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Home My Public Portal About2016 2nd Quarter ReportPerformance Review Metropolitan St. Louis Sewer District Pension Plan 2nd Quarter 2016 Pavilion Advisory Group Inc. 227 W. Monroe Street, Suite 2020 Chicago, IL 60606 Phone: 312-798-3200 Fax: 312-902-1984 www.pavilioncorp.com 1 Capital Markets Review 1 2 Performance Summary 9 3 Asset Class Diversification 31 4 Manager Evaluation 37 5 Calendar Year Performance 73 6 Appendix 75 Table of Contents Capital Markets Review 1 Capital Markets Rev iew Economy 0.003 0.005 0.007 0.009 0.011 0.013 0.015 0.017 0.019 0.021 0.5 1 1.5 2 2.5 3 USD per YenUSD per Pound, EuroPou nd Eur o Yen Currencies vs. USD -3 -2 -1 0 1 2 3 4 5 6 7 19901992199419961998200020022004200620082010201220142016PercentCP ICore CP I Consumer Price Index A Step Back From Globalism Brings Uncertainty §In vestors and political watchers were surprised when U.K.voters chose to exit the European Union.Markets and most currencies fell sharply in the immediate aftermath,though they regained much of the losses quickly.The vote reflected a growing sentiment that globalism’s benefits are not reaching working-class citizens in the developed nations,and that workers tend to value higher wages over ultra-low inflation. §U.S.Q2 GDP grew at a 1.2%rate,well below the post-1980 Q2 average of 3.1%.Inflation in the first half of 2016 ran at a 1.6%annual rate.One-year inflation (1.0%)was led higher by rents (3.8%)and medical (3.6%),while food (0.3%),clothing (0.4%)and fuel (-15.4%)eased after poultry viruses and supply concerns waned.The Federal Reserve is not expected to raise interest rates in the short-term,due to Brexit fallout,lackluster economic data and the upcoming elections. §Housing construction looks to have hit a plateau for the near-term.While single-family home construction repeated a multi-year pattern,multi-unit construction fell below its recent pace.This reflects a nearing saturation of rental units and difficulty in locating vacant or suitable property upon which to build profitably.Home construction remains constrained by a smaller experienced workforce than existed during the housing boom.Remodeling projects are taking longer to start and complete,though spending in this area remains strong. 90 95 10 0 10 5 11 0 11 5 12 0 Jul-05Jul-06Jul-07Jul-08Jul-09Jul-10Jul-11Jul-12Jul-13Jul-14Jul-152005 = 100New Single –Family Home Prices Source: Bloomberg Source: Census Bureau Source: Bureau of Labor Statistics 2 1.0%3.4%2.5%0.9% -1.5%-2.7% -5.3% 5.3% 0.7%0.3% -3.9% 1.2% 15.1% 3.8% -2.9%-4.4%-5.1% -7.3% 25.5% 6.4% 2.3% 9.8% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 2Q YTD Capital Markets Rev iew Equities Developed Markets Emerging Markets 24.8% 23.4% 0.4% 10.5% 7.5% 3.8% -3.0% 6.5% 0.7% -0.3% 11.6% 7.1% 6.8% 6.3% 4.6% 3.7% 2.5% 2.1% 1.4% -0.9% -2.8% Telec om Utilities Health Care Cons . Staples Mate rials S&P 500 Financials Industrials Cons. Disc. Info Tech 2Q16 YTD 2nd Quarter and YTD 2016 World Equity Returns2ndQuarter 2016 and YTD S&P 500 Sector Returns 16.1% 11.6% -1 5.0%-1 0.0%-5 .0%0.0%5.0%10.0%15 .0%20 .0%25.0%30 .0% Energy 2nd Quarter 2016 –Investors Continue to Seek Value U.S.Continues Year With Modest Gains;Brexit Weighs Heavily on Markets §The S&P 500 gained 2.5%during the second quarter,bringing the year to date return to 3.8%.Brexit was the second quarter’s defining event,as the UK’s unexpected decision to leave the EU initially sent markets into a nosedive,but they largely recovered by June’s end.A search for yield drove investors into equities as the yield on the S&P 500 and Russell 2000 both exceeded that of the 10- year U.S.Treasury.Higher yielding sectors such as Telecoms and Utilities saw particularly strong investor demand,causing both sectors to return nearly 25%during the first half of 2016.A rebound in oil prices led to strong gains in Energy,which saw a 12%return for the quarter and 16%year to date. §Emerging markets returned 0.7%during second quarter and 6.4%year to date,outperforming both the U.S.and EAFE.Latin America was again the strongest performing region.Stability in Chinese economic growth helped EM Asia.Developed international markets,with the exception of Canada (benefiting from rising oil prices)declined during the quarter on concerns about economic growth slowing further,particularly post-Brexit. §The second quarter saw a continuation in the outperformance of the value style,as some of the market’s pricier,growth-oriented sectors (Information Technology and Consumer Discretionary) sold off.In general,small-cap stocks performed better than large-cap stocks and were the best performing U.S.market-cap segment,posting a 3.8%return for the second quarter. 0.6% 4.6% 3.2% 4.3% 1.4% 6.3% -1.6% 6.1% -1 0.0% -5 .0% 0.0% 5.0% 10 .0% Russell 100 0 Grow th Russell 1 00 0 Value Russell 200 0 Grow th Russell 2 00 0 Value 2Q16 YTD 3 Source: Barclays Source: Bloomberg Capital Markets Rev iew Fixed Income 2009 2010 2011 2012 2013 2014 2015 1Q16 2Q16 Aggregate 746 171 -114 226 93 10 -53 -4 31 Agenc y 288 77 -25 166 1 10 -133 23 36 MBS 495 225 -106 91 98 40 -5 -38 3 ABS 2496 169 52 246 24 53 44 16 50 CMBS 2960 1501 47 841 97 108 -28 58 37 Credit 1990 192 -322 693 226 -18 -169 18 97 High Yield 5955 974 -240 1394 923 -112 -577 77 411 EMD (US D)3797 508 -537 1503 -32 -120 3 123 266 Duration –Adjusted Excess Returns to Treasuries (bps)Global Sovereign Yield Curve Comparison Best Period Second Best Period Wors t Period Second W orst Period -1 .0 -0 .5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 0 5 10 15 20 25 30 Australia U.S.Canada U.K.France Germany Japan Year to Maturity (%)Maturity (Years) Source: US Dept. of The Treasury -1.1% -0.9% -0.7% -0.5% -0.3% -0.1% 0.1% 0.3% 0.5% 0.7% 2Q16 1 Yr Ending 2Q16 Rates and Spreads Rally as Global Yields Free Fall §Bond markets rallied during the second quarter as credit spreads tightened during the first half of the quarter,while Brexit headlines led a volatility surge in late June.Treasury yields plunged amid the flight-to-quality and neared all-time lows by quarter-end,with longer duration bonds leading returns.Over the trailing one-year period,10-and 30-year yields declined over 80 basis points (bps) while short-term yields rose. §Despite volatility in late June,all spread sectors ended the quarter with positive total returns and outpaced Treasuries on a duration-adjusted basis.Investment grade credit spreads tightened 7 bps during the quarter,while high yield spreads tightened 62 bps as the sector returned +5.5%.The European Central Bank initiated its corporate bond buying program in June,which provided a technical tailwind for the sector as yield compression in European credit pushed yield-hungry buyers to the U.S. §While U.S.rates approached all-time lows during June,domestic rates maintained a sizable yield- advantage relative to other high quality developed markets such as Japan,Germany,and France. Developed non-U.S.Treasuries (+4.8%)outpaced U.S.Treasuries on a duration-adjusted basis during the quarter.U.S.dollar-denominated emerging market debt also produced strong results (+5.0%),while local currency emerging debt (+2.7%)was hindered by currency volatility, including a 5.5%loss for the Mexican Peso versus the U.S.dollar. U.S. Treasury Yield Curve Change Change in YieldMaturity (Years) 4 56% 31% 25%22%19%17% 13%13%12%12% 0% 10 % 20 % 30 % 40 % 50 % 60 %Proportion of Fund SearchesCapital Markets Review Hedge Funds 6.0% -3.2% -5.6% -3.9% 0.6% -2.2% 2.3% -5.0% -5.4% 2.7% 0.4% 2.2% 1.2% 4.9% 2.8% 2.5% 2.0% 1.7% 1.4% 0.6% 0.1% -0.6% -12%-10%-8%-6%-4%-2%0%2%4%6%8% BC Aggregate Bond Index MSCI All-Country World Index Dist ressed Securities Event Driven Convertible Arbitrag e Hedge Fu nd Composite Global Macro Equi ty Hedge Fu nd of Fu nds Equity Market Neutral Merger Arbitrage Q2 One Year Hedge Fund Strategies Sought by Investors Over the Next 12 Months Source: Preqin HFRI Index Performance –Second Quarter and Trailing 12 Months Fu nd Strategy Hedge Funds Rebound After A Difficult Quarter §Hedge funds enjoyed a strong second quarter with all strategies except Merger Arbitrage delivering positive returns.The overall Hedge Fund Composite (+2.0%)compared well to the MSCI All- Country World Index,which closed the quarter up (+1.2%).The Barclays Capital Aggregate Bond Index had another strong quarter (+2.2%).Fund of Funds (+0.6%)lagged the overall Hedge Fund Composite and the publicly traded markets,but nevertheless delivered a modestly positive return. §Distressed Securities (+4.9%)delivered exceptionally strong returns with gains coming from a number of areas including distributions from liquidation holdings such as Lehman Brothers,strong performance from energy related credits and the successful resolution of positions relating to Argentinian bonds. §Event Driven (+2.8%)and Equity Hedge (+1.4%)generated solid returns as market conditions calmed and investors began to pay more attention to fundamentals.Convertible Arbitrage (+2.5%) benefited from a normalization of market liquidity and the rally in credit spreads.Global macro (+1.7%)benefited from large directional moves across a number of Fixed Income,Commodity and Currency markets. §Merger arbitrage (-0.6%)was the only negative strategy.Managers suffered from a number of high profile deals breaking including the failed merger between Pfizer and Allergan. §According to HFR,hedge fund assets increased by $42 billion through June 2016.Redemptions slowed during the quarter with net redemptions of $8.2 billion compared to $15.1 billion in the first quarter.The industry generated net performance gains of $50.2 billion for the second quarter. Hedge Fund Assets and Flows Source: HFR, Inc. -$20 0,000 $2 00 ,0 00 $6 00 ,0 00 $1 ,000 ,0 00 $1 ,400 ,0 00 $1 ,800 ,0 00 $2 ,200 ,0 00 $2 ,600 ,0 00 $3 ,000 ,0 00 Assets ($MM)Net Asset Flow Estima te d A ssets 5 Capital Markets Review Real Assets Private Real Estate Returns as of First Quarter 2016 Source: NCREIF Commodity Returns –Big Gains in Second Quarter 2016 REIT Returns Favorable Except Europe (Periods Ended June 30, 2016) Source: NAREIT Real Estate Performs Well; Commodities Rebound 3 M on.1 Yr.3 Yr s.5 Yrs.10 Yrs. NCREI F 2.2%11.8%11.9%11.9%9.9% Apart ment s 1.9%10.9%10.6%11.5%7.1% Indus trial 3.0%14.3%13.7%13.1%7.7% Offi ce 1.7%10.8%11.2%11.1%7.3% Ret ai l 3.0%13.1%13.5%13.2%8.7% East 1.7%9.8%9.8%10.2%6.9% Midwes t 2.1%10.8%11.3%11.1%6.8% Sout h 2.2%11.8%12.9%12.5%7.9% West 2.8%14.1%13.5%13.5%8.4% Qua rter YT D 5 Years Global 3.5%8.9%7.8% U.S.7.0%13.4%12.6% Canada 9.6%21.3%4.6% Europe -5.5%-3.6%5.0% Emergi ng M ark et s 1.7%3.6%-0.3% §Private real estate returned 2.2%during the first quarter of 2016 and 11.8%for the trailing one-year period.By sector,industrial and retail properties performed best for the quarter.By region,the west was the strongest performer for the quarter and year.Three-and five-year returns have been boosted by significant appreciation.Long-term,income has represented about 70%of the total return from real estate,although in recent years,appreciation has been 50%or more of the return to real estate.Expectations are that returns will be driven primarily by income (estimated at 5%)over the next few years,with little appreciation. §U.S.REIT returns were strong during the second quarter (+7.0%)and year to date (+13.4%) periods.Fundamentals remain strong with high occupancy,steady demand and generally limited new supply.However,rent growth is slowing,supply is increasing in some markets and cap rates are very low as investors search for yield in a low interest rate environment.The European and Japanese REIT markets experienced negative returns during the second quarter (-5.5%and -7.2%) and first half of 2016 (-3.6%and -7.4%)on Brexit concerns and the potential for slower economic growth.Emerging markets provided slightly positive returns for the quarter and year to date periods with most markets generating positive returns.Chinese REITs,however,returned -2.4% and -9.9%for the three and six months ended June 30,2016. §Commodity markets experienced a big rebound (+12.7%)during the second quarter,led by oil (+18.9%).Year to date,the Goldman Sachs Commodity Index returned 9.7%,with precious metals (+25.4%)driving the year to date return.The major index components all experienced positive returns for both the quarter and year to date periods.One-,three-,and five-year returns remain negative,however,as commodity returns were negative in four (2011,2013,2014,and 2015)of the past five years.Sentiment around commodities remains mixed.Gold has seen increased investment flows given its safe haven status,particularly in today’s low interest rate environment.Other commodities have seen increased interest,but most investors remain cautious given supply and demand considerations,as well as the possibility of a continued strong U.S. dollar. -50% -40% -30% -20% -10% 0% 10% 20% 30% GSC I Crud e Oil Agriculture In dust rial Metals Precious Metals 2Q16 YTD16 1 year 3 years 5 years Source: S&P GSCI 6 U.S. Add-On Activity as a Percentage of Budget Activity Capital Markets Rev iew Pr ivate Equity Asset Class Strategy 1 Quarter 1 Year 5 Years 10 Years 20 Years Venture Capital VC: Early Stage 1.3%15.4%23.4%18.0%11.2% Venture Capital VC: Late/Expansion Stage 2.2%9.2%17.3%12.6%12.5% Venture Capital VC: Multi -Stage 3.6%12.1%20.7%15.1%10.4% Venture Capital Sub-Total 2.1%13.8%22.0%16.5%11.1% Growth Equity Growth Equity 3.3%9.2%13.6%11.3%11.8% Growth Equity Sub-Total 3.3%9.2%13.6%11.3%11.8% Buyout Buyout: Small Cap 1.1%6.7%10.2%11.5%15.6% Buyout Buyout: Mid Cap 1.9%5.8%9.9%9.5%12.4% Buyout Buyout: Large Cap 2.1%6.0%11.5%11.4%12.5% Buyout Buyout: Mega Cap 2.8%10.6%15.3%13.6%9.9% Buyout Sub-Total 2.4%8.5%13.3%12.3%11.2% Mezzanine Mezzanine/Sub Debt 0.5%5.2%9.5%10.7%9.6% Mezzanine Sub-Total 0.5%5.2%9.5%10.7%9.6% Distressed Distressed -0.1%1.8%9.2%9.4%9.6% Distressed Sub-Total -0.1%1.8%9.2%9.4%9.6% Private Equity Energy Sub-Total -8.1%-17.9%-4.7%0.3%5.5% Fund of Funds FoF: Venture Capital 1.9%9.9%18.9%14.7%10.1% Investment Horizon Pooled IRR (As of 12/31/2015) Private Equity Continues to Post Positive Returns;Investment and Exit Activity Slowing §The pooled IRR for private equity funds underperformed the MSCI All Country World Index during the fourth quarter of 2015,although most market segments posted positive returns.Only energy related private equity funds performed poorly during the quarter with a -8.1%return.On a trailing one-,three-, five-and ten-year basis,private equity funds outperformed the publicly traded markets.The strongest performance in recent years has come from early stage venture,while distressed debt funds have posted among the lowest returns. §Private equity deal volumes,and value fell in 2016.In part,this is attributable to a more difficult regulatory environment.However,valuations play a part as they continue to rise in concert with publicly-traded equity market valuations,making it more challenging for private equity managers to invest.According to PitchBook,add-on activity in the U.S.market continues to grow as a percent of overall buyout activity,reaching a record 64%in 2016 from just 43%in 2006. §U.S.private equity-backed exit activity has slowed in 2016 relative to the past few years ($113 billion in the first half of 2016 compared to $180 million and $132 million in the first half of 2014 and 2015, respectively.Relative to earlier years,however,exit activity remains healthy. Source: PitchBook Source: PitchBook Source: ThomsonOne Fund of Funds FoF: Venture Capital 1.9%9.9%18.9%14.7%10.1% Fund of Funds FoF: Private Equity 1.8%6.5%11.2%9.9%9.1% Fund of Funds Sub-Total 1.7%7.5%13.2%11.1%9.3% Secondary Funds Secondary Funds -0.5%7.1%11.4%11.3%10.9% Secondary Funds Sub-Total -0.5%7.1%11.4%11.3%10.9% Total 1.4%6.8%12.3%11.4%9.7% MSCI AC World Index 5.0%-2.4%7.7%6.1%4.8% U.S. Private Equity Activity –Deal Volume & Value 7 Quarter Year To Date 1 Year 2 Years 3 Years 5 Years 7 Years 10 Years Domestic Equity Indices Dow Jones Wilshire 5000 2.8 4.0 3.0 5.0 11.3 11.6 14.9 7.4 S&P 500 2.5 3.8 4.0 5.7 11.7 12.1 14.9 7.4 Russell 1000 Index 2.5 3.7 2.9 5.1 11.5 11.9 15.0 7.5 Russell 1000 Growth Index 0.6 1.4 3.0 6.7 13.1 12.3 15.5 8.8 Russell 1000 Value Index 4.6 6.3 2.9 3.5 9.9 11.4 14.5 6.1 Russell Midcap Index 3.2 5.5 0.6 3.6 10.8 10.9 16.5 8.1 Russell Midcap Growth Index 1.6 2.2 -2.1 3.5 10.5 10.0 15.8 8.1 Russell Midcap Value Index 4.8 8.9 3.2 3.5 11.0 11.7 17.1 7.8 Russell 2000 Index 3.8 2.2 -6.7 -0.3 7.1 8.4 13.9 6.2 Russell 2000 Growth Index 3.2 -1.6 -10.8 0.1 7.7 8.5 14.3 7.1 Russell 2000 Value Index 4.3 6.1 -2.6 -0.9 6.4 8.1 13.5 5.2 International Equity Indices MSCI EAFE -1.5 -4.4 -10.2 -7.2 2.1 1.7 6.0 1.6 MSCI EAFE Growth Index -0.1 -2.2 -4.8 -3.1 4.2 3.2 7.6 2.9 MSCI EAFE Value Index -2.8 -6.6 -15.4 -11.4 -0.1 0.1 4.3 0.2 MSCI EAFE Small Cap -2.6 -3.2 -3.7 -2.2 7.3 4.8 9.9 3.6 MSCI AC World Index 1.0 1.2 -3.7 -1.5 6.0 5.4 9.5 4.3 MSCI AC World ex US -0.6 -1.0 -10.2 -7.8 1.2 0.1 5.3 1.9 MSCI Emerging Markets Index 0.7 6.4 -12.1 -8.7 -1.6 -3.8 3.8 3.5 Fixed Income Indices Barclays U.S. Aggregate 2.2 5.3 6.0 3.9 4.1 3.8 4.6 5.1 Barcap Intermediate U.S. Government/Credit 1.6 4.1 4.3 3.0 3.0 2.9 3.8 4.5 Barclays U.S. Long Government/Credit 6.5 14.3 15.7 8.6 9.3 9.2 9.3 8.4 Barclays US Corp: High Yield 5.5 9.1 1.6 0.6 4.2 5.8 10.0 7.6 BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.2 0.1 0.1 0.1 0.1 1.0 Barclays U.S. TIPS 1.7 6.2 4.4 1.3 2.3 2.6 4.3 4.8 Citigroup Non-U.S. World Government Bond 4.0 13.5 13.8 -0.8 2.4 0.3 2.3 4.0 JPM EMBI Global Diversified (external currency)5.0 10.3 9.8 5.0 7.2 6.5 8.8 8.0 JPM GBI-EM Global Diversified (local currency)2.7 14.0 2.0 -7.1 -3.6 -2.2 3.1 5.7 Real Asset Indices Bloomberg Commodity Index Total Return 12.8 13.2 -13.3 -18.7 -10.6 -10.8 -4.4 -5.6 Dow Jones Wilshire REIT 5.6 11.1 22.8 13.7 13.6 12.5 21.0 7.0 Capital Markets Review Index Returns As of June 30, 2016 (Percentage Return) _________________________ Returns for periods greater than one year are annualized. 8 Performance Summary 9 Performance Summary - June 2016 During the second quarter, the Metropolitan St. Louis Sewer District pension plan approximated its benchmark, reporting a return of 2.0%. On a trailing one-year basis, the plan reported a loss of -0.1%, underperforming the Policy Benchmark return of 0.5%. Asset Class Diversification Current asset allocation was within investment policy targets. The Plan was slightly overweight in fixed income, equities, and real estate and underweight hedge funds and real assets. Manager Evaluation Second quarter performance was the most favorably impacted by the following managers as they outpaced their benchmarks: TimeSquare Small Cap Growth, Morgan Stanley International Equity, Morgan Stanley Emerging Markets Equity, Prudential Core Plus, and Lighthouse Global Long/Short. Second quarter performance was the most unfavorably impacted by the following managers that underperformed their benchmarks: Vanguard Windsor II, T. Rowe Price Large Cap Core Growth, Kennedy Mid Cap Value, and Brandywine Global Opportunistic Fixed Income. Pension Plan Executive Summary 10 Pension Plan Executive Summary Capital Markets Review The S&P 500 gained 2.5% during the second quarter, bringing the year to date return to 3.8%. Brexit was the second quarter’s defining event, as the UK’s unexpected decision to leave the EU initially sent markets into a nosedive, but they largely recovered by June’s end. A search for yield drove investors into equities as the yield on the S&P 500 and Russell 2000 both exceeded that of the 10-year U.S. Treasury. Bond markets rallied during the second quarter as credit spreads tightened during the first half of the quarter, while Brexit headlines led a volatility surge in late June. Treasury yields plunged amid the flight-to-quality and neared all-time lows by quarter-end, with longer duration bonds leading returns. Over the trailing one-year period, 10-and 30-year yields declined over 80 basis points (bps) while short-term yields rose. Housing construction looks to have hit a plateau for the near-term. While single-family home construction repeated a multi-year pattern, multi-unit construction fell below its recent pace. This reflects a nearing saturation of rental units and difficulty in locating vacant or suitable property upon which to build profitably. Emerging markets returned 0.7% during second quarter and 6.4% year to date, outperforming both the U.S. and EAFE. Latin America was again the strongest performing region. Stability in Chinese economic growth helped EM Asia. Developed international markets, with the exception of Canada (benefiting from rising oil prices) declined during the quarter on concerns about economic growth slowing further, particularly post-Brexit. The second quarter saw a continuation in the outperformance of the value style, as some of the market’s pricier, growth-oriented sectors (Information Technology and Consumer Discretionary) sold off. In general, small-cap stocks performed better than large-cap stocks and were the best performing U.S. market-cap segment, posting a 3.8% return for the second quarter. Recommendations or Action Items Pavilion recommends a change in the Morgan Stanley International Equity Share class to reduce the cost of the mutual fund from MSIQX to MIQPX. The savings is 10 basis points. 11 Total Composite Policy Benchmark Asset Allocation Index 0.0 2.0 4.0 6.0 8.0 10.0 -2.0 -4.0Return Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception 2.4 4.2 1.4 5.5 5.5 5.4 5.4 2.1 3.5 0.5 4.6 5.1 5.3 5.3 2.0 2.9 -0.1 4.4 4.8 5.4 5.4 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 2.0 2.9 -0.1 4.4 4.8 5.4 7.3 23y 6m Policy Benchmark 2.1 3.5 0.5 4.6 5.1 5.3 N/A Asset Allocation Index 2.4 4.2 1.4 5.5 5.5 5.4 N/A Performance Summary Total Composite vs. Policy Benchmark As of June 30, 2016 ____________ Performance is reported net of fees. See appendix for full description of the policy benchmark. 12 -7.0 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 2.0 (34)2.9 (42)-0.1 (63)4.4 (97)4.8 (98)7.6 (99)5.4 (84)¢£ 5th Percentile 2.7 4.7 2.6 8.3 8.1 10.7 6.8 1st Quartile 2.2 3.5 1.6 7.4 7.4 10.0 6.3 Median 1.8 2.6 0.6 6.8 6.8 9.6 6.0 3rd Quartile 1.5 2.0 -0.8 6.2 6.1 9.0 5.5 95th Percentile 0.8 0.9 -2.0 5.1 5.2 8.1 4.9 Performance Comparison All Public Plans <= $500 mil As of June 30, 2016 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 13 -7.0 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 2.0 (34)2.9 (44)-0.1 (63)4.4 (96)4.8 (97)7.6 (97)5.4 (78)¢£ 5th Percentile 2.9 4.7 2.8 8.2 8.0 10.7 6.8 1st Quartile 2.2 3.5 1.6 7.4 7.3 10.1 6.2 Median 1.8 2.7 0.6 6.7 6.7 9.6 5.9 3rd Quartile 1.5 2.1 -0.7 6.1 6.0 9.0 5.5 95th Percentile 0.8 0.9 -2.0 4.9 5.1 8.1 4.6 Performance Comparison All Public Plans As of June 30, 2016 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 14 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 26.4 (96)13.8 (42)26.6 (66)9.4 (2)13.4 (16)6.3 (63)0.6 (73)¢£ 5th Percentile 58.0 23.3 44.9 8.8 19.5 13.1 4.8 1st Quartile 50.7 16.5 36.3 5.1 11.8 10.7 1.9 Median 45.4 13.4 31.6 4.8 6.5 7.8 1.1 3rd Quartile 39.7 10.6 24.7 4.3 3.8 5.5 0.6 95th Percentile 27.0 7.4 16.3 3.7 0.8 3.3 0.1 Asset Allocation Comparison All Public Plans <= $500 mil As of June 30, 2016 _________________________ Parentheses contain percentile rankings. 15 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 26.4 (86)13.8 (51)26.6 (59)9.4 (4)13.4 (42)6.3 (61)0.6 (73)¢£ 5th Percentile 57.1 25.7 46.7 8.9 32.8 14.1 7.1 1st Quartile 49.3 19.1 35.2 5.1 18.8 10.6 2.2 Median 42.9 13.8 29.2 4.6 11.9 7.4 1.2 3rd Quartile 33.4 10.9 22.3 3.6 5.9 5.4 0.6 95th Percentile 18.1 7.3 14.1 0.2 1.7 2.9 0.1 Asset Allocation Comparison All Public Plans As of June 30, 2016 _________________________ Parentheses contain percentile rankings. 16 3 Years 5 Years 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)3.0 3.8 4.6 5.4 6.2 7.0 7.8 Risk (Standard Deviation %) Policy Benchmark (6.1 , 4.6) Total Composite (6.2 , 4.4) 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (7.1 , 5.1) Total Composite (7.3 , 4.8) Performance Summary Risk and Return Summary As of June 30, 2016 17 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 249,161,734 100.0 2.0 2.9 -0.1 4.4 4.8 5.4 7.3 23y 6m Policy Benchmark 2.1 3.5 0.5 4.6 5.1 5.3 N/A Asset Allocation Index 2.4 4.2 1.4 5.5 5.5 5.4 N/A Total Equity Composite 100,147,471 40.2 1.7 0.9 -3.1 N/A N/A N/A 6.8 2y 10m MSCI AC World IMI 1.2 1.7 -3.3 6.7 6.0 5.0 6.0 Domestic Equity Composite 65,779,323 26.4 2.0 1.2 -0.4 N/A N/A N/A 9.8 2y 10m Russell 3000 Index 2.6 3.6 2.1 11.1 11.6 7.4 10.8 Large-Cap Equity Composite 50,886,255 20.4 1.6 0.5 1.1 11.0 10.8 7.1 8.2 13y 1m Russell 1000 Index 2.5 3.7 2.9 11.5 11.9 7.5 8.6 Small-Cap Equity Composite 14,893,068 6.0 3.2 3.8 -5.4 8.1 9.4 8.2 10.6 13y 1m Russell 2000 Index 3.8 2.2 -6.7 7.1 8.4 6.2 9.0 International Equity Composite 34,368,148 13.8 1.1 0.1 -8.1 N/A N/A N/A 1.1 2y 10m MSCI AC World ex USA Index -0.6 -1.0 -10.2 1.2 0.1 1.9 0.2 Developed International Equity Composite 24,833,906 10.0 0.6 -2.0 -8.3 1.9 3.0 2.8 4.2 17y 2m MSCI EAFE Index -1.5 -4.4 -10.2 2.1 1.7 1.6 3.0 Emerging International Equity Composite 9,534,241 3.8 2.0 6.7 -9.0 -1.5 -2.2 3.4 6.4 11y 3m MSCI Emerging Markets Index 0.7 6.4 -12.1 -1.6 -3.8 3.5 6.3 Fixed Income Composite 89,619,594 36.0 2.2 6.7 5.1 2.5 3.3 5.4 4.7 13y Barclays Intermediate U.S. Government/Credit 1.6 4.1 4.3 3.0 2.9 4.5 3.8 Performance Summary Total Pension Fund Asset Allocation and Performance As of June 30, 2016 _________________________ Performance is reported net of fees. 18 Performance Summary Total Pension Fund Asset Allocation and Performance As of June 30, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Funds Composite 33,416,522 13.4 1.0 -3.1 -5.3 N/A N/A N/A -2.2 1y 4m HFRI Fund of Funds Composite Index 0.6 -2.6 -5.4 1.9 1.6 1.6 -3.4 Real Estate Composite.15,624,465 6.3 1.5 3.3 9.4 10.0 9.7 5.5 8.1 38y 6m NCREIF Property Index 2.0 4.3 10.6 11.6 11.5 7.4 9.3 Real Assets Composite 8,736,877 3.5 9.0 14.4 -7.8 -5.4 -6.6 N/A -2.5 6y 3m Wellington DIH Multi-Asset Inflation Index 8.9 14.7 -5.1 -4.2 -5.6 0.0 -2.2 Cash Account 1,616,805 0.6 0.5 0.5 0.6 0.5 0.3 1.1 1.3 13y 1m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.2 0.1 0.1 1.0 1.3 _________________________ Performance is reported net of fees. 19 Allocation Market Value ($)% 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 13,088,186 5.3 2.9 (47)3.2 (45)-1.0 (47)8.2 (48)10.3 (31)6.1 (31)6.1 (28)15y 2m Russell 1000 Value Index 4.6 (8)6.3 (13)2.9 (17)9.9 (14)11.4 (9)6.1 (31)6.3 (24) IM U.S. Large Cap Value Equity 2.5 2.8 -1.4 8.1 9.5 5.3 5.4 Vanguard Institutional Index Fund 16,307,440 6.5 2.4 (29)3.8 (22)4.0 (14)11.6 (21)12.1 (12)7.4 (27)5.0 (41)16y 9m S&P 500 2.5 (29)3.8 (21)4.0 (14)11.7 (20)12.1 (11)7.4 (27)5.0 (41) IM U.S. Large Cap Equity 1.6 0.9 -0.6 9.8 10.2 6.5 4.7 T. Rowe Price Inst. Large-Cap Core Growth 11,887,681 4.8 -0.2 (66)-5.7 (86)-1.5 (49)13.1 (16)12.9 (6)8.9 (14)13.8 (13)3y 4m Russell 1000 Growth Index 0.6 (42)1.4 (9)3.0 (9)13.1 (17)12.3 (12)8.8 (16)13.6 (14) IM U.S. Large Cap Growth Equity 0.3 -2.2 -1.6 11.5 10.4 7.4 11.8 Holland Large Cap Growth 9,602,947 3.9 0.6 (43)-0.9 (34)1.7 (19)10.0 (78)10.2 (56)8.2 (29)10.4 (78)3y 4m Russell 1000 Growth Index 0.6 (42)1.4 (9)3.0 (9)13.1 (17)12.3 (12)8.8 (16)13.6 (14) IM U.S. Large Cap Growth Equity 0.3 -2.2 -1.6 11.5 10.4 7.4 11.8 Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 7,381,236 3.0 2.1 (51)7.2 (22)-3.9 (62)8.7 (54)9.4 (45)N/A 9.1 (6)8y 6m Russell Midcap Value Index 4.8 (7)8.9 (12)3.2 (12)11.0 (12)11.7 (6)7.8 (13)7.9 (18) IM U.S. Mid Cap Value Equity 2.1 5.3 -2.3 8.8 9.0 6.2 6.6 TimesSquare Small Cap Growth Fund 7,511,832 3.0 4.5 (38)0.4 (34)-7.0 (26)7.0 (45)9.1 (23)8.7 (2)9.5 (1)14y 5m Russell 2000 Growth Index 3.2 (47)-1.6 (46)-10.8 (42)7.7 (38)8.5 (31)7.1 (16)7.1 (47) IM U.S. Small Cap Growth Equity 3.1 -2.0 -12.8 6.8 7.6 5.8 7.0 Developed International Equity Manager Morgan Stanley International Equity Fund I 24,833,906 10.0 0.5 (42)-2.1 (57)-8.3 (37)1.9 (47)3.0 (20)2.8 (41)3.7 (60)11y 3m MSCI EAFE Index -1.5 (71)-4.4 (76)-10.2 (54)2.1 (43)1.7 (36)1.6 (65)3.5 (66) IM International Equity -0.1 -0.9 -9.9 1.6 0.7 2.3 4.3 Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 9,534,241 3.8 1.9 (54)6.6 (44)-8.8 (35)-1.4 (49)-2.2 (29)3.4 (44)6.4 (35)11y 3m MSCI Emerging Markets Index 0.7 (83)6.4 (45)-12.1 (69)-1.6 (54)-3.8 (56)3.5 (42)6.3 (38) IM Emerging Markets Equity 2.1 6.0 -10.3 -1.4 -3.5 3.2 6.0 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of June 30, 2016 _________________________ Performance is reported net of fees. 20 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of June 30, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 35,905,828 14.4 1.8 (13)4.1 (17)4.0 (19)2.9 (16)3.2 (10)5.1 (5)5.1 (5)15y Barclays Intermediate U.S. Government/Credit 1.6 (26)4.1 (18)4.3 (13)3.0 (16)2.9 (22)4.5 (17)4.5 (17) IM U.S. Intermediate Duration Fixed Income 1.3 3.0 2.8 2.1 2.3 3.8 3.9 Prudential Core Plus Bond Fund 30,375,696 12.2 3.4 (12)7.1 (6)6.9 (2)5.2 (6)5.3 (4)6.6 (4)5.0 (3)1y 1m Barclays U.S. Aggregate 2.2 (74)5.3 (46)6.0 (14)4.1 (36)3.8 (61)5.1 (64)4.5 (7) IM U.S. Broad Market Core+ Fixed Income 2.6 5.2 4.5 3.7 4.0 5.5 3.1 Brandywine Global Opportunistic Fixed Income 23,338,069 9.4 1.5 (90)10.3 (2)4.9 (48)2.4 (46)4.0 (16)6.4 (1)5.8 (2)11y 6m Citigroup World Government Bond Index 3.4 (9)10.7 (1)11.3 (1)2.6 (37)1.2 (69)4.2 (64)3.3 (67) IM Global Fixed Income 2.4 5.9 4.7 2.2 2.0 4.5 3.7 _________________________ Performance is reported net of fees. 21 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of June 30, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Fund Managers Lighthouse Global Long/Short Fund Limited 17,594,263 7.1 1.8 -2.9 -0.3 6.1 6.2 5.6 1.6 1y 4m HFRI Equity Hedge (Total) Index 1.4 -0.4 -5.0 3.1 2.3 2.9 -2.2 Entrust Capital Diversified Fund 15,822,259 6.4 0.3 -3.3 -10.9 -0.8 0.9 3.4 -10.6 0y 11m HFRI Fund of Funds Composite Index 0.6 -2.6 -5.4 1.9 1.6 1.6 -5.6 Real Estate Manager UBS Trumbull Property Fund 15,624,465 6.3 1.5 3.3 9.4 10.0 9.7 5.5 5.8 10y 1m NCREIF Property Index 2.0 4.3 10.6 11.6 11.5 7.4 7.5 Real Asset Manager Wellington Diversified Inflation Hedges 8,736,877 3.5 9.0 14.4 -7.8 -5.4 -6.6 N/A -2.5 6y 3m Wellington DIH Multi-Asset Inflation Index 8.9 14.7 -5.1 -4.2 -5.6 0.0 -2.2 Cash Account 1,616,805 0.6 0.5 0.5 0.6 0.5 0.3 1.1 1.3 13y 1m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.1 0.2 0.1 0.1 1.0 1.3 Total Composite 249,161,734 100.0 2.0 2.9 -0.1 4.4 4.8 5.4 7.3 23y 6m _________________________ Performance is reported net of fees. 22 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Return (%)9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 Risk (Standard Deviation %) MSCI EAFE Russell 2000 Growth Russell Midcap Value Russell 1000 Growth S&P 500 Russell 1000 Value Holland Large Cap Growth Kennedy Mid Cap Value TimesSquare Small Cap Growth Morgan Stanley International Equity Vanguard Windsor II Fund Vanguard Institutional Index Fund T. Rowe Price Inst. Large-Cap Core Growth Performance Summary Risk and Return Summary - Equity Managers 5 Years Ending June 30, 2016 23 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 5.4 6.0 6.6 Return (%)0.0 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0 7.7 8.4 9.0 Risk (Standard Deviation %) Citigroup World Government Bond Index BC Intermediate U.S. Government/Credit Barclays U.S. Aggregate Prudential Core Plus Bond Fund Income Research Brandywine Global Performance Summary Risk and Return Summary - Fixed Income Managers 5 Years Ending June 30, 2016 24 -10.0 -6.0 -2.0 2.0 6.0 10.0 14.0 18.0 22.0 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund HFRI Equity Hedge (Total) Index NCREIF Property Index Lighthouse Global Long/Short Fund Limited Wellington DIH Multi-Asset Inflation Index Wellington DIH UBS TPF Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending June 30, 2016 25 Manager Compliance Checklist Second Quarter 2016 Mana gers Va ngua rd Windsor Vangua rd Insti tu ti onal T.Ro we Price Holland Ke nne dy TimesS qua re Morga n Stanley Int'l Morgan Stanley EM Organizational /Produ ct Is sues No ma terial c hanges to inves tment team ++++++++ No ma terial o rg aniza tional changes ++++-+++ Accounting or re gulatory concerns ++++++++ Cu rrently in adherence to guidelin es ++++++++ Po rt fo lio characteris tics me et s tylis tic expectations ++++++++ Re lati ve Perfor mance 1 Th re e-year return better than benchmark -N/A In -Lin e ----+ Th re e-year rankin g better than peer group median +++--+++ Fiv e year return better than benchmark -N/A +--+++ Fiv e year rankin g better than peer group media n +++-++++ 1 Manager performance is evaluated net of investment management fees. Fiv e year rankin g better than peer group media n +++-++++ Perfor mance s tatus ++++++++ Da te perfo rmance s tatus changed Summary status ++++++++ Da te s umma ry status changed 26 Manager Compliance Checklist Second Quarter 2016 Mana ge rs Income Re se arch Prude ntial Bra ndyw ine Global Lighthouse Entrust UBS Wellington Organi zati onal /Produ ct Is sues No ma teria l c hanges to investme nt team -++++++ No ma teria l o rg aniza tional c hanges +-++-++ Accounting or re gulatory concerns +++++++ Cu rre ntly in adherence to guidelin es +++++++ Po rt fo lio characteris tics me et s tylis tic expectations +++++++ Re lati ve Perfor mance 1 Th re e-year return better than benchmark -+-+--- Th re e-year rankin g better than peer group median +++N/A N/A N/A N/A Fiv e year re turn better than benchmark ++++--- +++ 1 Manager performance is evaluated net of investment management fees. Fiv e year ra nkin g better than peer group median +++N/A N/A N/A N/A Perfor manc e s tatus ++++++- Da te perfo rmance s tatus changed 1Q 16 Summary status +++++++ Da te s umma ry status changed 27 Manager Compliance Issue Explanation Recommended Action Comments Prudential Fixed Income Investment Team Changes The head of Prudential Fixed Income, Jim Sullivan, has transitioned into the role of Executive Chairman effective January 1, 2016. As Executive Chairman, Sullivan will oversee the strategic direction of the business. Mike Lillard, currently CIO, will become head of Prudential Fixed Income and maintain his CIO role.This change will have minimal impact on the day-to-day portfolio management. Hold The announcement does not impact Pavilion’s opinion or rating on any Prudential strategies, but it will be important to monitor Mike Lillard’s future workload. Manager Compliance Checklist Second Quarter 2016 28 Manager Compliance Issue Explanation Recommended Action Comments Income Research Investment Team Changes Jen Karpinski, Portfolio Manager on the Corporate team, left Income Research as of June 1st. Her responsibilities were reallocated to the other Corporate Portfolio Managers on the team. Julia Hébert, a Portfolio Manager and member of their Credit Team, has left Income Research as of January 15th.Her responsibilities have been reallocated to the other Credit Portfolio Managers on the team. Senior Portfolio Manager Jim Gubitosi will be assuming portfolio Hold Given IR+M’s team approach to managing portfolios we do not have concerns about these departures. Manager Compliance Checklist Second Quarter 2016 Gubitosi will be assuming portfolio management responsibilities on the Credit Team. Jim comes from the Securitized/Government team within Income Research. EnTrust Organizational Changes EnTrust will be combining their business with that of The Permal Group, a global alternative asset manager that was established in 1973 and acquired by Legg Mason in 2005.The deal is expected to close in mid –2016. Gregg Hymowitz will serve as the Chairman and Chief Executive Officer of EnTrustPermal, as well as continue to be the Chair of the EnTrustPermal Global Investment Committee. Hold Pavilion will be reviewing the effects of the combination and advise you if we see any organizational risk that may impair the investment process.We will be watching the performance of this fund closely during 2016. 29 Manager Compliance Issue Explanation Recommended Action Comments Wellington Performance The manager underperformed the W ellington DIH Multi-Asset Inflation Index by 120 and 100 basis points over the rolling three-and five-year periods. Watch Wellington Diversified Inflation Hedges has been put on negative watch as it has underperformed its benchmark consistently over longer-term periods. Kennedy Organizational Kennedy’s CEO and Chairman of Hold The announcement does not impact Manager Compliance Checklist Second Quarter 2016 Kennedy Organizational Changes Kennedy’s CEO and Chairman of the Board, Randall Kirkland, has retired. Their has been a plan in place and Kimberly W ood has been announced as his replacement. Hold The announcement does not impact Pavilion’s opinion or rating on Kennedy, but it will be important to monitor Kimberly Woods and the impact she has on the firm. 30 Asset Class Diversification 31 June 30, 2016 : $249,161,734 Target Allocation Actual Allocation Allocation Differences 0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 % Cash Account $1,616,805 Real Asset Composite $8,736,877 Real Estate Composite $15,624,465 Hedge Funds Composite $33,416,522 Fixed Income Composite $89,619,594 Emerging International Equity Composite $9,534,241 Developed International Equity Composite $24,833,906 Small-Cap Equity Composite $14,893,068 Large-Cap Equity Composite $50,886,255 0.0% 5.0% 5.0% 15.0% 35.0% 4.0% 10.0% 6.0% 20.0% 0.6% 3.5% 6.3% 13.4% 36.0% 3.8% 10.0% 6.0% 20.4% 0.6% -1.5 % 1.3% -1.6 % 1.0% -0.2 % 0.0% 0.0% 0.4% Asset Class Diversification Investment Policy Allocation As of June 30, 2016 32 Asse t Cl ass/Type Manage r Total Asse ts ($,mil.)as of 6/30/2016 Perce nt of Total Ta rge t Allocation Weighting Re lati ve to Ta rge t Al lowable Ra nge Total Asse ts ($,mil.)as of 3/31/2016 La rge -Ca p Equity $50.9 20.4%20.0%+ 0 .4 %15 -25%$50.1 Co re Va nguard Ins titutional $16.3 6.5%6.0%+ 0.5%$15.8 Va lu e Va nguard Windsor $13.1 5.3%5.0%+ 0.3%$12.2 Gr owth T. Rowe Price $11.9 4.8%5.0%- 0.2%$11.9 Gr owth Ho lla nd $9.6 3.9%4.0%- 0.1%$10.2 Small-Ca p Equity $14.9 6.0%6.0%- 0 .0 %2 -8%$15.1 Va lu e Kennedy $7.4 3.0%3.0%- 0.0%$7.9 Gr owth Time sSquare $7.5 3.0%3.0%+ 0.0%$7.2 Inte rna ti ona l Equity $34.4 13.8%14.0%- 0 .2 %$32.7 Developed Morgan Stanley $24.8 10.0%10.0%- 0.0%5 -15%$24.9 Eme rg in g Marke ts Morgan Stanley $9.5 3.8%4.0%- 0.2%2 -8%$7.8 Fix ed Income $89.6 36.0%35.0%+ 1 .0 %$86.6 Asset Class Diversification Investment Program Structure As of June 30, 2016 Fix ed Income $89.6 36.0%35.0%+ 1 .0 %$86.6 Do me stic Core In come Res earch $35.9 14.4%14.0%+ 0.4%10 -20%$34.3 Global Br andywin e Glo bal $23.3 9.4%9.0%+ 0.4%4 -14%$23.5 Do me stic Core Plu s Pru dential $30.4 12.2%12.0%+ 0.2%10 -20%$28.9 He dge Funds $33.4 13.4%15.0%- 1 .6 %0 -20%$33.1 Hedge Funds Li ghthouse Glo bal $17.6 7.1%7.5%- 0.4%$17.3 Hedge Funds En trust $15.8 6.4%7.5%- 1.1%$15.8 Real Es tate $15.6 6.3%5.0%+ 1 .3 %$15.4 Re al Es tate UBS Tru mb ull $15.6 6.3%5.0%+ 1.3%0 -10%$15.4 Real As set $8.7 3.5%5.0%- 1 .5 %$8.0 Re al Asset Wellin gton $8.7 3.5%5.0%- 1.5%0 -10%$8.0 Ca sh $1.6 0.6%0.0%+ 0 .6 %$1.5 Ca sh Account Ca sh Account $1.6 0.6%0.0%+ 0.6%$1.5 Tota l $249.2 100.0%100.0%+ 0 .0 %$242.6 *Totals may not add to exactly 100.0% due to rounding.33 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)88,655 80,733 Median Mkt. Cap ($M)12,163 1,359 Price/Earnings ratio 19.7 17.2 Price/Book ratio 3.3 2.7 5 Yr. EPS Growth Rate (%)7.3 6.3 Current Yield (%)2.1 2.6 Debt to Equity 1.1 0.9 Number of Stocks 914 8,721 Beta -1.00 Consistency -- Sharpe Ratio -- Information Ratio -- Up Market Capture -- Down Market Capture -- Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 2.0 0.7 1.3 20.5 Microsoft Corp 1.4 0.9 0.5 -6.7 British American Tobacco PLC 1.3 0.3 1.0 10.1 Reckitt Benckiser Group PLC 1.3 0.2 1.1 4.8 Google Inc (Class C)1.2 0.5 0.7 -7.1 Unilever NV 1.2 0.2 1.0 4.6 Nestle SA, Cham Und Vevey 1.2 0.6 0.6 6.1 Facebook Inc 1.1 0.6 0.5 0.2 Apple Inc 1.1 1.3 -0.2 -11.7 Novartis AG 1.0 0.5 0.5 13.0 % of Portfolio 12.7 5.7 Distribution of Market Capitalization (%) Equity Composite MSCI AC World IMI 0.0 15.0 30.0 45.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 31.1 29.8 23.4 15.7 0.0 35.6 29.8 20.8 12.0 1.8 Sector Weights (%) Equity Composite MSCI AC World IMI 0.0 5.0 10.0 15.0 20.0 25.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.1 1.8 1.9 2.3 4.0 18.0 11.0 14.4 14.7 4.2 13.7 14.1 0.0 0.0 3.6 3.6 5.3 14.7 11.3 11.9 20.3 6.6 10.2 12.6 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World IMI As of June 30, 2016 34 Total Equity Composite MSCI AC World IMI Australia 0.0 2.3 Hong Kong 0.4 1.1 Japan 3.7 8.1 New Zealand 0.0 0.1 Singapore 0.0 0.5 Pacific 4.1 12.1 Austria 0.1 0.1 Belgium 0.2 0.5 Finland 0.0 0.3 France 2.9 2.9 Germany 1.8 2.7 Ireland 0.3 0.2 Italy 0.1 0.7 Netherlands 2.6 1.0 Portugal 0.1 0.1 Spain 0.0 0.9 EMU 8.1 9.5 Denmark 0.0 0.6 Norway 0.0 0.3 Sweden 0.2 1.0 Switzerland 3.7 2.8 United Kingdom 9.0 6.4 Europe ex EMU 13.0 11.2 Canada 1.0 3.2 United States 62.8 53.3 Israel 0.0 0.3 Middle East 0.0 0.3 Developed Markets 89.1 89.5 Total Equity Composite MSCI AC World IMI Brazil 0.6 0.7 Cayman Islands 0.0 0.0 Chile 0.1 0.1 Colombia 0.1 0.0 Mexico 0.6 0.4 Peru 0.2 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.5 1.3 China 2.1 2.6 India 1.0 0.9 Indonesia 0.4 0.3 Korea 1.2 1.6 Malaysia 0.0 0.3 Philippines 0.4 0.2 Taiwan 1.0 1.3 Thailand 0.1 0.3 EM Asia 6.2 7.5 Czech Republic 0.0 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.2 0.1 Qatar 0.0 0.1 Russia 0.0 0.4 South Africa 0.6 0.7 Turkey 0.1 0.1 United Arab Emirates 0.0 0.1 EM Europe + Middle East + Africa 1.0 1.6 Emerging Markets 8.8 10.5 Frontier Markets 0.1 0.0 Cash 1.8 0.0 Other 0.2 0.0 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World IMI As of June 30, 2016 35 Portfolio Characteristics Maturity Distribution (%) Credit Quality Distribution (%) Risk Characteristics - 3 Years Sector Distribution (%) Portfolio Benchmark Effective Duration 5.6 4.1 Avg. Maturity 8.3 4.4 Avg. Quality A AA Yield To Maturity (%)3.2 1.4 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBBelow BNot Rated63.5 5.9 14.0 16.6 0.0 0.0 0.0 0.0 36.4 9.8 18.9 23.4 6.7 3.6 0.6 0.6 Consistency Sharpe Ratio Information Ratio Up Market Capture Down Market Capture Total Fixed Income Composite 47.2 0.7 -0.1 117.4 171.8 Barclays Intermediate U.S. Government/Credit 0.0 1.4 N/A 100.0 100.0 90 Day U.S. Treasury Bill 44.4 N/A -1.4 1.2 -0.7 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 36.7 28.2 35.1 0.0 0.0 6.9 17.2 27.3 28.6 6.1 13.9 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.4 4.2 26.8 0.0 0.0 0.0 10.5 2.1 0.0 0.0 0.0 0.0 16.6 0.1 31.2 5.2 2.0 10.5 9.2 6.3 1.7 1.5 7.0 8.8 Fixed Income Portfolio - Characteristics Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit As of June 30, 2016 36 Manager Evaluation 37 Historical Performance Buy and Hold Attribution Risk and Return (Jul - 2011 - Jun - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Vanguard Windsor II 2.9 3.2 -1.0 8.2 10.3 6.1 -3.1 11.3 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 Russell 1000 Value Index 4.6 6.3 2.9 9.9 11.4 6.1 -3.8 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 IM U.S. Large Cap Value Equity 2.5 2.8 -1.4 8.1 9.5 5.3 -3.7 10.9 32.7 15.3 -2.3 12.7 24.2 -36.8 1.7 17.9 Vanguard Windsor II Rank 47 45 47 48 31 31 35 40 75 29 15 83 28 48 45 45 Vanguard Windsor II Russell 1000 Value Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 8.1 9.0 9.9 10.8 11.7 12.6 Return (%)12.3 12.6 12.9 13.2 13.5 13.8 14.1 Risk (Standard Deviation %) Russell 1000 Value Index Vanguard Windsor II Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary -4.0 0.3 0.3 -0.7 2.6 0.8 6.1 -8.5 -3.6 1.4 5.3 Allocation (Total: -0.5) 0.0 0.5 1.0-0.5-1.0 -0.1 0.0 0.0 0.0 -0.1 0.0 0.3 0.2 -0.2 0.0 -0.5 Stock (Total: -0.8) 0.0 0.4 0.8-0.4-0.8-1.2 0.1 -0.1 0.0 -0.1 -0.4 0.3 0.3 -0.5 -0.2 -0.2 0.1 Vanguard Windsor II 0.0 0.5 1.0-0.5-1.0-1.5 0.0 -0.1 0.0 -0.1 -0.5 0.3 0.6 -0.3 -0.5 -0.1 -0.4 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of June 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 38 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)114,153 114,957 Median Mkt. Cap ($M)19,793 7,567 Price/Earnings ratio 16.5 17.1 Price/Book ratio 2.5 2.1 5 Yr. EPS Growth Rate (%)3.7 3.0 Current Yield (%)2.7 2.6 Debt to Equity 1.4 0.9 Number of Stocks 279 692 Beta (5 Years, Monthly)0.97 1.00 Consistency (5 Years, Monthly)43.33 1.00 Sharpe Ratio (5 Years, Monthly)0.86 0.92 Information Ratio (5 Years, Monthly)-0.50 - Up Market Capture (5 Years, Monthly)95.35 - Down Market Capture (5 Years, Monthly)99.11 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Medtronic PLC 3.5 1.2 2.3 15.7 Pfizer Inc 3.1 1.9 1.2 19.9 Microsoft Corp 3.0 0.0 3.0 -6.7 JPMorgan Chase & Co 2.9 2.2 0.7 5.7 Philip Morris International Inc 2.8 1.4 1.4 4.7 Johnson & Johnson 2.5 2.7 -0.2 12.9 Wells Fargo & Co 2.5 2.1 0.3 -1.4 Raytheon Co.2.4 0.2 2.2 11.5 Honeywell International Inc 2.2 0.0 2.2 4.4 Bank of America Corp 2.2 1.3 0.8 -1.5 % of Portfolio 27.0 13.1 Distribution of Market Capitalization (%) Vanguard Windsor II Russell 1000 Value Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 42.9 30.4 20.9 5.7 50.8 33.5 12.6 3.2 Sector Weights (%) Vanguard Windsor II Russell 1000 Value Index 0.0 8.0 16.0 24.0 32.0 40.0 Other Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.3 3.2 3.2 2.1 13.6 11.4 18.8 19.1 9.6 8.9 9.9 0.0 7.3 4.2 2.8 9.5 9.7 11.3 27.7 13.6 9.1 4.7 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of June 30, 2016 39 Historical Performance Three Year Rolling Percentile Ranking Relative Performance Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Vanguard Institutional Index 2.4 3.8 4.0 11.6 12.1 7.4 1.4 13.7 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 S&P 500 Index 2.5 3.8 4.0 11.7 12.1 7.4 1.4 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 IM U.S. Large Cap Equity 1.6 0.9 -0.6 9.8 10.2 6.5 0.1 10.9 32.6 15.3 -1.3 13.4 28.2 -37.8 6.9 13.1 Vanguard Institutional Index Rank 29 22 14 21 12 27 42 14 53 41 19 33 58 40 59 29 Vanguard Institutional Index S&P 500 Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 Cumulative Annualized Over/Under Relative Performance Over/Under Performance 0.0 0.1 0.2 -0.1 -0.2Return (%)9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Vanguard Institutional Index 12.1 12.4 12.3 0.0 1.0 1.0 0.0 -3.1 7.0 5.0 16y 9m S&P 500 Index 12.1 12.4 12.3 0.0 1.0 1.0 0.0 N/A 6.9 0.0 16y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.4 -1.0 0.0 20.0 16y 9m Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of June 30, 2016 40 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)135,847 135,964 Median Mkt. Cap ($M)18,208 18,208 Price/Earnings ratio 19.6 19.6 Price/Book ratio 3.2 3.2 5 Yr. EPS Growth Rate (%)6.3 5.9 Current Yield (%)2.2 2.2 Debt to Equity 1.4 1.4 Number of Stocks 507 505 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)30.00 1.00 Sharpe Ratio (5 Years, Monthly)1.01 1.01 Information Ratio (5 Years, Monthly)-1.75 - Up Market Capture (5 Years, Monthly)99.93 - Down Market Capture (5 Years, Monthly)100.07 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 2.9 2.9 0.0 -11.7 Microsoft Corp 2.2 2.2 0.0 -6.7 Exxon Mobil Corp 2.1 2.1 0.0 13.1 Johnson & Johnson 1.8 1.8 0.0 12.9 General Electric Co 1.6 1.6 0.0 -0.2 Amazon.com Inc 1.5 1.5 0.0 20.5 AT&T Inc 1.5 1.5 0.0 11.7 Facebook Inc 1.5 1.5 0.0 0.2 Berkshire Hathaway Inc 1.4 1.5 -0.1 2.1 Verizon Communications Inc 1.3 1.3 0.0 4.3 % of Portfolio 17.7 17.8 Distribution of Market Capitalization (%) Vanguard Institutional Index S&P 500 Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 50.3 34.1 15.1 0.4 50.3 34.1 15.2 0.4 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 3.7 2.9 2.9 19.8 10.2 14.7 15.7 7.4 10.6 12.3 3.6 2.9 2.8 19.8 10.2 14.7 15.7 7.4 10.6 12.3 Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of June 30, 2016 41 Historical Performance Buy and Hold Attribution Risk and Return (Jul - 2011 - Jun - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 T. Rowe Price LCC Growth -0.2 -5.7 -1.5 13.1 12.9 8.9 11.3 9.3 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 Russell 1000 Growth Index 0.6 1.4 3.0 13.1 12.3 8.8 5.7 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 IM U.S. Large Cap Growth Equity 0.3 -2.2 -1.6 11.5 10.4 7.4 5.5 10.5 34.0 14.9 -1.8 15.1 35.0 -39.8 13.9 6.7 T. Rowe Price LCC Growth Rank 66 86 49 16 6 14 5 65 6 18 20 36 20 72 57 24 T. Rowe Price LCC Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 11.5 12.0 12.5 13.0 13.5 14.0 Return (%)11.2 11.9 12.6 13.3 14.0 14.7 15.4 16.1 Risk (Standard Deviation %) Russell 1000 Growth Index T. Rowe Price LCC Growth Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary -0.1 -2.4 -2.5 1.4 -0.2 7.1 0.9 -0.5 -8.6 4.8 Allocation (Total: -0.4) 0.0 0.3 0.6-0.3-0.6 0.0 -0.1 0.0 -0.1 0.0 0.2 0.0 -0.1 -0.3 0.0 Stock (Total: -0.4) 0.0 0.8 1.6-0.8-1.6 0.0 0.0 0.0 0.3 -0.8 -0.5 0.1 0.0 -0.1 0.6 T. Rowe Price LCC Growth 0.0 0.6 1.2-0.6-1.2-1.8 0.0 -0.1 0.0 0.2 -0.8 -0.2 0.1 -0.1 -0.4 0.6 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of June 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 42 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)146,944 129,410 Median Mkt. Cap ($M)33,870 8,880 Price/Earnings ratio 25.2 23.3 Price/Book ratio 4.6 5.5 5 Yr. EPS Growth Rate (%)9.4 9.7 Current Yield (%)0.8 1.6 Debt to Equity 0.3 1.0 Number of Stocks 110 600 Beta (5 Years, Monthly)1.12 1.00 Consistency (5 Years, Monthly)56.67 1.00 Sharpe Ratio (5 Years, Monthly)0.91 1.00 Information Ratio (5 Years, Monthly)0.18 - Up Market Capture (5 Years, Monthly)109.81 - Down Market Capture (5 Years, Monthly)113.92 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 10.6 2.8 7.9 20.5 Facebook Inc 5.8 2.5 3.3 0.2 Google Inc (Class C)5.2 2.0 3.2 -7.1 Priceline Group Inc (The)4.5 0.6 3.9 -3.1 Danaher Corp 4.3 0.2 4.1 6.6 MasterCard Inc 3.1 0.8 2.3 -6.6 Microsoft Corp 3.1 3.8 -0.8 -6.7 Alphabet Inc 3.0 2.0 1.0 -7.8 American Tower Corp 2.5 0.5 2.1 12.1 Bristol-Myers Squibb Co 2.5 1.2 1.3 15.7 % of Portfolio 44.7 16.5 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 46.9 31.5 17.9 3.7 46.1 44.0 9.9 0.0 Sector Weights (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.0 0.0 0.7 28.6 11.3 19.6 8.2 0.0 2.8 28.8 0.1 1.3 3.6 29.3 10.8 17.1 5.7 0.6 10.6 20.9 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of June 30, 2016 43 Historical Performance Buy and Hold Attribution Risk and Return (Jul - 2011 - Jun - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Holland Large Cap Growth 0.6 -0.9 1.7 10.0 10.2 8.2 7.1 7.2 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 Russell 1000 Growth Index 0.6 1.4 3.0 13.1 12.3 8.8 5.7 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 IM U.S. Large Cap Growth Equity 0.3 -2.2 -1.6 11.5 10.4 7.4 5.5 10.5 34.0 14.9 -1.8 15.1 35.0 -39.8 13.9 6.7 Holland Large Cap Growth Rank 43 34 19 78 56 29 32 90 82 73 5 49 31 5 80 54 Holland Large Cap Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 6.0 8.0 10.0 12.0 14.0 16.0 Return (%)11.1 11.4 11.7 12.0 12.3 12.6 12.9 13.2 Risk (Standard Deviation %) Russell 1000 Growth Index Holland Large Cap Growth Average Active Weight 0.0 3.0 6.0 9.0-3.0-6.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 -1.4 -2.2 1.7 2.0 -1.9 -1.9 -0.5 -1.0 1.4 3.9 Allocation (Total: -0.5) -0.2 -0.1 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.1 -0.1 0.0 0.0 0.0 Stock (Total: 0.7) 0.0 0.6 1.2-0.6-1.2 0.0 0.0 0.1 0.5 -0.4 0.6 -0.4 0.0 -0.1 0.3 0.0 Holland Large Cap Growth 0.0 0.4 0.8 1.2-0.4-0.8-1.2 0.0 -0.1 0.0 0.4 -0.4 0.5 -0.4 -0.1 -0.1 0.3 0.0 Manager Evaluation Holland Large Cap Growth vs. Russell 1000 Growth Index As of June 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 44 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)116,191 129,410 Median Mkt. Cap ($M)34,786 8,880 Price/Earnings ratio 24.0 23.3 Price/Book ratio 5.2 5.5 5 Yr. EPS Growth Rate (%)12.9 9.7 Current Yield (%)1.2 1.6 Debt to Equity 1.1 1.0 Number of Stocks 52 600 Beta (5 Years, Monthly)1.02 1.00 Consistency (5 Years, Monthly)48.33 1.00 Sharpe Ratio (5 Years, Monthly)0.80 1.00 Information Ratio (5 Years, Monthly)-0.66 - Up Market Capture (5 Years, Monthly)95.68 - Down Market Capture (5 Years, Monthly)107.87 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 4.8 2.8 2.1 20.5 Visa Inc 4.5 1.4 3.1 -2.8 Google Inc (Class C)4.3 2.0 2.3 -7.1 Apple Inc 3.5 4.7 -1.3 -11.7 Adobe Systems Inc 3.4 0.5 2.9 2.1 Honeywell International Inc 3.0 0.9 2.2 4.4 Priceline Group Inc (The)3.0 0.6 2.4 -3.1 Microsoft Corp 3.0 3.8 -0.9 -6.7 CVS Health Corp 2.8 1.0 1.8 -7.3 Lowe's Cos Inc.2.7 0.7 2.0 4.9 % of Portfolio 34.9 18.4 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 46.9 31.5 17.9 3.7 0.0 38.8 35.8 21.7 0.8 2.9 Sector Weights (%) Holland Capital Management Russell 1000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.9 0.0 1.0 1.3 30.6 12.4 14.8 3.2 0.0 11.6 22.1 0.0 0.1 1.3 3.6 29.3 10.8 17.1 5.7 0.6 10.6 20.9 Manager Evaluation Holland Capital Management vs. Russell 1000 Growth Index As of June 30, 2016 45 Historical Performance Buy and Hold Attribution Risk and Return (Jul - 2011 - Jun - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Kennedy Mid Cap Value 2.1 7.2 -3.9 8.7 9.4 N/A -9.9 15.8 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A N/A Russell Midcap Value Index 4.8 8.9 3.2 11.0 11.7 7.8 -4.8 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 IM U.S. Mid Cap Value Equity 2.1 5.3 -2.3 8.8 9.0 6.2 -5.3 10.3 35.8 16.0 -4.6 22.5 35.9 -38.1 0.8 14.7 Kennedy Mid Cap Value Rank 51 22 62 54 45 N/A 85 4 69 86 18 11 52 1 N/A N/A Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 6.0 8.0 10.0 12.0 14.0 16.0 Return (%)13.5 14.0 14.5 15.0 15.5 16.0 16.5 17.0 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value Average Active Weight 0.0 6.0 12.0-6.0-12.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -4.5 -1.7 -2.4 3.8 4.2 -2.3 -2.9 -3.1 -2.7 6.9 4.7 Allocation (Total: -1.6) 0.0 0.5-0.5-1.0-1.5 -0.1 0.1 -0.1 -0.1 -0.1 0.0 0.0 -0.2 -0.1 -0.7 -0.2 Stock (Total: -0.3) 0.0 0.6 1.2-0.6-1.2 0.4 0.0 0.2 -0.3 -0.5 -0.1 0.2 0.2 0.2 -0.7 0.0 Kennedy Mid Cap Value 0.0 0.6 1.2-0.6-1.2-1.8-2.4 0.2 0.1 0.1 -0.3 -0.6 -0.2 0.2 0.0 0.2 -1.4 -0.2 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of June 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 46 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)8,909 11,964 Median Mkt. Cap ($M)7,356 5,944 Price/Earnings ratio 20.4 17.2 Price/Book ratio 2.3 2.0 5 Yr. EPS Growth Rate (%)9.7 7.8 Current Yield (%)2.0 2.4 Debt to Equity 1.8 0.8 Number of Stocks 59 566 Beta (5 Years, Monthly)1.11 1.00 Consistency (5 Years, Monthly)48.33 1.00 Sharpe Ratio (5 Years, Monthly)0.67 0.90 Information Ratio (5 Years, Monthly)-0.57 - Up Market Capture (5 Years, Monthly)99.68 - Down Market Capture (5 Years, Monthly)114.26 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Reinsurance Group of America Inc.2.7 0.2 2.5 1.2 Concho Resources Inc 2.7 0.5 2.2 18.0 Reliance Steel & Aluminum Co 2.5 0.2 2.4 11.7 Sun Communities Inc.2.5 0.2 2.4 7.9 Xcel Energy Inc.2.5 0.7 1.8 7.9 DTE Energy Co 2.4 0.6 1.9 10.2 Helmerich & Payne Inc.2.4 0.2 2.2 15.6 UGI Corp 2.3 0.3 2.0 12.9 Alexandria Real Estate Equities Inc.2.2 0.2 2.0 14.8 Torchmark Corp 2.2 0.2 1.9 14.4 % of Portfolio 24.3 3.2 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 14.7 66.9 18.4 0.0 9.7 65.6 20.8 3.9 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 3.9 11.0 0.0 4.2 14.7 8.9 4.9 28.4 9.1 3.5 11.3 0.0 13.6 1.5 6.1 8.2 11.1 4.8 32.8 10.1 3.5 8.4 Manager Evaluation Kennedy Capital Management vs. Russell Midcap Value Index As of June 30, 2016 47 Historical Performance Buy and Hold Attribution Risk and Return (Jul - 2011 - Jun - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 TimesSquare Small Cap Growth 4.5 0.4 -7.0 7.0 9.1 8.7 1.0 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 Russell 2000 Growth Index 3.2 -1.6 -10.8 7.7 8.5 7.1 -1.4 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 IM U.S. Small Cap Growth Equity 3.1 -2.0 -12.8 6.8 7.6 5.8 -3.4 1.7 43.5 12.0 -4.3 26.9 33.3 -42.7 7.7 9.6 TimesSquare Small Cap Growth Rank 38 34 26 45 23 2 25 84 28 40 8 46 39 1 36 14 TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 7.8 8.4 9.0 9.6 10.2 Return (%)17.1 17.4 17.7 18.0 18.3 18.6 Risk (Standard Deviation %) Russell 2000 Growth Index TimesSquare Small Cap Growth Average Active Weight 0.0 15.0 30.0-15.0-30.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 0.2 1.0 -1.9 3.6 8.1 -9.5 -3.2 0.2 -1.1 -2.6 5.4 Allocation (Total: -0.4) 0.0 0.2 0.4-0.2-0.4-0.6 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.2 0.1 0.0 -0.1 0.1 -0.2 Stock (Total: 1.9) 0.0 2.0 4.0-2.0 0.0 -0.1 0.0 0.2 1.4 -0.2 1.0 -0.5 -0.1 -0.2 0.4 0.0 TimesSquare Small Cap Growth 0.0 0.7 1.4 2.1 2.8-0.7-1.4 0.0 -0.1 0.0 0.1 1.4 -0.3 0.8 -0.5 -0.1 -0.2 0.5 -0.2 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of June 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 48 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)2,053 1,812 Median Mkt. Cap ($M)1,754 779 Price/Earnings ratio 25.1 24.9 Price/Book ratio 3.3 3.6 5 Yr. EPS Growth Rate (%)14.5 9.3 Current Yield (%)0.7 0.9 Debt to Equity -0.1 -1.9 Number of Stocks 93 1,177 Beta (5 Years, Monthly)0.87 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)0.63 0.55 Information Ratio (5 Years, Monthly)0.05 - Up Market Capture (5 Years, Monthly)88.47 - Down Market Capture (5 Years, Monthly)81.67 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) On Assignment Inc 2.2 0.2 2.0 0.1 MKS Instruments Inc 2.1 0.0 2.1 14.9 Ultimate Software Group Inc 2.1 0.0 2.1 8.7 Monro Muffler Brake Inc 2.0 0.2 1.7 -10.8 ExlService Holdings Inc 1.9 0.2 1.7 1.2 Albany International Corp.1.9 0.0 1.9 6.7 Bright Horizons Family Solutions Inc 1.8 0.4 1.5 2.4 PolyOne Corp 1.7 0.4 1.4 16.9 j2 Global Inc 1.7 0.4 1.3 3.1 WEX Inc 1.6 0.0 1.6 6.4 % of Portfolio 19.0 1.8 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 0.0 100.0 0.02.1 92.7 5.2 Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 6.0 12.0 18.0 24.0 30.0 36.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 5.2 0.0 0.9 2.8 26.7 23.2 16.7 6.2 2.6 0.5 15.2 0.0 0.9 1.1 4.6 24.3 15.5 22.4 10.5 1.0 3.3 16.4 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of June 30, 2016 49 Historical Performance Buy and Hold Attribution Risk and Return (Jul - 2011 - Jun - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Morgan Stanley International Equity 0.5 -2.1 -8.3 1.9 3.0 2.8 0.4 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 MSCI EAFE Index -1.5 -4.4 -10.2 2.1 1.7 1.6 -0.8 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 IM International Equity -0.1 -0.9 -9.9 1.6 0.7 2.3 -2.8 -4.5 17.4 18.6 -14.9 12.9 36.4 -46.1 13.2 26.2 Morgan Stanley International Equity Rank 42 57 37 47 20 41 31 67 38 40 7 89 92 3 70 78 Morgan Stanley International Equity MSCI EAFE Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 0.0 2.0 4.0 6.0 Return (%)12.4 12.8 13.2 13.6 14.0 14.4 14.8 15.2 Risk (Standard Deviation %) MSCI EAFE Index Morgan Stanley International Equity Average Active Weight 0.0 20.0 40.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.9 -2.1 0.2 1.0 -5.2 4.1 -7.5 -2.5 18.7 -4.9 2.1 Allocation (Total: 1.4) 0.0 0.8 1.6-0.8-1.6 -0.1 0.0 0.0 0.0 0.0 0.3 0.4 -0.3 0.8 0.3 0.0 Stock (Total: 0.5) 0.0 0.9 1.8-0.9-1.8 0.0 -0.3 0.8 0.4 0.0 -0.1 -0.8 -0.1 0.3 0.1 0.0 Morgan Stanley International Equity 0.0 0.6 1.2 1.8 2.4-0.6-1.2 -0.1 -0.3 0.8 0.4 0.0 0.2 -0.4 -0.4 1.2 0.5 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of June 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 50 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 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -0.8 0.0 1.1 0.0 0.3 1.1 0.1 0.0 Performance Attribution Average Active Weight 0.0 15.0 30.0-15.0-30.0-45.0 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -18.7 0.0 1.9 -0.7 16.1 -1.6 0.8 2.1 Allocation (Total: 0.0) 0.0 0.2 0.4-0.2-0.4-0.6-0.8 -0.4 0.0 0.0 0.0 0.2 0.1 0.1 0.0 Stock (Total: 1.8) 0.0 0.6 1.2 1.8 2.4-0.6-1.2 -0.4 0.0 1.1 0.0 0.1 1.0 0.0 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index 1 Quarter Ending June 30, 2016 51 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)74,199 54,759 Median Mkt. Cap ($M)24,417 8,615 Price/Earnings ratio 19.6 15.6 Price/Book ratio 3.5 2.3 5 Yr. EPS Growth Rate (%)4.2 5.3 Current Yield (%)3.1 3.6 Debt to Equity 1.3 1.2 Number of Stocks 63 930 Beta (5 Years, Monthly)0.88 1.00 Consistency (5 Years, Monthly)45.00 1.00 Sharpe Ratio (5 Years, Monthly)0.28 0.18 Information Ratio (5 Years, Monthly)0.29 - Up Market Capture (5 Years, Monthly)93.65 - Down Market Capture (5 Years, Monthly)87.20 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) British American Tobacco PLC 5.1 1.0 4.1 10.1 Reckitt Benckiser Group PLC 5.1 0.5 4.5 4.8 Unilever NV 4.9 0.7 4.2 4.6 Nestle SA, Cham Und Vevey 4.7 2.1 2.6 6.1 Novartis AG 4.0 1.6 2.4 13.0 L'Oreal S.A., Paris 3.9 0.4 3.5 8.6 Glaxosmithkline PLC 3.7 0.9 2.9 7.0 Roche Holding AG 3.3 1.6 1.8 6.3 Japan Tobacco Inc 3.3 0.4 2.9 -3.0 Imperial Brands PLC 3.1 0.4 2.7 -1.8 % of Portfolio 41.1 9.6 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 24.4 39.1 31.1 5.3 0.0 40.8 35.3 18.4 3.3 2.1 Sector Weights (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.1 0.0 2.7 7.8 6.6 8.0 16.1 14.2 2.3 32.5 7.7 0.0 3.9 5.1 6.9 5.3 13.3 12.4 22.3 5.2 13.3 12.1 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of June 30, 2016 52 Morgan Stanley International Equity MSCI EAFE Index Australia 0.0 7.2 Hong Kong 0.7 3.1 Japan 14.7 23.2 New Zealand 0.0 0.2 Singapore 0.0 1.4 Pacific 15.3 35.2 Austria 0.0 0.2 Belgium 0.7 1.5 Finland 0.0 1.0 France 10.5 9.6 Germany 7.2 8.6 Ireland 1.1 0.5 Italy 0.4 2.0 Netherlands 8.6 3.1 Portugal 0.0 0.1 Spain 0.0 2.9 EMU 28.6 29.5 Denmark 0.0 2.0 Norway 0.0 0.6 Sweden 0.9 2.8 Switzerland 14.8 9.3 United Kingdom 34.1 19.7 Europe ex EMU 49.8 34.3 Canada 3.2 0.0 United States 0.0 0.3 Israel 0.0 0.7 Middle East 0.0 0.7 Developed Markets 97.0 100.0 Morgan Stanley International Equity MSCI EAFE Index Brazil 0.0 0.0 Cayman Islands 0.0 0.0 Chile 0.0 0.0 Colombia 0.0 0.0 Mexico 0.0 0.0 Peru 0.0 0.0 Virgin Islands 0.0 0.0 EM Latin America 0.0 0.0 China 0.9 0.0 India 0.0 0.0 Indonesia 0.0 0.0 Korea 0.0 0.0 Malaysia 0.0 0.0 Philippines 0.0 0.0 Taiwan 0.0 0.0 Thailand 0.0 0.0 EM Asia 0.9 0.0 Czech Republic 0.0 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.0 0.0 Qatar 0.0 0.0 Russia 0.0 0.0 South Africa 0.0 0.0 Turkey 0.0 0.0 United Arab Emirates 0.0 0.0 EM Europe + Middle East + Africa 0.0 0.0 Emerging Markets 0.9 0.0 Frontier Markets 0.0 0.0 Cash 2.1 0.0 Other 0.0 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of June 30, 2016 53 Historical Performance Buy and Hold Attribution Risk and Return (Jul - 2011 - Jun - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Morgan Stanley Emerging Markets 1.9 6.6 -8.8 -1.4 -2.2 3.4 -10.3 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 MSCI Emerging Markets Index 0.7 6.4 -12.1 -1.6 -3.8 3.5 -14.9 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 IM Emerging Markets Equity 2.1 6.0 -10.3 -1.4 -3.5 3.2 -14.2 -3.0 -1.4 18.8 -19.5 18.3 72.7 -54.6 36.8 32.3 Morgan Stanley Emerging Markets Rank 54 44 35 49 29 44 25 69 46 32 35 48 62 69 22 12 Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 -6.0 -4.5 -3.0 -1.5 0.0 1.5 Return (%)12.8 13.6 14.4 15.2 16.0 16.8 17.6 18.4 Risk (Standard Deviation %) MSCI Emerging Markets Index Morgan Stanley Emerging Markets Average Active Weight 0.0 6.0 12.0-6.0-12.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.3 -0.7 0.4 -0.7 -1.2 4.1 -0.8 -3.4 -5.0 1.5 5.2 2.9 Allocation (Total: -0.2) 0.0 0.2-0.2-0.4 0.0 0.0 0.0 0.0 0.0 -0.2 0.0 0.0 0.0 0.0 -0.1 0.0 Stock (Total: 0.8) 0.0 0.8 1.6-0.8-1.6 -0.1 0.2 0.0 0.0 0.4 -0.3 0.0 0.9 0.0 0.0 -0.3 0.0 Morgan Stanley Emerging Markets 0.0 0.6 1.2 1.8-0.6-1.2 0.0 0.2 0.0 0.0 0.3 -0.4 0.0 0.9 0.0 0.0 -0.4 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of June 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 54 Total Attribution 0.0 0.3 0.6 0.9 1.2 1.5 1.8 2.1 2.4-0.3-0.6-0.9-1.2-1.5 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash -0.1 -0.5 0.2 0.2 0.0 -0.1 -0.2 -0.3 1.4 0.0 Performance Attribution Average Active Weight 0.0 6.0 12.0-6.0-12.0-18.0-24.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash 1.6 2.9 1.5 1.2 0.7 3.7 2.3 -4.6 -12.2 2.9 Allocation (Total: 0.1) 0.0 0.3 0.6-0.3-0.6-0.9 0.2 -0.5 0.2 0.2 0.0 -0.1 0.1 0.1 0.0 0.0 Stock (Total: 0.4) 0.0 0.6 1.2 1.8 2.4-0.6-1.2 -0.2 0.0 0.0 0.0 0.0 0.0 -0.3 -0.3 1.3 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index 1 Quarter Ending June 30, 2016 55 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)40,141 45,553 Median Mkt. Cap ($M)6,810 4,993 Price/Earnings ratio 13.6 12.3 Price/Book ratio 2.6 2.3 5 Yr. EPS Growth Rate (%)10.8 9.5 Current Yield (%)2.2 2.8 Debt to Equity 1.1 0.9 Number of Stocks 137 836 Beta (5 Years, Monthly)0.84 1.00 Consistency (5 Years, Monthly)53.33 1.00 Sharpe Ratio (5 Years, Monthly)-0.06 -0.12 Information Ratio (5 Years, Monthly)0.26 - Up Market Capture (5 Years, Monthly)84.38 - Down Market Capture (5 Years, Monthly)80.95 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Tencent Holdings LTD 4.3 3.4 0.9 11.5 Taiwan Semiconductor Manufacturing 2.8 3.3 -0.5 3.8 Samsung Electronics Co Ltd 2.7 3.4 -0.7 7.9 China Mobile Ltd 2.3 1.9 0.4 3.9 Fomento Economico Mex 2.1 0.5 1.6 -3.2 Naspers Ltd 2.0 1.8 0.2 9.2 China Construction Bank Corp 1.8 1.5 0.3 10.1 Credicorp Ltd 1.7 0.3 1.4 19.7 Grupo Financiero Banorte 1.5 0.4 1.2 -1.8 Samsung Electronics Co Ltd 1.5 0.5 1.0 6.2 % of Portfolio 22.7 16.8 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 17.6 24.2 39.7 18.5 0.0 15.7 18.0 40.7 22.7 2.9 Sector Weights (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 6.0 12.0 18.0 24.0 30.0 36.0 Other Cash Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.4 2.9 0.9 6.2 5.9 20.5 9.9 1.8 23.7 3.0 10.2 14.6 0.0 0.0 3.2 6.6 6.3 22.5 6.2 2.7 26.1 7.5 8.5 10.5 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of June 30, 2016 56 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Australia 0.0 0.0 Hong Kong 1.2 0.2 Japan 0.6 0.0 New Zealand 0.0 0.0 Singapore 0.0 0.0 Pacific 1.8 0.2 Austria 1.3 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 1.4 0.0 Portugal 0.9 0.0 Spain 0.0 0.0 EMU 3.6 0.0 Denmark 0.0 0.0 Norway 0.0 0.0 Sweden 0.0 0.0 Switzerland 0.7 0.0 United Kingdom 0.0 0.0 Europe ex EMU 0.7 0.0 Canada 0.0 0.0 United States 1.7 0.0 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 7.8 0.2 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Brazil 5.9 7.2 Cayman Islands 0.0 0.0 Chile 0.6 1.2 Colombia 0.8 0.5 Mexico 6.4 4.1 Peru 2.1 0.4 Virgin Islands 0.0 0.0 EM Latin America 15.9 13.4 China 16.0 25.6 India 10.6 8.4 Indonesia 3.7 2.7 Korea 12.3 14.6 Malaysia 0.0 2.9 Philippines 4.4 1.6 Taiwan 10.2 12.1 Thailand 1.5 2.3 EM Asia 58.6 70.1 Czech Republic 0.2 0.2 Egypt 0.4 0.2 Greece 0.0 0.3 Hungary 0.0 0.3 Poland 2.5 1.1 Qatar 0.0 0.9 Russia 0.0 3.7 South Africa 6.6 7.3 Turkey 1.2 1.3 United Arab Emirates 0.0 0.9 EM Europe + Middle East + Africa 11.0 16.2 Emerging Markets 85.5 99.8 Frontier Markets 1.4 0.0 Cash 2.9 0.0 Other 2.3 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of June 30, 2016 57 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Jul-2011 - Jun-2016) Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Income Research 1.8 4.1 4.0 2.9 3.2 5.1 0.9 3.3 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 4.5 Barclays Intermediate U.S. Government/Credit 1.6 4.1 4.3 3.0 2.9 4.5 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 IM U.S. Intermediate Duration Fixed Income 1.3 3.0 2.8 2.1 2.3 3.8 0.4 2.1 -1.3 2.9 5.0 5.3 7.4 1.5 5.6 3.7 Income Research Rank 13 17 19 16 10 5 21 33 42 18 40 24 20 52 7 10 Income Research Barclays Intermediate U.S. Government/Credit 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 2.0 2.4 2.8 3.2 3.6 4.0 Return (%)1.9 2.0 2.1 Risk (Standard Deviation %) Barclays Intermediate U.S. Government/Credit Income Research Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Income Research 3.2 2.0 3.2 0.4 1.0 1.6 0.7 0.5 0.9 60.0 19y 5m Barclays Intermediate U.S. Government/Credit 2.9 2.0 2.8 0.0 1.0 1.4 0.0 N/A 0.9 0.0 19y 5m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.0 0.0 N/A 2.0 -1.4 0.0 25.0 19y 5m Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of June 30, 2016 58 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.9 4.1 Avg. Maturity 4.6 4.4 Avg. Quality AA-AA Yield To Maturity (%)2.2 1.4 Credit Quality Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBNot Rated63.5 5.9 14.0 16.6 0.0 0.0 49.1 7.3 18.0 25.1 0.3 0.2 Maturity Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs0.0 36.7 28.2 35.1 0.0 8.7 21.5 43.0 22.3 4.5 Sector Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS56.4 4.2 26.8 0.0 0.0 10.5 2.1 0.0 0.0 0.0 0.0 27.2 0.0 41.8 0.8 7.3 0.0 0.0 3.0 0.2 7.3 12.4 *Manager characteristics are updated through 3/31/2016 as current quarter data was not available at the time of report production. Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of June 30, 2016* 59 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Jul-2011 - Jun-2016) Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Prudential Core Plus Bond Fund 3.4 7.1 6.9 5.2 5.3 6.6 -0.1 7.1 -1.0 10.6 7.6 9.6 18.7 -2.1 4.6 5.1 Barclays U.S. Aggregate 2.2 5.3 6.0 4.1 3.8 5.1 0.5 6.0 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 4.3 IM U.S. Broad Market Core+ Fixed Income 2.6 5.2 4.5 3.7 4.0 5.5 -0.4 5.3 -1.1 8.2 6.1 8.2 14.2 -2.2 5.5 4.1 Prudential Core Plus Bond Fund Rank 12 6 2 6 4 4 42 12 48 8 20 27 26 50 77 18 Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 0.0 2.0 4.0 6.0 8.0 Return (%)2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 Risk (Standard Deviation %) Barclays U.S. Aggregate Prudential Core Plus Bond Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Prudential Core Plus Bond Fund 5.3 3.5 5.2 1.6 1.0 1.5 2.0 0.8 1.7 65.0 17y 1m Barclays U.S. Aggregate 3.8 2.9 3.7 0.0 1.0 1.3 0.0 N/A 1.3 0.0 17y 1m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.9 -1.3 0.0 25.0 17y 1m Manager Evaluation Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate As of June 30, 2016 60 Portfolio Characteristics Portfolio Benchmark Effective Duration 6.0 5.5 Avg. Maturity 7.6 7.8 Avg. Quality A-AA+ Yield To Maturity (%)4.0 1.9 Credit Quality Distribution (%) Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated70.8 4.4 11.3 13.5 0.0 0.0 0.0 0.0 32.4 5.3 14.4 25.2 10.0 10.2 0.9 1.6 Maturity Distribution (%) Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 20.9 31.4 31.8 3.5 12.4 5.4 14.7 27.3 38.2 3.8 10.7 Sector Distribution (%) Prudential Core Plus Bond Fund Barclays U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS36.6 3.4 21.5 0.0 27.7 0.5 6.6 2.0 0.0 0.0 0.0 1.7 7.1 0.3 31.6 15.2 2.5 22.5 1.4 5.8 1.0 0.4 0.9 11.4 *Manager characteristics are updated through 3/31/2016 as current quarter data was not available at the time of report production. Manager Evaluation Prudential Core Plus Bond Fund vs. Barclays U.S. Aggregate As of June 30, 2016* 61 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Jul-2011 - Jun-2016) Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Brandywine Global Opportunistic Fixed Income 1.5 10.3 4.9 2.4 4.0 6.4 -8.4 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 Citigroup World Government Bond Index 3.4 10.7 11.3 2.6 1.2 4.2 -3.6 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 IM Global Fixed Income 2.4 5.9 4.7 2.2 2.0 4.5 -3.7 1.9 -2.5 7.4 4.0 6.1 12.1 -2.5 7.4 5.7 Brandywine Global Opportunistic Fixed Income Rank 90 2 48 46 16 1 97 11 72 5 8 1 23 73 2 1 Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0 25 50 75 100Return Percentile Rank9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 6/16 -3.0 0.0 3.0 6.0 9.0 Return (%)4.8 5.1 5.4 5.7 6.0 6.3 6.6 6.9 Risk (Standard Deviation %) Citigroup World Government Bond Index Brandywine Global Opportunistic Fixed Income Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Brandywine Global Opportunistic Fixed Income 4.0 6.2 4.1 3.1 0.8 0.7 4.7 0.6 3.0 70.0 11y 6m Citigroup World Government Bond Index 1.2 5.4 1.3 0.0 1.0 0.2 0.0 N/A 3.1 0.0 11y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 5.4 -0.2 0.0 55.0 11y 6m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of June 30, 2016 62 Portfolio Characteristics Portfolio Benchmark Effective Duration 7.7 8.1 Avg. Maturity 14.9 8.8 Avg. Quality A AA- Yield To Maturity (%)4.0 0.6 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 15.0 30.0 45.0 60.0 AAAAAABBBBBBBelow B18.1 43.9 26.2 11.8 0.0 0.0 0.0 22.0 19.5 26.0 18.6 12.2 0.7 1.0 Maturity Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 23.0 19.3 27.0 15.3 15.3 5.9 14.1 3.1 25.6 11.7 39.6 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 25.0 50.0 75.0 100.0 TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther32.7 0.0 0.0 0.0 67.3 0.0 0.0 0.0 0.0 12.8 14.4 0.1 3.0 33.5 16.5 0.7 4.8 14.3 *Manager characteristics are updated through 3/31/2016 as current quarter data was not available at the time of report production. Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of June 30, 2016* 63 Historical Performance Comparative Performance and Rolling Return Risk and Return (Jul-2011 - Jun-2016) Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Lighthouse Global Long/Short Fund Limited 1.8 -2.9 -0.3 6.1 6.2 5.6 7.4 4.9 20.2 6.1 -2.1 5.2 10.1 -14.1 13.9 11.3 HFRI Equity Hedge (Total) Index 1.4 -0.4 -5.0 3.1 2.3 2.9 -1.0 1.8 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 -8.0 -16.0Active Return (%)3/04 6/05 9/06 12/07 3/09 6/10 9/11 12/12 3/14 6/15 6/16 -4.0 0.0 4.0 8.0 12.0 Return (%)4.2 4.9 5.6 6.3 7.0 7.7 8.4 9.1 9.8 Risk (Standard Deviation %) HFRI Equity Hedge (Total) Index Lighthouse Global Long/Short Fund Limited Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Lighthouse Global Long/Short Fund Limited 6.2 5.6 6.2 4.9 0.5 1.1 5.0 0.7 2.8 60.0 12y 6m HFRI Equity Hedge (Total) Index 2.3 8.0 2.5 0.0 1.0 0.3 0.0 N/A 6.1 0.0 12y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 8.0 -0.3 0.0 35.0 12y 6m Manager Evaluation Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index As of June 30, 2016 64 Portfolio Characteristics Portfolio Manager Count 23 Net Exposure %20.8 Leverage 115.0 # Managers Funded 1 # Managers Redeemed 3 Region Allocation (Net Geographic Exposure) Asia 13.3% Europe 18.8% Latin America 6.8% United States 61.1% Strategy Allocation Value 11.5% Trading 21.0% Event Driven 12.6% Sector Specialist 54.9% Manager Evaluation Lighthouse Global Long/Short Fund Limited As of June 30, 2016* *Portfolio Information is represented as of 3/31/2016. Data as of 6/30/2016 was not yet available at the time of report production. 65 Historical Performance Comparative Performance and Rolling Return Risk and Return (Jul-2011 - Jun-2016) Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Entrust Capital Diversified Fund 0.3 -3.3 -10.9 -0.8 0.9 3.4 -7.3 1.8 13.2 7.4 -4.7 11.1 35.2 -26.0 9.9 12.8 HFRI Fund of Funds Composite Index 0.6 -2.6 -5.4 1.9 1.6 1.6 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 Rolling 3 Years Active Return Quarterly Active Return 0.0 6.0 12.0 18.0 -6.0 -12.0Active Return (%)12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 6/16 0.0 0.7 1.4 2.1 2.8 Return (%)3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Entrust Capital Diversified Fund 0.9 6.4 1.1 -1.0 1.2 0.2 3.4 -0.2 4.9 40.0 12y 9m HFRI Fund of Funds Composite Index 1.6 4.6 1.7 0.0 1.0 0.4 0.0 N/A 3.3 0.0 12y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.6 -0.4 0.0 25.0 12y 9m Manager Evaluation Entrust Capital Diversified Fund vs. HFRI Fund of Funds Composite Index As of June 30, 2016 66 Portfolio Characteristics Portfolio Manager Count 30 Net Exposure %47.2 Leverage 151.5 # Managers Funded 3 # Managers Redeemed 1 Region Allocation (Net Geographic Exposure) Asia 2.4% Europe 21.0% Japan -2.9 % Latin America 10.3% Other 2.0% US/Canada 67.2% Strategy Allocation Trading 10.9% Special Situations 19.4% Opportunistic 18.2% Long/Short -0.5 % Event Driven 0.2% Activist 23.8% Credit 27.9% Manager Evaluation Entrust Capital Diversified Fund As of June 30, 2016 67 Historical Performance Comparative Performance and Rolling Return Risk and Return (Jul-2011 - Jun-2016) Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 UBS Trumbull Property Fund 1.5 3.3 9.4 10.0 9.7 5.5 11.7 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 NCREIF Property Index 2.0 4.3 10.6 11.6 11.5 7.4 13.3 11.8 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 Rolling 3 Years Active Return Quarterly Active Return 0.0 5.0 10.0 -5.0 -10.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 12/13 6/16 6.0 8.0 10.0 12.0 14.0 Return (%)0.5 0.6 0.7 0.8 0.9 1.0 1.1 1.2 Risk (Standard Deviation %) NCREIF Property Index UBS Trumbull Property Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date UBS Trumbull Property Fund 9.7 1.0 9.3 -0.4 0.9 9.0 0.8 -2.1 0.0 20.0 38y 6m NCREIF Property Index 11.5 0.7 11.0 0.0 1.0 14.8 0.0 N/A 0.0 0.0 38y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.4 0.0 N/A 0.7 -14.8 0.0 0.0 38y 6m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of June 30, 2016 68 Portfolio Characteristics Portfolio Benchmark # Properties 222 7,323 # Investors 426 N/A Total Fund Assets 18,600 490,801 Property Type UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 OfficeApartmentRetailIndustrialHotel37.1 24.3 23.1 14.4 1.1 31.0 31.0 23.0 11.0 4.0 Property Location UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 EastWestSouthMidwest33.5 36.9 20.3 9.3 35.0 37.0 15.0 13.0 Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of June 30, 2016* *Portfolio Information is represented as of 3/31/2016. Data as of 6/30/2016 was not yet available at the time of report production. 69 Type City Ac quis ition Da te % Occupa nc y Cos t ($000) Fa ir Market Value ($000) Office Bo ston Dec-11 99%651,104$ 746,000$ Office Ne w York Ju n-06 97%664,144$ 668,000$ Re tail Ca mb rid ge May-89 95%294,131$ 595,673$ Re tail Da lla s Dec-02 94%414,384$ 566,000$ Apart me nts Ne w York Ju l-11 96%391,572$ 522,000$ Office Ch ic ag o Dec-11 100%400,085$ 499,623$ Office Ne w York Ju l-11 94%206,413$ 499,415$ Office Ne w York Se p-14 96%282,576$ 479,037$ Re tail Ch ic ag o No v-13 95%229,564$ 478,723$ As of March 31,2016* 20 La rge st Inve st me nts Manager Evaluation UBS Trumbull Property Fund As of June 30, 2016 Re tail Ch ic ag o No v-13 95%229,564$ 478,723$ Office Po rt la nd Aug-15 96%373,541$ 394,474$ Re tail Montebello Dec-88 98%187,586$ 316,000$ Re tail Eme ry ville Aug-14 89%307,580$ 315,000$ Office Se attle Oc t-84 97%234,824$ 304,000$ Office Sa n Fra ncis co Dec-85 96%167,501$ 288,240$ Office De nver Ju n-06 93%183,190$ 281,000$ Office Washin gton Ju n-15 96%246,767$ 245,000$ Office Pa sadena May-84 94%188,553$ 240,000$ Office De nver Apr-82 92%147,069$ 223,000$ Re tail Millb ury Se p-04 99%156,000$ 206,900$ Office Pleas onton Dec-03 100%198,759$ 195,640$ All o ther in vestme nts ----11,682,013$ 14,000,023$ Total Properties 17,607,356$ 22,063,748$ *Data not yet available for most recent quarter. 70 Historical Performance Comparative Performance and Rolling Return Risk and Return (Jul-2011 - Jun-2016) Historical Statistics (Jul-2011 - Jun-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Wellington Diversified Inflation Hedges 9.0 14.4 -7.8 -5.4 -6.6 N/A -21.1 -12.8 -3.9 5.2 -8.6 N/A N/A N/A N/A N/A Wellington DIH Multi-Asset Inflation Index 8.9 14.7 -5.1 -4.2 -5.6 0.0 -19.4 -11.4 -2.1 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 Rolling 3 Years Active Return Quarterly Active Return 0.0 2.0 4.0 -2.0 -4.0Active Return (%)6/10 3/11 12/11 9/12 6/13 3/14 12/14 9/15 6/16 -8.1 -7.2 -6.3 -5.4 -4.5 -3.6 -2.7 Return (%)12.5 13.0 13.5 14.0 14.5 15.0 15.5 16.0 Risk (Standard Deviation %) Wellington DIH Multi-Asset Inflation Index Wellington Diversified Inflation Hedges Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Wellington Diversified Inflation Hedges -6.6 14.8 -5.7 -0.4 1.1 -0.4 2.2 -0.4 13.1 50.0 6y 3m Wellington DIH Multi-Asset Inflation Index -5.6 13.6 -4.9 0.0 1.0 -0.4 0.0 N/A 11.8 0.0 6y 3m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 13.6 0.4 0.0 50.0 6y 3m Manager Evaluation Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index As of June 30, 2016 71 Manager Evaluation We llington Diversified Inflation Hedges Sector Allocation As of June 30, 2016 Fund Composition Fund Weights Relative to Benchmark Energy 23.5% Metals & Mi ni ng 5.7% TIPS 13.5% Emerging Markets In fla tion-Linked Bonds 0.0% Cash 0.6% 10.5% 0.0% 3.4% 0.0% 5.0% 10.0% 15.0% 20.0% Global Inflation-Sensitive Equities Commodities Fixed Income & Cash 5.7% Agriculture 5.5% Enduri ng Assets 8.2% Precious Metals 2.9% Inflati on Opportuni ti es 17.7% Commoditi es 22.4% -13.9% -2 0.0% -1 5.0% -1 0.0% -5 .0 % 0.0% Eq ui ties Fi xed In come Commo dities Cash 72 Calendar Year Performance 73 Year To Date 2015 2014 2013 2012 2011 2010 2009 2008 2007 Total Composite 2.9 -0.7 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 Policy Benchmark 3.5 -1.4 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 8.3 Total Equity Composite 0.9 0.5 4.7 N/A N/A N/A N/A N/A N/A N/A MSCI AC World Index 1.2 -2.4 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 Domestic Equity Composite 1.2 1.9 10.1 N/A N/A N/A N/A N/A N/A N/A Russell 3000 Index 3.6 0.5 12.6 33.6 16.4 1.0 16.9 28.3 -37.3 5.1 International Equity Composite 0.1 -2.0 -5.5 N/A N/A N/A N/A N/A N/A N/A MSCI AC World ex USA Index -1.0 -5.7 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 Fixed Income Composite 6.7 -2.1 2.4 -1.7 10.9 3.8 8.7 18.9 -3.4 6.4 Barclays Intermediate U.S. Government/Credit 4.1 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 Hedge Funds Composite -3.1 N/A N/A N/A N/A N/A N/A N/A N/A N/A HFRI Fund of Funds Composite Index -2.6 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 Calendar Year Performance Composite Performance As of June 30, 2016 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 74 Appendix 75 Current Manager Fee Schedule Fe e (%) Do mest ic Eq uity Van gu ard Winds or II $13,088,186 5.3 0.26 0.82 US Large Cap Valu e $ 34,029 Van gu ard Ins titutional Index $16,307,440 6.5 0.04 0.13 US Passive Large Cap Equit y $ 6,523 T.Rowe Price $11,887,681 4.8 0.57 0.83 US Large Cap Growth $ 67,760 Holland $9,602,947 3.9 0.80 0.83 US Large Cap Growth $ 76,824 Kennedy $7,381,236 3.0 0.90 0.91 US Mid Cap Valu e $ 66,431 TimeSquare $7,511,832 3.0 1.04 1.00 US Small C ap Growth $ 78,123 Inte rna ti ona l Equity Morgan Stanley Int ernat ional $24,833,906 10.0 0.95 0.97 All A CWI ex-US Equit y $ 235,922 Morgan Stanley Emergi ng Markets $9,534,241 3.8 1.20 1.20 Emerging Mkts Eq uit y $ 114,411 Fixed Incom e Income Res earch $35,905,828 14.4 0.30 0.50 US Core Fixe d Income $ 107,717 Prudent ial $30,375,696 12.2 0.30 0.51 US Core Plus Fixe d Income $ 91,127 Brandy wine $23,338,069 9.4 0.45 0.65 Global A gg F ixed Income $ 105,021 He dge Funds* Light house $17,594,482 7.1 1.85 N/A N/A $ 325,498 Tota l As sets ($ millions )% o f Tota l Pr oje cted Annua l Fe e eVestment Al lianc e Unive rse Me dia n eVestment Allia nc e Universe * Incentive fees may be paid to underlying hedge fund managers of 15-20% of the profits above a certain threshold on a manager by manager basis Light house $17,594,482 7.1 1.85 N/A N/A $ 325,498 Ent rust $15,822,259 6.4 2.78 N/A N/A $ 439,859 Re al Esta te UBS Trumbull $15,624,465 6.3 1.00 N/A N/A $ 156,245 Re al Asse ts Wellingt on Divers if ied $8,736,877 3.5 0.90 0.93 Liquid Real Assets $ 78,632 Ca sh Money Market $1,616,805 0.6 0.20 0.19 US Cash M anagement $ 3,234 Pavilion-Consult ing Fee $ 118,836 US Bank Cust ody and Benefit Paymen t Fee $ 78,146 Total $249,161,953 100.0 %0.85 $ 2,184,338 76 2013 Acti on Sep tember •The M et rop olit an St . Louis Sewer District hired Pavilion Advisory Group as their invest ment consult ant. 2014 Acti on February •Pavilion p resent ed an asset allocat ion and investment and manager struct ure review to the F inance Commit tee.Pavilion recommended t he adop tion of new asset allocat ion targe ts and allowable ranges that would p ermit the eliminat ion of t he tact ical as set allocat ion and market neut ral s trat egies , the ad dit ion of hedge fund strat egies through hedge f und of funds, and the reduction of t he number of managers and exposure to high yield and non- US debt in the fixed income p ortfolio. T he following asset allocat ion s tructure was p rop os ed: 40% Equit y 35% Fixed Income 25% Alt ernatives Appendix History of Investment Decisions Given Pyramis ' p oor p er formance and rapidly declining as sets in the s trat egy,Pavilion furt her recommended the manager be t erminat ed immediat ely . T he Commit tee ap proved these recommendations. Sep tember •Pavilion downgraded PIM CO’s manager rating stat us from “negat iv e w at ch” t o “sell.” Pavilion init ially downgraded PIM CO to “negat iv e w at ch” in January following the dep art ure of co-CIO Mohamed El-Erian, and noted we would closely monit or t he firm for organiz at ional s tabilit y,asset flow s,and p erformance. November & December •Pavilion conducted an equit y long/s hort hedge fund of funds search and p resent ed the rep ort to the F inance Commit tee.Pavilion recommended Light house C ap it al P artners Global Long/Short Fund which was support ed by Metrop olit an St Louis Sew er St aff. T he F und rep laced PIMCO All Asset Fund on M arch 1, 2015. 77 2015 Acti on May •Pavilion recommended liquidat ing the t he Pict et Local Currency Emerging Market Debt Fund, Loomis Say les Credit Fund and t he Penn Capital High Yield Fund and investing the p roceeds int o the Prudent ial T otal Ret urn Fund. T he recommendation is support ed by the Office of t he Secr et ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendat ion t o go t o t he Board of T rust ees . Pavilion p rovided t he Finance Commit tee w it h a revised St at ement of Investment Policy , Object iv es and Operating Guidelines. T he p olicy was reviewed with and sup port ed by the O ffice of t he Secr et ary Treas urer. T he Finance Commit tee requested addit ional t ime t o review the documen t. June •Pavilion recommended liquidat ing the G MO Asset Allocat ion Fund and investing the p roceeds in t he Light house G lobal Long/Short Equit y Fund and t he Entrust Diversified Hedge F und of F unds. T he recommendat ion was support ed by the O ffice of t he Secret ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendation t o go t o t he Board of T rustees . T he Finance Commit tee reviewed and ap proved t he revised Statement of Investment Policy , O bject ives and Op erat ing G uidelines provided at the M ay meet ing.The r evis ed Investment Policy document was approved by the Board of Trustees . Appendix History of Investment Decisions 78 All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013. To tal Composite returns prior to September 1, 2013 were provided by New England Pension Consultants. Separate account manager returns prior to September 1, 2013 were provided by the investment managers and are displayed net of fees. Benchmark Comparison One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success. Universe Comparison A p erformance measurement universe is created by arraying the results of a large number of professional investment managers from the best to worst. Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentile represents the bottom performing 1% of managers. Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad Appendix Benchmark and Universe Descriptions Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad universes will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 10 years or more), a manager ranking in the top quartile (top 25%) of these broad universes would be perceived as performing well. Policy Benchmark As of August 1, 2015, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% MSCI EAFE Index, 4% MSCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Composite Index, 5% We llington DIH Multi-Asset Inflation Index and 5% NCREIF Property Index. From March 1, 2015 to August 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. 79 Policy Benchmark(Cont.) From April 1, 2014 to March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% CPI+5%, 5% We llington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index- OEDCE. Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index,3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yi eld Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yi eld, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% We llington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Index-OEDCE. Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity To tal Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year Appendix Benchmark and Universe Descriptions Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year 80