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HomeMy Public PortalAbout4th 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 Fourth Quarter 2023 Executive Summary Page 3 Total Plan Page 8 Total Domestic Equity Page 20 Total International Equity Page 33 Total Fixed Income Page 45 Real Estate Page 58 Market Environment Page 61 Appendix Page 75 Disclaimers and Notes Page 86 Table Of Contents Executive Summary Page 3 Public Funds Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Thought Leadership Highlights If you do not get Aon Investments’ monthly email newsletter, but would like to, please ask your consultant. 3338867-NRC Topic Article Link Annual Themes 2024 Key Investment Themes for Public Funds (video passcode ‘aon!’)Article on Request Link to Video Oversight Outsourced Chief Investment Officer: The Key to Navigating Volatility Link Market View Quarterly Market Review and Outlook Video (access code ‘aon!’)Link to Article Link to Video Rate Cuts Ahead?Link P&I Conference Video | Public Funds in 2023: Challenges and Opportunities Link to Video Asset Allocation How Public Pensions Should Assess Illiquidity from Alts: 3 Questions with Eric Friedman & John Sullivan 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 Expected Rates of Return: A Whipsaw Effect?Link Managing Through Today's Environment for Illiquid Assets: 3 Questions with Eric Friedman Link Strategy Review Everything Everywhere All at Once: 5 Insights on Climate Change within Investments Link Impact Investing is Hard: Here’s How to Do It Well Link 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 Private Credit: 3 Questions with Galina Kalcheva Link Private Credit 101 (access code ‘aon!’)Link to Video Page 4 11.7% 14.0% 10.4% 7.9%6.8% 12.7%13.7% 7.2% 26.3% 16.9%18.2% 9.8% 5.5% 3.1% 10.7% 13.4% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 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 12/31/2023 Fourth Quarter 2023 YTD Source:Russell, MSCI, Bloomberg MSCI Indices show net total returns throughout this report. All other indices show gross total returns. Market Highlights 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. 3165935-NRC Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Page 5 Market Highlights 15.7% 10.0% 8.2% 3.7% 1.1% -1.2% 2.7% 5.4% 12.0% 7.2% 4.3% 2.7%1.8%2.3% 3.9%4.6% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 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 12/31/2023 Five-Year Ten-Year Source:Russell, MSCI, Bloomberg 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. 3165935-NRC Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. Page 6 Market Highlights Fourth Quarter YTD 1-Year 3-Year1 5-Year1 10-Year1 Equity MSCI All Country World IMI 11.14%21.58%21.58%5.46%11.49%7.77% MSCI All Country World 11.03%22.20%22.20%5.75%11.72%7.93% Dow Jones U.S. Total Stock Market 12.13%26.06%26.06%8.43%15.05%11.40% Russell 3000 12.07%25.96%25.96%8.54%15.16%11.48% S&P 500 11.69%26.29%26.29%10.00%15.69%12.03% Russell 2000 14.03%16.93%16.93%2.22%9.97%7.16% MSCI All Country World ex-U.S. IMI 9.81%15.62%15.62%1.53%7.18%3.97% MSCI All Country World ex-U.S.9.75%15.62%15.62%1.55%7.08%3.83% MSCI EAFE 10.42%18.24%18.24%4.02%8.16%4.28% MSCI EAFE (Local Currency)4.96%16.16%16.16%8.64%9.49%6.61% MSCI Emerging Markets 7.86%9.83%9.83%-5.08%3.68%2.66% Equity Factors MSCI World Minimum Volatility (USD)6.84%8.14%8.14%4.05%7.60%7.97% MSCI World High Dividend Yield 7.18%10.14%10.14%7.32%9.18%6.73% MSCI World Quality 12.55%32.97%32.97%9.41%17.05%12.18% MSCI World Momentum 12.17%12.25%12.25%2.17%11.98%10.32% MSCI World Enhanced Value 8.30%20.27%20.27%9.66%8.84%6.05% MSCI World Index Growth 13.40%37.31%37.31%5.75%16.31%11.28% MSCI USA Minimum Volatility (USD)7.79%9.79%9.79%6.46%10.30%10.41% MSCI USA High Dividend Yield 8.31%6.83%6.83%7.83%9.32%9.39% MSCI USA Quality 12.03%36.30%36.30%10.39%18.13%13.81% MSCI USA Momentum 12.76%9.50%9.50%0.70%11.13%11.72% MSCI USA Enhanced Value 12.30%14.42%14.42%8.34%10.12%8.44% MSCI USA Equal Weighted 12.70%17.63%17.63%7.07%12.97%9.80% MSCI USA Growth 13.68%46.72%46.72%8.01%19.94%14.83% Returns of the Major Capital Markets Period Ending 12/31/2023 Fourth Quarter YTD 1-Year 3-Year1 5-Year1 10-Year1 Fixed Income Bloomberg Global Aggregate 8.10%5.72%5.72%-5.51%-0.32%0.38% Bloomberg U.S. Aggregate 6.82%5.53%5.53%-3.31%1.10%1.81% Bloomberg U.S. Long Gov't 12.69%3.11%3.11%-11.35%-1.23%2.27% Bloomberg U.S. Long Credit 13.71%10.73%10.73%-6.50%2.70%3.88% Bloomberg U.S. Long Gov't/Credit 13.24%7.13%7.13%-8.68%1.12%3.22% Bloomberg U.S. TIPS 4.71%3.90%3.90%-1.00%3.15%2.42% Bloomberg U.S. High Yield 7.16%13.45%13.45%1.98%5.37%4.60% Bloomberg Global Treasury ex U.S.9.29%4.24%4.24%-8.34%-2.39%-0.99% JP Morgan EMBI Global (Emerging Market 9.26%10.45%10.45%-3.14%1.94%3.06% Commodities Bloomberg Commodity Index -4.63%-7.91%-7.91%10.76%7.23%-1.11% Goldman Sachs Commodity Index -10.73%-4.27%-4.27%19.18%8.72%-3.60% Hedge Funds HFRI Fund-Weighted Composite2 3.59%7.52%7.52%4.32%7.00%4.53% HFRI Fund of Funds2 3.41%6.35%6.35%2.25%5.14%3.25% Real Estate NAREIT U.S. Equity REITS 16.22%13.73%13.73%7.21%7.39%7.65% FTSE Global Core Infrastructure Index 11.42%1.58%1.58%4.09%7.18%7.01% Private Equity Burgiss Private iQ Global Private Equity3 2.47%19.41%15.14%14.53% 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 June 30, 2023 Returns of the Major Capital Markets Period Ending 12/31/2023 Private and Confidential │Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC 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. Page 7 Total Plan Page 8 $0.0 $100.0 $200.0 $300.0 $400.0 $500.0 -$100.0 In M illions Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value $287.0 ($0.1) $25.6 $312.6 Summary of Cash Flows 1 Quarter 1 Year Total Pension Beginning Market Value 286,978,861 288,314,337 + Additions / Withdrawals -62,065 -12,369,891 + Investment Earnings 25,648,128 36,620,479 = Ending Market Value 312,564,925 312,564,925 Total Plan Asset Summary Total Plan Asset Summary As of December 31, 2023 Page 9 Return Summary Total Pension Policy Benchmark 0.0 5.0 10.0 15.0 20.0 Return % 1 Quarter 1 Year 3 Years 5 Years 10 Years Inception 1/1/93 7.5 11.1 2.4 7.3 5.2 8.9 13.0 2.1 6.9 4.9 6.9 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% 4.0% -2.0 % -4.0 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 Ratio of Cumulative Wealth - 15 Years Total Pension Benchmark 0.92 0.96 1.00 1.04 1.08 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 12/22 12/23 0.97 Total Plan Performance Summary As of December 31, 2023 Total Pension Page 10 Allocation Market Value $%Policy % Performance % 1 Quarter 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date Total Pension 312,564,925 100.0 100.0 8.9 (36)13.0 (60)2.1 (86)6.9 (94)4.9 (97)6.9 (68)01/01/1993 Policy Benchmark 7.5 (78)11.1 (83)2.4 (79)7.3 (90)5.2 (95) All Public Plans < $1B-Total Fund Median 8.3 13.5 3.5 8.7 6.6 7.2 Total Domestic Equity 120,992,311 38.7 12.3 24.6 7.7 14.7 10.7 11.8 09/01/2013 Russell 3000 Index 12.1 26.0 8.5 15.2 11.5 12.5 All Public Plans-US Equity Segment Median IM U.S. Equity (SA+CF) Median 11.7 18.5 8.0 13.1 9.2 10.3 Total Large-Cap Equity 82,598,522 26.4 25.0 12.1 (44)26.5 (21)9.0 (39)15.5 (22)11.3 (23)10.0 (60)06/01/2003 Russell 1000 Index 12.0 (46)26.5 (21)9.0 (39)15.5 (22)11.8 (19)10.3 (46) IM U.S. Equity (SA+CF) Median 11.7 18.5 8.0 13.1 9.2 10.2 BlackRock Russell 1000 Index Fund Non-Lending 82,598,522 26.4 12.1 (44)26.6 (21)9.0 (39)15.6 (21)12.6 (24)03/01/2017 Russell 1000 Index 12.0 (46)26.5 (21)9.0 (39)15.5 (22)12.6 (24) IM U.S. Equity (SA+CF) Median 11.7 18.5 8.0 13.1 10.0 Total Small-Cap Equity 38,393,788 12.3 10.0 12.6 (37)20.8 (41)5.1 (71)12.7 (55)8.8 (58)10.8 (31)06/01/2003 Russell 2000 Index 14.0 (19)16.9 (58)2.2 (82)10.0 (85)7.2 (83)9.1 (79) IM U.S. Equity (SA+CF) Median 11.7 18.5 8.0 13.1 9.2 10.2 Kennedy Mid Cap Value 19,816,241 6.3 16.0 (5)26.5 (21)12.4 (11)14.6 (31)9.9 (41)10.4 (30)02/01/2008 IM U.S. Equity (SA+CF) Median 11.7 18.5 8.0 13.1 9.2 9.6 Russell Midcap Value Index 12.1 (43)12.7 (77)8.4 (46)11.2 (73)8.3 (67)8.6 (72) TimesSquare Small Cap Growth 18,577,547 5.9 9.2 (84)15.2 (66)-2.7 (93)10.0 (85)7.2 (83)9.6 (35)02/01/2002 Russell 2000 Growth Index 12.7 (35)18.7 (50)-3.5 (94)9.2 (90)7.2 (83)7.9 (87) IM U.S. Equity (SA+CF) Median 11.7 18.5 8.0 13.1 9.2 9.2 Total International Equity 55,736,046 17.8 18.0 10.2 15.6 -0.3 6.1 3.1 4.1 09/01/2013 MSCI AC World ex USA Index (Net)9.8 15.6 1.5 7.1 3.8 4.9 All Public Plans-Intl. Equity Segment Median IM International Equity (MF) Median 9.4 15.2 0.6 7.1 3.7 4.8 Morgan Stanley International Equity 36,012,766 11.5 10.8 (32)17.0 (41)1.5 (50)7.0 (51)3.4 (59)4.5 (70)04/01/2005 MSCI EAFE Index (Net)10.4 (36)18.2 (30)4.0 (30)8.2 (35)4.3 (37)4.9 (56) IM International Equity (MF) Median 9.3 15.6 1.4 7.0 3.8 5.0 Morgan Stanley Emerging Markets Fund 19,723,280 6.3 9.2 (17)12.2 (43)-4.5 (53)3.6 (67)2.0 (72)5.4 (54)04/01/2005 MSCI Emerging Markets Index (Net)7.9 (44)9.8 (62)-5.1 (57)3.7 (65)2.7 (52)5.9 (32) IM Emerging Markets Equity (MF) Median 7.7 11.3 -4.0 4.4 2.7 5.5 Asset Allocation & Performance As of December 31, 2023 As of December 31, 2023 Page 11 Asset Allocation & Performance As of December 31, 2023 As of December 31, 2023 Allocation Market Value $%Policy % Performance % 1 Quarter 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date Total Fixed Income 114,486,864 36.6 35.0 7.4 6.9 -2.8 1.8 1.8 3.6 07/01/2003 Blmbg. Intermed. U.S. Government/Credit 4.6 5.2 -1.6 1.6 1.7 2.8 All Public Plans-US Fixed Income Segment Median IM U.S. Fixed Income (SA+CF) Median 5.9 6.0 -1.0 2.0 2.2 3.3 Income Research 43,900,364 14.0 4.5 (70)5.2 (70)-1.6 (50)1.8 (33)1.8 (45)3.8 (20)07/01/2001 Blmbg. Intermed. U.S. Government/Credit 4.6 (63)5.2 (69)-1.6 (56)1.6 (60)1.7 (61)3.4 (64) IM U.S. Intermediate Duration (SA+CF) Median 4.7 5.4 -1.6 1.6 1.8 3.6 Prudential Core Plus Bond 45,003,442 14.4 7.4 (23)8.0 (12)-3.0 (57)2.1 (35)2.4 (21)06/01/2015 Blmbg. U.S. Aggregate 6.8 (65)5.5 (86)-3.3 (83)1.1 (93)1.3 (90) IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 7.0 6.5 -2.9 1.9 1.9 Brandywine Global Opportunistic Fixed Income 25,583,058 8.2 12.5 (2)7.4 (61)-5.2 (77)0.8 (71)1.3 (61)3.8 (46)01/01/2005 FTSE World Government Bond Index 8.1 (36)5.2 (86)-7.2 (95)-1.4 (97)-0.3 (96)1.5 (100) IM Global Fixed Income (SA+CF) Median 7.1 8.3 -2.0 2.5 2.5 3.7 Hedge Fund 104,404 0.0 0.0 Entrust Capital Diversified Fund 104,404 0.0 Real Estate 19,111,901 6.1 12.0 -4.2 -15.8 0.3 -1.4 3.1 3.7 06/01/2006 Real Estate Performance Benchmark -5.0 -12.7 4.0 4.0 6.6 6.6 UBS Trumbull Property Fund*19,111,901 6.1 -4.2 -15.8 0.4 -1.4 3.1 3.7 06/01/2006 Real Estate Performance Benchmark -5.0 -12.7 4.0 4.0 6.6 6.6 Cash Account 2,133,399 0.7 0.0 1.3 5.1 2.2 1.9 1.3 1.5 07/01/2003 ICE BofAML 3 Month U.S. T-Bill 1.4 5.0 2.2 1.9 1.3 1.5 *The UBS Trumbull Property is currently in the process of liquidation. Page 12 Performance % 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 Total Pension 13.0 (60)-14.4 (55)10.1 (92)12.8 (63)16.2 (90)-4.3 (42)12.3 (90)5.1 (91)-0.7 (66)2.9 (96) Policy Benchmark 11.1 (83)-12.7 (30)10.8 (87)12.7 (63)17.4 (82)-4.5 (49)12.2 (91)6.6 (62)-1.4 (79)3.5 (94) Total Domestic Equity 24.6 (-)-19.3 (-)24.3 (-)21.4 (-)30.6 (-)-6.1 (-)20.1 (-)9.6 (-)1.9 (-)10.1 (-) Russell 3000 Index 26.0 (-)-19.2 (-)25.7 (-)20.9 (-)31.0 (-)-5.2 (-)21.1 (-)12.7 (-)0.5 (-)12.6 (-) Total Large-Cap Equity 26.5 (21)-19.1 (61)26.5 (42)21.0 (37)31.4 (28)-4.8 (32)20.4 (43)7.9 (74)3.9 (15)10.9 (37) Russell 1000 Index 26.5 (21)-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) BlackRock Russell 1000 Index Fund Non-Lending 26.6 (21)-19.1 (62)26.4 (42)21.1 (37)31.4 (28)-4.8 (32)---- Russell 1000 Index 26.5 (21)-19.1 (62)26.5 (42)21.0 (37)31.4 (28)-4.8 (32)---- Total Small-Cap Equity 20.8 (41)-19.7 (64)19.5 (75)21.8 (36)28.7 (46)-9.5 (61)19.6 (46)15.6 (37)-4.8 (76)7.2 (62) Russell 2000 Index 16.9 (58)-20.4 (67)14.8 (85)20.0 (40)25.5 (66)-11.0 (70)14.6 (72)21.3 (18)-4.4 (74)4.9 (76) Kennedy Mid Cap Value 26.5 (21)-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) Russell Midcap Value Index 12.7 (77)-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) TimesSquare Small Cap Growth 15.2 (59)-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) Russell 2000 Growth Index 18.7 (44)-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) Total International Equity 15.6 (-)-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)15.6 (-)-16.0 (-)7.8 (-)10.7 (-)21.5 (-)-14.2 (-)27.2 (-)4.5 (-)-5.7 (-)-3.9 (-) Morgan Stanley International Equity 17.0 (41)-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) MSCI EAFE Index (Net)18.2 (30)-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) Morgan Stanley Emerging Markets Fund 12.2 (43)-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) MSCI Emerging Markets Index (Net)9.8 (62)-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) Asset Allocation & Performance As of December 31, 2023 As of December 31, 2023 Page 13 Asset Allocation & Performance As of December 31, 2023 As of December 31, 2023 Performance % 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 Total Fixed Income 6.9 (-)-12.3 (-)-2.1 (-)9.2 (-)9.1 (-)-1.0 (-)6.3 (-)4.2 (-)-2.1 (-)2.4 (-) Blmbg. Intermed. U.S. Government/Credit 5.2 (-)-8.2 (-)-1.4 (-)6.4 (-)6.8 (-)0.9 (-)2.1 (-)2.1 (-)1.1 (-)3.1 (-) Income Research 5.2 (70)-8.1 (37)-1.3 (59)7.5 (20)6.7 (46)0.8 (39)2.0 (75)2.3 (42)0.9 (59)3.3 (50) Blmbg. Intermed. U.S. Government/Credit 5.2 (69)-8.2 (42)-1.4 (66)6.4 (54)6.8 (42)0.9 (34)2.1 (64)2.1 (51)1.1 (42)3.1 (59) Prudential Core Plus Bond 8.0 (12)-14.6 (88)-0.9 (66)9.2 (36)11.3 (15)-0.4 (39)6.6 (12)5.8 (22)-- Blmbg. U.S. Aggregate 5.5 (86)-13.0 (41)-1.5 (92)7.5 (81)8.7 (77)0.0 (19)3.5 (83)2.6 (88)-- Brandywine Global Opportunistic Fixed Income 7.4 (61)-16.2 (78)-5.3 (85)11.7 (17)9.3 (48)-5.2 (88)12.8 (6)5.2 (54)-8.4 (90)6.3 (17) FTSE World Government Bond Index 5.2 (86)-18.3 (91)-7.0 (94)10.1 (32)5.9 (89)-0.8 (29)7.5 (47)1.6 (88)-3.6 (60)-0.5 (83) Hedge Fund Entrust Capital Diversified Fund Real Estate -15.8 4.5 14.8 -4.9 -2.9 6.0 5.3 6.0 -- Real Estate Performance Benchmark -12.7 6.5 21.0 1.5 6.4 6.7 7.0 8.0 -- UBS Trumbull Property Fund -15.8 4.5 14.9 -4.9 -3.0 6.0 5.3 6.0 11.7 10.4 Real Estate Performance Benchmark -12.7 6.5 21.0 1.5 6.4 6.7 7.0 8.0 13.3 11.8 Cash Account 5.1 1.6 0.0 0.5 2.3 2.0 1.0 0.3 0.0 0.0 ICE BofAML 3 Month U.S. T-Bill 5.0 1.5 0.0 0.7 2.3 1.9 0.9 0.3 0.1 0.0 Page 14 Total Fund Performance 0.00%2.00%4.00%6.00%8.00%10.00%12.00% Total Fund Total Fund Benchmark Total Value Added 8.92% 7.42% 1.50% Total Value Added: 1.50% 0.00%0.13%0.26%0.39%0.52%0.65%0.78%0.91%1.04%1.17% Other Manager Value Added Asset Allocation 0.05% 0.86% 0.59% Total Asset Allocation: 0.59% 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 % 0.56% -4.98 % 0.04% 1.74% -0.01 % 1.61% 1.05% Asset Allocation Value Added 0.00%0.20%0.40%0.60%0.80%-0.20 %-0.40 % -0.02 % 0.53% 0.00% -0.06 % 0.01% 0.09% 0.05% Total Manager Value Added: 0.86% Manager Value Added 0.00%0.40%0.80%1.20%1.60%-0.40 %-0.80 % 0.00% -0.08 % 0.00% 1.02% 0.08% -0.18 % 0.02% Total Fund Attribution 1 Quarter Ending December 31, 2023 1 Quarter Ending December 31, 2023 Page 15 Total Fund Performance 0.00%3.00%6.00%9.00%12.00%15.00%18.00% Total Fund Total Fund Benchmark Total Value Added 12.98% 11.89% 1.09% Total Value Added: 1.09% 0.00%0.12%0.24%0.36%0.48%0.60%0.72%0.84%0.96%1.08%1.20% Other Manager Value Added Asset Allocation 0.02% 0.25% 0.82% Total Asset Allocation: 0.82% 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 % 0.79% -4.59 % 0.07% 0.91% 0.17% 1.88% 0.78% Asset Allocation Value Added 0.00%0.30%0.60%0.90%1.20%1.50%-0.30 %-0.60 % -0.04 % 0.94% -0.03 % -0.12 % 0.01% 0.01% 0.06% Total Manager Value Added: 0.25% Manager Value Added 0.00%0.40%0.80%1.20%-0.40 %-0.80 %-1.20 % 0.00% -0.74 % 0.00% 0.59% 0.02% 0.40% -0.02 % Total Fund Attribution 1 Year Ending December 31, 2023 1 Year Ending December 31, 2023 Page 16 -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 8.9 (36)13.0 (60)13.0 (60)2.1 (86)6.9 (94)4.9 (97)-14.4 (55)10.1 (92)12.8 (63)¢ Policy Benchmark 7.5 (78)11.1 (83)11.1 (83)2.4 (79)7.3 (90)5.2 (95)-12.7 (30)10.8 (87)12.7 (63)˜ 5th Percentile 10.4 18.3 18.3 5.7 10.3 7.7 -9.0 17.7 18.2 1st Quartile 9.3 15.3 15.3 4.4 9.3 7.0 -12.4 15.1 15.9 Median 8.3 13.5 13.5 3.5 8.7 6.6 -14.2 13.5 14.0 3rd Quartile 7.6 11.8 11.8 2.6 7.9 6.1 -15.8 12.0 11.6 95th Percentile 5.5 8.7 8.7 1.3 6.6 5.1 -17.5 8.6 7.6 Population 535 507 507 479 466 380 704 865 894 Total Pension Peer Group Analysis As of December 31, 2023 As of December 31, 2023 All Public Plans < $1B-Total Fund Parentheses contain percentile rankings. Page 17 Annualized Return vs. Annualized Standard Deviation 5 Years Total Pension Policy Benchmark 90 Day U.S. Treasury Bill 0.0 1.5 3.0 4.5 6.0 7.5 9.0 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 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 12/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total Pension -0.30 1.56 -0.19 0.99 0.46 -0.97 1.09 6.86 11.80 0.99 Policy Benchmark 0.00 0.00 -1.00 0.53 0.00 1.00 7.31 10.79 1.00 90 Day U.S. Treasury Bill -5.78 10.84 -0.53 0.00 -1.91 0.00 1.88 0.55 -0.07 Total PensionTotal Pension Risk Profile As of December 31, 2023 Page 18 Market Value $ Current Allocation % Target Allocation % Minimum Allocation % Maximum Allocation % Differences % Total Pension 312,564,925 100.0 100.0 --0.0 Total Large-Cap Equity 82,598,522 26.4 25.0 20.0 30.0 1.4 Total Small-Cap Equity 38,393,788 12.3 10.0 5.0 15.0 2.3 Total International Equity 55,736,046 17.8 18.0 13.0 23.0 -0.2 Total Fixed Income 114,486,864 36.6 35.0 30.0 40.0 1.6 Hedge Fund 104,404 0.0 0.0 0.0 0.0 0.0 Real Estate 19,111,901 6.1 12.0 7.0 17.0 -5.9 Cash Account 2,133,399 0.7 0.0 0.0 0.0 0.7 Target Allocation Actual Allocation Allocation Differences 0.0%8.0%16.0%24.0%32.0%40.0%48.0%-8.0 %-16.0 %-24.0 % Cash Account $2,133.4K Real Estate $19,111.9K Hedge Fund $104.4K Total Fixed Income $114,486.9K Total International Equity $55,736.0K Total Small-Cap Equity $38,393.8K Total Large-Cap Equity $82,598.5K 0.0% 12.0% 0.0% 35.0% 18.0% 10.0% 25.0% 0.7% 6.1% 0.0% 36.6% 17.8% 12.3% 26.4% 0.7% -5.9 % 0.0% 1.6% -0.2 % 2.3% 1.4% Asset Allocation Compliance As of December 31, 2023 As of December 31, 2023 Page 19 Total Domestic Equity Page 20 Current Allocation Return Summary December 31, 2023 : $120,992,311 TimesSquare Small Cap Growth 15% Kennedy Mid Cap Value 16% BlackRock Russell 1000 Index Fund Non-Lending 68% Total Domestic Equity Russell 3000 Index 0.0 8.0 16.0 24.0 32.0 40.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 9/1/13 12.1 26.0 26.0 8.5 15.2 11.5 12.512.3 24.6 24.6 7.7 14.7 10.7 11.8 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 2.0% 4.0% -2.0 % -4.0 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 Ratio of Cumulative Wealth - 5 Years Total Domestic Equity Benchmark 0.9 1.0 1.1 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 6/23 12/23 1.0 Total Domestic EquityTotal Domestic Equity Portfolio Overview As of December 31, 2023 Page 21 -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 12.3 (20)24.6 (35)24.6 (35)7.7 (53)14.7 (35)10.7 (39)-19.3 (66)24.3 (57)21.4 (24)¢ Russell 3000 Index 12.1 (29)26.0 (22)26.0 (22)8.5 (34)15.2 (23)11.5 (18)-19.2 (66)25.7 (44)20.9 (27)˜ 5th Percentile 13.1 28.0 28.0 10.4 15.9 12.1 -12.9 29.8 27.1 1st Quartile 12.2 25.2 25.2 9.1 15.1 11.3 -16.7 27.7 21.3 Median 11.7 23.2 23.2 7.8 14.1 10.4 -18.1 24.6 18.9 3rd Quartile 10.9 19.5 19.5 5.9 12.8 9.7 -19.7 22.6 16.6 95th Percentile 8.6 16.6 16.6 2.9 11.0 8.2 -24.8 15.2 10.4 Population 64 61 61 59 52 44 65 70 67 Total Domestic Equity Peer Group Analysis As of December 31, 2023 As of December 31, 2023 All Public Plans-US Equity Segment Parentheses contain percentile rankings. Page 22 Annualized Return vs. Annualized Standard Deviation 3 Years Total Domestic Equity Russell 3000 Index 90 Day U.S. Treasury Bill 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 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 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 -0.69 2.05 -0.34 0.99 0.39 -0.80 1.01 7.75 18.03 0.99 Russell 3000 Index 0.00 0.00 -1.00 0.43 0.00 1.00 8.54 17.71 1.00 90 Day U.S. Treasury Bill -7.62 17.66 -0.43 0.01 -2.12 0.00 2.15 0.66 0.09 Total Domestic EquityTotal Domestic Equity Risk Profile As of December 31, 2023 Page 23 As of December 31, 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 40.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 3/1/17 12.0 26.5 26.5 9.0 15.5 11.8 12.612.1 26.6 26.6 9.0 15.6 11.8 12.6 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 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 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 12/23 1.00 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 BlackRock Russell 1000 Index Fund 12.1 (44)26.6 (21)26.6 (21)9.0 (39)15.6 (21)11.8 (19)-19.1 (62)26.4 (42)21.1 (37)¢ Russell 1000 Index 12.0 (46)26.5 (21)26.5 (21)9.0 (39)15.5 (22)11.8 (19)-19.1 (62)26.5 (42)21.0 (37)¢ 5th Percentile 15.9 42.8 42.8 14.7 18.9 13.8 -0.7 37.3 58.0 1st Quartile 13.5 25.5 25.5 10.2 15.1 11.2 -9.5 29.0 29.5 Median 11.7 18.5 18.5 8.0 13.1 9.2 -17.0 25.0 15.6 3rd Quartile 10.0 13.2 13.2 4.1 10.9 7.8 -24.4 19.2 5.3 95th Percentile 6.6 6.6 6.6 -4.6 8.2 5.8 -36.2 6.1 -3.6 Population 1,857 1,826 1,826 1,769 1,698 1,398 2,008 2,063 2,158 BlackRock Russell 1000 Index Fund Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 25 As of December 31, 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 40.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 1/1/08 12.1 12.7 12.7 8.4 11.2 8.3 8.3 16.0 26.5 26.5 12.4 14.6 9.9 10.3 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 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 Ratio of Cumulative Wealth - Since Inception Kennedy Mid Cap Value Benchmark 0.80 1.00 1.20 1.40 1.60 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 12/22 12/23 1.35 Page 26 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 16.0 (5)26.5 (21)26.5 (21)12.4 (11)14.6 (31)9.9 (41)-14.8 (43)31.8 (14)8.4 (68)¢ Russell Midcap Value Index 12.1 (43)12.7 (77)12.7 (77)8.4 (46)11.2 (73)8.3 (67)-12.0 (33)28.3 (30)5.0 (76)¢ 5th Percentile 15.9 42.8 42.8 14.7 18.9 13.8 -0.7 37.3 58.0 1st Quartile 13.5 25.5 25.5 10.2 15.1 11.2 -9.5 29.0 29.5 Median 11.7 18.5 18.5 8.0 13.1 9.2 -17.0 25.0 15.6 3rd Quartile 10.0 13.2 13.2 4.1 10.9 7.8 -24.4 19.2 5.3 95th Percentile 6.6 6.6 6.6 -4.6 8.2 5.8 -36.2 6.1 -3.6 Population 1,857 1,826 1,826 1,769 1,698 1,398 2,008 2,063 2,158 Kennedy Mid Cap Value Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 27 Annualized Return vs. Annualized Standard Deviation 5 Years Kennedy Mid Cap Value Russell Midcap Value Index 90 Day U.S. Treasury Bill -4.0 0.0 4.0 8.0 12.0 16.0 20.0 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 % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 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 3.04 4.52 0.67 0.96 0.65 3.46 0.97 14.65 21.99 0.98 Russell Midcap Value Index 0.00 0.00 -1.00 0.51 0.00 1.00 11.16 22.15 1.00 90 Day U.S. Treasury Bill -11.25 22.24 -0.51 0.02 -1.93 0.00 1.88 0.55 -0.14 Kennedy Mid Cap ValueKennedy Mid Cap Value Risk Profile As of December 31, 2023 Page 28 As of December 31, 2023 TimesSquare Small Cap Growth Performance Summary Return Summary TimesSquare Small Cap Growth Russell 2000 Growth Index 0.0 10.0 20.0 30.0 -10.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 2/1/02 12.7 18.7 18.7 -3.5 9.2 7.2 7.99.2 15.2 15.2 -2.7 10.0 7.2 9.6 Account Information Account Name TimesSquare Small Cap Growth Inception Date 02/01/2002 Account Structure Commingled Fund Asset Class US Equity Benchmark Russell 2000 Growth Index Peer Group IM U.S. Equity (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% 9.0% -3.0 % -6.0 % -9.0 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 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 12/23 1.42 Page 29 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 9.2 (85)15.2 (71)15.2 (71)-2.7 (94)10.0 (91)7.2 (93)-25.5 (80)7.3 (95)36.3 (17)¢ Russell 2000 Growth Index 12.7 (38)18.7 (54)18.7 (54)-3.5 (95)9.2 (95)7.2 (93)-26.4 (82)2.8 (98)34.6 (20)¢ 5th Percentile 16.1 42.7 42.7 15.9 19.5 14.6 0.4 38.4 59.0 1st Quartile 13.7 26.3 26.3 10.9 15.7 11.9 -8.9 29.8 29.6 Median 11.9 19.3 19.3 8.8 13.8 10.0 -16.4 26.1 16.7 3rd Quartile 10.2 14.4 14.4 4.9 11.8 8.6 -23.2 20.2 6.3 95th Percentile 6.8 7.1 7.1 -3.7 9.0 6.8 -35.1 6.9 -3.0 Population 1,823 1,822 1,822 1,788 1,728 1,554 2,015 2,098 2,260 TimesSquare Small Cap Growth Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM U.S. Equity (SA+CF) Parentheses contain percentile rankings. Page 30 Annualized Return vs. Annualized Standard Deviation 5 Years TimesSquare Small Cap Growth Russell 2000 Growth Index 90 Day U.S. Treasury Bill -2.5 0.0 2.5 5.0 7.5 10.0 12.5 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 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 % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 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 0.69 5.15 0.13 0.96 0.44 1.01 0.97 9.99 24.30 0.98 Russell 2000 Growth Index 0.00 0.00 -1.00 0.41 0.00 1.00 9.22 24.41 1.00 90 Day U.S. Treasury Bill -9.93 24.46 -0.41 0.01 -1.90 0.00 1.88 0.55 -0.08 TimesSquare Small Cap GrowthTimesSquare Small Cap Growth Risk Profile As of December 31, 2023 Page 31 Asset Allocation As of 12/31/2023 0.0%25.0%50.0%75.0%100.0%125.0% Convertibles Other Fixed Income Cash Equities 0.0% 0.0% 0.4% 0.8% 98.7% Fund Characteristics As of 12/31/2023 Total Securities 82 Avg. Market Cap $4,768.23 Million P/E 34.66 P/B 6.25 Div. Yield 1.43% Annual EPS 10.26 5Yr EPS 23.31 3Yr EPS Growth 25.75 Top Ten Securities As of 12/31/2023 Casella Waste Systems Inc ORD 3.03 % Jfrog Ltd ORD 2.32 % Hexcel Corp ORD 2.07 % PowerSchool Holdings Inc ORD 2.05 % Synaptics Inc ORD 1.97 % ESAB Corp ORD 1.92 % BJ's Wholesale Club Holdings Inc 1.89 % Cyberark Software Ltd ORD 1.85 % Smartsheet Inc ORD 1.85 % Vertex Inc ORD 1.82 % Sector/Quality Allocation As of 12/31/2023 0.0%8.0%16.0%24.0%32.0%40.0% Non Classified Equity Industrials Information Technology Health Care Financials Consumer Discretionary Energy Materials Consumer Staples Utilities 26.6% 19.6% 16.4% 12.2% 9.1% 6.2% 3.5% 3.1% 2.0% 0.0% TimesSquare Small Cap Growth As of December 31, 2023 As of December 31, 2023 Page 32 Total International Equity Page 33 Current Allocation Return Summary December 31, 2023 : $55,736,046 Morgan Stanley Emerging Markets Fund 35% Morgan Stanley International Equity 65% Total International Equity MSCI AC World ex USA Index (Net) 0.0 6.0 12.0 18.0 24.0 -6.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 9/1/13 9.8 15.6 15.6 1.5 7.1 3.8 4.9 10.2 15.6 15.6 -0.3 6.1 3.1 4.1 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 Ratio of Cumulative Wealth - 5 Years Total International Equity Benchmark 0.9 1.0 1.1 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 6/23 12/23 1.0 Total International EquityTotal International Equity Portfolio Overview As of December 31, 2023 Page 34 -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 10.2 (50)15.6 (75)15.6 (75)-0.3 (88)6.1 (98)3.1 (100)-17.6 (60)4.0 (96)12.7 (52)¢ MSCI AC World ex USA Index (Net)9.8 (65)15.6 (75)15.6 (75)1.5 (61)7.1 (86)3.8 (98)-16.0 (41)7.8 (75)10.7 (75)˜ 5th Percentile 11.4 21.8 21.8 6.7 10.4 6.2 -12.3 18.8 28.2 1st Quartile 10.6 18.6 18.6 4.2 9.6 5.6 -14.3 12.3 16.9 Median 10.2 17.0 17.0 2.2 8.7 5.1 -17.0 9.5 12.8 3rd Quartile 9.3 15.4 15.4 0.5 7.6 4.7 -19.0 7.6 10.5 95th Percentile 7.7 10.5 10.5 -1.7 6.4 4.0 -23.2 4.2 7.1 Population 63 60 60 58 54 47 65 69 68 Total International Equity Peer Group Analysis As of December 31, 2023 As of December 31, 2023 All Public Plans-Intl. Equity Segment Parentheses contain percentile rankings. Page 35 Annualized Return vs. Annualized Standard Deviation 3 Years Total International Equity MSCI AC World ex USA Index (Net) 90 Day U.S. Treasury Bill -1.4 -0.7 0.0 0.7 1.4 2.1 2.8 3.5 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) 15.0 16.0 17.0 18.0 19.0 20.0 21.0 22.0 Standard Deviation % 3/21 6/21 9/21 12/21 3/22 6/22 9/22 12/22 3/23 6/23 9/23 12/23 TRANSPARENT 3 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Total International Equity -1.63 3.76 -0.43 0.96 -0.05 -1.77 1.06 -0.29 17.58 0.98 MSCI AC World ex USA Index (Net)0.00 0.00 -1.00 0.04 0.00 1.00 1.55 16.30 1.00 90 Day U.S. Treasury Bill -0.69 16.19 -0.04 0.03 -2.13 0.01 2.15 0.66 0.18 Total International EquityTotal International Equity Risk Profile As of December 31, 2023 Page 36 As of December 31, 2023 Morgan Stanley International Equity Performance Summary Return Summary Morgan Stanley International Equity MSCI EAFE Index (Net) 0.0 8.0 16.0 24.0 32.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 10.4 18.2 18.2 4.0 8.2 4.3 4.9 10.8 17.0 17.0 1.5 7.0 3.4 4.5 Account Information Account Name Morgan Stanley International Equity Inception Date 04/01/2005 Account Structure Mutual Fund Asset Class International Equity Benchmark MSCI EAFE Index (Net) Peer Group IM International Equity (MF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 3.0% 6.0% -3.0 % -6.0 % -9.0 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 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 9/22 12/23 0.93 Page 37 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 10.8 (32)17.0 (41)17.0 (41)1.5 (50)7.0 (51)3.4 (59)-14.1 (30)4.2 (68)11.4 (52)¢ MSCI EAFE Index (Net)10.4 (36)18.2 (30)18.2 (30)4.0 (30)8.2 (35)4.3 (37)-14.5 (33)11.3 (39)7.8 (66)¢ 5th Percentile 14.6 24.9 24.9 9.4 11.7 7.7 -4.4 20.3 42.8 1st Quartile 11.2 18.9 18.9 4.5 8.9 4.7 -13.1 13.1 20.1 Median 9.3 15.6 15.6 1.4 7.0 3.8 -17.5 9.3 11.8 3rd Quartile 7.4 11.1 11.1 -4.0 4.7 2.6 -23.3 0.9 5.0 95th Percentile 1.2 -6.8 -6.8 -12.7 0.8 0.4 -32.4 -12.0 -6.1 Population 1,102 1,101 1,101 1,008 901 471 1,140 1,101 1,045 Morgan Stanley International Equity Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM International Equity (MF) Parentheses contain percentile rankings. Page 38 Annualized Return vs. Annualized Standard Deviation 5 Years Morgan Stanley International MSCI EAFE Index (Net) 90 Day U.S. Treasury Bill 0.0 2.0 4.0 6.0 8.0 10.0 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 Standard Deviation % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Morgan Stanley International -0.99 4.64 -0.21 0.94 0.36 -0.94 1.00 7.02 18.58 0.97 MSCI EAFE Index (Net)0.00 0.00 -1.00 0.42 0.00 1.00 8.16 18.08 1.00 90 Day U.S. Treasury Bill -7.62 18.10 -0.42 0.00 -1.88 0.00 1.88 0.55 -0.01 Morgan Stanley InternationalMorgan Stanley International Risk Profile As of December 31, 2023 Page 39 Asset Allocation As of 12/31/2023 0.0%25.0%50.0%75.0%100.0%125.0% Convertibles Cash Other Fixed Income Equities 0.0% 0.2% 0.3% 1.8% 97.7% Fund Characteristics As of 12/31/2023 Total Securities 77 Avg. Market Cap $91,124.08 Million P/E 25.94 P/B 5.26 Div. Yield 2.55% Annual EPS 11.15 5Yr EPS 8.20 3Yr EPS Growth 13.70 Top Ten Securities As of 12/31/2023 Constellation Software Inc ORD 3.24 % Sap Se ORD 3.23 % Heineken NV ORD 3.10 % Shell PLC ORD 2.82 % TAIWAN SEMICONDUCTOR MNFTG ADR 2.73 % Barrick Gold Corp ORD 2.60 % Relx PLC ORD 2.52 % Qiagen NV ORD 2.51 % Samsung Electronics Co Ltd ORD 2.27 % Carlsberg A/S ORD 2.20 % Sector/Quality Allocation As of 12/31/2023 0.0%5.0%10.0%15.0%20.0%25.0% Industrials Consumer Staples Financials Information Technology Health Care Energy Consumer Discretionary Materials Non Classified Equity 18.4% 18.1% 17.4% 16.0% 11.9% 4.8% 4.7% 4.3% 2.2% Morgan Stanley International Equity As of December 31, 2023 As of December 31, 2023 Page 40 As of December 31, 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 2023 1 Year 3 Years 5 Years 10 Years Inception 4/1/05 7.9 9.8 9.8 -5.1 3.7 2.7 5.9 9.2 12.2 12.2 -4.5 3.6 2.0 5.4 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 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 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 9/22 12/23 0.92 Page 41 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 9.2 (17)12.2 (43)12.2 (43)-4.5 (53)3.6 (67)2.0 (72)-25.0 (79)3.6 (35)14.7 (62)¢ MSCI Emerging Markets Index (Net)7.9 (44)9.8 (62)9.8 (62)-5.1 (57)3.7 (65)2.7 (52)-20.1 (48)-2.5 (66)18.3 (42)¢ 5th Percentile 12.1 22.7 22.7 6.2 10.1 5.5 -6.0 17.2 41.2 1st Quartile 8.8 15.4 15.4 0.2 6.0 3.6 -16.4 6.0 23.9 Median 7.7 11.3 11.3 -4.0 4.4 2.7 -20.5 -0.2 17.2 3rd Quartile 6.5 8.0 8.0 -7.2 3.3 1.9 -24.5 -3.9 10.1 95th Percentile 3.2 2.0 2.0 -10.9 0.0 -1.1 -33.4 -13.6 -4.9 Population 272 272 272 243 213 111 288 276 258 Morgan Stanley Emerging Markets Fund Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM Emerging Markets Equity (MF) Parentheses contain percentile rankings. Page 42 Annualized Return vs. Annualized Standard Deviation 5 Years Morgan Stanley Emerging Markets MSCI Emerging Markets Index (Net) 90 Day U.S. Treasury Bill 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 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) 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 Standard Deviation % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 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 5.51 0.04 0.93 0.19 0.12 1.02 3.65 20.22 0.96 MSCI Emerging Markets Index (Net)0.00 0.00 -1.00 0.19 0.00 1.00 3.68 19.16 1.00 90 Day U.S. Treasury Bill -3.57 19.18 -0.19 0.00 -1.88 0.00 1.88 0.55 -0.03 Morgan Stanley Emerging MarketsMorgan Stanley Emerging Markets Risk Profile As of December 31, 2023 Page 43 Asset Allocation As of 12/31/2023 0.0%25.0%50.0%75.0%100.0%125.0% Convertibles Other Fixed Income Cash Equities 0.0% 0.4% 0.5% 1.2% 97.9% Fund Characteristics As of 12/31/2023 Total Securities 110 Avg. Market Cap $113,939.37 Million P/E 21.50 P/B 3.99 Div. Yield 2.93% Annual EPS 22.91 5Yr EPS 15.68 3Yr EPS Growth 25.95 Top Ten Securities As of 12/31/2023 Taiwan Semiconductor Manufacturing 6.48 % Samsung Electronics Co Ltd ORD 5.74 % Tencent Holdings Ltd ORD 2.86 % ICICI Bank Ltd ORD 2.38 % Reliance Industries Ltd ORD 2.38 % TAIWAN SEMICONDUCTOR MNFTG ADR 2.12 % SK Hynix Inc ORD 2.01 % Wal Mart de Mexico SAB de CV ORD 2.00 % LPP SA ORD 1.96 % Mahindra and Mahindra Ltd ORD 1.93 % Sector/Quality Allocation As of 12/31/2023 0.0%8.0%16.0%24.0%32.0%40.0% Financials Information Technology Consumer Staples Consumer Discretionary Industrials Materials Energy Non Classified Equity Health Care 27.7% 23.2% 13.4% 9.2% 8.5% 6.3% 4.8% 3.3% 1.5% Morgan Stanley Emerging Markets Fund As of December 31, 2023 As of December 31, 2023 Page 44 Total Fixed Income Page 45 Current Allocation Return Summary December 31, 2023 : $114,486,864 Income Research 38% Brandywine Global Opportunistic Fixed Income 22% Prudential Core Plus Bond 39% Total Fixed Income Blmbg. Intermed. U.S. Government/Credit 0.0 4.0 8.0 12.0 -4.0 -8.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 7/1/03 4.6 5.2 5.2 -1.6 1.6 1.7 2.8 7.4 6.9 6.9 -2.8 1.8 1.8 3.6 Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 4.0% 8.0% -4.0 % -8.0 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 Ratio of Cumulative Wealth - 5 Years Total Fixed Income Benchmark 0.9 1.0 1.1 12/18 6/19 12/19 6/20 12/20 6/21 12/21 6/22 12/22 6/23 12/23 1.0 Total Fixed IncomeTotal Fixed Income Portfolio Overview As of December 31, 2023 Page 46 -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 7.4 (10)6.9 (30)6.9 (30)-2.8 (66)1.8 (62)1.8 (89)-12.3 (59)-2.1 (97)9.2 (33)¢ Blmbg. Intermed. U.S. Government/Credit 4.6 (90)5.2 (66)5.2 (66)-1.6 (37)1.6 (72)1.7 (90)-8.2 (23)-1.4 (92)6.4 (87)˜ 5th Percentile 8.0 9.0 9.0 0.3 3.9 3.9 -5.0 2.7 12.4 1st Quartile 6.6 7.0 7.0 -1.0 2.6 2.9 -8.8 0.7 9.6 Median 5.9 5.6 5.6 -2.1 2.1 2.5 -11.8 -0.1 8.6 3rd Quartile 5.5 4.5 4.5 -3.3 1.5 2.2 -13.8 -0.7 7.4 95th Percentile 2.8 0.9 0.9 -7.1 -0.3 0.9 -21.8 -1.7 4.9 Population 67 63 63 61 55 49 70 73 74 Total Fixed Income Peer Group Analysis As of December 31, 2023 As of December 31, 2023 All Public Plans-US Fixed Income Segment Parentheses contain percentile rankings. Page 47 Annualized Return vs. Annualized Standard Deviation 5 Years Total Fixed Income Blmbg. Intermed. U.S. Government/Credit 90 Day U.S. Treasury Bill 1.5 1.6 1.7 1.8 1.9 2.0 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 5 Years Total Fixed Income Blmbg. Intermed. U.S. Government/Credit 0.0 1.5 3.0 4.5 6.0 7.5 9.0 Standard D eviation % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 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 0.33 3.61 0.09 0.80 0.02 -0.50 1.50 1.78 6.74 0.90 Blmbg. Intermed. U.S. Government/Credit 0.00 0.00 -1.00 -0.05 0.00 1.00 1.59 4.02 1.00 90 Day U.S. Treasury Bill 0.21 3.94 0.05 0.04 -1.83 0.03 1.88 0.55 0.21 Total Fixed IncomeTotal Fixed Income Risk Profile As of December 31, 2023 Page 48 As of December 31, 2023 Income Research Performance Summary Return Summary Income Research Blmbg. Intermed. U.S. Government/Credit 0.0 3.0 6.0 9.0 -3.0 -6.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 7/1/01 4.6 5.2 5.2 -1.6 1.6 1.7 3.4 4.5 5.2 5.2 -1.6 1.8 1.8 3.8 Account Information Account Name Income Research Inception Date 07/01/2001 Account Structure Commingled Fund Asset Class US Fixed Income Benchmark Blmbg. Intermed. U.S. Government/Credit Peer Group IM U.S. Intermediate Duration (SA+CF) Quarterly Excess Performance Quarterly Out Performance Quarterly Under Performance 0.0% 0.5% 1.0% 1.5% -0.5 % -1.0 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 Ratio of Cumulative Wealth - Since Inception Income Research Benchmark 0.90 0.95 1.00 1.05 1.10 1.15 6/01 12/02 6/04 12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/19 12/20 6/22 12/23 1.10 Page 49 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 4.5 (70)5.2 (70)5.2 (70)-1.6 (50)1.8 (33)1.8 (45)-8.1 (37)-1.3 (59)7.5 (20)¢ Blmbg. Intermed. U.S. Government/Credit 4.6 (63)5.2 (69)5.2 (69)-1.6 (56)1.6 (60)1.7 (61)-8.2 (42)-1.4 (66)6.4 (54)¢ 5th Percentile 6.6 7.7 7.7 0.7 2.6 3.0 -5.0 1.7 8.7 1st Quartile 5.4 5.8 5.8 -1.3 2.0 2.0 -7.9 -0.8 7.3 Median 4.7 5.4 5.4 -1.6 1.6 1.8 -8.4 -1.2 6.5 3rd Quartile 4.4 5.1 5.1 -1.8 1.4 1.6 -9.1 -1.6 5.5 95th Percentile 3.1 4.2 4.2 -3.2 0.7 1.2 -12.1 -2.0 3.2 Population 133 130 130 118 113 102 136 140 144 Income Research Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM U.S. Intermediate Duration (SA+CF) Parentheses contain percentile rankings. Page 50 Annualized Return vs. Annualized Standard Deviation 5 Years Income Research Blmbg. Intermed. U.S. Government/Credit 90 Day U.S. Treasury Bill 1.5 1.6 1.7 1.8 1.9 2.0 Return % 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2 4.8 5.4 Standard Deviation % Standard Deviation Rolling 5 Years Income Research Blmbg. Intermed. U.S. Government/Credit 1.2 1.8 2.4 3.0 3.6 4.2 4.8 Standard D eviation % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Income Research 0.23 0.42 0.55 0.99 0.01 0.25 0.99 1.82 4.00 0.99 Blmbg. Intermed. U.S. Government/Credit 0.00 0.00 -1.00 -0.05 0.00 1.00 1.59 4.02 1.00 90 Day U.S. Treasury Bill 0.21 3.94 0.05 0.04 -1.83 0.03 1.88 0.55 0.21 Income ResearchIncome Research Risk Profile As of December 31, 2023 Page 51 As of December 31, 2023 Prudential Core Plus Bond Performance Summary Return Summary Prudential Core Plus Bond Blmbg. U.S. Aggregate 0.0 5.0 10.0 15.0 -5.0 -10.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years Inception 6/1/15 6.8 5.5 5.5 -3.3 1.1 1.3 7.4 8.0 8.0 -3.0 2.1 2.4 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 3/23 12/23 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 2/16 11/16 8/17 5/18 2/19 11/19 8/20 5/21 2/22 11/22 12/23 1.10 Page 52 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 7.4 (23)8.0 (12)8.0 (12)-3.0 (57)2.1 (35)2.9 (20)-14.6 (88)-0.9 (66)9.2 (36)¢ Blmbg. U.S. Aggregate 6.8 (65)5.5 (86)5.5 (86)-3.3 (83)1.1 (93)1.8 (89)-13.0 (41)-1.5 (92)7.5 (81)¢ 5th Percentile 7.9 9.1 9.1 0.5 3.9 3.6 -8.9 3.2 13.6 1st Quartile 7.3 7.2 7.2 -1.8 2.4 2.7 -12.5 0.1 9.6 Median 7.0 6.5 6.5 -2.9 1.9 2.4 -13.3 -0.5 8.7 3rd Quartile 6.7 5.9 5.9 -3.2 1.4 2.0 -14.1 -1.1 7.7 95th Percentile 5.6 4.9 4.9 -3.8 1.0 1.6 -15.9 -1.6 4.0 Population 144 144 144 137 134 111 156 157 163 Prudential Core Plus Bond Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM U.S. Broad Market Core+ Fixed Income (SA+CF) Parentheses contain percentile rankings. Page 53 Annualized Return vs. Annualized Standard Deviation 3 Years Prudential Core Plus Bond Blmbg. U.S. Aggregate 90 Day U.S. Treasury Bill -6.0 -4.0 -2.0 0.0 2.0 4.0 Return % 0.0 2.0 4.0 6.0 8.0 10.0 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 % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 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 0.40 1.32 0.30 0.97 -0.64 0.54 1.05 -2.96 7.68 0.99 Blmbg. U.S. Aggregate 0.00 0.00 -1.00 -0.74 0.00 1.00 -3.31 7.24 1.00 90 Day U.S. Treasury Bill 5.25 7.11 0.74 0.06 -2.22 0.02 2.15 0.66 0.24 Prudential Core Plus BondPrudential Core Plus Bond Risk Profile As of December 31, 2023 Page 54 As of December 31, 2023 Brandywine Global Fixed Income Performance Summary Return Summary Brandywine Global Fixed Income FTSE World Government Bond Index 0.0 8.0 16.0 24.0 -8.0 -16.0 Return % 1 Quarter 2023 1 Year 3 Years 5 Years 10 Years Inception 1/1/05 8.1 5.2 5.2 -7.2 -1.4 -0.3 1.5 12.5 7.4 7.4 -5.2 0.8 1.3 3.8 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 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 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 12/23 1.53 Page 55 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 12.5 (2)7.4 (61)7.4 (61)-5.2 (77)0.8 (71)1.3 (61)-16.2 (77)-5.3 (85)11.7 (17)¢ FTSE World Government Bond Index 8.1 (36)5.2 (86)5.2 (86)-7.2 (95)-1.4 (97)-0.3 (96)-18.3 (91)-7.0 (94)10.1 (32)¢ 5th Percentile 12.1 14.9 14.9 4.9 6.6 4.9 -1.0 8.5 16.4 1st Quartile 8.7 12.0 12.0 1.4 4.2 3.6 -9.1 3.6 10.7 Median 7.1 8.3 8.3 -2.0 2.5 2.5 -12.8 -0.1 7.5 3rd Quartile 6.0 6.0 6.0 -5.0 0.5 0.6 -16.1 -4.2 5.0 95th Percentile 2.8 3.0 3.0 -7.3 -1.2 -0.3 -20.2 -7.2 0.8 Population 161 161 161 157 148 128 197 203 212 Brandywine Global Peer Group Analysis As of December 31, 2023 As of December 31, 2023 IM Global Fixed Income (SA+CF) Parentheses contain percentile rankings. Page 56 Annualized Return vs. Annualized Standard Deviation 5 Years Brandywine Global FTSE World Government Bond Index 90 Day U.S. Treasury Bill -2.7 -1.8 -0.9 0.0 0.9 1.8 2.7 3.6 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 Brandywine Global FTSE World Government Bond Index 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Standard Deviation % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 TRANSPARENT 5 Years Historical Statistics Active Return Tracking Error Information Ratio R-Squared Sharpe Ratio Alpha Beta Return Standard Deviation Actual Correlation Brandywine Global 2.64 7.28 0.36 0.69 -0.03 3.03 1.32 0.80 12.31 0.83 FTSE World Government Bond Index 0.00 0.00 -1.00 -0.39 0.00 1.00 -1.39 7.77 1.00 90 Day U.S. Treasury Bill 2.96 7.68 0.39 0.04 -1.90 0.01 1.88 0.55 0.20 Brandywine GlobalBrandywine Global Risk Profile As of December 31, 2023 Page 57 Real Estate Page 58 As of December 31, 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 2023 1 Year 3 Years 5 Years 10 Years Inception 6/1/06 -3.0 -7.9 -7.9 4.6 4.3 6.8 6.7 -4.2 -15.8 -15.8 0.4 -1.4 3.1 3.7 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 % 3/19 9/19 3/20 9/20 3/21 9/21 3/22 9/22 3/23 12/23 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 12/23 0.61 Page 59 Annualized Return vs. Annualized Standard Deviation 5 Years UBS Trumbull Property Fund NCREIF Property Index 90 Day U.S. Treasury Bill -4.0 -2.0 0.0 2.0 4.0 6.0 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 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 Standard Deviation % 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 9/21 6/22 3/23 12/23 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 -5.51 3.40 -1.62 0.82 -0.37 -6.44 1.25 -1.37 7.45 0.91 NCREIF Property Index 0.00 0.00 -1.00 0.41 0.00 1.00 4.33 5.42 1.00 90 Day U.S. Treasury Bill -2.53 6.17 -0.41 0.56 -2.47 -0.13 1.88 0.95 -0.75 UBS Trumbull Property FundUBS Trumbull Property Fund Risk Profile As of December 31, 2023 Page 60 Market Environment Page 61 Factor Indices 6.8%7.2% 12.6%12.2% 8.3% 11.4% 13.4% 7.8% 8.3%8.1%10.1% 33.0% 12.2% 20.3% 17.3% 37.3% 9.8% 6.8% 0.0% 10.0% 20.0% 30.0% 40.0% MSCI World Minimum Volatility (USD) MSCI World High Dividend Yield MSCI World Quality MSCI World Momentum MSCI World Enhanced Value MSCI World Equal Weighted MSCI World Index Growth MSCI USA Minimum Volatility (USD) MSCI USA High Dividend Yield SHORT TERM RETURNS AS OF 12/31/2023 Fourth Quarter 2023 YTD Source:MSCI MSCI Indices show net total returns throughout this report. All other indices show gross total returns.. 7.6% 9.2% 17.0% 12.0% 8.8%9.2% 16.3% 10.3% 9.3% 8.0% 6.7% 12.2% 10.3% 6.1% 6.6% 11.3% 10.4% 9.4% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 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 12/31/2023 Five-Year Ten-Year Source:MSCI MSCI Indices show net total returns throughout this report. All other indices show gross total returns.. Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC 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. Page 62 11.1%9.8% 12.0% 7.7%8.1% 10.5% 8.0% 12.6%11.1% 8.0% 21.6% 15.6% 25.6% 14.4% 19.0% 14.4% 5.9% 21.2% 6.1% 11.7% 0% 10% 20% 30% ACWI IMI 38.6% ACWI ex-U.S. IMI 61.4% USA IMI 3.7% UK IMI 6.0% Japan IMI 2.9% Canada IMI 0.2% Israel IMI 12.0% Europe ex-UK IMI 2.9% Pacific ex-Japan IMI 10.9% Emerging Markets IMI GLOBAL MSCI IMI INDEX RETURNS (USD) AS OF 12/31/2023 Fourth Quarter 2023 YTD Source: MSCI Global Equity Markets •In Q4 2023, global equity markets rose due to a strong rally in November and December as market participants anticipated a higher probability of interest rate cuts in 2024. The MSCI ACWI posted its strongest annual performance in USD terms, (22.8%) since 2019 (27.3%). Volatility fell sharply throughout the quarter as the CBOE Volatility Index (VIX) fell to 12.5 in Q4 from 17.5 in the previous quarter, well below its 20-year average of 19.1. The MSCI All Country World Investable Market Index (ACWI IMI) returned 11.1% for the quarter and was up 21.6% on the year. •Across international markets, all regions posted positive returns. U.S. equities posted strong returns over the quarter and in 2023 with major contribution coming from the Information Technology sector. •Europe ex-UK IMI equities were the best regional performer with a return of 12.6%. Economically sensitive sectors including Financials and Industrials outperformed. Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC 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. Page 63 Global Equity Markets 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. USA 61.4% UK 3.7% Canada 2.9% Pacific ex-Japan 2.9%Japan 6.0%Europe ex-UK 12.0% Israel 0.2% Latin America 1.0% Asia 8.5% Eastern Europe, Middle East & Africa 1.4% Emerging Markets 10.9% MSCI ALL COUNTRY WORLD IMI INDEX GEOGRAPHIC ALLOCATION AS OF 12/31/2023 Source:MSCI Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC UK 9.5%Canada 7.5% Pacific ex-Japan 7.5% Japan 15.4% Europe ex-UK 31.2% Israel 0.6% Latin America 2.6% Asia 21.9% Eastern Europe, Middle East & Africa 3.6% Emerging Markets 28.2% MSCI ALL COUNTRY WORLD EX-U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 12/31/2023 Source:MSCI Page 64 12.1%8.0% 14.1%12.1%14.5%15.3%12.7% 26.0% 10.6% 46.6% 12.7% 25.9% 14.6%18.7% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% Russell 3000 27.4% Large Value 44.4% Large Growth 16.2% Medium Value 6.7% Medium Growth 2.8% Small Value 2.6% Small Growth RUSSELL STYLE RETURNS AS OF 12/31/2023 Fourth Quarter 2023 YTD Source: Russell Indexes U.S. Equity Markets •U.S. equities had positive performance during the quarter with the S&P 500 index rising by 11.7% amidst anticipated interest rate cuts in 2024. •The speaker of the U.S. House of Representatives, Kevin McCarthy, became the first leader in the history of the lower chamber of Congress to be removed from the position after infighting within the Republican party. McCarthy lost a no-confidence vote 216–210, as eight Republicans sided with 208 Democrats to remove him as a speaker. Mike Johnson, a Louisiana Republican, was elected as the new Speaker of the House in the fourth round of voting. Johnson received the unanimous backing of all 220 Republicans, surpassing the 215-majority mark. Following this, the U.S. Congress averted a government shutdown as lawmakers approved a short-term stop-gap funding bill to keep the government funded until early next year. •Meanwhile, Moody’s downgraded their U.S. credit outlook from ‘stable’ to ‘negative’ amidst sharp rises in debt service costs. Moody’s updated outlook highlighted increasing downside risks to U.S. fiscal strength and added that the drastic rise in Treasury yields this year “has increased pre-existing pressure on U.S. debt affordability”. •U.S. economy expanded by an annualized rate of 4.9% over the third quarter, higher than the 2.1% recorded in the previous quarter but below the forecasted 5.2%. A sharp rise in consumer spending and business spending on inventories helped to boost the economy in the third quarter. •The Russell 3000 Index rose 12.1% during the fourth quarter and 26% on a YTD basis. Real estate (18.2%) and Technology (16.4%) were the best performers while Energy (-6.4%) and Consumer Staples (4.0%) were the worst performers. •On a style basis, growth outperformed value across market capitalization except for small-cap stocks over the quarter. 12.1%16.4% 7.0%13.5% 4.0% -6.4% 10.4% 13.7%15.3% 9.4%6.4% 18.2% 26.0% 65.8% 2.9% 36.2% -2.1%-1.4% 13.6% 21.0% 15.2% -4.8% 12.1%12.2% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% 70.0% Russell 3000 30.9% Technology 12.1% Healthcare 14.4% Cons. Disc 4.7% Cons. Staples 4.1% Energy 2.0% Materials & Processing 13.2% Producer Durables 10.9% Financials 2.5% Utilities 2.1% Telecom. 3.0% Real Estate RUSSELL SECTOR RETURNS AS OF 12/31/2023 Fourth Quarter 2023 YTD 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. 3165935-NRC Page 65 U.S. Fixed Income Markets •The U.S. Federal Reserve (Fed) kept its benchmark policy rate unchanged at 5.25%–5.50% for the third consecutive meeting. Fed chair Jerome Powell commented that the interest rate is now “likely at or near its peak for this tightening cycle”. •The Bloomberg U.S. Aggregate Bond Index was up 6.80% over the quarter and 5.50% on a YTD basis. •Across durations, all maturities finished the quarter in positive territory with longer maturities rising more. •Within investment-grade bonds, lower credit quality generally outperformed higher-quality issues, with Baa bonds comparatively rising more. High- yield bonds rose by 7.20%. On a YTD basis, High Yield bonds outperformed indicating an increase in risk appetite. 2.7% 4.6% 6.2% 7.8% 11.9% 4.6%5.3%5.5%5.4% 6.4% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 1-3 Yr.3-5 Yr.5-7 Yr.7-10 Yr.>10 Yr. BLOOMBERG AGGREGATE RETURNS BY MATURITY AS OF 12/31/2023 Fourth Quarter 2023 YTDSource: FactSet 4.7% 6.4% 8.1%8.8% 7.2% 4.4% 5.8% 7.7% 9.4% 13.4% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% Aaa Aa A Baa High Yield BLOOMBERG AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 12/31/2023 Fourth Quarter 2023 YTDSource: FactSet 6.8% 5.6% 8.5% 7.5% 3.5% 5.2%5.5% 4.1% 8.5% 5.0% 5.5% 5.4% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% Bloomberg Agg. Bond 44.3% Govt 25.9% Corp. 27.7% MBS 0.5% ABS 1.7% CMBS BLOOMBERG AGGREGATE RETURNS BY SECTOR AS OF 12/31/2023 Fourth Quarter 2023 YTDSource: FactSet Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC 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. Page 66 U.S. Fixed Income Markets •U.S. Treasury yields fell significantly across maturities except at the shortest end of the curve as the yield curve shifted downwards over the quarter and the yield curve continues to be inverted. The 10-year Treasury yield fell by 71bps to 3.88%, and the 30-year Treasury yield fell by 70bps to 4.03% over the quarter. •The U.S. headline consumer price index (CPI) edged lower to 3.1% year-on-year in November, meeting economists’ expectations and marginally down from the 3.2% increase recorded in the previous month. U.S. Core inflation, which excludes food and energy costs, remained unchanged from the previous month at 4% year-on-year in November. •The 10-year TIPS yield fell by 52bps over the quarter to 1.72%. 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 9/30/2023 12/31/2023 Source:U.S. Department of Treasury -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% Dec 13 Dec 15 Dec 17 Dec 19 Dec 21 Dec 23 U.S. 10-YEAR TREASURY AND TIPS YIELDS 10Y TIPS Yield 10Y Treasury Yield Source:U.S. Department of Treasury Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC Page 67 European Fixed Income Markets •European government bond spreads over 10-year German bunds narrowed across the Euro Area. The European Central Bank (ECB) kept its interest rate unchanged at 4.0% for the second consecutive meeting. ECB policymakers signaled interest rates will be kept at “sufficiently restrictive levels for as long as necessary”. The ECB also announced it would reduce the reinvestments of maturing securities by €7.5B a month from July 2024 before ending the program at the end of next year. •Greek and Italian government bond yields fell by 124bps and 100bps to 3.10% and 3.74%, respectively over the quarter whilst Irish and Spanish government bond yields fell by 87bps and 95bps to 2.35% and 2.95%, respectively. •German bund yields fell by 81bps to 2.0% over the quarter. •Eurozone headline inflation rose at the slowest pace since July 2021 as the CPI fell to 2.4% year-on-year in November, down from the previous month’s rate of 2.9% and lower than economists’ expectations of 2.7%. A fall in energy prices and a slower pace of growth in food and services prices proved to be primary factors. Core inflation also slowed to 3.6% in the year to November, down from October’s 4.2%. 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 Source: FactSet Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC Page 68 Credit Spreads •Credit markets rose amid increasing risk tolerance sentiment, with spreads narrowing. •High Yield and Corporate spreads narrowed by 71bps and 22bps, respectively. Meanwhile, Long Gov’t and ABS Credit spreads widened by 2bps and 1bp, respectively. Spread (bps)12/31/2023 9/30/2023 6/30/2023 Quarterly Change (bps)YTD U.S. Aggregate 42 52 51 -10 -9 Long Gov't 2 0 2 2 0 Long Credit 117 133 157 -16 -40 Long Gov't/Credit 62 71 87 -9 -25 MBS 47 66 51 -19 -4 CMBS 126 130 120 -4 6 ABS 68 67 76 1 -8 Corporate 99 121 130 -22 -31 High Yield 323 394 469 -71 -146 Global Emerging Markets 294 313 332 -19 -38 Source: FactSet, Bloomberg Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC Page 69 Currency •The U.S. Dollar depreciated against all major currencies over the quarter. On a trade-weighted basis, the U.S. dollar depreciated by 3.2%. •Sterling appreciated by 4.3% against the U.S. dollar. The Bank of England (BoE) kept its interest rate unchanged at 5.25% for the third consecutive meeting. The Monetary Policy Committee (MPC) voted six to three in favour of maintaining the current interest rate, with three members preferring a 25bps increase. The MPC indicated that interest rates would likely need to be kept high for an “extended period of time” and kept the option open for further rate rises “if there were evidence of more persistent inflationary pressures”. •The U.S. dollar depreciated by 4.2% against the Euro and by 5.5% against the yen. 100 105 110 115 120 125 130 Dec 17 Dec 18 Dec 19 Dec 20 Dec 21 Dec 22 Dec 23 TRADE WEIGHTED U.S. DOLLAR INDEX (2006 = 100) Source:Federal Reserve 80 90 100 110 120 130 140 Dec 17 Dec 18 Dec 19 Dec 20 Dec 21 Dec 22 Dec 23 U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 12/31/2017 EUR/USD GBP/USD JPY/USD Source: FactSet Stronger Dollar Weaker Dollar Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC Page 70 Commodities •Commodity prices fell over the quarter with the Bloomberg Commodity Index falling by 4.6% for the quarter. •The energy sector was the worst performer as it fell 18.1% over the quarter and 21.6% on a YTD basis. The price of WTI crude oil was significantly down by 21.1% to U.S.$72/B. •Precious Metals rose the most over the quarter at 10.4%. •Meanwhile, Opec+ members announced voluntary oil production cuts until Q1 2024. Saudi Arabia pledged to extend an ongoing 1mn barrels per day (bpd) production cut whilst Russia will increase its export reduction from the current 300,000 bpd to 500,000 bpd. Opec+ aims for a total of 2M bpd production cut with the help of other members. -4.6% 2.2% -18.1% 0.2% 10.4% -0.3%-0.3% 0.9% -9.0%-7.9% -1.4% -21.6% -9.1% 9.6% -4.4% 18.5% -13.0% -1.9% -25.0% -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 12/31/2023 Fourth Quarter 2023 YTD Source:Bloomberg Note: Softs and Grains are part of the wider Agriculture sector Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC 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. Page 71 Hedge Funds Market Overview •Hedge fund performance was positive over the quarter except for Global Macro. •The HFRI Fund-Weighted Composite and HFRI Fund of Funds Composite Index produced returns of 3.6% and 3.4% over the quarter, respectively. •Over the quarter, Event Driven was the best performer with a return of 5.8%. •Global Macro was the worst performer with a return of -1.0% over the quarter. •On a YTD basis, Event Driven has outperformed all other strategies whilst Global Macro has performed the worst. 1.4% -1.0% 5.5%4.9% 5.8% 3.8% 2.8% 3.6%3.4% 4.8% -0.6% 10.4% 8.8% 10.7% 7.3%7.2%7.5% 6.3% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 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 12/31/2023 Fourth Quarter 2023 YTD Source:HFR Note: Latest 5 months of HFR data are estimated by HFR and may change in the future. Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC 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. Page 72 0 2,000 4,000 6,000 8,000 10,000 12,000 $0 $200 $400 $600 $800 $1,000 3Q15 1Q16 3Q16 1Q17 3Q17 1Q18 3Q18 1Q19 3Q19 1Q20 3Q20 1Q21 3Q21 1Q22 3Q22 1Q23 3Q23 # 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 Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. Private Equity Overview — Third Quarter 2023 •Fundraising: In Q3 2023, $250.1B was raised by 489 funds, which was an increase of 14.8% on a capital basis but a decrease of 22.0% by number of funds over the prior quarter. Dry powder stood at $3.3T at the end of the quarter, an increase of 10.3% and 38.7% compared to year-end 2022 and the five-year average, respectively.1 •Buyout: Global private equity-backed buyout deals totaled $113.4B in Q3 2023, which was an increase on a capital basis of 6.3% compared to Q2 2023 but a decrease of 32.2% compared to the five-year quarterly average.1 During the quarter, the average purchase price multiple for all U.S. LBOs was 9.5x EBITDA, down substantially from Q2 2023’s average of 11.3x and the five-year average (11.3x). The YTD average purchase price multiple ended Q3 2023 at 11.2x. Large cap purchase price multiples stood at 11.4x YTD, down compared to 11.8x at the end of 2022. The average purchase price multiple across European transactions greater than €1B averaged 10.1x EBITDA on an LTM basis as of Q3 2023, down from the 10.3x multiple seen at the end of Q2 2023. Purchase prices for transactions of €500.0M or greater increased, on an LTM basis, from 9.6x at Q2 2023 to 10.1x at Q3 2023.2 Globally, buyout exit value totaled $107.7B across 552 deals during the quarter, down from $113.2B in value from 474 deals during Q2 2023.1 •Venture: During the quarter, 2,716 venture-backed transactions totaling $36.7B were completed, which was a decrease on both a capital and deal count basis over the prior quarter’s total of $37.0B across 3,560 deals. This was also a decrease of 32.3% compared to the five-year quarterly average of $54.4B. Total U.S. venture-backed exit value increased meaningfully during the quarter, totaling approximately $35.8B across an estimated 284 completed transactions, compared to $6.6Bacross 298 exits in Q2 2023.3 Source: Preqin 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: Total Purchase Price ÷ EBITDA. 3165935-NRC LTM Global Private Equity-Backed Buyout Deal Volume Page 73 Private Equity Overview •Mezzanine: 5 funds closed on $1.6B during the quarter. This was a decrease from the prior quarter’s total of $19.4B raised by 9 funds and represented a decrease of 75.7% from the five-year quarterly average of $6.6B. Estimated dry powder was $66.7B at the end of Q3 2023, up from $66.0B at the end of the prior quarter.1 •Distressed Debt: The TTM U.S. high-yield default rate was 3.1% as of November 2023, which was up from June 2023’s TTM rate of 2.6%. Fitch expects the high-yield default rate to continue trending higher through the end of 2023.4 During the quarter, $8.1B was raised by 13 funds, up from the $7.3B raised by 11 funds during Q2 2023. Dry powder was estimated at $159.6B at the end of Q3 2023, which was up 1.9% from Q2 2023. This remained above the five-year annual average level of $138.8B.1 •Secondaries: 16 funds raised $23.8 billion during Q3 2023, up substantially from the $5.7B raised by 15 funds in Q2 2023. This was an increase compared to the five-year quarterly average of $11.9B.1 The average discount rate for LP buyout and venture capital portfolios finished the quarter at 8.0% and 32.0%, respectively.5 •Infrastructure: $5.1B of capital was raised by 14 funds in Q3 2023 compared to $9.7B of capital raised by 21 partnerships in Q2 2023. Capital raised through Q3 2023 represented only 11.3% of full-year 2022’s total. Infrastructure managers completed 541 deals for an aggregate deal value of $90.1B in the third quarter compared to 465 deals totaling $52.1B in Q2 2023.1 •Natural Resources: During Q3 2023, 5 funds closed on $2.5B compared to 6 funds totaling $1.9B in Q2 2023. 26 energy and utilities deals were completed in Q3 2023 totaling $9.5B, an increase, on a value basis, compared to 49 completed deals totaling $6.7Bin Q2 2023.1 Source: S&P 10.3x 10.0x 10.6x 10.6x 11.5x 11.4x 11.4x 11.9x 11.2x 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 Sources: 1 Preqin 2 Standard & Poor’s 3 PitchBook/NVCA Venture Monitor 4 Fitch Ratings 5 Jefferies Private and Confidential │ Investment advice and consulting services provided by Aon Investment USA Inc. 3165935-NRC Page 74 Appendix Page 75 Fee Schedule Market Value $000 % of Portfolio Estimated Annual Fee $000 Estimated Annual Fee % Total Pension 312,565 100.00 1,410 0.45 Total Domestic Equity 120,992 38.71 326 0.27 BlackRock Russell 1000 Index Fund Non-Lending 0.04 % of Assets 82,599 26.43 29 0.04 Kennedy Mid Cap Value 0.75 % of First $25 M 0.70 % of Next $25 M 0.60 % Thereafter 19,816 6.34 149 0.75 TimesSquare Small Cap Growth 0.80 % of Assets 18,578 5.94 149 0.80 Total International Equity 55,736 17.83 515 0.92 Morgan Stanley International Equity 0.91 % of Assets 36,013 11.52 328 0.91 Morgan Stanley Emerging Markets Fund 0.95 % of Assets 19,723 6.31 187 0.95 Total Fixed Income 114,487 36.63 392 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 43,900 14.05 142 0.32 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 45,003 14.40 135 0.30 Brandywine Global Opportunistic Fixed Income 0.45 % of First $50 M 0.40 % of Next $50 M 0.35 % Thereafter 25,583 8.18 115 0.45 Real Estate 19,112 6.11 171 0.89 Fee Schedule As of December 31, 2023 As of December 31, 2023 Page 76 Fee Schedule As of December 31, 2023 As of December 31, 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 19,112 6.11 171 0.89 Cash Account 0.20 % of Assets 2,133 0.68 4 0.20 Page 77 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 79 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 80 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 81 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 82 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 83 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 84 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 85 Disclaimers and Notes Page 86 · 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 December 31, 2023 Page 87 Past performance is not necessarily indicative of future results. Unless otherwise noted,performance returns presented reflect the respective fund’s performance as indicated.Returns may be presented on a before-fees basis (gross)or after-fees basis (net).After-fee performance is net of each respective sub-advisors’investment management fees and include the reinvestment of dividends and interest as indicated on the notes page within this report or on the asset allocation and performance summary pages.Actual returns may be reduced by Aon Investments’investment advisory fees or other trust payable expenses you may incur as a client.Aon Investments’advisory fees are described in Form ADV Part 2A.Portfolio performance,characteristics and volatility also may differ from the benchmark(s) shown. 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