ANALYSIS OF INVESTMENT PERFORMANCE - Springfield

Copyright © 2015 by The Segal Group, Inc. All rights reserved.

City of Springfield

ANALYSIS OF INVESTMENT PERFORMANCE

Police and Firefighters Retirement Fund Second Quarter 2015

Jeffrey Boucek, CFA Kristopher Katarski Senior Vice President Senior Consultant

Table of Contents

Section

Ø Financial Market Conditions 1

Ø Total Plan 2

Ø Investment Managers 3

This performance report (“Report”) is based upon information obtained by Segal Rogerscasey (“SRC”) from third parties over which SRC does not exercise any control. Although the information is collected by SRC is believed to be reliable, SRC cannot verify or guarantee the accuracy or validity of such information of the uniformity of the manner in which such information was prepared. The rates of return reflected herein are time weighted and geometrically link on a monthly basis using a modified Dietz method. Monthly valuations and returns are calculated based on the assumption that all transactions and prices are accurate from the custodian and / or investment manager. The client to whom Segal Rogerscasey delivers this Report (“Client”) agrees and acknowledges that this Report has been prepared solely for the benefit of Client. SRC disclaims any and all liability that may arise in connection with Client’s conveyance (whether or not consented to by SRC) of this report (in whole or in part) to any third party. Client further agrees and acknowledges that SRC shall have no liability, whatsoever, resulting from, or with respect to, errors in, incompleteness of, the information obtained from third parties. Client understands that the prior performance of an investment and / or investment manager is not indicative of such investment's and / or investment manager’s future performance. This Report does not constitute an offer or solicitation of an offer for the purchase of sale of any security nor is it an endorsement of any custodian, investment and / or investment manager.

1

Second Quarter 2015 Investment Performance: Summary by Asset Class This section provides data on investment performance for select market indices mostly for the second quarter (Q2) 2015, as well as Segal Rogerscasey’s commentary.

World equity markets were positive in Q2. On a global developed factor* basis, Growth, Quality and Momentum generally performed well, while Risk and Value performed poorly. International developed and emerging market equities modestly outperformed the U.S.

U.S. and international fixed income fell in Q2. Rising Treasury yields were a negative contributor to performance. The Federal Reserve (Fed) indicated that it would continue an accommodative policy.

Commodities ended Q2 in positive territory. On a sector basis, Energy and Grains had strong performance, while Livestock, Precious Metals and Industrial Metals posted negative returns.

Hedge fund of funds were slightly positive dur ing Q2. With regard to direct hedge funds, Equity Hedge, Event-Driven and Relative Value gained while Macro declined.

*Factors are attributes that explain differences in equity performance. Stocks are sorted based on their exposure to a particular factor, with the factor return being the difference in returns between stocks with high exposure and low exposure to a particular attribute.

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EMEquities

U.S. FixedIncome

InternationalFixed Income

Commodities* Real Estate Private Equity** Funds of HedgeFunds

QTD 1-Year

Asset Class Summary: Quarter-to-Date (QTD) and One-Year Returns

Asset Class Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Equities MSCI World (Net of dividends) 0.31 2.63 1.43 14.27 13.10 6.38

Russell 3000 0.14 1.94 7.29 17.73 17.54 8.15

MSCI EAFE (Net of dividends) 0.62 5.52 -4.22 11.97 9.54 5.12

MSCI EM (Net of dividends) 0.69 2.95 -5.12 3.71 3.68 8.11

Fixed Income Barclays Capital Aggregate -1.68 -0.10 1.86 1.83 3.35 4.44

Citigroup Non-U.S. WGBI (Unhedged) -1.54 -5.83 -13.49 -3.88 0.33 2.63

Other Commodity Splice* 6.70 -0.89 -30.26 -9.74 -4.12 -4.44

NCREIF NPI 3.14 6.83 12.98 11.63 12.72 8.16

Thomson Reuters Private Equity** 3.35 11.75 11.75 15.48 14.39 11.99

HFRI Fund of Funds Composite 0.11 2.61 3.86 6.24 4.08 3.20

*Commodity Splice, a Segal Rogerscasey index, blends the Bloomberg Commodity Index, formerly known as the DJ UBS Commodity Index (50%) and the S&P GSCI Index (50%), rebalanced monthly. **Performance reported as of Q4 2014 because Q1 2015 and Q2 2015 performance data is not yet available. Sources: eVestment Alliance, Investment Metrics, Thomson One and Hedge Fund Research, Inc.

Investment Synopsis Review of Q2 2015 page 1

Page 3

World Economy: Key Indicators This section provides data on select U.S. and global economic indicators for Q2 2015 along with Segal Rogerscasey’s commentary.

U.S. GDP Growth: Annualized Quarterly and Year-over-Year (YoY) Rolling (%)

Target Rates: U.S. and Eurozone

GDP Growth

Real GDP grew at an annualized rate of 2.32 percent in Q2. The adjacent graph shows annualized GDP growth, along with the year-over-year (YoY) rolling percentage change in GDP. Positive contributors for the quarter included personal consumption, exports, state and local government spending, and residential fixed investment. Federal government spending, private inventory investment, and non-residential fixed investment detracted from GDP during Q2. Personal and disposable income grew. The savings rate stood at 4.8 percent.

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As its June meeting, the Federal Open Market Committee (FOMC) stated the following: Economic activity expanded moderately and labor market conditions continued to

improve, Net exports and business fixed investment remained weak, Inflation is expected to rise toward 2 percent in the medium term, The Federal Funds Rate of 0.0 to 0.25 percent remains appropriate toward the Fed’s

objectives of maximum employment and price stability, The Fed will continue to reinvest principal payments from holdings of agency debt and

agency mortgage-backed securities, and roll over maturing Treasury securities at auction so as to maintain an accommodative policy.

The FOMC will keep accommodation in place as economic conditions warrant, but when it determines conditions are appropriate to remove accommodation, it will take a balanced approach.

The European Central Bank (ECB) held its target refinancing rate at 0.05 percent, its marginal lending rate at 0.30 and its deposit rate at -0.20. The ECB’s quantitative easing program consists of monthly purchases of public and private sector securities in the amount of 60 billion euros, but bond purchases may accelerate if liquidity decreases. The Bank of Japan (BoJ) maintained its quantitative and qualitative easing policy in June with the goal of increasing the monetary base by approximately 80 trillion yen on an annual basis.

Sources: Segal Rogerscasey using data from the Federal Reserve Board and the European Central Bank


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Page 4


Headline CPI and Core CPI: Percentage Change YoY

10-Year Break-Even Inflation Rate

Inflation

Break-Even Inflation

The adjacent graph shows the 10-year break-even inflation rate, which measures the difference in yield between a nominal 10-year Treasury bond and a comparable 10-year Treasury inflation-protected security bond (TIPS). The break-even inflation rate is an ind icator of the market’s inflation expectations over the horizon of the bond. The 10-year break-even rate increased from 1.78 percent in Q1 to 1.89 percent in Q2. As noted on page 2 (see “Monetary Policy”), the Fed expects inflation to gradually rise to 2 percent.

Source: Bloomberg


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The headline seasonally adjusted Consumer Price Index (CPI)* rose 0.87 percent in Q2, and increased 0.18 percent on a YoY basis. Seasonally adjusted Core CPI, which excludes both food and energy prices, rose 0.58 percent in Q2, bringing the YoY core CPI increase to 1.77 percent. On an unadjusted basis for the 12 months ended June 2015, the energy component (-15.0 percent) fell the most. Commodities less food and energy commodities (-0.4 percent) was also slightly negative. Food (1.8 percent) and services less energy services (2.5 percent) were positive. * Headline CPI is the CPI-U, the CPI for all urban consumers.

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Source: Bureau of Labor Statistics

Page 5


Unemployment and Nonfarm Payrolls

U.S. Consumer Sentiment

Labor Market and the Unemployment Rate

Unemployment fell from 5.5 percent in Q1 to 5.3 percent in Q2. Nonfarm payroll employment increased by 223,000 jobs in June, which was in line with expectations. In percent of total terms, goods-producing industries contributed less jobs to payroll gains in Q2 than in Q1, while services contributed more jobs than in Q1, and private industries contributed about the same number of jobs as in Q1. The one-month diffusion index* rose to 60.5 in June from 59.3 in March. The labor force participation rate was 62.6 percent in June, 0.1 percent lower than it was in March. *According to the Bureau of Labor Statistics, figures represent the percent of industries with employment increasing plus one-half of the industries with unchanged employment, where 50 percent indicates an equal balance between industries with increasing and decreasing employment.

Consumer Sentiment The University of Michigan Index of U.S. Consumer Sentiment is an economic indicator that measures individuals’ confidence in the stability of their incomes as well as the state of the economy. The Consumer Sentiment Index increased from 93.0 in March to 96.1 in June. Views on present conditions and expectations rebounded during Q2. A stronger job market along with low inflation helped to boost consumer confidence. Increases in personal income, which rose more than expectations, with higher consumer outlays (the dollar value of goods purchases) also contributed to the improved sentiment. Inflation expectations on both a one-year and five-year basis decreased from Q1.


Source: Moody’s Economy.com using data from the Thomson Reuters/University of Michigan Consumer Sentiment Index


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Page 6

Investor Sentiment: Mutual Fund Flows This page presents mutual fund flows across equity and fixed-income funds. Flow estimates are derived from data collected covering more than 95 percent of industry assets and are adjusted to represent industry totals.

Monthly Mutual Fund Net Flows ($ Millions) Q2 2015

Mutual Fund Flows vs. ETFs ($ Millions): New Net Cash Flows

Net Mutual Fund Flows The adjacent graph shows net flows into equity and fixed income mutual funds. In Q2, mutual funds experienced net inflows of approximately $17.7 billion, a significant slowdown from Q1, when roughly $63.1 billion was invested in such vehicles. Q2 inflows were driven by fixed income mutual funds, as equity flows turned negative.

Treasuries in the U.S. continued to generate positive results for the quarter; the Fed indicated it may raise rates gradually later this year. Overall, the Treasury yield curve widened during Q2. The 10-year Treasury note closed at 2.33 percent, 41 bps higher than Q1.

Equity mutual funds experienced around $6.5 billion in outflows during Q2, as domestic mutual fund outflows of $50.8 billion exceeded international mutual fund inflows of $44.3 billion. Hybrid mutual funds experienced inflows of $2.2 billion.

Mutual Fund Flows vs. Exchange-Traded Funds

In addition to the $17.7 billion in Q2 mutual fund net inflows, ETFs also experienced net flows totaling $23.2 billion dur ing April and May 2015 (June numbers have not yet been reported). At the end of May, ETF assets totaled about $2.1 trillion, up from around $1.8 trillion in May 2014. All types of ETFs, including domestic equity, foreign equity, taxable bonds, municipal bonds, and hybrid mutual funds experienced inflows in April and May.

Source: Investment Company Institute http://www.ici.org

Source: Investment Company Institute http://www.ici.org


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Page 7

Investment Performance: U.S. Equities This section presents data and Segal Rogerscasey’s commentary on U.S. equity index returns and sector performance for Q2 2015.

The graph below illustrates Q2 2015 rates of return for selected U.S. equity indices. The table shows returns for the latest quarter, year-to-date, one-year, three-year, five-year and 10-year annualized timeframes. All data in the table are percentages.

S&P 500 Index® Sector Performance – Q2 2015

U.S. Equity Index Returns

Index and Sector Performance The S&P 500® (0.3 percent) eked out a positive return, and most major U.S. equity indexes followed suit to a greater or lesser extent. With the Global Financial Cr isis becoming a more distant memory, only the 10-year index returns shown in the table above incorporate those bad times; the 3- and 5-year returns are much higher than very long term historical averages for U.S. equities. Among large cap names, style was not a differentiating factor, as the Russell 1000 Growth and Russell 1000 Value benchmarks were only 1 basis point apart at the end of Q2. This is in contrast to small cap stocks, where the difference between the styles was 318 bps in favor of growth. At the sector level, Q1 trends continued into Q2. Utilities (-5.8 percent) fell again on concerns about interest rate increases, and Healthcare (2.8 percent) rose as fears about the negative impact of a Republican Congress lost their urgency. Consumer Discretionary (1.9 percent) had another good quarter thanks to healthy spending due to low interest rates and the job market’s continued improvement.

Sources: Standard & Poor’s and Russell Investments

This table shows quarter-to-date and year-to-date price changes for each sector. Source: Standard & Poor's


Equity Indices QTD YTD 1 Year 3 Year 5 Year 10 Year

S&P 500® Index 0.28 1.23 7.42 17.31 17.34 7.89

Russell 1000 0.11 1.71 7.37 17.73 17.58 8.13

Russell 1000 Growth 0.12 3.96 10.56 17.99 18.59 9.10

Russell 1000 Value 0.11 -0.61 4.13 17.34 16.50 7.05

Russell 2000 0.42 4.75 6.49 17.81 17.08 8.40

Russell 2000 Growth 1.98 8.74 12.34 20.11 19.33 9.86

Russell 2000 Value -1.20 0.76 0.78 15.50 14.81 6.87

Russell 3000 0.14 1.94 7.29 17.73 17.54 8.15

QTD (%) YTD (%)

Consumer Discretionary 1.9 6.8

Consumer Staples -1.7 -0.8

Energy -1.9 -4.7

Financials 1.7 -0.4

Healthcare 2.8 9.6

Industrials -2.2 -3.1

Information Technology 0.2 0.8

Materials -0.5 0.4

Telecommunications Services 1.6 3.2

Utilities -5.8 -10.7

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Page 8

Investment Performance: U.S. Equities This section presents Segal Rogerscasey’s commentary on U.S. equity earnings and growth- vs. value-stock performance for Q2 2015.

Growth Stocks vs. Value Stocks (Rolling 3-Year)

U.S. Equity Market Earnings and Volatility

Growth vs. Value The adjacent graph depicts the growth versus value differential for both large- and small-cap stocks over rolling three-year intervals. The large-cap calculation uses the Russell 1000 Growth (R1000G) versus the Russell 1000 Value (R1000V) and the small-cap differential is composed of the Russell 2000 Growth (R2000G) versus the Russell 2000 Value (R2000V). An interesting dynamic in recent years has been the fact that growth and value have largely been irrelevant in driving large cap equity returns, as the spread between the growth and value benchmarks has been quite narrow. Small caps have shown some preference for growth, particularly during the first half of 2015.

Source: Standard & Poor’s

Source: Russell Investments


The adjacent graph compares the earnings per share of companies in the S&P 500® Index and the growth of $1.00 since June 1989. While earnings per share growth does not align perfectly with the growth of stock prices, there does appear to be a directional linkage, which is something many investors count upon. It is interesting that earnings dipped in Q4 and Q1, but this was not reflected in stock returns. Earnings are perhaps the single most studied metric in a company's financial statements because they show a company's profitability. A company's quarterly and annual earnings are typically compared to analysts’ estimates and guidance provided by the company itself. In most situations, when earnings do not meet either of those estimates, a company's stock price will tend to drop. On the other hand, when actual earnings beat estimates by a significant amount, the share price will likely surge. At the aggregate level, these swings tend to be more muted.

S&P 500® Index: Earnings Per Share and Growth of $1

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Page 9

Investment Performance: Non-U.S. Equities This section presents data and Segal Rogerscasey’s commentary on international equity returns and sector performance for Q2 2015.

The graph below illustrates Q2 2015 rates of return for selected non-U.S. equity indices. The table shows returns for the latest quarter, year-to-date, one-year, three-year, five-year and 10-year annualized timeframes. All data in the table are percentages.

MSCI EAFE Sector Performance – Q2 2015

MSCI Non-U.S. Equity Index Returns

Index and Sector Performance

International equity market returns were mixed in Q2, as early gains on improving economic growth were offset by fears of rising interest rates, a worsening debt crisis in Greece, and heightened concerns over slowing growth in China during the second half of the quarter. Both the EAFE and World indices were relatively neutral, returning 0.6 percent and 0.3 percent, respectively. The strongest performance came from Ireland (8.5 percent), Hong Kong (5.6 percent) and Norway (3.3 percent), but these returns were countered by weak numbers in New Zealand (-13.1 percent), Australia (-6.2 percent) and Germany (-5.6 percent). Currency remained a key topic, as the USD weakened against most developed nations’ currencies, except New Zealand and Japan, resulting in higher returns for U.S.-based investors. For example, the U.K. fell -2.8 percent in local terms, but earned 3.0 percent when converted back to USD.

Most sectors of the MSCI EAFE fell dur ing Q2 with the exception of Telecom (3.3 percent), Energy (1.1 percent) and Financials (0.5 percent). Telecom benefitted from increased M&A deals, which helped to fuel activity in the sector, while Energy stocks gained from higher oil prices. Healthcare (-2.0 percent) fell the most in Q2, mainly due to poor performance in the pharmaceutical industry, particularly driven by GlaxoSmithKline and AstraZeneca’s double-digit negative returns. Within the Materials sector (-1.8 percent), mining companies were hurt by uncertainty surrounding the subdued growth of the Chinese economy.

Source: Morgan Stanley Capital International

This table shows quarter-to-date and year-to-date price changes for each sector. Source: Morgan Stanley Capital International


MSCI Indices QTD YTD 1 Year 3 Year 5 Year 10 Year

World 0.31 2.63 1.43 14.27 13.10 6.38

Europe, Australasia and Far East (EAFE)

0.62 5.52 -4.22 11.97 9.54 5.12

Europe except U.K. -0.79 4.67 -7.39 14.13 9.66 5.21

Pacific except Japan -2.48 0.58 -6.79 7.53 8.70 7.94

United Kingdom 2.99 2.00 -8.24 9.10 10.68 4.71

Japan 3.09 13.62 8.31 13.30 8.80 4.23

QTD (%) YTD (%)

Consumer Discretionary -0.9 6.9

Consumer Staples -0.6 3.5

Energy 1.1 -4.8

Financials 0.5 4.6

Healthcare -2.0 6.3

Industrials -0.6 4.8

Information Technology -1.7 5.0

Materials -1.8 0.6


Utilities -0.1 -5.2

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Page 10

Investment Performance: Emerging Market Equities This section presents data and commentary on emerging market (EM) equity returns and sector performance for Q2 2015.

The graph below illustrates Q2 2015 rates of return for selected emerging market equity indices. The table shows returns for the latest quarter, year-to-date, one-year, three-year, five-year, and 10-year annualized timeframes. All data in the table are percentages.

MSCI EM Sector Performance – Q2 2015

MSCI Emerging Market Equity Index Returns

Index and Sector Performance The MSCI Emerging Markets (EM) Index (0.7 percent) gained in Q2. Strong April performance (7.7 percent), was offset by significant declines in May (-4.0 percent) and June (-2.6 percent). Until the last week of June, Asian markets were buoyed by continued accommodative policies in China. In addition, boding poorly for Q2, was a revival of the Greek debt crisis at the end of June, roiling developed and developing markets alike.

At the total index level, currency did not have a material impact on Q2 performance, as the local and USD returns were nearly identical. That said, the euro, the Russian ruble, and the Brazilian real appreciated versus the USD. Currencies that lost ground against the USD during Q2 included the Thai baht, Turkish lira and Mexican peso.

Latin America (3.5 percent) and EMEA (1.9 percent) posted positive returns in Q2, while Asia (-0.2 percent) slightly declined. Hungary (11.0 percent) and the United Arab Emirates (10.7 percent) were the top-performing EM countries, while Indonesia (-14.1 percent) and Malaysia (-7.8 percent) fell the most. Higher commodity prices helped oil-producing countries such as Brazil (6.7 percent), Russia (7.6 percent), and the United Arab Emirates (10.7 percent).

Adding to its Q1 turnaround, Energy (8.5 percent) gained again in Q2 and led all sectors on a quarterly and year-to-date basis. Energy stocks benefitted from a 25 percent rally in oil prices. Healthcare (-4.0 percent) and Information Technology (-4.0 percent) posted the weakest sector returns in Q2, but are still positive year-to-date.

Source: Morgan Stanley Capital International

This table shows quarter-to-date and year-to-date price changes for each sector. Source: Morgan Stanley Capital International


MSCI EM Indices QTD YTD 1 Year 3 Year 5 Year 10 Year

Emerging Markets (All) 0.69 2.95 -5.12 3.71 3.68 8.11

Asia -0.15 5.07 3.14 8.96 6.79 9.29

Europe, Middle East and Africa (EMEA)

1.88 3.87 -14.16 -1.39 1.72 4.93

Latin America 3.51 -6.38 -23.41 -8.08 -4.39 7.45

QTD (%) YTD (%)

Consumer Discretionary -3.2 0.7

Consumer Staples 2.3 4.4

Energy 8.5 11.0

Financials 2.9 2.6

Healthcare -4.0 2.4

Industrials 1.1 2.4

Information Technology -4.0 4.2

Materials 1.3 -0.9


Utilities -0.3 -3.5

0.7%

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EmergingMarkets

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Page 11

Investment Performance: U.S. Fixed Income This section presents select U.S. fixed-income index data along with commentary on option-adjusted spreads (OAS) during Q2 2015.

The graph below illustrates Q2 2015 rates of return for selected U.S. fixed-income indices. The table shows returns for the latest quarter, year-to-date, one-year, three-year, five-year and 10-year annualized timeframes. All data in the table are percentages.

OAS* in Bps

U.S. Fixed Income Index Returns

Option-Adjusted Spreads Nearly all sectors of the bond market posted negative results in Q2, which was not surprising given the widening of option-adjusted spreads and the rising yield environment. U.S. Agencies’ Q2 spread was flat, but it remained the only sector to outperform its respective 10-year spread average. Corporate spreads widened across all sectors due to heavy supply and uncertainty in Greece and China. The high yield market experienced the least amount of expansion as issuance slowed. Investment grade corporates, along with its underlying sectors, widened the most, as issuance continued to soar and uncertainty surrounding Greece persisted.

Sources: Barclays Capital, Citigroup and Hueler Analytics

*OAS is the yield spread of bonds versus Treasury yields taking into consideration differing bond options. Source: Barclays Capital


Fixed-Income Indices QTD YTD 1 Year 3 Year 5 Year 10 Year

BarCap Aggregate -1.68 -0.10 1.86 1.83 3.35 4.44

BarCap Govt/Credit -2.10 -0.30 1.69 1.76 3.52 4.38

BarCap Int Govt/Credit -0.62 0.82 1.68 1.60 2.79 4.02

BarCap Long Govt/Credit -7.57 -4.47 1.94 2.48 6.71 6.14

BarCap Government -1.50 0.08 2.27 0.93 2.63 3.99

BarCap Credit -2.88 -0.78 0.93 3.03 4.93 5.12

BarCap Inv Grade CMBS -1.11 0.72 2.00 3.45 5.83 4.87

BarCap Mortgage -0.74 0.31 2.28 1.92 2.89 4.56

BarCap U.S. Corporate High Yield 0.00 2.53 -0.40 6.81 8.61 7.89

Citi 3-Month T-Bill 0.00 0.01 0.02 0.05 0.06 1.34

Hueler Stable Value 0.44 0.88 1.75 1.83 2.18 3.21

03/31/15 06/30/15 Change in

OAS 10-Year Average

U.S. Aggregate Index 46 51 5 71 U.S. Agency (Non-mortgage) Sector 54 54 - 42 Securitized Sectors: Mortgage-Backed Securities 20 26 6 54

Asset-Backed Securities 62 62 - 134

Commercial Mortgage-Backed Securities 95 101 6 231

Corporate Sectors: U.S. Investment Grade 129 145 16 167 Industrial 136 153 17 154 Utility 121 137 16 157 Financial Institutions 118 133 15 190 U.S. High Yield 466 476 10 561

-1.7% -2.1% -0.6%

-7.6%

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Page 12

Investment Performance: U.S. Fixed Income This section presents commentary on the U.S. Treasury yield curve and credit spreads during Q2 2015.

Barclays Capital Corporate Bond Spreads

Yield Curve

Credit Spreads

Investment grade corporate spreads widened by 16 bps during Q2 2015 and ended the quarter with an option-adjusted spread of 145 bps over Treasuries, as shown in the adjacent graph. From a historical perspective, spreads are 24 bps below the 10-year average of 169 bps. High yield bond spreads widened by 10 basis points, ending Q2 with a OAS of 4.76 percent at the end of June, which is 73 bps below the 10-year average of 549 bps.

Source: Bloomberg

Source: Barclays Capital


The U.S. Treasury yield curve widened during Q2. The yield gap between 2-year and 10-year Treasuries increased from 1.36 percent to 1.70 percent. Yields rose across the curve in response to moderate economic growth, higher and more stable oil prices, and subsiding European deflationary concerns. The 10-year U.S. Treasury yield ended Q2 at 2.33 percent, 41 bps above Q1.

U.S. Treasury Yield Curve

0.0%

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Page 13

Investment Performance: Non-U.S. Fixed Income This page focuses on international fixed-income asset class data and information on EM debt (EMD) for Q2 2015.

JPMorgan EMBI Global Index Best and Worst-Performing Markets

International Fixed Income

Emerging Market Debt The JPMorgan Emerging Market Bond Index (-0.3 percent) fell in Q2. Despite the poor overall result, performance by asset class varied as developed market interest rates rose and EM spreads tightened. The three best- and worst-performing markets of the index are noted in the adjacent graph. The corporate JPMorgan CEMBI Broad Diversified Index gained 1.3 percent. Ukraine (31.9 percent) was the most notable outperformer despite continued tensions with Russia. Nearly all countries within the index posted positive results, excluding the Czech Republic (-3.9 percent) and Morocco (-3.4 percent), which reported modest detractions. The local JPMorgan GBI-EM Global Diversified Index (-0.3 percent) declined in USD unhedged terms. The currency effect was the primary reason for the drawdown, as the index gained 0.2 percent in local terms. From a regional perspective, Asia was the primary source of negative results, as Indonesia (-5.2 percent) suffered from inflationary risks and a depreciating currency.

Sources: Citigroup and Barclays Capital

Source: JPMorgan


In Q2, global sovereign bonds, as measured by the Citigroup World Government Bond Index (WGBI), fell 2.7 percent in local currency terms, and also trailed 1.6 percent in unhedged terms. The BarCap Global Aggregate Index, which includes spread sectors, lost 1.2 percent, lagging the sovereign-only Citigroup WGBI Index by roughly 40 bps on an unhedged basis. Non-U.S. government bonds, as measured by the Citigroup Non-U.S. WGBI, underperformed U.S. government bonds by roughly 160 bps in local currency terms, but led by 10 bps in unhedged currency terms. On an unhedged basis, nearly all WGBI components finished Q2 in the red. The exceptions were Canada with flat results and the U.K. at 2.0 percent. There were several notable underperformers in Q2. Italy (-2.7 percent), Spain (-2.5 percent), and Belgium (-2.5 percent) declined the most on an unhedged basis. Much of the negative results can be attributed to the distress in Greece.

Citigroup WGBI: Returns of Major Constituents (%)

Country Local

Currency Return (Qtr)

Currency Effect

Unhedged Total

Return (Qtr) United States -1.6 0.0 -1.6 Canada -1.4 1.4 0.0 Australia -2.8 0.6 -2.2 Japan -0.3 -2.0 -2.3 Austria -5.1 3.5 -1.6 Belgium -6.0 3.5 -2.5 France -5.1 3.5 -1.6 Germany -4.4 3.5 -0.9 Italy -6.2 3.5 -2.7 Netherlands -4.8 3.5 -1.3 Spain -6.0 3.5 -2.5 United Kingdom -3.9 5.9 2.0 Non-U.S. Govt. Bond -3.2 1.7 -1.5 World Govt. Bond -2.7 1.1 -1.6

36.5%

12.7% 7.8%

-0.3% -4.1% -4.6% -4.7%

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Ukr

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Page 14

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S&P GSCI Total Return Index Bloomberg Commodity Index

Investment Performance: Commodities and Currencies This section presents performance information about commodities and major world currencies as of Q2 2015.

Nominal Broad Dollar Index: USD vs. Basket of Major Trading Partners

Commodities

Currencies

The adjacent graph shows the U.S. dollar (USD) against a basket of 16 major market currencies, including those listed in the table below: the Canadian dollar (CAD), the euro (EUR), the Japanese yen (JPY), the Swiss franc (CHF), and the British pound-sterling (GBP). In Q2, the U.S. nominal broad dollar weakened by 0.98 percent. Despite the drop, the USD will continue to benefit from higher relative economic growth and potential for rising interest rates.

The graph above shows the major commodity indices, the S&P GSCI* Index and Bloomberg Commodity Index** * The S&P GSCI Index is calculated primarily on a world production-weighted basis and is composed of the principal physical commodities that are the subject of active, liquid futures markets. ** The Bloomberg Commodity Index is composed of futures contracts on physical commodities, with weighting restrictions on individual commodities and commodity groups to promote diversification. Source: Investment Metrics

Sources: Federal Reserve and Bloomberg


After a weak Q1, commodities, as represented by the Bloomberg Commodity Index (BCI) and the S&P GSCI, rallied in Q2, gaining 4.7 percent and 8.7 percent, respectively. Most commodities are priced in USD, so the overall asset class benefitted from a weaker USD, as its recent strength had dampened international demand. Sectors posted mixed results. Agriculture and Energy generated positive returns, while Industrial Metals, Precious Metals and Livestock declined. The most significant driver of positive performance during Q2 was Energy, which returned 10.9 percent in the BCI and 13.0 percent in the S&P GSCI. In particular, oil prices, which reached six-year lows in Q1, gained almost 25 percent in Q2 due to expectations of slowing supply and higher demand. Given the Energy’s heavy weighting in the S&P GSCI, this served as a large contributor to that index’s outperformance relative to the BCI. Cocoa was also a big winner during Q2. The commodity rose more than 20 percent, as Ghana, the second largest cocoa grower, surprised the market with a 30 percent shortfall in this year’s crop. Regarding detractors, Industrial Metals was the biggest laggard in both indices, falling 5.3 percent in the BCI and 5.5 percent in the S&P GSCI. Copper suffered during Q2, dropping 4.5 percent, as demand in China continued to decrease.

Monthly Commodity Returns, Growth of $100: June 2003 – June 2015

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5-Year Average

Canada USD/CAD 1.2494 7.51% 1.0536 Eurozone USD/EUR 0.8979 8.63% 0.7660 Japan USD/JPY 122.5000 2.27% 93.2237 Switzerland USD/CHF 0.9355 -5.91% 0.9254 U.K. USD/GBP 0.6367 -0.81% 0.6287

Page 15

Investment Performance: Hedge Funds This section provides an overview of hedge fund results along with an analysis of strategy performance during Q2 2015.

Hedge Fund Industry Performance

HFRI Index Returns – Q2 2015 (%)

Hedge Fund Overview The Hedge Fund Research, Inc. (HFRI) Fund Weighted Composite Index gained 0.3 percent in Q2. Hedge funds broadly produced gains in April and May, but losses in June detracted from performance. Four of the five major hedge fund strategies posted positive returns in Q2. The strongest performer was Emerging Markets (3.7 percent), followed by Equity Hedge (2.0 percent), Event Driven (0.8 percent) and Relative Value (0.7 percent). Meanwhile, Global Macro (-3.5 percent) was the worst performing major hedge fund strategy. Longer-term results were also positive. Hedge funds recorded a gain of 6.4 percent over the three-year period ending June 30, 2015, as measured by the HFRI Fund Weighted Composite Index. Hedge funds of funds were mostly flat in Q2, as represented by the HFRI Fund of Funds (FOF) Composite Index’s 0.1 percent return. The HFRI FOF: Conservative Index (0.2 percent) posted a slight gain and the HFRI FOF: Diversified Index (-0.2 percent) fell.

Strategy Analysis The HFRI Emerging Markets Index (3.7 percent) gained in Q2. Strong performance in April offset mostly flat performance in May and losses during June. China managers led gains followed by Asia ex-Japan, Russia, MENA, Global and Latin American managers. Meanwhile, India managers detracted from returns. The HFRI Equity Hedge Index (2.0 percent) was positive in Q2, as gains in April and May offset losses during June. Technology/Healthcare managers posted the strongest returns of the group, followed by Fundamental Growth, Fundamental Value, Energy/Basic Materials, Multi-Strategy, Market Neutral and Quantitative Directional managers. Meanwhile, Short-Biased managers (-0.8 percent) detracted from the return. The HFRI Event-Driven Index (0.8 percent) gained in Q2. Activist managers contributed the most to performance, followed by Special Situations, Credit Arbitrage, and Merger Arbitrage managers. Meanwhile, Multi-Strategy and Distressed/Restructuring managers weakened Q2 performance. The HFRI Relative Value Index (0.7 percent) posted a positive return in Q2. Volatility managers were the strongest performers, followed by Fixed-Income Asset Backed, Fixed Income Convertible Arbitrage, Fixed-Income Sovereign, Fixed Income Multi-Strategy, and Fixed-Income Corporate managers. Meanwhile, Yield Alternatives managers detracted from Q2 gains. The HFRI Global Macro Index (-3.5 percent) fell in Q2 and was the only major hedge fund strategy to post a loss. Discretionary Thematic was the only underlying strategy that reported positive Q2 results. Meanwhile, Systematic Diversified managers detracted the most from performance, followed by Active Trading, Multi-Strategy, Currency, and Commodity strategies.

* Distressed funds focus on companies that are close to or in bankruptcy. **Relative-value funds focus on arbitrage opportunities between equity and fixed income securities. Source: Hedge Fund Research, Inc.

Source: Hedge Fund Research, Inc.


-8%-6%-4%-2%0%2%4%6%8%

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Fund of Funds Composite 0.3 1.0 -1.2 0.1 2.6

FOF: Conservative 0.2 0.7 -0.7 0.2 2.1

FOF: Diversified 0.0 0.9 -1.1 -0.2 2.4

Fund Weighted Composite 0.9 0.6 -1.2 0.3 2.5

Equity Hedge (Total) 1.8 1.0 -0.7 2.0 4.1

Equity Market Neutral 0.1 0.5 0.2 0.8 2.4

Short Bias -0.3 -0.8 0.3 -0.8 -2.9

Event-Driven (Total) 1.3 0.7 -1.2 0.8 2.6

Distressed/Restructuring 0.9 0.3 -1.4 -0.2 0.6

Merger Arbitrage 0.6 1.0 -0.6 0.9 3.1

Relative Value (Total) 1.1 0.4 -0.7 0.7 2.6

FI-Convertible Arbitrage 1.4 0.8 -0.8 1.3 3.4

Global Macro (Total) -1.2 0.0 -2.3 -3.5 -0.3

Emerging Markets (Total) 5.5 0.1 -1.8 3.7 4.7

Page 16

0

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Other (Includes fund of funds, mezzanine, and secondaries)VentureBuyout/Corporate Finance

Investment Performance: Private Equity This section provides data on private equity industry performance, fundraising, buyout funds, initial public offering (IPO) activity and venture capital. The information in this section reflects the most recent private equity data available.

Private Equity Performance by Vintage Year and Investment Horizon: All Regions

Private Equity Commitments: United States

Private Equity Industry Performance

The adjacent graph shows private equity fund performance for Q4 2014, calculated as pooled internal rates of return (IRRs) of funds reporting to Thomson One. Performance for 2008 through 2012 vintage-year* funds, as well as one-, five-, 10- and 20-year returns is calculated for funds in the following categories: all private equity, venture capital and buyouts. Private equity funds for all regions returned approximately 3.4 percent in Q4 2014 and 11.8 percent over the one-year per iod. This includes performance across all private equity strategies. Over a 20-year period, all private equity, venture capital and buyout funds generated double-digit returns of 14.6 percent, 28.0 percent and 13.2 percent, respectively.

*“Vintage year” refers to the first year capital was committed in a particular fund. Vintage-year performance is calculated as the median percentile returns of all funds reporting as pooled IRRs.

Private Equity Overview

According to Private Equity Analyst, private equity funds raised $66.1 billion in Q1 2015, the strongest first quarter result since Q1 2008. The potent exit environment over the past several years, especially in 2014, supplied institutional investors with capital to reinvest in new funds. Additionally, copious cheap debt and a fairly stable U.S. economy led to increased buyout activity, although there are pricing concerns and some limits on leveraged lending. Corporate finance funds, particularly industry-focused and energy-related vehicles, along with secondary funds, saw the greatest gains over Q1 2014. Energy-related funds raised approximately $20.1 billion, which is triple the capital those funds garnered one year prior. Secondaries, which had a record year in 2014 in terms of deal volume, raised $4.2 billion in Q1, more than double the funding of Q1 2014. Venture capital, mezzanine and fund of funds raised less capital than they did one year ago. After a record-high year for exits in 2014, Q1 2015 experienced the slowest exit activity in two years. Seventeen venture-backed IPOs raised $1.4 billion, which was 54 percent less in number of offerings and 58 percent less in dollars versus Q1 2014. Although Q1 results were weak, activity is expected to increase throughout 2015, as 54 venture-backed companies have filed publicly for IPOs with the SEC, and more registrations have likely been filed confidentially under the JOBS Act*. Venture-backed M&A activity decelerated to its lowest levels since Q1 2013 with 86 deals, 16 of which are disclosed and total $2.1 billion. Buyout exit activity also slowed from Q4 and one year ago, but disclosed deal volume remained strong at $33.3 billion versus $35.2 billion in Q4, which was one of the best quarterly exit deal volume totals of the decade. Source: The Private Equity Analyst


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Investment Horizon

Source: Thomson Reuters

Venture capital deal activity reached $13.4 billion, which was less than Q4 by 10 percent, but was the highest Q1 total since 2000 and 26 percent greater than the amount invested in Q1 2014. Buyout deals totaled $34.9 billion, an increase of approximately 13 percent over Q1 2014. *The JOBS Act was signed into U.S. law in 2012 to encourage small business/startup growth by easing regulatory requirements on emerging growth companies and allowing crowdfunding, with limitations, from private individuals. Under the JOBS Act, if an emerging growth company decides to go public, it submits an initial, confidential registration to the SEC for feedback before its privately held information becomes public. Page 17

Investment Performance: Real Estate This page presents data and Segal Rogerscasey’s commentary on private and public real estate. The information below reflects the most recent data available.

National Property Index Sector and Region Performance

Regional Real Estate Securities Performance

Private Real Estate

Public Real Estate The FTSE EPRA/NAREIT Global Developed Real Estate Index total market capitalization declined to $1.2 trillion in Q2, broken down as follows: North America $683 billion, Europe $209 billion, and Asia $351 billion. Despite strong property valuations and transaction activity in the U.S., rising interest rates led to a 6.7 percent loss on a global basis in Q2. Asia (-1.8 percent) lost less than Europe (-3.3 percent) and the U.S. (-10.0 percent) as measured by the FTSE EPRA/NAREIT indices. Sector performance in the U.S. was negative across the board: Specialty Office (-0.5 percent), Manufactured Home Communities (-4.7 percent), Self Storage (-5.0 percent), Apartments (-6.1 percent), and Lodging (-6.2 percent) fell substantially, but outperformed the broader index, while Healthcare (-14.3 percent), Primary CBD Office (-13.1 percent), Shopping Centers (-12.6 percent), Net Lease (-12.5 percent), Industrial (-12.4 percent) and Student Apartments (-11.8 percent) declined more sharply than the index. Property stocks in Europe were negatively affected by concern over Greece and higher bond yields. The U.K. (3.9 percent), Greece (0.5 percent) and Spain (-1.0 percent) outperformed Europe (-3.3 percent), while Finland (-14.9 percent), Sweden (-9.9 percent), France (-9.5 percent), Germany (-8.2 percent) and Ireland (-7.0 percent) fell more than the region as a whole. Asia fell, primarily due to lower economic and earnings growth expectations in Japan. Hong Kong (4.0 percent) gained while New Zealand (-7.7 percent), Japan (-5.1 percent) and Singapore (-2.0 percent) declined.

Source: National Association of Real Estate Investment Trusts


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U.S. Europe Asia

The National Council of Real Estate Investment Fiduciaries (NCREIF) Property Index (NPI), which tracks private real estate in the U.S., gained 3.1 percent during Q2. The total return is composed of 1.3 percent income and 1.9 percent property-level appreciation. Over the trailing one-year period, the Index gained 13.0 percent, composed of 7.5 percent property-level appreciation and 5.2 percent income. In the regions of the U.S., the West performed the best during Q2 and over the last 12 months, as shown in the adjacent table. Property valuations continue to strengthen due to solid operating fundamentals and demand from investors for high-quality assets. The increase in interest rates during Q2 did not reduce investor demand and private core real estate values remain, on average, 15 percent above the peak levels reached in 2007. Supply is building in markets with strong tenant demand and rent growth albeit more slowly than previous cycles with the exception of the apartment sector where construction starts have risen to historical norms. There is also increasing supply in the office and industrial sectors, but most consists of build-to-suit/pre-leased buildings. Source: National Council of Real Estate Investment Fiduciaries

Returns as of Q2 2015

Ending

Weight (%) QTD (%) 1 Year (%)

NCREIF NPI Total Return 100.0 3.1 13.0 Sector Apartment 24.1 3.0 11.6 Hotel 1.3 3.5 14.0 Industrial 13.2 3.8 14.8 Office 38.1 3.1 12.9 Retail 23.3 3.0 13.6 NCREIF Region East 34.2 2.9 11.0 Midwest 9.4 3.0 12.5 South 20.4 3.1 13.9 West 36.0 3.4 14.5

Page 18

Investment Performance: Real Estate This page presents data and Segal Rogerscasey’s commentary on value-added and opportunistic real estate. The information in this section reflects the most recent data available.

Closed-End Private Real Estate Funds Median Net IRRs and Quartile Boundaries by Vintage Year

Closed-End Private Real Estate Index Performance

Value-Added and Opportunistic Real Estate

Value-added and opportunistic private real estate strategies have attracted investor interest over the last few years due, in part, to the economic recovery, the strong overall performance of these strategies, and high core real estate valuations. According to Preqin, during Q2, 23 value-added and 7 opportunistic funds closed raising $9.6 billion and $7.2 billion, respectively, while 6 debt funds closed raising $6.0 billion. As shown in the graph below at left, the returns earned by investors in their closed-end, private, value-added, opportunistic, and real estate debt portfolios have steadily recovered from the lows set in late 2009 and early 2010; however, real estate debt funds have outperformed. Furthermore, as illustrated in the graph below at right, closed-end private real estate dry powder has risen with increased investor interest in these strategies. Lastly, as shown in the graph at right, closed-end private real estate funds of vintage years 2005 (0.1 percent) and 2006 (0.0 percent) have the lowest median net IRRs in recent history, while the last two years for which data is available show continued improvement with the median net IRRs of 2011 and 2012 funds rising to 15.0 percent and 12.8 percent, respectively.

Source (this page): Preqin Real Estate Online


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Page 19

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$123 $82

$51

$3.8 $4.0 $4.3 $4.5 $4.6 $4.8 $5.3 $5.4

$5.9 $6.5 $6.6

$7.0 $7.5

$7.8

$0

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$2,000

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$- $50,000 $100,000 $150,000 $200,000 $250,000 $300,000 $350,000 $400,000 $450,000 $500,000

201

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1

Investment Grade & High Yield Corporate Dealer Inventory (Billions)Investment Grade & High Yield Corporate Bonds Outstanding (Trillions)

Noteworthy Developments Segal Rogerscasey finds the developments discussed in this section to be noteworthy for investors.

Investment Grade and High Yield Corporate Bonds Outstanding vs. Dealer Inventory

A Liquidity Challenged Bond Market The adjacent graph highlights the declining role of traditional broker-dealers in fixed income markets, which is widely believed to have a negative impact on liquidity and volatility. While there is evidence of higher bid/ask spreads and increased price sensitivity to asset flows from mutual funds and ETFs, there are a number of other considerations worth noting. For example, demand has been exceptionally strong, with new issuance often significantly oversubscribed; long term-oriented and patient institutional investors, both in the U.S. and abroad, have also increasingly stepped in as opportunistic buyers; and institutions continue to build out and improve electronic trading platforms and other related activities. Finally, while probably far from perfect, it is important to remember that one of the primary objectives of financial reform was to remove systemic risks in the banking system in an effort to avert or mitigate the next financial crisis.


Sources: FINRA, SIFMA, Federal Reserve

Sources: Bloomberg and The U.S. Census Bureau

The Strong U.S. Dollar’s Effect on Exports and The Economy

The adjacent graph compares the USD to exports. As a result of a strong USD’s effect on exports, foreign companies and consumers of U.S. goods and services could experience higher prices, which might create a headwind for GDP growth and the earnings of U.S. companies selling abroad. In addition, U.S. companies with large foreign operations could see a decline in earnings when converted back to USD. However, a stronger USD would also lower the price of imports, including commodities such as oil prices, which benefits U.S. consumers. It is uncertain whether this would spur them to import more or simply benefit from an increase in disposable income. In the case of both exports and imports, the potential impact could be a modest headwind to U.S. GDP growth and inflation, both of which could impact the timing and magnitude of any Fed interest rate increases. In May, the trade deficit increased by 2.9 percent to $41.9 billion as imports declined by 0.8 percent and exports fell by 0.8 percent. Ultimately, the impact of a stronger USD creates some uncertainty and is difficult to forecast given all the moving pieces of the global economy.

U.S. Exports vs. The U.S. Dollar Index

Page 20

Noteworthy Developments Segal Rogerscasey finds the developments discussed in this section to be noteworthy for investors.


* U.S. median does not include Puerto Rico Source: Moody’s Investors Service

Puerto Rico’s Debt Crisis Debt Per Capita

A combination of factors from U.S. tax law to economic misfortune and mismanagement has turned the Puerto Rican debt burden into a crisis of Greek-like proportions. The island’s own governor, Alejandro García Padilla, announced in June that Puerto Rico’s debts are “not payable.” The outstanding debt at $72 billion is more than any state’s except for California and New York, but the territory of Puerto Rico has the population of San Diego county and shrinking. Puerto Rico’s debt per capita is about 15 times the U.S. median, and three times as much as Connecticut, the state with the highest debt per capita. With no provision for bankruptcy process and no ability to print money, options are few and solutions are likely to result in years of court battles.

Job Separations: Voluntary Quits vs. Layoffs/Discharges


Another Way to Measure Labor Market Improvement According to the Job Openings and Labor Turnover Survey conducted by the Bureau of Labor Statistics, total job separations, which comprise quits and layoffs and discharges, grew 7.2 percent during 2014, but voluntary quits contributed significantly more to that increase (10.4 percent vs. 2.7 percent). As shown in the adjacent graph, layoffs and discharges outnumbered voluntary quits during the financial crisis and shortly thereafter, but the gap between voluntary quits and involuntary separations has widened over the past several years, especially from 2012 onward, when involuntary job departures stabilized while voluntary separations climbed. An increase in voluntary quits is a good indicator of labor market improvement because it suggests that workers feel comfortable enough in future prospects to leave their current positions. Decreased layoffs and discharges are indicative of employer confidence, but they are also a result of an increased number of quits. The expanding spread between the two types of departures paints a positive picture of the job market and is good news for the U.S. economy as a whole.

0

500

1,000

1,500

2,000

2,500

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4,000

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01

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Quits Layoffs & Discharges

$15,637

$1,012

$5,491

$0 $5,000 $10,000 $15,000 $20,000

Puerto Rico

U.S. Median*

Highest State

Page 21

Total Plan

Page 22

Beginning Market Value $298,913 ReturnSept Qtr. -3.0%

Net External Growth* 6,985 Dec Qtr. -0.6%

Return on Investment Mar Qtr. 1.7%Return on Investment -4,189

Jun Qtr. 0.7%

Ending Market Value $301,710 Fiscal Year-to-Date -1.3%

*Contributions and transfers less distributions

7/1/2014 - 6/30/2015

ASSET GROWTH($000's)

7/1/2014 - 6/30/2015

Fiscal Year to Date as of June 30, 2015City of Springfield Police & Firefighter Retirement System

INVESTMENTPERFORMANCE

Page 23

Large Cap Small Cap InternationalEquities Equities Equities Bonds Real Estate Alternatives Total %

Large Cap Equity

SSgA-S&P $48,346 $48,346 16.0% -Passive

Small Cap Equity

SSgA-Russell 2000 $21,291 $21,291 7.1% -Passive

International Equity

Pictet $51,468 $51,468 17.1%

Wells Fargo $23,506 $23,506 7.8% -Emerging Markets

Fixed Income

Galliard $42,399 $42,399 14.1% -Intermediate Duration

SSgA- US TIPS $16,494 $16,494 5.5% -Passive

Brandywine $28,590 $28,590 9.5% -International

Pyramis $13,784 $13,784 4.6% -Emerging MarketsReal Estate

PRISA $12,508 $12,508 4.1%

Alternatives

SSgA-Bloomberg Commodity $13,043 $13,043 4.3%

Blackstone $15,312 $15,312 5.1% -Fund of Funds

Entrust $14,967 $14,967 5.0% -Fund of Funds

Total Assets $48,346 $21,291 $74,974 $101,268 $12,508 $43,322 $301,710 100.0%

Actual Allocation 16.0% 7.1% 24.8% 33.6% 4.1% 14.4% 100.0%Target Allocation (Long-Term) 12.0% 4.0% 25.0% 39.0% 5.0% 15.0% 100.0%

Custom Index S&P 500 Russell 2000 MSCI EAFE Net/ MSCI EM

BarCap Int. Agg/BarCap US

Treasury/ Citi WGBIxUS

NCREIFDJ UBS

Commodity/ HFRI FOF

Composite

Springfield Police & Firefighters Retirement PlanAsset / Manager Allocation Summary (000's)

June 30, 2015

Page 24

Asset Allocation by Segment

SegmentsMarket Value

($)Allocation

(%)

Domestic Equity 69,636,755 23.08

Domestic Fixed Income 58,325,959 19.33

International Equity 48,767,608 16.16

Alternative Investment 43,322,455 14.36

International Fixed Income 42,374,600 14.04

Emerging Equity 23,506,296 7.79

Real Estate 12,508,292 4.15

Cash Equivalent 3,267,656 1.08

Performance Bar Chart

Total Plan Policy Index

0.00

8.00

16.00

24.00

-8.00

Re

turn

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 2014 2013 2012

0.291.67

-1.53

7.918.98

1.81

14.58

10.72

0.70

2.42

-1.27

8.229.43

1.07

14.7913.65

Gain / Loss

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs

Total Plan

Beginning Market Value 299,766,871 288,556,786 298,913,251 205,943,723 132,774,713

Net Cash Flows -168,258 5,753,383 6,448,608 37,251,029 72,984,292

Income - 348,728 992,190 4,234,298 7,863,432

Gain/Loss 2,111,008 7,050,724 -4,644,429 54,280,571 88,087,184

Ending Market Value 301,709,621 301,709,621 301,709,621 301,709,621 301,709,621

City of Springfield Police & Fire Retirement System Total Plan

As of June 30, 2015

Page 25

Target Allocation Actual Allocation Allocation Differences

0.0% 10.0% 20.0% 30.0% 40.0%-10.0 %-20.0 %

Total Alternatives

$43,322,455

Total Real Estate

$12,508,292

Total International Fixed Income

$42,374,603

Total Domestic Fixed Income

$58,893,610

Total International Equity$74,973,904

Total Domestic Equity

$69,636,757

15.0%

5.0%

14.0%

25.0%

25.0%

16.0%

14.4%

4.1%

14.0%

19.5%

24.8%

23.1%

-0.6 %

-0.9 %

0.0%

-5.5 %

-0.2 %

7.1%

AssetAllocation

($)

AssetAllocation

(%)

TargetAllocation

(%)Differences

(%)

MinimumAllocation

(%)

MaximumAllocation

(%)

Total Plan 301,709,621 100.00 100.00 0.00 N/A N/A

Total Domestic Equity 69,636,757 23.08 16.00 7.08 11.00 21.00

Total International Equity 74,973,904 24.85 25.00 -0.15 19.00 31.00

Total Domestic Fixed Income 58,893,610 19.52 25.00 -5.48 10.00 33.00

Total International Fixed Income 42,374,603 14.04 14.00 0.04 9.00 19.00

Total Real Estate 12,508,292 4.15 5.00 -0.85 3.00 7.00

Total Alternatives 43,322,455 14.36 15.00 -0.64 10.00 20.00

City of Springfield Police & Fire Retirement System Total Plan

As of June 30, 2015

Page 26

Total Fund

($) %

Total Plan 301,709,621 100.00

Total Domestic Equity 69,636,757 23.08

SSgA S&P 500 Flagship Fund 48,346,058 16.02

SSgA Russell 2000 Index Fund 21,290,699 7.06

Total Non-U.S./International Equity 74,973,904 24.85

Pictet International Equity 51,467,608 17.06

Wells Emerging Market Equity 23,506,296 7.79

Total Domestic Fixed Income 58,893,610 19.52

Galliard Intermediate Fixed Income 42,399,362 14.05

SSgA TIPS Index Fund 16,494,248 5.47

Total Non-U.S./International Fixed Income 42,374,603 14.04

Brandywine International Fixed Income 28,590,156 9.48

Pyramis Emerging Market Debt 13,784,447 4.57

Total Real Estate 12,508,292 4.15

PRISA 12,508,292 4.15

Total Alternatives 43,322,455 14.36

SSgA Bloomberg Commodity Fund 13,043,480 4.32

EnTrust Diversified Fund 14,966,989 4.96

Blackstone Partners NT 15,311,987 5.08

City of Springfield Police & Fire Retirement System Asset Allocation

As of June 30, 2015

Page 27

Allocation

Market Value($000) %

Performance (%)

1Quarter

Year ToDate

1Year

3Years

5Years

7Years

10Years

SinceInception

InceptionDate

Total Plan 301,710 100.00 0.70 2.42 -1.27 8.22 9.43 4.92 4.73 4.91 04/01/2005

Policy Index 0.29 1.67 -1.53 7.91 8.98 4.87 5.57 5.56

Total Domestic Equity 69,637 23.08 0.29 2.24 6.98 17.34 17.27 9.57 8.02 8.33 04/01/2005

Domestic Equity Index 0.34 2.31 6.75 17.29 17.39 9.76 8.33 8.38

SSgA S&P 500 Flagship Fund 48,346 16.02 0.26 1.19 7.39 17.30 17.34 N/A N/A 17.34 07/01/2010

S&P 500 0.28 1.23 7.42 17.31 17.34 9.42 7.89 17.34

SSgA Russell 2000 Index Fund 21,291 7.06 0.36 4.70 6.48 17.85 17.14 N/A N/A 17.14 07/01/2010

Russell 2000 Index 0.42 4.75 6.49 17.81 17.08 10.44 8.40 17.08

Total International Equity 74,974 24.85 2.82 7.62 -4.81 9.93 8.88 1.03 N/A 0.31 05/01/2007

International Equity Index 0.67 4.70 -4.44 10.54 8.69 1.41 4.71 0.06

Pictet 51,468 17.06 3.32 10.21 -4.09 11.53 9.83 1.65 N/A 1.27 04/01/2008

MSCI EAFE (Net) 0.62 5.52 -4.22 11.97 9.54 1.97 5.12 1.59

Wells 23,506 7.79 1.74 2.34 -6.22 N/A N/A N/A N/A -0.79 01/01/2013

MSCI EM (net) 0.69 2.95 -5.12 3.71 3.69 0.86 8.11 -0.77

Total Domestic Fixed Income 58,894 19.52 -0.68 0.75 1.15 2.02 3.60 5.14 4.08 4.20 04/01/2005

Domestic Fixed Income Index -0.78 0.56 1.01 1.20 2.52 3.72 3.88 4.03

Galliard 42,399 14.05 -0.52 0.99 2.24 2.76 4.06 5.51 N/A 5.51 07/01/2008

Barclays Intermediate Aggregate -0.67 0.64 1.89 1.74 2.89 4.16 4.22 4.16

SSgA TIPS Index Fund 16,494 5.47 -1.10 0.33 -1.77 -0.77 N/A N/A N/A -0.93 06/01/2012

Barclays U.S. Treasury: U.S. TIPS -1.06 0.34 -1.73 -0.76 3.29 3.51 4.14 -0.92

Total International Fixed Income 42,375 14.04 -1.39 -1.70 -6.39 2.25 5.14 4.81 N/A 5.43 05/01/2007

International Fixed Income Index -1.15 -3.87 -9.97 -2.32 1.30 1.64 3.12 3.17

Brandywine 28,590 9.48 -2.58 -4.29 -8.47 1.40 4.61 4.44 N/A 5.11 05/01/2007

Citigroup Non-U.S. World Government Bond -1.54 -5.83 -13.49 -3.88 0.32 0.94 2.63 2.56

Pyramis Emerging Market Debt 13,784 4.57 1.18 4.06 -2.10 N/A N/A N/A N/A 5.74 09/01/2013

JPM EMBI Global Diversified -0.34 1.67 0.51 4.30 6.76 7.67 7.45 7.29

Total Real Estate 12,508 4.15 3.25 5.36 12.86 12.41 14.49 2.59 N/A 2.77 10/01/2007

NCREIF Fund Index-Open End Diversified Core (EW) 3.92 7.45 14.52 12.88 14.27 3.18 6.57 3.43

PRISA 12,508 4.15 3.25 5.36 12.86 12.41 14.49 2.59 N/A 2.77 10/01/2007


City of Springfield Police & Fire Retirement System Comparative Performance

As of June 30, 2015

Page 28


As of June 30, 2015Allocation


Performance (%)

1Quarter

Year ToDate

1Year

3Years

5Years

7Years

10Years

SinceInception

InceptionDate

Total Alternatives 43,322 14.36 1.06 0.64 -7.79 -1.46 N/A N/A N/A -4.88 07/01/2011

Alternatives Index 1.61 1.08 -7.29 -2.10 0.25 -8.18 -0.54 -5.31

SSgA Bloomberg Commodity Fund 13,043 4.32 4.60 -1.71 -23.89 -8.89 N/A N/A N/A -11.87 05/01/2011

Bloomberg Commodity Index Total Return 4.66 -1.56 -23.71 -8.76 -3.91 -10.91 -2.62 -12.02

EnTrust 14,967 4.96 -1.39 0.56 -1.50 N/A N/A N/A N/A 4.64 02/01/2013

HFRI FOF: Conservative Index 0.32 2.24 2.76 5.53 3.67 0.93 2.62 4.70

Blackstone Partners NT 15,312 5.08 0.59 2.80 4.94 N/A N/A N/A N/A 6.46 08/01/2013


Page 29

Performance (%)

2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Total Plan 1.07 14.79 13.65 -0.33 13.48 17.92 -27.05 6.97 7.43 N/A

Policy Index 1.81 14.58 10.72 0.36 12.27 15.92 -23.21 7.83 14.65 5.38

Total Domestic Equity 10.85 34.54 15.74 0.16 18.53 28.76 -37.41 2.54 15.01 N/A

Domestic Equity Index 10.55 34.24 16.04 0.07 19.54 29.42 -37.34 5.73 15.88 6.32

SSgA S&P 500 Flagship Fund 13.64 32.46 16.05 2.09 N/A N/A N/A N/A N/A N/A

S&P 500 13.69 32.39 16.00 2.11 15.06 26.46 -37.00 5.49 15.79 4.91

SSgA Russell 2000 Index Fund 5.00 38.87 16.36 -4.10 N/A N/A N/A N/A N/A N/A

Russell 2000 Index 4.89 38.82 16.35 -4.18 26.85 27.17 -33.79 -1.57 18.37 4.55

Total International Equity -8.97 18.52 23.07 -14.69 10.75 41.21 -50.31 N/A N/A N/A

International Equity Index -4.00 17.93 17.32 -12.14 7.75 31.78 -43.38 11.17 26.34 13.54

Pictet -11.25 23.98 23.07 -14.69 10.75 41.21 N/A N/A N/A N/A

MSCI EAFE (Net) -4.90 22.78 17.32 -12.14 7.75 31.78 -43.38 11.17 26.34 13.54

Wells -3.84 -0.39 N/A N/A N/A N/A N/A N/A N/A N/A

MSCI EM (net) -2.19 -2.60 18.23 -18.42 18.88 78.51 -53.33 39.38 32.18 34.00

Total Domestic Fixed Income 4.54 -2.04 6.30 6.73 8.00 14.54 -3.01 4.58 1.29 N/A

Domestic Fixed Income Index 3.89 -2.41 3.68 5.80 5.89 5.24 5.08 7.39 4.07 1.57

Galliard 4.98 -0.55 6.36 6.73 8.00 14.54 N/A N/A N/A N/A

Barclays Intermediate Aggregate 4.12 -1.02 3.56 5.97 6.15 6.46 4.86 7.02 4.57 2.01

SSgA TIPS Index Fund 3.63 -8.62 N/A N/A N/A N/A N/A N/A N/A N/A

Barclays U.S. Treasury: U.S. TIPS 3.64 -8.61 6.98 13.56 6.31 11.41 -2.35 11.63 0.49 2.84

Total International Fixed Income 2.69 -1.83 13.91 5.11 7.43 10.27 2.41 N/A N/A N/A

International Fixed Income Index -0.06 -4.45 1.50 5.17 5.21 4.36 10.10 11.47 6.97 -9.21

Brandywine 2.63 -1.63 13.91 5.11 7.43 10.27 2.41 N/A N/A N/A

Citigroup Non-U.S. World Government Bond -2.68 -4.56 1.50 5.17 5.21 4.36 10.10 11.47 6.97 -9.21

Pyramis Emerging Market Debt 2.69 N/A N/A N/A N/A N/A N/A N/A N/A N/A

JPM EMBI Global Diversified 7.43 -5.25 17.44 7.34 12.24 29.83 -12.01 6.15 9.87 10.25


As of June 30, 2015

Page 30


As of June 30, 2015

Performance (%)

2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Total Real Estate 13.34 14.69 9.67 19.08 18.43 -34.25 -12.96 N/A N/A N/A

NCREIF Fund Index-Open End Diversified Core (EW) 12.28 13.34 11.03 15.96 16.14 -30.65 -10.37 16.08 16.15 20.18

PRISA 13.34 14.69 9.67 19.08 18.43 -34.25 -12.96 N/A N/A N/A


Total Alternatives -4.11 -3.37 -1.23 N/A N/A N/A N/A N/A N/A N/A

Alternatives Index -4.40 -5.48 -1.06 -13.32 16.83 18.91 -35.65 16.23 2.07 21.36

SSgA Bloomberg Commodity Fund -17.15 -9.57 0.15 N/A N/A N/A N/A N/A N/A N/A

Bloomberg Commodity Index Total Return -17.01 -9.52 -1.06 -13.32 16.83 18.91 -35.65 16.23 2.07 21.36

EnTrust 1.69 N/A N/A N/A N/A N/A N/A N/A N/A N/A

HFRI FOF: Conservative Index 3.14 7.70 4.22 -3.55 5.07 9.65 -19.86 7.68 9.21 5.13

Blackstone Partners NT 5.77 N/A N/A N/A N/A N/A N/A N/A N/A N/A

HFRI FOF: Conservative Index 3.14 7.70 4.22 -3.55 5.07 9.65 -19.86 7.68 9.21 5.13

Page 31

Performance (%)

Jul-2014To

Jun-2015

Jul-2013To

Jun-2014

Jul-2012To

Jun-2013

Jul-2011To

Jun-2012

Jul-2010To

Jun-2011

Jul-2009To

Jun-2010

Jul-2008To

Jun-2009

Jul-2007To

Jun-2008

Jul-2006To

Jun-2007

Jul-2005To

Jun-2006

Total Plan -1.27 15.14 11.50 0.75 22.86 11.12 -19.72 -4.49 11.89 6.12

Policy Index -1.53 15.78 10.23 0.13 22.16 9.54 -17.13 -3.78 15.81 10.59

Total Domestic Equity 6.98 24.53 21.27 3.12 33.12 16.41 -26.57 -12.73 13.65 15.01

S&P 500 7.42 24.61 20.60 5.45 30.69 14.43 -26.21 -13.12 20.59 8.63

SSgA S&P 500 Flagship Fund 7.39 24.57 20.64 5.43 30.71 N/A N/A N/A N/A N/A

S&P 500 7.42 24.61 20.60 5.45 30.69 14.43 -26.21 -13.12 20.59 8.63

SSgA Russell 2000 Index Fund 6.48 23.70 24.25 -2.08 37.63 N/A N/A N/A N/A N/A

Russell 2000 Index 6.49 23.64 24.21 -2.08 37.41 21.48 -25.01 -16.19 16.43 14.58

Total International Equity -4.81 17.92 18.35 -12.86 32.19 8.85 -35.52 -8.14 N/A N/A

International Equity Index -4.44 21.70 16.14 -13.83 30.36 5.92 -31.35 -10.61 27.00 26.56

Pictet -4.09 19.86 20.69 -12.86 32.19 8.85 -35.52 N/A N/A N/A

MSCI EAFE (Net) -4.22 23.57 18.62 -13.83 30.36 5.92 -31.35 -10.61 27.00 26.56

Wells -6.22 11.43 N/A N/A N/A N/A N/A N/A N/A N/A

MSCI EM (net) -5.12 14.31 2.87 -15.94 27.80 23.15 -28.07 4.63 44.99 35.47

Total Domestic Fixed Income 1.15 4.65 0.30 6.38 5.68 12.61 5.67 1.75 6.18 -2.78

Domestic Fixed Income Index 1.01 3.71 -1.05 5.28 3.80 8.29 5.27 7.37 5.76 -0.19

Galliard 2.24 4.66 1.42 6.40 5.68 12.61 5.90 N/A N/A N/A

Barclays Intermed. U.S. Government/Credit 1.68 2.86 0.28 5.42 3.77 8.29 5.27 7.37 5.76 -0.19

SSgA TIPS Index Fund -1.77 4.45 -4.78 N/A N/A N/A N/A N/A N/A N/A

Barclays U.S. Treasury: U.S. TIPS -1.73 4.44 -4.78 11.66 7.74 9.52 -1.11 15.09 4.07 -1.64

Total International Fixed Income -6.39 8.84 4.92 5.74 13.66 6.38 1.67 12.53 N/A N/A

International Fixed Income Index -9.97 9.79 -5.71 0.43 13.93 1.51 3.53 18.72 2.22 0.00

Brandywine -8.47 8.55 4.92 5.74 13.66 6.38 1.67 12.53 N/A N/A

Citigroup Non-U.S. World Government Bond -13.49 8.88 -5.71 0.43 13.93 1.51 3.53 18.72 2.22 0.00

Pyramis Emerging Market Debt -2.10 N/A N/A N/A N/A N/A N/A N/A N/A N/A

JPM EMBI Global Diversified 0.51 11.64 1.12 9.77 11.38 18.45 2.10 4.95 11.39 4.60


As of June 30, 2015


As of June 30, 2015

Performance (%)

Jul-2014To

Jun-2015

Jul-2013To

Jun-2014

Jul-2012To

Jun-2013

Jul-2011To

Jun-2012

Jul-2010To

Jun-2011

Jul-2009To

Jun-2010

Jul-2008To

Jun-2009

Jul-2007To

Jun-2008

Jul-2006To

Jun-2007

Jul-2005To

Jun-2006

Total Real Estate 12.86 13.68 10.72 13.70 21.80 -3.40 -37.06 N/A N/A N/A


PRISA 12.86 13.68 10.72 13.70 21.80 -3.40 -37.06 N/A N/A N/A


Total Alternatives -7.79 8.81 -4.61 -14.45 N/A N/A N/A N/A N/A N/A

Alternatives Index -7.29 7.15 -5.54 -14.32 25.91 2.75 -47.08 41.56 2.94 18.09

SSgA Bloomberg Commodity Fund -23.89 8.10 -8.06 -13.29 N/A N/A N/A N/A N/A N/A

Bloomberg Commodity Index Total Return -23.71 8.21 -8.01 -14.32 25.91 2.75 -47.08 41.56 2.94 18.09

EnTrust -1.50 11.02 N/A N/A N/A N/A N/A N/A N/A N/A

HFRI FOF: Conservative Index 2.76 6.68 7.22 -3.18 5.22 5.00 -15.13 -0.15 11.23 9.29

Blackstone Partners NT 4.94 N/A N/A N/A N/A N/A N/A N/A N/A N/A

HFRI FOF: Conservative Index 2.76 6.68 7.22 -3.18 5.22 5.00 -15.13 -0.15 11.23 9.29

Allocation


Performance (%)

1Quarter

Year ToDate

1Year

3Years

5Years

7Years

10Years

SinceInception

InceptionDate

Total Plan 301,710 100.00 0.70 2.38 -1.40 8.07 9.31 4.84 4.67 4.86 04/01/2005

Policy Index 0.29 1.67 -1.53 7.91 8.98 4.87 5.57 5.56

SSgA S&P 500 Flagship Fund 48,346 16.02 0.26 1.19 7.39 17.26 17.30 N/A N/A 17.30 07/01/2010

S&P 500 0.28 1.23 7.42 17.31 17.34 9.42 7.89 17.34

SSgA Russell 2000 Index Fund 21,291 7.06 0.36 4.70 6.48 17.78 17.08 N/A N/A 17.08 07/01/2010

Russell 2000 Index 0.42 4.75 6.49 17.81 17.08 10.44 8.40 17.08

Pictet 51,468 17.06 3.32 10.04 -4.24 11.47 9.80 1.63 N/A 1.25 04/01/2008

MSCI EAFE (Net) 0.62 5.52 -4.22 11.97 9.54 1.97 5.12 1.59

Wells 23,506 7.79 1.74 2.34 -6.22 N/A N/A N/A N/A -0.79 01/01/2013

MSCI EM (net) 0.69 2.95 -5.12 3.71 3.69 0.86 8.11 -0.77

Galliard 42,399 14.05 -0.52 0.99 2.24 2.76 4.06 5.51 N/A 5.51 07/01/2008

Barclays Intermediate Aggregate -0.67 0.64 1.89 1.74 2.89 4.16 4.22 4.16

SSgA TIPS Index Fund 16,494 5.47 -1.10 0.33 -1.77 -0.81 N/A N/A N/A -0.96 06/01/2012

Barclays U.S. Treasury: U.S. TIPS -1.06 0.34 -1.73 -0.76 3.29 3.51 4.14 -0.92

Brandywine 28,590 9.48 -2.58 -4.29 -8.47 1.10 4.33 4.24 N/A 4.93 05/01/2007

Citigroup Non-U.S. World Government Bond -1.54 -5.83 -13.49 -3.88 0.32 0.94 2.63 2.56

Pyramis Emerging Market Debt 13,784 4.57 1.18 4.06 -2.10 N/A N/A N/A N/A 5.74 09/01/2013

JPM EMBI Global Diversified -0.34 1.67 0.51 4.30 6.76 7.67 7.45 7.29

PRISA 12,508 4.15 3.03 5.13 12.12 11.65 13.79 2.14 N/A 2.36 10/01/2007


SSgA Bloomberg Commodity Fund 13,043 4.32 4.60 -1.71 -23.89 -9.00 N/A N/A N/A -11.98 05/01/2011

Bloomberg Commodity Index Total Return 4.66 -1.56 -23.71 -8.76 -3.91 -10.91 -2.62 -12.02

Blackstone Partners NT 15,312 5.08 0.59 2.80 4.94 N/A N/A N/A N/A 6.46 08/01/2013


EnTrust 14,967 4.96 -1.39 0.56 -1.50 N/A N/A N/A N/A 4.64 02/01/2013


City of Springfield Police & Fire Retirement System Net of Fees

As of June 30, 2015

Page 34

-7.0

-4.0

-1.0

2.0

5.0

8.0

11.0

14.0

17.0

20.0

Re

turn

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs

Total Plan 0.70 (4) 2.42 (39) -1.27 (100) 8.22 (97) 9.43 (90) 4.92 (99) 4.73 (100)¢£

Policy Index 0.29 (16) 1.67 (81) -1.53 (100) 7.91 (99) 8.98 (93) 4.87 (99) 5.57 (96)Å�

5th Percentile 0.54 3.46 6.08 12.80 12.32 8.20 7.59

1st Quartile 0.07 2.67 4.60 11.64 11.57 7.56 7.04

Median -0.28 2.21 3.81 10.91 10.95 7.02 6.63

3rd Quartile -0.57 1.77 2.69 10.07 10.05 6.54 6.20

95th Percentile -1.06 1.10 0.43 8.54 8.87 5.30 5.58

Population 203 203 203 192 182 167 83

City of Springfield Police & Fire Retirement System All Public Plans <$500MM & 40-70% Total Equity

As of June 30, 2015

Parentheses contain percentile rankings.Calculation based on quarterly periodicity.

Page 35

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0A

llo

ca

tio

n (%

)

US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash

Total Plan 23.08 (99) 24.85 (7) 19.52 (88) 18.37 (1) 10.04 (45) 4.15 (82) 0.00¢£

5th Percentile 58.23 24.99 40.01 11.19 28.67 11.86 3.12

1st Quartile 51.46 18.16 34.19 5.14 12.85 9.62 1.78

Median 46.73 14.39 29.53 4.75 9.72 6.01 1.01

3rd Quartile 41.36 12.15 23.27 4.42 4.21 4.56 0.55

95th Percentile 27.50 8.50 15.19 3.77 1.47 2.83 0.10

City of Springfield Police & Fire Retirement System Plan Sponsor TF Asset Allocation

As of June 30, 2015

All Public Plans <$500MM & 40-70% Total Equity

Parentheses contain percentile rankings.Calculation based on <Periodicity> periodicity.

-55.0

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Total Plan 1.07 (100) 14.79 (87) 13.65 (31) -0.33 (59) 13.48 (31) 17.92 (70) -27.05 (81)¢£

Policy Index 1.81 (100) 14.58 (88) 10.72 (92) 0.36 (42) 12.27 (67) 15.92 (89) -23.21 (47)Å�

5th Percentile 9.11 21.24 15.26 2.87 16.32 27.77 -19.20

1st Quartile 7.88 18.70 13.81 1.19 13.79 22.72 -21.53

Median 6.83 17.40 12.82 -0.06 12.70 20.00 -23.66

3rd Quartile 5.64 15.77 11.79 -1.09 11.83 17.21 -26.08

95th Percentile 3.49 12.57 9.95 -2.48 10.71 14.02 -29.26


As of June 30, 2015


Page 37

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

50.0R

etu

rn

Jul-2014To

Jun-2015

Jul-2013To

Jun-2014

Jul-2012To

Jun-2013

Jul-2011To

Jun-2012

Jul-2010To

Jun-2011

Jul-2009To

Jun-2010

Jul-2008To

Jun-2009

Jul-2007To

Jun-2008

Jul-2006To

Jun-2007

Jul-2005To

Jun-2006

Total Plan -1.27 (100) 15.14 (89) 11.50 (70) 0.75 (58) 22.86 (25) 11.12 (74) -19.72 (91) -4.49 (52) 11.89 (100) 6.12 (91)¢£

Policy Index -1.53 (100) 15.78 (77) 10.23 (88) 0.13 (73) 22.16 (34) 9.54 (94) -17.13 (73) -3.78 (38) 15.81 (27) 10.59 (23)Å�

5th Percentile 6.08 19.65 15.59 3.91 25.90 15.82 -11.28 -0.61 16.90 11.65

1st Quartile 4.60 17.95 13.73 2.26 22.82 14.03 -13.67 -2.72 15.98 10.06

Median 3.81 16.76 12.60 1.11 21.23 12.54 -15.30 -4.39 15.28 8.40

3rd Quartile 2.69 15.92 11.33 0.00 20.02 11.03 -17.31 -5.98 14.50 7.85

95th Percentile 0.43 14.47 9.25 -2.10 17.83 8.93 -20.12 -8.24 12.64 5.06

Population 203 263 263 264 252 228 183 114 34 16


As of June 30, 2015


Page 38

Risk & Return Plan Sponsor — 3 Years Risk & Return Plan Sponsor — 5 Years

Rolling Return and Tracking Error

3.0

6.0

9.0

12.0

15.0

18.0

Re

turn

(%)

2.1 2.8 3.5 4.2 4.9 5.6 6.3 7.0

Risk (Standard Deviation %)

ReturnStandardDeviation

Total Plan 8.22 5.08¢£

Policy Index 7.91 5.12Å�

Median 10.91 4.69¾

3.0

6.0

9.0

12.0

15.0

Re

turn

(%)

2.0 4.0 6.0 8.0 10.0 12.0



Total Plan 9.43 8.98¢£

Policy Index 8.98 8.25Å�

Median 10.95 8.63¾

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

0.0

2.0

4.0

6.0

-2.0

-4.0

-6.0

Ac

tive

Re

turn

(%)

6/05 12/05 6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15

City of Springfield Police & Fire Retirement System Total CompositeAs of June 30, 2015

Page 39

Policy Index Weight (%)

Jan-1979

S&P 500 30.00

Russell 2000 Index 10.00

MSCI EAFE (Net) 20.00

Barclays Intermed. U.S. Government/Credit 21.75

Citigroup Non-U.S. World Government Bond 10.75

NCREIF Fund Index-Open End Diversified Core (EW) 7.50

May-2011

S&P 500 25.00



Barclays Intermediate Aggregate 24.00



Bloomberg Commodity Index Total Return 5.00

Jul-2012

S&P 500 32.50




Barclays U.S. Treasury: U.S. TIPS 1.50





Oct-2012

S&P 500 30.48








Jan-2013

S&P 500 27.60



MSCI EM (net) 0.00






Apr-2013

S&P 500 23.46



MSCI EM (net) 3.94






HFRI FOF: Conservative Index 1.65

City of Springfield Police & Fire Retirement System Policy Index

As of June 30, 2015

Page 40


As of June 30, 2015


Jul-2013

S&P 500 23.55



MSCI EM (net) 4.69







Oct-2013

S&P 500 21.32



MSCI EM (net) 6.15




JPM EMBI Global Diversified 1.53





Jan-2014

S&P 500 21.74



MSCI EM (net) 6.39








Apr-2014

S&P 500 20.05



MSCI EM (net) 6.65








Page 41


As of June 30, 2015


Jul-2014

S&P 500 15.07



MSCI EM (net) 8.06








Oct-2014

S&P 500 15.66



MSCI EM (net) 8.34









Jan-2015

S&P 500 16.55



MSCI EM (net) 7.96








Apr-2015

S&P 500 16.10



MSCI EM (net) 7.71








Page 42

Periods Ending

BeginningMarket Value

($)

NetCash Flow

($)Gain/Loss

($)

EndingMarket Value

($) %Return

From 05/2005 117,150,890 338,568 11,601,373 129,090,831 9.83

2006 129,090,831 -3,993,870 9,319,186 134,416,147 7.43

2007 134,416,147 -5,281,974 8,447,581 137,581,754 6.97

2008 137,581,754 -2,100,144 -36,685,098 98,796,512 -27.05

2009 98,796,512 12,400,542 18,235,156 129,432,209 17.92

2010 129,432,209 16,068,071 18,682,698 164,182,977 13.48

2011 164,182,977 18,269,378 2,686,289 185,138,644 -0.33

2012 185,138,644 16,295,813 26,109,286 227,543,743 13.65

2013 227,543,743 19,961,190 34,481,323 281,986,256 14.79

2014 281,986,256 3,888,884 2,681,645 288,556,786 1.07

To 06/2015 288,556,786 5,753,383 7,399,452 301,709,621 2.42

117,150,890 81,599,841 102,958,890 301,709,621 65.84

City of Springfield Police & Fire Retirement System Schedule of Investable Assets

Since Inception Ending June 30, 2015

Gain/Loss includes income received and change in accrued income for the period.

Page 43

Investment Manager Performance

Page 44

Total Equity

Page 45


Performance

Gain / Loss


Total Domestic Equity


Net Cash Flows - - -4,000,000 -55,596,727 -40,513,019

Income - - - - -

Gain/Loss 202,769 1,524,543 4,462,737 38,508,485 59,695,887



0.0

3.0

6.0

-3.0

-6.0

Ac

tive

Re

turn

(%)

6/05 12/05 6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15


Total Domestic Equity 0.29 2.24 6.98 17.34 17.27 9.57 8.02

Domestic Equity Index 0.34 2.31 6.75 17.29 17.39 9.76 8.33

Difference -0.05 -0.07 0.23 0.05 -0.12 -0.19 -0.31

City of Springfield Police & Fire Retirement System Total Domestic EquityAs of June 30, 2015

Page 46

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

Re

turn


Total Domestic Equity 0.29 (38) 2.24 (56) 6.98 (55) 17.34 (72) 17.27 (67) 9.57 (74) 8.02 (88)¢£

Domestic Equity Index 0.34 (35) 2.31 (56) 6.75 (56) 17.29 (72) 17.39 (63) 9.76 (66) 8.33 (62)Å�

5th Percentile 2.20 7.81 12.57 22.32 20.72 12.37 11.41

1st Quartile 0.85 3.98 8.24 19.63 18.94 10.73 8.85

Median 0.14 2.54 7.26 18.09 17.79 9.96 8.43

3rd Quartile -0.80 1.87 4.50 16.89 16.82 9.47 8.21

95th Percentile -1.71 -0.65 -3.61 13.63 14.42 6.15 6.74

City of Springfield Police & Fire Retirement System IM U.S. All Cap Core Equity (SA+CF)

As of June 30, 2015


Page 47

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Total Domestic Equity 10.85 (53) 34.54 (47) 15.74 (58) 0.16 (51) 18.53 (31) 28.76 (44) -37.41 (67)¢£

Domestic Equity Index 10.55 (55) 34.24 (53) 16.04 (55) 0.07 (51) 19.54 (26) 29.42 (40) -37.34 (66)Å�

5th Percentile 14.58 46.54 23.67 4.80 24.57 47.87 -26.23

1st Quartile 12.64 37.49 18.82 1.75 19.55 32.45 -34.03

Median 11.16 34.46 16.27 0.29 16.98 28.01 -36.41

3rd Quartile 7.26 31.88 13.26 -2.23 14.78 23.94 -38.89

95th Percentile 3.70 27.33 9.97 -7.11 10.64 18.87 -43.33

City of Springfield Police & Fire Retirement System IM U.S. All Cap Core Equity (SA+CF)

As of June 30, 2015


Page 48


Mar-1971

Wilshire 5000 Total Market Index (full-cap) 100.00

Sep-2010

S&P 500 67.00


Jul-2012

S&P 500 76.30


Oct-2012

S&P 500 75.70


Jan-2013

S&P 500 74.00


Apr-2013

S&P 500 69.90


Jul-2013

S&P 500 69.90


Oct-2013

S&P 500 69.60


Jan-2014

S&P 500 69.90



Apr-2014

S&P 500 69.09


Jul-2014

S&P 500 65.08


Oct-2014

S&P 500 71.08


Jan-2015

S&P 500 70.17


Apr-2015

S&P 500 69.46


City of Springfield Police & Fire Retirement System Domestic Equity Index

As of June 30, 2015

Page 49


Performance

Gain / Loss


SSgA S&P 500 Flagship Fund


Net Cash Flows - - - -44,808,615 -6,359,709

Income - - - - -

Gain/Loss 126,630 569,106 3,325,687 26,997,623 52,104,767



0.0

0.1

-0.1

-0.2

Ac

tive

Re

turn

(%)

9/10 12/10 3/11 6/11 9/11 12/11 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15


SSgA S&P 500 Flagship Fund 0.26 1.19 7.39 17.30 17.34 N/A N/A

S&P 500 0.28 1.23 7.42 17.31 17.34 9.42 7.89

Difference -0.02 -0.04 -0.03 -0.01 0.00 N/A N/A

City of Springfield Police & Fire Retirement System SSgA S&P 500 Flagship FundAs of June 30, 2015

Page 50

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

Re

turn


SSgA S&P 500 Flagship Fund 0.26 (50) 1.19 (68) 7.39 (62) 17.30 (67) 17.34 (61) N/A N/A¢£

S&P 500 0.28 (49) 1.23 (67) 7.42 (61) 17.31 (67) 17.34 (61) 9.42 (63) 7.89 (80)Å�

5th Percentile 2.13 6.04 14.30 22.06 20.49 11.90 10.36

1st Quartile 0.80 3.28 10.40 19.44 18.64 10.48 9.18

Median 0.25 1.93 8.13 17.95 17.75 9.74 8.57

3rd Quartile -0.58 0.84 5.92 16.64 16.45 9.00 7.96

95th Percentile -2.06 -1.49 0.30 13.17 13.59 7.50 7.30

City of Springfield Police & Fire Retirement System IM U.S. Large Cap Core Equity (SA+CF)

As of June 30, 2015


Page 51

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

SSgA S&P 500 Flagship Fund 13.64 (46) 32.46 (61) 16.05 (44) 2.09 (49) N/A N/A N/A¢£

S&P 500 13.69 (44) 32.39 (62) 16.00 (46) 2.11 (49) 15.06 (45) 26.46 (50) -37.00 (63)Å�

5th Percentile 18.00 41.42 20.86 8.82 20.17 39.75 -24.11

1st Quartile 15.25 35.75 17.70 4.12 16.70 31.50 -33.04

Median 13.42 33.28 15.66 1.92 14.81 26.41 -35.96

3rd Quartile 11.36 30.81 13.60 -0.85 12.62 22.54 -38.14

95th Percentile 7.43 23.04 8.74 -6.40 9.01 15.75 -42.83

City of Springfield Police & Fire Retirement System IM U.S. Large Cap Core Equity (SA+CF)

As of June 30, 2015


Page 52

8.0

12.0

16.0

20.0

24.0

28.0 Return

5.0

8.0

11.0

14.0

17.0

20.0

Standard

Deviation

-4.0

-1.0

2.0

5.0

8.0

11.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

SSgA S&P 500 Flagship Fund 17.30 17.34 8.44 11.90 0.03 0.03¢

S&P 500 17.31 17.34 8.43 11.90 0.00 0.00Å

Median 17.95 17.75 8.82 12.41 2.52 2.74

Up Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.0 100.0

Down Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.2 100.0

Style History Jun-2015 Average Style Exposure

Ca

pit

ali

za

tio

n

Manager Style

Russell 1000 Growth Index

Russell 2000 Growth IndexRussell 2000 Value Index

Russell 1000 Value Index

City of Springfield Police & Fire Retirement System SSgA S&P 500 Flagship FundAs of June 30, 2015

Page 53


Performance

Gain / Loss


SSgA Russell 2000 Index Fund

Beginning Market Value 21,214,560 20,335,262 24,153,648 20,567,948 -

Net Cash Flows - - -4,000,000 -10,788,112 -13,405,397

Income - - - - -

Gain/Loss 76,139 955,437 1,137,051 11,510,862 34,696,095



0.0

0.1

0.2

-0.1

-0.2

Ac

tive

Re

turn

(%)

9/10 12/10 3/11 6/11 9/11 12/11 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15


SSgA Russell 2000 Index Fund 0.36 4.70 6.48 17.85 17.14 N/A N/A

Russell 2000 Index 0.42 4.75 6.49 17.81 17.08 10.44 8.40

Difference -0.06 -0.05 -0.01 0.04 0.06 N/A N/A

City of Springfield Police & Fire Retirement System SSgA Russell 2000 Index FundAs of June 30, 2015

Page 54

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

Re

turn


SSgA Russell 2000 Index Fund 0.36 (55) 4.70 (67) 6.48 (64) 17.85 (75) 17.14 (78) N/A N/A¢£

Russell 2000 Index 0.42 (53) 4.75 (67) 6.49 (64) 17.81 (75) 17.08 (78) 10.44 (75) 8.40 (80)Å�

5th Percentile 2.95 9.49 14.94 24.13 22.69 15.11 12.19

1st Quartile 1.38 7.38 10.90 21.57 20.47 13.07 10.65

Median 0.49 5.58 8.21 19.97 18.87 11.64 9.76

3rd Quartile -0.64 4.23 5.28 17.79 17.35 10.38 8.60

95th Percentile -1.83 0.87 -0.49 14.37 15.33 7.84 7.08

City of Springfield Police & Fire Retirement System IM U.S. Small Cap Core Equity (SA+CF)

As of June 30, 2015


Page 55

-100.0

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

SSgA Russell 2000 Index Fund 5.00 (63) 38.87 (71) 16.36 (58) -4.10 (74) N/A N/A N/A¢£

Russell 2000 Index 4.89 (64) 38.82 (72) 16.35 (59) -4.18 (74) 26.85 (66) 27.17 (65) -33.79 (35)Å�

5th Percentile 11.02 56.42 23.99 5.64 38.66 57.36 -26.67

1st Quartile 8.45 45.69 19.67 1.90 31.69 39.91 -32.38

Median 6.55 41.31 17.11 -1.74 28.26 29.41 -35.92

3rd Quartile 3.43 38.36 14.34 -4.51 25.01 24.55 -39.81

95th Percentile -3.41 33.23 11.50 -11.14 21.83 16.14 -47.07

City of Springfield Police & Fire Retirement System IM U.S. Small Cap Core Equity (SA+CF)

As of June 30, 2015


Page 56

10.0

15.0

20.0

25.0

30.0 Return

4.0

8.0

12.0

16.0

20.0

24.0

Standard

Deviation

-4.0

-1.0

2.0

5.0

8.0

11.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

SSgA Russell 2000 Index Fund 17.85 17.14 12.35 16.64 0.10 0.09¢

Russell 2000 Index 17.81 17.08 12.33 16.65 0.00 0.00Å

Median 19.97 18.87 11.95 16.58 3.70 3.91

Up Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.1 100.1

Down Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

100.1 99.9


Ca

pit

ali

za

tio

n

Manager Style

Russell 1000 Growth Index

Russell 2000 Growth IndexRussell 2000 Value Index

Russell 1000 Value Index

City of Springfield Police & Fire Retirement System SSgA Russell 2000 Index FundAs of June 30, 2015

Page 57


Performance

Gain / Loss


Total International Equity


Net Cash Flows - -78,359 921,641 26,121,641 32,841,845

Income - - - - 42,209

Gain/Loss 2,056,052 5,310,382 -3,786,809 13,925,575 18,971,838



0.0

4.0

8.0

12.0

-4.0

-8.0

-12.0

Ac

tive

Re

turn

(%)

9/07 3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 6/15


Total International Equity 2.82 7.62 -4.81 9.93 8.88 1.03 N/A

International Equity Index 0.67 4.70 -4.44 10.54 8.69 1.41 4.71

Difference 2.15 2.92 -0.37 -0.61 0.19 -0.38 N/A

City of Springfield Police & Fire Retirement System Total International EquityAs of June 30, 2015

Page 58

-28.0

-22.0

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

Re

turn


Total International Equity 2.82 (24) 7.62 (28) -4.81 (71) 9.93 (69) 8.88 (67) 1.03 (88) N/A¢£

International Equity Index 0.67 (67) 4.70 (61) -4.44 (69) 10.54 (66) 8.69 (69) 1.41 (85) 4.71 (95)Å�

5th Percentile 6.00 13.80 9.85 19.97 15.82 9.37 11.83

1st Quartile 2.69 8.05 0.71 15.00 12.17 5.82 9.11

Median 1.45 5.84 -2.15 12.26 10.22 3.61 7.34

3rd Quartile 0.24 2.99 -5.26 8.09 7.98 2.10 6.09

95th Percentile -2.33 -1.09 -11.28 2.71 3.10 -0.29 4.59

City of Springfield Police & Fire Retirement System IM International Equity (SA+CF)

As of June 30, 2015


Page 59

-100.0

-50.0

0.0

50.0

100.0

150.0

-150.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Total International Equity -8.97 (94) 18.52 (55) 23.07 (23) -14.69 (61) 10.75 (71) 41.21 (47) -50.31 (75)¢£

International Equity Index -4.00 (65) 17.93 (57) 17.32 (70) -12.14 (44) 7.75 (84) 31.78 (71) -43.38 (42)Å�

5th Percentile 8.35 36.30 29.33 -3.73 29.13 95.85 -20.89

1st Quartile 0.78 26.41 22.77 -10.12 21.11 65.97 -40.14

Median -2.76 20.09 19.77 -13.05 15.06 39.66 -44.86

3rd Quartile -5.10 5.19 16.70 -16.71 9.78 29.86 -50.32

95th Percentile -9.83 -4.13 8.10 -23.24 2.43 6.22 -57.79

City of Springfield Police & Fire Retirement System IM International Equity (SA+CF)

As of June 30, 2015


Page 60


Jan-1970


Jan-2013


MSCI EM (net) 13.10

Apr-2013


MSCI EM (net) 17.20

Jul-2013


MSCI EM (net) 19.70

Oct-2013


MSCI EM (net) 23.70

Jan-2014


MSCI EM (net) 25.50

Apr-2014


MSCI EM (net) 26.50

Jul-2014


MSCI EM (net) 32.89

Oct-2014


MSCI EM (net) 32.85


Jan-2015


MSCI EM (net) 32.93

Apr-2015


MSCI EM (net) 31.68

City of Springfield Police & Fire Retirement System International Equity Index

As of June 30, 2015

Page 61


Performance

Gain / Loss


Pictet


Net Cash Flows - -78,359 -78,359 1,921,641 10,871,043

Income - - - - 42,209

Gain/Loss 1,652,947 4,772,476 -2,203,275 14,619,279 17,436,344



0.0

4.0

8.0

12.0

-4.0

-8.0

-12.0

Ac

tive

Re

turn

(%)

6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15


Pictet 3.32 10.21 -4.09 11.53 9.83 1.65 N/A

MSCI EAFE (Net) 0.62 5.52 -4.22 11.97 9.54 1.97 5.12

Difference 2.70 4.69 0.13 -0.44 0.29 -0.32 N/A

City of Springfield Police & Fire Retirement System PictetAs of June 30, 2015

Page 62

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Re

turn


Pictet 3.32 (6) 10.21 (4) -4.09 (75) 11.53 (77) 9.83 (76) 1.65 (95) N/A¢£

MSCI EAFE (Net) 0.62 (77) 5.52 (73) -4.22 (77) 11.97 (67) 9.54 (80) 1.97 (91) 5.12 (98)Å�

5th Percentile 3.32 9.71 2.19 17.32 14.19 5.44 8.52

1st Quartile 2.07 7.30 -0.88 14.55 11.70 3.82 7.13

Median 1.65 6.37 -2.20 12.76 10.79 3.12 6.48

3rd Quartile 0.77 5.42 -4.12 11.63 9.87 2.49 6.03

95th Percentile -0.89 2.34 -8.19 9.31 8.04 1.60 5.20

City of Springfield Police & Fire Retirement System IM International Large Cap Core Equity (SA+CF)

As of June 30, 2015


Page 63

-100.0

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Pictet -11.25 (100) 23.98 (41) 23.07 (4) -14.69 (77) 10.75 (56) 41.21 (18) N/A¢£

MSCI EAFE (Net) -4.90 (65) 22.78 (53) 17.32 (75) -12.14 (49) 7.75 (91) 31.78 (55) -43.38 (47)Å�

5th Percentile 3.76 30.42 22.92 -5.91 17.14 49.13 -33.80

1st Quartile -2.06 25.64 21.19 -10.22 13.47 38.87 -41.57

Median -3.70 23.16 19.46 -12.23 11.14 33.13 -43.69

3rd Quartile -5.43 19.35 17.27 -14.54 9.37 28.64 -45.85

95th Percentile -8.88 15.50 14.96 -17.42 6.33 20.98 -48.50

City of Springfield Police & Fire Retirement System IM International Large Cap Core Equity (SA+CF)

As of June 30, 2015


Page 64

4.0

8.0

12.0

16.0

20.0

24.0 Return

4.0

8.0

12.0

16.0

20.0

24.0

Standard

Deviation

-4.0

-1.0

2.0

5.0

8.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

Pictet 11.53 9.83 10.87 16.64 3.28 3.10¢

MSCI EAFE (Net) 11.97 9.54 10.38 15.60 0.00 0.00Å

Median 12.76 10.79 10.19 15.68 2.79 3.10

Up Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

95.8 102.2

Down Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

94.1 101.0


Manager Style

MSCI World ex USA Growth

MSCI World ex US Small CapMSCI World ex US in LC

MSCI World ex U.S. Value

City of Springfield Police & Fire Retirement System PictetAs of June 30, 2015

Page 65


Performance

Gain / Loss


Wells

Beginning Market Value 23,103,191 22,968,390 24,089,830 - -

Net Cash Flows - - 1,000,000 - -

Income - - - - -

Gain/Loss 403,105 537,906 -1,583,534 - -

Ending Market Value 23,506,296 23,506,296 23,506,296 - -


0.0

2.0

4.0

-2.0

-4.0

Ac

tive

Re

turn

(%)

3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15


Wells 1.74 2.34 -6.22 N/A N/A N/A N/A

MSCI EM (net) 0.69 2.95 -5.12 3.71 3.69 0.86 8.11

Difference 1.05 -0.61 -1.10 N/A N/A N/A N/A

City of Springfield Police & Fire Retirement System WellsAs of June 30, 2015

Page 66

-28.0

-22.0

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

Re

turn


Wells 1.74 (32) 2.34 (48) -6.22 (65) N/A N/A N/A N/A¢£

MSCI EM (net) 0.69 (58) 2.95 (37) -5.12 (53) 3.71 (71) 3.69 (74) 0.86 (71) 8.11 (73)Å�

5th Percentile 4.45 7.81 3.74 15.54 11.46 8.08 13.20

1st Quartile 2.03 3.82 -1.55 7.54 7.24 3.86 10.49

Median 1.03 2.22 -4.66 5.49 5.40 1.81 9.27

3rd Quartile 0.04 0.68 -8.00 3.56 3.58 0.72 7.98

95th Percentile -2.09 -2.57 -13.97 0.54 1.69 -2.04 6.87

City of Springfield Police & Fire Retirement System IM Emerging Markets Equity (SA+CF)

As of June 30, 2015


Page 67

-100.0

-50.0

0.0

50.0

100.0

150.0

200.0

-150.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Wells -3.84 (82) -0.39 (59) N/A N/A N/A N/A N/A¢£

MSCI EM (net) -2.19 (71) -2.60 (74) 18.23 (69) -18.42 (50) 18.88 (69) 78.51 (58) -53.33 (44)Å�

5th Percentile 8.40 19.40 29.86 -8.16 33.87 116.49 -42.50

1st Quartile 2.83 4.29 22.93 -15.71 25.14 88.94 -50.71

Median -0.31 0.58 20.55 -18.42 21.65 80.12 -54.03

3rd Quartile -2.82 -2.75 17.22 -21.81 17.78 73.25 -56.58

95th Percentile -9.28 -7.95 12.34 -26.93 13.69 42.45 -61.60

City of Springfield Police & Fire Retirement System IM Emerging Markets Equity (SA+CF)

As of June 30, 2015


Page 68

-12.0

-4.0

4.0

12.0

20.0

28.0 Return

5.0

10.0

15.0

20.0

25.0

Standard

Deviation

-10.0

-4.0

2.0

8.0

14.0

20.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

Wells N/A N/A N/A N/A N/A N/A¢

MSCI EM (net) 3.71 3.69 12.29 17.90 0.00 0.00Å

Median 5.49 5.40 12.03 17.72 4.35 4.45

No data found. No data found.

City of Springfield Police & Fire Retirement System WellsAs of June 30, 2015

Total Fixed Income

Page 70


Performance

Gain / Loss


Total Domestic Fixed Income


Net Cash Flows - 3,000,000 4,000,000 11,990,803 15,902,880

Income - 348,725 992,187 3,968,413 7,297,872

Gain/Loss -403,470 38,631 -653,772 -1,398,914 -1,031,439



0.0

3.0

6.0

9.0

-3.0

-6.0

-9.0

Ac

tive

Re

turn

(%)

6/05 12/05 6/06 12/06 6/07 12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15


Total Domestic Fixed Income -0.68 0.75 1.15 2.02 3.60 5.14 4.08

Domestic Fixed Income Index -0.78 0.56 1.01 1.20 2.52 3.72 3.88

Difference 0.10 0.19 0.14 0.82 1.08 1.42 0.20

City of Springfield Police & Fire Retirement System Total Domestic Fixed IncomeAs of June 30, 2015

Page 71

-16.0

-12.0

-8.0

-4.0

0.0

4.0

8.0

12.0

16.0

Re

turn


Total Domestic Fixed Income -0.68 (53) 0.75 (45) 1.15 (67) 2.02 (68) 3.60 (63) 5.14 (54) 4.08 (76)¢£

Domestic Fixed Income Index -0.78 (57) 0.56 (54) 1.01 (73) 1.20 (88) 2.52 (83) 3.72 (79) 3.88 (78)Å�

5th Percentile 1.06 3.46 4.08 8.29 9.50 9.84 8.41

1st Quartile 0.12 1.12 2.23 4.43 6.75 7.21 6.04

Median -0.63 0.64 1.63 2.72 4.24 5.32 4.87

3rd Quartile -1.57 0.12 0.90 1.80 3.06 4.07 4.11

95th Percentile -7.33 -4.25 -1.46 0.57 1.26 1.89 2.64

City of Springfield Police & Fire Retirement System IM U.S. Fixed Income (SA+CF)

As of June 30, 2015


Page 72

-70.0

-55.0

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Total Domestic Fixed Income 4.54 (50) -2.04 (81) 6.30 (55) 6.73 (46) 8.00 (46) 14.54 (36) -3.01 (66)¢£

Domestic Fixed Income Index 3.89 (56) -2.41 (86) 3.68 (80) 5.80 (60) 5.89 (73) 5.24 (82) 5.08 (25)Å�

5th Percentile 17.72 9.49 16.47 17.31 17.03 49.08 9.02

1st Quartile 6.63 1.65 10.84 8.21 11.12 20.30 4.96

Median 4.46 -0.26 6.84 6.42 7.59 10.53 1.28

3rd Quartile 2.23 -1.59 4.08 3.50 5.59 6.25 -7.43

95th Percentile 0.62 -7.73 1.43 0.28 2.07 1.35 -28.11

City of Springfield Police & Fire Retirement System IM U.S. Fixed Income (SA+CF)

As of June 30, 2015


Page 73


Jan-1973

Barclays Intermed. U.S. Government/Credit 100.00

May-2011


Jul-2012



Oct-2012



Jan-2013



Apr-2013



Jul-2013



Oct-2013



Jan-2014



Apr-2014




Jul-2014



Oct-2014



Jan-2015



Apr-2015



City of Springfield Police & Fire Retirement System Domestic Fixed Income Index

As of June 30, 2015

Page 74


Performance

Gain / Loss


Galliard


Net Cash Flows - - - -2,000,000 -1,087,923

Income - 348,723 992,185 3,968,410 7,297,870

Gain/Loss -220,328 65,471 -335,866 -911,967 -534,882



0.0

3.0

6.0

-3.0

-6.0

Ac

tive

Re

turn

(%)

9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 6/15


Galliard -0.52 0.99 2.24 2.76 4.06 5.51 N/A

Barclays Intermediate Aggregate -0.67 0.64 1.89 1.74 2.89 4.16 4.22

Difference 0.15 0.35 0.35 1.02 1.17 1.35 N/A

City of Springfield Police & Fire Retirement System GalliardAs of June 30, 2015

Page 75

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

Re

turn


Galliard -0.52 (28) 0.99 (29) 2.24 (13) 2.76 (17) 4.06 (14) 5.51 (11) N/A¢£

Barclays Intermediate Aggregate -0.67 (62) 0.64 (83) 1.89 (34) 1.74 (73) 2.89 (75) 4.16 (76) 4.22 (81)Å�

5th Percentile 0.05 1.33 2.51 3.72 5.45 5.85 5.51

1st Quartile -0.50 1.02 2.01 2.54 3.60 4.91 4.79

Median -0.61 0.85 1.76 2.04 3.20 4.52 4.47

3rd Quartile -0.74 0.70 1.53 1.69 2.88 4.17 4.28

95th Percentile -1.05 0.34 1.11 1.26 2.42 3.61 3.87

City of Springfield Police & Fire Retirement System IM U.S. Intermediate Duration (SA+CF)

As of June 30, 2015


Page 76

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Galliard 4.98 (15) -0.55 (55) 6.36 (23) 6.73 (11) 8.00 (13) 14.54 (11) N/A¢£

Barclays Intermediate Aggregate 4.12 (31) -1.02 (81) 3.56 (87) 5.97 (44) 6.15 (65) 6.46 (66) 4.86 (48)Å�

5th Percentile 6.84 1.84 8.97 7.27 9.76 18.28 8.58

1st Quartile 4.36 -0.05 6.18 6.37 7.12 11.10 6.65

Median 3.57 -0.51 4.99 5.86 6.45 7.90 4.50

3rd Quartile 3.13 -0.91 4.02 5.08 5.95 5.85 0.99

95th Percentile 1.83 -1.79 2.75 3.51 4.93 3.27 -7.63

City of Springfield Police & Fire Retirement System IM U.S. Intermediate Duration (SA+CF)

As of June 30, 2015


Page 77

-2.0

0.0

2.0

4.0

6.0

8.0 Return

0.1

0.8

1.5

2.2

2.9

3.6

Standard

Deviation

-1.0

-0.1

0.8

1.7

2.6

3.5

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

Galliard 2.76 4.06 2.35 2.26 0.57 0.70¢

Barclays Intermediate Aggregate 1.74 2.89 2.10 2.07 0.00 0.00Å

Median 2.04 3.20 2.11 2.20 0.56 0.70

Up Market Capture

0.050.0

100.0150.0200.0

3Years

5Years

Time Periods

125.0 124.2

Down Market Capture

0.0

50.0

100.0

150.0

3Years

5Years

Time Periods

98.1 96.6


Manager Style

Barclays U.S. Government

Barclays U.S. Long Government/CreditBarclays 1-3yr Gov/Credit

Barclays US Credit Index

City of Springfield Police & Fire Retirement System GalliardAs of June 30, 2015

Page 78


Performance

Gain / Loss


SSgA TIPS Index Fund


Net Cash Flows - 3,000,000 4,000,000 13,990,803 -

Income - 3 3 3 -

Gain/Loss -183,142 -26,840 -317,906 -486,947 -

Ending Market Value 16,494,248 16,494,248 16,494,248 16,494,248 -


0.0

0.1

-0.1

-0.2

Ac

tive

Re

turn

(%)

9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15


SSgA TIPS Index Fund -1.10 0.33 -1.77 -0.77 N/A N/A N/A

Barclays U.S. Treasury: U.S. TIPS -1.06 0.34 -1.73 -0.76 3.29 3.51 4.14

Difference -0.04 -0.01 -0.04 -0.01 N/A N/A N/A

City of Springfield Police & Fire Retirement System SSgA TIPS Index FundAs of June 30, 2015

Page 79

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

Re

turn


SSgA TIPS Index Fund -1.10 (67) 0.33 (70) -1.77 (43) -0.77 (88) N/A N/A N/A¢£

Barclays U.S. Treasury: U.S. TIPS -1.06 (49) 0.34 (64) -1.73 (38) -0.76 (83) 3.29 (51) 3.51 (60) 4.14 (61)Å�

5th Percentile 0.42 1.14 -1.18 0.31 3.85 4.06 4.58

1st Quartile -0.26 0.97 -1.60 -0.39 3.56 3.82 4.40

Median -1.07 0.42 -1.81 -0.52 3.30 3.60 4.21

3rd Quartile -1.13 0.29 -1.97 -0.72 2.49 2.99 4.00

95th Percentile -1.40 0.04 -2.66 -0.97 2.27 2.61 3.77

City of Springfield Police & Fire Retirement System IM U.S. TIPS (SA+CF)

As of June 30, 2015


Page 80

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

SSgA TIPS Index Fund 3.63 (38) -8.62 (70) N/A N/A N/A N/A N/A¢£

Barclays U.S. Treasury: U.S. TIPS 3.64 (37) -8.61 (68) 6.98 (52) 13.56 (47) 6.31 (57) 11.41 (44) -2.35 (80)Å�

5th Percentile 4.38 -4.22 10.59 14.79 8.67 13.97 1.26

1st Quartile 3.72 -5.70 7.43 13.85 6.65 12.13 -0.52

Median 3.46 -8.41 7.02 13.50 6.38 11.19 -1.43

3rd Quartile 1.04 -8.68 6.38 9.88 5.48 10.75 -2.18

95th Percentile 0.01 -9.28 4.93 8.55 5.02 9.85 -3.46

City of Springfield Police & Fire Retirement System IM U.S. TIPS (SA+CF)

As of June 30, 2015


Page 81

-4.0

-1.0

2.0

5.0

8.0 Return

2.0

3.0

4.0

5.0

6.0

7.0

Standard

Deviation

-2.0

0.0

2.0

4.0

6.0

Tracking

Error

3Years

5Years

3Years

5Years

3Years

5Years

SSgA TIPS Index Fund -0.77 N/A 5.15 N/A 0.04 N/A¢

Barclays U.S. Treasury: U.S. TIPS -0.76 3.29 5.15 5.16 0.00 0.00Å

Median -0.52 3.30 4.98 5.12 0.80 0.63

Up Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

99.7

Down Market Capture

0.0

50.0

100.0

150.0

3Years

Time Periods

99.9

No data found.

City of Springfield Police & Fire Retirement System SSgA TIPS Index FundAs of June 30, 2015

Page 82


Performance

Gain / Loss


Total International Fixed Income


Net Cash Flows - 3,000,000 4,000,000 21,800,035 21,408,158

Income - 3 3 3 3

Gain/Loss -597,044 -742,055 -2,745,769 1,078,489 20,966,442



0.0

4.0

8.0

12.0

-4.0

-8.0

-12.0

Ac

tive

Re

turn

(%)

9/07 3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 6/15


Total International Fixed Income -1.39 -1.70 -6.39 2.25 5.14 4.81 N/A

International Fixed Income Index -1.15 -3.87 -9.97 -2.32 1.30 1.64 3.12

Difference -0.24 2.17 3.58 4.57 3.84 3.17 N/A

City of Springfield Police & Fire Retirement System Total International Fixed IncomeAs of June 30, 2015

Page 83

-30.0

-25.0

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

Re

turn


Total International Fixed Income -1.39 (79) -1.70 (61) -6.39 (55) 2.25 (50) 5.14 (51) 4.81 (59) N/A¢£

International Fixed Income Index -1.15 (71) -3.87 (71) -9.97 (66) -2.32 (77) 1.30 (82) 1.64 (89) 3.12 (92)Å�

5th Percentile 2.45 4.30 4.90 7.55 8.50 10.03 9.41

1st Quartile 0.85 2.12 -0.16 4.34 7.05 8.11 8.37

Median -0.38 -0.12 -4.29 2.07 5.24 5.76 7.36

3rd Quartile -1.27 -4.40 -12.57 -1.87 1.92 2.88 4.85

95th Percentile -3.00 -6.21 -16.02 -4.34 0.49 1.11 2.85

City of Springfield Police & Fire Retirement System IM International Fixed Income (SA+CF)

As of June 30, 2015


Page 84

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Total International Fixed Income 2.69 (45) -1.83 (31) 13.91 (67) 5.11 (42) 7.43 (81) 10.27 (79) 2.41 (20)¢£

International Fixed Income Index -0.06 (63) -4.45 (49) 1.50 (98) 5.17 (41) 5.21 (90) 4.36 (95) 10.10 (6)Å�

5th Percentile 8.69 4.77 23.59 9.44 21.14 52.93 10.43

1st Quartile 5.07 -0.73 19.88 7.01 16.52 37.68 -0.43

Median 1.39 -4.77 17.37 4.37 14.05 27.17 -11.12

3rd Quartile -2.88 -7.40 11.19 -0.58 8.49 13.03 -16.99

95th Percentile -6.15 -10.23 2.95 -3.73 3.31 4.06 -30.98


As of June 30, 2015


Page 85


Jan-1985


Aug-2013



Oct-2013



Jan-2014



Apr-2014



Jul-2014



Oct-2014



Jan-2015



Apr-2015



City of Springfield Police & Fire Retirement System International Fixed Income Index

As of June 30, 2015

Page 86


Performance

Gain / Loss


Brandywine


Net Cash Flows - - 1,000,000 8,800,035 10,209,977

Income - - - - -

Gain/Loss -757,609 -1,280,036 -2,639,214 294,045 3,009,097



0.0

4.0

8.0

12.0

-4.0

-8.0

-12.0

Ac

tive

Re

turn

(%)

9/07 3/08 9/08 3/09 9/09 3/10 9/10 3/11 9/11 3/12 9/12 3/13 9/13 3/14 9/14 3/15 6/15


Brandywine -2.58 -4.29 -8.47 1.40 4.61 4.44 N/A

Citigroup Non-U.S. World Government Bond -1.54 -5.83 -13.49 -3.88 0.32 0.94 2.63

Difference -1.04 1.54 5.02 5.28 4.29 3.50 N/A

City of Springfield Police & Fire Retirement System BrandywineAs of June 30, 2015

Page 87

-30.0

-25.0

-20.0

-15.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

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turn


Brandywine -2.58 (94) -4.29 (75) -8.47 (62) 1.40 (56) 4.61 (53) 4.44 (61) N/A¢£

Citigroup Non-U.S. World Government Bond -1.54 (81) -5.83 (92) -13.49 (81) -3.88 (91) 0.32 (97) 0.94 (97) 2.63 (97)Å�

5th Percentile 2.45 4.30 4.90 7.55 8.50 10.03 9.41

1st Quartile 0.85 2.12 -0.16 4.34 7.05 8.11 8.37

Median -0.38 -0.12 -4.29 2.07 5.24 5.76 7.36

3rd Quartile -1.27 -4.40 -12.57 -1.87 1.92 2.88 4.85

95th Percentile -3.00 -6.21 -16.02 -4.34 0.49 1.11 2.85


As of June 30, 2015


Page 88

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

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2014 2013 2012 2011 2010 2009 2008

Brandywine 2.63 (45) -1.63 (30) 13.91 (67) 5.11 (42) 7.43 (81) 10.27 (79) 2.41 (20)¢£

Citigroup Non-U.S. World Government Bond -2.68 (74) -4.56 (49) 1.50 (98) 5.17 (41) 5.21 (90) 4.36 (95) 10.10 (6)Å�

5th Percentile 8.69 4.77 23.59 9.44 21.14 52.93 10.43

1st Quartile 5.07 -0.73 19.88 7.01 16.52 37.68 -0.43

Median 1.39 -4.77 17.37 4.37 14.05 27.17 -11.12

3rd Quartile -2.88 -7.40 11.19 -0.58 8.49 13.03 -16.99

95th Percentile -6.15 -10.23 2.95 -3.73 3.31 4.06 -30.98


As of June 30, 2015


Page 89


Performance

Gain / Loss


Pyramis Emerging Market Debt

Beginning Market Value 13,623,882 10,246,463 10,890,999 - -

Net Cash Flows - 3,000,000 3,000,000 - -

Income - 3 3 - -

Gain/Loss 160,565 537,981 -106,555 - -

Ending Market Value 13,784,447 13,784,447 13,784,447 - -


0.0

2.0

4.0

-2.0

-4.0

-6.0

Ac

tive

Re

turn

(%)

12/13 3/14 6/14 9/14 12/14 3/15 6/15


Pyramis Emerging Market Debt 1.18 4.06 -2.10 N/A N/A N/A N/A

JPM EMBI Global Diversified -0.34 1.67 0.51 4.30 6.76 7.67 7.45

Difference 1.52 2.39 -2.61 N/A N/A N/A N/A

City of Springfield Police & Fire Retirement System Pyramis Emerging Market DebtAs of June 30, 2015

Page 90

-30.0

-25.0

-20.0

-15.0

-10.0

-5.0

0.0

5.0

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15.0

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Pyramis Emerging Market Debt 1.18 (22) 4.06 (6) -2.10 (32) N/A N/A N/A N/A¢£

JPM EMBI Global Diversified -0.34 (59) 1.67 (37) 0.51 (15) 4.30 (28) 6.76 (41) 7.67 (44) 7.45 (79)Å�

5th Percentile 2.65 4.28 2.43 6.79 8.49 10.06 9.41

1st Quartile 1.00 2.40 -1.16 4.39 7.17 8.53 8.70

Median -0.15 0.90 -4.24 2.75 6.41 7.26 8.15

3rd Quartile -0.78 -3.70 -12.69 -2.19 2.07 3.62 7.66

95th Percentile -1.89 -5.74 -16.15 -4.04 0.81 1.77 5.67

City of Springfield Police & Fire Retirement System IM Emerging Markets Debt (SA+CF)

As of June 30, 2015


Page 91

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

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2014 2013 2012 2011 2010 2009 2008

Pyramis Emerging Market Debt 2.69 (44) N/A N/A N/A N/A N/A N/A¢£

JPM EMBI Global Diversified 7.43 (7) -5.25 (43) 17.44 (72) 7.34 (21) 12.24 (89) 29.83 (67) -12.01 (35)Å�

5th Percentile 7.58 1.80 23.96 8.59 21.12 59.03 -4.44

1st Quartile 5.09 -2.86 20.65 7.01 17.39 39.73 -9.99

Median 1.26 -5.97 18.97 2.95 15.17 32.54 -14.94

3rd Quartile -3.56 -8.10 17.05 -1.79 13.93 27.08 -19.98

95th Percentile -6.57 -10.18 13.13 -3.62 8.61 20.15 -31.85

City of Springfield Police & Fire Retirement System IM Emerging Markets Debt (SA+CF)

As of June 30, 2015


Page 92

Total Real Estate

Page 93


Performance

Gain / Loss


Total Real Estate


Net Cash Flows -168,258 -168,258 -435,716 -1,495,133 -1,041,037

Income - - - 265,883 523,347

Gain/Loss 399,391 644,709 1,457,696 3,670,277 5,918,547



0.0

3.0

6.0

9.0

-3.0

-6.0

Ac

tive

Re

turn

(%)

12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15


Total Real Estate 3.25 5.36 12.86 12.41 14.49 2.59 N/A

NCREIF Fund Index-Open End Diversified Core (EW) 3.92 7.45 14.52 12.88 14.27 3.18 6.57

Difference -0.67 -2.09 -1.66 -0.47 0.22 -0.59 N/A

City of Springfield Police & Fire Retirement System Total Real EstateAs of June 30, 2015

Page 94


Performance

Gain / Loss


PRISA


Net Cash Flows -168,258 -168,258 -435,716 -1,495,133 -1,041,037

Income - - - 265,883 523,347

Gain/Loss 399,391 644,709 1,457,696 3,670,277 5,918,547



0.0

3.0

6.0

9.0

-3.0

-6.0

Ac

tive

Re

turn

(%)

12/07 6/08 12/08 6/09 12/09 6/10 12/10 6/11 12/11 6/12 12/12 6/13 12/13 6/14 12/14 6/15


PRISA 3.25 5.36 12.86 12.41 14.49 2.59 N/A

NCREIF Fund Index-Open End Diversified Core (EW) 3.92 7.45 14.52 12.88 14.27 3.18 6.57

Difference -0.67 -2.09 -1.66 -0.47 0.22 -0.59 N/A

City of Springfield Police & Fire Retirement System PRISAAs of June 30, 2015

Page 95

Total Alternatives

Page 96


Performance

Gain / Loss


Total Alternatives


Net Cash Flows - - 1,962,684 34,430,411 -

Income - - - - -

Gain/Loss 453,309 274,515 -3,378,511 -1,503,342 -



0.0

0.5

1.0

1.5

-0.5

-1.0

Ac

tive

Re

turn

(%)

9/11 12/11 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15


Total Alternatives 1.06 0.64 -7.79 -1.46 N/A N/A N/A

Alternatives Index 1.61 1.08 -7.29 -2.10 0.25 -8.18 -0.54

Difference -0.55 -0.44 -0.50 0.64 N/A N/A N/A

City of Springfield Police & Fire Retirement System Total AlternativesAs of June 30, 2015

Page 97


Feb-1991


Apr-2013



Jul-2013



Oct-2013



Jan-2014



Apr-2014



Jul-2014



Oct-2014



Jan-2015



Apr-2015



City of Springfield Police & Fire Retirement System Alternatives Index

As of June 30, 2015

Page 98


Performance

Gain / Loss


SSgA Bloomberg Commodity Fund


Net Cash Flows - - - 6,954,912 -

Income - - - - -

Gain/Loss 573,761 -227,123 -4,094,895 -4,306,819 -



0.0

0.4

0.8

1.2

1.6

-0.4

-0.8

Ac

tive

Re

turn

(%)

9/11 12/11 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15


SSgA Bloomberg Commodity Fund 4.60 -1.71 -23.89 -8.89 N/A N/A N/A

Bloomberg Commodity Index Total Return 4.66 -1.56 -23.71 -8.76 -3.91 -10.91 -2.62

Difference -0.06 -0.15 -0.18 -0.13 N/A N/A N/A

City of Springfield Police & Fire Retirement System SSgA Bloomberg Commodity FundAs of June 30, 2015

Page 99

-70.0

-55.0

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

Re

turn


SSgA Bloomberg Commodity Fund 4.60 (31) -1.71 (33) -23.89 (46) -8.89 (39) N/A N/A N/A¢£

Bloomberg Commodity Index Total Return 4.66 (31) -1.56 (32) -23.71 (44) -8.76 (38) -3.91 (47) -10.91 (59) -2.62 (56)Å�

5th Percentile 10.52 1.74 19.16 8.60 2.23 1.84 8.42

1st Quartile 5.41 -1.12 -15.13 -6.97 -1.54 -6.65 -1.15

Median 2.99 -2.55 -24.31 -9.80 -4.24 -9.81 -2.02

3rd Quartile -1.19 -5.27 -30.38 -11.14 -6.04 -15.81 -8.24

95th Percentile -9.28 -15.09 -45.04 -20.78 -15.86 -21.82 -8.92

City of Springfield Police & Fire Retirement System IM All Commodities (MF)

As of June 30, 2015

Parentheses contain percentile rankings.Calculation based on monthly periodicity.

Page 100

-100.0

-50.0

0.0

50.0

100.0

150.0

-150.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

SSgA Bloomberg Commodity Fund -17.15 (55) -9.57 (50) 0.15 (43) N/A N/A N/A N/A¢£

Bloomberg Commodity Index Total Return -17.01 (54) -9.52 (50) -1.06 (50) -13.32 (72) 16.83 (41) 18.91 (55) -35.65 (24)Å�

5th Percentile 22.88 14.50 10.35 11.21 65.91 91.85 -2.65

1st Quartile -7.32 -1.93 4.39 -2.29 24.04 39.07 -36.01

Median -16.67 -9.67 -1.14 -8.27 15.51 21.53 -44.23

3rd Quartile -21.38 -14.92 -7.72 -13.86 5.67 8.82 -49.11

95th Percentile -41.29 -31.24 -26.58 -30.25 -34.24 -50.93 -54.93

City of Springfield Police & Fire Retirement System IM All Commodities (MF)

As of June 30, 2015


Page 101

Comparative Performance & Rolling Return

Historical Statistics — Since Inception

Correlation Analysis — 5 Years

Rolling 3 Yrs Active Return Active Return

0.0

2.0

4.0

-2.0

-4.0

Ac

tive

Re

turn

(%)

6/13 9/13 12/13 3/14 6/14 9/14 12/14 3/15 6/15

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 2014 2013 2012

EnTrust -1.39 0.56 -1.50 N/A N/A 1.69 N/A N/A


Difference -1.71 -1.68 -4.26 N/A N/A -1.45 N/A N/A


SharpeRatio Beta

InceptionDate

EnTrust 4.64 3.53 1.29 1.56 02/01/2013

HFRI FOF: Conservative Index 4.70 1.93 2.37 1.00 02/01/2013

90 Day U.S. Treasury Bill 0.04 0.02 N/A 0.00 02/01/2013

EnTrust HFRI FOF: Conservative Index 90 Day U.S. Treasury Bill

EnTrust N/A

HFRI FOF: Conservative Index N/A 1.00

90 Day U.S. Treasury Bill N/A -0.04 1.00

City of Springfield Police & Fire Retirement System EnTrustAs of June 30, 2015

Page 102

Risk & Return — 3 Years Risk & Return — 5 Years

Distribution of Returns

0

5

10

15

20

Fre

qu

en

cy

< -5 -5 To -4 -4 To -3 -3 To -2 -2 To -1 -1 To 0 0 To 1 1 To 2 2 To 3 3 To 4 4 To 5 > 5

Returns (%)

0 0 0 0

2

12

5

8

2

0 0 0

-3.0

0.0

3.0

6.0

9.0

Re

turn

(%)

-1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0


90 Day U.S. Treasury Bill

HFRI FOF: Conservative Index

-2.0

0.0

2.0

4.0

6.0

Re

turn

(%)

-1.2 -0.6 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2




City of Springfield Police & Fire Retirement System EnTrustAs of June 30, 2015

Page 103

-44.0

-36.0

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

Re

turn


EnTrust -1.39 (90) 0.56 (39) -1.50 (34) N/A N/A N/A N/A¢£

HFRI FOF: Conservative Index 0.32 (75) 2.24 (30) 2.76 (22) 5.53 (28) 3.67 (35) 0.93 (35) 2.62 (71)Å�

5th Percentile 6.64 9.60 9.47 11.77 8.42 5.57 10.25

1st Quartile 5.15 2.88 1.75 5.84 4.81 1.76 6.82

Median 2.98 -2.77 -11.58 1.41 1.76 0.11 4.17

3rd Quartile 0.32 -7.36 -18.60 -4.31 -0.82 -2.53 2.33

95th Percentile -3.51 -11.24 -23.91 -7.69 -3.76 -6.35 -0.08

City of Springfield Police & Fire Retirement System Fund of Funds Hedge Funds

As of June 30, 2015


Page 104

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

EnTrust 1.69 (26) N/A N/A N/A N/A N/A N/A¢£

HFRI FOF: Conservative Index 3.14 (19) 7.70 (52) 4.22 (57) -3.55 (32) 5.07 (50) 9.65 (74) -19.86 (52)Å�

5th Percentile 10.56 22.17 14.89 2.26 19.91 58.06 5.90

1st Quartile 1.84 13.28 8.21 -2.42 12.00 24.73 -13.92

Median -3.99 8.22 5.12 -5.81 5.02 15.18 -19.62

3rd Quartile -10.15 1.21 1.57 -9.62 -0.84 9.29 -26.61

95th Percentile -17.58 -12.02 -6.03 -26.39 -6.07 -0.51 -42.13


As of June 30, 2015


Page 105

Fund Description:EnTrust Diversified Fund seeks to achieve consistent, risk-adjusted returns in changing market environments with a diversified portfolio of managers trading a range of strategies, including long/short equities, distressedsecurities, special situations, event-driven, multi-arbitrage and activism-both U.S. and non-U.S. The majority of the investment team's resources and time is devoted to extensive bottom-up research of managers andtheir organizations.

Quarterly Commentary:

Entrust Capital Diversified Fund returned -1.32% during the second quarter and underperformed its benchmark (HFRI FOF: Conservative Index) return of -0.09% for the same period. While performance in April was positive, negative returns in May (-0.23%), and especially in June (-1.49%), hampered returns. The fund’s Opportunistic strategy (-119 basis points) was the main detractor during the quarter followed by Global Long/Short Equity (-20 basis points), Activist (-20 basis points), and theEnTrust Portfolio Tail Risk Fund (-8 basis points). Meanwhile, the Fund’s Credit & Special Situations and Event Driven, Multi-Strategy, & Arbitrage strategies produced modest gains of 19 basis points and 15 basis points, respectively. The top fiveperformance detractors included: Gramercy Special Opportunity Fund (Opportunistic), SAB Capital Partners (Global Long/Short Equity), York Multi-Strategy (Event Driven, Multi-Strategy, & Arbitrage), Cevian Capital II (Activist), and the EnTrust Portfolio& Tail Risk Fund (Tail Risk). The Gramercy Special Opportunity Fund detracted -1.18% from second quarter performance as its core position in Peruvian Agrarian bonds declined as a result of developments pertaining to a legal filing submitted to thePeruvian Tribunal by the Land Reform Bondholders Association. SAB Capital Partners -0.29% drag on performance was largely the result of long position losses in OnDeck Capital and Altisource Residential. The top five contributing managers for thequarter included: Saba E Fund (Event Driven, Multi-Strategy, & Arbitrage), Paulson ESP Segregated Portfolio Company 1 (Event Driven, Multi-Strategy, & Arbitrage) Carl Marks Strategic Opportunity Fund (Credit & Special Situations), Third PointOffshore Fund (Event Driven, Multi-Strategy, & Arbitrage), and Tosca Fund (Global Long/Short Equity). The Saba E Fund contributed 0.12% to performance led higher by long positioning in the bonds of newspaper publisher The McClatchy Company

versus short credit positioning implemented through the company’s CDS. Elsewhere, Paulson ESP Segregated Portfolio Company contributed 0.10% during the period as a result of strength in its event-driven equity investments.

Performance Analysis (Net of All Fees)

Statistical Analysis - Since Inception

Correlation Analysis - 5 Years

Strategy Allocation Overviewas of 03/31/15


Risk/RewardAnalysis - Since Inception

1Quarter

1Year

3Years

5Years

7Years

EnTrust Diversified Fund, Ltd. -1.32 -1.38 6.41 5.34 4.28

HFRI FOF: Conservative Index 0.32 2.76 5.53 3.67 0.93

Barclays Aggregate -1.68 1.86 1.83 3.35 4.59

S&P 500 0.28 7.42 17.31 17.34 9.42


SharpeRatio Beta

InceptionDate

EnTrust Diversified Fund, Ltd. 6.06 6.64 0.71 1.44 10/01/2003

Barclays Aggregate 4.39 3.30 0.89 -0.05 10/01/2003

S&P 500 8.60 13.93 0.56 2.16 10/01/2003



EnTrust Diversified Fund, Ltd. HFRI FOF: Conservative Index S&P 500 Barclays Aggregate

EnTrust Diversified Fund, Ltd. 1.00

HFRI FOF: Conservative Index 0.88 1.00

S&P 500 0.79 0.74 1.00

Barclays Aggregate -0.19 -0.18 -0.21 1.00

0.0% 15.0% 30.0% 45.0% 60.0%

Activist

Credit and Special Situations

Event Driven, Multi-Strat and Arb

Global Long/Short Equity

Opportunistic

21.5%

13.6%

36.8%

12.5%

15.7%

0.0% 15.0% 30.0% 45.0%

Activist

Credit and Special Situations

Event Driven, Multi-Strat and Arb

Global Long/Short Equity

Opportunistic

Portfolio Tail Risk

18.5%

22.6%

31.6%

9.8%

14.4%

3.1%

0.0

2.5

5.0

7.5

10.0

12.5

Ret

urn

(%)

-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0


Barclays Aggregate

S&P 500


EnTrust Diversified Fund, Ltd.

Hedge Fund Monitoring Report

EnTrust Diversified Fund, Ltd. as of 06/30/15Category:Strategy:

Fund of FundsNon-Directional

Note: Current quarter return is an estimate and is subject to revision.

Peer Group Analysis vs. Fund of Funds Hedge Funds as of 06/30/15

Distribution of Returns - Since Inception

Rolling Returns - Since Inception

Historical Performance Monthly

-60.0

-40.0

-20.0

0.0

20.0

40.0R

etu

rn

1 Qtr 1 Yr 3 Yrs 5 Yrs YTD 2014 2013

EnTrust Diversified Fund, Ltd. -1.32 (89) -1.38 (33) 6.41 (22) 5.34 (22) 0.61 (38) 1.82 (26) 10.99 (36)¢£

5th Percentile 6.64 9.47 11.77 8.42 9.46 10.56 22.17

1st Quartile 5.15 1.75 5.84 4.81 2.87 1.84 13.28

Median 2.98 -11.58 1.41 1.76 -2.79 -3.99 8.22

3rd Quartile 0.32 -18.60 -4.31 -0.82 -7.38 -10.15 1.21

95th Percentile -3.51 -23.91 -7.69 -3.76 -11.25 -17.58 -12.02

Population 750 738 684 627 748 1,768 2,012

0

15

30

45

60

Fre

qu

ency


Returns (%)

2 1 4 1

13

28 3040

15

4 2 1

Rolling 3 Years Active Return Quarterly Active Return

0.0

6.0

12.0

18.0

-6.0

-12.0Act

ive

Ret

urn

(%)

12/03 9/04 6/05 3/06 12/06 9/07 6/08 3/09 12/09 9/10 6/11 3/12 12/12 9/13 6/14 6/15

January February March April May June July August September October November December Year

2003 N/A N/A N/A N/A N/A N/A N/A N/A N/A 1.74 1.15 2.02 N/A

2004 2.23 1.48 0.63 0.13 -0.26 1.27 -0.86 0.46 1.39 0.40 2.90 2.15 12.52

2005 -0.09 1.29 -0.68 -1.75 0.26 1.37 1.74 0.69 0.60 -1.55 1.22 1.40 4.51

2006 2.40 0.75 1.96 1.32 -1.35 -0.38 0.12 1.26 0.72 1.96 1.68 1.76 12.83

2007 1.97 1.28 0.75 1.78 2.40 0.25 0.28 -1.79 0.88 2.57 -0.83 0.06 9.93

2008 -2.31 0.89 -1.97 -0.19 1.96 -1.11 -3.46 -0.41 -6.54 -9.79 -3.50 -1.84 -25.34

2009 1.82 -1.12 -0.02 1.49 5.50 2.47 3.94 4.35 4.60 2.09 2.45 3.17 35.20

2010 -0.15 0.13 3.59 0.68 -3.32 -1.22 2.28 0.67 2.58 1.87 0.28 3.37 11.07

2011 0.37 1.34 0.31 0.74 -0.13 -1.67 -0.52 -4.05 -3.49 1.98 -0.82 1.36 -4.67

2012 1.98 1.06 0.22 -0.10 -1.63 -0.26 0.44 1.08 0.77 -0.06 2.33 1.28 7.28

2013 1.65 -0.01 1.20 0.02 1.61 -0.73 1.41 -0.28 1.52 1.57 1.47 1.08 10.99

2014 -0.16 2.25 -0.18 -0.04 1.06 0.90 -0.62 0.43 -0.50 -1.74 1.26 -0.79 1.82

2015 -0.56 2.55 -0.02 0.40 -0.23 -1.49 N/A N/A N/A N/A N/A N/A N/A


EnTrust Diversified Fund, Ltd. as of 06/30/15Category:Strategy:



Comparative Performance & Rolling Return

Historical Statistics — Since Inception

Correlation Analysis — 5 Years

Rolling 3 Yrs Active Return Active Return

0.0

0.6

1.2

1.8

-0.6

Ac

tive

Re

turn

(%)

12/13 3/14 6/14 9/14 12/14 3/15 6/15

1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 2014 2013 2012

Blackstone Partners NT 0.59 2.80 4.94 N/A N/A 5.77 N/A N/A


Difference 0.27 0.56 2.18 N/A N/A 2.63 N/A N/A


SharpeRatio Beta

InceptionDate

Blackstone Partners NT 6.46 2.13 2.94 1.01 08/01/2013



Blackstone Partners NT HFRI FOF: Conservative Index 90 Day U.S. Treasury Bill

Blackstone Partners NT N/A

HFRI FOF: Conservative Index N/A 1.00

90 Day U.S. Treasury Bill N/A -0.04 1.00

City of Springfield Police & Fire Retirement System Blackstone Partners NTAs of June 30, 2015

Page 108

Risk & Return — 3 Years Risk & Return — 5 Years

Distribution of Returns

0

5

10

15

20

Fre

qu

en

cy


Returns (%)

0 0 0 0 0

6

12

5

0 0 0 0

-3.0

0.0

3.0

6.0

9.0

Re

turn

(%)

-1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0




-2.0

0.0

2.0

4.0

6.0

Re

turn

(%)

-1.2 -0.6 0.0 0.6 1.2 1.8 2.4 3.0 3.6 4.2




City of Springfield Police & Fire Retirement System Blackstone Partners NTAs of June 30, 2015

Page 109

-44.0

-36.0

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

Re

turn


Blackstone Partners NT 0.59 (72) 2.80 (27) 4.94 (15) N/A N/A N/A N/A¢£

HFRI FOF: Conservative Index 0.32 (75) 2.24 (30) 2.76 (22) 5.53 (28) 3.67 (35) 0.93 (35) 2.62 (71)Å�

5th Percentile 6.64 9.60 9.47 11.77 8.42 5.57 10.25

1st Quartile 5.15 2.88 1.75 5.84 4.81 1.76 6.82

Median 2.98 -2.77 -11.58 1.41 1.76 0.11 4.17

3rd Quartile 0.32 -7.36 -18.60 -4.31 -0.82 -2.53 2.33

95th Percentile -3.51 -11.24 -23.91 -7.69 -3.76 -6.35 -0.08


As of June 30, 2015


Page 110

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

100.0

Re

turn

2014 2013 2012 2011 2010 2009 2008

Blackstone Partners NT 5.77 (9) N/A N/A N/A N/A N/A N/A¢£

HFRI FOF: Conservative Index 3.14 (19) 7.70 (52) 4.22 (57) -3.55 (32) 5.07 (50) 9.65 (74) -19.86 (52)Å�

5th Percentile 10.56 22.17 14.89 2.26 19.91 58.06 5.90

1st Quartile 1.84 13.28 8.21 -2.42 12.00 24.73 -13.92

Median -3.99 8.22 5.12 -5.81 5.02 15.18 -19.62

3rd Quartile -10.15 1.21 1.57 -9.62 -0.84 9.29 -26.61

95th Percentile -17.58 -12.02 -6.03 -26.39 -6.07 -0.51 -42.13


As of June 30, 2015


Page 111

Fund Description:Partners NT targets attractive risk-adjusted returns through investments in a well-diversified group of managers that employ a variety of unique investment strategies including Interest Rate-Driven, Credit-Driven,Commodities, Event-Driven, Equity, Managed Futures, and Global Macro. Partners NT targets low volatility and low correlation to traditional asset classes.

Quarterly Commentary:

Blackstone Partners NT Fund returned 0.57% during the second quarter underperforming its benchmark (90 Day T-Bills +4%) return of 1.0% for the same period. Negative returns during both April and June detracted frompositive returns generated during May. For the quarter, gains were widespread, with the majority of underlying strategy groups posting profits during the period. Arbitrage & Event managers were the strongest performersfollowed by Equity Long/Short and Special Situations managers. Meanwhile, Directional Trading & Fixed Income managers detracted from returns. Within Arbitrage & Event, the multi-strategy sub-strategy contributed the bulkof returns. Elliott International (+0.16% contribution) and D.E. Shaw Composite Graphite International (+0.14% contribution), both multi-strategy managers, were two of the funds top five second quarter performers. ParntersNT has maintained its Event positioning as corporate activity levels are still sustaining opportunities. Also, the team has maintained its allocation to Arbitrage & Event sub-strategy allocation to mortgage and structuredcredit/ABS managers, as they see opportunities in MSRs/whole loans/ CLOS and believe that ABS valuations have rebounded with bank supply sustaining the ABS opportunity. Regarding Equity Long/Short, equities trading andEM equity sub-strategies produced the majority of gains. SRS Partners, an equities fundamental allocation, was a top five contributor to overall fund performance during the period, adding 0.09% in gains. Partners NT continuesto maintain overweight Equity Long/Short strategy exposure, especially to low net managers, as the team believes in the potential for alpha generation on both long and short positions. Additionally, Partners NT has maintainedits allocation to quantitative equity managers as the team believes it provides continued alpha potential with shorter-term risk-diversifying benefits. Elsewhere, the Directional Trading & Fixed Income strategy slightly detractedfrom performance during the quarter with CTA managers leading negative performing sub-strategy groups. Specifically, CTA manager Two Sigma Absolute Return Macro Enhanced strategy (-0.12% contribution) was a bottomfive manager in terms of contribution to overall fund performance. Macro Thematic manager Tudor BVI Global (-0.03%), was also a bottom five manager. Partners NT will continue to overweight/add to its global macroallocation, especially diversified relative value trading on broader macro themes and will reduce its CTA exposure as choppy markets will mean fewer trends to be taken advantage of. Finally, Partners NT is underweight and/or

reducing exposure to the following sub-strategies (in addition to those already mentioned): reinsurance, activism, and credit fundamental.

Performance Analysis (Net of All Fees)

Statistical Analysis - Since Inception

Correlation Analysis - 3 Years



Risk/RewardAnalysis - Since Inception

1Quarter

1Year

3Years

5Years

Blackstone Partners Non-Taxable L.P. 0.57 4.87 7.52 5.85

90 Day T-Bills +4% 0.99 4.03 4.06 4.07

Barclays Aggregate -1.68 1.86 1.83 3.35

S&P 500 0.28 7.42 17.31 17.34


SharpeRatio Beta

InceptionDate

Blackstone Partners Non-Taxable L.P. 7.47 4.43 1.11 1.04 07/01/1996

Barclays Aggregate 5.66 3.48 0.90 0.69 07/01/1996

S&P 500 8.08 15.46 0.42 -0.65 07/01/1996

90 Day T-Bills +4% 6.60 0.66 1,829.89 1.00 07/01/1996


Blackstone Partners Non-Taxable L.P. Barclays Aggregate S&P 500 90 Day T-Bills +4%

Blackstone Partners Non-Taxable L.P. 1.00

Barclays Aggregate 0.03 1.00

S&P 500 0.58 -0.03 1.00

90 Day T-Bills +4% -0.08 0.12 -0.23 1.00

0.0% 15.0% 30.0% 45.0% 60.0%

Arbitrage & Event

Cash & Other

Directional Trading & Fixed Income

Equity Long/Short

Special Situations

41.1%

2.3%

9.2%

39.0%

8.4%

0.0% 15.0% 30.0% 45.0% 60.0%

Arbitrage & Event

Cash & Other

Directional Trading & Fixed Income

Equity Long/Short

Special Situations

42.5%

2.3%

12.9%

35.0%

7.3%

4.0

6.0

8.0

10.0

Ret

urn

(%)

-6.0 -3.0 0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0 24.0


Barclays Aggregate

S&P 500

90 Day T-Bills +4%

Blackstone Partners Non-Taxable L.P.


Blackstone Partners Non-Taxable L.P. as of 06/30/15Category:Strategy:



Peer Group Analysis vs. Fund of Funds Hedge Funds as of 06/30/15

Distribution of Returns - Since Inception

Rolling Returns - Since Inception

Historical Performance Monthly

-40.0

-20.0

0.0

20.0

40.0

Re

turn

1 Qtr 1 Yr 3 Yrs 5 Yrs YTD 2014 2013

Blackstone Partners Non-Taxable L.P. 0.57 (72) 4.87 (15) 7.52 (17) 5.85 (19) 2.80 (26) 5.69 (9) 8.91 (47)¢£

5th Percentile 6.64 9.47 11.77 8.42 9.46 10.56 22.17

1st Quartile 5.15 1.75 5.84 4.81 2.87 1.84 13.28

Median 2.98 -11.58 1.41 1.76 -2.79 -3.99 8.22

3rd Quartile 0.32 -18.60 -4.31 -0.82 -7.38 -10.15 1.21

95th Percentile -3.51 -23.91 -7.69 -3.76 -11.25 -17.58 -12.02

Population 750 738 684 627 748 1,768 2,012

0

50

100

150

Fre

qu

ency


Returns (%)

2 1 1 215

26

9570

11 4 1 0

Rolling 3 Years Active Return Quarterly Active Return

0.0

8.0

16.0

-8.0

-16.0

-24.0Act

ive

Ret

urn

(%)

9/96 9/97 9/98 9/99 9/00 9/01 9/02 9/03 9/04 9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 6/15

January February March April May June July August September October November December Year

1996 N/A N/A N/A N/A N/A N/A -0.27 1.63 0.58 1.76 2.30 0.47 N/A

1997 2.70 1.25 -0.09 0.13 1.92 1.88 2.91 0.28 2.95 0.19 1.17 3.05 19.87

1998 0.34 1.93 4.33 0.66 0.33 -0.31 0.14 -4.27 -1.49 -0.51 2.66 1.95 5.64

1999 1.39 0.40 1.83 2.23 0.78 1.35 0.38 0.69 0.79 0.52 2.98 3.58 18.23

2000 1.49 3.68 0.19 0.14 0.28 1.97 0.94 1.73 1.00 0.22 0.40 1.47 14.31

2001 1.78 1.27 0.30 0.11 1.16 0.31 0.66 1.19 -1.11 0.93 0.56 1.16 8.61

2002 1.03 0.43 0.44 0.72 0.28 -1.79 -1.90 0.79 -0.30 0.28 1.27 0.69 1.90

2003 1.00 0.42 0.04 1.37 1.31 0.95 -0.19 0.40 0.64 1.06 0.52 1.38 9.26

2004 1.32 0.52 0.25 0.31 -0.33 0.14 -0.54 0.06 0.55 0.77 1.56 1.22 5.96

2005 0.37 0.94 -0.02 -0.84 0.18 1.08 1.34 0.62 1.42 -1.06 1.42 1.35 6.97

2006 2.47 0.73 1.44 2.02 -1.54 0.10 -0.04 0.47 0.89 1.23 1.90 1.66 11.86

2007 1.63 0.94 1.41 1.68 1.89 0.91 1.45 -1.80 1.52 2.10 -0.55 0.76 12.54

2008 -1.51 0.66 -2.73 0.65 1.37 -0.52 -1.90 -1.12 -5.82 -5.47 -3.02 -1.76 -19.47

2009 1.14 -0.14 0.22 1.42 3.45 0.71 1.50 1.51 1.85 0.61 1.20 0.65 15.02

2010 0.79 0.51 1.43 0.73 -1.61 -0.36 0.89 0.48 1.50 1.41 0.09 1.72 7.80

2011 0.71 0.94 0.08 1.19 -0.58 -1.01 0.16 -1.54 -2.28 1.40 -0.28 -0.23 -1.50

2012 1.74 1.21 0.32 0.06 -1.02 -0.15 1.05 1.09 1.06 0.00 0.83 0.90 7.29

2013 2.00 0.64 0.90 0.45 1.08 -0.81 0.80 -0.07 0.90 1.01 0.95 0.74 8.91

2014 0.71 1.32 -0.22 0.07 1.25 0.44 0.29 0.59 0.50 -0.91 0.92 0.61 5.69

2015 -0.17 1.41 0.97 -0.08 1.30 -0.64 N/A N/A N/A N/A N/A N/A N/A


Blackstone Partners Non-Taxable L.P. as of 06/30/15Category:Strategy:



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ANALYSIS OF INVESTMENT PERFORMANCE - Springfield

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