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HomeMy Public PortalAboutDB Plan Performance Report 3Q16Performance Review Metropolitan St. Louis Sewer District Pension Plan 3rd Quarter 2016 Pavilion Advisory Group Inc. 227 W. Monroe Street, Suite 2020 Chicago, IL 60606 Phone: 312-798-3200 Fax: 312-902-1984 www.pavilioncorp.com 1 Capital Markets Review 1 2 Performance Summary 8 3 Asset Class Diversification 30 4 Manager Evaluation 36 5 Calendar Year Performance 72 6 Appendix 74 Table of Contents Capital Markets Review 1 Capital Markets Rev iew Economy -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 Chicago Fed National Acti vity In dex 0 indicates average growth level 36-month rolling average Economic Growth Below Average 20 25 30 35 40 45 50 55 $/BarrelNo rth Amer ic an pr oduc tion potential limit ing upper bounds near $50 U.S. Crude Oil Prices -2 .0 -1 .5 -1 .0 -0 .5 0.0 0.5 1.0 1.5 Mo rgan Sta nley Gl obal Tra de Leading In dicator Source: Chicago Federal Reserve Source: Bloomberg Global Trade Contracting Global Economies Still Searching For Growth §Oil prices took a round-trip during the quarter to end $0.09 lower.July saw oil prices plummet in reaction to Brexit,which was an overreaction on the downside.After economic crash fears abated,oil prices began to rebound during August.OPEC’s proposed crude oil production cuts again bolstered prices,prompting central banks to raise alarms over future inflation.Even if OPEC cuts production,crude oil prices are unlikely to substantially rise,as U.S.producers have ample spare capacity to minimize any potential shortages.Short of a surge in global economic growth,oil prices are unlikely to deviate markedly from current levels. §The Federal Reserve upped its verbiage regarding interest rate hikes.Though the pattern of Fed activity is similar to 2015,its conviction to raise rates before year-end is not as strong.Employment figures have improved in 2016,inflation remains subdued and growth is tepid.Economic growth has remained below average since the 2008- 2009 recession and indicators are not signaling an impending change.The Fed continues to state that its interest rate decisions are dependent upon improving economic conditions,which currently do not appear strong enough to justify rate hikes. §Global trade remained weak as economies retrenched and political winds shifted away from globalism.Commodity prices gained in the first half of 2016,though the recent direction was lower as economies were perceived as needing additional stimuli to combat slow growth.Abundant agricultural production further pressured prices,though consumers have benefited from stable-to-declining food prices. 2 5.3%4.9%3.9% 8.5% 6.4%5.4% 7.8% 5.4% 9.0%10.5% 2.9% 6.6% 20.6% 7.8% 5.3% 1.7% 0.0%0.0% 32.2% 16.0% 13.0%11.6% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 3Q YTD Capital Markets Rev iew Equities Developed Markets Emerging Markets 3rd Quarter and YTD 2016 World Equity Returns 10.9% 7.8% 11.4% 3.6% 18.7% 1.4% 7.6% 5.6% 17.9% 16.1% 4.6% 4.1% 3.9% 3.7% 2.9% 2.3% 0.9% -2.6% -2.9% -5.6% -5.9% Fina ncials Industrials S&P 500 Materials Cons Disc Energy Health Care Cons Staples Real Estate Telecom Utilities 3Q 16 YTD 3rd Quarter 2016 and YTD S&P 500 Sector Returns 3rd Quarter 2016 Saw Small Caps Outperform Growth and Cyclicals Propel Equity Markets Higher §The S&P 500 gained 3.9%during the third quarter,bringing the year to date return to 7.8%.Information Technology was by far the strongest performing sector for the quarter while higher yielding sectors such as Utilities,Telecom,Real Estate,and Consumer Staples experienced a reversal from the first half of the year.Health Care eked out a modest gain as political and regulatory pressure weighed on the sector in the months leading up to the U.S.presidential election. §Emerging markets returned 9.0%during the third quarter and 16.0%year to date, outperforming both the U.S.and EAFE.Latin America continued to log gains for the year and remains the best performing equity market year to date.Asian markets,both developed and emerging,had the strongest performance during the quarter. §The third quarter saw a reversal in style with growth edging out value;however,value remains solidly ahead of growth year to date.Size was a prominent factor during the quarter,with small-cap stocks performing significantly better than large-cap stocks. 4.6% 3.5% 9.2%8.9% 6.0% 10.0% 7.5% 15.5% 0.0% 5.0% 10.0% 15.0% 20.0% Russell 1000 Growth Russell 1000 Value Russell 2000 Growth Russell 2000 Value 3Q16 YT D 12.5% 1.4% 12.9% 4.6% -10.0%-5.0%0.0%5.0%10.0%15.0%20.0%25.0% Info Tech Fina ncials 3 Source: Barclays Source: fred.stlouisfed.org Capital Markets Rev iew Fixed Income Duration –Ad justed Excess Returns to Treasuries (bps)Trailing Five-Year Lending Rates PercentDate 2009 2010 2011 2012 2013 2014 2015 1Q16 2Q16 3Q16 Aggregat e 746 171 -114 226 93 10 -53 -4 31 68 Agenc y 288 77 -25 166 1 10 -133 23 36 44 MBS 495 225 -106 91 98 40 -5 -38 3 64 ABS 2496 169 52 246 24 53 44 16 50 26 CMBS 2960 1501 47 841 97 108 -28 58 37 91 Credit 1990 192 -322 693 226 -18 -169 18 97 155 Hi gh Y ield 5955 974 -240 1394 923 -112 -577 77 411 576 EMD (US D)3797 508 -537 1503 -32 -120 3 123 266 354 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% 70.0% 80.0% 90.0% 100.0% LIBOR Rate (3-month USD)Federal Funds Ra te Best Period Second Best Period Worst Period Second W ors t Period Source: US Dept. of The Treasury Bonds Rally as Strong Demand Overshadows Rise in Yields §Despite hitting record lows in July,Treasury yields ended the third quarter higher across the curve.Amid concerns following the UK’s referendum decision to leave the European Union,the 10-year dropped to as low as 1.36%before bouncing back sharply and ending the quarter at 1.60%.Rate volatility slowed during the second half of the quarter as U.S. economic data signaled modest improvement through strong payroll growth.U.S. Treasuries generated their first negative quarterly return since 2015 (-0.28%). §In spite of higher yields across the curve,all spread sectors ended the quarter with positive total returns and outpaced Treasuries on a duration-adjusted basis.Investment grade credit spreads tightened 18 bps during the quarter,while high yield spreads tightened 114 bps as the sector returned +5.6%.Strong demand from global investors continued to benefit U.S.corporate credit as the universe of negative yielding sovereign debt reached $11.7 trillion globally. §Three-month LIBOR increased by 19 bps during the quarter despite an unchanged Fed policy rate.The increase in borrowing costs,instead,resulted from the anticipation of new money market regulations requiring a floating NAV for prime funds,which will take effect on October 14th. §U.S.dollar-denominated emerging market debt produced strong results (+4.0%)for the quarter as spreads tightened solidly across all regions.Commodity producing countries led the charge with Venezuela standing out with a +28.4%return on the quarter as energy prices stabilized.Mexico (-3.7%)was the largest underperformer. U.S. Treasury Yield Curve Change Change in YieldMaturity (Years) -0.7% -0.5% -0.3% -0.1% 0.1% 0.3% 0.5% 0.7% 3Q16 1 Yr Ending 3Q16 4 53% 30% 26% 19%18% 15%14%14% 11% 8% 0% 10 % 20 % 30 % 40 % 50 % 60 % Capital Markets Review Hedge Funds HFRI Index Performance | Third Quarter and Year To Date Hedge Fund Strategies Sought by Investors over the Next 12 Months Source: Preqin 1.7% 5.8% 0.9% 2.2% -0.3% 4.1% 5.9% 6.8% 4.2% 7.1% 9.1% -1.1% 0.5% 0.8% 2.1% 2.4% 2.9% 3.5% 4.5% 4.6% 5.4% 5.5% Global Macro BC Aggregate Bond Index Equity Market Neutral Merger Arbitrage Fund of Funds Hedge Fund Composite Convertible Arbitrage Event Driven Equity Hedge MSCI All-Country World Index Distressed Securities Q3 2016 YTD Fund StrategyProportion of Fund SearchesPerformance Rebound Continues for Hedge Funds in Q3 §Hedge funds enjoyed a strong third quarter with all strategies except Global Macro delivering positive returns.The overall Hedge Fund Composite (+2.9%)compared well to the MSCI All- Country World Index which closed the quarter up (+5.4%).The Barclays Capital Aggregate Bond Index posted a modest return of (+0.5%).Fund of Funds (+2.4%)lagged the overall Hedge Fund Composite but nevertheless delivered a solid positive return.Assets with hedge fund managers totaled $3.0 trillion. §Distressed Securities (+5.5%)was the top performing strategy for the second quarter in a row delivering excellent returns.Strong performance from energy credits across oil,natural gas and coal drove returns.Shelf Drilling Holdings Ltd and Linn Energy LLC were two stand-out performers. §Equity Hedge (+4.6%)and Event Driven (+4.5%)generated strong returns as market conditions continued to normalize and investors focused on fundamentals.Within Equity Hedge,alpha from the long side of the portfolio rebounded strongly,more than compensating for moderate negative alpha on the short side.Equity Hedge strategies remain popular with investors. §Convertible Arbitrage (+3.5%)had another strong quarter while Merger Arbitrage (+2.1%) rebounded from a small loss in Q2.Global Macro (-1.1%)was the only negative strategy with managers struggling to make profits in choppy,low volatility markets. §According to HFR,hedge fund assets increased by $73.5 billion through September 2016. Redemptions increased during the quarter with net redemptions of $28 billion compared to $8.2 billion in the second quarter.The industry generated net performance gains of $84 billion for the third quarter. Hedge Fund Assets and Flows Source: HFR, Inc. -$200,000 $200,000 $600,000 $1,000,000 $1,400,000 $1,800,000 $2,200,000 $2,600,000 $3,000,000 19911993199519971999200120032005200720092011201320152016 (Q2)Assets ($MM)Net Asset Flow Estimated Assets 1.7% -4%-2%0%2%4%6%8%10%12%14% Fund Strategy 5 Capital Markets Review Real Assets Private Real Estate Returns as of Second Quarter 2016 Source: NCREIF REIT Returns Favorable (Periods Ended September 30, 2016) Source: NAREIT Private Real Estate Performs Well; Commodities Decline 3 M on.1 Yr.3 Yr s.5 Yrs.10 Yrs. NCREI F 2.0%10.6%11.6%11.5%7.4% Apart ment s 1.9%9.7%10.4%11.0%6.9% Industrial 2.9%13.3%13.6%12.8%7.5% Offi ce 1.7%9.3%10.8%10.5%7.1% Ret ail 2.2%12.2%13.1%13.1%8.6% East 1.7%8.6%9.5%9.7%6.6% Midwes t 2.0%9.7%10.9%10.8%6.8% Sout h 1.8%10.4%12.5%12.3%7.7% West 2.5%13.0%13.3%13.0%8.2% Qua rter YT D 5 Years Global 1.3%10.2%12.3% U.S.-1.4%11.8%15.9% Europe 4.8%1.1%11.3% Emerging Mark et s 7.6%11.5%6.3% -40.0 -30.0 -20.0 -10.0 0.0 10.0 20.0 30.0 3Q16 YTD 1 year 3 years 5 years GSCI Cr ud e O il Agricultur e Ind ustr ial Metal s Precious Metal s Commodity Returns Private Real Estate Performs Well; Commodities Decline §Private real estate returned 2.0%during the second quarter of 2016 and 10.6%for the trailing one year period.NCREIF reports that the quarterly return has been trending down since 2010 as property values have risen faster than income.By sector,industrial and retail properties performed best for the quarter.By region,the West was the strongest performer for the quarter and year.Three-and five- year returns have been boosted by significant appreciation.Long-term,income has represented about 70%of the total return from real estate,although in recent years,appreciation has been 50%or more of the return to real estate.Expectations are that returns will be driven primarily by income (estimated at 5%)over the next few years,with little appreciation. §U.S.REIT returns were negative during the third quarter (-1.2%)on concerns over higher interest rates,although year to date returns for U.S.REITs are favorable at +11.8%.While U.S.REITs trade near their NAV levels,cap rates are at historically low levels,so any increase in interest rates is likely to put pressure on prices despite continuing strong fundamentals.Japanese REITs returned -1.3% during the third quarter in local currency terms and +0.0%in U.S.dollar terms as the Yen appreciated. The BOJ’s yield curve steepening measures were seen as a negative for REITs.Both U.K.and Developed Europe ex.U.K.REITs were up for the quarter,returning +2.0%and +6.2%,respectively in U.S.dollar terms.Japanese,U.K,and European REITs all look expensive relative to their NAVs. During the third quarter,MSCI and S&P moved REITS out of the financials sector and created an 11th GICs sector.The REIT GICs sector represents approximately 3%of the S&P 500. §With the exception of industrial metals,commodity markets retreated during the third quarter (-4.2%), with the agricultural index leading the decline (-7.5%).Year to date,the Goldman Sachs Commodity Index returned 5.3%,with precious metals (+25.0%)driving the year-to-date gain.With the exception of precious metals during the trailing 12 months,commodity returns are negative for the trailing one-, three-,and five-year periods as 2016’s small gains could not offset negative returns in four (2011, 2013,2014,and 2015)of the past five years.Sentiment around commodities remains mixed.Gold has seen increased investment flows given its safe haven status.Oil prices rebounded from 2015 lows but have been volatile depending on expectations for U.S.interest rates and supply conditions. Source: S&P GSCI 6 Quarter Year To Date 1 Year 2 Years 3 Years 5 Years 7 Years 10 Years Domestic Equity Indices Dow Jones Wilshire 5000 4.3 8.4 15.3 7.2 10.7 16.3 13.1 7.4 S&P 500 3.9 7.8 15.4 7.1 11.2 16.4 13.2 7.2 Russell 1000 Index 4.0 7.9 14.9 6.9 10.8 16.4 13.2 7.4 Russell 1000 Growth Index 4.6 6.0 13.8 8.3 11.8 16.6 14.1 8.8 Russell 1000 Value Index 3.5 10.0 16.2 5.4 9.7 16.2 12.3 5.9 Russell Midcap Index 4.5 10.3 14.2 6.8 9.7 16.7 14.1 8.3 Russell Midcap Growth Index 4.6 6.8 11.2 6.2 8.9 15.8 13.9 8.5 Russell Midcap Value Index 4.4 13.7 17.3 7.2 10.5 17.4 14.3 7.9 Russell 2000 Index 9.0 11.5 15.5 8.1 6.7 15.8 12.5 7.1 Russell 2000 Growth Index 9.2 7.5 12.1 8.0 6.6 16.1 13.3 8.3 Russell 2000 Value Index 8.9 15.5 18.8 8.1 6.8 15.4 11.6 5.8 International Equity Indices MSCI EAFE 6.4 1.7 6.5 -1.4 0.5 7.4 4.2 1.8 MSCI EAFE Growth Index 5.0 2.6 9.5 2.2 2.4 8.7 6.0 3.1 MSCI EAFE Value Index 8.0 0.8 3.5 -4.9 -1.5 6.0 2.4 0.4 MSCI EAFE Small Cap 8.6 5.2 12.3 6.1 5.1 11.1 8.1 4.4 MSCI AC World Index 5.3 6.6 12.0 2.2 5.2 10.6 7.8 4.3 MSCI AC World ex US 6.9 5.8 9.3 -2.0 0.2 6.0 3.7 2.2 MSCI Emerging Markets Index 9.0 16.0 16.8 -2.9 -0.6 3.0 2.3 3.9 Fixed Income Indices Blmbg. Barc. U.S. Aggregate 0.5 5.8 5.2 4.1 4.0 3.1 4.1 4.8 Blmbg. Barc. Intermed. U.S. Government/Credit 0.2 4.2 3.5 3.1 2.8 2.4 3.3 4.2 Blmbg. Barc. U.S. Long Government/Credit 1.2 15.7 14.7 8.7 10.1 6.3 8.2 7.8 Blmbg. Barc. U.S. Corp: High Yield 5.6 15.1 12.7 4.3 5.3 8.3 8.8 7.7 BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.2 0.3 0.1 0.1 0.1 0.1 0.9 Blmbg. Barc. U.S. TIPS 1.0 7.3 6.6 2.8 2.4 1.9 4.0 4.5 Citigroup Non-U.S. World Government Bond 0.6 14.2 12.6 2.3 1.2 0.2 1.4 3.9 JPM EMBI Global Diversified (external currency)4.0 14.8 16.2 7.5 8.2 7.8 7.9 7.7 JPM GBI-EM Global Diversified (local currency)2.7 17.1 17.1 -3.1 -2.6 0.1 2.2 5.5 Real Asset Indices Bloomberg Commodity Index Total Return -3.9 8.9 -2.6 -15.1 -12.3 -9.4 -5.5 -5.3 Dow Jones Wilshire REIT -1.2 9.7 17.9 14.8 14.3 15.8 15.7 5.9 Capital Markets Review Index Returns As of September 30, 2016 (Percentage Return) _________________________ Returns for periods greater than one year are annualized. 7 Performance Summary 8 Performance Summary - September 2016 During the third quarter, the Metropolitan St. Louis Sewer District pension plan closely reflected its benchmark, reporting a return of 2.8%. On a trailing one-year basis, the plan reported a gain of 7.6%, underperforming the Policy Benchmark return of 8.5%. Asset Class Diversification Current asset allocation was within investment policy targets. The Plan was slightly overweight in fixed income, equities, and real estate and underweight hedge funds and real assets. Manager Evaluation Third quarter performance was the most favorably impacted by the following managers as they outpaced their benchmarks: Vanguard Windsor II, T. Rowe Price Large Cap Core Growth, Kennedy Mid Cap Value, Prudential Core Plus, Brandywine Global Opportunistic Fixed Income, UBS Trumbull Property, and Wellington Diversified Inflation Hedges. Third quarter performance was the most unfavorably impacted by the following managers that underperformed their benchmarks: TimesSquare Small Cap Growth, Holland Large Cap Growth, Morgan Stanley International Equity, and Lighthouse Global Long/Short. Capital Markets Review The S&P 500 gained 3.9% during the third quarter, bringing the year to date return to 7.8%. Information Technology was by far the strongest performing sector for the quarter while higher yielding sectors such as Utilities, Telecom, Real Estate, and Consumer Staples experienced a reversal from the first half of the year. Health Care eked out a modest gain as political and regulatory pressure weighed on the sector in the months leading up to the U.S. presidential election. Despite hitting record lows in July, Treasury yields ended the third quarter higher across the curve. Amid concerns following the UK’s referendum decision to leave the European Union, the 10-year dropped to as low as 1.36% before bouncing back sharply and ending the quarter at 1.60%. Rate volatility slowed during the second half of the quarter as U.S. economic data signaled modest improvement through strong payroll growth. U.S. Treasuries generated their first negative quarterly return since 2015 (-0.28%). The Federal Reserve upped its verbiage regarding interest rate hikes. Though the pattern of Fed activity is similar to 2015, its conviction to raise rates before year- end is not as strong. Employment figures have improved in 2016, inflation remains subdued and growth is tepid. Economic growth has remained below average since the 2008-2009 recession and indicators are not signaling an impending change. Emerging markets returned 9.0% during the third quarter and 16.0% year to date, outperforming both the U.S. and EAFE. Latin America continued to log gains for the year and remains the best performing equity market year to date. Asian markets, both developed and emerging, had the strongest performance during the quarter. The third quarter saw a reversal in style with growth edging out value; however, value remains solidly ahead of growth year to date. Size was a prominent factor during the quarter, with small-cap stocks significantly better than large-cap stocks. Pension Plan Executive Summary 9 Pension Plan Executive Summary Recommendations or Action Items Due to the difficulty of active managers to consistently outperform benchmarks in the large cap equity space, consideration is being given to replace the pension plan's active large cap managers (Vanguard Windsor II, T. Rowe Price Large Cap Core Growth and Holland Large Growth) with an index strategy. An index manager search report is provided in the Finance Committee Executive Summary. A review of the current Statement of Investment Policy, Objectives and Operating Guidelines was conducted by Pavilion and MSD Staff. A draft of the revised Policy Statement is available for the Committee's review. A resolution was previously made to terminate Wellington Diversified Inflation Hedges and move assets to the UBS Trumbull Property Fund. Pavilion recommends conducting a search for a second real estate manager that complements UBS. Miscellaneous Pavilion Financial Corporation (Pavilion) closed the transaction to purchase Jeffrey Slocum & Associates (Slocum) on October 24, 2016. As part of the closing, the Slocum team joined Pavilion Advisory Group and will operate out of its Minneapolis office. Statistics about the combined organization can be found in the Appendix of the Finance Committee Executive Summary. 10 Total Composite Policy Benchmark 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception 2.9 6.5 8.5 4.2 7.5 5.2 7.8 2.8 5.9 7.6 4.0 7.2 5.4 7.3 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 2.8 5.9 7.6 4.0 7.2 5.4 7.4 23y 9m Policy Benchmark 2.9 6.5 8.5 4.2 7.5 5.2 N/A Performance Summary Total Composite vs. Policy Benchmark As of September 30, 2016 ____________ Performance is reported net of fees. See appendix for full description of the policy benchmark. 11 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 2.8 (75)5.9 (61)7.6 (84)4.0 (97)7.2 (95)6.6 (97)5.4 (82)¢£ 5th Percentile 4.8 8.0 11.9 7.6 11.4 9.7 6.9 1st Quartile 3.7 7.0 10.4 6.8 10.4 8.9 6.4 Median 3.2 6.2 9.6 6.2 9.8 8.4 6.0 3rd Quartile 2.8 5.2 8.4 5.7 9.0 7.8 5.6 95th Percentile 2.1 3.6 6.3 4.3 7.2 6.9 5.0 Performance Comparison All Public Plans <= $500 mil As of September 30, 2016 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 12 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 ReturnQuarter Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years Total Composite 2.8 (77)5.9 (67)7.6 (85)4.0 (96)7.2 (94)6.6 (95)5.4 (77)¢£ 5th Percentile 4.8 8.5 11.9 7.6 11.4 9.7 6.9 1st Quartile 3.8 7.3 10.4 6.8 10.4 8.9 6.2 Median 3.4 6.4 9.7 6.2 9.7 8.4 5.9 3rd Quartile 2.9 5.5 8.4 5.7 8.9 7.8 5.4 95th Percentile 1.8 3.6 6.3 4.3 6.9 6.5 4.9 Performance Comparison All Public Plans As of September 30, 2016 _________________________ Performance is reported net of fees. Parentheses contain percentile rankings. Calculation based on monthly periodicity. 13 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 26.3 (97)14.2 (49)26.1 (64)9.3 (3)13.5 (25)6.3 (58)0.6 (75)¢£ 5th Percentile 56.9 24.3 45.1 8.4 23.4 12.3 5.4 1st Quartile 49.9 17.2 35.1 5.1 13.2 10.0 2.0 Median 46.3 14.1 30.0 4.7 6.2 7.5 1.1 3rd Quartile 40.8 11.5 23.1 4.4 4.1 5.3 0.6 95th Percentile 27.4 7.5 14.6 3.2 1.0 3.7 0.1 Asset Allocation Comparison All Public Plans <= $500 mil As of September 30, 2016 _________________________ Parentheses contain percentile rankings. 14 -20.0 -10.0 0.0 10.0 20.0 30.0 40.0 50.0 60.0 70.0 80.0 Allocation (%)US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv.Real Estate Cash Total Composite 26.3 (86)14.2 (56)26.1 (55)9.3 (4)13.5 (45)6.3 (58)0.6 (76)¢£ 5th Percentile 56.2 26.9 49.9 8.8 32.0 14.3 7.1 1st Quartile 49.2 20.5 34.4 5.0 20.3 10.0 2.3 Median 43.6 14.6 28.4 4.5 12.4 7.5 1.2 3rd Quartile 33.5 11.6 21.0 3.0 5.8 5.2 0.7 95th Percentile 17.8 7.3 13.0 0.1 1.7 2.7 0.1 Asset Allocation Comparison All Public Plans As of September 30, 2016 _________________________ Parentheses contain percentile rankings. 15 3 Years 5 Years 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)3.0 3.8 4.6 5.4 6.2 7.0 7.8 Risk (Standard Deviation %) Policy Benchmark (5.8 , 4.2) Total Composite (5.9 , 4.0) 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)5.0 5.7 6.4 7.1 7.8 8.5 9.0 Risk (Standard Deviation %) Policy Benchmark (6.5 , 7.5) Total Composite (6.7 , 7.2) Performance Summary Risk and Return Summary As of September 30, 2016 16 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Total Composite 252,342,163 100.0 2.8 5.9 7.6 4.0 7.2 5.4 7.4 23y 9m Policy Benchmark 2.9 6.5 8.5 4.2 7.5 5.2 N/A Total Equity Composite 102,273,707 40.5 4.8 5.7 10.6 6.4 N/A N/A 7.9 3y 1m MSCI AC World IMI 5.7 7.5 12.9 5.8 11.5 5.2 7.5 Domestic Equity Composite 66,457,619 26.3 5.1 6.4 12.7 9.5 N/A N/A 10.8 3y 1m Russell 3000 Index 4.4 8.2 15.0 10.4 16.4 7.4 11.5 Large-Cap Equity Composite 50,634,385 20.1 4.8 5.3 12.6 10.3 15.4 7.3 8.4 13y 4m Russell 1000 Index 4.0 7.9 14.9 10.8 16.4 7.4 8.7 Small-Cap Equity Composite 15,823,234 6.3 6.1 10.2 13.0 6.9 15.6 8.8 10.9 13y 4m Russell 2000 Index 9.0 11.5 15.5 6.7 15.8 7.1 9.6 International Equity Composite 35,816,088 14.2 4.2 4.4 6.6 0.4 N/A N/A 2.4 3y 1m MSCI AC World ex USA Index 6.9 5.8 9.3 0.2 6.0 2.2 2.4 Developed International Equity Composite 25,448,537 10.1 2.5 0.4 3.5 0.0 7.4 2.6 4.3 17y 5m MSCI EAFE Index 6.4 1.7 6.5 0.5 7.4 1.8 3.3 Emerging International Equity Composite 10,367,552 4.1 8.7 16.0 15.0 0.2 3.9 3.6 7.0 11y 6m MSCI Emerging Markets Index 9.0 16.0 16.8 -0.6 3.0 3.9 7.0 Fixed Income Composite 89,378,216 35.4 1.1 7.8 7.0 2.7 3.6 5.1 4.7 13y 3m Barclays Intermediate U.S. Government/Credit 0.2 4.2 3.5 2.8 2.4 4.2 3.7 Performance Summary Total Pension Fund Asset Allocation and Performance As of September 30, 2016 _________________________ Performance is reported net of fees. 17 Performance Summary Total Pension Fund Asset Allocation and Performance As of September 30, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Funds Composite 34,161,046 13.5 2.2 -0.9 -0.1 N/A N/A N/A -0.5 1y 7m HFRI Fund of Funds Composite Index 2.4 -0.3 0.5 2.2 3.2 1.8 -1.5 60% MSCI ACWI / 40% BC Agg 3.4 6.4 9.4 4.9 7.8 4.9 1.5 Real Estate Composite.15,844,392 6.3 1.4 4.8 7.6 9.6 9.4 5.3 8.1 38y 9m NCREIF Property Index 1.8 6.1 9.2 11.3 11.2 7.2 9.3 Real Assets Composite 9,092,099 3.6 3.8 18.7 13.3 -5.7 -2.8 N/A -1.8 6y 6m Wellington DIH Multi-Asset Inflation Index 0.7 15.5 12.0 -5.7 -2.7 0.3 -2.0 Cash Account 1,592,702 0.6 0.1 0.6 0.6 0.5 0.3 0.9 1.3 13y 4m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.2 0.3 0.1 0.1 0.9 1.3 _________________________ Performance is reported net of fees. 18 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Domestic Large-Cap Equity Managers Vanguard Windsor II 12,628,340 5.0 4.1 (45)7.4 (43)12.2 (54)8.2 (40)14.8 (40)5.9 (33)6.3 (27)15y 5m Russell 1000 Value Index 3.5 (64)10.0 (14)16.2 (15)9.7 (10)16.2 (10)5.9 (34)6.4 (23) IM U.S. Large Cap Value Equity 4.0 7.0 12.5 7.8 14.5 5.2 5.6 Vanguard Institutional Index Fund 15,228,393 6.0 3.8 (63)7.8 (20)15.4 (13)11.1 (13)16.3 (17)7.2 (33)5.2 (41)17y S&P 500 3.9 (63)7.8 (20)15.4 (13)11.2 (13)16.4 (16)7.2 (33)5.1 (42) IM U.S. Large Cap Equity 4.3 5.5 12.0 9.1 14.9 6.5 4.9 T. Rowe Price Inst. Large-Cap Core Growth 12,779,257 5.1 7.5 (19)1.4 (77)11.4 (41)11.6 (20)17.9 (5)9.2 (15)15.1 (9)3y 7m Russell 1000 Growth Index 4.6 (71)6.0 (14)13.8 (17)11.8 (16)16.6 (21)8.8 (19)14.0 (22) IM U.S. Large Cap Growth Equity 5.8 3.2 10.9 10.0 15.2 7.8 12.6 Holland Large Cap Growth 9,998,395 4.0 3.9 (85)3.0 (55)9.3 (74)9.1 (69)13.9 (80)8.1 (40)10.8 (86)3y 7m Russell 1000 Growth Index 4.6 (71)6.0 (14)13.8 (17)11.8 (16)16.6 (21)8.8 (19)14.0 (22) IM U.S. Large Cap Growth Equity 5.8 3.2 10.9 10.0 15.2 7.8 12.6 Domestic Small-Cap Equity Managers Kennedy Mid Cap Value 7,911,100 3.1 7.0 (16)14.6 (9)16.0 (17)8.9 (31)15.8 (40)N/A 9.7 (5)8y 9m Russell Midcap Value Index 4.4 (67)13.7 (15)17.3 (9)10.5 (10)17.4 (17)7.9 (23)8.2 (24) IM U.S. Mid Cap Value Equity 5.0 10.5 13.7 8.1 15.5 6.8 7.0 TimesSquare Small Cap Growth Fund 7,912,134 3.1 5.3 (99)5.7 (86)9.9 (76)4.4 (69)15.2 (60)9.3 (8)9.7 (2)14y 8m Russell 2000 Growth Index 9.2 (59)7.5 (73)12.1 (66)6.6 (42)16.1 (41)8.3 (26)7.7 (47) IM U.S. Small Cap Growth Equity 10.9 9.1 13.2 6.2 15.9 7.1 7.6 Developed International Equity Manager Morgan Stanley International Equity Fund I 25,448,537 10.1 2.5 (97)0.4 (85)3.4 (86)0.0 (63)7.4 (44)2.6 (51)3.9 (67)11y 6m MSCI EAFE Index 6.4 (55)1.7 (76)6.5 (67)0.5 (54)7.4 (44)1.8 (65)3.9 (66) IM International Equity 6.6 5.4 9.2 0.7 7.0 2.6 4.9 Emerging Markets Equity Manager Morgan Stanley Emerging Markets Fund I 10,367,552 4.1 8.7 (36)15.9 (37)15.2 (52)0.3 (35)4.0 (39)3.7 (45)7.0 (35)11y 6m MSCI Emerging Markets Index 9.0 (27)16.0 (36)16.8 (41)-0.6 (50)3.0 (57)3.9 (40)7.0 (36) IM Emerging Markets Equity 7.8 14.0 15.5 -0.6 3.5 3.4 6.6 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of September 30, 2016 _________________________ Performance is reported net of fees. 19 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of September 30, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Fixed Income Managers Income Research 36,013,788 14.3 0.2 (56)4.3 (18)3.6 (20)2.8 (17)3.0 (15)4.8 (6)5.0 (5)15y 3m Barclays Intermediate U.S. Government/Credit 0.2 (60)4.2 (21)3.5 (21)2.8 (18)2.4 (28)4.2 (21)4.5 (18) IM U.S. Intermediate Duration Fixed Income 0.3 3.3 2.8 2.0 1.9 3.6 3.9 Prudential Core Plus Bond Fund 29,958,081 11.9 1.6 (30)8.8 (10)8.0 (7)5.4 (7)5.4 (2)6.4 (5)5.3 (3)1y 4m Blmbg. Barc. U.S. Aggregate 0.5 (100)5.8 (66)5.2 (72)4.0 (49)3.1 (88)4.8 (68)4.0 (32) IM U.S. Broad Market Core+ Fixed Income 1.3 6.7 6.0 4.0 3.9 5.2 3.5 Brandywine Global Opportunistic Fixed Income 23,406,346 9.3 1.7 (43)12.1 (3)11.4 (1)2.9 (39)3.9 (20)6.4 (1)5.8 (2)11y 9m Citigroup World Government Bond Index 0.3 (95)11.1 (10)9.7 (13)1.8 (65)0.8 (88)4.1 (66)3.2 (73) IM Global Fixed Income 1.5 7.7 7.1 2.3 2.6 4.4 3.8 _________________________ Performance is reported net of fees. 20 Performance Summary Total Pension Fund Manager Asset Allocation and Performance As of September 30, 2016 Allocation Market Value ($)% Performance(%) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Period Hedge Fund Managers Lighthouse Global Long/Short Fund Limited 18,037,165 7.1 2.5 -0.4 3.6 5.5 7.4 5.4 3.0 1y 7m HFRI Equity Hedge (Total) Index 4.6 4.2 6.0 3.2 5.6 3.3 0.9 Entrust Capital Diversified Fund 16,123,881 6.4 1.9 -1.5 -3.9 -1.1 3.0 3.3 -7.7 1y 2m HFRI Fund of Funds Composite Index 2.4 -0.3 0.5 2.2 3.2 1.8 -2.9 Real Estate Manager UBS Trumbull Property Fund 15,844,392 6.3 1.4 4.8 7.6 9.6 9.4 5.3 5.8 10y 4m NCREIF Property Index 1.8 6.1 9.2 11.3 11.2 7.2 7.5 Real Asset Manager Wellington Diversified Inflation Hedges 9,092,099 3.6 3.8 18.7 13.3 -5.7 -2.8 N/A -1.8 6y 6m Wellington DIH Multi-Asset Inflation Index 0.7 15.5 12.0 -5.7 -2.7 0.3 -2.0 Cash Account 1,592,702 0.6 0.1 0.6 0.6 0.5 0.3 0.9 1.3 13y 4m BofA Merrill Lynch 3 Month U.S. T-Bill 0.1 0.2 0.3 0.1 0.1 0.9 1.3 Total Composite 252,342,163 100.0 2.8 5.9 7.6 4.0 7.2 5.4 7.4 23y 9m _________________________ Performance is reported net of fees. 21 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Return (%)9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 Risk (Standard Deviation %) Vanguard Institutional Index Fund MSCI Emerging Markets MSCI EAFE Russell 2000 Growth Russell Midcap Value Russell 1000 Growth S&P 500 Russell 1000 Value Holland Large Cap Growth Kennedy Mid Cap Value TimesSquare Small Cap Growth Morgan Stanley Emerging Markets Morgan Stanley International Equity Vanguard Windsor II Fund T. Rowe Price Inst. Large-Cap Core Growth Performance Summary Risk and Return Summary - Equity Managers 5 Years Ending September 30, 2016 22 -0.8 0.0 0.8 1.6 2.4 3.2 4.0 4.8 5.6 6.4 Return (%)0.0 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0 7.7 8.4 9.0 Risk (Standard Deviation %) Citigroup World Government Bond Index BC Intermediate U.S. Government/Credit 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 September 30, 2016 23 -10.0 -6.0 -2.0 2.0 6.0 10.0 14.0 18.0 22.0 Return (%)0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund HFRI Equity Hedge (Total) Index NCREIF Property Index Lighthouse Global Long/Short Fund Limited Wellington DIH Multi-Asset Inflation Index Wellington DIH UBS TPF Performance Summary Risk and Return Summary - Alternative Managers 5 Years Ending September 30, 2016 24 Manager Compliance Checklist Third Quarter 2016 Mana gers Va ngua rd Windsor Vangua rd Insti tu ti onal T.Ro we Price Holland Ke nne dy Ti me sS qua re Morga n Stanley I nt'l Morgan Stanley EM Organizational /Produ ct Is sues No ma terial c hanges to inves tment team ++++++++ No ma terial o rg aniza tional changes ++++--++ Accounting or re gulatory concerns ++++++++ Cu rrently in adherence to guidelin es ++++++++ Po rt fo lio characteris tics me et s tylis tic expectations ++++++++ Re lati ve Perfor mance 1 Th re e-year re turn better than benchmark -N/A -----+ Th re e-year ra nkin g better than peer group median +++-+--+ Fiv e year return better than benchmark -N/A +---In-Line + Fiv e year rankin g better than peer group media n +++-+-++ 1 Manager performance is evaluated net of investment management fees. Fiv e year rankin g better than peer group media n +++-+-++ Perfor mance s tatus +++-+-++ Da te perfo rmance s tatus changed 3Q 16 3Q 16 Summary status ++++++++ Da te s umma ry status changed 25 Manager Compliance Checklist Third Quarter 2016 Ma na ge rs Income Re se arch Prude ntial Brandywine Globa l Lighthouse En trust UBS Wellington Or gani zati onal /Produ ct Is sues No ma teria l c hanges to investment team +++++++ No ma teria l o rg aniza tional c hanges ++++-++ Accounting or re gulatory concerns +++++++ Cu rrently in adherence to guidelin es +++++++ Po rt fo lio characteris tics me et s tylis tic expectations +++++++ Re lati ve Perfor man ce 1 Th re e-year re turn better than benchmark In-Line +++--In-Line Th re e-year ra nkin g better than peer group median +++N/A N/A N/A N/A Five year re turn better than benchmark ++++--- 1 Manager performance is evaluated net of investment management fees. Five year re turn better than benchmark ++++--- Five year ra nkin g better than peer group media n +++N/A N/A N/A N/A Perfor ma nc e s tatus ++++++- Da te perfo rman ce s tatus changed 1Q 16 Summa ry status +++++++ Da te s umma ry status changed 26 Manager Compliance Issue Explanation Recommended Action Comments Holland Performance Holland Large Cap Growth has underperformed its benchmark and peers over the 3-and 5-year periods for 10 consecutive quarters. Hold Holland’s high quality growth strategy has been out of favor for the past few years; however, due to consistent and prolonged underperformance, Pavilion has put Holland on performance watch. Manager Compliance Checklist Third Quarter 2016 27 Manager Compliance Issue Explanation Recommended Action Comments Kennedy Organizational Changes Kennedy’s CEO and Chairman of the Board, Randall Kirkland, has retired. Kimberly Wood replaced Randall in August 2016 and now serves as the President, CEO and Chairwoman of the Board. Hold The announcement does not impact Pavilion’s opinion or rating on Kennedy, but it will be important to monitor Kimberly Woods and the impact she has on the firm. Manager Compliance Checklist Third Quarter 2016 TimesSquare Organizational Changes Effective August 1, 2016,Mark Aaron no longer serves as COO and CCO and Head of Operations Fred Kramer will serve as interim COO while they search for a replacement. Michael Andrews was appointed interim CCO. Hold TimesSquare is a well-resourced organization with the support of AMG behind it,especially in regard to the compliance function. AMG provides full legal and compliance support to TimesSquare, with the CCO acting more as a liaison. Mark Aaron’s departure does not alter Pavilion’s favorable view of the organization. 28 Manager Compliance Issue Explanation Recommended Action Comments EnTrust Organizational Changes EnTrust combined their business with that of The Permal Group, a global alternative asset manager that was established in 1973 and acquired by Legg Mason in 2005. The deal closed in mid –2016. Gregg Hymowitz now serves as the Chairman and Chief Executive Officer of EnTrustPermal, as well as continue to be the Chair of the EnTrustPermal Global Investment Committee. Hold Pavilion will be reviewing the effects of the combination and advise you if we see any organizational risk that may impair the investment process.We will be watching the performance of this fund closely during 2016. Manager Compliance Checklist Third Quarter 2016 Investment Committee. Wellington Performance The manager matched the Wellington DIH Multi-Asset Inflation Index over the rolling three-year period and underperformed by 10 basis points for the rolling five-year period. Sell Wellington Diversified Inflation Hedges has been put on negative watch and is now a recommended “Sell”due to weak long-term performance. 29 Asset Class Diversification 30 September 30, 2016 : $252,342,163 Target Allocation Actual Allocation Allocation Differences 0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 % Cash Account $1,592,702 Real Asset Composite $9,092,099 Real Estate Composite $15,844,392 Hedge Funds Composite $34,161,046 Fixed Income Composite $89,378,216 Emerging International Equity Composite $10,367,552 Developed International Equity Composite $25,448,537 Small-Cap Equity Composite $15,823,234 Large-Cap Equity Composite $50,634,385 0.0% 5.0% 5.0% 15.0% 35.0% 4.0% 10.0% 6.0% 20.0% 0.6% 3.6% 6.3% 13.5% 35.4% 4.1% 10.1% 6.3% 20.1% 0.6% -1.4 % 1.3% -1.5 % 0.4% 0.1% 0.1% 0.3% 0.1% Asset Class Diversification Investment Policy Allocation As of September 30, 2016 31 Asset Class Diversification Investment Program Structure As of September 30, 2016 Asse t Cl ass/Type Manage r Total Asse ts ($,mil.)as of 9/30/2016 Perce nt of Total Ta rge t Al location Weighting Re la ti ve to Ta rge t Al low able Ra nge Total Asse ts ($,mil.)as of 6/30/2016 Large -Ca p Equity $50.6 20.1%20.0%+ 0 .1 %15 -25%$50.9 Co re Va nguard Institutional $15.2 6.0%6.0%+ 0.0%$16.3 Va lu e Va nguard Windsor $12.6 5.0%5.0%+ 0.0%$13.1 Gr owth T.Ro we Price $12.8 5.1%5.0%+ 0.1%$11.9 Gr owth Ho lla nd $10.0 4.0%4.0%- 0.0%$9.6 Small-Ca p Equity $15.8 6.3%6.0%+ 0 .3 %2 -8%$14.9 Va lu e Kennedy $7.9 3.1%3.0%+ 0.1%$7.4 Gr owth Time sSquare $7.9 3.1%3.0%+ 0.1%$7.5 Interna ti ona l Equity $35.8 14.2%14.0%+ 0 .2 %$34.4 Developed Morgan Stanley $25.4 10.1%10.0%+ 0.1%5 -15%$24.8 Eme rg in g Marke ts Morgan Stanley $10.4 4.1%4.0%+ 0.1%2 -8%$9.5 Fixed Income $89.4 35.4%35.0%+ 0 .4 %$89.6 *Totals may not add to exactly 100.0% due to rounding. Fixed Income $89.4 35.4%35.0%+ 0 .4 %$89.6 Do me stic Co re In come Res earch $36.0 14.3%14.0%+ 0.3%10 -20%$35.9 Global Bra ndywin e Glo bal $23.4 9.3%9.0%+ 0.3%4 -14%$23.3 Do me stic Co re Plu s Pru dential $30.0 11.9%12.0%- 0.1%10 -20%$30.4 He dge Funds $34.2 13.6%15.0%- 1 .4 %0 -20%$33.4 Hedge Funds Lighthouse Glo bal $18.0 7.1%7.5%- 0.4%$17.6 Hedge Funds En trust $16.2 6.4%7.5%- 1.1%$15.8 Real Es tate $15.8 6.3%5.0%+ 1 .3 %$15.6 Re al Es tate UBS Tru mb ull $15.8 6.3%5.0%+ 1.3%0 -10%$15.6 Real As set $9.1 3.6%5.0%- 1 .4 %$8.7 Re al Asset Wellin gton $9.1 3.6%5.0%- 1.4%0 -10%$8.7 Ca sh $1.6 0.6%0.0%+ 0 .6 %$1.6 Ca sh Account Ca sh Account $1.6 0.6%0.0%+ 0.6%$1.6 Total $252.4 100.0%100.0%+ 0 .0 %$249.2 32 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)92,071 84,455 Median Mkt. Cap ($M)13,073 1,439 Price/Earnings ratio 20.2 17.9 Price/Book ratio 3.2 2.7 5 Yr. EPS Growth Rate (%)7.7 6.6 Current Yield (%)2.0 2.5 Debt to Equity 1.5 1.1 Number of Stocks 916 8,634 Beta (3 Years, Monthly)0.96 1.00 Consistency (3 Years, Monthly)52.78 1.00 Sharpe Ratio (3 Years, Monthly)0.62 0.55 Information Ratio (3 Years, Monthly)0.29 - Up Market Capture (3 Years, Monthly)101.84 - Down Market Capture (3 Years, Monthly)98.09 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 1.9 0.8 1.1 17.0 Microsoft Corp 1.4 1.0 0.4 13.3 Nestle SA, Cham Und Vevey 1.2 0.6 0.6 2.4 British American Tobacco PLC 1.2 0.3 0.9 0.0 Unilever NV 1.2 0.2 1.0 0.0 Google Inc (Class C)1.2 0.6 0.6 12.3 Reckitt Benckiser Group PLC 1.2 0.1 1.1 -5.0 Apple Inc 1.1 1.4 -0.3 18.9 Facebook Inc 1.1 0.7 0.4 12.2 Visa Inc 1.0 0.4 0.6 11.7 % of Portfolio 12.5 6.1 Distribution of Market Capitalization (%) Equity Composite MSCI AC World IMI 0.0 15.0 30.0 45.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 31.9 30.0 22.8 15.3 0.0 36.1 28.6 21.8 11.6 1.9 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 0.1 1.8 1.7 2.1 2.4 4.0 19.4 11.3 13.7 13.1 4.1 12.9 13.2 0.0 0.0 3.3 3.3 4.4 5.5 15.6 11.4 11.5 16.3 6.5 9.7 12.5 Equity Portfolio - Characteristics Total Equity Composite vs. MSCI AC World IMI As of September 30, 2016 33 Total Equity Composite MSCI AC World IMI Australia 0.0 2.4 Hong Kong 0.4 1.1 Japan 4.2 8.3 New Zealand 0.0 0.1 Singapore 0.0 0.5 Pacific 4.6 12.4 Austria 0.2 0.1 Belgium 0.2 0.5 Finland 0.0 0.4 France 2.9 3.0 Germany 2.0 2.9 Ireland 0.5 0.2 Italy 0.1 0.7 Netherlands 2.7 1.0 Portugal 0.1 0.1 Spain 0.0 1.0 EMU 8.7 9.8 Denmark 0.0 0.6 Norway 0.0 0.3 Sweden 0.3 1.1 Switzerland 3.7 2.8 United Kingdom 8.6 6.3 Europe ex EMU 12.6 11.0 Canada 0.9 3.2 United States 60.8 52.4 Israel 0.1 0.3 Middle East 0.1 0.3 Developed Markets 87.7 89.1 Total Equity Composite MSCI AC World IMI Brazil 0.7 0.7 Cayman Islands 0.0 0.0 Chile 0.1 0.1 Colombia 0.1 0.0 Mexico 0.7 0.4 Peru 0.2 0.0 Virgin Islands 0.0 0.0 EM Latin America 1.7 1.3 China 2.6 2.8 India 1.1 1.0 Indonesia 0.4 0.3 Korea 1.4 1.7 Malaysia 0.0 0.3 Philippines 0.4 0.1 Taiwan 1.2 1.4 Thailand 0.2 0.3 EM Asia 7.2 7.9 Czech Republic 0.0 0.0 Egypt 0.1 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.3 0.1 Qatar 0.0 0.1 Russia 0.0 0.4 South Africa 0.7 0.8 Turkey 0.1 0.1 United Arab Emirates 0.0 0.1 EM Europe + Middle East + Africa 1.1 1.6 Emerging Markets 10.0 10.9 Frontier Markets 0.2 0.0 Cash 1.8 0.0 Other 0.3 0.0 Total 100.0 100.0 Equity Portfolio - Country/Region Allocation Total Equity Composite vs. MSCI AC World IMI As of September 30, 2016 34 Portfolio Characteristics Maturity Distribution (%) Credit Quality Distribution (%) Risk Characteristics - 3 Years Sector Distribution (%) Portfolio Benchmark Effective Duration 5.0 4.1 Avg. Maturity 7.4 4.4 Avg. Quality A AA Yield To Maturity (%)2.9 1.5 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBBelow BNot Rated63.0 6.5 13.5 17.1 0.0 0.0 0.0 0.0 35.1 12.0 18.5 24.2 5.5 3.4 0.6 0.6 Consistency Sharpe Ratio Information Ratio Up Market Capture Down Market Capture Total Fixed Income Composite 52.8 0.8 0.0 118.9 155.0 Barclays Intermediate U.S. Government/Credit 0.0 1.4 N/A 100.0 100.0 90 Day U.S. Treasury Bill 44.4 N/A -1.4 1.7 -1.0 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 36.4 28.6 35.0 0.0 0.0 11.1 16.8 26.7 28.9 5.8 10.8 Total Fixed Income Composite Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS55.8 4.2 27.1 0.0 0.0 0.0 10.9 2.1 0.0 0.0 0.0 0.0 14.5 0.1 31.9 4.9 1.9 10.2 10.3 6.5 1.7 2.5 6.9 8.5 Fixed Income Portfolio - Characteristics Total Fixed Income Composite vs. Barclays Intermediate U.S. Government/Credit As of September 30, 2016 35 Manager Evaluation 36 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Vanguard Windsor II 4.1 7.4 12.2 8.2 14.8 5.9 -3.1 11.3 30.8 16.8 2.8 10.7 27.2 -36.6 2.3 18.4 Russell 1000 Value Index 3.5 10.0 16.2 9.7 16.2 5.9 -3.8 13.5 32.5 17.5 0.4 15.5 19.7 -36.8 -0.2 22.2 IM U.S. Large Cap Value Equity 4.0 7.0 12.5 7.8 14.5 5.2 -3.7 10.9 32.5 15.4 -2.4 12.7 24.1 -36.9 1.7 17.9 Vanguard Windsor II Rank 45 43 54 40 40 33 36 40 76 30 14 82 28 47 44 46 Vanguard Windsor II Russell 1000 Value Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 12.0 14.0 16.0 18.0 Return (%)9.6 9.7 9.8 9.9 10.0 10.1 10.2 10.3 Risk (Standard Deviation %) Russell 1000 Value Index Vanguard Windsor II Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary -4.1 -1.0 0.3 -0.7 4.1 1.7 7.5 -8.6 -4.0 -0.2 5.1 Allocation (Total: 0.7) 0.0 0.4 0.8-0.4-0.8 0.4 0.1 0.0 0.0 0.4 0.0 -0.2 -0.2 0.0 0.0 0.1 Stock (Total: -0.6) 0.0 0.6 1.2-0.6-1.2 0.0 0.0 0.0 0.1 0.2 0.0 -0.2 0.5 -0.2 -0.3 -0.6 Vanguard Windsor II 0.0 0.4 0.8 1.2-0.4-0.8-1.2 0.4 0.1 0.0 0.1 0.6 0.0 -0.4 0.4 -0.1 -0.3 -0.4 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of September 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 37 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)120,144 112,505 Median Mkt. Cap ($M)21,183 8,044 Price/Earnings ratio 16.5 17.0 Price/Book ratio 2.4 2.1 5 Yr. EPS Growth Rate (%)4.0 3.8 Current Yield (%)2.7 2.6 Debt to Equity 1.5 0.8 Number of Stocks 279 687 Beta (5 Years, Monthly)0.98 1.00 Consistency (5 Years, Monthly)41.67 1.00 Sharpe Ratio (5 Years, Monthly)1.29 1.39 Information Ratio (5 Years, Monthly)-0.60 - Up Market Capture (5 Years, Monthly)96.37 - Down Market Capture (5 Years, Monthly)103.28 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Medtronic PLC 3.4 1.2 2.2 0.6 Microsoft Corp 3.3 0.0 3.3 13.3 JPMorgan Chase & Co 3.1 2.3 0.8 8.0 Pfizer Inc 3.0 1.8 1.2 -3.0 Philip Morris International Inc 2.6 1.3 1.3 -3.4 Bank of America Corp 2.5 1.5 1.0 18.5 Raytheon Co.2.4 0.2 2.2 0.7 Johnson & Johnson 2.4 2.6 -0.2 -2.0 Wells Fargo & Co 2.3 1.9 0.4 -5.7 Merck & Co Inc.2.2 1.7 0.5 9.1 % of Portfolio 27.2 14.5 Distribution of Market Capitalization (%) Vanguard Windsor II Russell 1000 Value Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 43.5 30.7 20.6 5.2 51.4 34.5 10.9 3.2 Sector Weights (%) Vanguard Windsor II Russell 1000 Value Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Other Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.3 2.9 3.0 0.3 2.2 15.2 11.5 18.3 19.9 9.4 7.4 9.8 0.0 6.5 3.9 5.1 2.9 10.0 9.5 11.5 23.4 13.5 8.9 4.9 Manager Evaluation Vanguard Windsor II vs. Russell 1000 Value Index As of September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 38 Historical Performance Three Year Rolling Percentile Ranking Relative Performance Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Vanguard Institutional Index 3.8 7.8 15.4 11.1 16.3 7.2 1.4 13.7 32.3 16.0 2.1 15.0 26.6 -37.0 5.5 15.8 S&P 500 Index 3.9 7.8 15.4 11.2 16.4 7.2 1.4 13.7 32.4 16.0 2.1 15.1 26.5 -37.0 5.5 15.8 IM U.S. Large Cap Equity 4.3 5.5 12.0 9.1 14.9 6.5 0.1 10.9 32.5 15.3 -1.4 13.4 28.2 -37.9 6.8 13.0 Vanguard Institutional Index Rank 63 20 13 13 17 33 42 14 53 41 19 33 58 39 59 29 Vanguard Institutional Index S&P 500 Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 Cumulative Annualized Over/Under Relative Performance Over/Under Performance 0.0 0.1 0.2 -0.1 -0.2Return (%)12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Vanguard Institutional Index 16.3 11.0 15.8 0.0 1.0 1.4 0.0 -1.8 5.5 30.0 17y S&P 500 Index 16.4 11.0 15.8 0.0 1.0 1.4 0.0 N/A 5.5 0.0 17y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 11.0 -1.4 0.0 31.7 17y Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of September 30, 2016 39 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)144,170 144,118 Median Mkt. Cap ($M)19,143 18,964 Price/Earnings ratio 19.7 19.7 Price/Book ratio 3.2 3.2 5 Yr. EPS Growth Rate (%)7.8 7.8 Current Yield (%)2.1 2.1 Debt to Equity 1.4 1.4 Number of Stocks 505 505 Beta (5 Years, Monthly)1.00 1.00 Consistency (5 Years, Monthly)30.00 1.00 Sharpe Ratio (5 Years, Monthly)1.43 1.43 Information Ratio (5 Years, Monthly)-1.79 - Up Market Capture (5 Years, Monthly)99.93 - Down Market Capture (5 Years, Monthly)100.07 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Apple Inc 3.3 3.3 0.0 18.9 Microsoft Corp 2.4 2.4 0.0 13.3 Exxon Mobil Corp 1.9 1.9 0.0 -6.1 Amazon.com Inc 1.8 1.8 0.0 17.0 Johnson & Johnson 1.7 1.7 0.0 -2.0 Facebook Inc 1.6 1.6 0.0 12.2 General Electric Co 1.4 1.4 0.0 -5.2 Berkshire Hathaway Inc 1.4 1.5 -0.1 -0.2 AT&T Inc 1.3 1.3 0.0 -5.0 JPMorgan Chase & Co 1.3 1.3 0.0 8.0 % of Portfolio 18.1 18.2 Distribution of Market Capitalization (%) Vanguard Institutional Index S&P 500 Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 51.1 34.1 14.3 0.4 51.1 34.1 14.3 0.4 Sector Weights (%) Vanguard Institutional Index S&P 500 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 3.3 2.6 3.1 2.9 21.2 9.7 14.7 12.8 7.3 9.9 12.5 3.3 2.6 3.1 2.9 21.2 9.7 14.7 12.8 7.3 9.9 12.5 Manager Evaluation Vanguard Institutional Index vs. S&P 500 Index As of September 30, 2016 40 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 T. Rowe Price LCC Growth 7.5 1.4 11.4 11.6 17.9 9.2 11.3 9.3 41.4 18.5 1.5 16.4 43.0 -42.6 13.0 9.1 Russell 1000 Growth Index 4.6 6.0 13.8 11.8 16.6 8.8 5.7 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 IM U.S. Large Cap Growth Equity 5.8 3.2 10.9 10.0 15.2 7.8 5.5 10.5 34.0 14.9 -1.8 15.1 35.1 -39.9 13.8 6.7 T. Rowe Price LCC Growth Rank 19 77 41 20 5 15 5 66 6 18 20 35 20 72 56 23 T. Rowe Price LCC Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 14.0 16.0 18.0 20.0 Return (%)8.0 8.8 9.6 10.4 11.2 12.0 12.8 13.6 14.4 Risk (Standard Deviation %) Russell 1000 Growth Index T. Rowe Price LCC Growth Average Active Weight 0.0 10.0 20.0-10.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary -0.1 -1.3 -3.0 -0.6 0.5 2.5 2.5 -0.6 -7.8 7.9 Allocation (Total: 0.5) 0.0 0.5 1.0 1.5-0.5-1.0 0.0 0.1 0.0 0.0 0.0 -0.1 -0.1 0.0 0.7 -0.1 Stock (Total: 2.7) 0.0 2.0 4.0-2.0 0.0 0.0 0.0 0.3 0.6 -0.7 0.4 0.0 0.1 2.0 T. Rowe Price LCC Growth 0.0 1.0 2.0 3.0-1.0-2.0 0.0 0.1 0.0 0.3 0.6 -0.7 0.4 0.0 0.8 1.8 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of September 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 41 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)156,583 147,012 Median Mkt. Cap ($M)33,424 9,005 Price/Earnings ratio 25.8 23.3 Price/Book ratio 4.7 5.5 5 Yr. EPS Growth Rate (%)14.8 11.7 Current Yield (%)0.8 1.5 Debt to Equity 1.2 1.7 Number of Stocks 142 599 Beta (5 Years, Monthly)1.13 1.00 Consistency (5 Years, Monthly)60.00 1.00 Sharpe Ratio (5 Years, Monthly)1.28 1.39 Information Ratio (5 Years, Monthly)0.33 - Up Market Capture (5 Years, Monthly)111.20 - Down Market Capture (5 Years, Monthly)116.04 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 9.2 3.1 6.1 17.0 Facebook Inc 5.0 2.7 2.3 12.2 Google Inc (Class C)4.4 2.2 2.2 12.3 Priceline Group Inc (The)4.1 0.7 3.4 17.9 Visa Inc 3.0 1.5 1.5 11.7 Microsoft Corp 2.9 4.1 -1.2 13.3 Mastercard Inc 2.6 0.9 1.7 15.8 Alphabet Inc 2.6 2.2 0.4 14.3 Danaher Corp 2.4 0.1 2.3 1.6 Alibaba Group Holding Ltd 2.2 0.0 2.2 33.0 % of Portfolio 38.4 17.5 Distribution of Market Capitalization (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil 48.1 30.7 17.7 3.4 45.9 42.8 11.3 0.0 Sector Weights (%) T. Rowe Price Large-Cap Core Growth Russell 1000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.1 0.0 2.0 0.8 33.1 7.7 20.1 7.3 0.0 3.3 25.6 0.1 1.2 2.8 3.6 31.5 10.4 16.8 2.7 0.6 9.6 20.6 Manager Evaluation T. Rowe Price Large-Cap Core Growth vs. Russell 1000 Growth Index As of September 30, 2016 42 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Holland Large Cap Growth 3.9 3.0 9.3 9.1 13.9 8.1 7.1 7.2 30.3 13.1 4.3 15.3 40.0 -33.8 9.4 6.4 Russell 1000 Growth Index 4.6 6.0 13.8 11.8 16.6 8.8 5.7 13.1 33.5 15.3 2.6 16.7 37.2 -38.4 11.8 9.1 IM U.S. Large Cap Growth Equity 5.8 3.2 10.9 10.0 15.2 7.8 5.5 10.5 34.0 14.9 -1.8 15.1 35.1 -39.9 13.8 6.7 Holland Large Cap Growth Rank 85 55 74 69 80 40 32 90 81 73 5 49 30 5 80 53 Holland Large Cap Growth Russell 1000 Growth Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 9.0 12.0 15.0 18.0 21.0 Return (%)9.0 9.2 9.4 9.6 9.8 10.0 10.2 10.4 Risk (Standard Deviation %) Russell 1000 Growth Index Holland Large Cap Growth Average Active Weight 0.0 3.0 6.0-3.0-6.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.1 -0.3 -2.3 1.3 1.6 -2.3 -2.6 -0.6 1.0 1.2 2.9 Allocation (Total: 0.0) 0.0 0.2-0.2-0.4 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.0 -0.1 0.0 -0.1 Stock (Total: -0.3) 0.0 0.4 0.8-0.4-0.8 0.0 0.1 0.0 -0.3 0.0 0.0 0.4 0.0 -0.2 -0.2 0.0 Holland Large Cap Growth 0.0 0.4 0.8-0.4-0.8 0.0 0.1 0.0 -0.2 0.0 0.0 0.5 0.0 -0.3 -0.2 -0.1 Manager Evaluation Holland Large Cap Growth vs. Russell 1000 Growth Index As of September 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 43 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)132,992 147,012 Median Mkt. Cap ($M)40,076 9,005 Price/Earnings ratio 24.4 23.3 Price/Book ratio 5.2 5.5 5 Yr. EPS Growth Rate (%)13.3 11.7 Current Yield (%)1.1 1.5 Debt to Equity 0.9 1.7 Number of Stocks 52 599 Beta (5 Years, Monthly)1.04 1.00 Consistency (5 Years, Monthly)46.67 1.00 Sharpe Ratio (5 Years, Monthly)1.12 1.39 Information Ratio (5 Years, Monthly)-0.78 - Up Market Capture (5 Years, Monthly)95.06 - Down Market Capture (5 Years, Monthly)112.37 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Amazon.com Inc 4.8 3.1 1.7 17.0 Visa Inc 4.8 1.5 3.3 11.7 Google Inc (Class C)4.6 2.2 2.4 12.3 Apple Inc 3.9 5.4 -1.5 18.9 Adobe Systems Inc 3.6 0.5 3.1 13.3 Priceline Group Inc (The)3.4 0.7 2.7 17.9 Microsoft Corp 3.2 4.1 -0.9 13.3 Honeywell International Inc 2.9 0.8 2.1 0.7 United Parcel Service Inc 2.7 0.7 2.0 2.2 CVS Health Corp 2.7 0.9 1.8 -6.6 % of Portfolio 36.6 19.9 Distribution of Market Capitalization (%) Holland Capital Management Russell 1000 Growth Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 48.1 30.7 17.7 3.4 0.0 43.5 31.7 20.3 0.7 3.9 Sector Weights (%) Holland Capital Management Russell 1000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.9 0.0 1.0 0.0 1.3 32.6 12.1 13.6 3.5 0.0 10.5 21.5 0.0 0.1 1.2 2.8 3.6 31.5 10.4 16.8 2.7 0.6 9.6 20.6 Manager Evaluation Holland Capital Management vs. Russell 1000 Growth Index As of September 30, 2016 44 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Kennedy Mid Cap Value 7.0 14.6 16.0 8.9 15.8 N/A -9.9 15.8 33.3 13.6 -0.8 27.0 34.8 -27.0 N/A N/A Russell Midcap Value Index 4.4 13.7 17.3 10.5 17.4 7.9 -4.8 14.7 33.5 18.5 -1.4 24.8 34.2 -38.4 -1.4 20.2 IM U.S. Mid Cap Value Equity 5.0 10.5 13.7 8.1 15.5 6.8 -5.8 10.6 35.8 16.0 -4.2 22.5 35.6 -38.1 0.6 14.4 Kennedy Mid Cap Value Rank 16 9 17 31 40 N/A 84 5 69 85 19 12 51 1 N/A N/A Kennedy Mid Cap Value Russell Midcap Value Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 12.0 14.0 16.0 18.0 20.0 Return (%)9.6 10.2 10.8 11.4 12.0 12.6 13.2 13.8 Risk (Standard Deviation %) Russell Midcap Value Index Kennedy Mid Cap Value Average Active Weight 0.0 6.0 12.0-6.0-12.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.5 -1.5 -1.8 6.5 -2.2 0.2 -4.4 -1.0 0.1 2.9 3.9 Allocation (Total: 0.8) 0.0 0.4 0.8 1.2-0.4-0.8 0.3 0.1 0.0 0.6 -0.1 0.0 0.0 0.0 0.0 0.1 -0.2 Stock (Total: 1.9) 0.0 0.8 1.6 2.4-0.8-1.6 0.3 0.0 0.1 1.2 -0.1 -0.1 0.8 -0.4 -0.1 0.3 0.0 Kennedy Mid Cap Value 0.0 0.8 1.6 2.4 3.2-0.8-1.6 0.5 0.1 0.1 1.8 -0.2 -0.1 0.8 -0.4 -0.1 0.4 -0.2 Manager Evaluation Kennedy Mid Cap Value vs. Russell Midcap Value Index As of September 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 45 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)9,642 12,678 Median Mkt. Cap ($M)8,147 6,092 Price/Earnings ratio 20.6 18.2 Price/Book ratio 2.4 2.1 5 Yr. EPS Growth Rate (%)9.3 6.7 Current Yield (%)1.9 2.3 Debt to Equity 1.8 0.8 Number of Stocks 59 561 Beta (5 Years, Monthly)1.13 1.00 Consistency (5 Years, Monthly)51.67 1.00 Sharpe Ratio (5 Years, Monthly)1.14 1.43 Information Ratio (5 Years, Monthly)-0.35 - Up Market Capture (5 Years, Monthly)100.96 - Down Market Capture (5 Years, Monthly)116.60 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Concho Resources Inc 2.9 0.6 2.3 15.2 Reinsurance Group of America Inc.2.8 0.2 2.6 11.7 ON Semiconductor Corp 2.6 0.1 2.5 39.7 Zions Bancorporation 2.3 0.2 2.1 23.8 Reliance Steel & Aluminum Co 2.2 0.2 2.0 -5.8 Helmerich & Payne Inc.2.2 0.2 2.0 1.4 Alexandria Real Estate Equities Inc.2.1 0.2 1.9 5.8 DTE Energy Co 2.1 0.5 1.6 -4.7 UGI Corp 2.1 0.2 1.9 0.5 Xcel Energy Inc.2.1 0.6 1.5 -7.4 % of Portfolio 23.4 3.0 Distribution of Market Capitalization (%) Kennedy Capital Management Russell Midcap Value Index 0.0 25.0 50.0 75.0 100.0 $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 19.0 64.6 16.4 0.0 9.9 72.1 14.4 3.6 Sector Weights (%) Kennedy Capital Management Russell Midcap Value Index 0.0 4.0 8.0 12.0 16.0 20.0 24.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 3.6 9.8 0.0 13.7 4.2 14.0 10.3 4.7 14.6 11.3 2.0 11.9 0.0 11.6 1.4 15.2 6.1 8.9 11.1 4.7 17.6 10.3 3.3 9.6 Manager Evaluation Kennedy Capital Management vs. Russell Midcap Value Index As of September 30, 2016 46 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 TimesSquare Small Cap Growth 5.3 5.7 9.9 4.4 15.2 9.3 1.0 -2.5 47.7 13.1 2.6 27.3 35.7 -32.3 10.0 16.5 Russell 2000 Growth Index 9.2 7.5 12.1 6.6 16.1 8.3 -1.4 5.6 43.3 14.6 -2.9 29.1 34.5 -38.5 7.0 13.3 IM U.S. Small Cap Growth Equity 10.9 9.1 13.2 6.2 15.9 7.1 -3.3 1.6 42.9 12.0 -4.3 27.0 33.0 -42.6 7.7 9.5 TimesSquare Small Cap Growth Rank 99 86 76 69 60 8 23 81 21 39 7 46 39 1 35 13 TimesSquare Small Cap Growth Russell 2000 Growth Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 13.5 14.4 15.3 16.2 17.1 18.0 Return (%)14.0 14.1 14.2 14.3 14.4 14.5 Risk (Standard Deviation %) Russell 2000 Growth Index TimesSquare Small Cap Growth Average Active Weight 0.0 8.0 16.0-8.0-16.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -0.9 -0.1 -1.8 2.4 7.7 -5.8 -4.3 1.6 -2.8 -1.2 5.2 Allocation (Total: 0.2) 0.0 0.4 0.8-0.4-0.8 0.1 0.0 -0.1 0.1 -0.2 -0.2 0.2 0.2 0.3 0.1 -0.5 Stock (Total: -3.6) 0.0 2.0 4.0-2.0-4.0 0.0 0.0 -0.5 -1.6 -0.4 -2.2 0.4 -0.4 0.1 1.1 0.0 TimesSquare Small Cap Growth 0.0 2.0 4.0-2.0-4.0 0.1 0.0 -0.5 -1.5 -0.5 -2.5 0.6 -0.2 0.3 1.1 -0.5 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of September 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 47 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)2,189 1,992 Median Mkt. Cap ($M)1,827 847 Price/Earnings ratio 27.0 25.4 Price/Book ratio 3.5 3.8 5 Yr. EPS Growth Rate (%)10.0 12.0 Current Yield (%)0.7 0.8 Debt to Equity 0.5 0.3 Number of Stocks 93 1,154 Beta (5 Years, Monthly)0.86 1.00 Consistency (5 Years, Monthly)46.67 1.00 Sharpe Ratio (5 Years, Monthly)1.05 1.01 Information Ratio (5 Years, Monthly)-0.26 - Up Market Capture (5 Years, Monthly)86.72 - Down Market Capture (5 Years, Monthly)79.60 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) MKS Instruments Inc 2.3 0.0 2.3 15.9 On Assignment Inc 2.1 0.2 1.9 -1.8 Ultimate Software Group Inc 2.0 0.0 2.0 -2.8 WEX Inc 1.9 0.0 1.9 21.9 Albany International Corp.1.9 0.0 1.9 6.6 Paycom Software Inc 1.8 0.3 1.5 16.0 Monro Muffler Brake Inc 1.8 0.2 1.6 -3.5 Kennedy-Wilson Holdings Inc 1.8 0.1 1.7 19.7 Bright Horizons Family Solutions Inc 1.8 0.3 1.5 0.9 ExlService Holdings Inc 1.8 0.2 1.6 -4.9 % of Portfolio 19.2 1.3 Distribution of Market Capitalization (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 50.0 100.0 150.0 $5 Bil - $20 Bil $0 - $5 Bil Cash 0.6 99.4 0.03.5 91.4 5.0 Sector Weights (%) TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 5.0 0.0 0.8 2.9 2.5 27.9 23.6 15.5 3.6 2.7 0.5 14.8 0.0 0.8 0.8 5.4 4.9 25.5 15.5 23.4 4.8 1.2 3.1 14.7 Manager Evaluation TimesSquare Small Cap Growth vs. Russell 2000 Growth Index As of September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 48 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Morgan Stanley International Equity 2.5 0.4 3.4 0.0 7.4 2.6 0.4 -6.1 20.4 19.6 -7.6 6.1 21.6 -33.1 9.8 22.5 MSCI EAFE Index 6.4 1.7 6.5 0.5 7.4 1.8 -0.8 -4.9 22.8 17.3 -12.1 7.8 31.8 -43.4 11.2 26.3 IM International Equity 6.6 5.4 9.2 0.7 7.0 2.6 -2.8 -4.5 17.3 18.6 -14.9 12.9 36.4 -46.0 13.2 26.2 Morgan Stanley International Equity Rank 97 85 86 63 44 51 31 68 38 40 7 89 92 3 70 78 Morgan Stanley International Equity MSCI EAFE Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 7.3 7.4 7.5 Return (%)10.0 10.4 10.8 11.2 11.6 12.0 12.4 Risk (Standard Deviation %) MSCI EAFE Index Morgan Stanley International Equity Average Active Weight 0.0 20.0 40.0-20.0 Utilities Telecommunication Services Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -3.9 -2.5 0.9 1.3 -5.4 3.7 -8.1 -3.0 19.2 -4.4 2.1 Allocation (Total: -1.1) 0.0 0.6 1.2-0.6-1.2-1.8 0.3 0.2 0.1 0.1 -0.1 -0.3 -0.3 0.2 -0.9 -0.2 -0.1 Stock (Total: -2.0) 0.0 0.8-0.8-1.6 0.0 -0.1 -1.1 0.1 -0.2 -0.2 0.0 0.2 -0.7 -0.1 0.0 Morgan Stanley International Equity 0.0 0.8 1.6-0.8-1.6-2.4 0.3 0.0 -1.0 0.3 -0.3 -0.5 -0.3 0.4 -1.6 -0.3 -0.1 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of September 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 49 Total Attribution 0.0 0.2 0.4 0.6 0.8-0.2-0.4-0.6-0.8-1.0-1.2-1.4-1.6-1.8-2.0-2.2 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -0.3 0.0 -0.7 0.1 -1.4 -0.6 0.0 -0.1 Performance Attribution Average Active Weight 0.0 15.0 30.0-15.0-30.0-45.0 Pacific Other North America Middle East Europe ex EMU EMU EM Asia Cash -19.8 0.0 3.0 -0.8 15.4 -0.9 0.9 2.1 Allocation (Total: -1.0) 0.0 0.3 0.6-0.3-0.6-0.9 -0.4 0.0 0.1 0.1 -0.5 0.0 0.0 -0.1 Stock (Total: -2.2) 0.0 0.4 0.8-0.4-0.8-1.2-1.6 0.2 0.0 -0.8 0.0 -0.9 -0.6 0.0 0.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index 1 Quarter Ending September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 50 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)72,178 54,719 Median Mkt. Cap ($M)24,675 9,134 Price/Earnings ratio 20.5 16.8 Price/Book ratio 3.1 2.3 5 Yr. EPS Growth Rate (%)2.4 3.5 Current Yield (%)3.0 3.4 Debt to Equity 2.4 1.1 Number of Stocks 63 927 Beta (5 Years, Monthly)0.87 1.00 Consistency (5 Years, Monthly)40.00 1.00 Sharpe Ratio (5 Years, Monthly)0.62 0.57 Information Ratio (5 Years, Monthly)-0.04 - Up Market Capture (5 Years, Monthly)90.70 - Down Market Capture (5 Years, Monthly)86.72 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) British American Tobacco PLC 4.9 1.0 3.9 0.0 Nestle SA, Cham Und Vevey 4.7 2.0 2.7 2.4 Unilever NV 4.7 0.6 4.1 0.0 Reckitt Benckiser Group PLC 4.6 0.5 4.1 -5.0 Novartis AG 3.7 1.4 2.3 -4.2 L'Oreal S.A., Paris 3.7 0.4 3.3 -1.1 Glaxosmithkline PLC 3.6 0.8 2.8 0.6 Japan Tobacco Inc 3.3 0.4 2.9 2.0 Roche Holding AG 3.1 1.4 1.7 -5.4 Imperial Brands PLC 2.9 0.4 2.5 -4.2 % of Portfolio 39.2 8.9 Distribution of Market Capitalization (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 25.9 39.4 30.1 4.6 0.0 40.7 33.8 20.5 3.0 2.1 Sector Weights (%) Morgan Stanley International Equity MSCI EAFE Index 0.0 8.0 16.0 24.0 32.0 40.0 Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 2.1 0.0 2.4 1.1 7.7 6.7 11.1 15.1 15.0 2.3 31.3 5.2 0.0 3.7 4.8 4.0 7.5 5.5 14.1 11.4 19.2 4.8 12.8 12.2 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 51 Morgan Stanley International Equity MSCI EAFE Index Australia 0.0 7.3 Hong Kong 0.8 3.3 Japan 16.4 23.8 New Zealand 0.0 0.2 Singapore 0.0 1.3 Pacific 17.2 35.9 Austria 0.0 0.2 Belgium 0.9 1.4 Finland 0.0 1.0 France 10.3 9.7 Germany 7.8 9.0 Ireland 1.2 0.5 Italy 0.4 1.9 Netherlands 8.6 3.2 Portugal 0.0 0.1 Spain 0.0 3.0 EMU 29.2 30.1 Denmark 0.0 1.8 Norway 0.0 0.6 Sweden 1.0 2.8 Switzerland 14.3 9.0 United Kingdom 32.6 18.9 Europe ex EMU 48.0 33.1 Canada 2.6 0.0 United States 0.0 0.2 Israel 0.0 0.7 Middle East 0.0 0.7 Developed Markets 97.0 100.0 Morgan Stanley International Equity MSCI EAFE Index Brazil 0.0 0.0 Cayman Islands 0.0 0.0 Chile 0.0 0.0 Colombia 0.0 0.0 Mexico 0.0 0.0 Peru 0.0 0.0 Virgin Islands 0.0 0.0 EM Latin America 0.0 0.0 China 0.9 0.0 India 0.0 0.0 Indonesia 0.0 0.0 Korea 0.0 0.0 Malaysia 0.0 0.0 Philippines 0.0 0.0 Taiwan 0.0 0.0 Thailand 0.0 0.0 EM Asia 0.9 0.0 Czech Republic 0.0 0.0 Egypt 0.0 0.0 Greece 0.0 0.0 Hungary 0.0 0.0 Poland 0.0 0.0 Qatar 0.0 0.0 Russia 0.0 0.0 South Africa 0.0 0.0 Turkey 0.0 0.0 United Arab Emirates 0.0 0.0 EM Europe + Middle East + Africa 0.0 0.0 Emerging Markets 0.9 0.0 Frontier Markets 0.0 0.0 Cash 2.1 0.0 Other 0.0 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley International Equity vs. MSCI EAFE Index As of September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 52 Historical Performance Buy and Hold Attribution Risk and Return (Oct - 2011 - Sep - 2016)Three Year Rolling Percentile Ranking Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Morgan Stanley Emerging Markets 8.7 15.9 15.2 0.3 4.0 3.7 -10.3 -4.5 -0.8 20.2 -18.4 18.5 69.5 -56.4 41.6 38.0 MSCI Emerging Markets Index 9.0 16.0 16.8 -0.6 3.0 3.9 -14.9 -2.2 -2.6 18.2 -18.4 18.9 78.5 -53.3 39.4 32.2 IM Emerging Markets Equity 7.8 14.0 15.5 -0.6 3.5 3.4 -14.2 -3.0 -1.4 18.8 -19.5 18.3 72.7 -54.6 36.8 32.3 Morgan Stanley Emerging Markets Rank 36 37 52 35 39 45 25 69 46 33 35 48 62 69 22 12 Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 1.8 2.7 3.6 4.5 5.4 Return (%)11.2 11.9 12.6 13.3 14.0 14.7 15.4 Risk (Standard Deviation %) MSCI Emerging Markets Index Morgan Stanley Emerging Markets Average Active Weight 0.0 4.0 8.0-4.0-8.0 Utilities Telecommunication Services Other Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary Cash -2.2 -0.4 0.4 -0.5 -2.0 3.7 -0.8 -2.4 -4.4 1.7 4.1 2.9 Allocation (Total: -0.4) 0.0 0.3 0.6-0.3-0.6 0.2 0.0 0.0 0.0 -0.1 -0.2 0.1 0.0 0.0 -0.1 0.0 -0.3 Stock (Total: 0.3) 0.0 0.5 1.0-0.5-1.0 -0.1 0.0 0.0 0.2 0.3 -0.1 0.2 -0.4 0.0 0.4 -0.2 0.0 Morgan Stanley Emerging Markets 0.0 0.3 0.6-0.3-0.6-0.9 0.1 0.0 0.0 0.2 0.1 -0.3 0.3 -0.5 0.0 0.3 -0.2 -0.3 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of September 30, 2016 Differences between the manager return and the attribution return are due primarily to the effects of fees and portfolio trading. 53 Total Attribution 0.0 0.2 0.4 0.6 0.8-0.2-0.4-0.6-0.8-1.0-1.2 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash 0.0 0.2 0.2 0.0 0.0 0.3 0.0 0.0 -0.7 -0.3 Performance Attribution Average Active Weight 0.0 6.0 12.0-6.0-12.0-18.0 Pacific Other North America Frontier Markets Europe ex EMU EMU EM Latin America EM Europe + Middle East + Africa EM Asia Cash 1.6 2.3 1.7 1.4 0.7 3.6 2.4 -5.2 -11.5 2.9 Allocation (Total: 0.5) 0.0 0.2 0.4 0.6-0.2-0.4-0.6 0.0 0.2 0.2 0.0 0.0 0.3 -0.1 0.2 -0.2 -0.3 Stock (Total: -0.6) 0.0 0.3 0.6-0.3-0.6-0.9 0.0 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 -0.5 0.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index 1 Quarter Ending September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 54 Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M)47,123 53,564 Median Mkt. Cap ($M)7,266 4,828 Price/Earnings ratio 14.9 13.6 Price/Book ratio 2.6 2.4 5 Yr. EPS Growth Rate (%)9.2 7.0 Current Yield (%)2.2 2.5 Debt to Equity 0.9 0.9 Number of Stocks 137 833 Beta (5 Years, Monthly)0.82 1.00 Consistency (5 Years, Monthly)50.00 1.00 Sharpe Ratio (5 Years, Monthly)0.34 0.25 Information Ratio (5 Years, Monthly)0.12 - Up Market Capture (5 Years, Monthly)85.25 - Down Market Capture (5 Years, Monthly)79.46 - Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) Tencent Holdings LTD 4.8 3.8 1.0 21.0 Taiwan Semiconductor Manufacturing 3.0 3.5 -0.5 15.6 Samsung Electronics Co Ltd 2.9 3.6 -0.7 17.5 China Mobile Ltd 2.3 1.8 0.5 7.6 Naspers Ltd 2.1 1.9 0.2 13.1 China Construction Bank Corp 1.9 1.5 0.4 12.3 Fomento Economico Mex 1.9 0.4 1.5 -0.5 Credicorp Ltd 1.6 0.3 1.3 -1.4 Samsung Electronics Co Ltd 1.6 0.5 1.1 14.2 Samsonite International SA 1.5 0.0 1.5 16.1 % of Portfolio 23.6 17.3 Distribution of Market Capitalization (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 15.0 30.0 45.0 60.0 >$75 Bil $20 Bil - $75 Bil $5 Bil - $20 Bil $0 - $5 Bil Cash 20.1 25.1 37.5 17.3 0.0 20.2 16.0 38.9 22.1 2.9 Sector Weights (%) Morgan Stanley Emerging Markets MSCI Emerging Markets Index 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Other Cash Utilities Telecommunication Services Real Estate Materials Information Technology Industrials Health Care Financials Energy Consumer Staples Consumer Discretionary 0.4 2.7 0.8 5.8 1.3 6.2 22.0 9.2 1.9 22.6 2.5 9.9 14.6 0.0 0.0 2.9 6.1 2.7 6.4 23.9 5.9 2.6 23.7 7.3 7.9 10.6 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 55 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Australia 0.0 0.0 Hong Kong 1.3 0.3 Japan 0.6 0.0 New Zealand 0.0 0.0 Singapore 0.0 0.0 Pacific 1.9 0.3 Austria 1.5 0.0 Belgium 0.0 0.0 Finland 0.0 0.0 France 0.0 0.0 Germany 0.0 0.0 Ireland 0.0 0.0 Italy 0.0 0.0 Netherlands 1.5 0.0 Portugal 0.9 0.0 Spain 0.0 0.0 EMU 3.9 0.0 Denmark 0.0 0.0 Norway 0.0 0.0 Sweden 0.0 0.0 Switzerland 0.7 0.0 United Kingdom 0.0 0.0 Europe ex EMU 0.7 0.0 Canada 0.0 0.0 United States 1.9 0.0 Israel 0.0 0.0 Middle East 0.0 0.0 Developed Markets 8.4 0.3 Morgan Stanley Emerging Markets MSCI Emerging Markets Index Brazil 6.1 7.4 Cayman Islands 0.0 0.0 Chile 0.6 1.1 Colombia 0.7 0.5 Mexico 6.2 3.7 Peru 1.9 0.4 Virgin Islands 0.0 0.0 EM Latin America 15.6 13.0 China 17.1 26.7 India 10.0 8.5 Indonesia 3.3 2.7 Korea 12.4 14.9 Malaysia 0.0 2.7 Philippines 3.7 1.3 Taiwan 10.4 12.1 Thailand 1.8 2.2 EM Asia 58.6 71.1 Czech Republic 0.2 0.1 Egypt 0.5 0.2 Greece 0.0 0.3 Hungary 0.0 0.3 Poland 2.3 1.1 Qatar 0.0 0.9 Russia 0.0 3.7 South Africa 6.5 7.1 Turkey 1.1 1.2 United Arab Emirates 0.0 0.8 EM Europe + Middle East + Africa 10.6 15.7 Emerging Markets 84.8 99.7 Frontier Markets 1.4 0.0 Cash 2.7 0.0 Other 2.6 0.0 Total 100.0 100.0 Manager Evaluation Morgan Stanley Emerging Markets vs. MSCI Emerging Markets Index As of September 30, 2016 _______________________________ Holdings as of June 30, 2016 as more recent data was unavailable at time of report production. 56 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016) Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Income Research 0.2 4.3 3.6 2.8 3.0 4.8 0.9 3.3 -0.9 5.9 5.6 6.2 14.4 0.8 7.4 4.5 Barclays Intermediate U.S. Government/Credit 0.2 4.2 3.5 2.8 2.4 4.2 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 4.1 IM U.S. Intermediate Duration Fixed Income 0.3 3.3 2.8 2.0 1.9 3.6 0.4 2.2 -1.3 2.9 5.0 5.1 7.3 1.9 5.7 3.7 Income Research Rank 56 18 20 17 15 6 21 33 41 17 40 23 20 53 8 10 Income Research Barclays Intermediate U.S. Government/Credit 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 1.5 2.0 2.5 3.0 3.5 4.0 Return (%)1.7 1.8 1.9 2.0 2.1 Risk (Standard Deviation %) Barclays Intermediate U.S. Government/Credit Income Research Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Income Research 3.0 2.1 2.9 0.5 1.0 1.4 0.5 1.0 1.0 56.7 19y 8m Barclays Intermediate U.S. Government/Credit 2.4 2.0 2.4 0.0 1.0 1.2 0.0 N/A 1.0 0.0 19y 8m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.0 -1.2 0.0 40.0 19y 8m Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of September 30, 2016 57 Portfolio Characteristics Portfolio Benchmark Effective Duration 3.9 4.1 Avg. Maturity 4.6 4.4 Avg. Quality AA-AA Yield To Maturity (%)1.8 1.5 Credit Quality Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 20.0 40.0 60.0 80.0 AAAAAABBBNot Rated63.0 6.5 13.5 17.1 0.0 50.0 7.7 16.0 25.6 0.7 Maturity Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs0.0 36.4 28.6 35.0 0.0 14.4 17.9 39.8 24.4 3.5 Sector Distribution (%) Income Research Barclays Intermediate U.S. Government/Credit 0.0 25.0 50.0 75.0 100.0 TreasuriesAgenciesCreditMBSABSNon-USEmergingMunicipalsCashOtherCMBS55.8 4.2 27.1 0.0 0.0 10.9 2.1 0.0 0.0 0.0 0.0 29.2 0.0 41.2 0.7 7.0 0.0 0.0 2.9 0.7 6.9 11.4 Manager Evaluation Income Research vs. Barclays Intermediate U.S. Government/Credit As of September 30, 2016 58 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016) Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Prudential Core Plus Bond Fund 1.6 8.8 8.0 5.4 5.4 6.4 -0.1 7.1 -1.0 10.6 7.6 9.6 18.7 -2.1 4.6 5.1 Blmbg. Barc. U.S. Aggregate 0.5 5.8 5.2 4.0 3.1 4.8 0.5 6.0 -2.0 4.2 7.8 6.5 5.9 5.2 7.0 4.3 IM U.S. Broad Market Core+ Fixed Income 1.3 6.7 6.0 4.0 3.9 5.2 -0.4 5.3 -1.1 8.2 6.1 8.2 14.2 -2.2 5.6 4.1 Prudential Core Plus Bond Fund Rank 30 10 7 7 2 5 43 13 47 9 20 28 25 49 78 19 Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 0.0 2.0 4.0 6.0 8.0 10.0 Return (%)2.4 2.7 3.0 3.3 3.6 3.9 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 Date Prudential Core Plus Bond Fund 5.4 3.6 5.2 1.6 1.2 1.5 1.7 1.3 1.9 63.3 17y 4m Blmbg. Barc. U.S. Aggregate 3.1 2.6 3.0 0.0 1.0 1.1 0.0 N/A 1.4 0.0 17y 4m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 2.6 -1.1 0.0 36.7 17y 4m Manager Evaluation Prudential Core Plus Bond Fund vs. Blmbg. Barc. U.S. Aggregate As of September 30, 2016 59 Portfolio Characteristics Portfolio Benchmark Effective Duration 5.7 5.5 Avg. Maturity 7.5 7.8 Avg. Quality A-AA+ Yield To Maturity (%)3.5 2.0 Credit Quality Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 25.0 50.0 75.0 100.0 AAAAAABBBBBBBelow BNot Rated70.5 4.9 10.8 13.8 0.0 0.0 0.0 0.0 34.4 5.1 14.1 24.5 10.1 9.8 1.0 1.0 Maturity Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 20.7 30.7 32.5 3.6 12.5 7.5 13.7 26.7 37.4 4.0 10.7 Sector Distribution (%) Prudential Core Plus Bond Fund Blmbg. Barc. U.S. Aggregate 0.0 15.0 30.0 45.0 60.0 TreasuriesAgenciesCreditHigh YieldMBSABSNon-USEmergingMunicipalsCashOtherCMBS36.3 3.3 21.8 0.0 27.7 0.5 6.9 1.9 0.0 0.0 0.0 1.6 5.4 0.3 31.2 14.7 3.1 22.1 1.8 5.8 1.0 2.8 0.3 11.6 Manager Evaluation Prudential Core Plus Bond Fund vs. Blmbg. Barc. U.S. Aggregate As of September 30, 2016 60 Historical Performance Three Year Rolling Percentile Ranking Risk and Return (Oct-2011 - Sep-2016) Historical Statistics - Monthly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Brandywine Global Opportunistic Fixed Income 1.7 12.1 11.4 2.9 3.9 6.4 -8.4 6.3 -3.5 14.1 8.0 13.9 20.5 -8.5 10.6 8.4 Citigroup World Government Bond Index 0.3 11.1 9.7 1.8 0.8 4.1 -3.6 -0.5 -4.0 1.6 6.4 5.2 2.6 10.9 11.0 6.1 IM Global Fixed Income 1.5 7.7 7.1 2.3 2.6 4.4 -3.7 2.0 -2.5 7.4 4.1 6.2 12.1 -2.6 7.4 5.8 Brandywine Global Opportunistic Fixed Income Rank 43 3 1 39 20 1 97 11 72 5 8 1 24 72 3 1 Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0 25 50 75 100Return Percentile Rank12/06 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 9/16 -6.0 -3.0 0.0 3.0 6.0 9.0 Return (%)4.8 5.1 5.4 5.7 6.0 6.3 6.6 6.9 Risk (Standard Deviation %) Citigroup World Government Bond Index Brandywine Global Opportunistic Fixed Income Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Brandywine Global Opportunistic Fixed Income 3.9 7.1 4.0 3.2 1.1 0.6 5.1 0.6 4.4 55.0 11y 9m Citigroup World Government Bond Index 0.8 4.7 0.8 0.0 1.0 0.2 0.0 N/A 3.2 0.0 11y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.7 -0.2 0.0 50.0 11y 9m Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of September 30, 2016 61 Portfolio Characteristics Portfolio Benchmark Effective Duration 5.7 8.1 Avg. Maturity 11.7 8.8 Avg. Quality A AA- Yield To Maturity (%)3.7 0.7 Credit Quality Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 20.0 40.0 60.0 80.0 AAAAAABBBBBBBelow B12.3 49.9 25.6 12.2 0.0 0.0 0.0 13.2 27.4 28.0 21.8 8.2 0.6 0.8 Maturity Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 15.0 30.0 45.0 < 1 Yr1 < 3 Yrs3 < 5 Yrs5 < 10 Yrs10 < 20 Yrs> 20 Yrs0.0 23.1 19.6 26.3 15.5 15.5 10.5 19.2 6.5 24.8 11.5 27.5 Sector Distribution (%) Brandywine Global Opportunistic Fixed Income Citigroup World Government Bond Index 0.0 25.0 50.0 75.0 100.0 TreasuriesCreditHigh YieldMBSNon-USEmergingMunicipalsCashOther34.2 0.0 0.0 0.0 65.8 0.0 0.0 0.0 0.03.6 18.3 0.1 2.2 37.3 17.3 0.8 5.1 15.4 Manager Evaluation Brandywine Global Opportunistic Fixed Income vs. Citigroup World Government Bond Index As of September 30, 2016 62 Historical Performance Comparative Performance and Rolling Return Risk and Return (Oct-2011 - Sep-2016) Historical Statistics - Quarterly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Lighthouse Global Long/Short Fund Limited 2.5 -0.4 3.6 5.5 7.4 5.4 7.4 4.9 20.2 6.1 -2.1 5.2 10.1 -14.1 13.9 11.3 HFRI Equity Hedge (Total) Index 4.6 4.2 6.0 3.2 5.6 3.3 -1.0 1.8 14.3 7.4 -8.4 10.5 24.6 -26.7 10.5 11.7 Rolling 3 Years Active Return Quarterly Active Return 0.0 8.0 16.0 -8.0 -16.0Active Return (%)3/04 6/05 9/06 12/07 3/09 6/10 9/11 12/12 3/14 6/15 9/16 2.0 4.0 6.0 8.0 10.0 Return (%)4.5 4.8 5.1 5.4 5.7 6.0 6.3 6.6 6.9 Risk (Standard Deviation %) HFRI Equity Hedge (Total) Index Lighthouse Global Long/Short Fund Limited Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Lighthouse Global Long/Short Fund Limited 7.4 5.1 7.3 3.8 0.6 1.4 4.1 0.4 2.4 55.0 12y 9m HFRI Equity Hedge (Total) Index 5.6 6.2 5.6 0.0 1.0 0.9 0.0 N/A 3.6 0.0 12y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 6.2 -0.9 0.0 30.0 12y 9m Manager Evaluation Lighthouse Global Long/Short Fund Limited vs. HFRI Equity Hedge (Total) Index As of September 30, 2016 63 Portfolio Characteristics Portfolio Manager Count 25 Net Exposure %18.2 Leverage 119.6 # Managers Funded 3 # Managers Redeemed 1 Region Allocation (Net Geographic Exposure) Asia 11.6% Europe 21.9% Latin America 7.7% United States 58.8% Strategy Allocation Value 11.9% Trading 18.5% Event Driven 15.5% Sector Specialist 54.1% Manager Evaluation Lighthouse Global Long/Short Fund Limited As of September 30, 2016 64 Historical Performance Comparative Performance and Rolling Return Risk and Return (Oct-2011 - Sep-2016) Historical Statistics - Quarterly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Entrust Capital Diversified Fund 1.9 -1.5 -3.9 -1.1 3.0 3.3 -7.3 1.8 13.2 7.4 -4.7 11.1 35.2 -26.0 9.9 12.8 HFRI Fund of Funds Composite Index 2.4 -0.3 0.5 2.2 3.2 1.8 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 10.4 Rolling 3 Years Active Return Quarterly Active Return 0.0 6.0 12.0 18.0 -6.0 -12.0Active Return (%)12/03 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 9/16 2.6 2.8 3.0 3.2 3.4 Return (%)3.2 3.6 4.0 4.4 4.8 5.2 5.6 6.0 6.4 Risk (Standard Deviation %) HFRI Fund of Funds Composite Index Entrust Capital Diversified Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Entrust Capital Diversified Fund 3.0 5.2 3.0 -0.3 1.1 0.6 3.1 0.0 3.4 40.0 13y HFRI Fund of Funds Composite Index 3.2 4.0 3.1 0.0 1.0 0.8 0.0 N/A 2.4 0.0 13y 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 4.0 -0.8 0.0 20.0 13y Manager Evaluation Entrust Capital Diversified Fund vs. HFRI Fund of Funds Composite Index As of September 30, 2016 65 Portfolio Characteristics Portfolio Manager Count 29 Net Exposure %58.3 Leverage 135.8 # Managers Funded 0 # Managers Redeemed 1 Region Allocation (Net Geographic Exposure) Asia 0.4% Europe 14.7% Latin America 14.9% US/Canada 70.0% Strategy Allocation Trading 10.2% Special Situations 17.5% Opportunistic 17.8% Long/Short -0.3 % Event Driven 0.2% Activist 26.0% Credit 28.5% Manager Evaluation Entrust Capital Diversified Fund As of September 30, 2016 66 Historical Performance Comparative Performance and Rolling Return Risk and Return (Oct-2011 - Sep-2016) Historical Statistics - Quarterly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 UBS Trumbull Property Fund 1.4 4.8 7.6 9.6 9.4 5.3 11.7 10.4 9.2 9.0 12.1 15.9 -22.9 -8.3 12.8 15.6 NCREIF Property Index 1.8 6.1 9.2 11.3 11.2 7.2 13.3 11.8 11.0 10.5 14.3 13.1 -16.8 -6.5 15.8 16.6 Rolling 3 Years Active Return Quarterly Active Return 0.0 5.0 10.0 -5.0 -10.0Active Return (%)3/78 6/81 9/84 12/87 3/91 6/94 9/97 12/00 3/04 6/07 9/10 12/13 9/16 6.0 8.0 10.0 12.0 14.0 Return (%)0.6 0.7 0.8 0.9 1.0 1.1 1.2 1.3 Risk (Standard Deviation %) NCREIF Property Index UBS Trumbull Property Fund Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date UBS Trumbull Property Fund 9.4 1.1 9.0 -0.6 0.9 8.3 0.8 -2.0 0.0 20.0 38y 9m NCREIF Property Index 11.2 0.8 10.7 0.0 1.0 12.9 0.0 N/A 0.0 0.0 38y 9m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.5 0.0 N/A 0.8 -12.9 0.0 0.0 38y 9m Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of September 30, 2016 67 Portfolio Characteristics Portfolio Benchmark # Properties 223 7,353 # Investors 441 N/A Total Fund Assets 19,500 505,332 Property Type UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 OfficeApartmentRetailIndustrialHotel36.9 24.5 23.2 14.2 1.2 30.0 32.0 22.0 12.0 4.0 Property Location UBS Trumbull Property Fund NCREIF Property Index 0.0 15.0 30.0 45.0 60.0 EastWestSouthMidwest33.4 37.4 20.2 9.0 35.0 38.0 15.0 12.0 Manager Evaluation UBS Trumbull Property Fund vs. NCREIF Property Index As of September 30, 2016 68 Type City Ac quis ition Da te % Occupa nc y Cos t ($000) Fa ir Market Value ($000) Offic e Bo ston Dec-11 100%652,764$ 746,000$ Offic e Ne w York Ju n-06 88%664,261$ 641,000$ Re tail Ca mb rid ge May-89 95%294,376$ 594,944$ Re tail Da lla s Dec-02 94%415,270$ 578,000$ Apartme nts Ne w York Ju l-11 97%391,572$ 524,000$ Offic e Ch ic ag o Dec-11 93%400,094$ 512,794$ Offic e Ne w York Ju l-11 92%212,598$ 509,020$ Offic e Ne w York Se p-14 94%286,157$ 479,185$ Re tail Ch ic ag o No v-13 96%228,856$ 478,219$ As of June 30,2016* 20 La rge st Inve st me nts Manager Evaluation UBS Trumbull Property Fund As of September 30, 2016 Re tail Ch ic ag o No v-13 96%228,856$ 478,219$ Offic e Po rt la nd Aug-15 97%374,155$ 408,503$ Re tail Eme ry ville Aug-14 92%308,521$ 318,000$ Re tail Montebello Dec-88 99%189,462$ 316,200$ Offic e Se attle Oc t-84 90%235,779$ 304,000$ Offic e Sa n Fra ncis co Dec-85 95%167,726$ 295,717$ Offic e De nver Ju n-06 85%183,922$ 284,000$ Offic e Washin gton Ju n-15 96%246,767$ 244,000$ Offic e Pa sadena May-84 95%189,411$ 242,000$ Re tail Millb ury Se p-04 99%156,000$ 207,700$ Offic e De nver Apr-82 92%148,117$ 200,000$ Offic e Pleas anton Dec-03 100%200,322$ 199,391$ All o ther in vestme nts ----11,878,359$ 14,325,679$ To tal Properties 17,824,489$ 22,408,352$ *Data not yet available for most recent quarter. 69 Historical Performance Comparative Performance and Rolling Return Risk and Return (Oct-2011 - Sep-2016) Historical Statistics - Quarterly Periodicity (Oct-2011 - Sep-2016) Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 Wellington Diversified Inflation Hedges 3.8 18.7 13.3 -5.7 -2.8 N/A -21.1 -12.8 -3.9 5.2 -8.6 N/A N/A N/A N/A N/A Wellington DIH Multi-Asset Inflation Index 0.7 15.5 12.0 -5.7 -2.7 0.3 -19.4 -11.4 -2.1 2.3 -7.0 12.7 30.0 -32.7 25.8 14.1 Rolling 3 Years Active Return Quarterly Active Return 0.0 3.0 6.0 -3.0 -6.0Active Return (%)6/10 3/11 12/11 9/12 6/13 3/14 12/14 9/15 9/16 -3.2 -3.0 -2.8 -2.6 -2.4 Return (%)11.5 12.0 12.5 13.0 13.5 14.0 14.5 Risk (Standard Deviation %) Wellington DIH Multi-Asset Inflation Index Wellington Diversified Inflation Hedges Return Standard Deviation Excess Return Alpha Beta Sharpe Ratio Tracking Error Information Ratio Downside Risk Consistency Inception Date Wellington Diversified Inflation Hedges -2.8 13.6 -2.0 0.2 1.1 -0.1 2.6 0.0 11.2 55.0 6y 6m Wellington DIH Multi-Asset Inflation Index -2.7 12.3 -2.0 0.0 1.0 -0.2 0.0 N/A 10.0 0.0 6y 6m 90 Day U.S. Treasury Bill 0.1 0.0 0.0 0.1 0.0 N/A 12.3 0.2 0.0 45.0 6y 6m Manager Evaluation Wellington Diversified Inflation Hedges vs. Wellington DIH Multi-Asset Inflation Index As of September 30, 2016 70 Manager Evaluation We llington Diversified Inflation Hedges Sector Allocation As of September 30, 2016* Fund Composition Fund Weights Relative to Benchmark Energy 23.4% Metals & Mining 1.0% Agriculture TIPS 5.2% Opportunistic inflation sensitive bonds 8.5% Cash 4.3% 6.3% 8.2% 0.0% 5.0% 10.0% 15.0% 20.0% Global Inflation-Sensitive Equities Commodities Fixed Income & Cash *Portfolio Information is represented as of 8/31/2016. Data as of 9/30/2016 was not yet available at the time of production. Agriculture 4.3% Enduring Assets 8.1%Precious Metals 4.2%Inflation Opportunities 18.4% Commodities 22.8%-11.5% -2.9% -20.0% -15.0% -10.0% -5.0% Equities Fixed Income Commodities Cash 71 Calendar Year Performance 72 Year To Date 2015 2014 2013 2012 2011 2010 2009 2008 2007 Total Composite 5.9 -0.7 2.9 10.9 12.1 1.2 11.2 20.2 -20.2 10.7 Policy Benchmark 6.5 -1.4 3.5 12.3 11.6 1.1 11.5 19.5 -20.6 8.3 Total Equity Composite 5.7 0.5 4.7 N/A N/A N/A N/A N/A N/A N/A MSCI AC World Index 6.6 -2.4 4.2 22.8 16.1 -7.3 12.7 34.6 -42.2 11.7 Domestic Equity Composite 6.4 1.9 10.1 N/A N/A N/A N/A N/A N/A N/A Russell 3000 Index 8.2 0.5 12.6 33.6 16.4 1.0 16.9 28.3 -37.3 5.1 International Equity Composite 4.4 -2.0 -5.5 N/A N/A N/A N/A N/A N/A N/A MSCI AC World ex USA Index 5.8 -5.7 -3.9 15.3 16.8 -13.7 11.2 41.4 -45.5 16.7 Fixed Income Composite 7.8 -2.1 2.4 -1.7 10.9 3.8 8.7 18.9 -3.4 6.4 Barclays Intermediate U.S. Government/Credit 4.2 1.1 3.1 -0.9 3.9 5.8 5.9 5.2 5.1 7.4 Hedge Funds Composite -0.9 N/A N/A N/A N/A N/A N/A N/A N/A N/A HFRI Fund of Funds Composite Index -0.3 -0.3 3.4 9.0 4.8 -5.7 5.7 11.5 -21.4 10.3 Calendar Year Performance Composite Performance As of September 30, 2016 _________________________ See appendix for a description of the benchmarks and universe. Performance is reported net of fees. 73 Appendix 74 Current Manager Fee Schedule Fe e (%) Domest ic Eq uity Van gu ard Windsor II $12,628,340 5.0 0.26 0.77 US Large Cap Valu e $ 32,834 Van gu ard Inst it ut io nal Index $15,228,393 6.0 0.04 0.15 US Passive Large Cap Equit y $ 6,091 T.Rowe Price $12,779,257 5.1 0.57 0.83 US Large Cap Growth $ 72,842 Holland $9,998,395 4.0 0.80 0.83 US Large Cap Growth $ 79,987 Kennedy $7,911,100 3.1 0.90 0.91 US Mid Cap Valu e $ 71,200 Times Sq uare $7,912,134 3.1 1.04 1.00 US Small Cap Growth $ 82,286 Inte rna ti ona l Equity Morgan Stanley Int ernational $25,448,537 10.1 0.95 0.96 All EA FE Equit y $ 241,761 Morgan Stanley Emergi ng Markets $10,367,552 4.1 1.20 1.15 Emerging Mkts Eq uit y $ 124,411 Fixed Income Income Res earch $36,013,788 14.3 0.30 0.49 US Core Fixed Income $ 108,041 Prudent ial $29,958,081 11.9 0.30 0.51 US Core Plus Fixe d Income $ 89,874 Brandy wine $23,406,346 9.3 0.45 0.62 Global A gg F ixed Income $ 105,329 He dge Funds* Light hous e $18,029,898 7.1 1.85 N/A N/A $ 333,553 Total Assets ($millions )% o f Total Proje cted Annua l Fe e eVestment Allia nc e Un ive rse Media n eVestment Allianc e Universe * Incentive fees may be paid to underlying hedge fund managers of 15-20% of the profits above a certain threshold on a manager by manager basis Light hous e $18,029,898 7.1 1.85 N/A N/A $ 333,553 Ent rust $16,208,163 6.4 2.78 N/A N/A $ 450,587 Re al Esta te UBS Trumbull $15,844,392 6.3 1.00 N/A N/A $ 158,444 Re al Asse ts Wellington Div ersified $9,092,099 3.6 0.90 0.86 Liquid Real A ssets $ 81,829 Ca sh Money Market $1,592,702 0.6 0.20 0.20 US Cash M anagemen t $ 3,185 Pavilion-Consult ing Fee $ 118,836 US Bank Cust ody and Benefit Payment Fee $ 78,146 Total $252,419,178 100.0 %0.89%$ 2,239,236 75 76 2013 Acti on Sep tember •The M et rop olit an St . Louis Sewer District hired Pavilion Advisory Group as their invest ment consult ant. 2014 Acti on February •Pavilion p resent ed an asset allocat ion and investment and manager struct ure review to the F inance Commit tee.Pavilion recommended t he adop tion of new asset allocat ion targe ts and allowable ranges that would p ermit the eliminat ion of t he tact ical as set allocat ion and market neut ral s trat egies , the ad dit ion of hedge fund strat egies through hedge f und of funds, and the reduction of t he number of managers and exposure to high yield and non- US debt in the fixed income p ortfolio. T he following asset allocat ion s tructure was p rop os ed: 40% Equit y 35% Fixed Income 25% Alt ernatives Appendix History of Investment Decisions Given Pyramis ' p oor p er formance and rapidly declining as sets in the s trat egy,Pavilion furt her recommended the manager be t erminat ed immediat ely . T he Commit tee ap proved these recommendations. Sep tember •Pavilion downgraded PIM CO’s manager rating stat us from “negat iv e w at ch” t o “sell.” Pavilion init ially downgraded PIM CO to “negat iv e w at ch” in January following the dep art ure of co-CIO Mohamed El-Erian, and noted we would closely monit or t he firm for organiz at ional s tabilit y,asset flow s,and p erformance. November & December •Pavilion conducted an equit y long/s hort hedge fund of funds search and p resent ed the rep ort to the F inance Commit tee.Pavilion recommended Light house C ap it al P artners Global Long/Short Fund which was support ed by Metrop olit an St Louis Sew er St aff. T he F und rep laced PIMCO All Asset Fund on M arch 1, 2015. 77 2015 Acti on May •Pavilion recommended liquidat ing the t he Pict et Local Currency Emerging Market Debt Fund, Loomis Say les Credit Fund and t he Penn Capital High Yield Fund and investing the p roceeds int o the Prudent ial T otal Ret urn Fund. T he recommendation is support ed by the Office of t he Secr et ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendat ion t o go t o t he Board of T rust ees . Pavilion p rovided t he Finance Commit tee w it h a revised St at ement of Investment Policy , Object iv es and Operating Guidelines. T he p olicy was reviewed with and sup port ed by the O ffice of t he Secr et ary Treas urer. T he Finance Commit tee requested addit ional t ime t o review the documen t. June •Pavilion recommended liquidat ing the G MO Asset Allocat ion Fund and investing the p roceeds in t he Light house G lobal Long/Short Equit y Fund and t he Entrust Diversified Hedge F und of F unds. T he recommendat ion was support ed by the O ffice of t he Secret ary Treas urer and t he Investment Commit tee.The F inance Commit tee ap proved t he recommendation t o go t o t he Board of T rustees . T he Finance Commit tee reviewed and ap proved t he revised Statement of Investment Policy , O bject ives and Op erat ing G uidelines provided at the M ay meet ing.The r evis ed Investment Policy document was approved by the Board of Trustees . Appendix History of Investment Decisions 78 All Total Composite, asset class composite and manager returns in this report are shown net of fees as of September 1, 2013. To tal Composite returns prior to September 1, 2013 were provided by New England Pension Consultants. Separate account manager returns prior to September 1, 2013 were provided by the investment managers and are displayed net of fees. Benchmark Comparison One relative comparison for a fund is with a market index or blend of indices. We call this a benchmark comparison. The benchmark should be predefined as an objective. This passive investment alternative is one measure for evaluating relative performance success. Universe Comparison A p erformance measurement universe is created by arraying the results of a large number of professional investment managers from the best to worst. Results are grouped in percentiles. The first percentile represents the top performing 1% of the managers; the 99th percentile represents the bottom performing 1% of managers. Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad Appendix Benchmark and Universe Descriptions Performance measurement universes are differentiated by time period and asset classes. Investment manager rankings within these broad universes will vary throughout market cycle depending on the manager's investment style or philosophy. Over longer time periods (7 to 10 years or more), a manager ranking in the top quartile (top 25%) of these broad universes would be perceived as performing well. Policy Benchmark As of August 1, 2015, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% MSCI EAFE Index, 4% MSCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Composite Index, 5% We llington DIH Multi-Asset Inflation Index and 5% NCREIF Property Index. From March 1, 2015 to August 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. 79 Policy Benchmark(Cont.) From April 1, 2014 to March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yield Cash Pay Index, 4% CPI+5%, 5% We llington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index- OEDCE. Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index,3% MSCI Emerging Markets Index, 10% 65% MSCI Wo rld/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA /25% BC High Yi eld Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lyn ch US High Yi eld, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% We llington DIH Multi-Asset Inflation Index, 5% JPM GBI-EM Global Diversified Index, and 5% NCREIF Fund Index-OEDCE. Note: Wellington DIH Multi-Asset Inflation Index consists of 50% MSCI ACW Commodity Producers Index, 25% DJ AIG Commodity To tal Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year Appendix Benchmark and Universe Descriptions Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year 80 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. Although we believe this information is reliable, we have not independently verified the information. Returns are net of investment fees unless otherwise denoted. Returns for periods greater than one year are annualized. Mutual fund returns assume reinvestment of all distributions at net asset value (NAV) and deduction of fund expenses. Past performance does not guarantee future results. This document may include certain forward-looking statements that are based on current estimates and forecasts. Actual results could differ materially. Investing in securities products involves risk, including possible loss of principal as the value of investments fluctuates. This report is not to be reproduced, redistributed or retransmitted in any form without prior expressed written consent from Pavilion. ©2016 Pavilion Advisory Group Inc. All rights reserved. www.pavilioncorp.com Disclosures 81