Loading...
HomeMy Public PortalAbout3rd 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 Third 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. Thought Leadership Highlights Topic Article Link Aon United SECURE 2.0 Link Market View Quarterly Market Review and Outlook Video (access code ‘aon!’)Link to Article Link to Video P&I Conference Video | Public Funds in 2023: Challenges and Opportunities Link to Video Quarterly Themes Key Themes for Public Funds in 2023 (4-minute video, access code ‘aon!’)Link to Video Asset Allocation How Public Pensions Should Assess Illiquidity from Alts: 3 Questions with Eric Friedman & John Sullivan Link Global Equity Link Client Video: U.S. vs non-U.S. Equity (access code ‘aon!’)Link to Video The Strength of the U.S. Equity Market and its Impact on Equity Allocations Link White Paper: Why Diversify?Link Managing Through Today's Environment for Illiquid Assets: 3 Questions with Eric Friedman Link White Paper:Impact Investing is Hard: Here’s How to Do It Well Link Strategy Review Aon’s Environmental Social and Governance (ESG) Manager Ratings: 3 Questions With Daniel Ingram Link Diverse Manager Initiatives: Three Questions for Institutional Investors Link Why Securities Lending is Right, Now Link The ‘Case’ for Litigation Finance Link Private Credit: 3 Questions with Galina Kalcheva Link Private Credit 101 (access code ‘aon!’)Link to Video Conviction in Equity: 4 Questions Link Conviction in Equity Investing Revisited Link 3172463-NRC If you do not get Aon Investments’ monthly email newsletter, but would like to, please ask your consultant. 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. -3.3% -5.1%-4.1% -2.9%-3.2% -11.8% -7.2% 0.5% 13.1% 2.5% 7.1% 1.8% -1.2% -8.5% -2.6% 5.9% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 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 09/30/2023 Third Quarter 2023 YTD Source:Russell, MSCI, Bloomberg MSCI Indices show net total returns throughout this report. All other indices show gross total returns. 3165935-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. 9.9% 2.4%3.2% 0.6%0.1% -2.8% -0.2% 3.0% 11.9% 6.6% 3.8% 2.1%1.1%0.8% 2.7% 4.2% -4.0% -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 09/30/2023 Five-Year Ten-Year Source:Russell, MSCI, Bloomberg 3165935-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. Third Quarter YTD 1-Year 3-Year1 5-Year1 10-Year1 Equity MSCI All Country World IMI -3.40%9.39%20.16%6.88%6.09%7.39% MSCI All Country World -3.40%10.06%20.80%6.89%6.46%7.56% Dow Jones U.S. Total Stock Market -3.29%12.42%20.49%9.27%9.01%11.19% Russell 3000 -3.25%12.39%20.46%9.38%9.14%11.28% S&P 500 -3.27%13.07%21.62%10.15%9.92%11.91% Russell 2000 -5.13%2.54%8.93%7.16%2.40%6.65% MSCI All Country World ex-U.S. IMI -3.49%5.30%20.19%3.77%2.57%3.48% MSCI All Country World ex-U.S.-3.77%5.34%20.39%3.74%2.58%3.35% MSCI EAFE -4.11%7.08%25.65%5.75%3.24%3.82% MSCI EAFE (Local Currency)-1.27%10.67%20.32%10.81%5.65%6.75% MSCI Emerging Markets -2.93%1.82%11.70%-1.73%0.55%2.07% Equity Factors MSCI World Minimum Volatility (USD)-2.80%1.22%11.43%3.72%4.62%7.70% MSCI World High Dividend Yield -1.52%2.76%17.77%8.85%5.77%6.65% MSCI World Quality -2.83%18.15%30.27%8.75%11.01%11.95% MSCI World Momentum -2.96%0.07%13.22%1.69%5.87%9.93% MSCI World Enhanced Value -0.22%11.05%29.22%12.90%3.96%6.12% MSCI World Index Growth -4.86%21.09%26.86%5.50%9.70%10.75% MSCI USA Minimum Volatility (USD)-2.04%1.85%11.84%6.17%6.98%10.38% MSCI USA High Dividend Yield -2.09%-1.37%12.62%8.24%5.74%9.48% MSCI USA Quality -1.40%21.67%32.96%9.73%12.11%13.78% MSCI USA Momentum -2.84%-2.89%8.92%-0.31%4.88%11.62% MSCI USA Enhanced Value -2.52%1.89%14.53%10.30%3.69%8.41% MSCI USA Equal Weighted -4.03%4.38%14.51%8.88%6.85%9.45% MSCI USA Growth -3.45%29.07%29.83%7.65%12.74%14.51% Returns of the Major Capital Markets Period Ending 09/30/2023 Third Quarter YTD 1-Year 3-Year1 5-Year1 10-Year1 Fixed Income Bloomberg Global Aggregate -3.59%-2.21%2.24%-6.93%-1.62%-0.44% Bloomberg U.S. Aggregate -3.23%-1.21%0.64%-5.21%0.10%1.13% Bloomberg U.S. Long Gov't -11.79%-8.50%-9.04%-15.66%-2.78%0.75% Bloomberg U.S. Long Credit -7.23%-2.62%2.54%-8.97%-0.23%2.71% Bloomberg U.S. Long Gov't/Credit -9.37%-5.40%-2.93%-11.90%-1.21%1.94% Bloomberg U.S. TIPS -2.60%-0.78%1.25%-1.98%2.12%1.74% Bloomberg U.S. High Yield 0.46%5.86%10.28%1.76%2.96%4.24% Bloomberg Global Treasury ex U.S.-4.70%-4.62%1.92%-9.65%-3.74%-2.01% JP Morgan EMBI Global (Emerging Markets)-2.63%1.09%8.61%-4.27%-0.09%2.24% Commodities Bloomberg Commodity Index 4.71%-3.44%-1.30%16.23%6.13%-0.75% Goldman Sachs Commodity Index 15.98%7.24%10.93%29.49%5.57%-2.53% Hedge Funds HFRI Fund-Weighted Composite2 0.84%4.27%6.69%6.89%5.03%4.57% HFRI Fund of Funds2 0.69%2.99%4.77%3.83%3.42%3.29% Real Estate NAREIT U.S. Equity REITS -7.13%-2.14%2.99%5.76%2.77%5.96% FTSE Global Core Infrastructure Index -7.93%-8.83%-0.94%2.77%4.11%6.25% 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 09/30/2023 3165935-NRC Page 5 Total Plan Page 6 $0.0 $100.0 $200.0 $300.0 $400.0 -$100.0 -$200.0 In M illions Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value $304.1 ($6.3)($10.8) $287.0 Summary of Cash Flows 1 Quarter Year To Date 1 Year Total Pension Beginning Market Value 304,085,293 288,314,337 272,724,950 +Additions / Withdrawals -6,271,640 -12,307,826 -12,801,856 +Investment Earnings -10,833,649 10,973,493 27,056,909 = Ending Market Value 286,980,003 286,980,003 286,980,003 Total Plan Asset Summary Total Plan Asset Summary As of September 30, 2023 Page 7 Return Summary Total Pension Policy Benchmark 0.0 6.0 12.0 18.0 -6.0 -12.0 Return % 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/93 -2.9 3.4 8.5 3.2 4.3 4.8 -3.6 3.7 9.8 2.3 3.6 4.4 6.7 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% -2.0 % -4.0 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 Ratio of Cumulative Wealth - 15 Years Total Pension Benchmark 0.96 1.00 1.04 1.08 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 9/20 9/21 9/22 9/23 0.96 Total Plan Performance Summary As of September 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 286,980,003 100.0 100.0 -3.6 (88)3.7 (81)9.8 (72)2.3 (90)3.6 (93)4.4 (97)6.7 (70)01/01/1993 Policy Benchmark -2.9 (45)3.4 (87)8.5 (88)3.2 (78)4.3 (79)4.8 (94) All Public Plans < $1B-Total Fund Median -3.0 4.9 11.1 4.2 5.0 6.3 7.2 Total Domestic Equity 108,460,622 37.8 -3.4 11.0 18.8 9.2 8.5 10.4 10.8 09/01/2013 Russell 3000 Index -3.3 12.4 20.5 9.4 9.1 11.3 11.6 All Public Plans-US Equity Segment Median IM U.S. Equity (SA+CF) Median -3.5 6.3 16.2 9.4 6.8 9.0 9.4 Total Large-Cap Equity 74,408,216 25.9 25.0 -3.2 (41)12.9 (23)21.0 (26)9.5 (50)9.6 (17)11.2 (23)9.5 (61)06/01/2003 Russell 1000 Index -3.1 (40)13.0 (22)21.2 (25)9.5 (49)9.6 (17)11.6 (17)9.9 (47) IM U.S. Equity (SA+CF) Median -3.5 6.3 16.2 9.4 6.8 9.0 9.8 BlackRock Russell 1000 Index Fund Non-Lending 74,408,216 25.9 -3.2 (41)13.0 (22)21.1 (25)9.5 (50)9.7 (17)11.2 (24)03/01/2017 Russell 1000 Index -3.1 (40)13.0 (22)21.2 (25)9.5 (49)9.6 (17)11.2 (24) IM U.S. Equity (SA+CF) Median -3.5 6.3 16.2 9.4 6.8 8.6 Total Small-Cap Equity 34,052,406 11.9 10.0 -4.0 (60)7.3 (46)14.3 (60)8.6 (58)5.6 (66)8.4 (62)10.3 (32)06/01/2003 Russell 2000 Index -5.1 (77)2.5 (73)8.9 (87)7.2 (67)2.4 (93)6.6 (87)8.6 (82) IM U.S. Equity (SA+CF) Median -3.5 6.3 16.2 9.4 6.8 9.0 9.8 Kennedy Mid Cap Value 17,046,310 5.9 -4.2 (63)9.0 (39)17.7 (43)14.3 (18)7.5 (41)9.1 (49)9.5 (38)02/01/2008 IM U.S. Equity (SA+CF) Median -3.5 6.3 16.2 9.4 6.8 9.0 9.0 Russell Midcap Value Index -4.5 (68)0.5 (83)11.0 (77)11.0 (37)5.2 (71)7.9 (70)8.0 (73) TimesSquare Small Cap Growth 17,006,096 5.9 -3.7 (54)5.5 (55)10.9 (78)2.3 (87)3.1 (88)7.1 (81)9.3 (30)02/01/2002 Russell 2000 Growth Index -7.3 (93)5.2 (57)9.6 (85)1.1 (91)1.6 (96)6.7 (86)7.4 (88) IM U.S. Equity (SA+CF) Median -3.5 6.3 16.2 9.4 6.8 9.0 8.7 Total International Equity 50,884,755 17.7 18.0 -6.4 4.9 21.4 1.3 1.8 2.6 3.2 09/01/2013 MSCI AC World ex USA Index (Net)-3.8 5.3 20.4 3.7 2.6 3.3 4.0 All Public Plans-Intl. Equity Segment Median IM International Equity (MF) Median -4.5 4.6 19.1 2.1 2.3 3.3 4.0 Morgan Stanley International Equity 32,820,919 11.4 -7.9 (92)5.6 (46)24.7 (28)2.6 (54)2.1 (57)2.9 (61)4.0 (74)04/01/2005 MSCI EAFE Index (Net)-4.1 (52)7.1 (30)25.6 (22)5.8 (31)3.2 (34)3.8 (39)4.4 (59) IM International Equity (MF) Median -4.0 5.1 19.5 3.1 2.4 3.4 4.6 Morgan Stanley Emerging Markets Fund 18,063,836 6.3 -3.6 (60)2.7 (58)14.0 (46)-2.1 (61)0.5 (66)1.3 (72)5.0 (59)04/01/2005 MSCI Emerging Markets Index (Net)-2.9 (46)1.8 (67)11.7 (61)-1.7 (57)0.6 (65)2.1 (52)5.6 (33) IM Emerging Markets Equity (MF) Median -3.1 3.5 13.2 -0.9 1.2 2.1 5.2 Asset Allocation & Performance As of September 30, 2023 As of September 30, 2023 Page 9 Asset Allocation & Performance As of September 30, 2023 As of September 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 104,846,840 36.5 35.0 -3.0 -0.5 2.4 -4.0 0.5 1.2 3.2 07/01/2003 Blmbg. Intermed. U.S. Government/Credit -0.8 0.7 2.2 -2.9 1.0 1.3 2.6 All Public Plans-US Fixed Income Segment Median IM U.S. Fixed Income (SA+CF) Median -1.2 0.6 2.5 -2.0 1.2 1.8 3.0 Income Research 41,982,338 14.6 -0.9 (39)0.7 (52)2.2 (56)-2.8 (47)1.3 (22)1.4 (39)3.7 (14)07/01/2001 Blmbg. Intermed. U.S. Government/Credit -0.8 (37)0.7 (55)2.2 (56)-2.9 (57)1.0 (47)1.3 (62)3.2 (64) IM U.S. Intermediate Duration (SA+CF) Median -0.9 0.7 2.3 -2.9 1.0 1.3 3.4 Prudential Core Plus Bond 41,900,727 14.6 -2.6 (27)0.6 (19)2.9 (22)-4.4 (52)0.9 (29)1.6 (22)06/01/2015 Blmbg. U.S. Aggregate -3.2 (75)-1.2 (81)0.6 (80)-5.2 (89)0.1 (85)0.5 (89) IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median -2.9 -0.5 1.5 -4.4 0.6 1.1 Brandywine Global Opportunistic Fixed Income 20,963,775 7.3 -7.6 (100)-4.5 (92)2.1 (81)-5.7 (73)-1.8 (86)0.1 (68)3.2 (50)01/01/2005 FTSE World Government Bond Index -4.3 (87)-2.7 (81)1.0 (90)-8.7 (96)-2.6 (92)-1.2 (93)1.1 (96) IM Global Fixed Income (SA+CF) Median -1.4 1.6 5.2 -2.2 1.3 2.0 3.2 Hedge Fund 109,260 0.0 0.0 Entrust Capital Diversified Fund**109,260 0.0 Real Estate 20,367,988 7.1 12.0 -1.6 -12.1 -16.8 1.1 -0.2 3.8 4.0 06/01/2006 Real Estate Performance Benchmark -2.1 -8.1 -12.8 6.2 5.3 7.4 7.0 UBS Trumbull Property Fund*20,367,988 7.1 -1.6 -12.1 -16.8 1.1 -0.2 3.8 4.0 06/01/2006 Real Estate Performance Benchmark -2.1 -8.1 -12.8 6.2 5.3 7.4 7.0 Cash Account 2,310,537 0.8 0.0 1.3 3.7 4.7 1.8 1.7 1.1 1.5 07/01/2003 ICE BofAML 3 Month U.S. T-Bill 1.3 3.6 4.5 1.7 1.7 1.1 1.4 *The UBS Trumbull Property is currently in the process of liquidation. **The EnTrust Capital Diversified Fund market value is as of 8/31/2023 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 (42)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 (67)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 (32)-6.1 (75)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 (35)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 (42)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 September 30, 2023 As of September 30, 2023 Page 11 Asset Allocation & Performance As of September 30, 2023 As of September 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 (59)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 (66)6.4 (54)6.8 (42)0.9 (35)2.1 (64)2.1 (51)1.1 (42)3.1 (59)-0.9 (55) Prudential Core Plus Bond -14.6 (87)-0.9 (66)9.2 (36)11.3 (15)-0.4 (39)6.6 (12)5.8 (22)--- Blmbg. U.S. Aggregate -13.0 (42)-1.5 (92)7.5 (81)8.7 (77)0.0 (19)3.5 (83)2.6 (88)--- Brandywine Global Opportunistic Fixed Income -16.2 (77)-5.3 (85)11.7 (17)9.3 (48)-5.2 (88)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%-0.58 %-1.16 %-1.74 %-2.32 %-2.90 %-3.48 %-4.06 %-4.64 %-5.22 % Total Fund Total Fund Benchmark Total Value Added -3.64 % -2.22 % -1.42 % Total Value Added: -1.42 % 0.00%-0.20 %-0.40 %-0.60 %-0.80 %-1.00 %-1.20 %-1.40 %-1.60 %-1.80 % Other Manager Value Added Asset Allocation -0.03 % -1.25 % -0.14 % Total Asset Allocation: -0.14 % Average Active Weight 0.00%2.00%4.00%-2.00 %-4.00 %-6.00 %-8.00 % Cash Account Real Estate Hedge Fund Total Fixed Income Total International Equity Total Small-Cap Equity Total Large-Cap Equity W e i g h t % 0.86% -5.03 % 0.04% 0.51% -0.13 % 2.06% 1.69% Asset Allocation Value Added 0.00%0.04%0.08%-0.04 %-0.08 %-0.12 %-0.16 %-0.20 % 0.03% -0.11 % 0.00% 0.01% 0.00% -0.05 % -0.02 % Total Manager Value Added: -1.25 % Manager Value Added 0.00%0.30%0.60%-0.30 %-0.60 %-0.90 %-1.20 % 0.00% -0.12 % 0.00% -0.76 % -0.48 % 0.12% -0.01 % Total Fund Attribution 1 Quarter Ending September 30, 2023 1 Quarter Ending September 30, 2023 Page 13 Total Fund Performance 0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00% Total Fund Total Fund Benchmark Total Value Added 9.81% 9.74% 0.07% Total Value Added: 0.07% 0.00%0.09%0.18%0.27%0.36%-0.09 %-0.18 %-0.27 %-0.36 % Other Manager Value Added Asset Allocation -0.03 % -0.15 % 0.25% Total Asset Allocation: 0.25% Average Active Weight 0.00%2.00%4.00%-2.00 %-4.00 %-6.00 % Cash Account Real Estate Hedge Fund Total Fixed Income Total International Equity Total Small-Cap Equity Total Large-Cap Equity W eight % 0.83% -4.06 % 0.17% 0.48% 0.20% 1.90% 0.48% Asset Allocation Value Added 0.00%0.20%0.40%0.60%0.80%-0.20 %-0.40 % -0.06 % 0.56% -0.05 % -0.13 % 0.05% -0.09 % -0.03 % Total Manager Value Added: -0.15 % Manager Value Added 0.00%0.39%0.78%1.17%-0.39 %-0.78 %-1.17 %-1.56 % 0.00% -0.93 % 0.00% 0.03% 0.19% 0.59% -0.04 % Total Fund Attribution 1 Year Ending September 30, 2023 1 Year Ending September 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 -3.6 (88)3.7 (81)9.8 (72)2.3 (90)3.6 (93)4.4 (97)-14.4 (55)10.1 (92)12.8 (62)¢ Policy Benchmark -2.9 (45)3.4 (87)8.5 (88)3.2 (78)4.3 (79)4.8 (94)-12.7 (30)10.8 (87)12.7 (63)˜ 5th Percentile -1.4 7.3 14.8 6.5 6.3 7.4 -9.0 18.0 18.2 1st Quartile -2.4 5.7 12.3 5.2 5.5 6.7 -12.3 15.1 15.8 Median -3.0 4.9 11.1 4.2 5.0 6.3 -14.2 13.5 13.9 3rd Quartile -3.4 4.0 9.5 3.4 4.4 5.7 -15.8 12.0 11.6 95th Percentile -3.9 2.5 7.1 1.7 3.3 4.6 -17.5 8.6 7.6 Population 470 457 451 439 420 343 713 874 904 Total Pension Peer Group Analysis As of September 30, 2023 As of September 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 0.7 1.4 2.1 2.8 3.5 4.2 4.9 5.6 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 9/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Pension -0.54 1.49 -0.36 0.99 0.22 -0.89 1.08 3.63 11.57 0.99 Policy Benchmark 0.00 0.00 -1.00 0.28 0.00 1.00 4.29 10.70 1.00 90 Day U.S. Treasury Bill -3.07 10.79 -0.28 0.02 -1.75 -0.01 1.72 0.50 -0.15 Total PensionTotal Pension Risk Profile As of September 30, 2023 Page 16 Market Value $ Current Allocation % Target Allocation % Minimum Allocation % Maximum Allocation % Differences % Total Pension 286,980,003 100.0 100.0 --0.0 Total Large-Cap Equity 74,408,216 25.9 25.0 20.0 30.0 0.9 Total Small-Cap Equity 34,052,406 11.9 10.0 5.0 15.0 1.9 Total International Equity 50,884,755 17.7 18.0 13.0 23.0 -0.3 Total Fixed Income 104,846,840 36.5 35.0 30.0 40.0 1.5 Hedge Fund 109,260 0.0 0.0 0.0 0.0 0.0 Real Estate 20,367,988 7.1 12.0 7.0 17.0 -4.9 Cash Account 2,310,537 0.8 0.0 0.0 0.0 0.8 Target Allocation Actual Allocation Allocation Differences 0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 %-16.0 % Cash Account $2,310.5K Real Estate $20,368.0K Hedge Fund $109.3K Total Fixed Income $104,846.8K Total International Equity $50,884.8K Total Small-Cap Equity $34,052.4K Total Large-Cap Equity $74,408.2K 0.0% 12.0% 0.0% 35.0% 18.0% 10.0% 25.0% 0.8% 7.1% 0.0% 36.5% 17.7% 11.9% 25.9% 0.8% -4.9 % 0.0% 1.5% -0.3 % 1.9% 0.9% Asset Allocation Compliance As of September 30, 2023 As of September 30, 2023 Page 17 Total Domestic Equity Page 18 Current Allocation Return Summary September 30, 2023 : $108,460,622 TimesSquare Small Cap Growth 16% Kennedy Mid Cap Value 16% BlackRock Russell 1000 Index Fund Non-Lending 69% Total Domestic Equity Russell 3000 Index 0.0 8.0 16.0 24.0 32.0 -8.0 -16.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years Inception 9/1/13 -3.3 12.4 20.5 9.4 9.1 11.6 -3.4 11.0 18.8 9.2 8.5 10.8 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% 4.0% -2.0 % -4.0 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 Ratio of Cumulative Wealth - 5 Years Total Domestic Equity Benchmark 0.9 1.0 1.1 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 1.0 Total Domestic EquityTotal Domestic Equity Portfolio Overview As of September 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 -3.4 (55)11.0 (37)18.8 (56)9.2 (45)8.5 (37)10.4 (46)-19.3 (66)24.3 (57)21.4 (24)¢ Russell 3000 Index -3.3 (37)12.4 (21)20.5 (29)9.4 (44)9.1 (22)11.3 (20)-19.2 (66)25.7 (44)20.9 (27)˜ 5th Percentile -1.6 13.9 22.8 12.0 10.1 12.0 -12.9 29.8 26.5 1st Quartile -2.9 11.6 20.7 10.2 9.0 11.0 -16.7 27.7 21.3 Median -3.4 10.2 19.2 9.0 8.0 10.2 -18.1 24.6 18.9 3rd Quartile -3.8 8.6 16.9 7.9 7.1 9.3 -19.7 22.6 16.6 95th Percentile -5.1 6.5 13.3 4.5 5.3 7.7 -24.8 15.2 10.4 Population 63 61 60 59 53 45 65 70 67 Total Domestic Equity Peer Group Analysis As of September 30, 2023 As of September 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 -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 Standard Deviation % Standard Deviation Rolling 3 Years Total Domestic Equity Russell 3000 Index 6.0 9.0 12.0 15.0 18.0 21.0 24.0 27.0 Standard Deviation % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 -0.14 2.01 -0.07 0.99 0.48 -0.20 1.01 9.20 18.36 0.99 Russell 3000 Index 0.00 0.00 -1.00 0.49 0.00 1.00 9.38 18.15 1.00 90 Day U.S. Treasury Bill -8.91 18.19 -0.49 0.00 -1.72 0.00 1.70 0.61 -0.05 Total Domestic EquityTotal Domestic Equity Risk Profile As of September 30, 2023 Page 21 As of September 30, 2023 BlackRock Russell 1000 Index Fund Performance Summary Return Summary BlackRock Russell 1000 Index Fund Russell 1000 Index 0.0 10.0 20.0 30.0 -10.0 -20.0 Return % 1 Quarter Year to Date 1 Year 3 Years Inception 3/1/17 -3.1 13.0 21.2 9.5 11.2 -3.2 13.0 21.1 9.5 11.2 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 2/23 9/23 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 -3.2 (41)13.0 (22)21.1 (25)9.5 (50)9.7 (17)11.6 (17)-19.1 (62)26.4 (42)21.1 (37)¢ Russell 1000 Index -3.1 (40)13.0 (22)21.2 (25)9.5 (49)9.6 (17)11.6 (17)-19.1 (62)26.5 (42)21.0 (37)¢ 5th Percentile 0.6 24.8 29.0 19.1 11.7 13.2 -0.6 37.3 58.1 1st Quartile -2.3 12.2 21.1 12.7 8.8 11.0 -9.5 29.0 29.5 Median -3.5 6.3 16.2 9.4 6.8 9.0 -17.0 25.0 15.5 3rd Quartile -5.0 2.1 11.4 5.5 4.6 7.6 -24.3 19.2 5.3 95th Percentile -8.0 -2.8 5.1 -2.0 1.8 5.7 -36.3 6.1 -3.6 Population 1,797 1,789 1,789 1,724 1,653 1,341 2,000 2,059 2,154 BlackRock Russell 1000 Index Fund Peer Group Analysis As of September 30, 2023 As of September 30, 2023 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 23 As of September 30, 2023 Kennedy Mid Cap Value Performance Summary Return Summary Kennedy Mid Cap Value Russell Midcap Value Index 0.0 10.0 20.0 30.0 -10.0 -20.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/08 -4.5 0.5 11.0 11.0 5.2 7.9 7.6 -4.2 9.0 17.7 14.3 7.5 9.1 9.4 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 Ratio of Cumulative Wealth - Since Inception Kennedy Mid Cap Value Benchmark 0.90 1.00 1.10 1.20 1.30 1.40 1.50 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 9/23 1.31 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 -4.2 (63)9.0 (39)17.7 (43)14.3 (18)7.5 (41)9.1 (49)-14.8 (43)31.8 (14)8.4 (68)¢ Russell Midcap Value Index -4.5 (68)0.5 (83)11.0 (77)11.0 (37)5.2 (71)7.9 (70)-12.0 (33)28.3 (30)5.0 (76)¢ 5th Percentile 0.6 24.8 29.0 19.1 11.7 13.2 -0.6 37.3 58.1 1st Quartile -2.3 12.2 21.1 12.7 8.8 11.0 -9.5 29.0 29.5 Median -3.5 6.3 16.2 9.4 6.8 9.0 -17.0 25.0 15.5 3rd Quartile -5.0 2.1 11.4 5.5 4.6 7.6 -24.3 19.2 5.3 95th Percentile -8.0 -2.8 5.1 -2.0 1.8 5.7 -36.3 6.1 -3.6 Population 1,797 1,789 1,789 1,724 1,653 1,341 2,000 2,059 2,154 Kennedy Mid Cap Value Peer Group Analysis As of September 30, 2023 As of September 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 0.0 1.5 3.0 4.5 6.0 7.5 9.0 10.5 Return % 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 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 % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 2.12 4.48 0.47 0.96 0.36 2.38 0.97 7.52 22.11 0.98 Russell Midcap Value Index 0.00 0.00 -1.00 0.26 0.00 1.00 5.18 22.34 1.00 90 Day U.S. Treasury Bill -5.89 22.46 -0.26 0.05 -1.76 0.00 1.72 0.50 -0.22 Kennedy Mid Cap ValueKennedy Mid Cap Value Risk Profile As of September 30, 2023 Page 26 As of September 30, 2023 TimesSquare Small Cap Growth Performance Summary Return Summary TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 8.0 16.0 -8.0 -16.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 2/1/02 -7.3 5.2 9.6 1.1 1.6 6.7 7.4 -3.7 5.5 10.9 2.3 3.1 7.1 9.3 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 9/23 1.46 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 -3.7 (57)5.5 (58)10.9 (82)2.3 (90)3.1 (93)7.1 (91)-25.5 (80)7.3 (95)36.3 (17)¢ Russell 2000 Growth Index -7.3 (93)5.2 (60)9.6 (87)1.1 (93)1.6 (98)6.7 (94)-26.4 (82)2.8 (98)34.6 (20)¢ 5th Percentile 0.7 24.9 29.5 20.3 12.4 14.0 0.4 38.4 59.1 1st Quartile -2.2 12.6 21.6 13.5 9.6 11.7 -8.9 29.8 29.6 Median -3.3 6.9 17.1 10.2 7.5 9.8 -16.4 26.1 16.7 3rd Quartile -4.9 2.7 12.3 6.7 5.5 8.4 -23.2 20.2 6.3 95th Percentile -7.9 -2.3 5.7 -1.1 2.5 6.5 -35.1 6.9 -3.0 Population 1,790 1,789 1,789 1,744 1,689 1,512 2,009 2,094 2,255 TimesSquare Small Cap Growth Peer Group Analysis As of September 30, 2023 As of September 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 0.8 1.2 1.6 2.0 2.4 2.8 3.2 3.6 Return % 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 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 % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 1.50 5.12 0.29 0.96 0.18 1.62 0.98 3.10 24.61 0.98 Russell 2000 Growth Index 0.00 0.00 -1.00 0.12 0.00 1.00 1.55 24.67 1.00 90 Day U.S. Treasury Bill -2.86 24.75 -0.12 0.03 -1.73 0.00 1.72 0.50 -0.16 TimesSquare Small Cap GrowthTimesSquare Small Cap Growth Risk Profile As of September 30, 2023 Page 29 Asset Allocation As of 08/31/2023 0.0%50.0%100.0%150.0%-50.0 % Other Convertibles Fixed Income Cash Equities -0.1 % 0.0% 1.1% 3.5% 95.6% Fund Characteristics As of 08/31/2023 Total Securities 79 Avg. Market Cap $4,717.56 Million P/E 33.43 P/B 6.36 Div. Yield 1.42% Annual EPS 19.35 5Yr EPS 23.36 3Yr EPS Growth 29.65 Top Ten Securities As of 08/31/2023 Casella Waste Systems Inc ORD 3.26 % Dreyfus Inst Preferred Govt Money 2.72 % iShares Russell 2000 Growth ETF 2.49 % WNS HOLDINGS ADR REP 1 ORD 2.39 % Matador Resources Co ORD 2.37 % PowerSchool Holdings Inc ORD 2.12 % EMCOR Group Inc ORD 2.01 % ESAB Corp ORD 1.99 % Cactus Inc ORD 1.98 % Hexcel Corp ORD 1.94 % Sector/Quality Allocation As of 08/31/2023 0.0%8.0%16.0%24.0%32.0% Non Classified Equity Industrials Information Technology Health Care Financials Consumer Discretionary Energy Materials Consumer Staples Utilities 23.8% 19.6% 14.1% 11.7% 8.6% 7.4% 4.5% 3.0% 3.0% 0.0% TimesSquare Small Cap Growth As of September 30, 2023 As of September 30, 2023 Page 30 Total International Equity Page 31 Current Allocation Return Summary September 30, 2023 : $50,884,755 Morgan Stanley Emerging Markets Fund 35% Morgan Stanley International Equity 65% Total International Equity MSCI AC World ex USA Index (Net) 0.0 10.0 20.0 30.0 -10.0 -20.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years Inception 9/1/13 -3.8 5.3 20.4 3.7 2.6 4.0 -6.4 4.9 21.4 1.3 1.8 3.2 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 Ratio of Cumulative Wealth - 5 Years Total International Equity Benchmark 0.9 1.0 1.1 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 1.0 Total International EquityTotal International Equity Portfolio Overview As of September 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 -6.4 (94)4.9 (78)21.4 (54)1.3 (92)1.8 (97)2.6 (100)-17.6 (60)4.0 (96)12.7 (52)¢ MSCI AC World ex USA Index (Net)-3.8 (42)5.3 (70)20.4 (64)3.7 (61)2.6 (84)3.3 (99)-16.0 (41)7.8 (75)10.7 (75)˜ 5th Percentile -1.2 10.7 27.2 8.4 5.4 5.6 -12.3 18.8 28.2 1st Quartile -3.0 7.5 24.3 6.5 4.5 5.1 -14.3 12.3 16.9 Median -3.9 6.0 21.5 4.4 3.8 4.7 -17.0 9.5 12.8 3rd Quartile -5.0 5.1 19.0 2.8 3.1 4.2 -19.0 7.6 10.5 95th Percentile -6.8 1.9 15.6 -0.3 1.8 3.6 -23.2 4.2 7.1 Population 64 63 63 60 57 49 65 69 68 Total International Equity Peer Group Analysis As of September 30, 2023 As of September 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 0.0 0.8 1.6 2.4 3.2 4.0 4.8 Return % 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 Standard Deviation % Standard Deviation Rolling 3 Years Total International Equity MSCI AC World ex USA Index (Net) 15.3 16.2 17.1 18.0 18.9 19.8 20.7 21.6 22.5 Standard Deviation % 12/20 3/21 6/21 9/21 12/21 3/22 6/22 9/22 12/22 3/23 6/23 9/23 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 -2.18 3.93 -0.56 0.96 0.07 -2.47 1.06 1.26 18.65 0.98 MSCI AC World ex USA Index (Net)0.00 0.00 -1.00 0.20 0.00 1.00 3.74 17.19 1.00 90 Day U.S. Treasury Bill -3.40 17.19 -0.20 0.00 -1.70 0.00 1.70 0.61 0.02 Total International EquityTotal International Equity Risk Profile As of September 30, 2023 Page 34 As of September 30, 2023 Morgan Stanley International Equity Performance Summary Return Summary Morgan Stanley International Equity MSCI EAFE Index (Net) 0.0 15.0 30.0 45.0 -15.0 -30.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 -4.1 7.1 25.6 5.8 3.2 3.8 4.4 -7.9 5.6 24.7 2.6 2.1 2.9 4.0 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 9/23 0.93 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 -7.9 (92)5.6 (46)24.7 (28)2.6 (54)2.1 (57)2.9 (61)-14.1 (30)4.2 (68)11.4 (52)¢ MSCI EAFE Index (Net)-4.1 (52)7.1 (30)25.6 (22)5.8 (31)3.2 (34)3.8 (39)-14.5 (33)11.3 (39)7.8 (66)¢ 5th Percentile 1.9 13.2 33.7 12.8 7.3 6.9 -4.4 20.3 42.8 1st Quartile -2.1 7.7 25.0 6.7 3.9 4.3 -13.1 13.1 20.1 Median -4.0 5.1 19.5 3.1 2.4 3.4 -17.5 9.3 11.8 3rd Quartile -5.7 1.8 13.2 -1.8 0.6 2.1 -23.3 0.9 5.0 95th Percentile -8.9 -7.6 0.0 -8.6 -2.5 -0.5 -32.4 -12.0 -6.1 Population 1,132 1,131 1,131 1,014 890 465 1,140 1,101 1,045 Morgan Stanley International Equity Peer Group Analysis As of September 30, 2023 As of September 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 1.0 1.5 2.0 2.5 3.0 3.5 4.0 Return % 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0 Standard Deviation % Standard Deviation Rolling 5 Years Morgan Stanley International MSCI EAFE Index (Net) 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 Standard Deviation % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 -1.05 4.64 -0.23 0.94 0.11 -1.05 1.00 2.07 18.58 0.97 MSCI EAFE Index (Net)0.00 0.00 -1.00 0.17 0.00 1.00 3.24 17.99 1.00 90 Day U.S. Treasury Bill -3.08 18.04 -0.17 0.01 -1.73 0.00 1.72 0.50 -0.08 Morgan Stanley InternationalMorgan Stanley International Risk Profile As of September 30, 2023 Page 37 Asset Allocation As of 08/31/2023 0.0%25.0%50.0%75.0%100.0%125.0% Convertibles Cash Other Fixed Income Equities 0.0% 0.1% 0.3% 1.8% 97.7% Fund Characteristics As of 08/31/2023 Total Securities 77 Avg. Market Cap $85,876.88 Million P/E 24.67 P/B 4.89 Div. Yield 2.51% Annual EPS 10.78 5Yr EPS 6.97 3Yr EPS Growth 9.87 Top Ten Securities As of 08/31/2023 SAP SE ORD 3.31 % Heineken NV ORD 3.12 % Shell PLC ORD 2.95 % Constellation Software Inc ORD 2.82 % Reckitt Benckiser Group PLC ORD 2.60 % TAIWAN SEMICONDUCTOR MNFTG ADR 2.59 % Qiagen NV ORD 2.55 % Relx PLC ORD 2.55 % Deutsche Post AG ORD 2.34 % AXA SA ORD 2.15 % Sector/Quality Allocation As of 08/31/2023 0.0%6.0%12.0%18.0%24.0%30.0% Consumer Staples Industrials Financials Information Technology Health Care Energy Consumer Discretionary Materials Non Classified Equity 21.3% 19.3% 18.1% 14.5% 12.0% 5.1% 3.7% 2.1% 1.6% Morgan Stanley International Equity As of September 30, 2023 As of September 30, 2023 Page 38 As of September 30, 2023 Morgan Stanley Emerging Markets Fund Performance Summary Return Summary Morgan Stanley Emerging Markets Fund MSCI Emerging Markets Index (Net) 0.0 8.0 16.0 24.0 -8.0 -16.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 -2.9 1.8 11.7 -1.7 0.6 2.1 5.6 -3.6 2.7 14.0 -2.1 0.5 1.3 5.0 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 9/23 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 -3.6 (60)2.7 (58)14.0 (46)-2.1 (61)0.5 (66)1.3 (72)-25.0 (79)3.6 (35)14.7 (62)¢ MSCI Emerging Markets Index (Net)-2.9 (46)1.8 (67)11.7 (61)-1.7 (57)0.6 (65)2.1 (52)-20.1 (48)-2.5 (66)18.3 (42)¢ 5th Percentile 2.7 12.6 25.1 9.9 6.9 5.0 -6.0 17.2 41.2 1st Quartile -1.5 5.9 17.4 3.5 2.7 3.0 -16.4 6.0 23.9 Median -3.1 3.5 13.2 -0.9 1.2 2.1 -20.5 -0.2 17.2 3rd Quartile -4.7 1.3 9.9 -4.2 0.2 1.2 -24.5 -3.9 10.1 95th Percentile -6.9 -3.6 0.1 -8.2 -4.5 -5.2 -33.4 -13.6 -4.9 Population 285 285 285 249 211 110 288 276 258 Morgan Stanley Emerging Markets Fund Peer Group Analysis As of September 30, 2023 As of September 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 0.0 0.4 0.8 1.2 1.6 2.0 2.4 Return % 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 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 Standard Deviation % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 0.20 5.49 0.04 0.93 0.04 0.17 1.01 0.52 20.23 0.96 MSCI Emerging Markets Index (Net)0.00 0.00 -1.00 0.04 0.00 1.00 0.55 19.24 1.00 90 Day U.S. Treasury Bill -0.68 19.29 -0.04 0.01 -1.72 0.00 1.72 0.50 -0.08 Morgan Stanley Emerging MarketsMorgan Stanley Emerging Markets Risk Profile As of September 30, 2023 Page 41 Asset Allocation As of 08/31/2023 0.0%25.0%50.0%75.0%100.0%125.0% Convertibles Other Fixed Income Cash Equities 0.0% 0.4% 0.6% 1.9% 97.2% Fund Characteristics As of 08/31/2023 Total Securities 102 Avg. Market Cap $102,557.40 Million P/E 20.93 P/B 3.79 Div. Yield 3.43% Annual EPS 27.86 5Yr EPS 15.92 3Yr EPS Growth 25.97 Top Ten Securities As of 08/31/2023 Taiwan Semiconductor Manufacturing 6.06 % Samsung Electronics Co Ltd ORD 5.03 % Tencent Holdings Ltd ORD 3.07 % ICICI Bank Ltd ORD 2.42 % Reliance Industries Ltd ORD 2.34 % Morgan Stanley Inst Liq Govt Port;Instit 2.09 % TAIWAN SEMICONDUCTOR MNFTG ADR 2.05 % Wal Mart de Mexico SAB de CV ORD 1.97 % LPP SA ORD 1.91 % Galp Energia SGPS SA ORD 1.90 % Sector/Quality Allocation As of 08/31/2023 0.0%8.0%16.0%24.0%32.0% Financials Information Technology Consumer Staples Industrials Consumer Discretionary Energy Materials Non Classified Equity Health Care 25.0% 21.2% 14.1% 9.9% 9.0% 6.6% 6.1% 3.2% 2.2% Morgan Stanley Emerging Markets Fund As of September 30, 2023 As of September 30, 2023 Page 42 Total Fixed Income Page 43 Current Allocation Return Summary September 30, 2023 : $104,846,840 Income Research 40% Brandywine Global Opportunistic Fixed Income 20% Prudential Core Plus Bond 40% 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 0.7 2.2 -2.9 1.0 1.3 2.6 -3.0 -0.5 2.4 -4.0 0.5 1.2 3.2 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 4.0% 8.0% -4.0 % -8.0 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 Ratio of Cumulative Wealth - 5 Years Total Fixed Income Benchmark 0.9 1.0 1.1 9/18 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 9/23 1.0 Total Fixed IncomeTotal Fixed Income Portfolio Overview As of September 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 -3.0 (62)-0.5 (51)2.4 (32)-4.0 (56)0.5 (72)1.2 (91)-12.3 (59)-2.1 (97)9.2 (33)¢ Blmbg. Intermed. U.S. Government/Credit -0.8 (14)0.7 (25)2.2 (39)-2.9 (36)1.0 (53)1.3 (88)-8.2 (23)-1.4 (92)6.4 (87)˜ 5th Percentile 0.1 3.3 5.6 -0.6 2.5 3.3 -5.0 2.9 12.4 1st Quartile -1.9 0.6 2.8 -2.6 1.7 2.4 -8.8 0.7 9.6 Median -2.8 -0.4 1.5 -3.7 1.0 1.8 -11.8 -0.1 8.6 3rd Quartile -3.3 -1.4 0.1 -4.7 0.5 1.6 -13.8 -0.7 7.4 95th Percentile -6.1 -4.8 -6.4 -8.1 -1.3 0.4 -21.8 -1.7 4.9 Population 65 64 64 62 56 51 70 73 74 Total Fixed Income Peer Group Analysis As of September 30, 2023 As of September 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 0.0 0.4 0.8 1.2 1.6 2.0 2.4 Return % 0.0 0.9 1.8 2.7 3.6 4.5 5.4 6.3 7.2 8.18.1 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 % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 -0.39 3.41 -0.12 0.77 -0.16 -0.87 1.45 0.50 6.19 0.88 Blmbg. Intermed. U.S. Government/Credit 0.00 0.00 -1.00 -0.17 0.00 1.00 1.02 3.75 1.00 90 Day U.S. Treasury Bill 0.62 3.73 0.17 0.01 -1.70 0.01 1.72 0.50 0.11 Total Fixed IncomeTotal Fixed Income Risk Profile As of September 30, 2023 Page 46 As of September 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 0.7 2.2 -2.9 1.0 1.3 3.2 -0.9 0.7 2.2 -2.8 1.3 1.4 3.7 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 9/23 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 -0.9 (39)0.7 (52)2.2 (56)-2.8 (47)1.3 (22)1.4 (39)-8.1 (36)-1.3 (59)7.5 (19)¢ Blmbg. Intermed. U.S. Government/Credit -0.8 (37)0.7 (55)2.2 (56)-2.9 (57)1.0 (47)1.3 (62)-8.2 (41)-1.4 (66)6.4 (54)¢ 5th Percentile 0.8 3.3 5.0 0.6 2.1 2.8 -5.0 1.7 8.7 1st Quartile -0.7 1.0 2.8 -2.4 1.2 1.5 -7.9 -0.8 7.2 Median -0.9 0.7 2.3 -2.9 1.0 1.3 -8.4 -1.2 6.5 3rd Quartile -1.5 0.2 1.7 -3.2 0.7 1.2 -9.1 -1.6 5.5 95th Percentile -2.8 -1.3 0.1 -4.6 0.0 0.6 -11.4 -2.0 3.2 Population 129 129 128 117 109 100 134 139 143 Income Research Peer Group Analysis As of September 30, 2023 As of September 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 0.8 1.0 1.2 1.4 1.6 1.8 2.0 Return % 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 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 % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 0.57 0.99 -0.10 0.26 0.99 1.27 3.73 0.99 Blmbg. Intermed. U.S. Government/Credit 0.00 0.00 -1.00 -0.17 0.00 1.00 1.02 3.75 1.00 90 Day U.S. Treasury Bill 0.62 3.73 0.17 0.01 -1.70 0.01 1.72 0.50 0.11 Income ResearchIncome Research Risk Profile As of September 30, 2023 Page 49 As of September 30, 2023 Prudential Core Plus Bond Performance Summary Return Summary Prudential Core Plus Bond Blmbg. U.S. Aggregate 0.0 4.0 8.0 -4.0 -8.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years Inception 6/1/15 -3.2 -1.2 0.6 -5.2 0.1 0.5 -2.6 0.6 2.9 -4.4 0.9 1.6 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 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 9/23 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 9/23 1.09 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 -2.6 (27)0.6 (19)2.9 (22)-4.4 (52)0.9 (29)2.3 (24)-14.6 (87)-0.9 (66)9.2 (36)¢ Blmbg. U.S. Aggregate -3.2 (75)-1.2 (81)0.6 (80)-5.2 (89)0.1 (85)1.1 (90)-13.0 (42)-1.5 (92)7.5 (81)¢ 5th Percentile 0.0 2.9 5.7 0.0 2.3 3.1 -8.9 3.2 13.6 1st Quartile -2.5 0.4 2.4 -3.3 1.0 2.2 -12.5 0.1 9.6 Median -2.9 -0.5 1.5 -4.4 0.6 1.7 -13.3 -0.5 8.7 3rd Quartile -3.3 -1.0 0.8 -4.9 0.3 1.4 -14.1 -1.1 7.7 95th Percentile -4.0 -2.0 0.0 -5.6 -0.2 1.0 -16.0 -1.6 4.0 Population 144 144 144 138 133 111 154 156 163 Prudential Core Plus Bond Peer Group Analysis As of September 30, 2023 As of September 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 -8.0 -6.0 -4.0 -2.0 0.0 2.0 4.0 Return % 0.0 0.9 1.8 2.7 3.6 4.5 5.4 6.3 7.2 8.1 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 % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 0.85 1.62 0.52 0.95 -0.89 1.18 1.06 -4.43 6.78 0.97 Blmbg. U.S. Aggregate 0.00 0.00 -1.00 -1.10 0.00 1.00 -5.21 6.20 1.00 90 Day U.S. Treasury Bill 6.84 6.19 1.10 0.00 -1.74 0.01 1.70 0.61 0.07 Prudential Core Plus BondPrudential Core Plus Bond Risk Profile As of September 30, 2023 Page 52 As of September 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 -15.0 Return % 1 Quarter Year to Date 1 Year 3 Years 5 Years 10 Years Inception 1/1/05 -4.3 -2.7 1.0 -8.7 -2.6 -1.2 1.1 -7.6 -4.5 2.1 -5.7 -1.8 0.1 3.2 Account Information Account Name Brandywine Global Opportunistic 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 6/22 9/23 1.47 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 -7.6 (100)-4.5 (92)2.1 (81)-5.7 (73)-1.8 (86)0.1 (68)-16.2 (77)-5.3 (85)11.7 (17)¢ FTSE World Government Bond Index -4.3 (87)-2.7 (82)1.0 (90)-8.7 (96)-2.6 (92)-1.2 (93)-18.3 (90)-7.0 (94)10.1 (33)¢ 5th Percentile 3.1 9.7 14.8 6.5 5.1 4.9 -0.9 8.7 16.3 1st Quartile 0.9 5.6 10.6 1.7 2.6 3.4 -8.8 3.6 10.7 Median -1.4 1.6 5.2 -2.1 1.3 2.0 -12.8 0.0 7.5 3rd Quartile -3.7 -2.3 2.5 -6.2 -1.1 -0.2 -16.1 -4.3 5.0 95th Percentile -5.2 -5.2 -0.2 -8.6 -2.8 -1.3 -20.5 -7.2 0.8 Population 162 162 161 154 145 122 193 199 208 Brandywine Global Peer Group Analysis As of September 30, 2023 As of September 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 -4.0 -2.0 0.0 2.0 4.0 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 Brandywine Global FTSE World Government Bond Index 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Standard Deviation % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Brandywine Global 1.18 7.07 0.17 0.64 -0.25 1.78 1.25 -1.78 11.36 0.80 FTSE World Government Bond Index 0.00 0.00 -1.00 -0.56 0.00 1.00 -2.57 7.27 1.00 90 Day U.S. Treasury Bill 4.04 7.24 0.56 0.01 -1.73 0.01 1.72 0.50 0.09 Brandywine GlobalBrandywine Global Risk Profile As of September 30, 2023 Page 55 Real Estate Page 56 As of September 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 -3.8 -7.1 6.5 5.6 7.5 7.0 -1.6 -12.1 -16.8 1.1 -0.2 3.8 4.0 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 % 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 9/23 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 8/22 9/23 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 -2.0 0.0 2.0 4.0 6.0 8.0 Return % 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 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 Standard Deviation % 12/13 9/14 6/15 3/16 12/16 9/17 6/18 3/19 12/19 9/20 6/21 3/22 12/22 9/23 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 -5.25 3.46 -1.51 0.81 -0.21 -6.61 1.29 -0.21 7.25 0.90 NCREIF Property Index 0.00 0.00 -1.00 0.63 0.00 1.00 5.26 5.06 1.00 90 Day U.S. Treasury Bill -3.57 5.70 -0.63 0.50 -2.36 -0.12 1.72 0.86 -0.71 UBS Trumbull Property FundUBS Trumbull Property Fund Risk Profile As of September 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. -2.8%-1.5%-2.8%-3.0%-0.2%-3.7%-4.9% -2.0%-2.1% 1.2%2.8% 18.1% 0.1% 11.1% 5.3% 21.1% 1.9% -1.4% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 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 09/30/2023 Third Quarter 2023 YTD Source:MSCI MSCI Indices show net total returns throughout this report. All other indices show gross total returns.. 4.6% 5.8% 11.0% 5.9% 4.0%3.7% 9.7% 7.0% 5.7% 7.7% 6.7% 11.9% 9.9% 6.1%6.1% 10.7%10.4% 9.5% 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 09/30/2023 Five-Year Ten-Year Source:MSCI MSCI Indices show net total returns throughout this report. All other indices show gross total returns.. 3165935-NRC Page 60 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Global Equity Markets •In Q3 2023, global equity markets fell. Sovereign bond yields increased amidst expectations of interest rates staying higher for longer. Volatility rose over the quarter as the CBOE Volatility Index (VIX) rose to 17.5 in Q3 from 13.6 in the previous quarter, staying below its 20-year average of 19.1. The MSCI All Country World Investable Market Index (ACWI IMI) returned -3.4% for the quarter. However, it’s up 9.4% on a YTD basis. •Across international markets, all regions apart from Israel posted negative returns. •Europe ex-UK IMI equities were the worst regional performer with a return of -6.0%. Economically sensitive sectors including Industrials and Consumer Discretionary underperformed during the quarter. 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. -3.4%-3.5%-3.3%-1.7%-1.3% -3.9% 2.2% -6.0%-4.7% -2.1% 9.4% 5.3% 12.2% 6.2% 10.1% 3.5% -1.9% 7.6% -4.5% 3.4% -10% 0% 10% 20% ACWI IMI 39.0% ACWI ex-U.S. IMI 61.0% USA IMI 3.8% UK IMI 6.1% Japan IMI 2.9% Canada IMI 0.3% Israel IMI 11.9% Europe ex-UK IMI 2.9% Pacific ex-Japan IMI 11.1% Emerging Markets IMI GLOBAL MSCI IMI INDEX RETURNS (USD) AS OF 09/30/2023 Third Quarter 2023 YTD Source: MSCI 3165935-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 9.8%Canada 7.5% Pacific ex-Japan 7.5% Japan 15.6% Europe ex-UK 30.5% Israel 0.6% Latin America 2.5% Asia 22.3% Eastern Europe, Middle East & Africa 3.7% Emerging Markets 28.4% MSCI ALL COUNTRY WORLD EX -U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 09/30/2023 Source:MSCI USA 61.0% UK 3.8% Canada 2.9% Pacific ex-Japan 2.9%Japan 6.1%Europe ex-UK 11.9% Israel 0.3% Latin America 1.0% Asia 8.7% Eastern Europe, Middle East & Africa 1.4% Emerging Markets 11.1% MSCI ALL COUNTRY WORLD IMI INDEX GEOGRAPHIC ALLOCATION AS OF 09/30/2023 Source:MSCI 3165935-NRC Page 62 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. U.S. Equity Markets •U.S. equities had weak performance during the quarter with the S&P 500 index falling by 3.3% amidst expectations of interest rates staying higher for a longer duration. •The U.S. Congress averted a government shutdown in a last-minute deal which saw U.S. lawmakers agree to pass a short-term deal to keep the government funded until mid- November. This deal however excludes aid for Ukraine, which House Speaker Kevin McCarthy pledged earlier this year. The House of Representatives voted 335-91 and the Senate voted 88-9 to pass the bill. The agreement marks a dramatic turnabout as the U.S. avoided a shutdown that would have furloughed hundreds of thousands of workers and stopped basic government functions. •Earlier, Fitch downgraded the U.S. debt rating from AAA to AA+, citing “erosion of governance” over the past two decades. Fitch blamed worsening fiscal conditions for the U.S. government’s repeated debt limit stand-offs and last-minute resolutions. •U.S. economic growth was relatively healthy as the economy expanded by an annualized rate of 2.1% in the second quarter, meeting economists’ expectations and slightly lower than the upwardly revised 2.2% growth recorded in the previous quarter. Despite a slowdown in consumer spending, strong business investment in inventories and fixed assets and encouraging government spending supported economic growth. •The Russell 3000 Index fell 3.3% during the third quarter but rose 12.4% on a YTD basis. Energy (11.8%) and Financials (0.7%)were the best performers while Utilities (-9.5%) and Real Estate (-8.5%) were the worst performers. •Medium-cap stocks underperformed in value whilst Small-cap stocks underperformed in growth over the quarter. On a style basis, growth underperformed value across market capitalization over the quarter. 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. -3.3%-2.4%-2.8%-4.5%-5.2%-3.0%-7.3% 12.4% 2.4% 28.5% 0.5% 9.9% -0.5% 5.2% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% Russell 3000 28.5% Large Value 43.4% Large Growth 16.1% Medium Value 6.6% Medium Growth 2.7% Small Value 2.6% Small Growth RUSSELL STYLE RETURNS AS OF 09/30/2023 Third Quarter 2023 YTD Source: Russell IndexesSource: Russell Indexes -3.3%-3.6%-3.9%-5.2%-5.8% 11.8% -4.7%-4.4% 0.7% -9.5% 0.2% -8.5% 12.4% 42.5% -3.8% 20.1% -5.9% 5.3%2.9%6.4% -0.1% -13.0% 5.3% -5.1% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% Russell 3000 29.6% Technology 12.8% Healthcare 14.4% Cons. Disc 5.1% Cons. Staples 4.9% Energy 2.0% Materials & Processing 12.9% Producer Durables 10.6% Financials 2.6% Utilities 2.3% Telecom. 2.9% Real Estate RUSSELL SECTOR RETURNS AS OF 09/30/2023 Third Quarter 2023 YTD 3165935-NRC Page 63 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. U.S. Fixed Income Markets •The U.S. Federal Reserve (Fed) increased its benchmark interest rate by 25bps to a range of 5.25%-5.5% over the quarter, representing the highest level in more than 22 years. The Federal Open Market Committee (FOMC) indicated that inflation remained “elevated” and that the economy was growing at a “moderate pace”. Fed chair Jerome Powell signaled that future Fed decisions would be based on “careful assessments” on a “meeting by meeting” basis. •The Bloomberg U.S. Aggregate Bond Index was down 3.2% over the quarter and down 1.2% on a YTD basis. •Across durations, all maturities finished the quarter in negative territory except the short-term maturities. •Within investment-grade bonds, higher credit quality generally outperformed lower-quality issues, with Aaa bonds comparatively falling less. High-yield bonds rose by 0.5%. 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. 0.7% -0.6% -2.3% -4.3% -8.7% 1.9% 0.6% -0.6% -2.3% -5.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 1-3 Yr.3-5 Yr.5-7 Yr.7-10 Yr.>10 Yr. BLOOMBERG AGGREGATE RETURNS BY MATURITY AS OF 09/30/2023 Third Quarter 2023 YTDSource: FactSet -2.0% -3.2%-3.2%-2.9% 0.5% -0.3%-0.5%-0.4% 0.6% 5.9% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% Aaa Aa A Baa High Yield BLOOMBERG AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 09/30/2023 Third Quarter 2023 YTDSource: FactSet -3.2%-3.0%-3.1% -4.1% 0.2% -1.0%-1.2%-1.4% 0.0% -2.3% 2.0% 0.2% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% Bloomberg Agg. Bond 44.3% Govt 25.7% Corp. 27.7% MBS 0.5% ABS 1.8% CMBS BLOOMBERG AGGREGATE RETURNS BY SECTOR AS OF 09/30/2023 Third Quarter 2023 YTDSource: FactSet 3165935-NRC Page 64 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. U.S. Fixed Income Markets •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 78bps to 4.59%, and the 30-year Treasury yield was up by 88bps to 4.73% over the quarter. •U.S. inflation rose more than expected as the U.S. annual consumer price index (CPI) increased by 3.7% in August, up from the 3.2% recorded in July and slightly higher than economists’ expectation of a 3.6% increase. Higher price pressure was driven by rising fuel and housing costs. However, core CPI, which excludes food and energy costs, rose 4.3% year-on-year in August, slowing from the 4.7% recorded in July. •The 10-year TIPS yield rose by 65bps over the quarter to 2.24%. 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 6/30/2023 9/30/2023 Source:U.S. Department of Treasury -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% Sep 13 Sep 15 Sep 17 Sep 19 Sep 21 Sep 23 U.S. 10-YEAR TREASURY AND TIPS YIELDS 10Y TIPS Yield 10Y Treasury Yield Source:U.S. Department of Treasury 3165935-NRC Page 65 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. European Fixed Income Markets •European government bond spreads over 10-year German bunds widened across the Euro Area. The European Central Bank (ECB) raised its deposit rates by 50bps to 4%, touching an all-time high with its tenth consecutive rate increase. The Governing Council signalled that interest rates could have peaked and might be held for a sufficiently longer duration to bring inflation down to the 2% target. •Greek and Italian government bond yields rose by 63bps and 66bps to 4.34% and 4.74% respectively over the quarter whilst Irish and Spanish government bond yields rose by 42bps and 50bps to 3.22% and 3.90% respectively. •German bund yields rose by 41bps to 2.82% over the quarter. •Eurozone headline inflation touched its lowest level since October 2021 as the consumer price index rose 4.3% in September, below the previous month’s rate of 5.2% and lower than economists’ expectations of 4.5%. Core inflation, which excludes volatile energy and food prices, fell sharply to 4.5% in the year to September, down from 5.3% in August, and below economists’ expectations of 4.8%. 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 3165935-NRC Page 66 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Credit Spreads •Credit markets fell amid risk-averse sentiment during the quarter, with spreads mixed. •MBS and High Yield spreads widened by 14bps and 4bps respectively. Meanwhile, Long Credit and Long Gov’t/ Credit spreads narrowed by 15bps and 8bps respectively. Spread (bps)9/30/2023 6/30/2023 3/31/2023 Quarterly Change (bps)YTD U.S. Aggregate 52 49 51 3 1 Long Gov't 0 1 2 -1 -2 Long Credit 133 148 157 -15 -24 Long Gov't/Credit 71 79 87 -8 -16 MBS 66 52 51 14 15 CMBS 130 134 120 -4 10 ABS 67 68 76 -1 -9 Corporate 121 123 130 -2 -9 High Yield 394 390 469 4 -75 Global Emerging Markets 313 320 332 -7 -19 Source: FactSet, Bloomberg 3165935-NRC Page 67 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Currency •The U.S. Dollar strengthened against all major currencies over the quarter. On a trade-weighted basis, the U.S. dollar appreciated by 2.4%. •Sterling depreciated by 4.2% against the U.S. dollar. The Bank of England (BoE) raised its benchmark interest rate by 25bps to 5.25% over the quarter. Andrew Bailey, the BoE governor, indicated that any future interest rate increase would be based on evidence of persistent inflationary pressures. The BoE agreed to increase its current quantitative tightening pace of £80bn to £100bn in 2023 -24. •The U.S. dollar appreciated by 3.0% against the Euro and by 3.2% against the yen. 100 105 110 115 120 125 130 Sep 17 Sep 18 Sep 19 Sep 20 Sep 21 Sep 22 Sep 23 TRADE WEIGHTED U.S. DOLLAR INDEX (2006 = 100) Source:Federal Reserve 80 90 100 110 120 130 140 Sep 17 Sep 18 Sep 19 Sep 20 Sep 21 Sep 22 Sep 23 U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 09/30/2017 EUR/USD GBP/USD JPY/USD Source: FactSet Stronger Dollar Weaker Dollar 3165935-NRC Page 68 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Commodities •Commodity prices rose over the quarter with the Bloomberg Commodity Index rising by 4.7% for the quarter. •The energy sector outperformed as it rose 19.6% over the quarter but fell 4.3% on a YTD basis. The price of WTI crude oil was significantly up by 28.5% to U.S.$91/BBL. •Precious Metals fell the most over the quarter at -3.6%. •Meanwhile, Opec+ member Russia announced “voluntary” additional oil production cuts of 500,000 b/d in August while Saudi Arabia extended its 1mn b/d production cut for another month. Oil prices reached above $90 a barrel for the first time since the start of the year, after Saudi Arabia and Russia extended their production and export cuts to the end of the year. 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. 4.7% -1.4% 19.6% 3.5% -3.6%-3.2% 6.3% -8.3% 2.7% -3.4%-3.5%-4.3% -9.3% -0.7% -4.2% 18.9% -13.8% 7.8% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Bloomberg Commodity Index Ex-Energy Energy Industrial Metals Prec. Metals Agric.Softs Grains Livestock COMMODITY RETURNS AS OF 09/30/2023 Third Quarter 2023 YTD Source:Bloomberg Note: Softs and Grains are part of the wider Agriculture sector 3165935-NRC Page 69 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Hedge Funds Market Overview •Hedge fund performance was positive over the quarter except for Equity Hedge and Emerging Markets. •The HFRI Fund-Weighted Composite and HFRI Fund of Funds Composite Index produced returns of 0.8% and 0.7% over the quarter, respectively. •Over the quarter, the Global Macro strategy was the best performer with a return of 2.5%. •Equity Hedge was the worst performer with a return of -0.8% over the quarter. •On a YTD basis, Equity Hedge has outperformed all other strategies whilst Global Macro has 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. 0.5% 2.5% -0.8%-0.6% 2.0% 1.4%1.6% 0.8%0.7% 3.4% 1.6% 4.8% 4.0% 4.5% 3.7%4.2%4.3% 3.0% -2.0% -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 09/30/2023 Third Quarter 2023 YTD Source:HFR Note: Latest 5 months of HFR data are estimated by HFR and may change in the future. 3165935-NRC Page 70 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Private Equity Overview —Second Quarter 2023 •Fundraising: In Q2 2023, $228.1 billion was raised by 553 funds, which was a decrease of 23.7% on a capital basis but an increase of 3.6% by number of funds from the prior quarter. Dry powder stood at $3.1 trillion at the end of the quarter, an increase of 4.1% and 30.9% compared to year -end 2022 and the five-year average, respectively.1 •Buyout: Global private equity-backed buyout deals totaled $107.3 billion in Q2 2023, which was a decrease on a capital basis of 17.1% co mpared to Q1 2023 and a decrease of 32.6% compared to the five-year quarterly average.1 During the quarter, the average purchase price multiple for all U.S. LBOs was 11.3x EBITDA, down from Q1 2023’s average of 12 .4x and equal to the five-year average (11.3x). The YTD average purchase price multiple ended Q2 2023 at 11.8x. Large cap purchase price multiples stood at 11.3x, down compared to the full-year 2022 level of 11.8x. The average purchase price multiple across European transactions greater than €1B averaged 10.3x EBITDA on an LTM basis as of Q2 2023, down from the 10.7x multiple seen at the end of Q1 2023. Purchase prices for transactions of €500M or greater decreased from 10.1x at Q1 2023 to 9.6x on an LTM basis ending Q2 2023.2 Globally, buyout exit value totaled $106.2 billion across 440 deals during the quarter, significantly higher than the $29.6 billion in value from 383 deals during Q1 2023.1 •Venture: During the quarter, 3,011 venture-backed transactions totaling $39.8 billion were completed, which was a decrease on both a capi tal and deal count basis over the prior quarter’s total of $45.8 billion across 3,503 deals. This was also a decrease of 26.1% compared to the five-year quarterly average of $53.9 billion. Total U.S. venture-backed exit value continued to fall, totaling approximately $5.5 billion across an estimated 279 completed transactions in Q2 2023, down from $18.0 billion across 380 exit s in Q2 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 2Q15 4Q15 2Q16 4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19 2Q20 4Q20 2Q21 4Q21 2Q22 4Q22 2Q23 # 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 3165935-NRC Sources: 1 Preqin 2 Standard & Poor’s 3 PitchBook/NVCA Venture Monitor 4 Fitch Ratings 5 Jefferies Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: To tal Purchase Price ÷ EBITDA. Page 71 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Private Equity Overview •Mezzanine: 7 funds closed on $18.1 billion during the quarter. This was a decrease from the prior quarter’s total of $21.0 billion raised by 8 funds but represented an increase of 189.5% from the five-year quarterly average of $6.2 billion. Estimated dry powder was $66.0 billion at the end of Q2 2023, up from $63.8 billion at the end of the prior quarter.1 •Distressed Debt: The TTM U.S. high-yield default rate was 2.6% as of June 2023, which was up from March 2023’s TTM rate of 1.8%. Fitch expects the high -yield default rate to continue trending higher through 2023.4 During the quarter, $7.3 billion was raised by 11 funds, down from the $11.2 billion raised by 15 funds during Q1 2023. Dry powder was estimated at $156.6 billion at the end of Q2 2023, which was up 4.5% from Q1 2023. This remained above the five-year annual average level of $140.3 billion.1 •Secondaries: 11 funds raised $5.6 billion during Q2 2023, down substantially from the $36.7 billion raised by 18 funds in Q1 2023. This was a decrease of 53.4% compared to the five-year quarterly average of $11.9 billion.1 The average discount rate for LP buyout and venture capital portfolios finished the quarter at 10.0% and 31.0%, respectively.5 •Infrastructure: $4.5 billion of capital was raised by 11 funds in Q2 2023 compared to $4.5 billion of capital raised by 16 partnerships in Q1 2023. This was a significant decrease from the $55.8 billion raised by 40 funds in Q2 2022. Infrastructure managers completed 443 deals for an aggregate deal value of $49.5 billion in the second quarter compared to 470 deals totaling $72.0 billion in Q1 2023.1 •Natural Resources: During Q2 2023, 3 funds closed on $1.9 billion compared to 6 funds totaling $1.1 billion in Q1 2023. Energy and utilities industry managers completed 49 deals totaling $6.7 billion in Q2 2023, an increase, on a value basis, compared to 50 deals totaling $3.4 billion completed in Q1 2023.1 Source: S&P 10.3x 10.0x 10.6x 10.6x 11.5x 11.4x 11.4x 11.9x 11.8x 0.0x 2.0x 4.0x 6.0x 8.0x 10.0x 12.0x 2015 2016 2017 2018 2019 2020 2021 2022 YTD 2023 U.S. LBO Purchase Price Multiples –All Transaction Sizes Senior Debt/EBITDA Sub Debt/EBITDA Equity/EBITDA Others 3165935-NRC Sources: 1 Preqin 2 Standard & Poor’s 3 PitchBook/NVCA Venture Monitor 4 Fitch Ratings 5 Jefferies Page 72 Appendix Page 73 Fee Schedule Market Value $000 % of Portfolio Estimated Annual Fee $000 Estimated Annual Fee % Total Pension 286,980 100.00 1,305 0.45 Total Domestic Equity 108,461 37.79 290 0.27 BlackRock Russell 1000 Index Fund Non-Lending 0.04 % of Assets 74,408 25.93 26 0.04 Kennedy Mid Cap Value 0.75 % of First $25 M 0.70 % of Next $25 M 0.60 % Thereafter 17,046 5.94 128 0.75 TimesSquare Small Cap Growth 0.80 % of Assets 17,006 5.93 136 0.80 Total International Equity 50,885 17.73 470 0.92 Morgan Stanley International Equity 0.91 % of Assets 32,821 11.44 299 0.91 Morgan Stanley Emerging Markets Fund 0.95 % of Assets 18,064 6.29 172 0.95 Total Fixed Income 104,847 36.53 358 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 41,982 14.63 138 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 41,901 14.60 126 0.30 Brandywine Global Opportunistic Fixed Income 0.45 % of First $50 M 0.40 % of Next $50 M 0.35 % Thereafter 20,964 7.30 94 0.45 Real Estate 20,368 7.10 181 0.89 Fee Schedule As of September 30, 2023 As of September 30, 2023 Page 74 Fee Schedule As of September 30, 2023 As of September 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 20,368 7.10 181 0.89 Cash Account 0.20 % of Assets 2,311 0.81 5 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% M SCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Compo site 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% M SCI Emerging Markets Index, 12% BC Aggregate Index, 14% BC Intermediate Gov/Credit Index, 9% Citigroup World Government Bond Index, 15% HFRI Fund of Funds Compo site 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% MSC I 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 Intermediate Gov/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 Ind ex,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/Cred it 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 September 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. The information contained herein is confidential and proprietary and provided for informational purposes only.It is not complete and does not contain certain material information about making investments in securities including important disclosures and risk factors.All securities transactions involve substantial risk of loss.Under no circumstances does the information in this report represent a recommendation to buy or sell stocks,limited partnership interests,or other investment instruments. The data contained in these reports is compiled from statements provided by custodian(s),record-keeper(s),and/or other third-party data provider(s).This document is not intended to provide,and shall not be relied upon for,accounting and legal or tax advice.Aon Investments has not conducted additional audits and cannot warrant its accuracy or completeness.We urge you to carefully review all custodial statements and notify Aon Investments with any issues or questions you may have with respect to investment performance or any other matter set forth herein. The mutual fund information found in this report is provided by Thomson Reuters Lipper and Aon Investments cannot warrant its accuracy or timeliness.Thomson Reuters Lipper Global Data Feed provides comprehensive coverage of mutual fund information directly to Investment Metrics,Aon Investments’performance reporting vendor,via the PARis performance reporting platform.Thomson Reuters Lipper is the data provider chosen by Investment Metrics,and as such, Aon Investments has no direct relationship with Thomson Reuters Lipper. Refer to Hedge Fund Research, Inc.www.hedgefundresearch.com for information on HFR indices. FTSE International Limited (“FTSE”) © FTSE 2017. “FTSE®” and “FTSE4Good®” are trademarks of the London Stock Exchange Group companies and are used by FTSE International Limited under license. The FTSE indices are calculated by FTSE International Limited in conjunction with Indonesia Stock Exchange, Bursa Malaysia Berhad, The Philippine Stock Exchange, Inc., Singapore Exchange Securities Trading Limited and the Stock Exchange of Thailand (the "Exchanges"). All intellectual property rights in the FTSE/ASEAN Index vest in FTSE and the Exchanges. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent. Aon Investments USA Inc. (“Aon Investments”) is a federally registered investment advisor with the U.S. Securities and Exchange Commission (“SEC”). Aon Investments is also registered with the Commodity Futures Trade Commission as a commodity pool operator and a commodity trading advisor, and is a member of the National Futures Association. The Aon Investments ADV Form Part 2A disclosure statement is available upon written request to: Aon Investments USA Inc. 200 East Randolph Street Suite 700 Chicago, IL 60601 ATTN: Aon Investments Compliance Officer Disclaimer