPS Growth Rate (%)7.1 13.5 Current Yield (%)3.0 3.3 Debt to Equity 1.2 1.2 Number of Stocks 71 901 Beta (5 Years, Monthly)0.89 1.00 Consistency (5 Years, Monthly)48.33 1.00 Sharpe Ratio (5 Years, Monthly)0.55 0.46 Information Ratio (5 Years, Monthly)0.17 - Up Market Capture (5 Years, Monthly)93.77 - Down Market Capture (5 Years, Monthly)88.19 - Sector Weights (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 6.0 12.0 18.0 24.0 30.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.4 0.0 1.6 7.7 7.0 6.9 14.7 18.5 7.6 24.4 9.1 0.0 3.9 4.9 7.7 4.7 12.5 11.2 25.7 6.9 10.9 11.6 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 28.5 40.8 26.3 4.4 0.0 36.1 36.8 23.7 1.0 2.4 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of September 30, 2014 39 Morgan Stanley International Equity MSCI EAFE Index Australia 2.0 7.5 Hong Kong 0.6 2.9 Japan 18.9 21.0 New Zealand 0.0 0.1 Singapore 0.0 1.5 Pacific 21.5 33.1 Austria 0.0 0.2 Belgium 0.0 1.3 Finland 0.0 0.9 France 10.5 9.4 Germany 7.9 8.7 Ireland 0.9 0.3 Italy 1.0 2.4 Netherlands 5.3 3.0 Portugal 0.0 0.2 Spain 0.0 3.6 EMU 25.6 30.0 Denmark 0.0 1.6 Norway 0.0 0.8 Sweden 2.4 3.1 Switzerland 15.7 9.2 United Kingdom 29.8 21.4 Europe ex EMU 47.9 36.1 Canada 1.4 0.0 United States 0.0 0.0 Israel 0.0 0.6 Middle East 0.0 0.6 Developed Markets 96.3 99.7 Morgan Stanley International Equity MSCI EAFE Index Brazil 0.0 0.0 Cayman Islands 0.0 0.0 Chile 0.0 0.0 Colombia 0.0 0.0 Mexico 0.0 0.0 Peru 0.0 0.0 Virgin Islands 0.0 0.0 EM Latin America 0.0 0.0 China 1.3 0.0 India 0.0 0.0 Indonesia 0.0 0.0 Korea 0.0 0.0 Malaysia 0.0 0.0 Philippines 0.0 0.0 Taiwan 0.0 0.0 Thailand 0.0 0.0 EM Asia 1.3 0.0 Czech Republic 0.0 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.0 0.0 Qatar 0.0 0.0 Russia 0.0 0.0 South Africa 0.0 0.0 Turkey 0.0 0.0 United Arab Emirates 0.0 0.0 EM Europe + Middle East + Africa 0.0 0.0 Emerging Markets 1.3 0.0 Frontier Markets 0.0 0.0 Cash 2.4 0.0 Other 0.0 0.3 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of September 30, 2014 40 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2009 - Sep - 2014)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Morgan Stanley Emerging Markets -3.5 1.9 3.7 7.7 4.8 10.4 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 34.5 24.1 MSCI Emerging Markets Index -3.5 2.4 4.3 7.2 4.4 10.7 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 34.0 25.6 Emerging Markets Equity Peer Group Median -3.7 2.2 4.4 8.1 4.5 10.0 -1.1 19.5 -19.2 19.2 74.0 -54.5 37.4 32.3 32.9 24.9 Morgan Stanley Emerging Markets Rank 44 57 61 59 45 42 47 39 41 55 69 71 25 16 41 60 3.6 4.0 4.4 4.8 5.2 5.6 Return (%)15.0 15.5 16.0 16.5 17.0 17.5 18.0 18.5 Risk (Standard Deviation %) MSCI Emerging Markets Index Morgan Stanley Emerging Markets Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Average Active Weight 0.0 4.0 8.0-4.0-8.0-12.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.5 2.0 -5.1 0.4 1.5 2.0 0.9 -4.4 1.3 2.5 2.3 Allocation (Total: 0.9) 0.0 0.2 0.4-0.2-0.4 0.0 0.2 0.2 0.0 0.0 0.3 0.0 0.2 0.0 -0.1 0.1 Stock (Total: -0.8) 0.0 0.5 1.0-0.5-1.0 0.0 -0.5 0.2 -0.6 0.2 -0.2 -0.3 0.4 0.0 0.2 0.0 Morgan Stanley Emerging Markets 0.0 0.5 1.0 1.5-0.5-1.0-1.5 0.0 -0.4 0.4 -0.6 0.2 0.1 -0.3 0.5 0.0 0.1 0.1 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of September 30, 2014 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 41 Total Attribution 0.0 0.3 0.6 0.9 1.2 1.5 1.8 2.1-0.3-0.6-0.9-1.2-1.5-1.8-2.1 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -0.1 -0.1 -0.1 0.2 -0.1 -1.0 0.8 0.2 0.4 0.1 Performance Attribution Average Active Weight 0.0 5.0 10.0 15.0-5.0-10.0-15.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -2.4 1.7 1.3 1.3 2.0 5.3 -0.1 -6.4 -5.0 2.3 Allocation (Total: -0.9) 0.0 0.5 1.0-0.5-1.0-1.5-2.0 -0.2 -0.1 0.0 0.2 -0.1 -1.0 0.0 0.3 -0.1 0.1 Stock (Total: 1.1) 0.0 0.4 0.8 1.2 1.6-0.4-0.8 0.1 0.0 -0.2 0.0 0.0 0.0 0.8 -0.1 0.5 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index 1 Quarter Ending September 30, 2014 42 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Tencent Holdings LTD 2.5 1.9 0.5 -2.5 Taiwan Semiconductor Manufacturing 2.3 2.5 -0.2 -4.7 BRF - Brasil Foods S.A.2.2 0.4 1.9 -1.1 Bank of China Ltd 2.2 0.9 1.3 0.1 Samsung Electronics Co Ltd 1.8 3.1 -1.3 -14.3 Cemex SAB de CV 1.6 0.4 1.2 -1.4 America Movil SA De CV, Mexico 1.6 1.1 0.5 22.4 Alfa SAB De CV 1.5 0.3 1.3 23.6 Naspers Ltd 1.5 1.1 0.4 -6.1 China Mobile Ltd 1.5 1.8 -0.3 21.0 % of Portfolio 18.7 13.5 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)31,729 38,575 Median Mkt. Cap ($M)9,106 5,444 Price/Earnings ratio 14.4 11.9 Price/Book ratio 2.6 2.1 5 Yr. EPS Growth Rate (%)16.6 15.5 Current Yield (%)2.2 2.8 Debt to Equity 1.0 0.9 Number of Stocks 155 834 Beta (5 Years, Monthly)0.90 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)0.36 0.32 Information Ratio (5 Years, Monthly)0.03 - Up Market Capture (5 Years, Monthly)91.56 - Down Market Capture (5 Years, Monthly)88.50 - Sector Weights (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 1.9 0.2 8.5 4.0 15.1 8.0 2.9 30.5 7.9 9.6 11.5 0.0 3.5 7.7 8.3 16.7 6.6 2.1 27.5 10.2 8.3 8.9 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 17.5 28.0 38.6 15.8 0.0 13.4 26.5 38.9 19.2 1.9 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of September 30, 2014 43 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Australia 0.0 0.0 Hong Kong 3.1 6.4 Japan 0.2 0.0 New Zealand 0.0 0.0 Singapore 0.5 0.1 Pacific 3.8 6.5 Austria 2.3 0.0 Belgium 0.0 0.0 Finland 0.0 0.0 France 0.0 0.0 Germany 0.0 0.0 Ireland 0.0 0.0 Italy 0.0 0.0 Netherlands 0.5 0.0 Portugal 0.8 0.0 Spain 0.0 0.0 EMU 3.5 0.0 Denmark 0.0 0.0 Norway 0.0 0.0 Sweden 0.0 0.0 Switzerland 1.1 0.0 United Kingdom 0.8 0.0 Europe ex EMU 1.9 0.0 Canada 0.0 0.0 United States 1.5 0.1 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 10.7 6.6 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Brazil 8.4 10.3 Cayman Islands 0.0 0.0 Chile 0.6 1.5 Colombia 2.8 1.0 Mexico 7.7 5.4 Peru 1.2 0.3 Virgin Islands 0.0 0.0 EM Latin America 20.7 18.5 China 10.1 12.7 India 9.1 7.1 Indonesia 1.2 2.7 Korea 14.5 15.0 Malaysia 2.4 3.9 Philippines 3.8 1.2 Taiwan 8.0 12.0 Thailand 3.6 2.4 EM Asia 52.7 56.9 Czech Republic 1.1 0.2 Egypt 0.0 0.3 Greece 0.0 0.7 Hungary 0.0 0.2 Poland 3.3 1.7 Qatar 0.5 0.6 Russia 1.0 4.6 South Africa 5.3 7.4 Turkey 0.0 1.6 United Arab Emirates 0.0 0.6 EM Europe + Middle East + Africa 11.0 17.9 Emerging Markets 84.4 93.4 Frontier Markets 1.3 0.0 Cash 1.9 0.0 Other 1.6 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of September 30, 2014 44 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Oct-2009 - Sep-2014) Historical Statistics (Oct-2009 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Income Research -0.1 2.5 2.5 2.9 4.0 4.9 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 4.5 2.8 3.7 Barclays Intermediate U.S. Government/Credit 0.0 2.2 2.2 2.0 3.4 4.0 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 1.6 3.0 Intermediate Duration Fixed Income Peer Group Median -0.1 2.6 3.0 2.9 4.5 4.6 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 2.6 Income Research Rank 40 63 65 51 60 25 61 41 28 49 24 29 9 14 1 19 2.5 3.0 3.5 4.0 4.5 5.0 Return (%)2.1 2.2 2.3 2.4 2.5 Risk (Standard Deviation %) Barclays Intermediate U.S. Government/Credit Income Research Income Research Barclays Intermediate U.S. Government/Credit 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Income Research 4.0 2.3 3.9 0.8 0.9 1.7 0.7 0.8 1.0 65.0 17y 8m Barclays Intermediate U.S. Government/Credit 3.4 2.4 3.3 0.0 1.0 1.4 0.0 N/A 1.0 0.0 17y 8m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.4 -1.4 0.0 20.0 17y 8m Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of September 30, 2014 45 Credit Quality Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated64.9 6.6 14.3 14.2 0.0 0.0 0.0 0.0 51.4 9.5 17.7 20.9 0.0 0.0 0.0 0.6 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.7 3.9 Avg. Maturity 4.3 4.2 Avg. Quality AA-AA Yield To Maturity (%)2.0 1.7 Sector Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesTIPSAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.4 0.0 6.0 24.5 0.0 0.0 0.0 10.6 2.4 0.0 0.0 0.0 0.0 23.6 0.0 0.8 37.4 0.0 3.7 7.6 0.0 0.0 2.4 0.6 9.4 14.6 Maturity Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 41.7 26.4 31.9 0.0 0.00.0 37.0 30.4 30.6 2.0 0.0 Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of September 30, 2014 46 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Oct-2009 - Sep-2014) Historical Statistics (Oct-2009 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Penn Capital -2.2 2.0 5.6 8.4 8.9 N/A 5.9 13.3 4.2 15.0 37.5 -21.0 1.8 8.9 N/A N/A BofA Merrill Lynch US High Yield, Cash Pay Index -1.9 3.5 7.1 10.9 10.3 8.1 7.4 15.4 4.5 15.2 56.3 -26.2 2.2 11.6 2.8 10.8 High Yield Fixed Income Peer Group Median -1.9 3.3 6.9 10.8 10.0 7.6 7.4 15.3 4.0 14.7 47.3 -24.3 2.6 10.7 3.1 10.4 Penn Capital Rank 81 93 88 93 84 N/A 78 80 46 41 79 25 74 84 N/A N/A 6.0 8.0 10.0 12.0 14.0 Return (%)4.5 4.8 5.1 5.4 5.7 6.0 6.3 6.6 Risk (Standard Deviation %) BofA Merrill Lynch US High Yield, Cash Pay Index Penn Capital Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Penn Capital 8.9 5.2 8.7 0.3 0.8 1.7 1.5 -0.9 2.4 35.0 9y 3m BofA Merrill Lynch US High Yield, Cash Pay Index 10.3 6.0 10.1 0.0 1.0 1.7 0.0 N/A 2.9 0.0 9y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 6.0 -1.7 0.0 20.0 9y 3m Manager Evaluation Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index As of September 30, 2014 47 Credit Quality Distribution (%) Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated0.0 0.0 0.0 0.0 41.8 41.0 17.0 0.20.0 0.0 0.0 0.7 35.0 64.2 0.0 0.0 Portfolio Characteristics Portfolio Benchmark Effective Duration 4.6 4.5 Avg. Maturity 6.6 6.6 Avg. Quality B B+ Yield To Maturity (%)6.4 6.2 Sector Distribution (%) Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 50.0 100.0 150.0 TreasuriesTIPSAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS0.0 0.0 0.0 0.0 100.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.00.0 0.0 0.0 0.0 96.6 0.0 0.0 0.0 0.0 0.0 3.3 0.1 0.0 Maturity Distribution (%) Penn Capital BofA Merrill Lynch US High Yield, Cash Pay Index 0.0 50.0 100.0 150.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 8.5 24.2 61.3 4.1 1.93.5 1.8 15.8 76.0 2.9 0.0 Manager Evaluation Penn Capital vs. BofA Merrill Lynch US High Yield, Cash Pay Index As of September 30, 2014 48 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Apr-2010 - Sep-2014) Historical Statistics (Apr-2010 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Loomis Credit Asset Fund -0.6 3.9 6.3 8.8 N/A N/A 4.4 14.2 3.3 N/A N/A N/A N/A N/A N/A N/A 50% BC Credit / 25% S&P LSTA / 25% BY High Yield -0.6 4.2 6.1 6.8 7.3 6.2 2.1 11.0 5.8 10.6 34.3 -15.9 3.6 6.8 3.0 6.7 Alternative Credit Focus Funds Peer Group Median -0.5 1.8 3.6 4.1 5.2 4.3 0.9 8.6 1.3 8.1 21.9 -12.7 4.6 5.1 1.4 6.1 Loomis Credit Asset Fund Rank 55 13 9 1 N/A N/A 15 6 22 N/A N/A N/A N/A N/A N/A N/A 5.4 6.3 7.2 8.1 9.0 Return (%)2.4 2.7 3.0 3.3 3.6 3.9 4.2 4.5 4.8 5.1 Risk (Standard Deviation %) 50% BC Credit / 25% S&P LSTA / 25% BY High Yield Loomis Credit Asset Fund Loomis Credit Asset Fund 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Loomis Credit Asset Fund 7.6 4.3 7.4 -0.4 1.2 1.7 1.8 0.5 1.7 66.7 4y 6m 50% BC Credit / 25% S&P LSTA / 25% BY High Yield 6.7 3.3 6.5 0.0 1.0 2.0 0.0 N/A 1.1 0.0 4y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.3 -2.0 0.0 16.7 4y 6m Manager Evaluation Loomis Credit Asset Fund vs. 50% BC Credit / 25% S&P LSTA / 25% BY High Yield As of September 30, 2014 49 Credit Quality Distribution (%) Loomis Credit Asset Fund 0.0 8.0 16.0 24.0 32.0 AAAAAABBBBBBBelow BNot Rated11.2 2.5 14.1 23.0 23.9 22.1 3.2 0.0 Portfolio Characteristics Portfolio Effective Duration 4.2 Avg. Maturity 9.8 Avg. Quality BBB- Yield To Maturity (%)4.6 Sector Distribution (%) Loomis Credit Asset Fund 0.0 15.0 30.0 45.0 TreasuriesTIPSAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS2.3 0.0 0.1 21.4 22.7 4.2 4.1 0.0 0.0 0.0 10.8 30.7 3.7 Maturity Distribution (%) Loomis Credit Asset Fund 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs13.8 13.8 21.0 44.0 7.4 0.0 Manager Evaluation Loomis Credit Asset Fund As of September 30, 2014 50 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Oct-2009 - Sep-2014) Historical Statistics (Oct-2009 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Brandywine Global Opportunistic Fixed Income -2.0 6.2 5.9 5.6 7.6 N/A -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 -0.9 N/A Citigroup World Government Bond -3.8 1.0 -0.1 -0.5 1.6 4.1 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 -6.9 10.3 Global Fixed Income Peer Group Median -1.8 2.5 3.3 2.9 4.2 4.9 -1.7 7.5 3.7 6.1 12.0 -2.1 7.7 5.7 0.7 9.5 Brandywine Global Opportunistic Fixed Income Rank 54 9 21 20 3 N/A 69 15 12 10 25 74 18 21 55 N/A -6.0 0.0 6.0 12.0 18.0 Return (%)5.5 5.6 5.7 5.8 Risk (Standard Deviation %) Citigroup World Government Bond Brandywine Global Opportunistic Fixed Income Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Brandywine Global Opportunistic Fixed Income 7.6 5.7 7.5 6.2 0.8 1.3 3.3 1.8 1.8 80.0 9y 9m Citigroup World Government Bond 1.6 5.6 1.6 0.0 1.0 0.3 0.0 N/A 3.0 0.0 9y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.6 -0.3 0.0 50.0 9y 9m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond As of September 30, 2014 51 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated18.1 67.1 2.5 12.5 0.0 0.0 0.0 0.0 18.7 23.4 27.7 19.2 8.0 1.7 1.1 0.2 Portfolio Characteristics Portfolio Benchmark Effective Duration 5.7 7.1 Avg. Maturity 12.2 8.4 Avg. Quality A AA Yield To Maturity (%)3.8 1.3 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 25.0 50.0 75.0 100.0 TreasuriesTIPSAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS29.7 0.0 0.0 0.0 0.0 0.0 0.0 70.3 0.0 0.0 0.0 0.0 0.0 10.1 0.0 0.0 6.0 0.1 3.8 0.0 58.7 15.1 0.8 4.6 0.9 0.0 Maturity Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond 0.0 15.0 30.0 45.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 27.5 19.0 27.4 26.2 0.0 5.8 18.8 7.6 31.3 7.3 29.3 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond As of September 30, 2014 52 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Jul-2010 - Sep-2014) Historical Statistics (Jul-2010 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Pictet Emerging Local Currency Debt Fund -5.5 -1.0 -2.5 0.8 N/A N/A -10.3 15.3 -2.3 N/A N/A N/A N/A N/A N/A N/A JPM GBI-EM Global Diversified -5.7 0.0 -1.5 2.2 4.4 8.8 -9.0 16.8 -1.8 15.7 22.0 -5.2 18.1 15.2 6.3 23.0 Emerging Markets LC Peer Group Median -5.6 -0.3 -1.9 1.9 3.8 N/A -10.4 16.7 -3.3 14.3 24.1 N/A N/A N/A N/A N/A Pictet Emerging Local Currency Debt Fund Rank 43 72 70 85 N/A N/A 49 70 38 N/A N/A N/A N/A N/A N/A N/A 0.0 1.5 3.0 4.5 6.0 Return (%)9.2 9.4 9.6 9.8 10.0 10.2 10.4 10.6 Risk (Standard Deviation %) JPM GBI-EM Global Diversified Pictet Emerging Local Currency Debt Fund Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0 25 50 75 100Return Percentile Rank12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Pictet Emerging Local Currency Debt Fund 2.1 9.6 2.5 -1.3 0.9 0.3 1.0 -1.7 6.0 11.8 4y 3m JPM GBI-EM Global Diversified 3.7 10.2 4.1 0.0 1.0 0.4 0.0 N/A 6.1 0.0 4y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 10.2 -0.4 0.0 47.1 4y 3m Manager Evaluation Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified As of September 30, 2014 53 Credit Quality Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBBelow BNot Rated0.0 0.1 31.2 53.0 15.7 0.0 0.0 0.00.2 0.1 26.2 49.3 13.5 0.0 0.8 9.9 Portfolio Characteristics Portfolio Benchmark Effective Duration 5.2 4.8 Avg. Maturity 7.7 7.0 Avg. Quality BBB BBB+ Yield To Maturity (%)6.6 6.7 Country/Region Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 15.0 30.0 45.0 60.0 AsiaEastern EuropeLatin AmericaAfricaOthers24.7 34.1 29.3 11.9 0.0 23.3 30.5 24.2 12.0 10.0 Sector Distribution (%) Pictet Emerging Local Currency Debt Fund JPM GBI-EM Global Diversified 0.0 50.0 100.0 150.0 -50.0 TreasuriesCreditCash100.0 0.0 0.0 90.1 -0.9 10.8 Manager Evaluation Pictet Emerging Local Currency Debt Fund vs. JPM GBI-EM Global Diversified As of September 30, 2014 54 Historical Performance Comparative Performance and Rolling Return Risk and Return (Oct-2009 - Sep-2014) Historical Statistics (Oct-2009 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 GMO Asset Allocation Fund -2.8 2.5 6.9 9.8 7.7 7.0 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.1 9.5 13.4 65% MSCI World (Net) / 35% BC Aggregate -1.3 4.0 9.3 12.4 8.7 6.6 15.9 11.9 -0.7 10.5 21.6 -26.9 8.4 14.4 7.1 11.1 6.0 7.0 8.0 9.0 10.0 11.0 Return (%)6.8 7.2 7.6 8.0 8.4 8.8 9.2 9.6 10.0 Risk (Standard Deviation %) 65% MSCI World (Net) / 35% BC Aggregate GMO Asset Allocation Fund Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 24.0 -8.0 -16.0Active Return (%)3/97 9/98 3/00 9/01 3/03 9/04 3/06 9/07 3/09 9/10 3/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date GMO Asset Allocation Fund 7.7 8.0 7.7 0.3 0.8 1.0 2.3 -0.5 4.7 35.0 17y 11m 65% MSCI World (Net) / 35% BC Aggregate 8.7 9.2 8.8 0.0 1.0 1.0 0.0 N/A 5.6 0.0 17y 11m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 9.2 -1.0 0.0 25.0 17y 11m Manager Evaluation GMO Asset Allocation Fund vs. 65% MSCI World (Net) / 35% BC Aggregate As of September 30, 2014 55 US Quality 12.7% US Opportunistic Va lue 4.6% As set Ba cked Securities Em erging Country Debt 3.6% Al pha Only 11.8% Cash and Cash Equivalents 4.7% Manager Evaluation GMO Asset Allocation Fund As of September 30, 2014 17.3% 25.9% 8.0% 6.2% 26.0% 16.5% 10.0% 15.0% 20.0% 25.0% 30.0% Fund Composition Asset Class Weights Europe Value 20.0% Other International Op portunis ti c Value 1.2%Japan 4.7%Em erging Markets 8.0%System atic Global Ma cro 3.7% Ris k Premium 2.5% Developed Rates 17.7% Securities 4.7% 6.2% 0.0% 5.0% 56 Historical Performance Comparative Performance and Rolling Return Risk and Return (Oct-2009 - Sep-2014) Historical Statistics (Oct-2009 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 PIMCO All Asset Fund I -2.9 3.8 5.2 8.0 7.5 6.4 0.8 15.4 2.4 13.7 23.0 -15.5 8.7 5.3 6.5 11.8 Barclays U.S. Treasury Inflation Notes: 1-10 Year -2.0 1.9 0.6 0.9 3.4 4.0 -5.6 5.0 8.9 5.2 12.0 -2.4 11.4 1.6 1.9 7.1 -4.0 0.0 4.0 8.0 12.0 16.0 Return (%)2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0 7.7 8.4 Risk (Standard Deviation %) Barclays U.S. Treasury Inflation Notes: 1-10 Year PIMCO All Asset Fund I Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 24.0 -8.0 -16.0Active Return (%)12/02 12/03 12/04 12/05 12/06 12/07 12/08 12/09 12/10 12/11 12/12 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date PIMCO All Asset Fund I 7.5 6.6 7.5 4.4 0.9 1.1 5.6 0.7 3.7 80.0 12y 2m Barclays U.S. Treasury Inflation Notes: 1-10 Year 3.4 3.8 3.4 0.0 1.0 0.9 0.0 N/A 2.7 0.0 12y 2m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 3.8 -0.9 0.0 15.0 12y 2m Manager Evaluation PIMCO All Asset Fund I vs. Barclays U.S. Treasury Inflation Notes: 1-10 Year As of September 30, 2014 57 Manager Evaluation PIMCO All Asset Fund I Sector Allocations As of September 30, 2014 U.S. Equity Strat egies 2.4% Global Equity Strat egies 24.0% Infl at ion Relat ed Strat egies 10.9% Alternat ive Strat egies 14.9% U.S. Core &Long Maturi ty Bond Strat egies 15.3% Credi t Strat egies 11.5% EM & Global Bond Strat egi es 20.8% Short -Te rm Strat egi es 0.3% 58 Historical Performance Comparative Performance and Rolling Return Risk and Return (Oct-2009 - Sep-2014) Historical Statistics (Oct-2009 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 UBS Trumbull Property Fund 2.9 7.5 9.6 9.3 10.0 6.7 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 20.1 13.5 NCREIF Fund Index-Open End Diversified Core Equity 0.0 5.4 8.6 10.9 11.3 6.4 13.3 11.0 16.0 16.1 -30.7 -10.4 16.1 16.1 20.2 12.6 8.0 10.0 12.0 14.0 Return (%)2.7 3.0 3.3 3.6 3.9 4.2 4.5 4.8 Risk (Standard Deviation %) NCREIF Fund Index-Open End Diversified Core Equity UBS Trumbull Property Fund Rolling 3 Years Active Return Quarterly Active Return 0.0 4.0 8.0 -4.0 -8.0 -12.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date UBS Trumbull Property Fund 10.0 3.2 9.6 2.1 0.7 3.0 2.0 -0.6 1.4 20.0 36y 9m NCREIF Fund Index-Open End Diversified Core Equity 11.3 4.0 10.9 0.0 1.0 2.7 0.0 N/A 1.9 0.0 36y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.0 -2.7 0.0 10.0 36y 9m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Fund Index-Open End Diversified Core Equity As of September 30, 2014 59 Property Type UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 OfficeApartmentRetailIndustrialOtherHotel36.6 24.7 23.3 13.7 0.0 1.7 31.0 33.0 22.0 9.0 0.0 5.0 Portfolio Characteristics Portfolio Benchmark # Properties 198 7,170 # Investors 411 N/A Total Fund Assets 15,400 395,434 Property Location UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 EastWestSouthMidwest34.3 35.4 20.8 9.5 40.4 23.0 14.3 22.3 Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of September 30, 2014 60 Type City Ac quis ition Da te % Occupa nc y Cos t ($000) Fa ir Market Value ($000) Office Ne w York Ju n-06 100%664,900$ 664,900$ Office Bo ston Dec-11 89%657,691$ 657,691$ Re tail Ca mb rid ge May-89 96%559,300$ 561,377$ Re tail Da lla s Dec-02 90%505,000$ 505,000$ Apart me nts Ne w York Ju l-11 95%463,000$ 463,000$ Office Ne w York Ju l-11 97%275,213$ 457,308$ Re tail Ch ic ag o No v-13 95%249,108$ 444,227$ Office Ne w York Se p-14 92%273,599$ 443,349$ Office Ch ic ag o Dec-11 100%435,000$ 435,768$ As of Se ptembe r 30,2014 20 La rge st Inve st me nts Manager Evaluation UBS Trumbull Property Fund As of September 30, 2014 Office Ch ic ag o Dec-11 100%435,000$ 435,768$ Re tail Eme ry ville Aug-14 99%305,442$ 305,442$ Re tail Montebello Dec-88 97%281,000$ 281,000$ Office Washin gton May-06 80%262,000$ 262,000$ Office De nver Ju n-06 94%250,000$ 250,000$ Office Se attle Oc t-84 80%250,000$ 250,000$ Apart me nts Br ookly n Dec-07 95%240,000$ 240,000$ Office Sa n Fra ncis co Dec-85 89%214,000$ 216,504$ Office De nver Apr-82 91%213,000$ 213,000$ Office Pa sadena May-84 97%209,000$ 209,000$ Re tail Millb ury Se p-04 97%190,800$ 190,800$ Apart me nts Arlin gton Mar-13 94%66,628$ 188,953$ All o ther in vestme nts ----10,688,765$ 10,692,363$ Total Properties 17,253,446$ 17,931,682$ 61 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2010 - Sep-2014) Historical Statistics (Apr-2010 - Sep-2014) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 Wellington Diversified Inflation Hedges -8.0 -0.3 2.4 1.9 N/A N/A -3.9 5.2 -8.6 N/A N/A N/A N/A N/A N/A N/A Wellington DIH Multi-Asset Inflation Index -8.1 -1.1 0.4 1.5 2.3 4.9 -2.1 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 19.7 16.0 0.0 0.8 1.6 2.4 3.2 Return (%)13.2 13.8 14.4 15.0 15.6 16.2 16.8 Risk (Standard Deviation %) Wellington DIH Multi-Asset Inflation Index Wellington Diversified Inflation Hedges Rolling 3 Years Active Return Quarterly Active Return 0.0 2.0 4.0 -2.0 -4.0Active Return (%)6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 9/14 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Wellington Diversified Inflation Hedges 1.8 15.8 3.0 0.8 1.1 0.2 2.3 0.4 10.8 61.1 4y 6m Wellington DIH Multi-Asset Inflation Index 1.0 14.2 2.0 0.0 1.0 0.1 0.0 N/A 9.9 0.0 4y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 14.2 -0.1 0.0 44.4 4y 6m Manager Evaluation Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index As of September 30, 2014 62 Manager Evaluation We llington Diversified Inflation Hedges Sector Allocation As of September 30, 2014 En ergy 28.7% TIPS 8.1% Emerging Markets In flati on -Linked Bon ds 5.7% Cash 6.7% 3.9%5.3% 0.7% 0.0% 5.0% 10.0% 15.0% 20.0% Fund Composition Fund Weights Relative to Benchmark Energy 29.6%TIPS 12.0% Emerging Markets Infla ti on-Link ed Bonds 3.1% Cash 0.7% Me ta ls & Mining 3.0% Agricultu re 5.1% En du ri ng Assets 11 .7% Preciou s Meta ls 8.7% Commodities 22.4% Global Inflation-Sensitive Equities Commodities Fixed Income & Cash -9.9% -2 0.0% -1 5.0% -1 0.0% -5 .0 % 0.0% Equi ties Fi xed In come Commodities Cash Metals & Mi ni ng 7.3% Agriculture 4.7%Enduri ng Assets 5.2% Precious Metals 2.0% Inf la ti on Op portuni ti es 5.1% Commodities 30.3% 63 Calendar Year Performance 64 Year To Date 2013 2012 2011 2010 2009 2008 2007 2006 2005 Total Composite 3.3 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 11.8 5.6 Policy Benchmark 2.8 12.5 11.6 1.1 11.5 19.5 -20.6 8.3 13.0 5.7 Total Equity Composite 3.5 N/A N/A N/A N/A N/A N/A N/A N/A N/A MSCI AC World Index 3.7 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 21.0 10.8 Domestic Equity Composite 5.4 (19)N/A N/A N/A N/A N/A N/A N/A N/A N/A Russell 3000 Index 7.0 (8)33.6 (40)16.4 (26)1.0 (16)16.9 (39)28.3 (59)-37.3 (38)5.1 (62)15.7 (31)6.1 (63) Broad Equity Peer Group Median 3.9 32.5 14.6 -2.1 16.2 29.6 -38.4 6.5 13.6 7.0 International Equity Composite -0.2 (39)N/A N/A N/A N/A N/A N/A N/A N/A N/A MSCI AC World ex USA Index 0.0 (36)15.3 (54)16.8 (72)-13.7 (32)11.2 (74)41.4 (64)-45.5 (36)16.7 (66)26.7 (55)16.6 (86) International Equity Peer Group Median -0.8 15.6 18.5 -15.2 13.6 44.1 -47.0 18.3 27.0 19.7 Fixed Income Composite 3.0 (43)-1.7 (82)10.9 (1)3.8 (72)8.7 (10)18.9 (8)-3.4 (70)6.4 (26)5.6 (8)2.8 (1) Barclays Intermediate U.S. Government/Credit 2.2 (73)-0.9 (55)3.9 (70)5.8 (22)5.9 (54)5.2 (100)5.1 (13)7.4 (9)4.1 (42)1.6 (46) Intermediate Duration Fixed Income Peer Group Median 2.6 -0.6 5.1 4.6 6.1 9.8 -1.8 5.5 4.0 1.5 Tactical Asset Allocation Composite 2.5 12.5 10.4 1.7 7.4 22.4 -19.4 8.6 12.3 5.0 60% World / 40% Agg 4.0 14.5 11.3 0.0 10.2 20.4 -24.7 8.3 13.6 6.7 Alternatives Composite 4.5 N/A N/A N/A N/A N/A N/A N/A N/A N/A 3 Month T-Bills + 3%2.3 3.1 3.1 3.1 3.1 3.2 5.1 8.2 8.0 6.2 Calendar Year Performance Composite Performance As of September 30, 2014 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 65 Capital Markets Review 66 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 PercentYen Yuan Real Rub le Euro Capital Markets Rev iew Economy Currencies Fall vs. U.S. Dollar Retail Sales and Unemployment Source: Bloomberg Source: Trading Economics -10 -5 0 5 10 15 PercentRet ail Sales, Quart erly Rat e o f Chang e Unemployment Rat e Source: Economy.com Foreign Growth Weakens, U.S. Dollar Becomes Safe Haven •An expansion of Russia’s invasion of Ukraine,Israel’s military actions to clear Gaza of missiles and tunnels used by attackers,and ISIS conquering territory across Iraq caused investors to pull monies out of Europe and Asia for the perceived safety of the U.S.dollar and Treasury bonds.The rapid ascent of the U.S.dollar sent foreign investment values sharply lower versus their local-currency returns. •A wave of economic weakness enveloped Europe,Japan,Brazil,China and many smaller countries.The European Central Bank (ECB)inched closer toward purchasing asset-backed bonds,while further lowering its deposit rate to -0.2%. With the German economy near a zero-growth rate and countries such as Greece and Spain pleading for an end to austerity,the Eurozone economy offered little near-term outlook for growth.Hopes turned to the ECB to offer a Federal Reserve- style bailout and inflate the flagging economy,though the bank has been reluctant to put plans into action based on German leaders’protests.The impending culmination of the Federal Reserve’s asset purchases was a late-quarter headwind for stocks. •The U.S.economy faced a perplexing mix of economic readings.The unemployment rate fell to 5.9%,though the number of workers leaving the workforce remained dauntingly high.Retail sales were choppy,yet on an upward trend.A steep drop in oil prices,brought on by increased U.S.production,will be a negative for upcoming energy spending,due to falling gasoline prices,but will be a broader benefit for the economy. Central Bank Interest Rates Source: Bloomberg -1 0 1 2 3 4 5 6 PercentCent ral Bank I nt er est Rat es ECB Deposit Rate Fed eral Res erv e Targ et Rat e China 1-Year D ep osit Rate 67 Third Quarter and YTD 2014 Sector Returns Capital Markets Rev iew Equities Third Quarter 2014 World Equity Returns (USD) 3.6% 12.3% 1.0% 6.6% 0.3% 7.0% 6.1% 6.9% 6.6% 11.8% 15.2% -9.1% -4.9% -2.9% -1.6% -0.7% 0.0% 0.8% 1.5% 2.2% 3.6% 4.5% -12.0%-7.0%-2.0%3.0%8.0%13.0%18.0% Energy Utilities Indust rials Materials Cons. Disc. Russell 30 00 Financials Cons.Stapl es Te lecom In fo Tech Health Care 3Q1 4 YTD -16.0% -12.0% -8.0% -4.0% 0.0% 4.0% 8.0% 12.0% -5.3% 1.1% -3.6%-4.5%-5.9%-7.0%-8.7% -1.6% -3.5% -5.5% -8.0% -12.4% Developed Markets Emerging Markets Russell 1000 Index vs. Russell 2000 Index Equity Markets Cool Off as Strengthening USD Impact Felt •The Russell 3000 Index advanced for a seventh consecutive quarter,albeit a very modest gain in comparison to recent quarters.After setting a number of new all-time highs during the quarter,major domestic equity indices retreated in the latter half of September as a result of heightened geopolitical worries and disappointing economic data internationally.Sector performance varied widely during the quarter.Health care and information technology were the best performing sectors,boosted by M&A activity,while the energy and utilities sectors struggled as the price of oil and other commodities plummeted. •Small-cap stocks severely underperformed their large-cap counterparts and experienced their worst quarterly decline since September 2011.The quarterly underperformance versus large-caps was the largest since March 1999. Increased geopolitical tensions and concerns over future interest rate hikes decreased investor risk appetite for small-cap companies. •Emerging markets,though outperforming developed international markets, declined 3.5%due to falling commodity prices,currency weakness,and poor Chinese economic data.Developed international markets fell 5.9%.Economic data out of Europe was particularly poor,calling into question the region’s future growth prospects.Additionally,the strengthening U.S.dollar negatively impacted developed markets as the dollar appreciated versus all major currencies. 0.7% -7.4% -0.2% -8.6% 1.5% -6.1% 8.0% -4.4% 8.1% -4.7% 7.9% -4.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% Russell 1000 Index Russell 2000 In dex Russell 1000 Value Russell 2000 Value Russell 1000 Growth Russell 2000 Growth 3Q 14 YTD Broad Va lue Growth 68 -1 .0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10 .0%YTD Total ReturnDa te US Agg US Credit High Yield Global Agg EMD MBS Source: Barclays Source: Barclays Duration-adjusted Excess Returns to Treasuries (bps) Cumulative Year-to-Date Total Returns Capital Markets Rev iew Fixed Income Best Period Second Best Period Wors t Period Second W orst Period 2007 2008 2009 2010 2011 2012 2013 1Q14 2Q14 3Q14 Aggre ga te -206 -710 746 171 -114 226 93 16 52 -28 Agency -56 -110 288 77 -25 166 1 30 50 -11 MBS -177 -232 495 225 -106 91 98 -24 90 -27 ABS -634 -2223 2496 169 52 246 24 19 30 -5 CMBS -435 -3274 2960 1501 47 841 97 65 55 -36 Cr edit -464 -1786 1990 192 -322 693 226 75 81 -67 Hi gh Yield -777 -3832 5955 974 -240 1394 923 199 137 -205 Em erging -457 -2842 3797 508 -537 1503 -32 127 282 -112 Source: Barclays US Treasury Yield Curve Change by Maturity Source: US Dept of The Treasury Spreads Reverse Course in Q3 •Bond market volatility picked up during the third quarter,highlighted by a flight- to-quality in long term rates and wider spreads across corporate and securitized credit markets.TIPS produced negative total returns as inflationary pressures eased amid plunging commodity prices and a strengthening dollar. •The yield curve flattened during the quarter.Ongoing geopolitical tensions and a rally in European government rates contributed to strong demand for longer term U.S.Treasuries,while continued tapering and a more hawkish tone from the Fed caused shorter maturity yields to rise.The spreads between five-and 30-year Treasuries continued to decrease and reached the lowest level since January 2009. •Corporate credit returns suffered during the quarter as safe-haven demand increased and supportive technical factors faded.High yield credit was particularly vulnerable during the quarter due to heavy new issuance coupled with asset outflows.Despite selling pressure in the third quarter,spread sector total returns remain positive year-to-date. -1.0% -0.8% -0.6% -0.4% -0.2% 0.0% 0.2% 0.4%Change in YieldMa turity (Years) 3Q 14 YTD Ending 3Q1 4 69 Capital Markets Review Hedge Funds HFRI Index Performance –Third Quarter and YTD 2014 Growth of As sets in Hedge Funds Hedge Fund Return Capture Ratio All Funds Median Net Return/MSCI AC World, % 4.1% 3.7% 2.4% 3.1% 1.7% 3.8% 2.8% 2.1% 1.9% 2.4% 2.2% 0.2% -2.3% 0.3% -0.1% -0.2% 2.7% -1.5% 0.4% -1.3% -2.9% -1.2% -4%-2%0%2%4%6% BC Aggregate Bond Index MSCI All-Country World Index Fu nd of Fu nds Hedge Fund Com posite Merger Arbitrage Global Macro Event Driven Equity Market Neutral Equity Hedge Distressed Securiti es Convertible Arbitra ge Q3 YT D 27% 46% 62% 33% 44%45% 31% 52% 0% 10% 20% 30% 40% 50% 60% 70% 80% 2008 2009 2010 2011 2012 2013 Aug '14 YTD Sep '14 YTD% Downside in Down Years % Upside in Up Ye ars Source: Morgan Stanley Prime Brokerage -$500,000 $0 $500,000 $1,000,000 $1,500,000 $2,000,000 $2,500,000 $3,000,000 199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013Q12014Q2014Q32014Assets ($MM)Net Asset Flow Estimated Assets Source: HFR Inc. Largest U.S. Public Pension Plan Exits Hedge Funds •Hedge fund manager performance was generally negative across strategies during the third quarter.With the exception of distressed securities managers,however,hedge funds generally outpaced the MSCI All-Country World Index during the quarter.Global macro was the top performing strategy for the quarter (+2.7%)and consequently one of the best performing strategies year-to-date. •The median hedge fund manager tends to lag global equities during strong up markets, but fares better during down months such as September.The median hedge fund trailed equities significantly year-to-date through August.Following September's decline,the median hedge fund manager has captured just over half of this year’s equity market return,according to Morgan Stanley Prime Brokerage. •California Public Employees’Retirement System (CalPERS),the largest public pension plan in the U.S.,announced that it will exit its $4 billion hedge fund program over the next year,in an effort simplify its strategy and reduce costs.The Plan’s large asset size ($298 billion in total assets)and desire to hire managers willing to provide fee concessions limited the universe of managers from which it could select,and likely inhibited the performance of its hedge fund allocation. •The hedge-fund industry saw inflows of $15.8 billion during the third quarter according to Hedge Fund Research.Event driven and relative value managers attracted $11.4 and $11.1 billion,respectively,while macro hedge funds saw a withdrawal of $11.1 billion during the quarter. Hedge Fund Assets and Flows 70 -11.8% -5.6% -6.6% -5.3% -1.4%-1.0% 14% 12% 10% -8% -6% -4% -2% 0% QTD YTD 1 Year 3 Years 5 Years 10 Y ears Capital Markets Review Real Assets Returns as of September 30, 2014 Source: Bloomberg Bloomberg Commodity Index Returns for Periods Ended September 30, 2014 NCREIF 3 M on.YT D 1 Yr.3 Yrs.5 Y rs.10 Yrs. NCREIF 2.9%5.7%11.2%11.3%9.7%8.6% Apartm ents 2.4%4.7%9.9%11.3%10.8%8.3% In dus trials 3.3%6.1%12.6%11.9%9.1%8.2% Offic e 2.9%5.2%10.3%10.1%8.6%8.3% Retail 3.2%7.7%13.5%13.2%10.8%10.0% Ho tel 2.6%3.4%8.0%7.9%6.2%6.8% Eas t 2.3%4.4%9.0%9.7%9.3%8.5% Mi dwes t 2.8%5.4%10.5%10.7%8.7%7.2% South 3.2%6.7%13.1%12.4%10.0%8.7% West 3.4%6.5%12.5%12.5%10.2%9.3% Source: NACREIF Equity REIT Yields Are Low, Although They Provide A Premium to Treasuries; Mortgage REIT Yields Remain Elevated Real Estate Fundamentals Remain Strong; Commodities Tank •Equity REITs declined 2.5%during the third quarter,bringing the year-to-date return to 13.4%.Strong property fundamentals and a continued search for yield were offset by the possibility of rising U.S.interest rates.Since quarter end,concerns have shifted to slower economic growth and interest rates have fallen,making the 3.8% yield on U.S.equity REITs look fairly attractive.Foreign REITs have underperformed the U.S.market with Asia Pacific and Europe returning 0.0%and 5.6%,year to date. •Private real estate continued to perform well,returning 2.9%during the second quarter and 5.7%for the first half of 2014.Strong fundamentals (net operating income growth and transaction volume),along with low interest rates,contributed to a further decline in capitalization rates,now at 6.8%according to Real Capital Analytics.The cap rate remains well below the long term trend rate,but relative to Treasuries,cap rates remain around average levels since the 1990s.Income returns are averaging around 5.0%,also below historical levels but favorable relative to Treasury yields. •Commodity prices declined dramatically during the third quarter,bringing year-to-date and returns out to ten years into negative territory.The IEA’s forecast of weaker demand growth for oil,along with favorable supply dynamics,and a strengthening U.S.dollar,drove oil prices lower.An abundant harvest led to lower grain prices, while industrial metals prices suffered from weaker global demand,especially out of China.A strong U.S.dollar with little sign of inflation led to weaker gold demand and prices. Source: NAREIT 0 5 10 15 20 25 30 Sep-1974Sep-1976Sep-1978Sep-1980Sep-1982Sep-1984Sep-1986Sep-1988Sep-1990Sep-1992Sep-1994Sep-1996Sep-1998Sep-2000Sep-2002Sep-2004Sep-2006Sep-2008Sep-2010Sep-2012Sep-2014PercentEquit y REITs Mortgage REITs 10-Year Treasury 71 0 2 4 6 8 10 12 14 16 18 20 0 5 10 15 20 25 30 35 40 Agg. Value ($,Billions)# of DealsVen ture-Bac ked IPOs #Ven ture-Backed IPOs $Value Venture-Backed IPO ActivityInvestment Horizon Pooled IRR as of 03/31/14 Fund Type 3 Months 1 Year 3 Years 5 Years 10 Years 20 Years Early Stage VC 5.3%31.5%15.7%14.6%9.2%44.1% Late/Expansion Stage VC 3.5%32.6%14.4%18.6%12.3%11.0% Multi-Stage VC 5.3%28.3%13.4%12.2%10.2%12.3% All Venture Capital 5.1%30.5%14.8%14.2%9.8%26.1% Small Buyouts 1.8%12.3%11.6%16.8%19.6%14.5% Medium Buyouts 1.9%15.3%10.2%14.3%17.1%15.8% Large Buyouts 3.2%18.8%11.9%16.7%15.5%16.1% Mega Buyouts 3.4%22.2%13.9%18.8%12.3%10.9% All Buyouts 3.1%19.9%12.7%17.4%14.3%13.4% Mezzanine/Sub Debt 2.6%11.8%11.4%12.9%9.8%9.7% Distressed 2.8%16.2%10.9%20.0%11.6%11.9% All Private Equity 3.3%19.9%12.4%16.8%13.1%14.6% S&P 500 1.8%21.8%14.4%20.6%8.5%8.7% Capital Markets Rev iew Pr ivate Equity Ven ture-Bac ked IPOs #Ven ture-Backed IPOs $Value $0 $20 $40 $60 $80 $100 $120 $,BillionsVC Buy out Real As sets Sec ondary Funds Di stressed/SS Fundraising,IPO Activity Remain Strong Despite Modest Declines •Private equity market performance data through June 30,2014 was not yet available at the time of report production.During 1Q14,private equity funds outperformed their public market counterparts with venture capital and buyout funds producing pooled quarterly IRRs of 5.1%and 3.1%,respectively, compared to a 1.8%return for the S&P 500.Early stage venture funds were the strongest performers while small-and mid-cap buyout funds lagged. •During 3Q14,private equity fundraising saw a modest decline from the post- crisis high seen in 2Q14.However,the $97 billion raised by private equity funds in 3Q14 was in line with the quarterly average seen since early 2013 when the pace of fundraising picked up considerably.Venture capital and secondary funds saw the biggest percentage declines during the third quarter while distressed/special situations funds saw an increase in commitments. •Venture-backed IPO activity slowed during 3Q14 as 23 venture-backed IPOs raised an aggregate $2.6 billion compared to 2Q14 when 28 IPOs raised $4.9 billion.However,it was the sixth consecutive quarter with more than 20 venture-backed IPOs after that mark was exceeded in only one other quarter since the beginning of 2008.Biotechnology companies dominated IPO activity during 3Q14,representing 18 of the 23 IPOs that occurred during the quarter. Source: ThomsonOne/Cambridge Associates database, October 2014. Note: Data is continuously updated and is therefore subject to change. S&P 500 1.8%21.8%14.4%20.6%8.5%8.7% Source: Thomson Reuters, ThomsonOne database, October 2014. Source: Thomson Reuters, ThomsonOne database, October 2014. Global Fundraising 72 Quarter Year To Date 1 Year 2 Years 3 Years 5 Years 7 Years 10 Years Domestic Equity Indices Dow Jones Wilshire 5000 0.0 6.9 17.7 19.8 23.0 15.9 6.5 8.7 S&P 500 1.1 8.3 19.7 19.5 23.0 15.7 6.0 8.1 Russell 1000 Index 0.7 8.0 19.0 20.0 23.2 15.9 6.3 8.5 Russell 1000 Growth Index 1.5 7.9 19.1 19.2 22.4 16.5 7.6 8.9 Russell 1000 Value Index -0.2 8.1 18.9 20.6 23.9 15.3 4.8 7.8 Russell Midcap Index -1.7 6.9 15.8 21.7 23.8 17.2 7.5 10.3 Russell Midcap Growth Index -0.7 5.7 14.4 20.8 22.7 17.1 7.5 10.2 Russell Midcap Value Index -2.6 8.2 17.5 22.5 24.7 17.2 7.3 10.2 Russell 2000 Index -7.4 -4.4 3.9 16.3 21.3 14.3 6.0 8.2 Russell 2000 Growth Index -6.1 -4.0 3.8 17.5 21.9 15.5 6.9 9.0 Russell 2000 Value Index -8.6 -4.7 4.1 15.0 20.6 13.0 5.1 7.3 International Equity Indices MSCI EAFE -5.9 -1.4 4.3 13.6 13.6 6.6 -0.2 6.3 MSCI EAFE Growth Index -5.5 -2.2 2.9 12.6 13.3 7.6 0.3 6.6 MSCI EAFE Value Index -6.2 -0.6 5.7 14.6 13.9 5.5 -0.8 5.9 MSCI EAFE Small Cap -7.8 -2.7 3.0 15.5 14.5 8.9 2.0 8.1 MSCI AC World Index -2.3 3.7 11.3 14.5 16.6 10.1 2.4 7.3 MSCI AC World ex US -5.3 0.0 4.8 10.5 11.8 6.0 -0.2 7.1 MSCI Emerging Markets Index -3.4 2.7 4.7 3.0 7.6 4.8 0.1 11.0 Fixed Income Indices Barclays U.S. Aggregate 0.2 4.1 4.0 1.1 2.4 4.1 4.9 4.6 Barcap Intermediate U.S. Government/Credit 0.0 2.2 2.2 0.8 2.0 3.4 4.3 4.0 Barclays U.S. Long Government/Credit 1.0 13.0 12.9 1.7 4.7 8.0 8.2 7.0 Barclays US Corp: High Yield -1.9 3.5 7.2 7.2 11.1 10.6 8.7 8.3 BofA Merrill Lynch 3 Month U.S. T-Bill 0.0 0.0 0.0 0.1 0.1 0.1 0.5 1.6 Barclays U.S. Treasury: U.S. TIPS -2.0 3.7 1.6 -2.3 1.3 4.5 4.9 4.6 Citigroup Non-U.S. World Government Bond -5.4 0.2 -1.0 -3.3 -1.1 1.0 3.6 4.0 JPM EMBI Global Diversified (external currency)-0.6 8.0 9.7 2.6 8.0 8.0 7.9 8.3 JPM GBI-EM Global Diversified (local currency)-5.7 0.0 -1.5 -2.6 2.2 4.4 5.4 8.8 Real Asset Indices Dow Jones - UBS Commodity -11.8 -5.6 -6.6 -10.5 -5.3 -1.4 -5.2 -1.0 Dow Jones Wilshire REIT -3.1 14.5 13.5 9.3 16.5 16.0 3.8 8.3 Capital Markets Review Index Returns As of September 30, 2014 (Percentage Return) _________________________ Returns for periods greater than one year are annualized. 73 Appendix 74 2013 Acti on Sep tember •The M et rop olit an St.Louis Sew er District hired P av ilion Advisory Group as their investment consultant . 2014 Acti on February •Pavilio n p resent ed an as set allocat io n and investment and manager structure review to the F inan ce Commit tee.Pavilion recommended t he ad op tion of new asset allocat ion t ar ge ts and allowable ranges that would p ermit the eliminat ion of t he tact ical as set allocat ion and market neut ral st rategi es , t he addit ion of hedge fund strat egies through hedge fund of funds, and t he reduction of the number of managers and exposure to high yield and non-US d ebt in t he fixe d income p ort folio. T he following as set allocat ion s tructure was p rop osed: 40% Equity 35% Fixe d Income 25% Alternat ives Appendix History of Investment Decisions Given Pyramis ' p oor p erformance and rapidly declining a ssets in t he strategy , Pavilion furt her recommended t he manager be terminat ed immediat ely . T he Commit tee ap proved t hese recommendat ions. Sep tember •Pavilio n downgraded PIM CO’s manager rating stat us from “nega tive watch”to “sell.” P avilion init ially downgraded P IM CO t o “nega tive wat ch” in J anuary following the dep art ure of co-CIO Mohamed El-Erian, and not ed we would clos ely monit or t he firm for organ iz at ional s tabilit y,as set flows, and p erformance.PIM CO has not made clear imp rovement s in t hes e areas , and t he depart ure of Bill G ross creat es a mult it ude of fut ure unknowns for t he firm. 75 All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013. To tal Composite returns prior to September 1, 2013 were provided by New England Pension Consultants. Separate account manager returns prior to September 1, 2013 were provided by the investment managers and are displayed net of fees. Benchmark Comparison One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success. Universe Comparison A p erformance measurement universe is created by arraying the results of a large number of professional investment managers from the best to worst. Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentile represents the bottom performing 1% of managers. Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad Appendix Benchmark and Universe Descriptions Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad universes will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 10 years or more), a manager ranking in the top quartile (top 25%) of these broad universes would be perceived as performing well. Policy Benchmark As of April 1, 2014, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 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. 76