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HomeMy Public PortalAbout2nd Quarter ReportQuarterly Investment Review Investment advice and consulting services provided by Aon Investments USA Inc. Nothing in this document should be construed as legal or investment advice. Please consult with your independent professional for any such advice. To protect the confidential and proprietary information included in this material, it may not be disclosed or provided to any third parties without the approval of Aon. Metropolitan St. Louis Sewer District Pension Plan Second Quarter 2023 Executive Summary Page 1 Total Plan Page 6 Total Domestic Equity Page 18 Total International Equity Page 31 Total Fixed Income Page 43 Real Estate Page 56 Market Environment Page 59 Appendix Page 73 Disclaimers and Notes Page 84 Table Of Contents Executive Summary Page 1 Public Funds Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. 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ADMASTER-STAMP!2998725-NRC 2998725-NRC Market Highlights Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. 8.7% 5.2% 3.0% 0.9% -0.8%-2.3% -0.4% 1.7% 16.9% 8.1% 11.7% 4.9% 2.1%3.7% 5.0%5.4% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% S&P 500 Russell 2000 MSCI EAFE MSCI Emerging Markets Bloomberg U.S. Aggregate Bloomberg U.S. Long Gov't Bloomberg U.S. Long Credit Bloomberg U.S. High Yield SHORT TERM RETURNS AS OF 06/30/2023 Second Quarter 2023 YTD Source:Russell, MSCI, Bloomberg MSCI Indices show net total returns throughout this report. All other indices show gross total returns. 2850360-NRC Page 3 Market Highlights Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. 12.3% 4.2%4.4% 0.9%0.8% -0.9% 1.5% 3.4% 12.9% 8.3% 5.4% 3.0% 1.5%1.8% 3.5% 4.4% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% S&P 500 Russell 2000 MSCI EAFE MSCI Emerging Markets Bloomberg U.S. Aggregate Bloomberg U.S. Long Gov't Bloomberg U.S. Long Credit Bloomberg U.S. High Yield LONG TERM ANNUALIZED RETURNS AS OF 06/30/2023 Five-Year Ten-Year Source:Russell, MSCI, Bloomberg 2850360-NRC Page 4 Market Highlights Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. Second Quarter YTD 1-Year 3-Year1 5-Year1 10-Year1 Equity MSCI All Country World IMI 5.89% 13.25% 16.14% 10.97% 7.65% 8.62% MSCI All Country World 6.18% 13.93% 16.53% 10.99% 8.10% 8.75% Dow Jones U.S. Total Stock Market 8.39% 16.24% 18.90% 13.74% 11.26% 12.24% Russell 3000 8.39% 16.17% 18.95% 13.89% 11.39% 12.34% S&P 500 8.74% 16.89% 19.59% 14.60% 12.31% 12.86% Russell 2000 5.21% 8.09% 12.31% 10.82% 4.21% 8.26% MSCI All Country World ex-U.S. IMI 2.38% 9.10% 12.47% 7.33% 3.38% 4.88% MSCI All Country World ex-U.S.2.44% 9.47% 12.72% 7.22% 3.52% 4.75% MSCI EAFE 2.95% 11.67% 18.77% 8.93% 4.39% 5.41% MSCI EAFE (Local Currency)4.28% 12.10% 17.50% 11.73% 6.42% 7.67% MSCI Emerging Markets 0.90% 4.89% 1.75% 2.32% 0.93% 2.95% Equity Factors MSCI World Minimum Volatility (USD)1.79% 4.13% 7.44% 6.35% 6.48% 8.41% MSCI World High Dividend Yield 2.37% 4.35% 9.03% 10.62% 7.13% 7.58% MSCI World Quality 9.83% 21.58% 24.60%13.11%13.19% 12.99% MSCI World Momentum 4.34% 3.13% 10.14% 6.44% 8.16% 10.96% MSCI World Enhanced Value 5.21% 11.30% 16.04% 13.07% 4.76% 7.22% MSCI World Index Growth 10.50% 27.27% 26.66%11.31%12.08% 12.29% MSCI USA Minimum Volatility (USD)2.65% 3.98% 7.99% 8.92% 9.06% 10.92% MSCI USA High Dividend Yield 1.46% 0.73% 6.35% 10.70% 7.78% 10.00% MSCI USA Quality 11.70% 23.40% 24.90% 13.73% 14.31% 14.62% MSCI USA Momentum 4.35% -0.06% 8.70% 4.72% 7.29% 12.58% MSCI USA Enhanced Value 1.95% 4.52% 7.18% 12.27% 5.64% 9.28% MSCI USA Equal Weighted 4.56% 8.76% 13.66% 13.09% 8.85% 10.70% MSCI USA Growth 13.87% 33.68% 29.69% 13.56% 15.47% 15.87% Returns of the Major Capital Markets Period Ending 06/30/2023 Second Quarter YTD 1-Year 3-Year1 5-Year1 10-Year1 Fixed Income Bloomberg Global Aggregate -1.53% 1.43% -1.32% -4.96% -1.09% 0.20% Bloomberg U.S. Aggregate -0.84% 2.09% -0.94% -3.96% 0.77% 1.52% Bloomberg U.S. Long Gov't -2.29% 3.73% -6.79% -12.02% -0.88% 1.81% Bloomberg U.S. Long Credit -0.42% 4.97% 1.06% -6.06% 1.53% 3.48% Bloomberg U.S. Long Gov't/Credit -1.29% 4.39% -2.56% -8.60% 0.66% 2.86% Bloomberg U.S. TIPS -1.42% 1.87% -1.40% -0.12% 2.49% 2.08% Bloomberg U.S. High Yield 1.75% 5.38% 9.06% 3.13% 3.36% 4.43% Bloomberg Global Treasury ex U.S.-2.93% 0.09% -2.77% -7.04% -3.23% -1.13% JP Morgan EMBI Global (Emerging Market 1.53% 3.81% 6.85% -2.68% 0.82% 2.60% Commodities Bloomberg Commodity Index -2.56% -7.79% -9.61% 17.82% 4.73% -0.99% Goldman Sachs Commodity Index -2.73% -7.54% -14.22% 25.11% 2.76% -3.52% Hedge Funds HFRI Fund-Weighted Composite2 2.24% 3.45% 5.09% 8.16% 4.98% 4.71% HFRI Fund of Funds2 1.52% 2.27% 3.67% 5.04% 3.32% 3.39% Real Estate NAREIT U.S. Equity REITS 2.62% 5.37% -0.13% 8.91% 4.55% 6.42% FTSE Global Core Infrastructure Index 0.06% -0.98% -1.42% 6.89% 6.36% 7.45% Private Equity Burgiss Private iQ Global Private Equity3 -1.81% 19.78% 17.13% 15.20% MSCI Indices show net total returns throughout this report. All other indices show gross total returns. 1 Periods are annualized. 2 Latest 5 months of HFR data are estimated by HFR and may change in the future. 3 Burgiss Private iQ Global Private Equity data is as at September 30, 2022 Returns of the Major Capital Markets Period Ending 06/30/2023 2850360-NRC Page 5 Total Plan Page 6 $0.0 $100.0 $200.0 $300.0 $400.0 In M illions Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value $294.4 $1.0 $8.7 $304.1 Summary of Cash Flows 1 Quarter Year To Date 1 Year Total Pension Beginning Market Value 294,367,331 288,314,337 292,904,144 + Additions / Withdrawals 1,012,138 -6,036,186 -13,105,381 + Investment Earnings 8,706,975 21,808,293 24,287,681 = Ending Market Value 304,086,444 304,086,444 304,086,444 Total Plan Asset Summary Total Plan Asset Summary As of June 30, 2023 Page 7 Return Summary Total Pension Policy Benchmark 0.0 3.0 6.0 9.0 12.0 Return % 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/93 2.4 6.5 6.8 5.7 5.3 5.6 3.0 7.6 8.5 5.3 4.8 5.2 6.9 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% -2.0 % -4.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - 15 Years Total Pension Benchmark 0.92 0.96 1.00 1.04 1.08 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 6/20 6/21 6/22 6/23 0.96 Total Plan Performance Summary As of June 30, 2023 Total Pension Page 8 Allocation Market Value $%Policy % Performance % 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date Total Pension 304,086,444 100.0 100.0 3.0 (74)7.6 (59)8.5 (67)5.3 (92)4.8 (94)5.2 (97)6.9 (64)01/01/1993 Policy Benchmark 2.4 (88)6.5 (83)6.8 (88)5.7 (86)5.3 (87)5.6 (96) All Public Plans < $1B-Total Fund Median 3.4 8.0 9.3 7.2 6.4 7.1 7.2 Total Domestic Equity 117,605,437 38.7 7.3 15.0 19.4 13.5 10.7 11.5 09/01/2013 Russell 3000 Index 8.4 16.2 19.0 13.9 11.4 12.3 All Public Plans-US Equity Segment Median IM U.S. Equity (SA+CF) Median 5.5 10.2 15.4 13.4 8.7 10.1 Total Large-Cap Equity 80,442,823 26.5 25.0 8.6 (23)16.5 (24)19.2 (30)14.0 (44)11.9 (18)12.3 (23)9.8 (62)06/01/2003 Russell 1000 Index 8.6 (23)16.7 (24)19.4 (29)14.1 (43)11.9 (18)12.6 (20)10.2 (47) IM U.S. Equity (SA+CF) Median 5.5 10.2 15.4 13.4 8.7 10.3 10.1 BlackRock Russell 1000 Index Fund Non-Lending 80,442,823 26.5 8.6 (23)16.7 (24)19.3 (29)14.1 (43)12.0 (17)12.2 (24)03/01/2017 Russell 1000 Index 8.6 (23)16.7 (24)19.4 (29)14.1 (43)11.9 (18)12.2 (25) IM U.S. Equity (SA+CF) Median 5.5 10.2 15.4 13.4 8.7 9.6 Total Small-Cap Equity 37,162,614 12.2 10.0 4.8 (61)11.7 (46)20.0 (24)12.3 (61)7.7 (63)9.9 (59)10.6 (33)06/01/2003 Russell 2000 Index 5.2 (54)8.1 (63)12.3 (69)10.8 (71)4.2 (92)8.3 (83)8.9 (80) IM U.S. Equity (SA+CF) Median 5.5 10.2 15.4 13.4 8.7 10.3 10.1 Kennedy Mid Cap Value 19,508,291 6.4 7.6 (31)13.8 (36)20.8 (21)18.4 (12)8.8 (49)10.2 (51)9.9 (36)02/01/2008 IM U.S. Equity (SA+CF) Median 5.5 10.2 15.4 13.4 8.7 10.3 9.4 Russell Midcap Value Index 3.9 (73)5.2 (78)10.5 (80)15.0 (32)6.8 (71)9.0 (73)8.4 (72) TimesSquare Small Cap Growth 17,654,323 5.8 1.8 (93)9.5 (54)19.1 (31)5.7 (92)5.7 (81)8.9 (74)9.6 (31)02/01/2002 Russell 2000 Growth Index 7.1 (35)13.6 (37)18.5 (35)6.1 (91)4.2 (92)8.8 (76)7.8 (84) IM U.S. Equity (SA+CF) Median 5.5 10.2 15.4 13.4 8.7 10.3 9.0 Total International Equity 54,378,192 17.9 18.0 3.5 12.1 15.7 5.6 3.0 4.0 09/01/2013 MSCI AC World ex USA Index (Net)2.4 9.5 12.7 7.2 3.5 4.5 All Public Plans-Intl. Equity Segment Median IM International Equity (MF) Median 2.4 9.7 13.3 6.3 3.1 4.6 Morgan Stanley International Equity 35,639,252 11.7 3.3 (31)14.7 (10)19.1 (18)6.7 (53)3.8 (39)4.6 (54)4.5 (68)04/01/2005 MSCI EAFE Index (Net)3.0 (39)11.7 (31)18.8 (19)8.9 (32)4.4 (32)5.4 (34)4.8 (58) IM International Equity (MF) Median 2.5 9.4 12.8 6.9 3.1 4.8 5.0 Morgan Stanley Emerging Markets Fund 18,738,940 6.2 3.7 (22)6.6 (53)8.4 (27)2.7 (56)0.7 (67)2.0 (76)5.3 (58)04/01/2005 MSCI Emerging Markets Index (Net)0.9 (72)4.9 (75)1.7 (73)2.3 (59)0.9 (61)3.0 (53)5.8 (31) IM Emerging Markets Equity (MF) Median 1.8 6.8 4.6 3.2 1.4 3.0 5.5 Asset Allocation & Performance As of June 30, 2023 As of June 30, 2023 Page 9 Asset Allocation & Performance As of June 30, 2023 As of June 30, 2023 Allocation Market Value $%Policy % Performance % 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date Total Fixed Income 107,969,542 35.5 35.0 -0.4 2.6 0.6 -2.4 1.1 1.5 3.4 07/01/2003 Blmbg. Intermed. U.S. Government/Credit -0.8 1.5 -0.1 -2.5 1.2 1.4 2.7 All Public Plans-US Fixed Income Segment Median IM U.S. Fixed Income (SA+CF) Median -0.3 2.4 1.2 -1.1 1.6 2.0 3.2 Income Research 42,315,740 13.9 -0.7 (64)1.6 (63)0.1 (53)-2.2 (44)1.5 (23)1.5 (42)3.8 (16)07/01/2001 Blmbg. Intermed. U.S. Government/Credit -0.8 (80)1.5 (76)-0.1 (64)-2.5 (68)1.2 (55)1.4 (65)3.3 (63) IM U.S. Intermediate Duration (SA+CF) Median -0.6 1.7 0.1 -2.3 1.2 1.5 3.5 Prudential Core Plus Bond 42,988,930 14.1 0.0 (16)3.2 (14)0.8 (32)-2.9 (50)1.5 (37)2.0 (22)06/01/2015 Blmbg. U.S. Aggregate -0.8 (82)2.1 (84)-0.9 (84)-4.0 (94)0.8 (83)1.0 (89) IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median -0.5 2.5 0.1 -2.9 1.3 1.5 Brandywine Global Opportunistic Fixed Income 22,664,872 7.5 -0.5 (66)3.4 (42)1.1 (64)-2.1 (58)-0.4 (73)0.9 (65)3.7 (44)01/01/2005 FTSE World Government Bond Index -1.8 (85)1.7 (75)-2.5 (88)-6.5 (96)-2.0 (94)-0.5 (93)1.3 (98) IM Global Fixed Income (SA+CF) Median 0.3 3.0 3.2 -0.7 1.5 2.2 3.5 Hedge Fund 112,739 0.0 0.0 Entrust Capital Diversified Fund**112,739 0.0 Real Estate 21,199,510 7.0 12.0 -3.6 -10.6 -15.6 1.5 0.4 4.2 4.2 06/01/2006 Real Estate Performance Benchmark -2.8 -6.1 -10.7 7.1 6.1 7.9 7.2 UBS Trumbull Property Fund*21,199,510 7.0 -3.6 -10.6 -15.6 1.5 0.4 4.2 4.2 06/01/2006 Real Estate Performance Benchmark -2.8 -6.1 -10.7 7.1 6.1 7.9 7.2 Cash Account 2,821,024 0.9 0.0 1.2 2.4 3.8 1.3 1.6 1.0 1.4 07/01/2003 ICE BofAML 3 Month U.S. T-Bill 1.2 2.3 3.6 1.3 1.6 1.0 1.4 *The UBS Trumbull Property is currently in the process of liquidation. **The EnTrust Capital Diversified Fund market value is as of 5/31/2023 and is currently in the process of liquidation. Page 10 Performance % 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013 Total Pension -14.4 (55)10.1 (92)12.8 (62)16.2 (90)-4.3 (43)12.3 (90)5.1 (91)-0.7 (66)2.9 (96)10.9 (93) Policy Benchmark -12.7 (30)10.8 (87)12.7 (63)17.4 (82)-4.5 (50)12.2 (91)6.6 (62)-1.4 (78)3.5 (94)12.3 (88) Total Domestic Equity -19.3 (-)24.3 (-)21.4 (-)30.6 (-)-6.1 (-)20.1 (-)9.6 (-)1.9 (-)10.1 (-)- Russell 3000 Index -19.2 (-)25.7 (-)20.9 (-)31.0 (-)-5.2 (-)21.1 (-)12.7 (-)0.5 (-)12.6 (-)- Total Large-Cap Equity -19.1 (62)26.5 (41)21.0 (37)31.4 (28)-4.8 (32)20.4 (43)7.9 (74)3.9 (15)10.9 (37)32.0 (72) Russell 1000 Index -19.1 (62)26.5 (42)21.0 (37)31.4 (28)-4.8 (32)21.7 (35)12.1 (53)0.9 (33)13.2 (19)33.1 (63) BlackRock Russell 1000 Index Fund Non-Lending -19.1 (62)26.4 (42)21.1 (37)31.4 (28)-4.8 (32)----- Russell 1000 Index -19.1 (62)26.5 (42)21.0 (37)31.4 (28)-4.8 (32)----- Total Small-Cap Equity -19.7 (64)19.5 (75)21.8 (36)28.7 (46)-9.5 (61)19.6 (46)15.6 (38)-4.8 (76)7.2 (62)40.3 (23) Russell 2000 Index -20.4 (66)14.8 (85)20.0 (40)25.5 (66)-11.0 (69)14.6 (72)21.3 (18)-4.4 (74)4.9 (76)38.8 (28) Kennedy Mid Cap Value -14.8 (43)31.8 (14)8.4 (68)28.6 (47)-14.5 (86)18.0 (53)22.9 (15)-9.9 (93)15.8 (5)33.3 (62) Russell Midcap Value Index -12.0 (33)28.3 (30)5.0 (76)27.1 (57)-12.3 (76)13.3 (78)20.0 (22)-4.8 (76)14.7 (9)33.5 (60) TimesSquare Small Cap Growth -25.5 (73)7.3 (89)36.3 (17)28.2 (46)-4.2 (28)21.1 (36)8.4 (63)1.0 (31)-2.5 (93)47.7 (5) Russell 2000 Growth Index -26.4 (75)2.8 (93)34.6 (19)28.5 (44)-9.3 (61)22.2 (31)11.3 (51)-1.4 (47)5.6 (70)43.3 (9) Total International Equity -17.6 (-)4.0 (-)12.7 (-)20.2 (-)-14.6 (-)28.0 (-)0.3 (-)-2.0 (-)-5.5 (-)- MSCI AC World ex USA Index (Net)-16.0 (-)7.8 (-)10.7 (-)21.5 (-)-14.2 (-)27.2 (-)4.5 (-)-5.7 (-)-3.9 (-)- Morgan Stanley International Equity -14.1 (30)4.2 (68)11.4 (52)20.4 (61)-13.8 (36)25.2 (71)-2.0 (84)0.4 (31)-6.1 (74)20.3 (42) MSCI EAFE Index (Net)-14.5 (33)11.3 (39)7.8 (66)22.0 (49)-13.8 (37)25.0 (73)1.0 (68)-0.8 (39)-4.9 (63)22.8 (27) Morgan Stanley Emerging Markets Fund -25.0 (79)3.6 (36)14.7 (62)19.5 (51)-17.3 (64)35.0 (58)6.7 (67)-10.3 (27)-4.5 (75)-0.8 (43) MSCI Emerging Markets Index (Net)-20.1 (48)-2.5 (66)18.3 (41)18.4 (61)-14.6 (34)37.3 (44)11.2 (39)-14.9 (61)-2.2 (50)-2.6 (56) Asset Allocation & Performance As of June 30, 2023 As of June 30, 2023 Page 11 Asset Allocation & Performance As of June 30, 2023 As of June 30, 2023 Performance % 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013 Total Fixed Income -12.3 (-)-2.1 (-)9.2 (-)9.1 (-)-1.0 (-)6.3 (-)4.2 (-)-2.1 (-)2.4 (-)-1.7 (-) Blmbg. Intermed. U.S. Government/Credit -8.2 (-)-1.4 (-)6.4 (-)6.8 (-)0.9 (-)2.1 (-)2.1 (-)1.1 (-)3.1 (-)-0.9 (-) Income Research -8.1 (36)-1.3 (58)7.5 (19)6.7 (46)0.8 (40)2.0 (75)2.3 (42)0.9 (59)3.3 (50)-0.9 (59) Blmbg. Intermed. U.S. Government/Credit -8.2 (41)-1.4 (65)6.4 (55)6.8 (42)0.9 (35)2.1 (65)2.1 (51)1.1 (42)3.1 (59)-0.9 (55) Prudential Core Plus Bond -14.6 (87)-0.9 (66)9.2 (35)11.3 (15)-0.4 (39)6.6 (13)5.8 (22)--- Blmbg. U.S. Aggregate -13.0 (42)-1.5 (92)7.5 (80)8.7 (77)0.0 (19)3.5 (84)2.6 (89)--- Brandywine Global Opportunistic Fixed Income -16.2 (77)-5.3 (85)11.7 (17)9.3 (48)-5.2 (89)12.8 (5)5.2 (54)-8.4 (90)6.3 (16)-3.5 (73) FTSE World Government Bond Index -18.3 (91)-7.0 (94)10.1 (33)5.9 (89)-0.8 (28)7.5 (47)1.6 (88)-3.6 (60)-0.5 (83)-4.0 (80) Hedge Fund Entrust Capital Diversified Fund Real Estate 4.5 14.8 -4.9 -2.9 6.0 5.3 6.0 --- Real Estate Performance Benchmark 6.5 21.0 1.5 6.4 6.7 7.0 8.0 --- UBS Trumbull Property Fund 4.5 14.9 -4.9 -3.0 6.0 5.3 6.0 11.7 10.4 9.2 Real Estate Performance Benchmark 6.5 21.0 1.5 6.4 6.7 7.0 8.0 13.3 11.8 11.0 Cash Account 1.6 0.0 0.5 2.3 2.0 1.0 0.3 0.0 0.0 0.0 ICE BofAML 3 Month U.S. T-Bill 1.5 0.0 0.7 2.3 1.9 0.9 0.3 0.1 0.0 0.1 Page 12 Total Fund Performance 0.00%0.83%1.66%2.49%3.32%4.15% Total Fund Total Fund Benchmark Total Value Added 2.97% 2.82% 0.14% Total Value Added: 0.14% 0.00%0.03%0.06%0.09%0.12% Other Manager Value Added Asset Allocation 0.03% 0.03% 0.08% Total Asset Allocation: 0.08% Average Active Weight 0.00%3.00%6.00%-3.00 %-6.00 %-9.00 % Cash Account Real Estate Hedge Fund Total Fixed Income Total International Equity Total Small-Cap Equity Total Large-Cap Equity W eight % 1.07% -4.51 % 0.04% 1.08% 0.12% 1.86% 0.33% Asset Allocation Value Added 0.00%0.09%0.18%-0.09 %-0.18 % -0.03 % 0.13% 0.00% -0.05 % 0.00% 0.02% 0.02% Total Manager Value Added: 0.03% Manager Value Added 0.00%0.30%0.60%-0.30 %-0.60 % 0.00% -0.27 % 0.00% 0.15% 0.19% -0.05 % 0.00% Total Fund Attribution 1 Quarter Ending June 30, 2023 1 Quarter Ending June 30, 2023 Page 13 Total Fund Performance 0.00%3.00%6.00%9.00%12.00% Total Fund Total Fund Benchmark Total Value Added 8.50% 7.93% 0.57% Total Value Added: 0.57% 0.00%0.30%0.60%0.90%-0.30 % Other Manager Value Added Asset Allocation -0.03 % 0.49% 0.11% Total Asset Allocation: 0.11% Average Active Weight 0.00%3.00%6.00%-3.00 %-6.00 % Cash Account Real Estate Hedge Fund Total Fixed Income Total International Equity Total Small-Cap Equity Total Large-Cap Equity W eight % 0.79% -3.52 % 0.26% 0.61% 0.13% 1.65% 0.09% Asset Allocation Value Added 0.00%0.30%0.60%-0.30 %-0.60 % -0.05 % 0.43% -0.03 % -0.19 % 0.09% -0.07 % -0.07 % Total Manager Value Added: 0.49% Manager Value Added 0.00%0.93%1.86%-0.93 %-1.86 % 0.00% -1.03 % 0.00% 0.19% 0.54% 0.82% -0.04 % Total Fund Attribution 1 Year Ending June 30, 2023 1 Year Ending June 30, 2023 Page 14 -28.0 -20.0 -12.0 -4.0 4.0 12.0 20.0 28.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Total Pension 3.0 (74)7.6 (59)8.5 (67)5.3 (92)4.8 (94)5.2 (97)-14.4 (55)10.1 (92)12.8 (62)¢ Policy Benchmark 2.4 (88)6.5 (83)6.8 (88)5.7 (86)5.3 (87)5.6 (96)-12.7 (30)10.8 (87)12.7 (63)˜ 5th Percentile 4.9 11.0 12.5 9.4 7.9 8.3 -9.0 17.9 18.2 1st Quartile 4.0 9.1 10.5 8.1 6.9 7.6 -12.3 15.1 15.8 Median 3.4 8.0 9.3 7.2 6.4 7.1 -14.2 13.5 13.9 3rd Quartile 2.9 6.9 8.0 6.2 5.8 6.6 -15.8 12.0 11.6 95th Percentile 1.9 4.7 5.3 4.8 4.7 5.6 -17.5 8.6 7.5 Population 547 541 534 517 500 410 711 874 906 Total Pension Peer Group Analysis As of June 30, 2023 As of June 30, 2023 All Public Plans < $1B-Total Fund Parentheses contain percentile rankings. Page 15 Annualized Return vs. Annualized Standard Deviation 5 Years Total Pension Policy Benchmark 90 Day U.S. Treasury Bill 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 5.4 6.0 6.6 Return % 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Standard Deviation % Standard Deviation Rolling 5 Years Total Pension Policy Benchmark 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Standard Deviation % 12/97 9/99 6/01 3/03 12/04 9/06 6/08 3/10 12/11 9/13 6/15 3/17 12/18 9/20 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Pension -0.34 1.48 -0.23 0.99 0.34 -0.76 1.07 4.85 11.36 0.99 Policy Benchmark 0.00 0.00 -1.00 0.40 0.00 1.00 5.30 10.51 1.00 90 Day U.S. Treasury Bill -4.18 10.57 -0.40 0.01 -1.58 0.00 1.55 0.44 -0.11 Total PensionTotal Pension Risk Profile As of June 30, 2023 Page 16 Market Value $ Current Allocation % Target Allocation % Minimum Allocation % Maximum Allocation % Differences % Total Pension 304,086,444 100.0 100.0 --0.0 Total Large-Cap Equity 80,442,823 26.5 25.0 20.0 30.0 1.5 Total Small-Cap Equity 37,162,614 12.2 10.0 5.0 15.0 2.2 Total International Equity 54,378,192 17.9 18.0 13.0 23.0 -0.1 Total Fixed Income 107,969,542 35.5 35.0 30.0 40.0 0.5 Hedge Fund 112,739 0.0 0.0 0.0 0.0 0.0 Real Estate 21,199,510 7.0 12.0 7.0 17.0 -5.0 Cash Account 2,821,024 0.9 0.0 0.0 0.0 0.9 Target Allocation Actual Allocation Allocation Differences 0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 %-16.0 %-24.0 % Cash Account $2,821.0K Real Estate $21,199.5K Hedge Fund $112.7K Total Fixed Income $107,969.5K Total International Equity $54,378.2K Total Small-Cap Equity $37,162.6K Total Large-Cap Equity $80,442.8K 0.0% 12.0% 0.0% 35.0% 18.0% 10.0% 25.0% 0.9% 7.0% 0.0% 35.5% 17.9% 12.2% 26.5% 0.9% -5.0 % 0.0% 0.5% -0.1 % 2.2% 1.5% Asset Allocation Compliance As of June 30, 2023 As of June 30, 2023 Page 17 Total Domestic Equity Page 18 Current Allocation Return Summary June 30, 2023 : $117,605,437 TimesSquare Small Cap Growth 15.0% Kennedy Mid Cap Value 16.6% BlackRock Russell 1000 Index Fund Non-Lending 68.4% Total Domestic Equity Russell 3000 Index 0.0 8.0 16.0 24.0 32.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years Inception 9/1/13 8.4 16.2 19.0 13.9 11.4 12.3 7.3 15.0 19.4 13.5 10.7 11.5 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% 4.0% -2.0 % -4.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - 5 Years Total Domestic Equity Benchmark 0.9 1.0 1.1 6/18 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 6/23 1.0 Total Domestic EquityTotal Domestic Equity Portfolio Overview As of June 30, 2023 Page 19 -40.0 -25.0 -10.0 5.0 20.0 35.0 50.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Total Domestic Equity 7.3 (40)15.0 (39)19.4 (10)13.5 (49)10.7 (34)--19.3 (66)24.3 (57)21.4 (24)¢ Russell 3000 Index 8.4 (17)16.2 (20)19.0 (14)13.9 (42)11.4 (20)12.3 (20)-19.2 (66)25.7 (44)20.9 (27)˜ 5th Percentile 8.8 17.8 19.7 15.6 12.4 13.0 -12.9 29.8 26.5 1st Quartile 8.0 15.9 18.5 14.6 11.1 12.1 -16.7 27.7 21.3 Median 6.9 14.0 17.3 13.4 10.0 11.4 -18.1 24.6 18.9 3rd Quartile 5.6 12.3 14.4 11.7 8.9 10.5 -19.7 22.6 16.6 95th Percentile 4.6 9.7 11.4 9.6 7.2 8.7 -24.8 15.2 10.4 Population 59 59 57 53 50 44 65 70 67 Total Domestic Equity Peer Group Analysis As of June 30, 2023 As of June 30, 2023 All Public Plans-US Equity Segment Parentheses contain percentile rankings. Page 20 Annualized Return vs. Annualized Standard Deviation 3 Years Total Domestic Equity Russell 3000 Index 90 Day U.S. Treasury Bill -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Return % 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 Standard Deviation % Standard Deviation Rolling 3 Years Total Domestic Equity Russell 3000 Index 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 Standard Deviation % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 TRANSPARENT 3 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Domestic Equity -0.34 2.06 -0.17 0.99 0.71 -0.32 1.00 13.49 18.54 0.99 Russell 3000 Index 0.00 0.00 -1.00 0.73 0.00 1.00 13.89 18.46 1.00 90 Day U.S. Treasury Bill -13.46 18.47 -0.73 0.00 -1.27 0.00 1.27 0.53 0.00 Total Domestic EquityTotal Domestic Equity Risk Profile As of June 30, 2023 Page 21 As of June 30, 2023 BlackRock Russell 1000 Index Fund Performance Summary Return Summary BlackRock Russell 1000 Index Fund Russell 1000 Index 0.0 8.0 16.0 24.0 32.0 Return % 1 Quarter Year to Date 1 Year 3 Years Inception 3/1/17 8.6 16.7 19.4 14.1 12.2 8.6 16.7 19.3 14.1 12.2 Account Information Account Name BlackRock Russell 1000 Index Fund Non-Lending Inception Date 03/01/2017 Account Structure Commingled Fund Asset Class US Equity Benchmark Russell 1000 Index Peer Group IM U.S. Equity (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 0.1% 0.2% -0.1 % -0.2 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception BlackRock Russell 1000 Index Fund Benchmark 0.99 1.00 1.01 2/17 8/17 2/18 8/18 2/19 8/19 2/20 8/20 2/21 8/21 2/22 8/22 6/23 1.00 Page 22 IM U.S. Equity (SA+CF) -75.0 -50.0 -25.0 0.0 25.0 50.0 75.0 100.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 BlackRock Russell 1000 Index Fund 8.6 (23)16.7 (24)19.3 (29)14.1 (43)12.0 (17)12.6 (19)-19.1 (62)26.4 (42)21.1 (37)¢ Russell 1000 Index 8.6 (23)16.7 (24)19.4 (29)14.1 (43)11.9 (18)12.6 (20)-19.1 (62)26.5 (42)21.0 (37)¢ 5th Percentile 13.0 29.0 27.6 21.6 13.9 14.6 -0.7 37.3 58.5 1st Quartile 8.4 16.3 19.8 15.9 11.0 12.1 -9.5 29.0 29.5 Median 5.5 10.2 15.4 13.4 8.7 10.3 -17.0 25.0 15.4 3rd Quartile 3.7 5.9 11.3 10.0 6.4 8.8 -24.4 19.2 5.3 95th Percentile 1.1 1.4 5.8 3.9 3.5 6.8 -36.2 6.1 -3.7 Population 1,797 1,791 1,780 1,714 1,644 1,329 1,970 2,034 2,131 BlackRock Russell 1000 Index Fund Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 23 As of June 30, 2023 Kennedy Mid Cap Value Performance Summary Return Summary Kennedy Mid Cap Value Russell Midcap Value Index 0.0 8.0 16.0 24.0 32.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/08 3.9 5.2 10.5 15.0 6.8 9.0 8.07.6 13.8 20.8 18.4 8.8 10.2 9.9 Account Information Account Name Kennedy Mid Cap Value Inception Date 01/01/2008 Account Structure Commingled Fund Asset Class US Equity Benchmark Russell Midcap Value Index Peer Group IM U.S. Equity (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% 9.0% -3.0 % -6.0 % -9.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception Kennedy Mid Cap Value Benchmark 0.90 1.00 1.10 1.20 1.30 1.40 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 12/20 12/21 6/23 1.30 Page 24 IM U.S. Equity (SA+CF) -75.0 -50.0 -25.0 0.0 25.0 50.0 75.0 100.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Kennedy Mid Cap Value 7.6 (31)13.8 (36)20.8 (21)18.4 (12)8.8 (49)10.2 (51)-14.8 (43)31.8 (14)8.4 (68)¢ Russell Midcap Value Index 3.9 (73)5.2 (78)10.5 (80)15.0 (32)6.8 (71)9.0 (73)-12.0 (33)28.3 (30)5.0 (76)¢ 5th Percentile 13.0 29.0 27.6 21.6 13.9 14.6 -0.7 37.3 58.5 1st Quartile 8.4 16.3 19.8 15.9 11.0 12.1 -9.5 29.0 29.5 Median 5.5 10.2 15.4 13.4 8.7 10.3 -17.0 25.0 15.4 3rd Quartile 3.7 5.9 11.3 10.0 6.4 8.8 -24.4 19.2 5.3 95th Percentile 1.1 1.4 5.8 3.9 3.5 6.8 -36.2 6.1 -3.7 Population 1,797 1,791 1,780 1,714 1,644 1,329 1,970 2,034 2,131 Kennedy Mid Cap Value Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 25 Annualized Return vs. Annualized Standard Deviation 5 Years Kennedy Mid Cap Value Russell Midcap Value Index 90 Day U.S. Treasury Bill -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 Return % 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 30.0 Standard Deviation % Standard Deviation Rolling 5 Years Kennedy Mid Cap Value Russell Midcap Value Index 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 Standard Deviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Kennedy Mid Cap Value 1.79 4.31 0.42 0.96 0.43 2.05 0.97 8.84 21.91 0.98 Russell Midcap Value Index 0.00 0.00 -1.00 0.34 0.00 1.00 6.84 22.07 1.00 90 Day U.S. Treasury Bill -7.57 22.17 -0.34 0.04 -1.59 0.00 1.55 0.44 -0.21 Kennedy Mid Cap ValueKennedy Mid Cap Value Risk Profile As of June 30, 2023 Page 26 As of June 30, 2023 TimesSquare Small Cap Growth Performance Summary Return Summary TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 24.0 32.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 2/1/02 7.1 13.6 18.5 6.1 4.2 8.8 7.8 1.8 9.5 19.1 5.7 5.7 8.9 9.6 Account Information Account Name TimesSquare Small Cap Growth Inception Date 02/01/2002 Account Structure Commingled Fund Asset Class US Equity Benchmark Russell 2000 Growth Index Peer Group IM U.S. Equity (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% 9.0% -3.0 % -6.0 % -9.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception TimesSquare Small Cap Growth Benchmark 0.80 1.00 1.20 1.40 1.60 1.80 1/02 7/03 1/05 7/06 1/08 7/09 1/11 7/12 1/14 7/15 1/17 7/18 1/20 7/21 6/23 1.41 Page 27 IM U.S. Equity (SA+CF) -75.0 -50.0 -25.0 0.0 25.0 50.0 75.0 100.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 TimesSquare Small Cap Growth 1.8 (94)9.5 (57)19.1 (35)5.7 (94)5.7 (88)8.9 (86)-25.5 (80)7.3 (95)36.3 (17)¢ Russell 2000 Growth Index 7.1 (37)13.6 (39)18.5 (40)6.1 (94)4.2 (96)8.8 (87)-26.4 (81)2.8 (98)34.6 (20)¢ 5th Percentile 13.0 29.0 28.3 22.8 15.0 15.5 0.3 38.4 59.2 1st Quartile 8.5 16.7 20.5 16.7 11.9 12.9 -8.9 29.7 29.6 Median 5.8 10.7 16.6 14.2 9.4 11.1 -16.4 26.0 16.5 3rd Quartile 4.0 6.6 12.3 11.1 7.2 9.7 -23.3 20.1 6.3 95th Percentile 1.4 1.8 6.5 5.0 4.2 7.7 -35.2 6.9 -3.1 Population 1,790 1,789 1,783 1,733 1,681 1,500 1,977 2,067 2,232 TimesSquare Small Cap Growth Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 28 Annualized Return vs. Annualized Standard Deviation 5 Years TimesSquare Small Cap Growth Russell 2000 Growth Index 90 Day U.S. Treasury Bill 0.0 0.8 1.6 2.4 3.2 4.0 4.8 5.6 6.4 7.2 Return % 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 30.0 33.0 Standard Deviation % Standard Deviation Rolling 5 Years TimesSquare Small Cap Growth Russell 2000 Growth Index 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 30.0 Standard Deviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation TimesSquare Small Cap Growth 1.49 5.21 0.29 0.96 0.29 1.60 0.99 5.73 24.62 0.98 Russell 2000 Growth Index 0.00 0.00 -1.00 0.23 0.00 1.00 4.22 24.43 1.00 90 Day U.S. Treasury Bill -5.57 24.49 -0.23 0.02 -1.57 0.00 1.55 0.44 -0.13 TimesSquare Small Cap GrowthTimesSquare Small Cap Growth Risk Profile As of June 30, 2023 Page 29 Asset Allocation As of 01/31/2023 0.0%50.0%100.0%150.0%-50.0 % Other Convertibles Fixed Income Cash Equities -0.3 % 0.0% 1.0% 4.0% 95.3% Fund Characteristics As of 01/31/2023 Total Securities 86 Avg. Market Cap $4,437.31 Million P/E 31.99 P/B 6.54 Div. Yield 1.34% Annual EPS 34.49 5Yr EPS 23.08 3Yr EPS Growth 21.15 Top Ten Securities As of 01/31/2023 Dreyfus Inst Preferred Govt Money 2.89 % WNS HOLDINGS ADR REP 1 ORD 2.58 % ESAB Corp ORD 2.57 % Casella Waste Systems Inc ORD 2.52 % Matador Resources Co ORD 2.12 % Hamilton Lane Inc ORD 2.12 % Driven Brands Holdings Inc ORD 2.01 % Exlservice Holdings Inc ORD 2.01 % Healthequity Inc ORD 1.98 % Dreyfus Government Cash Management;Insti 1.92 % Sector/Quality Allocation As of 01/31/2023 0.0%6.0%12.0%18.0%24.0%30.0% Non Classified Equity Industrials Health Care Information Technology Consumer Discretionary Financials Energy Consumer Staples Materials 21.5% 19.9% 13.3% 10.6% 10.5% 9.9% 4.7% 2.8% 2.2% TimesSquare Small Cap Growth As of June 30, 2023 As of June 30, 2023 Page 30 Total International Equity Page 31 Current Allocation Return Summary June 30, 2023 : $54,378,192 Morgan Stanley Emerging Markets Fund 34.5% Morgan Stanley International Equity 65.5% Total International Equity MSCI AC World ex USA Index (Net) 0.0 5.0 10.0 15.0 20.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years Inception 9/1/13 2.4 9.5 12.7 7.2 3.5 4.53.5 12.1 15.7 5.6 3.0 4.0 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - 5 Years Total International Equity Benchmark 0.9 1.0 1.1 6/18 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 6/23 1.0 Total International EquityTotal International Equity Portfolio Overview As of June 30, 2023 Page 32 -40.0 -25.0 -10.0 5.0 20.0 35.0 50.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Total International Equity 3.5 (31)12.1 (24)15.7 (40)5.6 (89)3.0 (93)--17.6 (60)4.0 (96)12.7 (52)¢ MSCI AC World ex USA Index (Net)2.4 (78)9.5 (82)12.7 (74)7.2 (73)3.5 (89)4.7 (99)-16.0 (41)7.8 (75)10.7 (75)˜ 5th Percentile 4.5 14.9 20.3 11.6 6.5 7.2 -12.3 18.8 28.2 1st Quartile 3.6 11.9 16.8 10.1 5.7 6.6 -14.3 12.3 16.9 Median 3.2 10.7 15.0 8.4 4.8 6.1 -17.0 9.5 12.8 3rd Quartile 2.5 10.0 12.6 7.2 4.0 5.4 -19.0 7.6 10.5 95th Percentile 1.2 6.4 8.8 4.3 2.8 5.0 -23.2 4.2 7.1 Population 60 60 59 54 53 48 65 69 68 Total International Equity Peer Group Analysis As of June 30, 2023 As of June 30, 2023 All Public Plans-Intl. Equity Segment Parentheses contain percentile rankings. Page 33 Annualized Return vs. Annualized Standard Deviation 3 Years Total International Equity MSCI AC World ex USA Index (Net) 90 Day U.S. Treasury Bill -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 Return % 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 Standard Deviation % Standard Deviation Rolling 3 Years Total International Equity MSCI AC World ex USA Index (Net) 14.0 16.0 18.0 20.0 22.0 Standard Deviation % 9/20 12/20 3/21 6/21 9/21 12/21 3/22 6/22 9/22 12/22 3/23 6/23 TRANSPARENT 3 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total International Equity -1.32 3.98 -0.33 0.96 0.32 -1.78 1.06 5.58 18.42 0.98 MSCI AC World ex USA Index (Net)0.00 0.00 -1.00 0.42 0.00 1.00 7.22 17.05 1.00 90 Day U.S. Treasury Bill -7.12 17.02 -0.42 0.01 -1.25 0.00 1.27 0.53 0.08 Total International EquityTotal International Equity Risk Profile As of June 30, 2023 Page 34 As of June 30, 2023 Morgan Stanley International Equity Performance Summary Return Summary Morgan Stanley International Equity MSCI EAFE Index (Net) 0.0 8.0 16.0 24.0 32.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 3.0 11.7 18.8 8.9 4.4 5.4 4.83.3 14.7 19.1 6.7 3.8 4.6 4.5 Account Information Account Name Morgan Stanley International Equity Inception Date 04/01/2005 Account Structure Mutual Fund Asset Class International Equity Benchmark MSCI EAFE Index (Net) Peer Group IM International Equity (MF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % -9.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception Morgan Stanley International Equity Benchmark 0.77 0.84 0.91 0.98 1.05 1.12 1.19 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 6/16 9/17 12/18 3/20 6/21 6/23 0.96 Page 35 IM International Equity (MF) -60.0 -40.0 -20.0 0.0 20.0 40.0 60.0 80.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Morgan Stanley International Equity 3.3 (31)14.7 (10)19.1 (18)6.7 (53)3.8 (39)4.6 (54)-14.1 (30)4.2 (68)11.4 (52)¢ MSCI EAFE Index (Net)3.0 (39)11.7 (31)18.8 (19)8.9 (32)4.4 (32)5.4 (34)-14.5 (33)11.3 (39)7.8 (66)¢ 5th Percentile 7.3 17.5 24.6 14.8 8.0 8.7 -4.4 20.4 42.8 1st Quartile 3.5 12.3 17.7 9.7 4.8 5.7 -13.1 13.1 20.1 Median 2.5 9.4 12.8 6.9 3.1 4.8 -17.5 9.3 11.8 3rd Quartile 0.9 6.1 5.8 3.0 1.1 3.2 -23.3 0.9 5.0 95th Percentile -6.4 -5.4 -11.9 -3.8 -2.6 -0.2 -32.4 -12.0 -6.3 Population 1,144 1,144 1,144 1,018 871 448 1,140 1,102 1,046 Morgan Stanley International Equity Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM International Equity (MF) Parentheses contain percentile rankings. Page 36 Annualized Return vs. Annualized Standard Deviation 5 Years Morgan Stanley International MSCI EAFE Index (Net) 90 Day U.S. Treasury Bill 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 Return % 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 Standard Deviation % Standard Deviation Rolling 5 Years Morgan Stanley International MSCI EAFE Index (Net) 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 Standard Deviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Morgan Stanley International -0.45 4.55 -0.10 0.94 0.21 -0.43 1.00 3.84 18.32 0.97 MSCI EAFE Index (Net)0.00 0.00 -1.00 0.24 0.00 1.00 4.39 17.82 1.00 90 Day U.S. Treasury Bill -4.33 17.84 -0.24 0.00 -1.56 0.00 1.55 0.44 -0.04 Morgan Stanley InternationalMorgan Stanley International Risk Profile As of June 30, 2023 Page 37 Asset Allocation As of 01/31/2023 0.0%25.0%50.0%75.0%100.0%125.0% Convertibles Cash Other Fixed Income Equities 0.0% 0.1% 0.4% 1.5% 98.0% Fund Characteristics As of 01/31/2023 Total Securities 74 Avg. Market Cap $84,744.44 Million P/E 27.34 P/B 4.45 Div. Yield 2.50% Annual EPS 28.64 5Yr EPS 5.83 3Yr EPS Growth 5.27 Top Ten Securities As of 01/31/2023 SAP SE ORD 3.28 % Shell PLC ORD 2.85 % Constellation Software Inc ORD 2.78 % Prudential PLC ORD 2.64 % Reckitt Benckiser Group PLC ORD 2.58 % Heineken NV ORD 2.54 % TAIWAN SEMICONDUCTOR MNFTG ADR 2.46 % Safran SA ORD 2.37 % Moncler SpA ORD 2.34 % Barrick Gold Corp ORD 2.31 % Sector/Quality Allocation As of 01/31/2023 0.0%8.0%16.0%24.0%32.0% Consumer Staples Industrials Financials Information Technology Health Care Energy Consumer Discretionary Materials 24.4% 21.1% 19.0% 14.5% 10.1% 3.6% 3.1% 2.3% Morgan Stanley International Equity As of June 30, 2023 As of June 30, 2023 Page 38 As of June 30, 2023 Morgan Stanley Emerging Markets Fund Performance Summary Return Summary Morgan Stanley Emerging Markets Fund MSCI Emerging Markets Index (Net) 0.0 3.0 6.0 9.0 12.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 0.9 4.9 1.7 2.3 0.9 3.0 5.8 3.7 6.6 8.4 2.7 0.7 2.0 5.3 Account Information Account Name Morgan Stanley Emerging Markets Fund Inception Date 04/01/2005 Account Structure Mutual Fund Asset Class International-Emerging Equity Benchmark MSCI Emerging Markets Index (Net) Peer Group IM Emerging Markets Equity (MF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % -9.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception Morgan Stanley Emerging Markets Fund Benchmark 0.72 0.80 0.88 0.96 1.04 1.12 1.20 3/05 6/06 9/07 12/08 3/10 6/11 9/12 12/13 3/15 6/16 9/17 12/18 3/20 6/21 6/23 0.91 Page 39 IM Emerging Markets Equity (MF) -60.0 -40.0 -20.0 0.0 20.0 40.0 60.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Morgan Stanley Emerging Markets Fund 3.7 (22)6.6 (53)8.4 (27)2.7 (56)0.7 (67)2.0 (76)-25.0 (79)3.6 (36)14.7 (62)¢ MSCI Emerging Markets Index (Net)0.9 (72)4.9 (75)1.7 (73)2.3 (59)0.9 (61)3.0 (53)-20.1 (48)-2.5 (66)18.3 (41)¢ 5th Percentile 7.4 13.3 16.7 12.2 5.8 5.5 -6.0 18.0 41.1 1st Quartile 3.3 8.7 8.8 6.7 2.8 3.9 -16.4 6.0 23.9 Median 1.8 6.8 4.6 3.2 1.4 3.0 -20.5 -0.2 17.2 3rd Quartile 0.6 4.8 1.4 0.6 0.2 2.0 -24.5 -3.9 10.1 95th Percentile -2.2 -0.7 -4.6 -4.4 -5.1 -4.9 -33.4 -13.6 -6.1 Population 287 287 287 250 207 107 288 277 259 Morgan Stanley Emerging Markets Fund Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM Emerging Markets Equity (MF) Parentheses contain percentile rankings. Page 40 Annualized Return vs. Annualized Standard Deviation 5 Years Morgan Stanley Emerging Markets MSCI Emerging Markets Index (Net) 90 Day U.S. Treasury Bill 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 Return % 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 Standard Deviation % Standard Deviation Rolling 5 Years Morgan Stanley Emerging Markets MSCI Emerging Markets Index (Net) 9.0 12.0 15.0 18.0 21.0 24.0 27.0 30.0 Standard Deviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Morgan Stanley Emerging Markets 0.01 5.49 0.00 0.93 0.06 -0.04 1.02 0.69 20.00 0.96 MSCI Emerging Markets Index (Net)0.00 0.00 -1.00 0.06 0.00 1.00 0.93 18.86 1.00 90 Day U.S. Treasury Bill -1.14 18.89 -0.06 0.00 -1.56 0.00 1.55 0.44 -0.06 Morgan Stanley Emerging MarketsMorgan Stanley Emerging Markets Risk Profile As of June 30, 2023 Page 41 Asset Allocation As of 01/31/2023 0.0%50.0%100.0%150.0%-50.0 % Other Convertibles Fixed Income Cash Equities -0.1 % 0.0% 0.7% 4.4% 95.0% Fund Characteristics As of 01/31/2023 Total Securities 100 Avg. Market Cap $110,818.38 Million P/E 22.63 P/B 3.78 Div. Yield 3.55% Annual EPS 42.53 5Yr EPS 18.35 3Yr EPS Growth 20.51 Top Ten Securities As of 01/31/2023 Taiwan Semiconductor Manufacturing 5.26 % Samsung Electronics Co Ltd ORD 4.76 % Morgan Stanley Inst Liq Govt Port;Instit 4.37 % Tencent Holdings Ltd ORD 3.23 % Anglo American PLC ORD 2.90 % TAIWAN SEMICONDUCTOR MNFTG ADR 2.72 % China Construction Bank Corp ORD 2.28 % Reliance Industries Ltd ORD 2.24 % Grupo Financiero Banorte SAB de 2.14 % HDFC BANK ADR REP 3 ORD 2.09 % Sector/Quality Allocation As of 01/31/2023 0.0%8.0%16.0%24.0%32.0% Financials Information Technology Consumer Staples Industrials Consumer Discretionary Materials Energy Non Classified Equity Health Care 24.6% 20.9% 11.8% 9.5% 9.3% 9.0% 5.9% 2.6% 1.4% Morgan Stanley Emerging Markets Fund As of June 30, 2023 As of June 30, 2023 Page 42 Total Fixed Income Page 43 Current Allocation Return Summary June 30, 2023 : $107,969,542 Income Research 39.2% Brandywine Global Opportunistic Fixed Income 21.0% Prudential Core Plus Bond 39.8% Total Fixed Income Blmbg. Intermed. U.S. Government/Credit 0.0 3.0 6.0 -3.0 -6.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 7/1/03 -0.8 1.5 -0.1 -2.5 1.2 1.4 2.7 -0.4 2.6 0.6 -2.4 1.1 1.5 3.4 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 4.0% 8.0% -4.0 % -8.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - 5 Years Total Fixed Income Benchmark 0.9 1.0 1.1 6/18 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 6/23 1.0 Total Fixed IncomeTotal Fixed Income Portfolio Overview As of June 30, 2023 Page 44 -36.0 -28.0 -20.0 -12.0 -4.0 4.0 12.0 20.0 28.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Total Fixed Income -0.4 (39)2.6 (38)0.6 (44)-2.4 (57)1.1 (82)1.5 (92)-12.3 (59)-2.1 (97)9.2 (33)¢ Blmbg. Intermed. U.S. Government/Credit -0.8 (65)1.5 (92)-0.1 (55)-2.5 (58)1.2 (74)1.4 (93)-8.2 (23)-1.4 (92)6.4 (87)˜ 5th Percentile 0.9 3.8 4.5 0.3 2.8 3.6 -5.0 2.9 12.4 1st Quartile -0.1 2.9 1.6 -1.2 2.1 2.7 -8.8 0.7 9.6 Median -0.5 2.4 0.2 -2.3 1.7 2.2 -11.8 -0.1 8.6 3rd Quartile -0.9 2.0 -1.2 -3.4 1.2 1.9 -13.8 -0.7 7.4 95th Percentile -1.8 0.3 -5.6 -5.8 -0.6 0.9 -21.8 -1.7 4.9 Population 62 62 61 56 53 50 70 73 74 Total Fixed Income Peer Group Analysis As of June 30, 2023 As of June 30, 2023 All Public Plans-US Fixed Income Segment Parentheses contain percentile rankings. Page 45 Annualized Return vs. Annualized Standard Deviation 5 Years Total Fixed Income Blmbg. Intermed. U.S. Government/Credit 90 Day U.S. Treasury Bill 0.9 1.0 1.1 1.2 1.3 1.4 1.5 1.6 1.7 Return % 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 5.4 6.0 6.6 7.2 7.87.8 Standard Deviation % Standard Deviation Rolling 5 Years Total Fixed Income Blmbg. Intermed. U.S. Government/Credit 0.0 1.5 3.0 4.5 6.0 7.5 Standard D eviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Fixed Income -0.02 3.34 0.00 0.76 -0.04 -0.56 1.42 1.10 6.06 0.87 Blmbg. Intermed. U.S. Government/Credit 0.00 0.00 -1.00 -0.07 0.00 1.00 1.23 3.73 1.00 90 Day U.S. Treasury Bill 0.25 3.68 0.07 0.03 -1.52 0.02 1.55 0.44 0.17 Total Fixed IncomeTotal Fixed Income Risk Profile As of June 30, 2023 Page 46 As of June 30, 2023 Income Research Performance Summary Return Summary Income Research Blmbg. Intermed. U.S. Government/Credit 0.0 3.0 6.0 -3.0 -6.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 7/1/01 -0.8 1.5 -0.1 -2.5 1.2 1.4 3.3 -0.7 1.6 0.1 -2.2 1.5 1.5 3.8 Account Information Account Name Income Research Inception Date 07/01/2001 Account Structure Commingled Fund Asset Class US Fixed Income Benchmark Blmbg. Intermed. U.S. Government/Credit Peer Group IM U.S. Intermediate Duration (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 0.5% 1.0% 1.5% -0.5 % -1.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception Income Research Benchmark 0.90 0.95 1.00 1.05 1.10 1.15 6/01 12/02 6/04 12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/19 12/20 6/23 1.10 Page 47 IM U.S. Intermediate Duration (SA+CF) -20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Income Research -0.7 (64)1.6 (63)0.1 (53)-2.2 (44)1.5 (23)1.5 (42)-8.1 (36)-1.3 (58)7.5 (19)¢ Blmbg. Intermed. U.S. Government/Credit -0.8 (80)1.5 (76)-0.1 (64)-2.5 (68)1.2 (55)1.4 (65)-8.2 (41)-1.4 (65)6.4 (55)¢ 5th Percentile 0.7 2.7 2.2 0.5 2.0 2.7 -5.0 1.7 8.7 1st Quartile -0.4 2.0 0.5 -1.8 1.5 1.7 -7.9 -0.8 7.2 Median -0.6 1.7 0.1 -2.3 1.2 1.5 -8.4 -1.2 6.5 3rd Quartile -0.8 1.5 -0.3 -2.5 1.1 1.3 -9.1 -1.6 5.5 95th Percentile -1.1 1.1 -1.5 -3.3 0.3 0.9 -10.9 -2.0 3.2 Population 126 126 121 116 107 97 132 138 143 Income Research Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM U.S. Intermediate Duration (SA+CF) Parentheses contain percentile rankings. Page 48 Annualized Return vs. Annualized Standard Deviation 5 Years Income Research Blmbg. Intermed. U.S. Government/Credit 90 Day U.S. Treasury Bill 1.1 1.2 1.3 1.4 1.5 1.6 1.7 Return % 0.0 0.4 0.8 1.2 1.6 2.0 2.4 2.8 3.2 3.6 4.0 4.4 4.84.8 Standard Deviation % Standard Deviation Rolling 5 Years Income Research Blmbg. Intermed. U.S. Government/Credit 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 Standard D eviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Income Research 0.25 0.43 0.58 0.99 0.00 0.27 0.99 1.48 3.70 0.99 Blmbg. Intermed. U.S. Government/Credit 0.00 0.00 -1.00 -0.07 0.00 1.00 1.23 3.73 1.00 90 Day U.S. Treasury Bill 0.25 3.68 0.07 0.03 -1.52 0.02 1.55 0.44 0.17 Income ResearchIncome Research Risk Profile As of June 30, 2023 Page 49 As of June 30, 2023 Prudential Core Plus Bond Performance Summary Return Summary Prudential Core Plus Bond Blmbg. U.S. Aggregate 0.0 3.0 6.0 -3.0 -6.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years Inception 6/1/15 -0.8 2.1 -0.9 -4.0 0.8 1.0 0.0 3.2 0.8 -2.9 1.5 2.0 Account Information Account Name Prudential Core Plus Bond Inception Date 06/01/2015 Account Structure Commingled Fund Asset Class US Fixed Income Benchmark Blmbg. U.S. Aggregate Peer Group IM U.S. Broad Market Core+ Fixed Income (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 4.0% 8.0% -4.0 % -8.0 % -12.0 % 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception Prudential Core Plus Bond Benchmark 0.96 1.00 1.04 1.08 1.12 1.16 5/15 11/15 5/16 11/16 5/17 11/17 5/18 11/18 5/19 11/19 5/20 11/20 5/21 11/21 5/22 11/22 6/23 1.08 Page 50 IM U.S. Broad Market Core+ Fixed Income (SA+CF) -28.0 -20.0 -12.0 -4.0 4.0 12.0 20.0 28.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Prudential Core Plus Bond 0.0 (16)3.2 (14)0.8 (32)-2.9 (50)1.5 (37)2.6 (22)-14.6 (87)-0.9 (66)9.2 (35)¢ Blmbg. U.S. Aggregate -0.8 (82)2.1 (84)-0.9 (84)-4.0 (94)0.8 (83)1.5 (90)-13.0 (42)-1.5 (92)7.5 (80)¢ 5th Percentile 0.8 3.5 3.8 1.3 2.7 3.4 -8.9 3.3 13.9 1st Quartile -0.2 3.0 1.1 -2.0 1.6 2.5 -12.5 0.1 9.6 Median -0.5 2.5 0.1 -2.9 1.3 2.1 -13.3 -0.5 8.7 3rd Quartile -0.8 2.2 -0.6 -3.5 0.9 1.7 -14.1 -1.1 7.7 95th Percentile -1.2 1.7 -1.5 -4.2 0.4 1.3 -16.0 -1.6 3.9 Population 141 141 140 135 130 110 151 154 161 Prudential Core Plus Bond Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM U.S. Broad Market Core+ Fixed Income (SA+CF) Parentheses contain percentile rankings. Page 51 Annualized Return vs. Annualized Standard Deviation 3 Years Prudential Core Plus Bond Blmbg. U.S. Aggregate 90 Day U.S. Treasury Bill -5.4 -4.5 -3.6 -2.7 -1.8 -0.9 0.0 0.9 1.8 2.7 3.6 Return % 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 5.4 6.0 6.6 7.2 7.8 8.4 9.09.0 Standard Deviation % Standard Deviation Rolling 3 Years Prudential Core Plus Bond Blmbg. U.S. Aggregate 0.0 2.0 4.0 6.0 8.0 10.0 Standard Deviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 3 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Prudential Core Plus Bond 1.11 1.74 0.63 0.94 -0.59 1.43 1.08 -2.94 6.89 0.97 Blmbg. U.S. Aggregate 0.00 0.00 -1.00 -0.84 0.00 1.00 -3.97 6.17 1.00 90 Day U.S. Treasury Bill 5.12 6.12 0.84 0.02 -1.32 0.01 1.27 0.53 0.14 Prudential Core Plus BondPrudential Core Plus Bond Risk Profile As of June 30, 2023 Page 52 As of June 30, 2023 Brandywine Global Fixed Income Performance Summary Return Summary Brandywine Global Fixed Income FTSE World Government Bond Index 0.0 5.0 10.0 -5.0 -10.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/05 -1.8 1.7 -2.5 -6.5 -2.0 -0.5 1.3 -0.5 3.4 1.1 -2.1 -0.4 0.9 3.7 Account Information Account Name Brandywine Global Fixed Income Inception Date 01/01/2005 Account Structure Commingled Fund Asset Class International Fixed Income Benchmark FTSE World Government Bond Index Peer Group IM Global Fixed Income (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 8.0% 16.0% -8.0 % -16.0 % -24.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception Brandywine Global Fixed Income Benchmark 0.60 0.80 1.00 1.20 1.40 1.60 1.80 12/04 3/06 6/07 9/08 12/09 3/11 6/12 9/13 12/14 3/16 6/17 9/18 12/19 3/21 6/23 1.53 Page 53 IM Global Fixed Income (SA+CF) -36.0 -28.0 -20.0 -12.0 -4.0 4.0 12.0 20.0 28.0 Return 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2022 2021 2020 Brandywine Global -0.5 (66)3.4 (42)1.1 (64)-2.1 (58)-0.4 (73)0.9 (65)-16.2 (77)-5.3 (85)11.7 (17)¢ FTSE World Government Bond Index -1.8 (85)1.7 (75)-2.5 (88)-6.5 (96)-2.0 (94)-0.5 (93)-18.3 (90)-7.0 (94)10.1 (32)¢ 5th Percentile 3.1 7.0 11.5 5.6 4.7 4.9 -0.9 8.7 16.2 1st Quartile 1.5 5.0 7.9 2.5 2.8 3.4 -8.7 3.5 10.7 Median 0.3 3.0 3.2 -0.7 1.5 2.2 -12.8 -0.1 7.5 3rd Quartile -1.3 1.6 -0.4 -3.6 -0.5 0.5 -16.1 -4.3 5.0 95th Percentile -3.2 -0.8 -3.8 -6.4 -2.1 -0.7 -20.6 -7.2 0.8 Population 174 174 174 169 162 136 190 199 208 Brandywine Global Peer Group Analysis As of June 30, 2023 As of June 30, 2023 IM Global Fixed Income (SA+CF) Parentheses contain percentile rankings. Page 54 Annualized Return vs. Annualized Standard Deviation 5 Years Brandywine Global FTSE World Government Bond Index 90 Day U.S. Treasury Bill -3.6 -3.0 -2.4 -1.8 -1.2 -0.6 0.0 0.6 1.2 1.8 2.4 3.0 Return % 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Standard Deviation % Standard Deviation Rolling 5 Years Brandywine Global FTSE World Government Bond Index 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Standard Deviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Brandywine Global 2.01 7.06 0.28 0.61 -0.12 2.42 1.21 -0.40 11.04 0.78 FTSE World Government Bond Index 0.00 0.00 -1.00 -0.47 0.00 1.00 -2.04 7.12 1.00 90 Day U.S. Treasury Bill 3.35 7.05 0.47 0.04 -1.57 0.01 1.55 0.44 0.19 Brandywine GlobalBrandywine Global Risk Profile As of June 30, 2023 Page 55 Real Estate Page 56 As of June 30, 2023 UBS Trumbull Property Fund Performance Summary Return Summary UBS Trumbull Property Fund NCREIF Property Index 0.0 10.0 20.0 -10.0 -20.0 -30.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 6/1/06 0.0 -1.8 -4.7 7.5 6.3 8.0 7.3 -3.6 -10.6 -15.6 1.5 0.4 4.2 4.2 Account Information Account Name UBS Trumbull Property Fund Inception Date 06/01/2006 Account Structure Commingled Fund Asset Class US Private Real Estate Benchmark NCREIF Property Index Peer Group Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % -9.0 % 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 6/23 Ratio of Cumulative Wealth - Since Inception UBS Trumbull Property Fund Benchmark 0.40 0.60 0.80 1.00 1.20 5/06 8/07 11/08 2/10 5/11 8/12 11/13 2/15 5/16 8/17 11/18 2/20 5/21 6/23 0.61 Page 57 Annualized Return vs. Annualized Standard Deviation 5 Years UBS Trumbull Property Fund NCREIF Property Index 90 Day U.S. Treasury Bill -1.8 -0.9 0.0 0.9 1.8 2.7 3.6 4.5 5.4 6.3 7.2 8.1 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 9.1 9.8 Standard Deviation % Standard Deviation Rolling 5 Years UBS Trumbull Property Fund NCREIF Property Index 0.0 2.0 4.0 6.0 8.0 10.0 12.0 Standard Deviation % 9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20 3/21 12/21 9/22 6/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation UBS Trumbull Property Fund -5.28 3.45 -1.53 0.82 -0.12 -7.08 1.34 0.36 7.22 0.91 NCREIF Property Index 0.00 0.00 -1.00 0.80 0.00 1.00 5.90 4.90 1.00 90 Day U.S. Treasury Bill -4.34 5.45 -0.80 0.47 -2.18 -0.11 1.55 0.75 -0.69 UBS Trumbull Property FundUBS Trumbull Property Fund Risk Profile As of June 30, 2023 Page 58 Market Environment Page 59 Factor Indices Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. 1.8%2.4% 9.8% 4.3%5.2% 3.1% 10.5% 2.6%1.5%4.1%4.3% 21.6% 3.1% 11.3% 9.4% 27.3% 4.0% 0.7% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% MSCI World Minimum Volatility (USD) MSCI World High Dividend Yield MSCI World Quality MSCI World Momentum MSCI World Enhanced Value MSCI World Equal Weighted MSCI World Index Growth MSCI USA Minimum Volatility (USD) MSCI USA High Dividend Yield SHORT TERM RETURNS AS OF 06/30/2023 Second Quarter 2023 YTD Source:MSCI MSCI Indices show net total returns throughout this report. All other indices show gross total returns.. 6.5% 7.1% 13.2% 8.2% 4.8%5.1% 12.1% 9.1% 7.8% 8.4% 7.6% 13.0% 11.0% 7.2%7.5% 12.3% 10.9% 10.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% MSCI World Minimum Volatility (USD) MSCI World High Dividend Yield MSCI World Quality MSCI World Momentum MSCI World Enhanced Value MSCI World Equal Weighted MSCI World Index Growth MSCI USA Minimum Volatility (USD) MSCI USA High Dividend Yield LONG TERM ANNUALIZED RETURNS AS OF 06/30/2023 Five-Year Ten-Year Source:MSCI MSCI Indices show net total returns throughout this report. All other indices show gross total returns.. 2850360-NRC Page 60 Global Equity Markets Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •In Q2 2023, equity markets rose as high-interest rate concerns abated, with inflation also cooling down in major economies. Volatility fell throughout the quarter as the CBOE Volatility Index (VIX) fell to 13.6 in June from 18.7 in the previous quarter, staying below its 20-year average of 19.2. Yields trended higher as major central banks indicated higher interest rates to bring inflation down to around a 2% target. The MSCI All Country World Investable Market Index (ACWI IMI) returned 5.9% for the quarter and was also up 13.2% on a YTD basis. •Across international markets, generally all the regions were strong over the quarter. All regions apart from Israel and Pacific ex-Japan posted positive returns. •US IMI equities were the best regional performer with a return of 8.3%. Economically sensitive sectors including Information Technology and Consumer Discretionary outperformed. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. 5.9% 2.4% 8.3% 2.1% 5.4% 3.1% -1.3% 2.6% -1.5% 1.6% 13.2% 9.1% 16.1% 8.1% 11.5% 7.8% -4.1% 14.5% 0.3% 5.6% -10% 0% 10% 20% ACWI IMI 39.1% ACWI ex-U.S. IMI 60.9% USA IMI 3.7% UK IMI 6.0% Japan IMI 2.9% Canada IMI 0.2% Israel IMI 12.3% Europe ex-UK IMI 3.0% Pacific ex-Japan IMI 10.9% Emerging Markets IMI GLOBAL MSCI IMI INDEX RETURNS (USD) AS OF 06/30/2023 Second Quarter 2023 YTD Source: MSCI 2850360-NRC Page 61 Global Equity Markets Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Below is the country/region breakdown of the global and international equity markets as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex- U.S. IMI Index, respectively. UK 9.6%Canada 7.5% Pacific ex-Japan 7.7% Japan 15.3% Europe ex-UK 31.5% Israel 0.6% Latin America 2.6% Asia 21.7% Eastern Europe, Middle East & Africa 3.6% Emerging Markets 27.8% MSCI ALL COUNTRY WORLD EX-U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 06/30/2023 Source:MSCI USA 60.9% UK 3.7% Canada 2.9% Pacific ex-Japan 3.0%Japan 6.0%Europe ex-UK 12.3% Israel 0.2% Latin America 1.0% Asia 8.5% Eastern Europe, Middle East & Africa 1.4% Emerging Markets 10.9% MSCI ALL COUNTRY WORLD IMI INDEX GEOGRAPHIC ALLOCATION AS OF 06/30/2023 Source:MSCI 2850360-NRC Page 62 U.S. Equity Markets •U.S. equities had a strong quarter with the S&P 500 index rising by 8.7% as high-interest rate concerns abated, with inflation also cooling down in major economies. •The U.S. Senate passed the debt ceiling bill with strong bipartisan support of 63-36 votes to avoid a default in the world's largest economy. Previously, the bill was passed in the House of Representatives with a margin of 314-117 votes. The agreement imposes restrictions on government spending, introduces new welfare reforms, and reins in perceived government overreach, whilst not including any new taxes. •The Cyberspace Administration of China banned U.S.-based chipmaker Micron Technology's products, in China's biggest measure against a U.S. semiconductor group, citing "security risks to China's critical information infrastructure supply chain". •The U.S. economy expanded by 2.0% year-on-year in the first quarter, higher than economists' forecasts of 1.4% but lower than the 2.6% recorded in the previous quarter. Increased consumer spending fueled by a strong labor market and rising wages helped offset business investment and housing declines. •The Russell 3000 Index rose 8.4% during the second quarter and rose 16.2% on a YTD basis. Technology (18.4%) and Consumer Discretionary (10.7%) were the best performers while Telecommunication Services (-1.8%) and Utilities (-1.7%) were the worst performers. •Large-cap stocks outperformed both in growth and value. On a style basis, growth outperformed value across market capitalizations over the quarter. Source: Russell Indexes Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. 8.4% 4.1% 14.4% 3.9%6.2%3.2% 7.1% 16.2% 5.0% 32.2% 5.2% 15.9% 2.5% 13.6% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% Russell 3000 28.4% Large Value 43.1% Large Growth 16.4% Medium Value 6.7% Medium Growth 2.7% Small Value 2.7% Small Growth RUSSELL STYLE RETURNS AS OF 06/30/2023 Second Quarter 2023 YTD Source: Russell Indexes 8.4% 18.4% 3.4% 10.7% 1.1% -0.9% 1.1% 6.5%4.9% -1.7%-1.8% 2.2% 16.2% 47.9% 0.1% 26.7% -0.1% -5.8% 8.0%11.3% -0.9% -3.9% 5.2%3.7% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% Russell 3000 29.6% Technology 12.9% Healthcare 14.6% Cons. Disc 5.1% Cons. Staples 4.3% Energy 2.0% Materials & Processing 13.1% Producer Durables 10.2% Financials 2.8% Utilities 2.2% Telecom. 3.0% Real Estate RUSSELL SECTOR RETURNS AS OF 06/30/2023 Second Quarter 2023 YTD Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. 2850360-NRC Page 63 U.S. Fixed Income Markets Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •The U.S. Federal Reserve (Fed) increased its benchmark interest rate by 25bps to a range of 5.0%-5.25% over the quarter, the highest level since 2007. Fed Chair Jerome Powell indicated that the central bank intends to carry out further monetary tightening to bring persistently high inflation under control but defended the current pause citing "potential headwinds" from the banking crisis. •The Bloomberg U.S. Aggregate Bond Index was down 0.8% over the quarter but was up 2.1% on a YTD basis. •Across durations, all maturities finished the quarter in negative territory. •Within investment-grade bonds, lower-credit quality generally outperformed higher-quality issues, with Baa bonds remaining flat.High-yield bonds rose by 1.7%. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. -0.4% -0.9%-1.1%-0.8% -1.5% 1.1%1.3% 1.7% 2.1% 4.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 1-3 Yr.3-5 Yr.5-7 Yr.7-10 Yr.>10 Yr. BLOOMBERG AGGREGATE RETURNS BY MATURITY AS OF 06/30/2023 Second Quarter 2023 YTDSource: FactSet -1.1% -0.7%-0.4% 0.0% 1.7%1.7% 2.8%2.9% 3.5% 5.4% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% Aaa Aa A Baa High Yield BLOOMBERG AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 06/30/2023 Second Quarter 2023 YTDSource: FactSet -0.8% -1.4% -0.3% -0.6% -0.1% -0.6% 2.1% 1.6% 3.2% 1.9%1.7% 1.2% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% Bloomberg Agg. Bond 43.9% Govt 25.8% Corp. 28.0% MBS 0.5% ABS 1.8% CMBS BLOOMBERG AGGREGATE RETURNS BY SECTOR AS OF 06/30/2023 Second Quarter 2023 YTDSource: FactSet 2850360-NRC Page 64 U.S. Fixed Income Markets Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •U.S. Treasury yields rose significantly across maturities as the yield curve shifted upwards over the quarter.The 10-year Treasury yield was up by 33bps to 3.81%, and the 30-year Treasury yield was up by 18bps to 3.85% over the quarter. •The U.S. annual consumer price index (CPI) eased to its lowest level since March 2021 as it rose by 4.0% in May, sharply down from the 4.9% recorded in April and coming in lower than economists' expectations of a 4.1% increase. •The 10-year TIPS yield rose by 43bps over the quarter to 1.59%. 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 0 5 10 15 20 25 30 Maturity (Years) U.S. TREASURY YIELD CURVE 12/31/2022 3/31/2023 6/30/2023 Source:U.S. Department of Treasury -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% Jun 13 Jun 15 Jun 17 Jun 19 Jun 21 Jun 23 U.S. 10-YEAR TREASURY AND TIPS YIELDS 10Y TIPS Yield 10Y Treasury Yield Source:U.S. Department of Treasury 2850360-NRC Page 65 European Fixed Income Markets Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •European government bond spreads over 10-year German bunds narrowed across the Euro Area. The European Central Bank (ECB) raised its benchmark interest rates by 50bps to 3.5% over the quarter, its highest level since 2001, and indicated another potential rate increase in July. The ECB president Christine Lagarde indicated that policymakers "still have ground to cover" and that the inflation outlook remains "to remain too high for too long", with inflation not returning to its target level of 2% even by 2025. •Greek and Italian government bond yields fell by 52bps and 5bps to 3.71% and 4.09% respectively over the quarter whilst Irish and Spanish government bond yields rose by 5bps and 4bps to 2.80% and 3.40% respectively. •German bund yields rose by 8bps to 2.41% over the quarter. •Eurozone inflation fell to 5.5% year-on-year in June, the slowest pace since January 2022, decelerating from the 6.1% recorded in May and lower than economists' expectations of a 5.6% increase. Sharp falls in energy prices, along with a slowdown in food, alcohol, tobacco, and industrial goods inflation were the main drivers. 0% 2% 4% 6% 8% 10% 12% 2017 2018 2019 2020 2021 2022 2023 EUROZONE PERIPHERAL BOND SPREADS (10-YEAR SPREADS OVER GERMAN BUNDS) Spain Italy Portugal Greece Ireland 2850360-NRC Page 66 Credit Spreads Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •Credit markets rose amid risk-taking sentiment during the quarter, with spreads narrowing. •High Yield and Global Emerging Markets spreads narrowed by 65bps and 32bps respectively. Meanwhile, Long Govt/Credit and Long Govt spreads narrowed by 7bps and 1bp respectively. Spread (bps)6/30/2023 3/31/2023 12/31/2022 Quarterly Change (bps)YTD U.S. Aggregate 49 57 51 -8 -2 Long Gov't 1 2 2 -1 -1 Long Credit 148 159 157 -11 -9 Long Gov't/Credit 79 86 87 -7 -8 MBS 52 63 51 -11 1 CMBS 134 142 120 -8 14 ABS 68 85 76 -17 -8 Corporate 123 138 130 -15 -7 High Yield 390 455 469 -65 -79 Global Emerging Markets 320 352 332 -32 -12 Source: FactSet, Bloomberg 2850360-NRC Page 67 Currency Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •The U.S. Dollar weakened against all major currencies (except for yen) over the quarter. On a trade-weighted basis, the U.S. dollar appreciated by 0.3% as a sharp appreciation against the yen offset the losses against the sterling and the euro. •Sterling appreciated by 2.7% against the U.S. dollar. The Bank of England (BoE) raised its benchmark interest rate by 75bps to 5.0% over the quarter, touching its highest level since 2008. Andrew Bailey, the BoE governor, indicated that the central bank is "committed to returning inflation to the 2 percent target and will make the decisions necessary to achieve that." •The U.S. dollar depreciated by 0.4% against the Euro but appreciated by 8.6% against the yen. 100 105 110 115 120 125 130 Jun 17 Jun 18 Jun 19 Jun 20 Jun 21 Jun 22 Jun 23 TRADE WEIGHTED U.S. DOLLAR INDEX (2006 = 100) Source:Federal Reserve 80 90 100 110 120 130 140 Jun 17 Jun 18 Jun 19 Jun 20 Jun 21 Jun 22 Jun 23 U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 06/30/2017 EUR/USD GBP/USD JPY/USD Source: FactSet Stronger Dollar Weaker Dollar 2850360-NRC Page 68 Commodities Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •Commodity prices fell over the quarter with the Bloomberg Commodity Index falling by 2.6% for the quarter. •The energy sector fell 1.6% over the quarter and 20.0% on a YTD basis. The price of WTI crude oil was down by 6.6% to U.S.$71/BBL. . •Industrial Metals fell the most over the quarter at -10.5%. •Meanwhile, Opec+ announced a surprise oil production cut of 1mn barrels a day in July, which could be extended further. Saudi Arabia will lead the entire production cut to boost oil prices as other Opec+ members were spared from making additional cuts this year. The production quotas of several African nations and Russia are set to be lowered from January 2024. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. -2.6%-3.0%-1.6% -10.5% -3.1% -1.0% 2.4% -3.7% 9.7% -7.8% -2.2% -20.0% -12.4% 3.0% -1.0% 11.9% -6.0% 5.0% -25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% Bloomberg Commodity Index Ex-Energy Energy Industrial Metals Prec. Metals Agric.Softs Grains Livestock COMMODITY RETURNS AS OF 06/30/2023 Second Quarter 2023 YTD Source:Bloomberg Note: Softs and Grains are part of the wider Agriculture sector 2850360-NRC Page 69 Hedge Funds Market Overview Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. •Hedge fund performance was positive over the quarter. •The HFRI Fund-Weighted Composite and HFRI Fund of Funds Composite Index produced returns of 2.2% and 1.5% over the quarter, respectively. •Over the quarter, the Emerging Markets strategy was the best performer with a return of 3.4%. •Fixed income/ Convertible Arb. was the worst performer with a return of 1.25% over the quarter. •On a YTD basis, Equity Hedge has outperformed all other strategies whilst Global Macro have performed the worst. Past performance is no guarantee of future results. Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees and expenses. Please see appendix for index definitions and other general disclosures. 1.3% 2.0% 3.0% 3.4% 1.6%1.8% 1.3% 2.2% 1.5% 2.7% -0.5% 5.6%5.4% 3.0%2.7%2.7% 3.5% 2.3% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% Fixed Income/Convertible Arb. Global Macro Equity Hedge Emerging Markets Event-Driven Distressed-Restructuring Relative Value Fund-Weighted Composite Index Fund of Funds Composite Index HEDGE FUND PERFORMANCE AS OF 06/30/2023 Second Quarter 2023 YTD Source:HFR Note: Latest 5 months of HFR data are estimated by HFR and may change in the future. 2850360-NRC Page 70 Private Equity Overview –1Q 2023 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Fundraising:In Q1 2023, $232.9 billion was raised by 470 funds, which was a decrease of 5.1% on a capital basis and a decrease of 36.9% by number of funds from the prior quarter. Dry powder stood at $3.1 trillion at the end of the quarter, an increase of 1.0% and 27.4% compared to year-end 2022 and the five-year average, respectively.1 Buyout:Global private equity-backed buyout deals totaled $126.2 billion in Q1 2023, which was an increase on a capital basis of 9.0% compared to Q4 2022 but a decrease of 21.6% compared to the five-year quarterly average.1 At the end of the quarter, the average purchase price multiple for all U.S. LBOs was 12.4x EBITDA, up from year-end 2022’s average of 11.9x and up from the five-year average (11.3x). Large cap purchase price multiples stood at 12.4x, up compared to the full-year 2022 level of 11.8x. The average purchase price multiple across European transactions greater than €1B averaged 10.7x EBITDA on an LTM basis as of Q1 2023, down from the 11.1x multiple seen at year-end 2022. Purchase prices for transactions of €500M or greater decreased from 10.7x in 2022 to 10.1x on an LTM basis ending Q1 2023.2 Globally, buyout exit value totaled $27.3 billion across 379 deals during the quarter, significantly lower than the $113.2 billion in value from 460 deals during Q1 2022.1 Venture:During the quarter, 2,856 venture-backed transactions totaling $37.0 billion were completed, which was a decrease on both a capital and deal count basis over the prior quarter’s total of $41.1 billion across 3,586 deals. This was also a decrease of 30.1% compared to the five-year quarterly average of $53.0 billion. Total U.S. venture- backed exit value continued to slow, totaling approximately $5.8 billion across an estimated 300 completed transactions in Q1 2023, down substantially from $32.2 billion across 397 exits in Q1 2022.3 LTM Global Private Equity-Backed Buyout Deal Volume Source: Preqin 0 2,000 4,000 6,000 8,000 10,000 12,000 $0 $100 $200 $300 $400 $500 $600 $700 $800 $900 1Q15 3Q15 1Q16 3Q16 1Q17 3Q17 1Q18 3Q18 1Q19 3Q19 1Q20 3Q20 1Q21 3Q21 1Q22 3Q22 1Q23 # o f D e a l s Va l u e ( $ B i l l i o n s ) Deal Value ($ Billions)Number of Deals 2850360-NRC Page 71 10.3x 10.0x 10.6x 10.6x 11.5x 11.4x 11.4x 11.9x 12.4x 0.0x 2.0x 4.0x 6.0x 8.0x 10.0x 12.0x 2015 2016 2017 2018 2019 2020 2021 2022 YTD 2023 Senior Debt/EBITDA Sub Debt/EBITDA Equity/EBITDA Others Private Equity Overview (cont.) Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Mezzanine:8 funds closed on $25.7 billion during the year. This was an increase from the prior quarter’s total of $4.3 billion raised by 10 funds and represented an increase of 285.9% from the five-year quarterly average of $5.4 billion. Estimated dry powder was $63.8 billion at the end of Q1 2023, down from $66.6 billion at the end of the prior quarter.1 Distressed Debt:The TTM U.S. high-yield default rate was 1.8% as of March 2023, which was up from December 2022’s TTM rate of 1.3%. Fitch expects the high-yield default rate to trend higher through 2023.4 During the quarter, $9.1 billion was raised by 12 funds, down from the $15.8 billion raised by 21 funds during Q4 2022. Dry powder was estimated at $149.8 billion at the end of Q1 2023, which was up 2.0% from Q4 2022. This remained above the five-year annual average level of $140.2 billion.1 Secondaries: 15 funds raised $33.4 billion during Q1 2023, up substantially from the $11.8 billion raised by 22 funds in Q1 2022. This was an increase of 218.6% compared to the five-year average of $10.5 billion.1 The average discount rate for LP buyout and venture capital portfolios finished the year at 10.0% and 30.0%, respectively. Buyout pricing improved by 200 basis points while venture pricing was flat compared to year- end 2022.5 Infrastructure: $2.7 billion of capital was raised by 10 funds in Q1 2023 compared to $33.3 billion of capital raised by 32 partnerships in Q4 2022. At the end of the quarter, dry powder stood at $309.0 billion, down from Q4 2022’s total of $325.7 billion. Infrastructure managers completed 453 deals for an aggregate deal value of $71.0 billion in the first quarter compared to 649 deals totaling $110.0 billion in Q4 2022.1 Natural Resources: During Q1 2023, 3 funds closed on $1.0 billion compared to 9 funds totaling $2.2 billion in Q1 2022. Energy and utilities industry managers completed 50 deals totaling $3.4 billion in Q1 2023, an increase, on a volume basis, compared to 47 deals totaling $7.8 billion completed in Q4 2022.1 Source: S&P 2850360-NRC Page 72 Appendix Page 73 Fee Schedule Market Value $000 % of Portfolio Estimated Annual Fee $000 Estimated Annual Fee % Total Pension 304,086 100.00 1,383 0.45 Total Domestic Equity 117,605 38.68 316 0.27 BlackRock Russell 1000 Index Fund Non-Lending 0.04 % of Assets 80,443 26.45 28 0.04 Kennedy Mid Cap Value 0.75 % of First $25 M 0.70 % of Next $25 M 0.60 % Thereafter 19,508 6.42 146 0.75 TimesSquare Small Cap Growth 0.80 % of Assets 17,654 5.81 141 0.80 Total International Equity 54,378 17.88 502 0.92 Morgan Stanley International Equity 0.91 % of Assets 35,639 11.72 324 0.91 Morgan Stanley Emerging Markets Fund 0.95 % of Assets 18,739 6.16 178 0.95 Total Fixed Income 107,970 35.51 369 0.34 Income Research 0.45 % of First $10 M 0.35 % of Next $10 M 0.30 % of Next $10 M 0.23 % of Next $20 M 0.23 % of Next $50 M 0.20 % Thereafter 42,316 13.92 138 0.33 Prudential Core Plus Bond 0.30 % of First $50 M 0.28 % of Next $100 M 0.25 % of Next $100 M 0.20 % Thereafter 42,989 14.14 129 0.30 Brandywine Global Opportunistic Fixed Income 0.45 % of First $50 M 0.40 % of Next $50 M 0.35 % Thereafter 22,665 7.45 102 0.45 Real Estate 21,200 6.97 188 0.89 Fee Schedule As of June 30, 2023 As of June 30, 2023 Page 74 Fee Schedule As of June 30, 2023 As of June 30, 2023 Fee Schedule Market Value $000 % of Portfolio Estimated Annual Fee $000 Estimated Annual Fee % UBS Trumbull Property Fund 0.96 % of First $10 M 0.83 % of Next $15 M 0.81 % of Next $25 M 0.79 % of Next $50 M 0.67 % of Next $150 M 0.60 % of Next $150 M 0.56 % of Next $200 M 0.52 % Thereafter 21,200 6.97 188 0.89 Cash Account 0.20 % of Assets 2,821 0.93 6 0.20 Page 75 Benchmark Descriptions Policy Benchmark As of June 1, 2020, the Policy Index consists of 25% Russell 1000 Index, 10% Russell 2000 Index, 12% MSCI EAFE Index (net), 6% MSCI EM Index (net), 14% Bloomberg Barclays Int. Gov/Credit Index, 8% FTSE World Government Bond Index, 13% Bloomberg Barclays U.S. Aggregate Index, and 12% NCREIF ODCE Index. As of October 1, 2018, the Policy Index consists of 25% Russell 1000 Index, 10% Russell 2000 Index, 12% MSCI EAFE Index (net), 6% MSCI EM Index (net), 14% BC Int. Gov/Credit Index, 8% Citi WG Bond Index, 13% Barclays U.S. Aggregate Index, and 12% NCREIF Property Index. From January 1, 2017 to October 1, 2018, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% MSCI EAFE Index, 4% MSCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Composite Index, 10% NCREIF Property Index. From August 1, 2015 to January 1, 2017, The Policy Benchmark consists of 20% Russell 1000 Index, 6% Russell 2000 Index, 10% MSCI EAFE Index, 4% MSCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Composite Index, 5% Wellington DIH Multi-Asset Inflation Index and 5% NCREIF Property Index. From March 1, 2015 to August 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI World/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA/25% BC High Yield Blend Index,14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lynch US High Yield Cash Pay Index, 4% HFRI Equity Hedge (Total) Index, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index-OEDCE. From April 1, 2014 to March 1, 2015, The Policy Benchmark consists of 21% Russell 1000 Index, 6% Russell 2000 Index, 11% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI World/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA/25% BC High Yield Blend Index,14% BC IntermediateGov/Credit Index, 9% Citigroup World Government Bond Index, 5% BofA Merrill Lynch US High Yield Cash Pay Index, 4% CPI+5%, 5% Wellington DIH Benchmark, 5% JPMorgan GBI-EM Diversified and 5% NCREIF Fund Index- OEDCE. Prior to April 1, 2014, the Policy Benchmark is comprised of 20% Russell 1000 Index, 5% Russell 2000 Index, 10% MSCI EAFE Index, 3% MSCI Emerging Markets Index, 10% 65% MSCI World/35% BC Aggregate Blend Index, 2% 50% BC Credit/25% S&P LSTA/25% BC High Yield Blend Index, 13% BC Intermediate Gov/Credit Index, , 8% Citigroup World Government Bond Index, 5% BofA Merrill Lynch US High Yield, Cash Pay Index, 5% 3 Month T-Bills + 3%, 4% CPI + 5%, 5% Wellington 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 Total Return Index and 25% BC US Treasury Inflation Notes: 1-10 Year Index Definitions Name Description Bloomberg U.S. Corporate High Yield Bond Index An index that covers the USD-dominated, non-investment grade, fixed rate, taxable corporate bond market. Debt issues from emerging market countries are excluded. Securities are classified as high-yield if the middle rating is Ba1/BB+ or below. Bloomberg Emerging Markets Index An unmanaged index that tracks total returns for external-currency-denominated debt instruments of the emerging markets. Bloomberg Global Aggregate Provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. Bloomberg Global Treasury Ex-US The Global Treasury ex US Index is a subset of the flagship Global Treasury Index that does not have any exposure to US debt. This multi-currency benchmark includes investment grade, fixed-rate bonds issued by governments in their native currencies. Bloomberg Universal Index A market value-weighted index which is the union of the U.S. Aggregate Index, U.S. High Yield Corporate Index, Eurodollar Index, U.S. Emerging Markets Index and the CMBS High Yield Index. The Index is appropriate for core plus fixed income mandates. Bloomberg U.S. Government Index A market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more. Bloomberg U.S. Government/Credit Index A subcomponent of the Capital Aggregate Index, this benchmark includes treasury securities, government related issues, and high-quality corporate bonds with an outstanding par value of $250 million or greater and at least one year of maturity remaining. Bloomberg U.S. High Yield Index An index composed of non-investment grade corporate debt denominated in U.S. dollars. The issues have to have an outstanding par value of $150 million or greater and at least one year of maturity remaining. Bloomberg U.S. Inflation Index Measures the performance of the U.S. Treasury Inflation Protected Securities ("TIPS") market. Bloomberg U.S. Intermediate Aggregate Bond Index A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backed securities with one to ten years to maturity and an outstanding par value of $250 million or greater Bloomberg U.S. Intermediate Government/Credit Index A market-value weighted index consisting of government bonds and SEC-registered corporate bonds with one to ten years to maturity and an outstanding par value of $150 million or greater. Bloomberg U.S. Intermediate Government Bond Index An unmanaged index considered representative of intermediate-term fixed-income obligations issued by the U.S. treasury, government agencies and quasi-federal corporations. Page 77 Index Definitions Name Description Bloomberg U.S. Intermediate Treasury An unmanaged index considered representative of intermediate-term fixed-income obligations issued by the U.S. treasury. Bloomberg U.S. Aggregate Bond Index A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage- related and asset-backed securities with at least one year to maturity and an outstanding par value of $250 million or greater. This index is a broad measure of the performance of the investment grade U.S. fixed income market. Bloomberg U.S. Long Credit Bond Index An unmanaged index considered representative of long-term fixed-income obligations issued by U.S. corporate, specified foreign debentures, and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered. Bloomberg U.S. Long Government/Credit Index The Capital U.S. Government/ Credit Bond Index measures performance of U.S. dollar denominated U.S. treasuries, government-related, and investment grade U.S. corporate securities that have a remaining maturity of greater than or equal to 1 year. In addition, the securities have $250 million or more of outstanding face value, and must be fixed rate and non-convertible. Bloomberg U.S. Long-Term Government Bond Index An unmanaged index considered representative of long-term fixed-income obligations issued by the U.S. treasury, government agencies and quasi-federal corporations. Bloomberg U.S. TIPS A market value-weighted index consisting of U.S. Treasury Inflation Protected Securities with one or more years remaining until maturity with total outstanding issue size of $500m or more. Bloomberg U.S. Treasury 20-30 Year STRIPS Index A subcomponent of the Aggregate Index, this benchmark includes long-term treasury STRIPS. Bloomberg Commodity Index Consists of 22 exchange-traded futures on physical commodities, which are weighted to account for economic significance and market liquidity. Performance is calculated on an excess return basis and reflects commodity future price movements. BofA Merrill Lynch 3 Month Treasury Bill An index that measures the average return of the last three-month U.S. Treasury Bill issues . BofA Merrill Lynch High Yield Master A market capitalization-weighted index that tracks the performance of U.S. dollar-denominated, below investment grade corporate debt publicly issued in the U.S. domestic market. Page 78 Index Definitions Name Description Citigroup 90-Day T-Bill Index An index that measures the average return of the last three-month U.S. Treasury Bill issues CRSP US Large Growth Cap Index An index comprised of nearly 330 US large cap growth companies and includes securities traded on NYSE, NYSEMarket, NASDAQ, or ARCA, representing nearly 45% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December. CRSP classifies growth securities using the following factors: future long-term growth in earnings per share (EPS), future short-term growth in EPS, 3-year historical growth in EPS, 3-year historical growth in sales per share, current investment-to-assets ratio, and return on assets. CRSP US Total Market Index An index comprised of nearly 4,000 constituents across mega, large, small, and micro capitalizations and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 100% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December. Credit Suisse Leveraged Loan Index Designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market. DJ U.S. Completion Total Stock Market Index A capitalization-weighted index that consists of the stocks in the Dow Jones U.S. Total Stock Market Index less the stocks in the S&P 500 Stock Index. DJ U.S. Total Stock Market Index A capitalization-weighted stock index representing all domestic common stocks traded regularly on the organized exchanges. The index is the broadest measure of the aggregate domestic stock market and includes approximately 5,000 stocks. FTSE 4Good U.S. Select Index A socially responsible investment (SRI) index of US stocks that excludes companies with certain business activities such as weapons, tobacco, gambling, alcohol, nuclear power, and adult entertainment FTSE All-World ex-U.S. Index A capitalization-weighted stock index representing 46 developed market countries and emerging market countries excluding the U.S. FTSE EPRA NAREIT Global ex-U.S. Index Designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate. FTSE Global All Cap ex US Index A market-capitalization weighted index representing the performance of roughly 5350 large, mid and small cap companies in 46 Developed and Emerging markets worldwide, excluding the USA. FTSE Global Core Infrastructure Index Represents the performance of infrastructure and infrastructure-related securities companies in a set of industries that FTSE defines as being involved in infrastructure. The series is based on the FTSE Global Equity Index Series and both developed and emerging markets are included. Page 79 Index Definitions Name Description FTSE NAREIT U.S. Equity REITS Free float adjusted, market capitalization weighted index of US based equity real estate investment trusts (REITs). Goldman Sachs Commodity Index A composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures. HFR Fund-of-Fund Index.This index is equity-weighted including 800 constituents. It includes both domestic and offshore accounts and is valued in U.S. dollars. Only fund-of-fund products are included in the index that have at least $50 million under managements and have been actively trading for at least one year. All funds report net returns on a monthly basis. HFRI Fund Weighted Composite Index The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of $50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds. Hueler Stable Value Index The Hueler Analytics Stable Value Pooled Fund Comparative Universe represents investment strategies of $96 billion in stable value assets, across 24 pooled funds, invested in contracts universe across a universe of 16 general account issuers and 14 synthetic wrap providers. The allocation of pooled fund assets is dominated by synthetic contracts issued by insurance companies and banks. J.P. Morgan EMBI Global Diversified Comprised of dollar-denominated Brady bonds, traded loans and Eurobonds issued by emerging market sovereign and quasi-sovereign entities. The Diversified version limits the weights of the index countries by only including a specified portion of those countries' eligible current face amounts of debt outstanding, providing for a more even distribution of weights within the countries in the index. iMoneyNet All Taxable Money Funds Index An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets. iMoneyNet Money Fund Average.An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets. MSCI All Country World ex-U.S. Index A capitalization-weighted index of stocks representing 44 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. Index consists of 23 developed and 21 emerging countries, but excludes the U.S. MSCI All Country World ex-U.S. Index IMI-.A capitalization-weighted index of large, mid and small cap stocks representing 22 developed (excluding the United States) and 24 emerging market countries. The index is the broadest measure of the aggregate non-US stock market, covering approximately 99% of the global equity investment opportunity set outside of the United States. Page 80 Index Definitions Name Description MSCI All Country World ex-U.S. Small Cap Index Covers all investable small cap securities with a market capitalization below that of the companies in the MSCI Standard Indices (excluding U.S.), and target approximately 14% of each market’s free-float adjusted market capitalization. MSCI All Country World Index IMI A capitalization-weighted index of large, mid and small cap stocks representing 23 developed and 24 emerging market countries. The index is the broadest measure of the aggregate global stock market, covering approximately 99% of the global equity investment opportunity set. MSCI All Country World Index A capitalization-weighted index of stocks representing 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. MSCI EAFE Growth Index A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the growth-oriented companies. MSCI EAFE Small Cap Index A capitalization-weighted index of small cap stocks representing 23 developed country markets in Europe, Australia, Asia, and the Far East. MSCI EAFE Value Index A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the value-oriented companies. MSCI Emerging Markets Index A capitalization-weighted index of stocks representing 22 emerging country markets. MSCI U.S. Broad Market Index A capitalization-weighted stock index that aggregates the MSCI U.S. Large Cap 300, Mid Cap 450, Small Cap 1,750 and Micro-Cap Indices. This index represents approximately 99.5% of the capitalization of the U.S. Equity market and includes approximately 3,562 companies. MSCI U.S. REIT Index A broad index that fairly represents the equity REIT opportunity set with proper invest ability screens to ensure that the index is investable and replicable. The index represents approximately 85% of the U.S. REIT universe MSCI World Index A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, representing 24 developed market country indices. NCREIF Property Index NCREIF Property Index -A capitalization-weighted index of privately owned investment grade income-producing properties representing approximately $269 billion in assets. Page 81 Index Definitions Name Description NFI ODCE Index NFI ODCE Index -A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute the index are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investment results. The returns shown in this report are net of management fees of the respective funds included in the index. Rolling 3-year Constant Maturity Treasury Index An index published by the Federal Reserve Board based on the monthly average yield of a range of Treasury securities, all adjusted to the equivalent of a three-year maturity. Russell 1000 Growth Index An index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher I/B/E/S growth forecasts. Russell 1000 Index A capitalization-weighted index of the 1,000 largest publicly traded U.S. stocks by capitalization. Russell 1000 Value Index.An index that measures the performance of those stocks included in the Russell 1000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell 2000 Growth Index A capitalization-weighted index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell 2000 Index A capitalization-weighted index of the smallest 2,000 stocks in the Russell 3000 Index. The index excludes the largest- and smallest-capitalization issues in the domestic stock market. Russell 2000 Value Index An index that measures the performance of those stocks included in the Russell 2000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell 2500 Growth Index A capitalization-weighted index representing those companies within the Russell 2500 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell 2500 Index The Index is constructed by first identifying the 3,000 largest-capitalization U.S. stocks and ranking them by market capitalizations, choosing the bottom 2,500 names on the list. Russell 2500 Value Index.an index that measures the performance of those stocks included in the Russell 2500 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Page 82 Index Definitions Name Description Russell 3000 Growth Index A capitalization-weighted index consisting of those Russell 3000 Index stocks that have higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell 3000 Index A capitalization-weighted index consisting of the 3,000 largest publicly traded U.S. stocks by capitalization. This index is a broad measure of the performance of the aggregate domestic equity market. Russell 3000 Value Index A capitalization-weighted index consisting of those Russell 3000 Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. Russell Mid Cap Growth Index A capitalization-weighted index representing those stocks in the Russell MidCap Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts. Russell Mid Cap Value Index A capitalization-weighted index consisting of those Russell MidCap Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts. S&P 500 Index A capitalization-weighted index representing stocks chosen by Standard & Poor's, Inc. for their size, liquidity, stability and industry group representation. The companies in the S&P 500 Index are generally among the largest in their industries. S&P Completion Index The S&P Completion Index is a sub-index of the S&P Total Market Index, including all stocks eligible for the S&P TMI and excluding all current constituents of the S&P 500. The index covers approximately 4,000 constituents, offering investors broad exposure to mid, small, and micro-cap companies. S&P GSCI®Both the first major investable commodity index and one of the most widely recognized benchmarks, the S&P GSCI® is broad-based, production weighted, and meant to be representative of the global commodity market beta. S&P Leverage Loan Index A daily total return index that uses LSTA/LPC Mark-to-Market Pricing to calculate market value change. S&P Midcap 400 Index A market-capitalization-weighted index of stocks in all major industries in the mid-range of the U.S. stock market. Wilshire REIT A measure of the types of U.S. real estate securities that represent the ownership and operation of commercial or residential real estate. To be included in the index, a company must have a market capitalization of $200 million and have at least 75% of the total revenue derived from the ownership and operation of the real estate assets. •Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect our fees or expenses. •Past performance is no guarantee of future results. Page 83 Disclaimers and Notes Page 84 ·The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time weighted. ·Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking. ·Due to rounding throughout the report, percentage totals displayed may not sum up to 100.0%. Additionally, individual fund totals in dollar terms may not sum up to the plan totals. ·All information presented in this report should be considered preliminary. Finalized data will be available on next Quarterly Investment Report after the close of the quarter. Notes As of June 30, 2023 Page 85 Past performance is not necessarily indicative of future results. Unless otherwise noted,performance returns presented reflect the respective fund’s performance as indicated.Returns may be presented on a before-fees basis (gross)or after-fees basis (net).After-fee performance is net of each respective sub-advisors’investment management fees and include the reinvestment of dividends and interest as indicated on the notes page within this report or on the asset allocation and performance summary pages.Actual returns may be reduced by Aon Investments’investment advisory fees or other trust payable expenses you may incur as a client.Aon Investments’advisory fees are described in Form ADV Part 2A.Portfolio performance,characteristics and volatility also may differ from the benchmark(s) shown. 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