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2018 1st Quarter Report
Performance Review Metropolitan St. Louis Sewer District Pension Plan 1st Quarter 2018 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 12 3 Asset Class Diversification 31 4 Manager Evaluation 37 5 Calendar Year Performance 65 6 Appendix 67 Table of Contents Capital Markets Review 1 Capital Markets Review Summary As of March 31, 2018 -0.9 -0.8 -0.1 -1.5 -0.9 1.4 0.7 1.4 -1.5 1.5 -0.9 0.3 -6.7 -0.4 -6.2 0.7 0.6 15.0 14.0 11.8 14.8 21.3 24.9 9.8 7.0 1.2 4.0 3.7 1.1 -1.1 3.7 -1.4 3.6 2.4 -10 -5 0 5 10 15 20 25 30 MSCI Global ACWI IMI S&P 500 Russell 2000 MSCI EAFE S&P Dev ex U.S. SC MSCI EMF HFRI Equity Hedged* BBG Barclays Global Agg. BBG Barclays U.S. Agg. WGBI ex-U.S. Hedged BofAML High Yield Cons. 91-Day T-Bills NAREIT Bloomberg Commodity DJ Brookfield Global Infra. HFRI FoF:Cons.* CPI Performance: Past Quarter and Year (%) Past Quarter Past 12 Months Fixed Income (Bonds)Equities (Stocks)AlternativesExpanding uncertainty Increased uncertainty propelled equity market volatility higher late in January and markets remained choppy through quarter end.The jump felt particularly pronounced as the S&P 500 Index experienced 23 trading days with a greater than 1%move in the first quarter compared to 2017’s 8 trading days during the entire year.The equity market’s volatility spike,however, had limited spill over into other asset classes,suggesting issues are not systemic. At the center of the uncertainty was political rhetoric, particularly trade policy.The tariffs proposed initially were unlikely to derail economic growth, but investors reacted to fears of a potential trade war and significant global supply chain disruptions.Technology companies were in the spotlight late in the quarter, as Facebook, Amazon, and Tesla,to name a few,faced challenges that could lead to regulation. Economic growth is intact,supported by the global recovery and fiscal stimulus domestically.Economic success is powering equity earnings with the S&P 500 Index posting double digit earnings growth in 2017,and the trend is expected to continue in the first quarter and 2018 per FactSet.One driver of this growth is healthy consumer balance sheets and sentiment,as debt to income levels remain low. Core inflation is approaching targets in most developed markets,allowing monetary policy makers to gradually reduce accommodation.Central bank guidance did not change materially in the quarter,and January’s spike in rates reflected an alignment of markets and policymakers,rather than a significant change in policy.Consistent with these expectations,the Federal Open Market Committee (“FOMC”) raised rates 25 basis points in March with little market disruption. For the fifth consecutive quarter,the U.S.yield curve flattened, and rising rates in January weighted heavily on quarterly returns within fixed income.Additionally,credit spreads generally widened,reflecting the increased uncertainty in the economic landscape and weighing on performance relative to similar duration Treasuries.Outside the U.S.,local emerging debt benefitted from a weakening U.S.dollar. Emerging markets performance again represented a bright spot for equities.Also maintaining 2017’s trend,the Growth styles outperformed the Value style even with technology stocks performing poorly in March,amid headline shocks.While not immune to the whipsaw market of the first quarter,small capitalization stocks performed better as trade policy was anticipated to have a lesser effect due to lower foreign revenues. The announcement of steel and aluminum tariffs in February hit commodity prices. Tariff escalations drew more sub-groups into the fray,particularly U.S.agriculture and livestock. Income-oriented strategies,like infrastructure,were hurt by a rising, flattening yield curve. *HFRI data are subject to revision. It is not possible to invest directly in an index. Source: FactSet & Bloomberg 2 0 5 10 15 20 25 0 20 40 60 80 100 Apr-98Apr-99Apr-00Apr-01Apr-02Apr-03Apr-04Apr-05Apr-06Apr-07Apr-08Apr-09Apr-10Apr-11Apr-12Apr-13Apr-14Apr-15Apr-16Apr-17HY spreadVIX levelCredit spreads lag volatility spike VIX BofA HY OA Spread 87 74 62 87 99 105 111 119 119 119 133 158 174 40 60 80 100 120 140 160 180 200 CY2007CY2008CY2009CY2010CY2011CY2012CY2013CY2014CY2015CY2016CY2017CY2018CY2019Actual Estimates Capital Markets Review Asset Class Outlook As of March 31, 2018 Source: FactSet as of April 10, 2018 Equities Equity markets experienced their first negative quarter since 2015.Although returns were only slightly negative,there was a dramatic rise in volatility.The increase,while stark,moved volatility closer to long-run average levels from near record low levels during 2017.The shift in volatility reflects the increasing uncertainty surrounding Federal Reserve policy (will they move faster or slower?),the prospects for rising inflation,as well as evolving trade conflicts.Despite these challenges,tailwinds remain.Above trend growth,easy financial conditions,strong earnings growth, record levels of stock buy-backs (over $800 billion estimated)and fiscal stimulus in the form of tax cuts should provide an environment in which equity markets can provide positive though more volatile performance.And while emerging markets continue to enjoy strong growth,environments are a bit more challenging in ex-U.S.developed markets.The U.K.faces weaker growth and increasing Brexit uncertainty while the E.U.deals with the consequences of significant currency appreciation. And,while various valuation metrics may make U.S.equities appear expensive to foreign equities,a large portion of this differential can be explained by differences in earnings growth and sector weights (lower exposure to financials and industrials in the U.S.and higher technology exposure). Adjusting for these differences,valuations appear more symmetric. Fixed Income With the exception of short-term assets such as Treasury Bills,fixed income markets posted negative returns for the quarter,partly reflecting policy makers continued moves to normalizing interest rates. Leading this process has been the Federal Reserve,which nudged rates up another 25 basis points during the quarter,maintaining the commitment to a gradual process.Quarterly projections that Federal Reserve officials provided suggest that as few as two more rate hikes may be necessary this year,with the process ending late in 2019 at a fed funds rate of 3%.Based upon forward markets, market participants anticipate a slightly more gradual pace of rate increases,anticipating a terminal 10-year Treasury rate of about 3%.With 10-year yields currently at about 2.8%,most of the pain from rate increases may be behind us.Credit markets,however,may have room to weaken.Credit spreads typically mimic moves in implied volatility in the equity markets as both reflect the level of uncertainty of future cash-flows.While credit spreads widened during the quarter,the move was significantly less than implied by recent equity market moves.Credit markets may struggle as spreads play catch-up to the increase in equity market volatility Real Assets Core inflation remains subdued;however,it is gradually increasing towards the Federal Reserve’s 2% target.While inflation is likely to rise over the course of the next few quarters,it continues to face headwinds in the form of demographics,technological innovation,as well as globalization.While any material deterioration in trade arrangements would put upward pressure on inflation,those risks remain a considerable distance in the future.Although these conditions have created a difficult environment for real assets,we maintain our view that global listed infrastructure likely provides a diversifying income stream with a slightly lower volatility profile than commodities.We maintain a cautious view on REITs,due to historical correlations with long duration fixed income. S&P 500 Calendar Year Bottom-Up EPS Actuals & Estimates Source: Federal Reserve FRED Data Source: Federal Reserve FRED Data 0.0 0.5 1.0 1.5 2.0 2.5 Apr-16Jul-16Oct-16Jan-17Apr-17Jul-17Oct-17Jan-18Percent Change YOY (SA)Inflation Core PCE Core CPI FOMC Target 3 50 100 150 200 250 300 350 400 450 2-Oct-1716-Oct-1730-Oct-1713-Nov-1727-Nov-1711-Dec-1725-Dec-178-Jan-1822-Jan-185-Feb-1819-Feb-185-Mar-1819-Mar-182-Apr-18Index ValueEquity volatility the outlier Equities Treasury rates Oil Currencies Capital Markets Review Key Market Risks As of March 31, 2018 Source: Bloomberg, FactSet, Recession Alert, & Pavilion Analysis Cyclical risks appear benign while policy and trade tensions grow Can the Fed thread the needle?Despite below target inflation and subdued wage growth, the Federal Reserve (“Fed”)has been raising rates steadily for over a year.With inflation still low but rising and wage growth subdued,the question is whether the Fed is moving too quickly or too slowly?Will the Fed allow inflation to run a bit above target to spur wage growth or will they treat the target as a ceiling?Signs of rising wage growth contributed to the initial uptick in volatility during the quarter as investors anticipated a more aggressive Fed policy response.While those fears appear to have dissipated,financial conditions have begun to tighten in the last quarter and may cease being a tailwind by year end. Will higher equity volatility infect other asset classes?While equity market volatility spiked during the month,this spike was not reflected in other asset classes.While equity volatility is more of a coincident indicator than a leading indicator,synchronized increases in volatility have been better indicators of evolving stresses.All indications currently suggest that increased volatility is being driven largely by technical factors within equity markets.Careful monitoring of cross-asset volatilities will be important over the coming months. Prospective tariffs and trade conflicts:Recent trade tensions are reminiscent of the 2016 Brexit vote.While markets priced in immediate dire consequences,the impact on fundamentals remains further down the road.Similarly,the impact on near term growth from the trade conflicts appears to be modest.The real threat from an escalation in these conflicts is future inflationary pressures and reduced corporate margins as complex value chains are disrupted.The challenge for markets,and investors,will be differentiating between the real and apparent consequences of any conflict. Fixed Income Equities FinancialStressesValuationsCyclicalCurrent Risk Levels Source:Federal Reserve FRED Data Source: Bloomberg Values indexed to 10/2/2017 Equities: VIX Index; Treasury Rates: Move Index; Oil: OVX Index; and Currencies: FXVIX Index -1.50 -1.00 -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Mar-88Mar-90Mar-92Mar-94Mar-96Mar-98Mar-00Mar-02Mar-04Mar-06Mar-08Mar-10Mar-12Mar-14Mar-16Mar-18Tightening financial conditions U.S. Recession Financial Conditions Easy Tight 4 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 Q1 1990Q3 1991Q1 1993Q3 1994Q1 1996Q3 1997Q1 1999Q3 2000Q1 2002Q3 2003Q1 2005Q3 2006Q1 2008Q3 2009Q1 2011Q3 2012Q1 2014Q3 2015Q1 2017Percent (Annual Rate)Average Capital Markets Review Economy As of March 31, 2018 Trade tiff adds to volatility Turbulence entered the markets during the first quarter as the reorganization of trade priorities and agreements under the Trump administration came to the forefront.The initial salvo was a tariff on steel and aluminum imports,which was then amended to exclude many countries not named China.The underlying focus of the trade disputes is China’s trade barriers and bias toward its domestic producers in sectors that are susceptible to foreign competition.NAFTA renegotiations also have been ongoing,though in a tamer manner.These policy uncertainties have led to increased volatility,especially across equity markets. The Federal Reserve ushered in Jerome Powell as its new chairman.His manner is expected to be more direct than past leaders,although policy direction is not expected to vary significantly from expectations.The Fed Funds rate was raised by 25bps in March,with two more increases of 25bps forecast through 2018.The economy continued to add jobs at a strong pace and wages grew at the fastest pace since Q1 2011.If policy uncertainties remain escalated,job growth could slow as businesses await stability to implement expansion plans,which can lead to a weakening of economic factors. Canadian and Mexican currencies moved in relation to potential tariff/trade realignments,while others rose as investors moved out of the U.S.dollar and into other perceived to be undervalued. Earnings forecasts have become more muddled,given the recent policy uncertainties,though global growth is expected to remain strong. Source: Bureau of Labor Statistics -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 9/1/201710/1/201711/1/201712/1/20171/1/20182/1/20183/1/2018PercentPeso Yuan Pound Yen Euro Canada Currencies vs USD Productivity Gains 0 20 40 60 80 100 120 140 160 0 10 20 30 40 50 60 70 80 Imports ($ Billions)Exports ($ Billions)Q4 2017 Exports Q4 2017 Imports Top Five U.S. Trading Partners Source: Census Bureau Source: Bloomberg 5 Capital Markets Review Equities As of March 31, 2018 Source: FactSet, S&P Source: FactSet, MSCI Growth and emerging markets continue to outperform The S&P 500 Index returned -0.8%during the first quarter.Information Technology and Consumer Discretionary were the only sectors with positive returns while Telecom and Consumer Staples were the weakest sectors for the quarter,both down more than -7%. Developed market equity indices were down between -0.8%and -1.5%during the first quarter,with the S&P 500 Index down the least at -0.8%.Emerging Market equities were able to produce positive results,returning +1.4%,led by Brazil and Taiwan. The Growth style continued to outperform the Value style during the first quarter, with the exception of Emerging Markets.Within the U.S.,Growth exhibited positive returns while Value was negative.In International Developed markets,Growth was negative but to a lesser extent than Value.Emerging Markets was the only segment to experience positive results within Value,which slightly edged out Growth.U.S. Large Cap Growth did not fare quite as well as U.S.Mid or Small Cap Growth. Within the Value style,size was fairly inconsequential. First Quarter S&P 500 Sector Returns -7.5% -7.1% -5.9% -5.5% -5.0% -3.3% -1.6% -1.2% -1.0% -0.8% 3.1% 3.5% -10.0%-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0% Telecom Cons Staples Energy Materials Real Estate Utilities Industrials Healthcare Financials S&P 500 Cons Disc Info Tech -1.0%-0.8%-1.3%-1.2%-1.5% 1.4%1.8% -0.5% 5.7% -7.0% -4.2% 12.4% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% MSCI ACWI S&P 500 MSCI World MSCI ACWI x US MSCI EAFE MSCI EM China South Korea Taiwan India South Africa Brazil First Quarter World and Emerging Market Equity Returns Growth Generally Outperformed Value During the First Quarter -2.8%-2.5%-2.6% -2.0% 1.6%1.4% 2.2%2.3% -1.0% 1.2% -4.0% -2.0% 0.0% 2.0% 4.0% U.S. Large Cap U.S. Mid Cap U.S. Small Cap Int'l Developed Emerging Mkts Value Growth Source: FactSet, MSCI, Russell 6 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 0 5 10 15 20 25 30Yield to MaturityMaturity (Years) 3/31/2017 12/31/2017 3/29/2018 Source: Bloomberg Source: Federal Reserve Bank of St. LouisU.S. Treasury Yield Curve Change Source: US Dept. of The Treasury Duration –Adjusted Excess Returns to Treasuries (bps) Curve Flattening Continues Decade-Long Trend The Federal Reserve (“Fed”)raised rates 0.25%at the March FOMC meeting,setting the Federal Funds Rate target at 1.50%to 1.75%.The bellwether 10-year U.S.Treasury nearly reached 3.00%in mid-February as growth and inflation expectations increased,but retraced back to 2.74%by quarter-end amid a flight-to-quality.Yields moved higher across the entire maturity spectrum and the curve continued its flattening trend.Most spread sectors lagged Treasuries and generated negative total returns as rates rose and spreads widened. TIPS (-0.79%)outperformed nominal Treasuries (-1.19%)as breakeven inflation levels increased. Investment-grade corporate spreads widened 16 basis points,underperforming other spread sectors during the quarter.Technical pressure was a headwind due to waning demand amid increased currency hedging costs for foreign investors.High yield (-0.86%)outpaced investment-grade (-2.32%)corporates,benefitting from the higher carry and lower duration sensitivity.Bank loans provided attractive absolute returns (+1.44%),driven by rising LIBOR rates and strong investor demand. Structured products generally outpaced investment-grade credit due to lower spread volatility and insulation from the political trade rhetoric.Agency MBS (-1.19%)spreads widened a modest four basis points as the sector faces demand concerns given the pace of the Fed’s balance sheet wind-down.ABS (-0.39%)provided some stability versus longer duration sectors,yet still trailed Treasuries on a duration-adjusted basis. Local currency emerging market debt (+4.44%)outpaced all fixed income segments during the quarter,driven by strong growth prospects,stable commodity prices,and a weaker U.S. Dollar. -1.00 -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Mar-90Mar-92Mar-94Mar-96Mar-98Mar-00Mar-02Mar-04Mar-06Mar-08Mar-10Mar-12Mar-14Mar-16Mar-18PercentDashes represent the end of prior hiking cycles Best Period Second Best Period Worst Period Second Worst Period 2011 2012 2013 2014 2015 2016 2017 1Q18 Aggregate -114 226 93 10 -53 138 121 -31 Agency -25 166 1 10 -133 121 148 6 MBS -106 91 98 40 -5 -11 52 -39 ABS 52 246 24 53 44 95 92 -19 CMBS 47 841 97 108 -28 236 158 -7 Credit -322 693 226 -18 -169 442 335 -68 High Yield -240 1394 923 -112 -577 1573 610 -17 EMD (USD)-537 1503 -32 -120 3 880 627 -26 Fixed Income As of March 31, 2018 Capital Markets Review 2 vs. 10 Year Treasury Curve Slope 7 -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 12/31/2017 1/31/2018 2/28/2018 Longs - S&P 500 (Long Alpha)S&P 500 - Shorts (Short Alpha) Longs - Shorts Capital Markets Review Alternative Investments As of March 31, 2018 Goldman Sachs Hedge Fund VIP Stocks –Longs/Shorts vs. S&P 500 (2018 Q1) Sources: Bloomberg, Goldman Sachs -0.8%-0.9% -2.6% 0.6% -1.5%-0.9% 2.3% 1.1%0.5% -1.1% 0.1% -0.7% -5% 0% 5% Domestic/global stocks sold off, but long/short equity hedge funds gained. Put- write strategies sold off significantly. Relative value fixed income and distressed managers posted modest gains, while duration hurt traditional global/domestic bond performance. A 60/40 portfolio posted losses, while the hedge fund composite gained modestly. Macro strategies declined less than stocks/bonds. *Asset-weighted is used instead of fund-weighted, as it is available and more indicative of the universe.Sources: Hedge Fund Research, FactSet Hedge Funds vs Long-Only: Total Returns 2018 Q1 Global alternatives rise with risk assets Hedge Funds:Hedge funds generated strong alpha during the quarter across nearly all strategies, illustrating the less-correlated nature of the return sources for these strategies.Equity long-short funds generated alpha both from long positions and short positions.Funds with long-biased exposures to growth equities,emerging markets, and the technology and healthcare sectors outperformed those without these exposures. Credit-oriented funds significantly outperformed IG and HY bonds due to a lack of duration,tactical hedging,and process-driven alpha.Structured product hedge funds were some of the strongest performers during the quarter. A robust financing environment and record amount of large announced acquisitions drove gains in merger arbitrage. Other diversified relative value strategies such as volatility arbitrage benefited from broad market dispersion.While volatility is generally good for macro strategies, performance was mixed across sub-strategies.Many discretionary macro managers profited from short interest rate and USD positions while CTAs suffered from the sharp trend reversal in equity markets. Real Assets:Higher-yielding liquid real assets struggled during the first quarter,with listed infrastructure down –5.5%and REITs down -6.7%.For listed infrastructure,the expectation of rising interest rates weighed on some subsectors such as water,which has longer-term fixed contractual agreements.Other listed infrastructure subsectors are expected to perform well in a rising interest rate environment as long as economic growth also improves.These subsectors,like toll roads,airports,and communication,often have explicit revenue escalators that benefit from cyclical upswings. Private Capital Markets: In 2017,921 private equity funds reached a final close ,securing over $453 billion in committed capital,which represents the largest amount of capital ever raised in any single year.2017 was the second consecutive year in which annual fundraising surpassed $400 billion,an event that has only occurred once before (2007/2008).The private equity asset class accounted for 60%of all private capital raised in 2017,representing an increase from 57% in 2016.While H2 2017 distribution numbers are yet to be finalized,$233 billion was distributed to LPs in H1 2017,leaving reason to believe that 2017 will fall short of the $520 billion distributed to LPs in 2016. 2.4 2.6 2.8 3 3.2 3.4 3.6 3.8 4 85 90 95 100 105 110 12/31/2017 1/21/2018 2/11/2018 3/4/2018 3/25/2018 U.S. 10 Year Treasury YieldCumulative QuarterlyPerformance %Infrastructure Sector Performance and Rates U.S. 10 Year Treasury Airports Communications Toll Roads Water The yield on the 10-year Treasury began the year at 2.41% and rose to almost 3.00% in mid- February before ending the quarter at 2.74%, which weighed on utilities. Source: Bloomberg Barclays 8 Quarter Calendar YTD 1 Year 2 Years 3 Years 5 Years 10 Years Equity Markets Broad Global Equity MSCI All Country World IMI -0.9 -0.9 15.0 15.2 8.3 9.3 5.9 Broad U.S. Equity Dow Jones Industrial Average -2.0 -2.0 19.4 19.6 13.5 13.3 9.8 Broad U.S. Equity Russell 3000 Index -0.6 -0.6 13.8 15.9 10.2 13.0 9.6 Technology Equity NASDAQ Index 2.6 2.6 20.8 21.8 14.3 18.1 13.2 U.S. Large Cap Equity S&P 500 Index -0.8 -0.8 14.0 15.6 10.8 13.3 9.5 U.S. Large Cap Equity Russell 1000 Index -0.7 -0.7 14.0 15.7 10.4 13.2 9.6 U.S. Large Value Equity Russell 1000 Value Index -2.8 -2.8 6.9 12.9 7.9 10.8 7.8 U.S. Large Growth Equity Russell 1000 Growth Index 1.4 1.4 21.3 18.5 12.9 15.5 11.3 U.S. Mid Cap Equity Russell Mid Cap Index -0.5 -0.5 12.2 14.6 8.0 12.1 10.2 U.S. Mid Cap Value Equity Russell Mid Cap Value Index -2.5 -2.5 6.5 13.0 7.2 11.1 9.8 U.S. Mid Cap Growth Equity Russell Mid Cap Growth Index 2.2 2.2 19.7 16.9 9.2 13.3 10.6 U.S. Small Cap Equity Russell 2000 Index -0.1 -0.1 11.8 18.8 8.4 11.5 9.8 U.S. Small Cap Value Equity Russell 2000 Value Index -2.6 -2.6 5.1 16.6 7.9 10.0 8.6 U.S. Small Cap Growth Equity Russell 2000 Growth Index 2.3 2.3 18.6 20.8 8.8 12.9 11.0 International Equity MSCI EAFE Index -1.5 -1.5 14.8 13.2 5.6 6.5 2.7 International Equity MSCI EAFE Index (Hedged)-4.4 -4.4 4.3 9.8 1.5 6.0 2.1 International Equity MSCI ACWI ex-U.S. Index (inc. Emerging Mkts)-1.2 -1.2 16.5 14.8 6.2 5.9 2.7 International Value Equity MSCI ACWI ex-U.S. Value Index -1.5 -1.5 13.3 15.0 5.0 4.9 2.1 International Growth Equity MSCI ACWI ex-U.S. Growth Index -0.9 -0.9 19.9 14.7 7.3 6.8 3.3 International Small Cap S&P Developed ex-U.S. Small Cap Index -1.2 -1.2 21.0 15.8 10.8 10.0 5.4 Emerging Markets MSCI Emerging Markets Index 1.4 1.4 24.9 21.0 8.8 5.0 3.0 Bond Markets Core Plus Bond Bloomberg Barclays Aggregate Bond Index -1.5 -1.5 1.2 0.8 1.2 1.8 3.6 Global Bonds Bloomberg Barclays Global Aggregate Index 1.4 1.4 7.0 2.4 3.1 1.5 2.6 Total Bond Market Bloomberg Barclays Universal Bond Index -1.4 -1.4 1.5 1.7 1.7 2.2 4.0 Long Duration Bonds Bloomberg Barclays Long Credit Index -3.8 -3.8 6.2 5.5 3.3 4.7 7.5 Short-Duration Bonds BofA Merrill Lynch U.S. Treasury (1-3 Year)-0.1 -0.1 0.0 0.1 0.4 0.5 1.1 Global Bonds Citigroup-WGBI ex-U.S. Index (Unhedged)4.4 4.4 12.9 3.7 5.0 1.4 1.8 Global Bonds Citigroup-WGBI ex-U.S. Index (Hedged)1.5 1.5 4.0 2.3 2.6 4.0 4.1 Treasury Inflation Protection Bloomberg Barclays 1-10 Year TIPS Index -0.4 -0.4 0.4 0.9 1.2 -0.1 2.2 Municipal Bonds Bloomberg Barclays Municipal Bond Index -1.1 -1.1 2.7 1.4 2.3 2.7 4.4 Cash 91-Day T-Bills Index 0.3 0.3 1.1 0.7 0.5 0.3 0.3 Alternatives Commodities Bloomberg Commodity Index -0.4 -0.4 3.7 6.2 -3.2 -8.3 -7.7 U.S. Public Real Estate FTSE NAREIT All Equity REIT Index -6.7 -6.7 -1.1 2.0 2.9 6.7 6.9 Global Listed Infrastructure DJ Brookfield Global Infrastructure Comp. Index -6.2 -6.2 -1.4 5.8 0.9 4.7 7.3 Diversified Hedge Funds HFRI FoF Conservative Index 0.6 0.6 3.4 4.4 1.7 3.0 1.3 Long/Short Equity HFRI Equity Hedge Index 0.4 0.4 9.5 10.5 5.2 5.7 3.9 Inflation Inflation CPI 1.2 1.2 2.4 2.4 1.9 1.4 1.6 Returns for periods greater than one year are annualized. Capital Markets Review Index Returns As of March 31, 2018 9 ��S & P 5 0 0 I n d e x i s a c a p i t a l i z a t i o n - w e i g h t e d i n d e x o f 5 0 0 U . S . s t o c k s p u b l i s h e d b y S t a n d a r d a n d P o o r s . T h e i n d e x , w h i c h i s h e a v i l y d o m i n a t e d b y t h e l a r g e s t s t o c k s i n t h e U . S . m a r k e t , c o n t a i n s a b o u t 8 0 % o f t h e t o t a l s t o c k m a r k e t c a p i t a l i z a t i o n a n d i s w i d e l y u s e d a s a b e n c h m a r k o f t h e l a r g e s t U . S . s t o c k s . ��M S C I A C W I I n v e s t a b l e M a r k e t I n d e x ( I M I ) c a p t u r e s l a r g e , m i d a n d s m a l l c a p r e p r e s e n t a t i o n a c r o s s 2 4 D e v e l o p e d M a r k e t s ( D M ) a n d 2 1 E m e r g i n g M a r k e t s ( E M ) c o u n t r i e s i d e n t i f i e d b e l o w . W i t h 8 , 4 2 5 c o n s t i t u e n t s , t h e i n d e x i s c o m p r e h e n s i v e , c o v e r i n g a p p r o x i m a t e l y 9 9 % o f t h e g l o b a l e q u i t y i n v e s t m e n t o p p o r t u n i t y s e t . ��B l o o m b e r g B a r c l a y s U . S . A g g r e g a t e I n d e x r e p r e s e n t s s e c u r i t i e s t h a t a r e S E C - r e g i s t e r e d , t a x a b l e , a n d d o l l a r d e n o m i n a t e d . T h e i n d e x c o v e r s t h e U . S . i n v e s t m e n t g r a d e f i x e d r a t e b o n d m a r k e t , w i t h i n d e x c o m p o n e n t s f o r T r e a s u r y , g o v e r n m e n t a g e n c i e s , c o r p o r a t e s e c u r i t i e s , m o r t g a g e p a s s - t h r o u g h s e c u r i t i e s , c o m m e r c i a l m o r t g a g e - b a c k e d s e c u r i t i e s a n d a s s e t - b a c k e d s e c u r i t i e s . T h e s e m a j o r s e c t o r s a r e s u b d i v i d e d i n t o m o r e s p e c i f i c i n d i c e s t h a t a r e c a l c u l a t e d a n d r e p o r t e d o n a r e g u l a r b a s i s . T h e U . S . A g g r e g a t e I n d e x w a s c r e a t e d i n 1 9 8 6 w i t h h i s t o r y b a c k f i l l e d t o J a n u a r y 1 , 1 9 7 6 . ��B a n k o f A m e r i c a M e r r i l l L y n c h U . S . H i g h Y i e l d I n d e x i s a c o m m o n l y u s e d b e n c h m a r k i n d e x f o r h i g h y i e l d c o r p o r a t e b o n d s . I t i s a d m i n i s t e r e d b y M e r r i l l L y n c h . T h e e x i s t i n g H i g h Y i e l d M a s t e r I n d e x e x c l u d e d t w o t y p e s o f i s s u e s t h a t w e r e b e c o m i n g p o p u l a r b e c a u s e o f t h e b o o m i n l e v e r a g e d b u y o u t f i n a n c i n g , z e r o - c o u p o n b o n d s a n d p a y m e n t - i n - k i n d ( P I K ) b o n d s . ��C i t i g r o u p W o r l d G o v e r n m e n t B o n d I n d e x ( W G B I ) i s a m a r k e t c a p i t a l i z a t i o n w e i g h t e d i n d e x c o n s i s t i n g o f t h e g o v e r n m e n t b o n d m a r k e t s . C o u n t r y e l i g i b i l i t y i s d e t e r m i n e d b a s e d o n m a r k e t c a p i t a l i z a t i o n a n d i n v e s t a b i l i t y c r i t e r i a . A l l i s s u e s h a v e a r e m a i n i n g m a t u r i t y o f a t l e a s t o n e y e a r . ��C o n s u m e r P r i c e I n d e x ( C P I ) i s a m o n t h l y i n f l a t i o n i n d i c a t o r t h a t m e a s u r e s t h e c h a n g e i n t h e c o s t o f a f i x e d b a s k e t o f p r o d u c t s a n d s e r v i c e s , i n c l u d i n g h o u s i n g , e l e c t r i c i t y , f o o d a n d t r a n s p o r t a t i o n . ��R u s s e l l 2 0 0 0 I n d e x i s a c a p i t a l i z a t i o n - w e i g h t e d i n d e x t h a t m e a s u r e s t h e p e r f o r m a n c e o f t h e s m a l l - c a p s e g m e n t o f t h e U . S . e q u i t y u n i v e r s e , c r e a t e d b y R u s s e l l I n v e s t m e n t s . I t i n c l u d e s a p p r o x i m a t e l y 2 , 0 0 0 o f t h e s m a l l e s t s e c u r i t i e s w i t h i n t h e 3 , 0 0 0 l a r g e s t s e c u r i t i e s i n t h e U . S . e q u i t y u n i v e r s e . T h e G r o w t h o r V a l u e s t y l e i n d e x e s a r e a n o n - e x c l u s i v e s u b s e t o f t h e b r o a d e r i n d e x , w h e r e g r o w t h o r v a l u e i s d e t e r m i n e d b y v a l u a t i o n a n d g r o w t h c h a r a c t e r i s t i c s , a s d e t e r m i n e d b y R u s s e l l I n v e s t m e n t s . ��H F R I M o n t h l y I n d i c e s ( H F R I ) : T h i s i s a n e q u a l l y w e i g h t e d s e t o f p e r f o r m a n c e i n d e x e s , u s e d b y n u m e r o u s h e d g e f u n d m a n a g e r s a s b e n c h m a r k s f o r t h e i r o w n h e d g e f u n d s . T h e H F R I a r e b r o k e n d o w n i n t o f o u r m a i n s t r a t e g i e s , e a c h w i t h m u l t i p l e s u b s t r a t e g i e s . A l l s i n g l e - m a n a g e r H F R I I n d e x c o n s t i t u e n t s a r e i n c l u d e d i n t h e H F R I F u n d W e i g h t e d C o m p o s i t e , w h i c h a c c o u n t s f o r o v e r 2 , 2 0 0 f u n d s l i s t e d o n t h e i n t e r n a l H F R D a t a b a s e . D u e t o m u t u a l a g r e e m e n t s w i t h t h e h e d g e f u n d m a n a g e r s l i s t e d i n t h e H F R D a t a b a s e , w e a r e n o t a t l i b e r t y t o d i s c l o s e t h e p a r t i c u l a r f u n d s b e h i n d a n y i n d e x t o n o n - d a t a b a s e s u b s c r i b e r s . F u n d s i n c l u d e d i n t h e H F R I I n d i c e s m u s t r e p o r t m o n t h l y r e t u r n s , r e p o r t n e t o f a l l f e e s r e t u r n s , r e p o r t a s s e t s i n U . S . D o l l a r s , a n d h a v e a t l e a s t $ 5 0 M i l l i o n u n d e r m a n a g e m e n t o r h a v e b e e n a c t i v e l y t r a d i n g f o r a t l e a s t t w e l v e ( 1 2 ) m o n t h s . ��H F R I E q u i t y H e d g e ( T o t a l ) I n d e x i s c o m p r i s e d o f i n v e s t m e n t m a n a g e r s w h o m a i n t a i n p o s i t i o n s b o t h l o n g a n d s h o r t i n p r i m a r i l y e q u i t y a n d e q u i t y d e r i v a t i v e s e c u r i t i e s . A w i d e v a r i e t y o f i n v e s t m e n t p r o c e s s e s c a n b e e m p l o y e d t o a r r i v e a t a n i n v e s t m e n t d e c i s i o n , i n c l u d i n g b o t h q u a n t i t a t i v e a n d f u n d a m e n t a l t e c h n i q u e s ; s t r a t e g i e s c a n b e b r o a d l y d i v e r s i f i e d o r n a r r o w l y f o c u s e d o n s p e c i f i c s e c t o r s a n d c a n r a n g e b r o a d l y i n t e r m s o f l e v e l s o f n e t e x p o s u r e , l e v e r a g e e m p l o y e d , h o l d i n g p e r i o d , c o n c e n t r a t i o n s o f m a r k e t c a p i t a l i z a t i o n s a n d v a l u a t i o n r a n g e s o f t y p i c a l p o r t f o l i o s . E H m a n a g e r s w o u l d t y p i c a l l y m a i n t a i n a t l e a s t 5 0 % e x p o s u r e t o , a n d m a y i n s o m e c a s e s b e e n t i r e l y i n v e s t e d i n , e q u i t i e s , b o t h l o n g a n d s h o r t . C a p i t a l M a r k e t s R e v i e w D e f i n i t i o n s A s o f M a r c h 3 1 , 2 0 1 8 1 0 ��H F R I F O F C o n s : C o n s e r v a t i v e I n d e x i s c o m p r i s e d o f F O F s c l a s s i f i e d a s ' C o n s e r v a t i v e ' e x h i b i t o n e o r m o r e o f t h e f o l l o w i n g c h a r a c t e r i s t i c s : s e e k s c o n s i s t e n t r e t u r n s b y p r i m a r i l y i n v e s t i n g i n f u n d s t h a t g e n e r a l l y e n g a g e i n m o r e ' c o n s e r v a t i v e ' s t r a t e g i e s s u c h a s E q u i t y M a r k e t N e u t r a l , F i x e d I n c o m e A r b i t r a g e , a n d C o n v e r t i b l e A r b i t r a g e ; e x h i b i t s a l o w e r h i s t o r i c a l a n n u a l s t a n d a r d d e v i a t i o n t h a n t h e H F R I F u n d o f F u n d s C o m p o s i t e I n d e x . A f u n d i n t h e H F R I F O F C o n s e r v a t i v e I n d e x s h o w s g e n e r a l l y c o n s i s t e n t p e r f o r m a n c e r e g a r d l e s s o f m a r k e t c o n d i t i o n s . ��M S C I E A F E ( E u r o p e , A u s t r a l a s i a a n d F a r E a s t ) I n d e x i s a s t a n d a r d , c a p i t a l i z a t i o n - w e i g h t e d r e p r e s e n t a t i o n o f d e v e l o p e d e q u i t y m a r k e t s e x c l u d i n g t h e U . S . a n d C a n a d a . A s o f D e c e m b e r 2 0 1 5 t h e M S C I E A F E I n d e x c o n s i s t e d o f t h e f o l l o w i n g 2 1 d e v e l o p e d c o u n t r i e s : A u s t r a l i a , A u s t r i a , B e l g i u m , D e n m a r k , F i n l a n d , F r a n c e , G e r m a n y , H o n g K o n g , I r e l a n d , I s r a e l , I t a l y , J a p a n , N e t h e r l a n d s , N e w Z e a l a n d , N o r w a y , P o r t u g a l , S i n g a p o r e , S p a i n , S w e d e n , S w i t z e r l a n d , a n d t h e U n i t e d K i n g d o m . T h e i n d e x i n c l u d e s M S C I s a s s e s s m e n t o f t h e m o s t i n v e s t a b l e s t o c k s , d e t e r m i n e d b y s i z e , t r a d i n g v o l u m e , a n d f r e e f l o a t . P e r f o r m a n c e i s s h o w n n e t o f f o r e i g n w i t h h o l d i n g t a x o n t h e d i v i d e n d s p a i d . T h e G r o w t h o r V a l u e s t y l e i n d e x e s a r e a n o n - e x c l u s i v e s u b s e t o f t h e b r o a d e r i n d e x , w h e r e g r o w t h o r v a l u e i s d e t e r m i n e d b y v a l u a t i o n a n d g r o w t h c h a r a c t e r i s t i c s , a s d e f i n e d b y M S C I . ��M S C I E m e r g i n g M a r k e t s F r e e I n d e x i s A M o r g a n S t a n l e y C a p i t a l I n t e r n a t i o n a l i n d e x c r e a t e d t o t r a c k s t o c k m a r k e t s i n s e l e c t e d e m e r g i n g m a r k e t s t h a t a r e o p e n t o f o r e i g n i n v e s t m e n t l i k e A r g e n t i n a , C h i l e , J o r d a n , M a l a y s i a , M e x i c o , P h i l i p p i n e s , a n d T h a i l a n d . ��B l o o m b e r g C o m m o d i t y I n d e x : F o r m e r l y k n o w n a s t h e D o w J o n e s - U B S C o m m o d i t y I n d e x . T h i s i s d e s i g n e d t o b e a l i q u i d a n d d i v e r s i f i e d b e n c h m a r k f o r t h e c o m m o d i t i e s f u t u r e s m a r k e t . T h e I n d e x i s c o m p o s e d o f f u t u r e s c o n t r a c t s o n 2 2 p h y s i c a l c o m m o d i t i e s , a n d w a s l a u n c h e d o n J u l y 1 4 , 1 9 9 8 ��S & P D e v e l o p e d E x U . S . S m a l l C a p I n d e x : A s u b s e t o f t h e S & P G l o b a l B M I , t h e S & P D e v e l o p e d E x - U . S . S m a l l C a p s e e k s t o m e a s u r e t h e s t o c k s r e p r e s e n t i n g t h e l o w e s t 1 5 % o f f l o a t - a d j u s t e d m a r k e t c a p i n e a c h d e v e l o p e d c o u n t r y , e x c l u d i n g t h e U . S . ��B l o o m b e r g B a r c l a y s G l o b a l A g g r e g a t e I n d e x : A n u n m a n a g e d i n d e x t h a t i s c o m p r i s e d o f s e v e r a l o t h e r B a r c l a y s i n d e x e s t h a t m e a s u r e f i x e d i n c o m e p e r f o r m a n c e o f r e g i o n s a r o u n d t h e w o r l d . ��9 1 - D a y T - B i l l s : T h e U . S . g o v e r n m e n t i s s u e s s h o r t - t e r m d e b t a t a d i s c o u n t a t a c o m p e t i t i v e a u c t i o n , u s u a l l y o n a w e e k l y b a s i s . A t a d i s c o u n t m e a n s t h e n o t e i s s o l d a t a d i s c o u n t f r o m f a c e v a l u e a n d t h e n r e d e e m e d a t m a t u r i t y a t t h e f u l l f a c e v a l u e . T h e d i f f e r e n c e b e t w e e n t h e d i s c o u n t e d p r i c e a n d t h e f a c e v a l u e d e t e r m i n e s t h e y i e l d . T h e y i e l d o n 9 1 - d a y T r e a s u r y b i l l s i s t h e a v e r a g e d i s c o u n t r a t e . ��T h e D o w J o n e s B r o o k f i e l d G l o b a l I n f r a s t r u c t u r e I n d e x i s d e s i g n e d t o m e a s u r e t h e p e r f o r m a n c e o f p u r e - p l a y i n f r a s t r u c t u r e c o m p a n i e s d o m i c i l e d g l o b a l l y . T h e i n d e x c o v e r s a l l s e c t o r s o f t h e i n f r a s t r u c t u r e m a r k e t . T o b e i n c l u d e d i n t h e i n d e x , a c o m p a n y m u s t d e r i v e a t l e a s t 7 0 % o f c a s h f l o w s f r o m i n f r a s t r u c t u r e l i n e s o f b u s i n e s s . C a p i t a l M a r k e t s R e v i e w D e f i n i t i o n s A s o f M a r c h 3 1 , 2 0 1 8 1 1 Performance Summary 12 Total Market Value Quarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Since Inception Inception Period Total Composite $274,152,009 0.1 0.1 8.6 4.8 5.3 5.7 5.4 7.4 25y 3m Policy Benchmark -0.1 -0.1 8.4 5.1 5.6 5.9 5.4 -- Helped / Hurt Performance Kennedy Mid Cap Value: Stock selection in industrials; overweight allocation and stock selection to IT Positive TimesSquare Small Cap Growth: Overweight allocation and stock selection to IT Positive Morgan Stanley EM: Overweight allocation and stock selection in financials Positive Income Research: Overweight allocation to investment-grade credit Negative Prudential Core Plus: Underweight exposure to investment-grade credit Positive Brandywine Global Opportunistic Income: Unhedged long Mexican peso and South African rand exposure Positive Absolute Performance (%) Quarter 1 Year 0.0 5.0 10.0 15.0 20.0 25.0-5.0-10.0 Total Composite Real Estate Composite Hedge Funds Composite Fixed Income Composite Equity Composite 0.1 1.7 0.3 0.1 -0.4 8.6 6.1 2.9 4.1 15.1 Consultant Comments During the first quarter, the Metropolitan St. Louis Sewer District pension plan outperformed its benchmark by 20 basis points (bps), returning +0.1%. On a trailing one-year basis, the portfolio reported a gain of +8.6%, outpacing the Policy Benchmark by 20 bps. First quarter performance was positively impacted by the Total Composite's overweight allocation to the small-cap equity and fixed income composites. The portfolio's small-cap equity composite outperformed the Russell 2000 Index by 80 bps, while the fixed income composite outpaced the Barclays Intermediate U.S. Government/Credit Index by 110 bps. Relative Performance (%) Quarter 1 Year 0.0 2.0 4.0 6.0 8.0-2.0-4.0-6.0 Total Composite Real Estate Composite Hedge Funds Composite Fixed Income Composite Equity Composite 0.1 0.0 0.0 1.1 0.4 0.2 -1.1 -2.7 3.8 -0.5 Quarterly Performance Summary Executive Summary As of March 31, 2018 Performance for periods longer than one year is annualized. 13 Total Composite Policy Benchmark 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 -2.0 -4.0Return Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Since Inception -0.1 -0.1 8.4 5.1 5.6 5.4 7.8 0.1 0.1 8.6 4.8 5.3 5.4 7.3 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 0.1 0.1 8.6 4.8 5.3 5.4 7.4 25y 3m Policy Benchmark -0.1 -0.1 8.4 5.1 5.6 5.4 -- Performance Summary Total Composite vs. Policy Benchmark As of March 31, 2018 ____________ Performance is reported net of fees. See appendix for full description of the policy benchmark. 14 -7.0 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 20.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 0.1 (20)0.1 (20)8.6 (80)4.8 (93)5.3 (97)5.7 (97)5.4 (96)¢£ 5th Percentile 0.7 0.7 12.6 7.8 9.4 9.0 7.8 1st Quartile 0.0 0.0 11.1 6.9 8.4 8.2 7.2 Median -0.4 -0.4 10.2 6.3 7.9 7.5 6.7 3rd Quartile -0.7 -0.7 9.0 5.8 7.2 7.0 6.3 95th Percentile -1.4 -1.4 5.9 4.2 5.8 6.1 5.4 Performance Comparison All Public Plans <= $500 mil As of March 31, 2018 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 15 -7.0 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 20.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 0.1 (25)0.1 (25)8.6 (82)4.8 (93)5.3 (96)5.7 (96)5.4 (94)¢£ 5th Percentile 0.7 0.7 12.8 8.0 9.4 9.1 7.8 1st Quartile 0.0 0.0 11.3 7.1 8.5 8.2 7.1 Median -0.3 -0.3 10.3 6.4 7.9 7.5 6.6 3rd Quartile -0.7 -0.7 9.2 5.8 7.2 7.1 6.2 95th Percentile -1.4 -1.4 5.7 4.1 5.4 5.9 5.2 Performance Comparison All Public Plans As of March 31, 2018 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 16 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 90.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 26.8 (97)14.5 (67)26.5 (59)9.4 (5)13.1 (22)9.1 (43)0.6 (76)¢£ 5th Percentile 60.1 26.4 45.6 9.2 28.3 13.7 6.4 1st Quartile 50.5 22.5 35.1 5.1 11.2 10.3 2.2 Median 44.3 15.9 28.6 4.6 4.9 8.3 1.3 3rd Quartile 39.1 13.4 21.8 4.1 3.6 5.1 0.6 95th Percentile 29.2 8.0 15.8 2.5 0.6 2.7 0.1 Asset Allocation Comparison All Public Plans <= $500 mil As of March 31, 2018 _________________________ Parentheses contain percentile rankings. 17 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 90.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 26.8 (89)14.5 (70)26.5 (51)9.4 (6)13.1 (43)9.1 (39)0.6 (75)¢£ 5th Percentile 59.6 29.0 46.8 9.6 35.4 14.5 7.9 1st Quartile 49.3 22.6 34.4 5.1 18.7 10.3 2.3 Median 41.6 16.7 26.9 4.5 9.6 8.0 1.3 3rd Quartile 34.0 13.7 20.5 3.6 4.2 5.0 0.6 95th Percentile 20.7 7.7 12.8 0.3 1.4 2.4 0.1 Asset Allocation Comparison All Public Plans As of March 31, 2018 _________________________ Parentheses contain percentile rankings. 18 3 Years 5 Years 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)3.0 3.8 4.6 5.4 6.2 7.0 7.8 Risk (Standard Deviation %) Policy Benchmark (5.1 , 5.1) Total Composite (5.3 , 4.8) 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)4.0 4.7 5.4 6.1 6.8 7.5 8.0 Risk (Standard Deviation %) Policy Benchmark (5.3 , 5.6) Total Composite (5.5 , 5.3) Performance Summary Risk and Return Summary As of March 31, 2018 19 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 274,152,009 100.0 0.1 0.1 8.6 4.8 5.3 5.4 7.4 25y 3m Policy Benchmark -0.1 -0.1 8.4 5.1 5.6 5.4 -- Total Equity Composite 113,297,057 41.3 -0.4 -0.4 15.1 8.1 ----10.1 4y 7m MSCI AC World IMI -0.8 -0.8 15.6 8.8 9.9 6.5 10.3 Domestic Equity Composite 73,563,700 26.8 -0.4 -0.4 14.3 9.0 ----12.1 4y 7m Russell 3000 Index -0.6 -0.6 13.8 10.2 13.0 9.6 13.0 Large-Cap Equity Composite 55,377,331 20.2 -0.7 -0.7 13.8 9.2 12.7 8.6 9.0 14y 10m Russell 1000 Index -0.7 -0.7 14.0 10.4 13.2 9.6 9.5 Small-Cap Equity Composite 18,186,369 6.6 0.7 0.7 15.7 8.1 11.9 11.6 11.5 14y 10m Russell 2000 Index -0.1 -0.1 11.8 8.4 11.5 9.8 10.2 International Equity Composite 39,733,356 14.5 -0.5 -0.5 16.6 6.2 ----6.2 4y 7m MSCI AC World ex USA Index -1.2 -1.2 16.5 6.2 5.9 2.7 6.5 Developed International Equity Composite 27,803,435 10.1 -1.5 -1.5 13.7 5.0 5.4 3.4 5.0 18y 11m MSCI EAFE Index -1.5 -1.5 14.8 5.6 6.5 2.7 4.2 Emerging International Equity Composite 11,929,922 4.4 1.9 1.9 23.6 8.4 4.3 2.2 8.1 13y MSCI Emerging Markets Index 1.4 1.4 24.9 8.8 5.0 3.0 8.6 Fixed Income Composite 98,382,288 35.9 0.1 0.1 4.1 2.6 1.7 4.4 4.4 14y 9m Barclays Intermediate U.S. Government/Credit -1.0 -1.0 0.4 0.9 1.2 2.9 3.3 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2018 _________________________ Performance is reported net of fees. 20 Performance Summary Total Pension Fund Asset Allocation and Performance As of March 31, 2018 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Funds Composite 35,982,445 13.1 0.3 0.3 2.9 0.9 ----1.5 3y 1m HFRI Fund of Funds Composite Index 0.3 0.3 5.6 1.9 3.4 1.6 2.0 60% MSCI ACWI / 40% BC Agg -1.1 -1.1 9.3 5.5 6.3 5.1 5.0 Real Estate Composite.24,871,639 9.1 1.7 1.7 6.1 7.3 8.5 4.2 5.8 11y 10m NCREIF Property Index 1.7 1.7 7.1 8.7 10.0 6.1 7.4 Cash Account 1,618,581 0.6 0.4 0.4 1.2 0.8 0.6 0.4 1.3 14y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.4 0.4 1.1 0.5 0.3 0.3 1.3 _________________________ Performance is reported net of fees. 21 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Domestic Large-Cap Equity Managers Blackrock Russell 1000 Index Fund Non-Lending 55,377,331 20.2 -0.7 (47)-0.7 (47)13.9 (48)10.3 (32)13.1 (34)9.6 (40)12.8 (--)1y 1m Russell 1000 Index -0.7 (47)-0.7 (47)14.0 (48)10.4 (31)13.2 (34)9.6 (41)12.9 (--) eV Large Cap All Median -0.8 -0.8 13.3 9.1 12.3 9.1 -- Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 8,939,423 3.3 -2.1 (51)-2.1 (51)11.0 (18)7.3 (53)11.7 (37)11.2 (15)10.5 (--)10y 3m Russell Midcap Value Index -2.5 (63)-2.5 (63)6.5 (69)7.2 (55)11.1 (50)9.8 (49)8.6 (--) eV Mid Cap Value Median -2.1 -2.1 7.9 7.5 11.1 9.7 -- TimesSquare Small Cap Growth Fund 9,246,947 3.4 3.6 (39)3.6 (39)20.7 (45)8.7 (60)11.7 (70)11.9 (33)10.5 (--)16y 2m Russell 2000 Growth Index 2.3 (59)2.3 (59)18.6 (55)8.8 (59)12.9 (53)11.0 (55)8.6 (--) eV Small Cap Growth Median 2.9 2.9 20.2 9.3 13.1 11.2 -- Developed International Equity Manager Morgan Stanley International Equity Fund I 27,803,435 10.1 -1.5 (70)-1.5 (70)13.7 (79)4.9 (82)5.3 (91)3.4 (58)4.9 (--)13y MSCI EAFE Index -1.5 (71)-1.5 (71)14.8 (70)5.6 (71)6.5 (67)2.7 (82)5.1 (--) Custom Non US Diversified All Median -0.8 -0.8 16.5 6.6 7.3 3.7 -- Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 11,929,922 4.4 1.9 (40)1.9 (40)23.5 (48)8.4 (55)4.3 (70)2.2 (85)8.2 (--)13y MSCI Emerging Markets Index 1.4 (49)1.4 (49)24.9 (36)8.8 (50)5.0 (55)3.0 (67)8.6 (--) eV International Emerging Equity Median 1.3 1.3 22.8 8.8 5.2 3.6 -- Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2018 _________________________ Performance is reported net of fees. 22 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2018 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 38,927,653 14.2 -1.1 (71)-1.1 (71)0.2 (86)0.8 (67)1.2 (63)3.6 (34)4.5 (--)16y 9m Barclays Intermediate U.S. Government/Credit -1.0 (42)-1.0 (42)0.4 (69)0.9 (59)1.2 (56)2.9 (75)4.0 (--) eV US Intermediate Fixed Income Median -1.0 -1.0 0.5 1.0 1.3 3.3 -- Prudential Core Plus Bond Fund 33,802,293 12.3 -1.3 (59)-1.3 (59)3.4 (7)2.8 (10)3.2 (9)5.8 (15)3.2 (--)2y 10m Blmbg. Barc. U.S. Aggregate -1.5 (79)-1.5 (79)1.2 (90)1.2 (88)1.8 (89)3.6 (100)1.5 (--) eV Core Plus Fixed Income Median -1.3 -1.3 2.0 1.9 2.4 4.7 -- Brandywine Global Opportunistic Fixed Income 25,652,341 9.4 3.8 (4)3.8 (4)11.4 (14)4.3 (26)3.0 (43)5.8 (24)5.9 (--)13y 3m Citigroup World Government Bond Index 2.5 (12)2.5 (12)8.5 (25)3.5 (45)1.2 (80)2.0 (91)2.9 (--) eV Global Fixed Income Median 0.4 0.4 5.0 3.2 2.6 4.1 -- _________________________ Performance is reported net of fees. 23 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of March 31, 2018 Allocation Market Value ($)% 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 19,663,835 7.2 1.6 1.6 5.3 4.0 6.7 5.1 4.4 3y 1m HFRI Equity Hedge (Total) Index 0.4 0.4 9.5 5.2 5.7 3.9 5.2 Entrust Capital Diversified Fund 16,318,610 6.0 -1.3 -1.3 0.1 -3.2 0.7 2.3 -3.0 2y 8m HFRI Fund of Funds Composite Index 0.3 0.3 5.6 1.9 3.4 1.6 2.0 Real Estate Manager UBS Trumbull Property Fund 24,871,639 9.1 1.7 1.7 6.1 7.3 8.5 4.2 5.8 11y 10m NCREIF Property Index 1.7 1.7 7.1 8.7 10.0 6.1 7.4 Cash Account 1,618,581 0.6 0.4 0.4 1.2 0.8 0.6 0.4 1.3 14y 10m BofA Merrill Lynch 3 Month U.S. T-Bill 0.4 0.4 1.1 0.5 0.3 0.3 1.3 Total Composite 274,152,009 100.0 0.1 0.1 8.6 4.8 5.3 5.4 7.4 25y 3m _________________________ Performance is reported net of fees. 24 YTD 2017 2016 2015 2014 2013 2012 2011 Total Fund Total Composite 0.1 12.3 5.1 -0.7 2.9 10.9 12.1 1.2 Policy Benchmark -0.1 12.2 6.6 -1.4 3.5 12.3 11.6 1.1 Domestic Equity Blackrock Russell 1000 Index Fund Non-Lending -0.7 (47)21.6 (48)12.1 (34)0.9 (43)13.2 (29)33.1 (51)16.4 (33)1.5 (36) Russell 1000 Index -0.7 (47)21.7 (47)12.1 (34)0.9 (43)13.2 (29)33.1 (50)16.4 (33)1.5 (36) eV Large Cap All Median -0.8 21.3 9.5 0.0 11.5 33.1 15.0 0.0 Kennedy Mid Cap Value -2.1 (51)18.0 (15)22.9 (14)-9.9 (96)15.8 (5)33.3 (72)13.6 (77)-0.8 (44) Russell Midcap Value Index -2.5 (63)13.3 (63)20.0 (37)-4.8 (59)14.7 (12)33.5 (69)18.5 (28)-1.4 (50) eV Mid Cap Value Median -2.1 14.5 17.3 -3.8 10.1 35.3 16.0 -1.5 TimesSquare Small Cap Growth 3.6 (39)21.1 (61)8.4 (65)1.0 (31)-2.5 (82)47.7 (35)13.1 (60)2.6 (17) Russell 2000 Growth Index 2.3 (59)22.2 (57)11.3 (44)-1.4 (48)5.6 (29)43.3 (64)14.6 (46)-2.9 (55) eV Small Cap Growth Median 2.9 23.5 10.3 -1.6 3.0 44.8 14.1 -2.3 International Equity Morgan Stanley International Equity Fund I -1.5 (70)25.2 (67)-2.0 (81)0.4 (41)-6.1 (76)20.4 (59)19.6 (37)-7.6 (14) MSCI EAFE Index -1.5 (71)25.0 (68)1.0 (53)-0.8 (53)-4.9 (59)22.8 (39)17.3 (67)-12.1 (47) Custom Non US Diversified All Median -0.8 26.8 1.1 -0.6 -4.3 21.6 18.5 -12.5 Morgan Stanley Emerging Markets Fund I 1.9 (40)35.0 (57)6.7 (65)-10.3 (32)-4.5 (79)-0.8 (61)20.2 (43)-18.4 (49) MSCI Emerging Markets Index 1.4 (49)37.3 (43)11.2 (34)-14.9 (68)-2.2 (63)-2.6 (74)18.2 (62)-18.4 (49) eV International Emerging Equity Median 1.3 35.9 8.7 -12.9 -1.1 0.0 19.6 -18.6 Fixed Income Income Research -1.1 (71)2.0 (80)2.3 (42)0.9 (60)3.3 (51)-0.9 (58)5.9 (24)5.6 (58) Blmbg. Barc. Intermed. U.S. Government/Credit -1.0 (42)2.1 (66)2.1 (50)1.1 (42)3.1 (62)-0.9 (55)3.9 (75)5.8 (46) eV US Intermediate Fixed Income Median -1.0 2.3 2.1 1.0 3.3 -0.8 4.7 5.7 Prudential Core Plus Bond Fund -1.3 (59)6.6 (6)5.8 (23)-0.1 (49)7.1 (12)-1.0 (72)10.6 (26)7.6 (29) Blmbg. Barc. U.S. Aggregate -1.5 (79)3.5 (92)2.6 (94)0.5 (25)6.0 (37)-2.0 (93)4.2 (100)7.8 (19) eV Core Plus Fixed Income Median -1.3 4.7 4.5 -0.2 5.7 -0.5 8.8 6.8 Performance Summary Manager Performance As of March 31, 2018 _________________________ Performance is reported net of fees. 25 Performance Summary Manager Performance As of March 31, 2018 YTD 2017 2016 2015 2014 2013 2012 2011 Brandywine Global Opportunistic Fixed Income 3.8 (4)12.8 (12)5.2 (42)-8.4 (88)6.3 (15)-3.5 (81)14.1 (24)8.0 (12) Citigroup World Government Bond Index 2.5 (12)7.5 (56)1.6 (79)-3.6 (60)-0.5 (74)-4.0 (86)1.6 (100)6.4 (23) eV Global Fixed Income Median 0.4 7.8 4.5 -2.9 1.9 0.4 9.9 4.1 Hedge Funds Lighthouse Global Long/Short Fund Limited 1.6 6.6 0.2 7.4 4.9 20.2 6.1 -2.1 HFRI Equity Hedge (Total) Index 0.4 13.3 5.5 -1.0 1.8 14.3 7.4 -8.4 Entrust Capital Diversified Fund -1.3 2.1 -1.1 -7.3 1.8 13.2 7.4 -4.7 HFRI Fund of Funds Composite Index 0.3 7.8 0.5 -0.3 3.4 9.0 4.8 -5.7 Real Estate UBS Trumbull Property Fund 1.7 5.3 6.0 11.7 10.4 9.2 9.0 12.1 NCREIF Property Index 1.7 7.0 8.0 13.3 11.8 11.0 10.5 14.3 Cash Account 0.4 1.1 0.8 0.1 0.6 0.1 0.1 0.1 BofA Merrill Lynch 3 Month U.S. T-Bill 0.4 0.9 0.3 0.1 0.0 0.1 0.1 0.1 _________________________ Performance is reported net of fees. 26 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Return (%)7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 Risk (Standard Deviation %) Russell 1000 Index MSCI Emerging Markets MSCI EAFE Russell 2000 Growth Russell Midcap Value Kennedy Mid Cap Value TimesSquare Small Cap Growth Morgan Stanley Emerging MarketsMorgan Stanley International Equity BlackRock Russell 1000 Index Fund Non-Lending Performance Summary Risk and Return Summary - Equity Managers 5 Years Ending March 31, 2018 27 0.6 0.9 1.2 1.5 1.8 2.1 2.4 2.7 3.0 3.3 3.6 3.9 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 IndexBC Intermediate U.S. Government/Credit Blmbg. Barc. U.S. Aggregate Prudential Core Plus Bond Fund Income Research Brandywine Global Performance Summary Risk and Return Summary - Fixed Income Managers 5 Years Ending March 31, 2018 28 -10.0 -7.0 -4.0 -1.0 2.0 5.0 8.0 11.0 14.0 17.0 20.0 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 UBS TPF Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending March 31, 2018 29 Fund Name Qualitative Compliance Performance Compliance 3 Year Return Short-Term 3 Year Rank 3 Year Sharpe 5 Year Return Longer-Term 5 Year Rank 5 Year Sharpe Kennedy Mid Cap Value ✔✔✔✖✖✔✖✖ TimesSquare Small Cap Growth ✔✔✖✖✔✖✖✖ Morgan Stanley International Equity Fund I ✔✖✖✖✖✖✖✖ Morgan Stanley Emerging Markets Fund I ✔✔✖✖✔✖✖✖ Income Research ✔✔✖✖✖✖✖✖ Prudential Core Plus Bond Fund ✔✔✔✔✔✔✔✔ Brandywine Global Opportunistic Fixed Income ✔✔✔✔✔✔✔✔ Lighthouse Global Long/Short Fund Limited ✖✔✖--✖✔--✔ Entrust Capital Diversified Fund ✖✖✖--✖✖--✖ Legend 3 Year Return ✔Goals met or no material change ✖Goals not met or material changes Portfolio Score Factor Comments Kennedy Mid Cap Value Qualitative Compliance In March, Kennedy announced that Kimberly Wood, President and CEO, resigned from the firm. Ms. Wood had been with the firm for about 18 months, having joined the firm in August 2016. As a result of this resignation, Kennedy’s Board of Directors selected Donald Cobin as the new President, CEO and Chairman of the Board of Directors. Currently, Mr. Cobin serves as Portfolio Manager on the firm’s Small Cap Core and SMID Cap Core strategies. Mr. Cobin has stated that he does not intend to relinquish his portfolio management responsibilities. TimesSquare Small Cap Growth Qualitative Compliance TimesSquare parted ways with U.S. Healthcare Services Analyst Sameer Sabharwal in February. Senior Healthcare Analyst David Ferreiro and Associate Healthcare Analyst Will Glindmeyer remain at the firm. In April, the firm announced one of the three Technology analysts, Jim Russo, resigned from the firm. Morgan Stanley International Equity Fund I Performance Compliance Morgan Stanley's high quality philosophy has faced some headwinds over the last few years, particularly during the lower quality rally in the back half of 2016, and the steep up market of 2013. The fund rebounded nicely in 2017, managing to keep pace with the surging index. At this time, Pavilion recommends no changes, though we would like to see better consistency from Morgan Stanley. Morgan Stanley Emerging Markets Fund I Qualitative Compliance May Yu was added to the listed portfolio manager team for the emerging markets strategy. Gaite Ali, who had been a portfolio manager for five years on the Fund, is no longer a named portfolio manager. Lighthouse Global Long/Short Fund Limited Qualitative Compliance In March 2018, Lighthouse and Mesirow Financial announced the signing of a definitive agreement for Lighthouse to acquire the assets of Mesirow Advanced Strategies, and the acquisition is expected to be finalized in the next couple months. Pavilion’s initial takeaway from early conversations with the managers is that the combination makes sense given the current industry environment. That said, uncertainties remain with the integration process, and we have placed the broader Lighthouse organization on “Watch” as a result. A more detailed memo is available upon request. Entrust Capital Diversified Fund Qualitative Compliance Senior Managing Director, Robert Kaplan, elected to retire in the first quarter. Mr. Kaplan was member of the six-person Global Investment Committee for EnTrust. Redemptions from the Diversified Fund were $367 million in the first quarter, bringing total fund AUM to $1.6 billion. While $310 million of the redemptions were attributed to clients transitioning to strategic partnerships, the fund's assets have declined over the past years from a peak of $5 billion in 2014. This has been due to challenged performance and organizational changes. EnTrust combined their business with that of The Permal Group, a global alternative asset manager. The deal closed in mid – 2016. Pavilion believes the acquisition by Permal has shifted the organization’s focus away from the Diversified Fund and we do not have confidence that performance will rebound. Entrust Capital Diversified Fund Performance Compliance EnTrust has underperformed its benchmark over the trailing 1-, 3-, and 5-year periods. Since late 2016, a 3% allocation to the portfolio's Tail Risk Hedge has been the most significant detractor. Also, activist equity and merger arbitrage managers have been notable detractors. Performance Summary Compliance Checklist As of March 31, 2018 Performance compliance represents Pavilion’s view on manager performance relative to Pavilion’s expectations for performance, based primarily on manager investment philosophy and process. The three and five year return, rank and Sharpe ratio goals are as follows: the annualized return exceeds the benchmark’s return, the manager’s peer group rank is better than the 50th percentile, and the manager’s Sharpe ratio exceeds the benchmark’s.30 Asset Class Diversification 31 March 31, 2018 : $274,152,009 Target Allocation Actual Allocation Allocation Differences 0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 % Cash Account $1,618,581 Real Estate Composite $24,871,639 Hedge Funds Composite $35,982,445 Fixed Income Composite $98,382,288 Emerging International Equity Composite $11,929,922 Developed International Equity Composite $27,803,435 Small-Cap Equity Composite $18,186,369 Large-Cap Equity Composite $55,377,331 0.0% 10.0% 15.0% 35.0% 4.0% 10.0% 6.0% 20.0% 0.6% 9.1% 13.1% 35.9% 4.4% 10.1% 6.6% 20.2% 0.6% -0.9 % -1.9 % 0.9% 0.4% 0.1% 0.6% 0.2% Asset Class Diversification Investment Policy Allocation As of March 31, 2018 32 *Totals may not add to exactly 100.0% due to rounding. Asset Class Diversification Investment Pr ogram Structure Asse t C lass/Type Manage r To tal Asse ts ($, mi l.) as of 3/31/2018 Pe rce nt of Total Targe t Al locati on Weighti ng Re lati ve to Targe t Al lowabl e Range Total Asse ts ($, mi l.) as o f 12/31/2017 Large -Cap Equi ty $55.4 20.2%20.0%+0.2%15 - 2 5%$57.5 Co re Bla ckRo ck $55.4 20.2%20.0%+0.2%$57.5 Smal l-Cap Eq uity $18.2 6.6%6.0%+0.6%2 - 8 %$18.7 Va lu e Ke nnedy $8.9 3.3%3.0%+0.3%$9.5 Gr owth Time sSquare $9.2 3.4%3.0%+0.4%$9.3 Inte rn ational Equity $39.7 14.5%14.0%+0.5%$40.8 De veloped Morgan St anley $27.8 10.1%10.0%+0.1%5 - 1 5%$28.7 Eme rg in g Marke ts Morgan St anley $11.9 4.4%4.0%+0.4%2 - 8 %$12.1 Fixe d Income $98.4 35.9%35.0%+0.9%$99.0 Do me stic Core In come Re search $38.9 14.2%14.0%+0.2%10 - 2 0%$39.3 Gl obal Bra ndywin e Gl obal $25.7 9.4%9.0%+0.4%4 - 1 4%$25.5 Do me stic Core Plus Pru dential $33.8 12.3%12.0%+0.3%10 - 2 0%$34.3 He dge Funds $36.0 13.1%15.0%-1.9%0 - 2 0% $35.9 He dge Fu nds Li ghthous e Gl obal $19.7 7.2%7.5%-0.3%$19.3 He dge Fu nds En trust $16.3 6.0%7.5%-1.5%$16.5 Re al Es tate $24.9 9.1%10.0%-0.9%$24.5 Re al Estate UBS Tru mb ull $24.9 9.1%10.0%-0.9%0 - 1 2%$24.5 Cash $1.6 0.6%0.0%+0.6%$1.7 Ca sh A ccount Ca sh A ccount $1.6 0.6%0.0%+0.6%$1.7 Total $274.2 100.0%100.0%+0.0%$278.1 33 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)119,427 112,311 Median Mkt. Cap ($M)9,994 1,774 Price/Earnings ratio 18.0 17.5 Price/Book ratio 3.0 2.7 5 Yr. EPS Growth Rate (%)14.7 12.5 Current Yield (%)1.8 2.4 Debt to Equity -1.9 0.6 Number of Stocks 1,245 8,593 Beta (3 Years, Monthly)0.94 1.00 Consistency (3 Years, Monthly)38.89 0.00 Sharpe Ratio (3 Years, Monthly)0.77 0.81 Information Ratio (3 Years, Monthly)-0.44 - Up Market Capture (3 Years, Monthly)95.18 100.00 Down Market Capture (3 Years, Monthly)98.65 100.00 Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 1.7 1.6 0.1 -0.5 Prudential PLC 1.4 0.1 1.3 0.7 Microsoft Corp 1.3 1.3 0.0 7.2 Tencent Holdings LTD 1.3 0.6 0.7 0.5 Reckitt Benckiser Group PLC 1.2 0.1 1.1 -8.0 Amazon.com Inc 1.1 1.1 0.0 23.8 British American Tobacco PLC 1.1 0.3 0.8 -12.2 Glaxosmithkline PLC 1.1 0.2 0.9 10.5 L'Oreal S.A., Paris 1.0 0.1 0.9 1.7 Pernod-Ricard 0.9 0.1 0.8 5.2 % of Portfolio 12.1 5.5 6.6 Distribution of Market Capitalization (%) Equity Composite MSCI AC World IMI 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 35.4 29.8 21.9 12.9 0.0 37.7 27.2 24.4 10.5 0.2 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 Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.0 0.2 2.0 1.6 3.0 4.1 19.5 11.8 11.9 17.4 5.0 12.5 10.9 0.0 0.0 2.9 2.6 3.9 5.8 18.2 11.7 10.6 18.0 5.9 8.0 12.5 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World IMI As of March 31, 2018 Equity composite holdings are a consolidation of the underlying manager exposures weighted by the ending market value. Cash holdings for certain managers may not be included. 34 Total Equity Composite MSCI AC World IMI Canada 0.8 3.0 United States 62.2 49.7 Australia 0.0 2.1 Hong Kong 2.5 2.6 New Zealand 0.0 0.1 Singapore 0.2 0.7 Pacific ex Japan 2.6 5.5 Japan 3.6 8.5 Austria 0.1 0.1 Belgium 0.0 0.4 Bermuda 0.4 0.3 Denmark 0.3 0.6 Finland 0.2 0.4 France 4.6 3.0 Germany 2.7 3.0 Ireland 1.4 1.2 Italy 0.0 0.8 Netherlands 1.8 1.8 Norway 0.0 0.3 Portugal 0.2 0.1 Spain 0.3 1.0 Sweden 0.1 1.0 Switzerland 2.2 2.8 Europe ex UK 14.4 16.9 United Kingdom 6.5 5.4 Israel 0.0 0.2 Middle East 0.0 0.2 Developed Markets 90.2 89.3 Total Equity Composite MSCI AC World IMI China 1.5 1.9 India 0.9 1.1 Indonesia 0.5 0.3 Korea 1.3 1.9 Malaysia 0.5 0.3 Philippines 0.3 0.1 Taiwan 0.9 1.5 Thailand 0.0 0.3 EM Asia 6.0 7.3 Czech Republic 0.0 0.0 Greece 0.0 0.0 Hungary 0.1 0.0 Poland 0.5 0.1 Russia 0.5 0.4 Turkey 0.0 0.1 EM Europe 1.1 0.8 Brazil 0.7 0.9 Cayman Islands 0.0 0.0 Chile 0.1 0.1 Colombia 0.0 0.0 Mexico 0.3 0.4 Peru 0.0 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.2 1.4 Egypt 0.1 0.0 Qatar 0.0 0.1 South Africa 0.6 0.8 United Arab Emirates 0.0 0.1 EM Mid East+Africa 0.7 1.0 Emerging Markets 9.0 10.5 Frontier Markets 0.3 0.0 Cash 0.2 0.0 Other 0.3 0.2 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World IMI As of March 31, 2018 Equity composite holdings are a consolidation of the underlying manager exposures weighted by the ending market value. Cash holdings for certain managers may not be included. 35 Portfolio Characteristics Portfolio Benchmark Effective Duration 4.6 3.9 Avg. Maturity 6.6 4.3 Avg. Quality BB AA Yield To Maturity (%)3.6 2.8 Credit Quality Distribution (%) Fixed Income Composite Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBCCCNRBelow C62.3 6.7 14.2 15.7 0.6 0.0 0.0 0.5 0.0 41.7 7.1 20.7 20.9 4.7 2.3 0.1 2.5 0.0 Historical Statistics - 5 Years Up Market Capture Down Market Capture Maximum Drawdown Fixed Income Composite 147.3 152.5 -5.9 Blmbg. Barc. Intermed. U.S. Government/Credit 100.0 100.0 -2.5 Maturity Distribution (%) Fixed Income Composite Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 Less than 1 Yr1 to 3 Yrs3 to 5 Yrs5 to 7 Yrs7 to 10 YrsGreater than 10 Yrs1.8 37.0 27.8 16.8 16.1 0.5 8.6 25.8 25.7 14.0 13.7 12.3 Sector Distribution (%) Fixed Income Composite Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 50.0 100.0 -50.0 U.S. TreasuryU.S. AgencyIG CreditAgency RMBSNon-Agency RMBSCMBSABSHigh Yield CreditNon-US SovereignEM DebtBank LoansMunicipalsCashOther57.9 5.3 36.8 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 19.1 3.7 30.1 0.2 0.6 6.8 14.3 2.7 15.1 5.9 0.4 1.3 -0.5 0.4 Manager Evaluation Fixed Income Composite vs. Blmbg. Barc. Intermed. U.S. Government/Credit As of March 31, 2018 36 Manager Evaluation 37 Historical Performance (%) Risk and Return - monthly periodicity (Apr - 2013 - Mar - 2018)Three Year Rolling Percentile Ranking (10 Years) Historical Statistics - monthly periodicity (Apr-2013 - Mar-2018) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 BlackRock Russell 1000 Index Fund Non-Lending -0.7 -0.7 13.9 10.3 13.1 9.6 21.6 12.1 0.9 13.2 33.1 16.4 1.5 16.1 28.5 -37.6 Russell 1000 Index -0.7 -0.7 14.0 10.4 13.2 9.6 21.7 12.1 0.9 13.2 33.1 16.4 1.5 16.1 28.4 -37.6 eV Large Cap All Median -0.8 -0.8 13.3 9.1 12.3 9.1 21.3 9.5 0.0 11.5 33.1 15.0 0.0 14.5 28.4 -37.0 BlackRock Russell 1000 Index Fund Non-Lending Rank 47 47 48 32 34 40 48 34 43 29 51 33 36 33 50 55 BlackRock Russell 1000 Index Fund Non-Lending Russell 1000 Index 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 13.1 13.2 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 Risk (Standard Deviation %) Russell 1000 Index BlackRock Russell 1000 Index Fund Non-Lending Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Period BlackRock Russell 1000 Index Fund Non-Lending 13.1 9.8 12.6 0.0 1.0 1.3 0.0 -1.1 5.2 36.7 15y Russell 1000 Index 13.2 9.8 12.6 0.0 1.0 1.3 0.0 --5.2 0.0 15y 90 Day U.S. Treasury Bill 0.3 0.1 0.0 0.3 0.0 --9.8 -1.3 0.0 28.3 15y Manager Evaluation BlackRock Russell 1000 Index Fund Non-Lending vs. Russell 1000 Index As of March 31, 2018 Holdings Data as of Mar-2018. 38 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)177,282 177,282 Median Mkt. Cap ($M)10,406 10,406 Price/Earnings ratio 21.2 21.2 Price/Book ratio 3.3 3.3 5 Yr. EPS Growth Rate (%)14.5 14.5 Current Yield (%)1.9 1.9 Debt to Equity 1.2 1.2 # of Securities 975 975 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)36.67 0.00 Sharpe Ratio (5 Years, Monthly)1.28 1.28 Information Ratio (5 Years, Monthly)-1.14 - Up Market Capture (5 Years, Monthly)99.87 100.00 Down Market Capture (5 Years, Monthly)100.00 100.00 Active Share 0.0 -- Top Ten Equity Holdings Portfolio Weight (%) Bmk Weight (%) Qtr Return (%) Contribution to Return (%) Apple Inc 3.4 3.4 -0.5 0.0 Microsoft Corp 2.7 2.7 7.2 0.2 Amazon.com Inc 2.3 2.3 23.8 0.6 Berkshire Hathaway Inc 1.5 1.5 0.6 0.0 JPMorgan Chase & Co 1.5 1.5 3.4 0.1 Facebook Inc 1.5 1.5 -9.4 -0.1 Johnson & Johnson 1.4 1.4 -7.7 -0.1 Exxon Mobil Corp 1.3 1.3 -9.9 -0.1 Google Inc (Class C)1.2 1.2 -1.4 0.0 Alphabet Inc 1.2 1.2 -1.5 0.0 % of Portfolio 18.0 18.0 0.4 Market Cap Breakout (%) BlackRock Russell 1000 Index Fund Non-Lending Russell 1000 Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 51.3 27.9 18.3 2.4 51.3 27.9 18.3 2.4 Sector Weights (%) BlackRock Russell 1000 Index Fund Non-Lending Russell 1000 Index 0.0 6.0 12.0 18.0 24.0 30.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.8 1.9 3.4 3.2 24.5 10.5 13.1 14.9 5.6 7.2 12.9 2.8 1.9 3.4 3.2 24.5 10.5 13.1 14.9 5.6 7.2 12.9 Manager Evaluation BlackRock Russell 1000 Index Fund Non-Lending vs. Russell 1000 Index As of March 31, 2018 Holdings Data as of Mar-2018. 39 Historical Performance (%) Buy and Hold Attribution (%) Risk and Return - monthly periodicity (Apr - 2013 - Mar - 2018)Three Year Rolling Percentile Ranking (10 Years) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Kennedy Mid Cap Value -2.1 -2.1 11.0 7.3 11.7 11.2 18.0 22.9 -9.9 15.8 33.3 13.6 -0.8 27.0 34.8 -27.0 Russell Midcap Value Index -2.5 -2.5 6.5 7.2 11.1 9.8 13.3 20.0 -4.8 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 eV Mid Cap Value Median -2.1 -2.1 7.9 7.5 11.1 9.7 14.5 17.3 -3.8 10.1 35.3 16.0 -1.5 21.6 34.5 -36.5 Kennedy Mid Cap Value Rank 51 51 18 53 37 15 15 14 96 5 72 77 44 9 49 5 Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 10.0 10.5 11.0 11.5 12.0 12.5 Return (%)9.2 9.6 10.0 10.4 10.8 11.2 11.6 12.0 12.4 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value Average Active Weight 0.0 4.0 8.0-4.0-8.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -1.0 -0.5 -2.7 2.6 3.4 0.9 -0.4 -3.5 0.8 -1.6 -0.8 2.9 Allocation (Total: 0.6) 0.0 0.4 0.8-0.4-0.8 0.0 0.0 0.3 0.0 0.5 0.0 0.0 -0.2 0.0 0.1 0.0 0.0 Stock (Total: 1.5) 0.0 2.0 4.0-2.0 -0.5 0.0 0.0 0.5 0.5 1.5 -0.4 0.0 -0.4 0.1 0.3 0.0 Total 0.0 0.8 1.6 2.4-0.8-1.6 -0.5 0.0 0.3 0.4 1.0 1.5 -0.4 -0.2 -0.5 0.1 0.3 0.0 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 40 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)11,272 13,997 Median Mkt. Cap ($M)9,518 7,309 Price/Earnings ratio 15.9 17.2 Price/Book ratio 2.3 2.1 5 Yr. EPS Growth Rate (%)21.8 10.3 Current Yield (%)1.9 2.3 Debt to Equity 0.7 0.9 # of Securities 59 582 Beta (5 Years, Monthly)1.08 1.00 Consistency (5 Years, Monthly)56.67 0.00 Sharpe Ratio (5 Years, Monthly)1.00 1.06 Information Ratio (5 Years, Monthly)0.21 - Up Market Capture (5 Years, Monthly)106.45 100.00 Down Market Capture (5 Years, Monthly)107.50 100.00 Active Share 87.7 -- Top Ten Equity Holdings Portfolio Weight (%) Bmk Weight (%) Qtr Return (%) Contribution to Return (%) ON Semiconductor Corp 2.8 0.0 16.8 0.5 Teledyne Technologies Inc.2.7 0.2 3.3 0.1 Reinsurance Group of America Inc.2.5 0.3 -0.9 0.0 Westlake Chemical Corp 2.5 0.1 4.5 0.1 Kirby Corp 2.2 0.1 15.2 0.3 Torchmark Corp 2.2 0.2 -7.1 -0.2 Lear Corp 2.1 0.1 5.7 0.1 Reliance Steel & Aluminum Co 2.1 0.2 0.5 0.0 Roper Technologies Inc 2.1 0.0 8.5 0.2 CenterPoint Energy Inc.2.1 0.3 -2.4 0.0 % of Portfolio 23.3 1.5 1.1 Market Cap Breakout (%) Kennedy Mid Cap Value 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 24.0 64.5 11.5 0.0 11.2 77.6 8.4 2.9 Sector Weights (%) Kennedy Mid Cap Value Russell Midcap Value Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 7.7 0.0 11.2 8.4 10.6 14.0 4.4 18.6 8.6 4.4 12.0 10.2 0.5 13.6 5.6 6.7 12.1 6.4 21.0 8.1 3.9 11.8 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 41 Historical Performance (%) Buy and Hold Attribution (%) Risk and Return - monthly periodicity (Apr - 2013 - Mar - 2018)Three Year Rolling Percentile Ranking (10 Years) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 TimesSquare Small Cap Growth 3.6 3.6 20.7 8.7 11.7 11.9 21.1 8.4 1.0 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 Russell 2000 Growth Index 2.3 2.3 18.6 8.8 12.9 11.0 22.2 11.3 -1.4 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 eV Small Cap Growth Median 2.9 2.9 20.2 9.3 13.1 11.2 23.5 10.3 -1.6 3.0 44.8 14.1 -2.3 27.9 36.7 -41.8 TimesSquare Small Cap Growth Rank 39 39 45 60 70 33 61 65 31 82 35 60 17 59 54 7 TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 10.0 11.0 12.0 13.0 14.0 15.0 Return (%)11.4 12.0 12.6 13.2 13.8 14.4 15.0 15.6 Risk (Standard Deviation %) Russell 2000 Growth Index TimesSquare Small Cap Growth Average Active Weight 0.0 15.0-15.0-30.0 Utilities Telecommunication Services Real Estate Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.5 0.9 0.2 0.7 -3.0 4.5 6.2 -11.0 -0.2 0.9 -0.6 0.3 1.4 Allocation (Total: -0.6) 0.0 0.5 1.0-0.5-1.0 0.1 0.0 0.0 0.0 0.1 0.4 -0.3 -0.5 0.0 -0.1 0.0 0.0 -0.2 Stock (Total: 1.8) 0.0 0.8 1.6-0.8-1.6 0.0 0.1 0.3 0.0 0.0 0.8 0.5 0.1 -0.7 0.0 0.4 0.3 0.0 Total 0.0 0.8 1.6 2.4-0.8-1.6 0.0 0.1 0.3 0.0 0.0 1.2 0.2 -0.4 -0.7 -0.1 0.4 0.3 -0.2 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 42 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)2,899 2,960 Median Mkt. Cap ($M)2,019 1,024 Price/Earnings ratio 30.8 23.5 Price/Book ratio 3.9 4.1 5 Yr. EPS Growth Rate (%)18.7 16.2 Current Yield (%)0.7 0.7 Debt to Equity -0.2 0.8 # of Securities 101 1,188 Beta (5 Years, Monthly)0.84 1.00 Consistency (5 Years, Monthly)51.67 0.00 Sharpe Ratio (5 Years, Monthly)0.92 0.90 Information Ratio (5 Years, Monthly)-0.31 - Up Market Capture (5 Years, Monthly)86.91 100.00 Down Market Capture (5 Years, Monthly)83.88 100.00 Active Share 86.3 -- Top Ten Equity Holdings Portfolio Weight (%) Bmk Weight (%) Qtr Return (%) Contribution to Return (%) WEX Inc 2.9 0.0 10.9 0.3 ASGN Inc 2.8 0.4 27.4 0.8 MKS Instruments Inc 2.5 0.6 22.6 0.6 Bright Horizons Family Solutions Inc 2.4 0.0 6.1 0.1 Beacon Roofing Supply Inc 2.1 0.2 -16.8 -0.4 j2 Global Inc 1.9 0.3 5.7 0.1 WageWorks Inc 1.8 0.2 -27.1 -0.5 2U Inc 1.8 0.4 30.3 0.5 Cable One Inc 1.8 0.0 -2.1 0.0 Q2 Holdings Inc 1.8 0.1 23.6 0.4 % of Portfolio 21.8 2.2 2.0 Market Cap Breakout (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 50.0 100.0 150.0 $5 Bil - $20 Bil $0 - $5 Bil 10.6 89.4 13.5 86.5 Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Other Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.5 0.0 2.2 3.5 1.5 28.4 23.9 12.7 7.5 2.7 2.0 15.2 0.0 0.6 0.7 3.2 4.3 25.2 17.8 25.2 6.1 1.2 2.5 13.1 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 43 Historical Performance (%) Buy and Hold Attribution (%) Risk and Return - monthly periodicity (Apr - 2013 - Mar - 2018)Three Year Rolling Percentile Ranking (10 Years) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Morgan Stanley International Equity Fund I -1.5 -1.5 13.7 4.9 5.3 3.4 25.2 -2.0 0.4 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 MSCI EAFE (Net)-1.5 -1.5 14.8 5.6 6.5 2.7 25.0 1.0 -0.8 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 Custom Non US Diversified All Median -0.8 -0.8 16.5 6.6 7.3 3.7 26.8 1.1 -0.6 -4.3 21.6 18.5 -12.5 11.7 34.7 -43.3 Morgan Stanley International Equity Fund I Rank 70 70 79 82 91 58 67 81 41 76 59 37 14 90 95 6 Morgan Stanley International Equity Fund I MSCI EAFE (Net) 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 3.0 4.0 5.0 6.0 7.0 8.0 Return (%)10.8 11.0 11.2 11.4 11.6 11.8 12.0 12.2 Risk (Standard Deviation %) MSCI EAFE (Net) Morgan Stanley International Equity Fund I Average Active Weight 0.0 20.0 40.0-20.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.1 -2.1 -3.0 -2.6 2.6 -2.2 4.9 -5.4 -2.4 20.4 -7.9 0.8 Allocation (Total: -0.2) 0.0 0.2-0.2-0.4 -0.1 0.0 0.0 0.1 0.1 0.0 0.0 0.0 0.0 0.0 -0.2 -0.1 Stock (Total: 0.9) 0.0 0.9 1.8 2.7-0.9-1.8 0.0 -0.1 0.0 -0.5 -0.1 -0.2 0.3 0.0 0.3 1.3 0.1 0.0 Total (Total: 0.7) 0.0 0.7 1.4 2.1-0.7-1.4 -0.1 -0.1 0.0 -0.5 0.0 -0.2 0.3 0.0 0.3 1.2 -0.1 -0.1 Manager Evaluation Morgan Stanley International Equity Fund I vs. MSCI EAFE (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 44 Total Attribution (%) 0.0 0.3 0.6 0.9 1.2 1.5 1.8-0.3-0.6-0.9-1.2-1.5 United Kingdom Pacific ex Japan Other North America Middle East Japan Europe ex UK EM Asia Cash -0.7 0.4 0.0 -0.2 0.0 0.9 0.2 0.1 -0.1 Performance Attribution (%) Average Active Weight 0.0 8.0 16.0-8.0-16.0 United Kingdom Pacific ex Japan Other North America Middle East Japan Europe ex UK EM Asia Cash 7.9 -6.8 -0.5 2.9 -0.5 -7.5 0.7 2.9 0.8 Allocation (Total: -0.5) 0.0 0.2 0.4-0.2-0.4-0.6 -0.2 0.2 0.0 -0.2 0.0 -0.2 -0.1 0.1 -0.1 Stock (Total: 1.2) 0.0 0.6 1.2 1.8 2.4-0.6-1.2 -0.5 0.2 0.0 0.0 0.0 1.2 0.2 0.0 0.0 Manager Evaluation Morgan Stanley International Equity Fund I vs. MSCI EAFE (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 45 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)91,576 60,077 Median Mkt. Cap ($M)43,277 11,587 Price/Earnings ratio 12.7 14.6 Price/Book ratio 2.4 2.1 5 Yr. EPS Growth Rate (%)13.3 9.5 Current Yield (%)1.9 3.3 Debt to Equity -11.9 -0.6 # of Securities 60 927 Beta (5 Years, Monthly)0.90 1.00 Consistency (5 Years, Monthly)38.33 0.00 Sharpe Ratio (5 Years, Monthly)0.49 0.57 Information Ratio (5 Years, Monthly)-0.28 - Up Market Capture (5 Years, Monthly)90.72 100.00 Down Market Capture (5 Years, Monthly)94.55 100.00 Active Share 87.3 -- Top Ten Equity Holdings Portfolio Weight (%) Bmk Weight (%) Qtr Return (%) Contribution to Return (%) Unilever NV 4.9 0.6 1.1 0.1 Reckitt Benckiser Group PLC 4.6 0.4 -8.0 -0.4 British American Tobacco PLC 4.3 0.9 -12.2 -0.5 Glaxosmithkline PLC 4.1 0.7 10.5 0.4 L'Oreal S.A., Paris 3.9 0.4 1.7 0.1 Pernod-Ricard 3.7 0.2 5.2 0.2 NOVARTIS AG 3.3 1.2 -0.2 0.0 Sanofi 3.2 0.6 -6.7 -0.2 SAP AG Systeme Anwendungen 2.9 0.7 -6.7 -0.2 Heineken NV 2.8 0.2 3.0 0.1 % of Portfolio 37.7 5.9 -0.5 Market Cap Breakout (%) Morgan Stanley International Equity Fund I MSCI EAFE (Net) 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 26.5 44.0 27.1 2.5 44.1 38.3 15.8 1.9 Sector Weights (%) Morgan Stanley International Equity Fund I MSCI EAFE (Net) 0.0 8.0 16.0 24.0 32.0 40.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.0 1.4 0.0 6.0 8.5 12.4 15.3 18.5 3.6 30.9 3.4 3.3 3.8 3.5 8.0 6.6 14.6 10.2 21.0 5.3 11.1 12.6 Manager Evaluation Morgan Stanley International Equity Fund I vs. MSCI EAFE (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 46 Morgan Stanley International Equity Fund I MSCI EAFE (Net) Canada 2.6 0.0 United States 0.3 0.0 Australia 0.0 6.5 Hong Kong 4.2 3.2 New Zealand 0.0 0.2 Singapore 0.0 1.4 Pacific ex Japan 4.2 11.2 Japan 14.6 24.6 Austria 0.0 0.3 Belgium 0.0 1.1 Bermuda 0.0 0.2 Denmark 1.3 1.8 Finland 0.7 1.0 France 18.3 10.2 Germany 10.7 9.7 Ireland 2.8 1.1 Italy 0.0 2.2 Netherlands 6.2 5.8 Norway 0.0 0.7 Portugal 0.7 0.2 Spain 1.1 3.2 Sweden 0.6 2.6 Switzerland 7.7 8.5 Europe ex UK 50.1 48.7 United Kingdom 24.3 14.6 Israel 0.0 0.5 Middle East 0.0 0.5 Developed Markets 96.3 99.5 Morgan Stanley International Equity Fund I MSCI EAFE (Net) China 1.1 0.0 India 0.0 0.0 Indonesia 0.0 0.0 Korea 2.7 0.0 Malaysia 0.0 0.0 Philippines 0.0 0.0 Taiwan 0.0 0.0 Thailand 0.0 0.0 EM Asia 3.7 0.0 Czech Republic 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.0 0.0 Russia 0.0 0.0 Turkey 0.0 0.0 EM Europe 0.0 0.0 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 Egypt 0.0 0.0 Qatar 0.0 0.0 South Africa 0.0 0.0 United Arab Emirates 0.0 0.0 EM Mid East+Africa 0.0 0.0 Emerging Markets 3.7 0.0 Frontier Markets 0.0 0.0 Cash 0.0 0.0 Other 0.0 0.5 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity Fund I vs. MSCI EAFE (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 47 Historical Performance (%) Buy and Hold Attribution (%) Risk and Return - monthly periodicity (Apr - 2013 - Mar - 2018)Three Year Rolling Percentile Ranking (10 Years) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Morgan Stanley Emerging Markets Fund I 1.9 1.9 23.5 8.4 4.3 2.2 35.0 6.7 -10.3 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 MSCI Emerging Markets (Net)1.4 1.4 24.9 8.8 5.0 3.0 37.3 11.2 -14.9 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 eV International Emerging Equity Median 1.3 1.3 22.8 8.8 5.2 3.6 35.9 8.7 -12.9 -1.1 0.0 19.6 -18.6 21.3 78.7 -53.1 Morgan Stanley Emerging Markets Fund I Rank 40 40 48 55 70 85 57 65 32 79 61 43 49 71 82 74 Morgan Stanley Emerging Markets Fund I MSCI Emerging Markets (Net) 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 3.0 3.6 4.2 4.8 5.4 6.0 Return (%)12.5 13.0 13.5 14.0 14.5 15.0 15.5 16.0 Risk (Standard Deviation %) MSCI Emerging Markets (Net) Morgan Stanley Emerging Markets Fund I Average Active Weight 0.0 8.0 16.0-8.0-16.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -1.7 -2.6 -1.3 -4.5 -3.7 0.0 0.2 7.4 -2.5 1.5 6.5 0.8 Allocation (Total: -0.5) 0.0 0.4-0.4-0.8 0.0 0.1 0.1 0.0 0.0 0.0 0.0 0.1 -0.2 0.0 -0.5 -0.2 Stock (Total: 0.4) 0.0 0.3 0.6-0.3-0.6 -0.1 -0.2 0.0 -0.1 0.1 0.2 0.2 0.2 0.3 -0.3 0.2 0.0 Total 0.0 0.3 0.6-0.3-0.6 -0.1 -0.1 0.0 -0.1 0.1 0.2 0.2 0.3 0.1 -0.2 -0.2 -0.2 Manager Evaluation Morgan Stanley Emerging Markets Fund I vs. MSCI Emerging Markets (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 48 Total Attribution (%) 0.0 0.2 0.4 0.6 0.8 1.0 1.2-0.2-0.4-0.6-0.8-1.0-1.2-1.4-1.6-1.8 Pacific ex Japan Other North America Frontier Markets Europe ex UK EM Mid East+Africa EM Latin America EM Europe EM Asia Cash 0.2 0.0 -0.1 0.2 0.3 0.1 0.4 -0.1 -1.0 -0.2 Performance Attribution (%) Average Active Weight 0.0 8.0 16.0-8.0-16.0-24.0 Pacific ex Japan Other North America Frontier Markets Europe ex UK EM Mid East+Africa EM Latin America EM Europe EM Asia Cash 0.2 2.0 0.3 3.7 4.4 -2.8 0.5 4.0 -13.1 0.8 Allocation (Total: -0.1) 0.0 0.5 1.0-0.5-1.0-1.5 0.0 -0.8 -0.1 0.4 0.3 0.2 0.0 0.0 0.1 -0.2 Stock (Total: -0.2) 0.0 0.8 1.6 2.4-0.8-1.6-2.4 0.3 0.8 0.0 -0.2 0.0 -0.1 0.4 -0.2 -1.1 0.0 Manager Evaluation Morgan Stanley Emerging Markets Fund I vs. MSCI Emerging Markets (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 49 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)87,387 92,893 Median Mkt. Cap ($M)14,245 6,090 Price/Earnings ratio 17.6 13.9 Price/Book ratio 2.8 2.4 5 Yr. EPS Growth Rate (%)11.1 12.4 Current Yield (%)1.9 2.5 Debt to Equity 0.8 0.8 # of Securities 116 846 Beta (5 Years, Monthly)0.87 1.00 Consistency (5 Years, Monthly)46.67 0.00 Sharpe Ratio (5 Years, Monthly)0.36 0.38 Information Ratio (5 Years, Monthly)-0.21 - Up Market Capture (5 Years, Monthly)87.72 100.00 Down Market Capture (5 Years, Monthly)88.18 100.00 Active Share 69.1 -- Top Ten Equity Holdings Portfolio Weight (%) Bmk Weight (%) Qtr Return (%) Contribution to Return (%) Tencent Holdings LTD 7.1 5.4 0.5 0.0 Taiwan Semiconductor Manufacturing 4.1 3.8 9.6 0.4 Alibaba Group Holding Ltd 3.1 3.8 6.4 0.2 China Construction Bank Corp 2.6 1.6 11.5 0.3 Itau Unibanco Holding SA 2.0 0.9 26.3 0.5 Banco Bradesco Sa Brad 1.8 0.7 17.2 0.3 Bank of China Ltd 1.8 0.8 9.5 0.2 Grupo Financiero Banorte 1.8 0.3 11.0 0.2 Sberbank of Russia OJSC 1.6 0.9 12.4 0.2 China Pacific Insurance (Group) Co Ltd 1.4 0.2 -6.8 -0.1 % of Portfolio 27.3 18.4 2.3 Market Cap Breakout (%) Morgan Stanley Emerging Markets Fund I MSCI Emerging Markets (Net) 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 27.4 27.9 33.2 11.4 26.4 21.5 40.6 11.5 Sector Weights (%) Morgan Stanley Emerging Markets Fund I MSCI Emerging Markets (Net) 0.0 8.0 16.0 24.0 32.0 40.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.6 1.8 1.6 2.5 22.0 5.4 3.5 33.9 4.9 8.3 15.5 2.4 4.6 2.8 7.3 27.8 5.2 2.8 24.0 7.2 6.5 9.5 Manager Evaluation Morgan Stanley Emerging Markets Fund I vs. MSCI Emerging Markets (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 50 Morgan Stanley Emerging Markets Fund I MSCI Emerging Markets (Net) Canada 0.0 0.0 United States 0.0 0.1 Australia 0.0 0.0 Hong Kong 13.4 12.7 New Zealand 0.0 0.0 Singapore 0.0 0.0 Pacific ex Japan 13.4 12.7 Japan 0.0 0.0 Austria 1.1 0.0 Belgium 0.0 0.0 Bermuda 0.9 0.3 Denmark 0.0 0.0 Finland 0.0 0.0 France 0.0 0.0 Germany 0.9 0.0 Ireland 0.0 0.0 Italy 0.0 0.0 Netherlands 1.5 0.0 Norway 0.0 0.0 Portugal 0.5 0.0 Spain 0.0 0.0 Sweden 0.0 0.0 Switzerland 0.0 0.0 Europe ex UK 4.8 0.3 United Kingdom 0.0 0.0 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 18.2 13.1 Morgan Stanley Emerging Markets Fund I MSCI Emerging Markets (Net) China 11.4 17.1 India 9.0 8.1 Indonesia 4.6 2.0 Korea 6.5 15.1 Malaysia 5.2 2.5 Philippines 3.0 1.0 Taiwan 8.4 11.8 Thailand 0.0 2.4 EM Asia 48.1 60.1 Czech Republic 0.0 0.2 Greece 0.0 0.3 Hungary 1.4 0.3 Poland 4.8 1.2 Russia 4.5 3.6 Turkey 0.0 1.0 EM Europe 10.6 6.6 Brazil 7.0 7.5 Cayman Islands 0.0 0.0 Chile 1.3 1.2 Colombia 0.0 0.4 Mexico 3.3 2.9 Peru 0.0 0.1 Virgin Islands 0.0 0.0 EM Latin America 11.7 12.1 Egypt 0.7 0.1 Qatar 0.0 0.5 South Africa 5.8 6.7 United Arab Emirates 0.0 0.6 EM Mid East+Africa 6.5 7.9 Emerging Markets 76.9 86.7 Frontier Markets 2.9 0.1 Cash 0.0 0.0 Other 2.0 0.1 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets Fund I vs. MSCI Emerging Markets (Net) As of March 31, 2018 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. Holdings Data as of Mar-2018. 51 Historical Performance (%) Three Year Rolling Percentile Ranking (10 Years)Risk and Return - monthly periodicity (Apr-2013 - Mar-2018) Historical Statistics - monthly periodicity (Apr-2013 - Mar-2018) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Income Research -1.1 -1.1 0.2 0.8 1.2 3.6 2.0 2.3 0.9 3.3 -0.9 5.9 5.6 6.2 14.4 0.8 Blmbg. Barc. Intermed. U.S. Government/Credit -1.0 -1.0 0.4 0.9 1.2 2.9 2.1 2.1 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 eV US Intermediate Fixed Income Median -1.0 -1.0 0.5 1.0 1.3 3.3 2.3 2.1 1.0 3.3 -0.8 4.7 5.7 6.1 7.7 3.7 Income Research Rank 71 71 86 67 63 34 80 42 60 51 58 24 58 46 12 73 Income Research Blmbg. Barc. Intermed. U.S. Government/Credit 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 1.1 1.2 1.3 1.4 1.5 Return (%)2.0 2.1 2.2 Risk (Standard Deviation %) Blmbg. Barc. Intermed. U.S. Government/Credit Income Research Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Period Income Research 1.2 2.1 0.9 0.0 1.0 0.4 0.3 -0.2 1.4 43.3 17y 7m Blmbg. Barc. Intermed. U.S. Government/Credit 1.2 2.1 1.0 0.0 1.0 0.4 0.0 --1.4 0.0 17y 7m 90 Day U.S. Treasury Bill 0.3 0.1 0.0 0.3 0.0 --2.2 -0.4 0.0 45.0 17y 7m Manager Evaluation Income Research vs. Blmbg. Barc. Intermed. U.S. Government/Credit As of March 31, 2018 52 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.9 3.9 Avg. Maturity 4.5 4.3 Avg. Quality A+AA Yield To Maturity (%)3.0 2.8 Credit Quality Distribution (%) Income Research Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBNR62.3 6.7 14.2 15.7 0.6 0.5 57.5 2.9 13.8 25.8 0.0 0.0 Historical Statistics - 5 Years Up Market Capture Down Market Capture Maximum Drawdown Income Research 95.0 94.5 -2.8 Blmbg. Barc. Intermed. U.S. Government/Credit 100.0 100.0 -2.5 Maturity Distribution (%) Income Research Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 Less than 1 Yr1 to 3 Yrs3 to 5 Yrs5 to 7 Yrs7 to 10 YrsGreater than 10 Yrs1.8 37.0 27.8 16.8 16.1 0.5 9.2 28.1 40.7 10.3 11.7 0.0 Sector Distribution (%) Income Research Blmbg. Barc. Intermed. U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 U.S. TreasuryU.S. AgencyIG CreditAgency RMBSCMBSABSMunicipalsCash57.9 5.3 36.8 0.0 0.0 0.0 0.0 0.0 36.9 4.1 40.2 0.5 7.4 8.4 2.3 0.3 Manager Evaluation Income Research vs. Blmbg. Barc. Intermed. U.S. Government/Credit As of March 31, 2018 53 Historical Performance (%) Three Year Rolling Percentile Ranking (10 Years)Risk and Return - monthly periodicity (Apr-2013 - Mar-2018) Historical Statistics - monthly periodicity (Apr-2013 - Mar-2018) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Prudential Core Plus Bond Fund -1.3 -1.3 3.4 2.8 3.2 5.8 6.6 5.8 -0.1 7.1 -1.0 10.6 7.6 9.6 18.7 -2.1 Blmbg. Barc. U.S. Aggregate -1.5 -1.5 1.2 1.2 1.8 3.6 3.5 2.6 0.5 6.0 -2.0 4.2 7.8 6.5 5.9 5.2 eV Core Plus Fixed Income Median -1.3 -1.3 2.0 1.9 2.4 4.7 4.7 4.5 -0.2 5.7 -0.5 8.8 6.8 8.8 16.1 -4.7 Prudential Core Plus Bond Fund Rank 59 59 7 10 9 15 6 23 49 12 72 26 29 38 39 33 Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 0.0 2.0 4.0 6.0 Return (%)2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2 Risk (Standard Deviation %) Blmbg. Barc. 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 Period Prudential Core Plus Bond Fund 3.2 3.7 2.9 1.0 1.2 0.8 1.3 1.1 2.4 65.0 17y 10m Blmbg. Barc. U.S. Aggregate 1.8 2.9 1.5 0.0 1.0 0.5 0.0 --1.9 0.0 17y 10m 90 Day U.S. Treasury Bill 0.3 0.1 0.0 0.3 0.0 --2.9 -0.5 0.0 43.3 17y 10m Manager Evaluation Prudential Core Plus Bond Fund vs. Blmbg. Barc. U.S. Aggregate As of March 31, 2018 54 Portfolio Characteristics Portfolio Benchmark Effective Duration 6.3 6.3 Avg. Maturity 7.8 8.3 Avg. Quality N/A AA+ Yield To Maturity (%)4.2 3.1 Credit Quality Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBCCCNRBelow C69.7 4.9 11.0 12.9 0.5 0.0 0.0 1.0 0.0 38.6 6.0 16.9 21.5 5.2 5.9 0.3 5.6 0.0 Historical Statistics - 5 Years Up Market Capture Down Market Capture Maximum Drawdown Prudential Core Plus Bond Fund 138.7 116.9 -4.9 Blmbg. Barc. U.S. Aggregate 100.0 100.0 -3.7 Maturity Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 10.0 20.0 30.0 40.0 Less than 1 Yr1 to 3 Yrs3 to 5 Yrs5 to 7 Yrs7 to 10 YrsGreater than 10 Yrs1.0 20.9 18.3 16.6 27.3 16.1 2.2 14.9 19.8 26.5 22.6 14.0 Sector Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 20.0 40.0 60.0 -20.0 U.S. TreasuryU.S. AgencyIG CreditAgency RMBSCMBSABSHigh Yield CreditNon-US SovereignEM DebtBank LoansMunicipalsCashOther37.2 3.3 28.9 28.2 1.9 0.5 0.0 0.0 0.0 0.0 0.0 0.0 0.01.7 2.3 25.5 0.1 11.3 31.9 8.0 8.7 9.8 1.0 1.1 -2.5 1.1 Manager Evaluation Prudential Core Plus Bond Fund vs. Blmbg. Barc. U.S. Aggregate As of March 31, 2018 55 Historical Performance (%) Three Year Rolling Percentile Ranking (10 Years)Risk and Return - monthly periodicity (Apr-2013 - Mar-2018) Historical Statistics - monthly periodicity (Apr-2013 - Mar-2018) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Brandywine Global Opportunistic Fixed Income 3.8 3.8 11.4 4.3 3.0 5.8 12.8 5.2 -8.4 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 Citigroup World Government Bond Index 2.5 2.5 8.5 3.5 1.2 2.0 7.5 1.6 -3.6 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 eV Global Fixed Income Median 0.4 0.4 5.0 3.2 2.6 4.1 7.8 4.5 -2.9 1.9 0.4 9.9 4.1 7.7 17.2 -5.4 Brandywine Global Opportunistic Fixed Income Rank 4 4 14 26 43 24 12 42 88 15 81 24 12 18 44 56 Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0 25 50 75 100Return Percentile Rank6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 3/18 -2.0 0.0 2.0 4.0 6.0 Return (%)4.8 5.4 6.0 6.6 7.2 7.8 8.4 9.0 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 Period Brandywine Global Opportunistic Fixed Income 3.0 7.4 2.9 1.9 1.1 0.4 4.7 0.4 4.9 51.7 13y 3m Citigroup World Government Bond Index 1.2 5.4 1.0 0.0 1.0 0.2 0.0 --4.0 0.0 13y 3m 90 Day U.S. Treasury Bill 0.3 0.1 0.0 0.3 0.0 --5.4 -0.2 0.0 45.0 13y 3m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of March 31, 2018 56 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.6 8.0 Avg. Maturity 8.2 9.1 Avg. Quality A AA Yield To Maturity (%)3.9 1.4 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBCCCNR12.4 51.7 27.4 8.6 0.0 0.0 0.0 0.0 22.0 15.0 36.0 12.7 11.0 1.1 0.1 2.2 Historical Statistics - 5 Years Up Market Capture Down Market Capture Maximum Drawdown Brandywine Global Opportunistic Fixed Income 112.0 85.7 -11.1 Citigroup World Government Bond Index 100.0 100.0 -9.4 Maturity Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 15.0 30.0 45.0 60.0 Less than 1 Yr1 to 3 Yrs3 to 5 Yrs5 to 7 Yrs7 to 10 YrsGreater than 10 Yrs0.0 24.0 19.2 12.4 13.5 30.9 16.0 36.9 10.6 3.1 4.9 28.5 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 50.0 100.0 -50.0 U.S. TreasuryU.S. AgencyIG CreditNon-Agency RMBSNon-US SovereignEM DebtCashOther33.5 0.0 0.0 0.0 66.5 0.0 0.0 0.0 14.9 4.8 20.8 2.4 46.7 9.6 0.9 0.0 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of March 31, 2018 57 Country/Region Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 10.0 20.0 30.0 40.0 50.0 60.0 Asia Ex. Japan Emerging Markets Eurozone Non-EMU Europe Japan U.K. U.S. Canada Other Cash 14.7 9.6 4.9 6.3 0.0 6.2 37.5 0.0 19.9 0.9 0.3 2.2 33.7 1.2 20.1 5.8 33.5 1.7 1.7 0.0 Currency Allocation (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 8.0 16.0 24.0 32.0 40.0 48.0 Asia Ex. Japan Emerging Markets Eurozone Non-EMU Europe Japan U.K. U.S. Canada Other Cash 10.0 17.0 0.3 27.4 12.0 6.2 17.6 0.0 8.6 0.9 0.3 2.2 33.7 1.2 20.1 5.8 33.5 1.7 1.7 0.0 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of March 31, 2018 58 Historical Performance (%) Comparative Performance and Rolling Return (10 Years)Risk and Return - monthly periodicity (Apr-2013 - Mar-2018) Historical Statistics - monthly periodicity (Apr-2013 - Mar-2018) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Lighthouse Global Long/Short Fund Limited 1.6 1.6 5.3 4.0 6.7 5.1 6.6 0.2 7.4 4.9 20.2 6.1 -2.1 5.2 10.1 -14.1 HFRI Equity Hedge (Total) Index 0.4 0.4 9.5 5.2 5.7 3.9 13.3 5.5 -1.0 1.8 14.3 7.4 -8.4 10.5 24.6 -26.7 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 9/16 3/18 4.0 5.0 6.0 7.0 8.0 Return (%)2.8 3.2 3.6 4.0 4.4 4.8 5.2 5.6 6.0 6.4 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 Period Lighthouse Global Long/Short Fund Limited 6.7 3.9 6.2 4.0 0.5 1.6 4.2 0.2 2.2 51.7 14y 3m HFRI Equity Hedge (Total) Index 5.7 5.4 5.3 0.0 1.0 1.0 0.0 --3.3 0.0 14y 3m 90 Day U.S. Treasury Bill 0.3 0.1 0.0 0.3 0.0 --5.4 -1.0 0.0 36.7 14y 3m Manager Evaluation Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index As of March 31, 2018 59 Gross/Net Exposures (%) Gross Exposure %Net Exposure % -100 0 100 200 300 400 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 Underlying Funds % in Top 5 Manager Count 0.0 15.0 30.0 45.0 -15.0Manager Count0.0 20.0 40.0 60.0 -20.0 % in Top 56/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 Market Cap Exposure (%) Net Gross 0.0 100.0 200.0 300.0-100.0 <$500m $500m - $2b $2b - $5b $5b - $15b >$15b Other Cash 0.5 6.7 3.9 23.7 0.0 -1.5 0.0 2.1 21.8 57.0 192.4 0.0 6.3 0.0 Sector Exposure (%) Net Gross 0.0 20.0 40.0 60.0 80.0-20.0 Consumer Discretionary Consumer Staples Energy Financials Healthcare Industrials Technology Materials Real Estate Telecommunications Utilities Other 1.4 1.6 1.0 6.8 6.7 2.0 9.5 4.8 0.0 -0.6 0.9 -0.9 56.5 16.9 14.4 36.6 38.9 32.7 40.3 16.3 17.8 1.8 3.1 4.0 Geographic Exposure (%) Net Gross 0.0 100.0 200.0-100.0 Asia ex-Japan Emerging Markets Europe Japan North America Other 6.6 -0.2 7.8 0.0 19.1 0.0 26.0 1.1 56.0 31.1 165.3 0.0 Manager Evaluation Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index As of March 31, 2018 60 Historical Performance (%) Comparative Performance and Rolling Return (10 Years)Risk and Return - monthly periodicity (Apr-2013 - Mar-2018) Historical Statistics - monthly periodicity (Apr-2013 - Mar-2018) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Entrust Capital Diversified Fund -1.3 -1.3 0.1 -3.2 0.7 2.3 2.1 -1.1 -7.3 1.8 13.2 7.4 -4.7 11.1 35.2 -26.0 HFRI Fund of Funds Composite Index 0.3 0.3 5.6 1.9 3.4 1.6 7.8 0.5 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 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 3/18 -3.0 0.0 3.0 6.0 9.0 Return (%)2.4 2.7 3.0 3.3 3.6 3.9 4.2 4.5 4.8 5.1 Risk (Standard Deviation %) 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 Period Entrust Capital Diversified Fund 0.7 4.4 0.5 -2.8 1.1 0.1 2.5 -1.0 3.2 38.3 14y 6m HFRI Fund of Funds Composite Index 3.4 3.4 3.1 0.0 1.0 0.9 0.0 --2.2 0.0 14y 6m 90 Day U.S. Treasury Bill 0.3 0.1 0.0 0.3 0.0 --3.4 -0.9 0.0 33.3 14y 6m Manager Evaluation Entrust Capital Diversified Fund vs. HFRI Fund of Funds Composite Index As of March 31, 2018 61 Strategy Contri. to Quarterly Return End of Quarter Alloc. Strategy Return Index Return Underlying Manager Return Low High Long/Short Equity 0.2 1.7 4.9 -0.6 4.9 4.9 Short Biased Equity -0.1 4.4 -2.8 ---2.8 -2.8 Event Driven Equity -0.8 21.3 -2.0 -0.9 -8.4 8.0 Event Driven Credit 0.1 22.9 -0.1 -0.5 -17.4 2.4 Multi-Strategy Event Driven -0.2 27.2 -0.7 -0.5 -5.1 3.2 Multi-Strategy -0.1 22.5 -0.6 -0.3 -18.8 3.1 Historical Allocation by Hedge Fund Strategy (%) Long/Short Equity Short Biased Equity Equity Market Neutral Global Macro Emerging Markets Convertible Arbitrage Fixed Income Arbitrage Multi-Strategy Relative Value Event Driven Equity Event Driven Credit Multi-Strategy Event Driven Direct Lending Multi-Strategy Other Cash Merger Arbitrage Distressed Managed Futures 0 15 30 45 60 75 90 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18Underlying Funds % in Top 5 Manager Count 0.0 20.0 40.0 60.0 -20.0Manager Count0.0 15.0 30.0 45.0 -15.0 % in Top 56/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 Manager Evaluation Entrust Capital Diversified Fund vs. HFRI Fund of Funds Composite Index As of March 31, 2018 62 Historical Performance Comparative Performance and Rolling Return Risk and Return (Apr-2013 - Mar-2018) Historical Statistics - Quarterly Periodicity (Apr-2013 - Mar-2018) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 UBS Trumbull Property Fund 1.7 1.7 6.1 7.3 8.5 4.2 5.3 6.0 11.7 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 NCREIF Property Index 1.7 1.7 7.1 8.7 10.0 6.1 7.0 8.0 13.3 11.8 11.0 10.5 14.3 13.1 -16.8 -6.5 Rolling 3 Years Active Return Quarterly Active Return 0.0 5.0 10.0 -5.0 -10.0Active Return (%)3/78 9/81 3/85 9/88 3/92 9/95 3/99 9/02 3/06 9/09 3/13 3/18 6.0 8.0 10.0 12.0 Return (%)-1.8 -0.9 0.0 0.9 1.8 2.7 3.6 4.5 5.4 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 Period UBS Trumbull Property Fund 8.5 1.4 8.0 -1.4 1.0 5.2 0.7 -1.9 0.0 20.0 40y 3m NCREIF Property Index 10.0 1.2 9.3 0.0 1.0 6.8 0.0 --0.0 0.0 40y 3m 90 Day U.S. Treasury Bill 0.3 0.2 0.0 1.5 -0.1 --1.4 -6.8 0.0 0.0 40y 3m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of March 31, 2018 63 Manager Evaluation UBS Tr umbull Property Fund vs. NCREIF Property Index As of March 31, 2018 Portfolio Characteristics Property Type Property Location Portfolio Benchmark # Properties 208 7,553 # Investors 430 N/A Leverage %17.2%N/A Income Return (gross of fees)1.1 1.7 Capital Growth Return (gross of fees)0.8 0.6 30.0 14.0 31.0 21.0 4.0 23.9 15.6 36.8 23.0 0.7 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 Residential Industrial Office Retail Other UBS Trumbull Property Fund NCREIF Property Index 34.0 38.0 15.0 13.0 32.7 38.7 20.1 8.6 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 45.0 East West South Midwest UBS Trumbull Property Fund NCREIF Property Index 64 Calendar Year Performance 65 YTD 2017 2016 2015 2014 2013 2012 2011 2010 2009 Total Composite 0.1 12.3 5.1 -0.7 2.9 10.9 12.1 1.2 11.2 20.2 Policy Benchmark -0.1 12.2 6.6 -1.4 3.5 12.3 11.6 1.1 11.5 19.5 Total Equity Composite -0.4 22.9 6.3 0.5 4.7 ---------- MSCI AC World Index -1.0 24.0 7.9 -2.4 4.2 22.8 16.1 -7.3 12.7 34.6 Domestic Equity Composite -0.4 20.1 9.6 1.9 10.1 ---------- Russell 3000 Index -0.6 21.1 12.7 0.5 12.6 33.6 16.4 1.0 16.9 28.3 International Equity Composite -0.5 28.0 0.3 -2.0 -5.5 ---------- MSCI AC World ex USA Index -1.2 27.2 4.5 -5.7 -3.9 15.3 16.8 -13.7 11.2 41.4 Fixed Income Composite 0.1 6.3 4.2 -2.1 2.4 -1.7 10.9 3.8 8.7 18.9 Barclays Intermediate U.S. Government/Credit -1.0 2.1 2.1 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 Hedge Funds Composite 0.3 4.5 -0.4 -------------- HFRI Fund of Funds Composite Index 0.3 7.8 0.5 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 Calendar Year Performance Composite Performance As of March 31, 2018 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 66 Appendix 67 Current Manager Fe e Schedule Investment performance calculated net of fees. * Incentive fees may be paid to underlying hedge fund managers.During 2016, the average incentive fee for managers in the Entrust Fund was 16.5% of profits.Some managers were subject to a hurdle rate.The average incentive fee for managers in the Lighthouse fee was 19.3% of profits.Some managers were subject to a hurdle rate. Fe e (%) Do mest ic Equi ty Black Rock $55,377,331 20.2 0.04 0.05 US Pas sive Large Cap (CIT )$ 19,382 Kennedy $8,939,423 3.3 0.90 0.75 US M id Cap Valu e $ 80,455 Times Sq uare $9,246,947 3.4 1.03 1.00 US Small Cap Grow th $ 95,244 Inte rna ti ona l Equity Morgan Stanley Int ernat ional $27,803,435 10.1 0.91 0.90 All EA FE Equit y $ 253,011 Morgan Stanley Emerging Markets $11,929,922 4.4 1.04 1.10 Emergi ng M kt s Equit y $ 124,071 Fi xed Income Income Res ear ch $38,927,653 14.2 0.30 0.30 US Core F ixed Income $ 116,783 Prudent ial $33,802,293 12.3 0.30 0.34 US Core Plus F ixed Income $ 101,407 Brandy wine $25,652,341 9.4 0.45 0.42 Global Agg Fixe d Income $ 115,436 He dge Funds* Light hous e $19,663,835 7.2 1.58 N/A N/A $ 310,689 Ent rust $16,318,610 6.0 2.64 N/A N/A $ 430,811 Re al Est ate UBS Trumbull $24,871,639 9.1 1.00 N/A N/A $ 248,716 Ca sh Money M arket $1,618,581 0.6 0.16 0.19 US Cas h M anagement $ 2,590 Pavilion-Consulting Fee $ 122,039 US Bank Cus tody and Benefit Pay ment Fee $ 78,146 Tota l $274,152,009 100.0 %0.77%$ 2,098,779 Tota l Assets ($ millions )% of Tota l Proje cted Annua l Fe e eVestment Al lia nc e Universe Media n eVestment Allia nc e Un iverse 68 2013 Acti on Sep tember ●The Metrop olit an St. Louis Sewer District hired Pavilion Advisory Group as t heir invest ment consult ant. 2014 Acti on February ●Pavilion p resent ed an asset allocat ion and investment and manager s truct ure review t o t he Finance Commit tee. Pavilion recommended t he adop tion of new asset allocat ion targe ts and allowable ranges t hat would p ermit t he eliminat ion of t he t act ical as set allocat ion and market neut ral s trat egies , the ad dit ion of hedge fund strat egies t hrough hedge fund of funds, and the reduction of t he number of managers and exposure t o high y ield and non- US debt in t he fixed income p ortfolio. T he following as set allocat ion s tructure was prop os ed: 40% Equit y 35% Fixed Income 25% Alt ernatives Given Pyramis ' poor p er formance and rap idly declining assets in t he strat egy, Pavilion furt her recommended t he manager be t erminat ed immediat ely . T he Commit tee ap proved t hese recommendations. Sep tember ●Pavilion downgraded PIM CO’s manager rat ing status from “nega tive watch” t o “sell.” Pavilion init ially downgraded PIM CO to “negat iv e watch” in January following the depart ure of co-CIO M ohamed El-Erian, and not ed we would closely monit or t he firm for organiz at ional st abilit y, asset flow s, and p erformance. Novemb er & December ●Pavilion conducted an equit y long/s hort hedge fund of funds search and p resent ed t he report t o t he Finance Commit tee. Pavilion recommended Light house Capital P artners Global Long/Short Fund which was sup port ed by M et rop olit an St Louis Sew er Staff. T he F und rep laced PIM CO A ll Asset Fund on M arch 1, 2015. Appendix History of Investment Decisions 69 2015 Acti on May ●Pavilion recommended liquidat ing t he t he Pict et Local Currency Emerging M arket Debt Fund, Loomis Say les Credit Fund and the Penn Capital High Yield Fund and inves ting t he p roceeds int o the Prudent ial Total Ret urn Fund. T he recommendat ion is s up port ed by the Office of t he Secr et ary Treas urer and t he Investment Commit tee. T he Finance Commit tee ap proved t he recommendat io n t o go t o t he Board of T rus tees . Pavilion p rovided t he Finance Commit tee with a revised Statement of Investment Policy , Object iv es and Op erat ing Guidelines . T he p olicy w as reviewed with and sup port ed by t he Office of t he Secret ary T reas urer. T he Finance Commit tee requested addit ional t ime to review t he document . June ●Pavilion recommended liquidat ing t he GMO Asset Allocat ion Fund and investing t he p roceeds in t he Light house Global Long/Short Equit y Fund and t he Entrust Diversified Hedge Fund of F unds. T he recommendat ion was sup port ed by t he Office of t he Secret ary Treas urer and t he Inves tment Commit tee. T he Finance Commit tee ap proved t he recommendation t o go t o t he Board of T rustees . T he Finance Commit tee review ed and ap proved t he revised Statement of Inves tment Policy , O bject ives and Op erat ing Guidelines p rovided at t he M ay meet in g. T he revised Inves tment Policy document was approved by t he Board of T rustees . 2016 Acti on Novemb er ●Pavilion conducted a search t o replace the pens ion p lan's lar ge -cap managers with an index strat egy. The Finance Commit tee agreed t o liq uidat e all four of its large -cap managers, which include T . Rowe Price Large -Cap Core Growth, Van gu ard S&P 500, Vanguard Windsor II and Holland, and use t hese funds t o p urchase shares in a Blackrock Russell 1000 Passive U.S. Equit y CIT . December ●Wellingt on Divers ified Inflat ion Hedges was terminat ed and p roceeds were moved t o t he UBS T rumbull Prop erty Fund. 2017 Acti on February ●In February , all four large -cap managers T. Rowe P rice Large-Cap Growt h, Vangu ard S&P 500, Vangu ard Windsor II and Holland were liquidated and p roceeds used to p urchase shares in t he BlackRock Russell 1000 Pas sive U .S. Equity CIT . Appendix History of Investment Decisions 70 2018 Acti on Ap ril ● The Board ap proved t he liquidat ion of t he hedge fund of funds investments, Light house and EnT rust, and p olicy asset allocat ion t arge ts of 53% equit y, 35% fixe d income and 12% real estate. Appendix History of Investment Decisions 71 All To tal 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 performance 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 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 January 1, 2017, 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, 10% NCREIF Property Index. From August 1, 2015 to January 1, 2017, 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% Wellington 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 World/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 Yi eld Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. Appendix Benchmark and Universe Descriptions 72 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 World/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 Yi eld Cash Pay Index, 4% CPI+5%, 5% Wellington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index- OEDCE. Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index,3% MSCI Emerging Markets Index, 10% 65% MSCI World/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 A CW Commodity Producers Index, 25% DJ AIG Commodity Total Return Index and 25% BC US Treasury Inflation Notes: 1-10 Ye ar Appendix Benchmark and Universe Descriptions 73 Important Information –Peer Universe Change Over the past year, Pavilion Advisory Group Inc. conducted a study to determine the most appropriate investment manager peer universes to use for the preparation of performance and manager search reports for clients. We analyzed a variety of options focusing on the following qualities: Robustness of Market Segment Universes –The universe provider must offer an ample number of universe categories to select from, and universes must be large enough to constitute a proper sample size. Institutional Quality Mandates –Ensure that universes are a proper representation of our clients’ opportunity set. Alignment –Universes should be accessible for timely manager evaluation, screening and performance evaluation. Net of Investment Manager Fee Universe Availability –Peer ranks should reflect the impact of management fees. Solution: eVestment Net of Fee Universes Robust third-party database, widely used by investment industry for manager research and well-populated by managers High membership counts versus other net-only universe options such as Investment Metrics or Lipper Institutionally focused universes consist of separate account composites, institutional pooled fund vehicles and mutual funds –universes do not include listings for multiple share classes Relative to mutual fund-only universes, eVestment peer groups may lead to less favorable rankings for client managers due to lower average fees of the underlying universe constituents We believe eVestment is the right solution for our clients at this time, however, it is not perfect. As with any peer group universe, there are some strategies that will not fit exactly into any one category. In these cases, Pavilion has closely examined portfolio characteristics, and selected the group we believe represents the right fit. In the preparation of performance and manager search reports for clients, Pavilion relies on the use of third parties. While we believe our sources to be reliable, we cannot be liable for third-party errors or omissions. 74 ��C u s t o m N o n U S D i v e r s i f i e d A l l : T h e C u s t o m N o n U S D i v e r s i f i e d A l l u n i v e r s e i s a c u s t o m u n i v e r s e t h a t i n c l u d e s t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d E q u i t y u n i v e r s e e x c l u d i n g a l l s t r a t e g i e s i n c l u d e d i n t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d E q u i t y u n i v e r s e i s m a d e u p o f a l l N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s i n c l u s i v e o f a l l s t y l e , c a p i t a l i z a t i o n , a n d s t r a t e g y a p p r o a c h e s . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e c o n s i s t s o f a c t i v e l y - m a n a g e d N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s t h a t p r i m a r i l y i n v e s t i n s m a l l c a p i t a l i z a t i o n s t o c k s r e g a r d l e s s o f t h e s t y l e ( g r o w t h , v a l u e o r c o r e ) f o c u s . ��C u s t o m N o n U S D i v e r s i f i e d C o r e : T h e C u s t o m N o n U S D i v e r s i f i e d C o r e u n i v e r s e i s a c u s t o m u n i v e r s e t h a t i n c l u d e s t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d C o r e E q u i t y u n i v e r s e e x c l u d i n g a l l s t r a t e g i e s i n c l u d e d i n t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d C o r e E q u i t y u n i v e r s e i s m a d e u p o f a l l a c t i v e l y - m a n a g e d N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s t h a t p r i m a r i l y i n v e s t i n a m i x t u r e o f g r o w t h a n d v a l u e s t o c k s . T h i s u n i v e r s e i s i n c l u s i v e o f N o n - U S D i v e r s i f i e d E q u i t y s t r a t e g i e s r e g a r d l e s s o f m a r k e t c a p i t a l i z a t i o n . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e c o n s i s t s o f a c t i v e l y - m a n a g e d N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s t h a t p r i m a r i l y i n v e s t i n s m a l l c a p i t a l i z a t i o n s t o c k s r e g a r d l e s s o f t h e s t y l e ( g r o w t h , v a l u e o r c o r e ) f o c u s . ��C u s t o m N o n U S D i v e r s i f i e d G r o w t h : T h e C u s t o m N o n U S D i v e r s i f i e d G r o w t h u n i v e r s e i s a c u s t o m u n i v e r s e t h a t i n c l u d e s t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d G r o w t h E q u i t y u n i v e r s e e x c l u d i n g a l l s t r a t e g i e s i n c l u d e d i n t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d G r o w t h E q u i t y u n i v e r s e i s m a d e u p o f a l l a c t i v e l y - m a n a g e d N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s t h a t p r i m a r i l y i n v e s t i n s t o c k s t h a t a r e e x p e c t e d t o h a v e a n a b o v e - a v e r a g e c a p i t a l a p p r e c i a t i o n r a t e r e l a t i v e t o t h e m a r k e t . T h i s u n i v e r s e i s i n c l u s i v e o f N o n - U S D i v e r s i f i e d E q u i t y s t r a t e g i e s r e g a r d l e s s o f m a r k e t c a p i t a l i z a t i o n . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e c o n s i s t s o f a c t i v e l y - m a n a g e d N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s t h a t p r i m a r i l y i n v e s t i n s m a l l c a p i t a l i z a t i o n s t o c k s r e g a r d l e s s o f t h e s t y l e ( g r o w t h , v a l u e o r c o r e ) f o c u s . ��C u s t o m N o n U S D i v e r s i f i e d V a l u e : T h e C u s t o m N o n U S D i v e r s i f i e d V a l u e u n i v e r s e i s a c u s t o m u n i v e r s e t h a t i n c l u d e s t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d V a l u e E q u i t y u n i v e r s e e x c l u d i n g a l l s t r a t e g i e s i n c l u d e d i n t h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d V a l u e E q u i t y u n i v e r s e i s m a d e u p o f a l l a c t i v e l y - m a n a g e d N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s t h a t p r i m a r i l y i n v e s t i n s t o c k s t h a t m a y b e t r a d i n g a t l o w e r p r i c e s l o w e r t h a n t h e i r f u n d a m e n t a l o r i n t r i n s i c v a l u e . T h i s u n i v e r s e i s i n c l u s i v e o f N o n - U S D i v e r s i f i e d E q u i t y s t r a t e g i e s r e g a r d l e s s o f m a r k e t c a p i t a l i z a t i o n . T h e e V e s t m e n t A l l i a n c e N o n - U S D i v e r s i f i e d S m a l l C a p E q u i t y u n i v e r s e c o n s i s t s o f a c t i v e l y - m a n a g e d N o n - U S D i v e r s i f i e d ( E A F E a n d A C W I e x - U S ) E q u i t y p r o d u c t s t h a t p r i m a r i l y i n v e s t i n s m a l l c a p i t a l i z a t i o n s t o c k s r e g a r d l e s s o f t h e s t y l e ( g r o w t h , v a l u e o r c o r e ) f o c u s . C u s t o m P e e r G r o u p U n i v e r s e D e s c r i p t i o n A s o f M a r c h 3 1 , 2 0 1 8 7 5 This report contains confidential and proprietary information and is intended for the exclusive use of the parties to whom it was provided. Facts and information provided in this report are believed to be accurate at the time of preparation. However, certain information in this document has been provided to Pavilion Advisory Group Inc. (Pavilion) by third parties and subject to change at any time and based on market conditions. 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