fresno county employees' retirement association · market value % of portfolio 3 mo ytd 1 yr 3...

Fresno County Employees' Retirement AssociationInvestment Performance Review

Period Ending: September 30, 2017

Fresno County Employees' Retirement Association 1

Total FundPortfolio Reconciliation Period Ending: September 30, 2017

Portfolio Reconciliation

Last ThreeMonths Year-To-Date

_

Beginning Market Value $4,373,349,396 $4,097,749,904

Net Cash Flow -$5,976,722 -$29,450,105

Net Investment Change $158,146,549 $457,219,424

Ending Market Value $4,525,519,222 $4,525,519,222_


Total FundAsset Allocation Period Ending: September 30, 2017

Other consists of cash held for the overlay program.


Total FundAsset Allocation History Period Ending: September 30, 2017

Market Value % ofPortfolio 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012

_

Total Fund 4,525,519,224 100.0 3.6 11.0 10.8 5.1 7.3 5.0 6.7 -2.5 3.5 16.3 13.1Policy Index 3.3 10.4 8.5 4.9 6.8 4.3 6.5 -1.7 2.6 15.6 12.3

Total Domestic Equity 793,368,067 17.5 5.3 13.1 18.3 9.5 13.6 -- 8.9 1.5 9.8 36.8 15.8Russell 3000 4.6 13.9 18.7 10.7 14.2 -- 12.7 0.5 12.6 33.6 16.4

Total International Equity 920,319,201 20.3 5.4 22.2 18.2 4.4 7.6 -- 3.0 -7.5 -2.5 18.7 19.0MSCI ACWI ex USA Gross 6.3 21.6 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 17.4

Total Fixed Income 1,495,343,484 33.0 2.1 7.3 4.5 3.1 2.8 -- 6.7 -4.5 5.0 -1.1 9.6BBgBarc Global Aggregate* 1.8 6.3 -1.3 1.3 0.6 -- 2.1 -3.2 0.0 -2.0 4.2

Total Real Estate 207,958,421 4.6 0.8 4.3 7.1 10.0 10.3 -- 8.5 13.9 12.1 11.8 8.0NCREIF ODCE net 1.6 4.7 6.7 9.8 10.6 -- 7.8 13.9 11.5 12.9 9.8

Total Infrastructure 140,310,110 3.1 3.3 14.4 14.6 -- -- -- 6.1 -- -- -- --NCREIF ODCE net 1.6 4.7 6.7 -- -- -- 7.8 -- -- -- --

Total Hedge Funds 318,693,650 7.0 0.8 3.0 5.7 2.2 3.5 1.5 3.0 0.0 3.1 7.8 2.2HFRI Fund of Funds Composite Index 2.3 5.6 6.5 2.2 3.8 1.1 0.5 -0.3 3.4 9.0 4.8

Total Commodities 116,331,852 2.6 4.9 -1.9 -1.7 -5.1 -7.2 -- 13.8 -12.8 -16.9 -9.4 -0.9Bloomberg Commodity Index TR USD 2.5 -2.9 -0.3 -10.4 -10.5 -- 11.8 -24.7 -17.0 -9.5 -1.1

Total Private Equity 1 Qtr Lagged 130,788,656 2.9 6.0 8.9 12.5 7.9 -- -- 10.7 3.8 4.8 -- --Russell 2000 1 Qtr Lagged 2.5 5.0 14.3 10.1 -- -- 21.3 -4.4 4.9 -- --

Total Private Credit 1 Qtr Lagged 94,337,320 2.1 3.1 5.9 8.4 2.9 -- -- 7.4 -2.5 6.8 -- --BBgBarc US Corp. High Yield 1 Qtr Lagged 2.2 4.9 6.8 5.1 -- -- 17.1 -4.5 2.5 -- --

Total Cash 195,856,014 4.3 0.0 0.1 0.3 0.2 0.2 -- 0.2 0.1 0.1 0.4 0.191 Day T-Bills 0.3 0.6 0.7 0.3 0.2 -- 0.3 0.0 0.0 0.0 0.1

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Total FundExecutive Summary (Net of Fees) Period Ending: September 30, 2017


Policy Index (effective 3/19/2014 Q2 floating policy until rebalance is complete, weights shown are as of 9/30/2017. See Data Sources and Methodology for monthly policy breakout): 17% Russell 3000 Index, 31% BBgBarc Global Aggregate Index, 19% MSCI ACWI ex US, 3.1% Russell 2000, 6% BBgBarc US Corp. High Yield, 2.9% Private Equity Neutralized, 2.1% Private Credit Neutralized, 1.2% Real Estate Neutralized, 8% HFRI FoF Composite, 6.8% NCREIF ODCE Net, & 3% Bloomberg Commodity Index. Composite total market values reflect manager exposures and any underlying cash balances. De-risking of the Plan commenced on April 30, 2014. Effective 1/01/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.*Prior to 3/31/2014 BBgBarc U.S. Aggregate Index and as of 4/1/2014 BBgBarc Global Aggregate Index.


Total FundExecutive Summary (Gross of Fees) Period Ending: September 30, 2017

Market Value % ofPortfolio 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012

_

Total Fund 4,525,519,224 100.0 3.6 11.2 11.1 5.5 7.7 5.3 7.2 -2.1 3.8 16.6 13.5Policy Index 3.3 10.4 8.5 4.9 6.8 4.3 6.5 -1.7 2.6 15.6 12.3

Total Domestic Equity 793,368,067 17.5 5.3 13.2 18.5 9.7 13.9 7.6 9.1 1.8 10.1 37.2 16.1Russell 3000 4.6 13.9 18.7 10.7 14.2 7.6 12.7 0.5 12.6 33.6 16.4

Total International Equity 920,319,201 20.3 5.5 22.6 18.7 4.9 8.1 3.1 3.5 -7.1 -2.1 19.3 19.5MSCI ACWI ex USA Gross 6.3 21.6 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4

Total Fixed Income 1,495,343,484 33.0 2.2 7.6 4.8 3.4 3.1 -- 7.0 -4.2 5.1 -0.9 9.9BBgBarc Global Aggregate* 1.8 6.3 -1.3 1.3 0.6 -- 2.1 -3.2 0.0 -2.0 4.2

Total Real Estate 207,958,421 4.6 0.8 4.3 7.3 10.8 11.1 4.8 9.9 14.8 12.9 12.4 8.5NCREIF ODCE net 1.6 4.7 6.7 9.8 10.6 4.1 7.8 13.9 11.5 12.9 9.8

Total Infrastructure 140,310,110 3.1 3.3 14.4 14.9 -- -- -- 7.2 -- -- -- --NCREIF ODCE net 1.6 4.7 6.7 -- -- -- 7.8 -- -- -- --

Total Hedge Funds 318,693,650 7.0 0.8 3.0 5.9 2.8 4.3 -- 3.8 0.9 4.2 9.0 3.5HFRI Fund of Funds Composite Index 2.3 5.6 6.5 2.2 3.8 -- 0.5 -0.3 3.4 9.0 4.8

Total Commodities 116,331,852 2.6 4.9 -1.9 -1.7 -4.7 -6.9 -- 14.4 -12.3 -16.7 -9.0 -0.6Bloomberg Commodity Index TR USD 2.5 -2.9 -0.3 -10.4 -10.5 -- 11.8 -24.7 -17.0 -9.5 -1.1

Total Private Equity 1 Qtr Lagged 130,788,656 2.9 6.0 8.9 12.8 8.3 -- -- 11.8 3.9 4.8 -- --Russell 2000 1 Qtr Lagged 2.5 5.0 14.3 10.1 -- -- 21.3 -4.4 4.9 -- --

Total Private Credit 1 Qtr Lagged 94,337,320 2.1 3.1 5.9 8.7 3.7 -- -- 8.7 -1.4 7.1 -- --BBgBarc US Corp. High Yield 1 Qtr Lagged 2.2 4.9 6.8 5.1 -- -- 17.1 -4.5 2.5 -- --

Total Cash 195,856,014 4.3 0.0 0.1 0.3 0.2 0.2 0.8 0.2 0.1 0.1 0.4 0.191 Day T-Bills 0.3 0.6 0.7 0.3 0.2 0.4 0.3 0.0 0.0 0.0 0.1

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Policy Index (effective 3/19/2014 Q2 floating policy until rebalance is complete, weights shown are as of 9/30/2017. See Data Sources and Methodology for monthly policy breakout): 17% Russell 3000 Index, 31% BBgBarc Global Aggregate Index, 19% MSCI ACWI ex US, 3.1% Russell 2000, 6% BBgBarc US Corp. High Yield, 2.9% Private Equity Neutralized, 2.1% Private Credit Neutralized, 1.2% Real Estate Neutralized, 8% HFRI FoF Composite, 6.8% NCREIF ODCE Net, & 3% Bloomberg Commodity Index. Composite total market values reflect manager exposures and any underlying cash balances. De-risking of the Plan commenced on April 30, 2014. Effective 1/01/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.*Prior to 3/31/2014 BBgBarc U.S. Aggregate Index and as of 4/1/2014 BBgBarc Global Aggregate Index.


Total Fund attribution return is calculated based on the underlying composite returns and beginning of period portfolio weights, the effects of transactions during the period are not reflected in the return. The Total Fund attribution portfolio return will vary from the actual Total Fund return. The Policy Index attribution return is calculated based on the primary benchmarks for the underlying composites used in the attribution analysis and their respective beginning of month target weights. Weighted index returns shown in attribution analysis may differ from actual returns.

Total FundAttribution Analysis - Asset Class Level (Net of Fees) Period Ending: September 30, 2017

Performance AttributionQuarter YTD 1 Yr

Wtd. Actual Return 3.33% 10.44% 10.21%Wtd. Index Return * 3.29% 10.04% 8.29%Excess Return 0.04% 0.40% 1.91%Selection Effect 0.06% 0.50% 2.10%Allocation Effect 0.05% 0.05% -0.04%Interaction Effect -0.05% -0.09% -0.14%

*Calculated from benchmark returns and weightings of each component.

Attribution SummaryLast Three Months

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

InteractionEffects

TotalEffects

Total Domestic Equity 5.29% 4.57% 0.72% 0.13% -0.04% 0.01% 0.09%Total International Equity 5.43% 6.25% -0.83% -0.15% 0.04% -0.01% -0.13%Total Fixed Income 2.06% 1.76% 0.29% 0.16% 0.11% -0.06% 0.20%Total Real Estate 0.78% 1.64% -0.86% -0.07% 0.05% 0.03% 0.01%Total Infrastructure 3.27% 1.64% 1.63% 0.05% 0.00% 0.00% 0.05%Total Hedge Funds 0.77% 2.28% -1.51% -0.12% 0.01% 0.01% -0.10%Total Commodities 4.88% 2.52% 2.36% 0.07% 0.00% -0.01% 0.06%Total Private Equity 1 QtrLagged 5.99% 5.99% 0.00% 0.00% 0.00% 0.00% 0.00%

Total Private Credit 1 QtrLagged 3.07% 3.07% 0.00% 0.00% 0.00% 0.00% 0.00%

Total Cash 0.05% 0.26% -0.21% 0.00% -0.12% -0.01% -0.13%Total 3.33% 3.29% 0.04% 0.06% 0.05% -0.05% 0.06%


Total FundRisk Analysis (Net of Fees) Period Ending: September 30, 2017

3 Years

Anlzd Return Anlzd StandardDeviation Sharpe Ratio

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Total Fund 5.1% 5.1% 1.0Policy Index 4.9% 4.7% 1.0InvestorForce Public DB > $1B Net Median 6.6% 5.6% 1.1

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5 Years


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7 Years


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10 Years


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3 Years

Anlzd

StandardDeviation

Anlzd Alpha Beta R-Squared Up MktCapture Ratio

Down MktCapture Ratio

InformationRatio

TrackingError Sharpe Ratio Sortino Ratio

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Total Fund 5.08% 0.07% 1.03 0.90 100.93% 91.82% 0.14 1.62% 0.95 0.68

Total Domestic Equity 7.97% -1.79% 1.05 0.93 90.68% 104.94% -0.57 2.20% 1.15 1.10

Total International Equity 11.47% -0.67% 0.99 0.94 90.29% 96.54% -0.27 2.75% 0.36 0.40

Total Domestic Fixed Income 3.12% 1.72% 0.71 0.59 103.77% 58.06% 0.42 2.22% 1.08 13.80

Total Real Estate 2.33% -0.69% 1.08 0.56 101.45% -- 0.08 1.56% 4.15 --

Total Hedge Funds 4.00% 0.26% 0.87 0.77 97.22% 96.09% -0.01 2.00% 0.48 0.96

Total Alternative Illiquids 4.26% 1.92% 0.29 0.26 40.52% 51.24% -1.20 6.35% 1.31 1.43XXXXX

5 Years

Anlzd

StandardDeviation



InformationRatio


_

Total Fund 5.24% 0.52% 0.99 0.93 102.40% 85.28% 0.34 1.37% 1.36 1.47


Total International Equity 10.89% 0.15% 1.00 0.95 98.67% 95.49% 0.07 2.37% 0.68 0.83


Total Real Estate 2.09% 0.24% 0.95 0.43 96.95% -- -0.17 1.58% 4.83 --

Total Hedge Funds 3.59% 0.16% 0.86 0.75 91.04% 96.09% -0.20 1.87% 0.91 0.91




7 Years

Anlzd

StandardDeviation



InformationRatio


_

Total Fund 7.48% 0.17% 1.00 0.97 101.53% 97.54% 0.17 1.25% 0.99 1.01


Total International Equity 13.30% 0.49% 0.97 0.97 97.21% 95.03% 0.14 2.17% 0.44 0.49


Total Real Estate 2.46% 3.96% 0.54 0.13 84.81% -- -0.55 2.41% 4.06 --

Total Hedge Funds 3.17% 1.39% 0.56 0.59 77.06% 52.17% 0.04 2.80% 0.89 1.01


10 Years

Anlzd

StandardDeviation



InformationRatio


_

Total Fund 10.80% 0.74% 0.98 0.98 103.79% 95.77% 0.47 1.43% 0.43 0.61

Total Domestic Equity -- -- -- -- -- -- -- -- -- --

Total International Equity -- -- -- -- -- -- -- -- -- --

Total Domestic Fixed Income -- -- -- -- -- -- -- -- -- --

Total Real Estate -- -- -- -- -- -- -- -- -- --

Total Hedge Funds 5.86% 0.64% 0.80 0.83 81.11% 76.17% 0.15 2.74% 0.18 0.22



Total Fund vs. InvestorForce Public DB > $1B Net Universe

Total FundPeer Universe Statistics - 3 Years (Net of Fees) Period Ending: September 30, 2017


Total Fund vs. InvestorForce Public DB > $1B Net Universe

Total FundPeer Universe Statistics - 5 Years (Net of Fees) Period Ending: September 30, 2017


Total FundRisk Analysis - 5 Years (Net of Fees) Period Ending: September 30, 2017

Market Value % ofPortfolio 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Return Since

_

Total Fund 4,525,519,224 100.0 3.6 11.0 10.8 5.1 7.3 5.0 6.7 -2.5 3.5 16.3 13.1 7.3 Jun-02Policy Index 3.3 10.4 8.5 4.9 6.8 4.3 6.5 -1.7 2.6 15.6 12.3 6.6 Jun-02Total Fund Ex Parametric 4,413,306,774 97.5 3.3 10.5 -- -- -- -- -- -- -- -- -- 10.5 Dec-16

Policy Index 3.3 10.4 -- -- -- -- -- -- -- -- -- 10.4 Dec-16Total Domestic Equity 793,368,067 17.5 5.3 13.1 18.3 9.5 13.6 -- 8.9 1.5 9.8 36.8 15.8 -- Mar-97

Russell 3000 4.6 13.9 18.7 10.7 14.2 -- 12.7 0.5 12.6 33.6 16.4 -- Mar-97SSgA S&P 500 Flagship Fund 166,443,396 3.7 4.5 14.2 18.6 10.8 14.2 7.4 12.0 1.4 13.7 32.4 16.0 8.4 Mar-04

S&P 500 4.5 14.2 18.6 10.8 14.2 7.4 12.0 1.4 13.7 32.4 16.0 8.4 Mar-04Ivy 247,751,948 5.5 7.7 22.3 20.7 11.4 15.2 -- 1.4 6.7 12.7 36.6 12.3 13.5 Dec-10

Russell 1000 Growth 5.9 20.7 21.9 12.7 15.3 -- 7.1 5.7 13.0 33.5 15.3 14.1 Dec-10Aronson Johnson Ortiz 239,406,577 5.3 4.9 8.7 18.6 7.2 12.7 6.2 9.5 -0.1 9.6 38.0 17.0 10.5 Dec-95

Russell 1000 Value 3.1 7.9 15.1 8.5 13.2 5.9 17.3 -3.8 13.5 32.5 17.5 9.0 Dec-95Systematic Small/Mid Cap Value 71,794,088 1.6 5.8 4.9 17.7 9.2 13.4 -- 22.0 -1.1 4.0 37.2 17.6 12.4 Oct-10

Russell 2500 Value 3.8 5.9 15.7 9.9 13.3 -- 25.2 -5.5 7.1 33.3 19.2 12.8 Oct-10Total International Equity 920,319,201 20.3 5.4 22.2 18.2 4.4 7.6 -- 3.0 -7.5 -2.5 18.7 19.0 --

MSCI ACWI ex USA Gross 6.3 21.6 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 17.4 --Artisan International Growth 208,382,749 4.6 5.7 26.5 16.5 4.4 -- -- -9.0 -2.2 -0.1 -- -- 6.7 Apr-13

MSCI EAFE 5.4 20.0 19.1 5.0 -- -- 1.0 -0.8 -4.9 -- -- 6.6 Apr-13Research Affiliates International Equity 230,636,000 5.1 7.8 20.5 25.5 5.9 10.1 -- 9.3 -5.9 -5.8 28.9 18.5 5.6 Apr-11

MSCI EAFE 5.4 20.0 19.1 5.0 8.4 -- 1.0 -0.8 -4.9 22.8 17.3 4.4 Apr-11Mondrian International Small Cap 145,728,214 3.2 5.8 25.0 16.7 8.5 8.8 -- 0.1 2.7 -4.9 17.3 24.7 10.7 Nov-09

S&P Developed Ex-U.S. SmallCap 7.0 24.6 20.7 10.1 11.9 -- 3.8 5.9 -3.4 26.1 18.6 10.0 Nov-09Mondrian Emerging Markets 335,572,238 7.4 3.5 19.8 15.3 1.7 1.8 2.0 9.0 -16.3 0.0 -7.1 22.3 6.1 Nov-05

MSCI Emerging Markets 7.9 27.8 22.5 4.9 4.0 1.3 11.2 -14.9 -2.2 -2.6 18.2 6.7 Nov-05Total Fixed Income 1,495,343,484 33.0 2.1 7.3 4.5 3.1 2.8 -- 6.7 -4.5 5.0 -1.1 9.6 --

BBgBarc Global Aggregate* 1.8 6.3 -1.3 1.3 0.6 -- 2.1 -3.2 0.0 -2.0 4.2 --Western Asset Investment Grade Credit 210,860,852 4.7 1.7 5.8 3.0 4.6 -- -- 7.0 -0.5 -- -- -- 4.6 Oct-14

BBgBarc US Credit TR 1.3 5.1 2.0 3.9 -- -- 5.6 -0.8 -- -- -- 3.9 Oct-14Loomis Sayles High Yield 301,344,773 6.7 2.0 6.5 7.5 4.9 -- -- 14.4 -5.2 -- -- -- 4.9 Oct-14

BBgBarc US High Yield TR 2.0 7.0 8.9 5.8 -- -- 17.1 -4.5 -- -- -- 5.8 Oct-14Eaton Vance Senior Loan Fund 268,891,881 5.9 1.0 3.0 5.3 3.9 -- -- 9.9 -0.8 -- -- -- 3.9 Oct-14

S&P/LSTA Leveraged Loan Index 1.0 3.0 5.3 3.9 -- -- 10.2 -0.7 -- -- -- 3.9 Oct-14Eaton Vance Institutional Senior Loan Plus Fund 20,527,699 0.5 1.0 2.6 -- -- -- -- -- -- -- -- -- 2.6 Jan-17

S&P/LSTA Leveraged Loan Index 1.0 3.0 -- -- -- -- -- -- -- -- -- 2.5 Jan-17


Total FundPerformance Summary (Net of Fees) Period Ending: September 30, 2017

*Prior to 3/31/2014 BBgBarc U.S. Aggregate Index and as of 4/1/2014 BBgBarc Global Aggregate Index. Total Domestic Equity composite includes cash held after Kalmar termination.

Market Value % ofPortfolio 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Return Since

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SSgA TIPS 161,183,555 3.6 0.9 1.7 -0.8 1.6 0.0 -- 4.6 -1.5 3.6 -8.6 6.9 4.2 Feb-09BBgBarc US TIPS TR 0.9 1.7 -0.7 1.6 0.0 -- 4.7 -1.4 3.6 -8.6 7.0 4.3 Feb-09

Brandywine Global Sovereign 304,670,431 6.7 3.0 12.5 5.3 -- -- -- 3.8 -9.8 -- -- -- 1.8 Jan-15Citi WGBI 1.8 6.4 -2.7 -- -- -- 1.6 -3.6 -- -- -- 1.7 Jan-15

PIMCO Emerging Local Bond Ins 227,864,292 5.0 3.7 14.7 8.1 -0.1 -- -- 10.7 -16.3 -5.4 -- -- -0.3 Jul-13JP Morgan GBI EM Global Diversified TR USD 3.6 14.3 7.3 0.3 -- -- 9.9 -14.9 -5.7 -- -- -0.2 Jul-13

Total Real Estate 207,958,421 4.6 0.8 4.3 7.1 10.0 10.3 -- 8.5 13.9 12.1 11.8 8.0NCREIF ODCE net 1.6 4.7 6.7 9.8 10.6 -- 7.8 13.9 11.5 12.9 9.8Invesco Core Real Estate 165,678,179 3.7 0.6 4.7 6.7 10.0 10.7 4.2 8.3 13.7 11.4 13.4 7.7 4.2 Oct-07

NCREIF ODCE net 1.6 4.7 6.7 9.8 10.6 4.1 7.8 13.9 11.5 12.9 9.8 4.1 Oct-07Total Infrastructure 140,310,110 3.1 3.3 14.4 14.6 -- -- -- 6.1 -- -- -- --

NCREIF ODCE net 1.6 4.7 6.7 -- -- -- 7.8 -- -- -- --IFM Infrastructure 140,310,110 3.1 3.3 14.4 14.6 -- -- -- 6.1 -- -- -- -- 10.1 May-15

NCREIF ODCE net 1.6 4.7 6.7 -- -- -- 7.8 -- -- -- -- 9.6 May-15Total Hedge Funds 318,693,650 7.0 0.8 3.0 5.7 2.2 3.5 1.5 3.0 0.0 3.1 7.8 2.2

HFRI Fund of Funds Composite Index 2.3 5.6 6.5 2.2 3.8 1.1 0.5 -0.3 3.4 9.0 4.8Grosvenor 160,596,638 3.5 1.6 3.9 6.2 2.4 5.4 -- 2.6 0.0 3.5 15.2 8.6 4.8 Oct-09

HFRI Fund of Funds Composite Index 2.3 5.6 6.5 2.2 3.8 -- 0.5 -0.3 3.4 9.0 4.8 3.0 Oct-09GCM Better Futures Fund 158,097,012 3.5 0.0 2.1 5.3 -- -- -- -- -- -- -- -- 5.3 Sep-16

HFRI Fund of Funds Composite Index 2.3 5.6 6.5 -- -- -- -- -- -- -- -- 6.4 Sep-16Total Commodities 116,331,852 2.6 4.9 -1.9 -1.7 -5.1 -7.2 -- 13.8 -12.8 -16.9 -9.4 -0.9

Bloomberg Commodity Index TR USD 2.5 -2.9 -0.3 -10.4 -10.5 -- 11.8 -24.7 -17.0 -9.5 -1.1Invesco Commodities 116,331,852 2.6 4.9 -1.9 -1.7 -- -- -- 13.8 -- -- -- -- -1.4 May-15

Bloomberg Commodity Index TR USD 2.5 -2.9 -0.3 -- -- -- 11.8 -- -- -- -- -7.0 May-15Total Parametric Overlay 112,212,450 2.5

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Total FundPerformance Summary (Net of Fees) Period Ending: September 30, 2017


Closed end Real Estate funds not shown on this page.

Invesco Value-Add Fund V is pending satisfactory legal review.


Real EstateClosed End Funds (Net of Fees) Period Ending: September 30, 2017

Total Alternative IlliquidsNon Marketable Securities Overview Period Ending: September 30, 2017



GICS Sector PortfolioWeight

IndexWeight

ExcessWeight

PortfolioUSD Return

IndexUSD Return

ExcessReturn

AllocationEffect

(Local)

SelectionEffect

(Local)

ActiveContrib.

PassiveContrib.

TotalContrib.

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Energy 5.91% 5.59% 0.32% 7.12% 6.82% 0.30% 0.01% 0.01% 0.02% 0.13% 0.15%Materials 2.65% 3.38% -0.73% 9.97% 5.42% 4.55% 0.00% 0.12% 0.12% 0.03% 0.15%Industrials 9.89% 10.69% -0.80% 5.68% 4.98% 0.70% -0.01% 0.06% 0.06% 0.05% 0.10%Consumer Discretionary 11.97% 12.63% -0.66% 4.15% 1.33% 2.82% 0.03% 0.34% 0.36% -0.41% -0.04%Consumer Staples 7.23% 8.01% -0.78% -1.47% -1.26% -0.20% 0.06% -0.01% 0.06% -0.46% -0.41%Health Care 14.11% 14.02% 0.09% 2.62% 3.71% -1.10% 0.00% -0.15% -0.15% -0.12% -0.27%Financials 16.17% 15.07% 1.10% 4.97% 5.20% -0.23% 0.01% -0.04% -0.03% 0.10% 0.07%Information Technology 24.54% 21.44% 3.10% 11.72% 8.37% 3.35% 0.12% 0.83% 0.95% 0.82% 1.77%Telecommunication Services 1.47% 1.96% -0.50% 8.12% 6.29% 1.83% -0.01% 0.03% 0.02% 0.03% 0.05%Utilities 2.85% 3.18% -0.33% 3.09% 3.09% 0.00% 0.00% 0.00% 0.00% -0.05% -0.05%Real Estate 3.21% 4.03% -0.82% -0.76% 1.18% -1.94% 0.02% -0.06% -0.04% -0.14% -0.18%Total 5.90% 4.54% 1.36% 0.23% 1.13% 1.36% 0.00% 1.36%

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Total Domestic EquityPerformance Attribution by Sector (Net of Fees) Period Ending: September 30, 2017


Portfolio: Total Domestic EquityBenchmark: Russell 3000 Portfolio Total Return 5.29%

Equity Only

Portfolio 5.90%Benchmark 4.54%Return From Active Mgmt 1.36% Local Returns Portfolio 5.90% Benchmark 4.54% Active Equity Return 1.36% Country Selection -0.02% Stock Selection 1.37% Currency Contributions Portfolio 0.00% Benchmark 0.00% Active Currency Contributions 0.00%

Chart uses return-based methodology

Total Domestic EquityPerformance Attribution Summary (Net of Fees) Period Ending: September 30, 2017


Total International Equity vs. MSCI ACWI ex USA

Current Quarter

PortfolioWeight

IndexWeight

ExcessWeight

PortfolioUSD Return

IndexUSD Return

ExcessUSD Return

ActiveReturn

AllocationEffect

(Local)

SelectionEffect

(Local)

CurrencyEffect

_

AUSTRALIA 3.00% 4.97% -1.97% 4.23% 3.12% 1.11% 0.03% 0.06% 0.03% -0.06%AUSTRIA 0.21% 0.16% 0.04% 16.89% 12.85% 4.04% 0.02% 0.00% 0.01% 0.00%BELGIUM 0.18% 0.79% -0.61% 12.52% 9.24% 3.29% -0.02% -0.01% 0.01% -0.02%BRAZIL 2.86% 1.56% 1.30% 17.67% 23.00% -5.33% -0.07% -0.10% -0.04% 0.07%CANADA 4.16% 6.56% -2.41% 9.05% 8.09% 0.96% 0.00% 0.02% 0.12% -0.15%CHILE 0.18% 0.27% -0.09% 55.19% 16.90% 38.29% 0.02% -0.01% 0.04% -0.01%CHINA 3.09% 6.64% -3.56% 12.22% 14.69% -2.47% -0.48% -0.40% -0.08% 0.01%COLOMBIA 0.00% 0.11% -0.11% -- 6.54% -6.54% 0.00% 0.00% 0.00% 0.00%CZECH REPUBLIC 0.00% 0.04% -0.04% -- 10.01% -10.01% 0.00% 0.00% 0.00% 0.00%DENMARK 0.40% 1.24% -0.84% 1.91% 7.74% -5.83% -0.07% 0.01% -0.04% -0.03%EGYPT 0.00% 0.03% -0.03% -- 1.10% -1.10% 0.00% 0.00% 0.00% 0.00%FINLAND 0.15% 0.71% -0.56% 8.11% 3.33% 4.78% 0.02% 0.02% 0.02% -0.02%FRANCE 5.29% 7.34% -2.05% 9.84% 8.39% 1.45% 0.10% 0.08% 0.08% -0.07%GERMANY 9.60% 6.64% 2.96% 11.43% 7.77% 3.65% 0.78% 0.22% 0.42% 0.14%GREECE 0.00% 0.09% -0.09% -- -12.12% 12.12% 0.02% 0.02% 0.00% 0.00%HONG KONG 6.58% 2.44% 4.14% -0.15% 5.14% -5.29% -0.16% 0.09% -0.25% 0.00%HUNGARY 0.00% 0.08% -0.08% -- 9.55% -9.55% 0.00% 0.00% 0.00% 0.00%INDIA 4.97% 2.08% 2.89% 9.59% 2.98% 6.62% 0.44% 0.28% 0.10% 0.06%INDONESIA 0.71% 0.58% 0.13% -0.89% -1.03% 0.14% 0.00% 0.01% -0.02% 0.00%IRELAND 0.33% 0.32% 0.01% 12.05% 6.11% 5.94% 0.01% -0.01% 0.02% 0.00%ISRAEL 0.15% 0.47% -0.32% -15.46% -12.59% -2.87% 0.02% 0.03% -0.01% 0.00%ITALY 1.96% 1.61% 0.36% 16.21% 13.85% 2.36% 0.20% 0.09% 0.09% 0.01%JAPAN 9.48% 16.32% -6.84% 3.39% 3.96% -0.57% -0.13% 0.10% -0.11% -0.12%KAZAKHSTAN 0.15% 0.00% 0.15% 3.39% 2.89% 0.51% 0.00% 0.00% 0.00% 0.00%KOREA 5.41% 3.72% 1.69% 7.80% 2.53% 5.27% 0.28% 0.01% 0.16% 0.11%LUXEMBOURG 0.04% 0.00% 0.04% -0.05% 6.23% -6.28% 0.00% 0.00% 0.00% 0.00%

Total International EquityPerformance Attribution by Country (Net of Fees) Period Ending: September 30, 2017


PortfolioWeight

IndexWeight

ExcessWeight

PortfolioUSD Return

IndexUSD Return

ExcessUSD Return

ActiveReturn

AllocationEffect

(Local)

SelectionEffect

(Local)

CurrencyEffect

_

MALAYSIA 1.95% 0.57% 1.39% 2.38% 1.86% 0.52% 0.03% -0.01% 0.05% 0.00%MEXICO 1.99% 0.87% 1.13% -0.71% 1.56% -2.27% -0.03% 0.04% -0.09% 0.02%NETHERLANDS 2.87% 2.45% 0.42% 11.14% 9.57% 1.57% 0.09% -0.01% 0.07% 0.03%NEW ZEALAND 0.63% 0.12% 0.51% 1.89% 0.27% 1.61% 0.02% -0.01% 0.01% 0.01%NORWAY 0.28% 0.42% -0.14% 20.22% 19.32% 0.90% 0.00% 0.00% 0.01% -0.01%PAKISTAN 0.00% 0.03% -0.03% -- -16.41% 16.41% 0.01% 0.01% 0.00% 0.00%PERU 0.53% 0.09% 0.44% 3.21% 14.05% -10.84% 0.00% 0.01% -0.01% 0.00%PHILIPPINES 0.55% 0.28% 0.27% -8.04% 3.53% -11.57% -0.05% 0.00% -0.06% 0.00%POLAND 0.00% 0.31% -0.31% -- 9.58% -9.58% -0.02% -0.01% 0.00% -0.01%PORTUGAL 0.05% 0.10% -0.06% 13.78% 13.42% 0.36% 0.00% 0.00% 0.00% 0.00%QATAR 0.69% 0.16% 0.53% 7.64% -4.99% 12.64% 0.06% 0.06% 0.00% 0.00%ROMANIA 0.14% 0.00% 0.14% 9.34% 10.58% -1.24% 0.01% 0.01% 0.00% 0.00%RUSSIA 1.50% 0.75% 0.75% 20.57% 18.28% 2.29% -0.04% -0.01% -0.01% -0.02%SINGAPORE 1.68% 0.91% 0.77% 1.25% 3.10% -1.86% -0.02% 0.03% -0.06% 0.01%SOUTH AFRICA 2.60% 1.56% 1.04% 2.62% 4.03% -1.41% 0.03% 0.12% -0.12% 0.03%SPAIN 1.52% 2.42% -0.90% 4.86% 4.26% 0.61% -0.02% -0.03% 0.04% -0.04%SWEDEN 1.23% 2.02% -0.80% 6.28% 5.48% 0.80% 0.00% 0.01% 0.01% -0.02%SWITZERLAND 2.78% 5.91% -3.13% 1.07% 2.00% -0.94% -0.01% 0.01% -0.05% 0.03%TAIWAN 5.08% 2.97% 2.10% 3.21% 1.38% 1.83% 0.13% 0.11% -0.01% 0.02%THAILAND 0.97% 0.51% 0.46% -1.51% 10.63% -12.14% -0.06% -0.03% -0.04% 0.01%TURKEY 1.63% 0.28% 1.35% 12.27% 0.31% 11.96% 0.19% 0.08% 0.11% 0.00%UNITED ARAB EMIRATES 0.60% 0.17% 0.43% 1.43% 3.97% -2.54% 0.00% 0.03% -0.03% 0.00%UNITED KINGDOM 8.06% 12.30% -4.24% 4.65% 5.34% -0.69% -0.12% 0.02% -0.08% -0.06%UNITED STATES 3.77% 0.00% 3.77% 2.65% 4.30% -1.65% -0.19% -0.03% -0.16% 0.00% 100.00% 100.00% 0.00% 7.24% 6.23% 1.00% 1.00% 0.94% 0.12% -0.06%

XXXXX

Total International EquityPerformance Attribution by Country (Net of Fees) Period Ending: September 30, 2017

Total International Equity vs. MSCI ACWI ex USA

Current Quarter

Currency Name PortfolioWeight

IndexWeight

ExcessWeight

CurrencyReturn

PortfolioContrib.

IndexContrib.

ActiveContrib.

CurrencyEffect

_

Australian Dollar 3.00% 4.97% -1.97% 2.29% 2.34% 2.32% 0.02% -0.06%Baht 0.97% 0.51% 0.46% 1.86% 2.01% 2.02% -0.01% 0.01%Canadian Dollar 4.16% 6.56% -2.41% 3.84% 2.90% 4.00% -1.10% -0.15%Chilean Peso 0.18% 0.27% -0.09% 4.00% 0.00% 4.50% -4.50% -0.01%Colombian Peso 0.00% 0.11% -0.11% 4.03% 0.00% 4.13% -4.13% 0.00%Cruzeiro Real 2.86% 1.56% 1.30% 4.75% 5.49% 5.57% -0.09% 0.07%Czech Koruna 0.00% 0.04% -0.04% 4.14% 0.00% 4.38% -4.38% 0.00%Danish Krone 0.40% 1.24% -0.84% 3.56% 3.50% 3.70% -0.20% -0.03%Egytian Pound 0.00% 0.03% -0.03% 2.66% 0.00% 2.62% -2.62% 0.00%Emirati dirham 0.60% 0.17% 0.43% 0.01% 0.00% 0.01% -0.01% 0.00%Euro 22.20% 22.63% -0.44% 3.65% 3.84% 3.77% 0.08% 0.04%Forint 0.00% 0.08% -0.08% 3.13% 0.00% 3.33% -3.33% 0.00%Hong Kong Dollar 6.58% 2.44% 4.14% -0.05% -0.05% -0.05% 0.00% 0.00%Indian Rupee 4.97% 2.08% 2.89% -1.04% 0.81% -1.09% 1.90% 0.06%Mexican New Peso 1.99% 0.87% 1.13% -0.33% -0.54% -0.33% -0.20% 0.02%New Sol 0.53% 0.09% 0.44% -0.61% 0.00% 0.00% 0.00% 0.00%New Taiwan Dollar 5.08% 2.97% 2.10% 0.32% 0.27% 0.31% -0.04% 0.02%New Zealand Dollar 0.63% 0.12% 0.51% -1.27% -1.31% -1.29% -0.02% 0.01%New Zloty 0.00% 0.31% -0.31% 1.77% 0.00% 1.90% -1.90% -0.01%Norwegian Krone 0.28% 0.42% -0.14% 5.23% 5.98% 5.93% 0.04% -0.01%Pakistani Rupee 0.00% 0.03% -0.03% -0.47% 0.00% -0.39% 0.39% 0.00%Philippines Peso 0.55% 0.28% 0.27% -0.67% 0.00% -0.70% 0.70% 0.00%Pound Sterling 8.06% 12.30% -4.24% 3.29% 3.33% 3.36% -0.02% -0.06%Qatari rial 0.69% 0.16% 0.53% 0.54% 0.58% 0.51% 0.07% 0.00%Rand 2.60% 1.56% 1.04% -2.96% -0.71% -3.18% 2.46% 0.03%Ringgit (Malaysian Dollar) 1.95% 0.57% 1.39% 1.66% 0.27% 1.64% -1.38% 0.00%Romanian New Leu 0.14% 0.00% 0.14% 2.76% 0.00% 1.77% -1.77% 0.00%Rupiah 0.71% 0.58% 0.13% -1.05% -1.05% -1.05% 0.00% 0.00%


Total International EquityPerformance Attribution by Currency (Net of Fees) Period Ending: September 30, 2017


Currency Name PortfolioWeight

IndexWeight

ExcessWeight

CurrencyReturn

PortfolioContrib.

IndexContrib.

ActiveContrib.

CurrencyEffect

_

Russian Federation Rouble 1.50% 0.75% 0.75% 2.97% 0.00% 2.79% -2.79% -0.02%Shekel 0.15% 0.47% -0.32% -1.21% -0.62% -0.26% -0.37% 0.00%Singapore Dollar 1.68% 0.91% 0.77% 1.39% 1.38% 1.40% -0.02% 0.01%South Korean Won 5.41% 3.72% 1.69% -0.10% -0.11% -0.10% -0.01% 0.11%Swedish Krona 1.23% 2.02% -0.80% 3.33% 3.43% 3.40% 0.03% -0.02%Swiss Franc 2.78% 5.91% -3.13% -1.03% -1.04% -1.05% 0.01% 0.03%Tenge 0.15% 0.00% 0.15% -5.36% 0.00% 1.77% -1.77% 0.00%Turkish Lira 1.63% 0.28% 1.35% -0.94% -0.03% -0.95% 0.92% 0.00%US Dollar 3.77% 0.00% 3.77% 0.00% 0.01% 1.77% -1.76% 0.00%Yen 9.48% 16.32% -6.84% -0.18% -0.18% -0.19% 0.00% -0.12%Yuan Renminbi 3.09% 6.64% -3.56% 2.06% 0.10% -0.05% 0.14% 0.01% 100.00% 100.00% 0.00% 1.55% 1.77% -0.22% -0.06%

XXXXX

Total International EquityPerformance Attribution by Currency (Net of Fees) Period Ending: September 30, 2017


Region PortfolioWeight

IndexWeight

ExcessWeight

PortfolioUSD Return

IndexUSD Return

ExcessUSD Return

AllocationEffect

(Local)

SelectionEffect

(Local)

ActiveContrib.

PassiveContrib.

TotalContrib.

_

EM Asia 22.73% 17.35% 5.38% 8.44% 7.16% 1.29% 0.27% 0.01% 0.28% 0.16% 0.44%EM Latin America 5.56% 2.89% 2.67% 15.06% 15.10% -0.04% -0.05% -0.04% -0.09% 0.26% 0.17%EM Europe & Middle East 3.12% 1.46% 1.66% 25.63% 12.18% 13.44% 0.02% 0.11% 0.13% 0.09% 0.22%EM Africa 2.60% 1.59% 1.01% 2.62% 3.98% -1.35% 0.12% -0.08% 0.03% -0.04% 0.00%Other 65.99% 76.71% -10.72% 6.58% 5.63% 0.95% 0.11% 0.53% 0.64% -0.47% 0.18%Total 7.24% 6.23% 1.00% 0.48% 0.53% 1.00% 0.00% 1.00%

XXXXX

Total International Equity vs. MSCI ACWI ex USACurrent Quarter

Region PortfolioWeight

IndexWeight

ExcessWeight

PortfolioUSD Return

IndexUSD Return

ExcessUSD Return

AllocationEffect

(Local)

SelectionEffect

(Local)

ActiveContrib.

PassiveContrib.

TotalContrib.

_

North America ex U.S. 4.16% 6.56% -2.41% 9.05% 8.09% 0.96% 0.02% -0.02% 0.00% 0.12% 0.12%United States 3.77% 0.00% 3.77% 2.65% -- -- 0.00% -0.19% -0.19% 0.00% -0.19%Europe Ex U.K. 26.88% 32.24% -5.35% 9.76% 6.94% 2.83% 0.20% 0.91% 1.11% 0.23% 1.34%United Kingdom 8.06% 12.30% -4.24% 4.65% 5.34% -0.69% 0.02% -0.13% -0.12% -0.11% -0.22%Pacific Basin Ex Japan 11.89% 8.44% 3.45% 1.40% 3.66% -2.27% 0.04% -0.16% -0.12% -0.22% -0.34%Japan 9.48% 16.32% -6.84% 3.39% 3.96% -0.57% 0.10% -0.23% -0.13% -0.37% -0.51%Emerging Markets 34.62% 23.47% 11.15% 9.97% 8.22% 1.75% 0.39% -0.03% 0.36% 0.47% 0.82%Other 1.13% 0.66% 0.47% -8.45% -11.24% 2.79% 0.04% 0.06% 0.10% -0.12% -0.02%Total 7.24% 6.23% 1.00% 0.81% 0.19% 1.00% 0.00% 1.00%

XXXXX

Total International EquityPerformance Attribution by Region (Net of Fees) Period Ending: September 30, 2017


Total International EquityPerformance Attribution by Sector (Net of Fees) Period Ending: September 30, 2017

GICS Sector PortfolioWeight

IndexWeight

ExcessWeight

PortfolioUSD Return

IndexUSD Return

ExcessReturn

AllocationEffect

(Local)

SelectionEffect

(Local)

ActiveContrib.

PassiveContrib.

TotalContrib.

_

Energy 4.44% 6.31% -1.87% 16.36% 12.90% 3.46% -0.12% 0.07% -0.05% 0.42% 0.37%Materials 7.53% 7.54% -0.01% 12.90% 10.72% 2.18% 0.01% 0.18% 0.19% 0.34% 0.53%Industrials 14.54% 11.81% 2.74% 9.98% 5.54% 4.44% -0.01% 0.70% 0.69% -0.08% 0.61%Consumer Discretionary 12.07% 11.24% 0.82% 7.99% 6.90% 1.09% -0.04% 0.10% 0.06% 0.08% 0.13%Consumer Staples 9.10% 9.90% -0.80% -1.85% 1.37% -3.22% 0.00% -0.39% -0.38% -0.48% -0.87%Health Care 4.06% 8.33% -4.27% -2.76% 0.98% -3.74% 0.20% -0.30% -0.10% -0.44% -0.54%Financials 23.34% 23.35% -0.01% 6.88% 6.15% 0.73% -0.09% 0.22% 0.13% -0.02% 0.11%Information Technology 11.75% 10.78% 0.97% 13.74% 9.99% 3.76% -0.01% 0.39% 0.38% 0.40% 0.79%Telecommunication Services 5.21% 4.40% 0.81% 0.84% 2.55% -1.71% 0.02% -0.07% -0.05% -0.16% -0.21%Utilities 4.71% 3.14% 1.57% 9.31% 4.62% 4.68% -0.02% 0.21% 0.19% -0.05% 0.14%Real Estate 3.24% 3.20% 0.04% 5.51% 6.11% -0.61% 0.02% -0.07% -0.05% 0.00% -0.06%Unclassified 0.01% 0.00% 0.01% 18.82% -- 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%


Portfolio: Total International EquityBenchmark: MSCI ACWI ex USA Portfolio Total Return 5.43%

Equity Only

Portfolio 7.24%Benchmark 6.23%Return From Active Mgmt 1.00% Local Returns Portfolio 5.54% Benchmark 4.49% Active Equity Return 1.05% Country Selection 0.94% Stock Selection 0.12% Currency Contributions Portfolio 1.55% Benchmark 1.77% Active Currency Contributions -0.22%

Chart uses return-based methodology

Total International EquityPerformance Attribution Summary (Net of Fees) Period Ending: September 30, 2017

Name Allocation Group Status Rule 1 Rule 2 Rule 3 Rule 4 Rule 5 Rule 6_

Ivy Domestic Equity Large Cap Growth Watch c p c c c c

Aronson Johnson Ortiz Domestic Equity Large Cap Value No Issues c p c c p c

Systematic Small/Mid Cap Value Domestic Equity Small/Mid Cap Value No Issues c p c c p c

Artisan International Growth International Equity No Issues c p p p p p

Research Affiliates International Equity International Equity No Issues c c c c c c

Mondrian International Small Cap International Equity Small Cap No Issues p p p p p c

Mondrian Emerging Markets Emerging Markets Equity No Issues p p p p p cXXXXX

Total FundWatch List (Net of Fees) Period Ending: September 30, 2017

_

Rule 1 - Manager has underperformed the benchmark index more than half the time over the last 20 quartersRule 2 - Equity manager has returned less than 110% of the benchmark index for the three year period.Rule 3 - Manager has underperformed the 50th percentile in the appropriate style universe in more than two of the last five years of consecutive returns.Rule 4 - Manager's Sharpe Ratio is worse than the 50th Percentile in an appropriate style universe for the five year period ([five year return minus five year risk free rate]/[standard deviation]).Rule 5 - Manager's Information Ratio is worse than the 50th Percentile in an appropriate style universe for the five year period ([excess return over benchmark]/[tracking error]).Rule 6 - Fund experiences non-performance related issues including personnel turnover, changes in investment philosophy or drift, excessive asset growth, change in ownership and any other reason that raises concern.

Watch List standards are run against historical composite returns prior to manager since inception.


Watch List standards are run against historical composite returns prior to manager since inception. Eaton Vance was taken off firm level watch in Q4 2017.


Name Allocation Group Status Rule 1 Rule 2 Rule 3 Rule 4 Rule 5 Rule 6_

Brandywine Global Sovereign Global Fixed Income No Issues c c p p p p

Western Asset Investment Grade Credit Domestic Fixed Income No Issues c c c c c c

Loomis Sayles High Yield Domestic Fixed Income High Yield No Issues c p c p c c

Eaton Vance Senior Loan Fund Domestic Fixed Income Bank Loans Watch p p p p p p

PIMCO Emerging Local Bond Ins Emerging Markets Fixed Income No Issues c p p p p c

Invesco Core Real Estate Real Estate No Issues p p -- -- c

Grosvenor Hedge Funds No Issues c p -- -- c

Invesco Commodities Commodities No Issues c p -- -- cXXXXX

_

Rule 1 - Manager has underperformed the benchmark index more than half the time over the last 20 quartersRule 2 - Fixed Income manager has returned less than 105% of the benchmark index for the three year period.Rule 3 - Manager has underperformed the 50th percentile in the appropriate style universe in more than two of the last five years of consecutive returns.Rule 4 - Manager's Sharpe Ratio is worse than the 50th Percentile in an appropriate style universe for the five year period ([five year return minus five year risk free rate]/[standard deviation]).Rule 5 - Manager's Information Ratio is worse than the 50th Percentile in an appropriate style universe for the five year period ([excess return over benchmark]/[tracking error]).Rule 6 - Fund experiences non-performance related issues including personnel turnover, changes in investment philosophy or drift, excessive asset growth, change in ownership and any other reason that raises concern.

Total FundWatch List (Net of Fees) Period Ending: September 30, 2017

--

--

--

This fee analysis only reflects base fees for investment management, does not incorporate performance-based fees, and excludes fees paid to closed end real estate managers, private equity managers and GCM Better Futures Fund. Closed end real estate and private equity fees have other components which cannot be easily captured in this simplified format.* Managers with incentive fee include: Ivy, Systematic, Research Affiliates, Western Asset, Artisan, Brandywine, and Invesco Commodities. Performance based fees are not included in the fee analysis. AJO has performance based fees.

Account Fee Schedule Market ValueAs of 9/30/2017

Estimated AnnualFee ($)

Estimated AnnualFee (%)

_

SSgA S&P 500 Flagship Fund 0.03% of First $150.0 Mil,0.02% Thereafter

$166,443,396 $47,960 0.03%

Ivy 0.25% of Assets $247,751,948 $619,380 0.25%

Aronson Johnson Ortiz 0.30% of First $250.0 Mil,0.20% of Next $250.0 Mil,0.15% of Next $500.0 Mil,0.13% Thereafter

$239,406,577 $718,220 0.30%

Systematic Small/Mid Cap Value 0.35% of Assets $71,794,088 $251,279 0.35%

Artisan International Growth 0.30% of Assets $208,382,749 $625,148 0.30%

Research Affiliates International Equity 0.12% of Assets $230,636,000 $276,763 0.12%

Mondrian International Small Cap 0.85% of First $25.0 Mil,0.65% of Next $50.0 Mil,0.63% of Next $50.0 Mil,0.60% Thereafter

$145,728,214 $974,369 0.67%

Mondrian Emerging Markets 1.00% of First $25.0 Mil,0.75% of Next $50.0 Mil,0.60% Thereafter

$335,572,238 $2,188,433 0.65%

Western Asset Investment Grade Credit 0.30% of First $100.0 Mil,0.15% Thereafter

$210,860,852 $466,291 0.22%

Loomis Sayles High Yield 0.50% of Assets $301,344,773 $1,506,724 0.50%

Eaton Vance Senior Loan Fund 0.55% of First $50.0 Mil,0.50% of Next $50.0 Mil,0.40% Thereafter

$268,891,881 $1,200,568 0.45%

Eaton Vance Institutional Senior Loan Plus Fund 0.40% of Assets $20,527,699 $82,111 0.40%

SSgA TIPS 0.04% of Assets $161,183,555 $64,473 0.04%

Brandywine Global Sovereign 0.36% of Assets $304,670,431 $1,096,814 0.36%


Total FundInvestment Fund Fee Analysis Period Ending: September 30, 2017

Total FundInvestment Fund Fee Analysis Period Ending: September 30, 2017


Account Fee Schedule Market ValueAs of 9/30/2017

Estimated AnnualFee ($)

Estimated AnnualFee (%)

_

PIMCO Emerging Local Bond Ins 0.50% of First $100.0 Mil,0.45% Thereafter

$227,864,292 $1,075,389 0.47%

Invesco Core Real Estate 0.90% of First $75.0 Mil,0.80% Thereafter

$165,678,179 $1,400,425 0.85%

IFM Infrastructure 0.97% of Assets $140,310,110 $1,361,008 0.97%

Grosvenor 1.15% of First $25.0 Mil,1.00% of Next $25.0 Mil,0.80% of Next $50.0 Mil,0.60% Thereafter

$160,596,638 $1,301,080 0.81%

Invesco Commodities 0.30% of Assets $116,331,852 $348,996 0.30%

Parametric Overlay 0.15% of First $25.0 Mil,0.10% of Next $75.0 Mil,0.04% Thereafter

$112,212,450 $117,385 0.10%

Investment Management Fee $3,836,187,921 $15,722,816 0.41%XXXXX

This fee analysis only reflects base fees for investment management, does not incorporate performance-based fees, and excludes fees paid to closed end real estate managers, private equity managers and GCM Better Futures Fund. Closed end real estate and private equity fees have other components which cannot be easily captured in this simplified format.* Managers with incentive fee include: Ivy, Systematic, Research Affiliates, Western Asset, Artisan, Brandywine, and Invesco Commodities. Performance based fees are not included in the fee analysis. AJO has performance based fees.

Domestic Equity Managers


SSgA S&P 500 Flagship FundManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017


SSgA S&P 500 Flagship FundRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017


5 Years


_

SSgA S&P 500 Flagship Fund 14.2% 7.6% 1.9S&P 500 14.2% 7.6% 1.8eA US Large Cap Equity Net Median 13.4% 10.2% 1.3

3 Years


_

SSgA S&P 500 Flagship Fund 10.8% 7.0% 1.5S&P 500 10.8% 7.0% 1.5eA US Large Cap Equity Net Median 9.4% 10.5% 0.9

SSgA S&P 500 Flagship FundRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017


CharacteristicsPortfolio S&P 500

Number of Holdings 505 505

Weighted Avg. Market Cap. ($B) 163.83 163.13

Median Market Cap. ($B) 20.69 20.66

Price To Earnings 25.17 24.57

Price To Book 5.34 4.78

Price To Sales 3.65 3.38

Return on Equity (%) 21.08 19.95

Yield (%) 1.96 1.95

Beta 1.00 1.00

Largest HoldingsEnd Weight Return

APPLE 3.70 7.45MICROSOFT 2.67 8.64FACEBOOK CLASS A 1.88 13.17AMAZON.COM 1.78 -0.69BERKSHIRE HATHAWAY 'B' 1.64 8.24JOHNSON & JOHNSON 1.62 -1.10EXXON MOBIL 1.61 2.54JP MORGAN CHASE & CO. 1.56 5.06ALPHABET 'A' 1.35 4.74ALPHABET 'C' 1.34 5.54

Top ContributorsAvg Wgt Return Contribution

APPLE 3.78 7.45 0.28FACEBOOK CLASS A 1.84 13.17 0.24MICROSOFT 2.65 8.64 0.23BOEING 0.61 29.33 0.18CHEVRON 0.96 13.76 0.13BERKSHIRE HATHAWAY'B' 1.58 8.24 0.13

ABBVIE 0.55 23.64 0.13VERIZONCOMMUNICATIONS 0.91 12.29 0.11

VISA 'A' 0.87 12.40 0.11INTEL 0.78 13.71 0.11

Bottom ContributorsAvg Wgt Return Contribution

GENERAL ELECTRIC 1.07 -9.58 -0.10ALTRIA GROUP 0.63 -13.94 -0.09MEDTRONIC 0.55 -11.40 -0.06ALLERGAN 0.39 -15.43 -0.06WALT DISNEY 0.73 -6.53 -0.05NIKE 'B' 0.36 -11.82 -0.04PHILIP MORRIS INTL. 0.86 -4.58 -0.04STARBUCKS 0.39 -7.47 -0.03INTERNATIONALBUS.MCHS. 0.60 -4.69 -0.03

NEWELL BRANDS 0.12 -20.04 -0.02

Unclassified sector allocation includes cash allocations.

SSgA S&P 500 Flagship FundManager Portfolio Overview (Net of Fees) Period Ending: September 30, 2017


Returns prior to inception date are composite returns.

IvyManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



IvyRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017


5 Years


_

Ivy 15.2% 9.8% 1.5Russell 1000 Growth 15.3% 8.0% 1.9eA US Large Cap Growth Equity Net Median 14.2% 10.5% 1.3

3 Years


_

Ivy 11.4% 9.6% 1.2Russell 1000 Growth 12.7% 7.7% 1.6eA US Large Cap Growth Equity Net Median 11.0% 10.8% 1.0


IvyRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017


Characteristics

PortfolioRussell

1000Growth








Yield (%) 0.99 1.37

Beta 1.18 1.00


LAM RESEARCH 3.79 31.18 1.18MASTERCARD 4.28 16.47 0.70FACEBOOK CLASS A 4.14 13.17 0.55PAYPAL HOLDINGS 2.74 19.30 0.53FERRARI 1.81 28.44 0.52MICROCHIP TECH. 3.00 16.84 0.51VISA 'A' 3.83 12.40 0.48CELGENE 3.87 12.28 0.48MICROSOFT 4.31 8.64 0.37LOCKHEED MARTIN 2.72 12.44 0.34


DEXCOM 0.76 -33.12 -0.25ALLERGAN 1.48 -15.43 -0.23PHILIP MORRIS INTL. 3.92 -4.58 -0.18EDWARDSLIFESCIENCES 1.42 -7.55 -0.11

PRICELINE GROUP 2.53 -2.12 -0.05SHIRE SPN.ADR 1:3 0.49 -7.25 -0.04ULTA BEAUTY 0.16 -21.33 -0.03AMAZON.COM 4.00 -0.69 -0.03COMCAST 'A' 2.02 -1.13 -0.02STARBUCKS 0.24 -7.47 -0.02


MASTERCARD 4.48 16.47APPLE 4.46 7.45MICROSOFT 4.26 8.64FACEBOOK CLASS A 4.07 13.17CELGENE 4.01 12.28HOME DEPOT 3.99 7.26LAM RESEARCH 3.93 31.18VISA 'A' 3.91 12.40AMAZON.COM 3.68 -0.69PAYPAL HOLDINGS 3.64 19.30


IvyManager Portfolio Overview (Net of Fees) Period Ending: September 30, 2017


Aronson Johnson OrtizManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017


Aronson Johnson OrtizRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017


5 Years


_

Aronson Johnson Ortiz 12.7% 9.4% 1.3Russell 1000 Value 13.2% 8.4% 1.5eA US Large Cap Value Equity Net Median 12.9% 10.2% 1.2

3 Years


_

Aronson Johnson Ortiz 7.2% 8.9% 0.8Russell 1000 Value 8.5% 8.0% 1.0eA US Large Cap Value Equity Net Median 8.4% 10.7% 0.7

Aronson Johnson OrtizRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017


Characteristics

Portfolio Russell1000 Value








Yield (%) 2.21 2.42

Beta 0.90 1.00


APPLIED MATS. 1.23 26.38 0.33LEAR 1.10 22.24 0.24SANDERSON FARMS 0.60 39.92 0.24SPIRIT AEROSYSTEMSCL.A 0.64 34.31 0.22

VERIZONCOMMUNICATIONS 1.78 12.29 0.22

LYONDELLBASELLINDS.CL.A 1.13 18.54 0.21

PFIZER 2.86 7.31 0.21LAM RESEARCH 0.62 31.18 0.19GENERAL MOTORS 1.12 16.79 0.19VALERO ENERGY 1.16 15.21 0.18


JOHNSON & JOHNSON 3.57 -1.10EXXON MOBIL 3.36 2.54BANK OF AMERICA 3.03 4.98PFIZER 2.96 7.31JP MORGAN CHASE & CO. 2.67 5.06MERCK & COMPANY 2.51 0.62WAL MART STORES 2.09 3.90VERIZON COMMUNICATIONS 1.81 12.29PRUDENTIAL FINL. 1.56 -0.96AETNA 1.48 5.07


UNITED CONTINENTALHDG. 0.84 -19.10 -0.16

QUEST DIAGNOSTICS 0.99 -15.41 -0.15DELTA AIR LINES 1.40 -9.70 -0.14DEAN FOODS 0.31 -35.50 -0.11WALT DISNEY 1.64 -6.53 -0.11HAWAIIAN HOLDINGS 0.46 -20.02 -0.09POPULAR 0.64 -13.31 -0.08JETBLUE AIRWAYS 0.38 -18.83 -0.07ASSURED GUARANTY 0.78 -9.27 -0.07OFFICE DEPOT 0.30 -19.00 -0.06


Aronson Johnson OrtizManager Portfolio Overview (Net of Fees) Period Ending: September 30, 2017



Systematic Small/Mid Cap ValueManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



Systematic Small/Mid Cap ValueRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017


5 Years


_

Systematic Small/Mid Cap Value 13.4% 12.0% 1.1Russell 2500 Value 13.3% 10.2% 1.3eA US Small-Mid Cap Value Equity Net Median 13.4% 12.2% 1.1

3 Years


_

Systematic Small/Mid Cap Value 9.2% 11.9% 0.7Russell 2500 Value 9.9% 9.4% 1.0eA US Small-Mid Cap Value Equity Net Median 9.2% 12.6% 0.7


Systematic Small/Mid Cap ValueRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017


Characteristics

Portfolio Russell2500 Value

Number of Holdings 83 1,763







Yield (%) 1.63 1.87

Beta 1.14 1.00


CITIZENS FINANCIAL GROUP 3.08 6.68PVH 2.67 10.13KBR 2.36 18.01UNUM GROUP 2.32 10.17ALCOA 2.22 42.79PINNACLE FOODS 2.20 -3.23MICROSEMI 2.19 10.00BELDEN 2.18 6.83TOLL BROTHERS 2.13 5.17ATHENE HOLDING 'A' 2.10 8.53


ALCOA 2.31 42.79 0.99H&E EQUIPMENTSERVICES 0.96 44.70 0.43

KBR 2.14 18.01 0.39TERADYNE 1.42 24.42 0.35LIONS GATEENTERTAINMENT CL BORD

1.40 20.97 0.29

PVH 2.67 10.13 0.27ATLAS AIR WWD.HDG. 0.96 26.17 0.25UNUM GROUP 2.31 10.17 0.23MICROSEMI 2.23 10.00 0.22ENERGEN 1.90 10.76 0.20


ENVISION HEALTHCARE 1.59 -28.28 -0.45JETBLUE AIRWAYS 1.01 -18.83 -0.19NEWELL BRANDS 0.70 -20.04 -0.14TTM TECHNOLOGIES 1.11 -11.46 -0.13PRECISION DRILLING(NYS) 1.44 -8.50 -0.12

PINNACLE FOODS 2.24 -3.23 -0.07XL GROUP 0.75 -9.43 -0.07SL GREEN REALTY 1.68 -3.50 -0.06US SILICA HOLDINGS 0.43 -12.27 -0.05HEALTHSOUTH 1.19 -3.72 -0.04


Systematic Small/Mid Cap ValueManager Portfolio Overview (Net of Fees) Period Ending: September 30, 2017

International Equity Managers



Artisan International GrowthManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



Artisan International GrowthRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017



Artisan International GrowthRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

Artisan International Growth 8.5% 12.3% 0.7MSCI EAFE 8.4% 10.6% 0.8eA EAFE All Cap Equity Net Median 9.2% 11.2% 0.8

3 Years


_

Artisan International Growth 4.4% 13.6% 0.3MSCI EAFE 5.0% 10.7% 0.4eA EAFE All Cap Equity Net Median 6.4% 11.7% 0.5



Research Affiliates International EquityManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



Research Affiliates International EquityRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017



Research Affiliates International EquityRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

Research Affiliates International Equity 10.1% 11.6% 0.9MSCI EAFE 8.4% 10.6% 0.8eA EAFE All Cap Equity Net Median 9.2% 11.2% 0.8

3 Years


_

Research Affiliates International Equity 5.9% 10.9% 0.5MSCI EAFE 5.0% 10.7% 0.4eA EAFE All Cap Equity Net Median 6.4% 11.7% 0.5



Mondrian International Small CapManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



Mondrian International Small CapRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017



Mondrian International Small CapRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

Mondrian International Small Cap 8.8% 11.7% 0.7S&P Developed Ex-U.S. SmallCap 11.9% 11.4% 1.0eA EAFE Small Cap Equity Net Median 13.9% 11.7% 1.2

3 Years


_

Mondrian International Small Cap 8.5% 12.1% 0.7S&P Developed Ex-U.S. SmallCap 10.1% 10.6% 0.9eA EAFE Small Cap Equity Net Median 11.3% 12.1% 0.9


Mondrian Emerging MarketsManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017


Mondrian Emerging MarketsRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017


Mondrian Emerging MarketsRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

Mondrian Emerging Markets 1.8% 12.2% 0.1MSCI Emerging Markets 4.0% 13.6% 0.3eA Emg Mkts Equity Net Median 5.2% 14.0% 0.4

3 Years


_

Mondrian Emerging Markets 1.7% 13.2% 0.1MSCI Emerging Markets 4.9% 15.8% 0.3eA Emg Mkts Equity Net Median 5.3% 14.6% 0.3

Fixed Income Managers



Western Asset Investment Grade CreditManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



Western Asset Investment Grade CreditRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017



5 Years


_

Western Asset Investment Grade Credit 3.9% 4.1% 0.9BBgBarc US Credit TR 3.2% 4.1% 0.7eA All US Fixed Inc Net Median 2.5% 2.8% 0.9

Western Asset Investment Grade CreditRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

3 Years


_

Western Asset Investment Grade Credit 4.6% 4.3% 1.0BBgBarc US Credit TR 3.9% 4.4% 0.8eA All US Fixed Inc Net Median 2.9% 2.7% 0.9



Loomis Sayles High YieldManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



Loomis Sayles High YieldRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017


3 Years


_

Loomis Sayles High Yield 4.9% 5.9% 0.8BBgBarc US High Yield TR 5.8% 6.1% 0.9eA US High Yield Fixed Inc Net Median 5.0% 5.0% 1.0


Loomis Sayles High YieldRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

Loomis Sayles High Yield 6.7% 5.6% 1.2BBgBarc US High Yield TR 6.4% 5.3% 1.2eA US High Yield Fixed Inc Net Median 5.7% 4.8% 1.2



Eaton Vance Senior Loan FundManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



Eaton Vance Senior Loan FundRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017



Eaton Vance Senior Loan FundRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

Eaton Vance Senior Loan Fund 3.8% 2.4% 1.5S&P/LSTA Leveraged Loan Index 4.1% 2.7% 1.5eA Float-Rate Bank Loan Net Median 4.0% 2.3% 1.7

3 Years


_

Eaton Vance Senior Loan Fund 3.9% 2.9% 1.2S&P/LSTA Leveraged Loan Index 3.9% 3.2% 1.1eA Float-Rate Bank Loan Net Median 3.8% 2.6% 1.3


SSgA TIPSManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017


SSgA TIPSRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017


SSgA TIPSRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

3 Years


_

SSgA TIPS 1.6% 3.6% 0.4BBgBarc US TIPS TR 1.6% 3.6% 0.4eA TIPS / Infl Indexed Fixed Inc Net Median 1.4% 3.6% 0.3

5 Years


_

SSgA TIPS 0.0% 4.9% 0.0BBgBarc US TIPS TR 0.0% 4.9% 0.0eA TIPS / Infl Indexed Fixed Inc Net Median 0.0% 4.4% 0.0


Brandywine Global SovereignManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017


Brandywine Global SovereignRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017



Brandywine Global SovereignRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

Brandywine Global Sovereign 1.8% 7.0% 0.2Citi WGBI -0.4% 6.8% -0.1eA All Global Fixed Inc Net Median 3.1% 4.6% 0.7

3 Years


_

Brandywine Global Sovereign 2.0% 8.3% 0.2Citi WGBI 0.9% 7.7% 0.1eA All Global Fixed Inc Net Median 3.0% 4.7% 0.7



PIMCO Emerging Local Bond InsManager Performance Comparisons (Net of Fees) Period Ending: September 30, 2017



PIMCO Emerging Local Bond InsRolling Manager Performance (Net of Fees) Period Ending: September 30, 2017



PIMCO Emerging Local Bond InsRisk vs. Return 3 & 5 Year (Net of Fees) Period Ending: September 30, 2017

5 Years


_

PIMCO Emerging Local Bond Ins -1.7% 11.0% -0.2JP Morgan GBI EM Global Diversified TR USD -0.9% 10.5% -0.1eA Emg Mkt Fixed Inc Unhedged Net Median 3.2% 7.6% 0.4

3 Years


_

PIMCO Emerging Local Bond Ins -0.1% 12.5% 0.0JP Morgan GBI EM Global Diversified TR USD 0.3% 12.1% 0.0eA Emg Mkt Fixed Inc Hedged Net Median 4.2% 7.5% 0.5

Data Sources and Methodology Period Ending: September 30, 2017


Allocation Effect: An attribution effect that describes the amount attributable to the managers' asset allocation decisions, relative to the benchmark.

Alpha: The excess return of a portfolio after adjusting for market risk. This excess return is attributable to the selection skill of the portfolio manager. Alpha is calculated as: Portfolio Return - [Risk-free Rate +

Portfolio Beta x (Market Return - Risk-free Rate)].

Benchmark R-squared: Measures how well the Benchmark return series fits the manager's return series. The higher the Benchmark R-squared, the more appropriate the benchmark is for the manager.

Beta: A measure of systematic, or market risk; the part of risk in a portfolio or security that is attributable to general market movements. Beta is calculated by dividing the covariance of a security by the

variance of the market.

Book-to-Market: The ratio of book value per share to market price per share. Growth managers typically have low book-to-market ratios while value managers typically have high book-to-market ratios.

Capture Ratio: A statistical measure of an investment manager's overall performance in up or down markets. The capture ratio is used to evaluate how well an investment manager performed relative to an

index during periods when that index has risen (up market) or fallen (down market). The capture ratio is calculated by dividing the manager's returns by the returns of the index during the up/down market,

and multiplying that factor by 100.

Correlation: A measure of the relative movement of returns of one security or asset class relative to another over time. A correlation of 1 means the returns of two securities move in lock step, a correlation of

-1 means the returns of two securities move in the exact opposite direction over time. Correlation is used as a measure to help maximize the benefits of diversification when constructing an investment

portfolio.

Excess Return: A measure of the difference in appreciation or depreciation in the price of an investment compared to its benchmark, over a given time period. This is usually expressed as a percentage and

may be annualized over a number of years or represent a single period.

Information Ratio: A measure of a manager's ability to earn excess return without incurring additional risk. Information ratio is calculated as: excess return divided by tracking error.

Interaction Effect: An attribution effect that describes the portion of active management that is contributable to the cross interaction between the allocation and selection effect. This can also be explained as

an effect that cannot be easily traced to a source.

Portfolio Turnover: The percentage of a portfolio that is sold and replaced (turned over) during a given time period. Low portfolio turnover is indicative of a buy and hold strategy while high portfolio turnover

implies a more active form of management.

Price-to-Earnings Ratio (P/E): Also called the earnings multiplier, it is calculated by dividing the price of a company's stock into earnings per share. Growth managers typically hold stocks with high

price-to-earnings ratios whereas value managers hold stocks with low price-to-earnings ratios.

R-Squared: Also called the coefficient of determination, it measures the amount of variation in one variable explained by variations in another, i.e., the goodness of fit to a benchmark. In the case of

investments, the term is used to explain the amount of variation in a security or portfolio explained by movements in the market or the portfolio's benchmark.

Selection Effect: An attribution effect that describes the amount attributable to the managers' stock selection decisions, relative to the benchmark.

Sharpe Ratio: A measure of portfolio efficiency. The Sharpe Ratio indicates excess portfolio return for each unit of risk associated with achieving the excess return. The higher the Sharpe Ratio, the more

efficient the portfolio. Sharpe ratio is calculated as: Portfolio Excess Return / Portfolio Standard Deviation.

Sortino Ratio: Measures the risk-adjusted return of an investment, portfolio, or strategy. It is a modification of the Sharpe Ratio, but penalizes only those returns falling below a specified benchmark. The

Sortino Ratio uses downside deviation in the denominator rather than standard deviation, like the Sharpe Ratio.

Standard Deviation: A measure of volatility, or risk, inherent in a security or portfolio. The standard deviation of a series is a measure of the extent to which observations in the series differ from the arithmetic

mean of the series. For example, if a security has an average annual rate of return of 10% and a standard deviation of 5%, then two-thirds of the time, one would expect to receive an annual rate of return

between 5% and 15%.

Style Analysis: A return based analysis designed to identify combinations of passive investments to closely replicate the performance of funds

Style Map: A specialized form or scatter plot chart typically used to show where a Manager lies in relation to a set of style indices on a two-dimensional plane. This is simply a way of viewing the asset loadings

in a different context. The coordinates are calculated by rescaling the asset loadings to range from -1 to 1 on each axis and are dependent on the Style Indices comprising the Map.

Glossary

This report contains confidential and proprietary information and is subject to the terms and conditions of the Consulting Agreement. It is being provided for use solely by the customer. The reportmay not be sold or otherwise provided, in whole or in part, to any other person or entity without written permission from Verus Advisory, Inc., (hereinafter Verus) or as required by law or any

regulatory authority. The information presented does not constitute a recommendation by Verus and cannot be used for advertising or sales promotion purposes. This does not constitute an offer

or a solicitation of an offer to buy or sell securities, commodities or any other financial instruments or products.

The information presented has been prepared using data from third party sources that Verus believes to be reliable. While Verus exercised reasonable professional care in preparing the report, itcannot guarantee the accuracy of the information provided by third party sources. Therefore, Verus makes no representations or warranties as to the accuracy of the information presented. Verus

takes no responsibility or liability (including damages) for any error, omission, or inaccuracy in the data supplied by any third party. Nothing contained herein is, or should be relied on as a promise,

representation, or guarantee as to future performance or a particular outcome. Even with portfolio diversification, asset allocation, and a long-term approach, investing involves risk of loss that the

investor should be prepared to bear.

The information presented may be deemed to contain forward-looking information. Examples of forward looking information include, but are not limited to, (a) projections of or statementsregarding return on investment, future earnings, interest income, other income, growth prospects, capital structure and other financial terms, (b) statements of plans or objectives of management,

(c) statements of future economic performance, and (d) statements of assumptions, such as economic conditions underlying other statements. Such forward-looking information can be identified

by the use of forward looking terminology such as believes, expects, may, will, should, anticipates, or the negative of any of the foregoing or other variations thereon comparable terminology, or by

discussion of strategy. No assurance can be given that the future results described by the forward-looking information will be achieved. Such statements are subject to risks, uncertainties, and

other factors which could cause the actual results to differ materially from future results expressed or implied by such forward looking information. The findings, rankings, and opinions expressed

herein are the intellectual property of Verus and are subject to change without notice. The information presented does not claim to be all-inclusive, nor does it contain all information that clients

may desire for their purposes. The information presented should be read in conjunction with any other material provided by Verus, investment managers, and custodians.

Verus will make every reasonable effort to obtain and include accurate market values. However, if managers or custodians are unable to provide the reporting period's market values prior to thereport issuance, Verus may use the last reported market value or make estimates based on the manager's stated or estimated returns and other information available at the time. These estimates

may differ materially from the actual value. Hedge fund market values presented in this report are provided by the fund manager or custodian. Market values presented for private equity

investments reflect the last reported NAV by the custodian or manager net of capital calls and distributions as of the end of the reporting period. These values are estimates and may differ

materially from the investments actual value. Private equity managers report performance using an internal rate of return (IRR), which differs from the time-weighted rate of return (TWRR)

calculation done by Verus. It is inappropriate to compare IRR and TWRR to each other. IRR figures reported in the illiquid alternative pages are provided by the respective managers, and Verus has

not made any attempts to verify these returns. Until a partnership is liquidated (typically over 10-12 years), the IRR is only an interim estimated return. The actual IRR performance of any LP is not

known until the final liquidation.

Verus receives universe data from InvestorForce, eVestment Alliance, and Morningstar. We believe this data to be robust and appropriate for peer comparison. Nevertheless, these universes maynot be comprehensive of all peer investors/managers but rather of the investors/managers that comprise that database. The resulting universe composition is not static and will change over time.

Returns are annualized when they cover more than one year. Investment managers may revise their data after report distribution. Verus will make the appropriate correction to the client account

but may or may not disclose the change to the client based on the materiality of the change.

Disclaimer

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