Utah · THIRD QUARTER 2018 MARKET SUMMARY • A strong tailwind behind domestic macroeconomic...

COMPOSITE PERFORMANCE REVIEWReport for Periods Ending September 30, 2018

SITFO

Presented by:David D. Center, CFASenior Vice President

THIRD QUARTER 2018MARKET SUMMARY

• A strong tailwind behind domestic macroeconomic fundamentals supported healthyreturns across U.S. equities, including the strongest quarterly total return for the Russell1000 Index since 2013. Conversely, international developed and emerging marketequities struggled amid an increasingly tenuous global trade backdrop, incrementallytighter Fed policy, and rising U.S. interest rates.

• The robust U.S. economy and increasing cost pressures helped drive a broad-basedincrease in Treasury interest rates, leading to price declines across the higher qualityfixed income market and supporting returns among credit-sensitive areas.

• Energy infrastructure posted solid returns for the second consecutive quarter, withincreasing energy prices, elevated domestic crude oil production, and renewed positiveinvestor sentiment underpinning the recent run of impressive returns.

EXECUTIVE SUMMARY

2

Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC

ECONOMIC INSIGHTS

• While the economy may indeed slow in the coming years, current conditions remain exceptionally favorable. The Institutefor Supply Management (ISM) Economy-Weighted Purchasing Manager Index (PMI), for example, ascended to the highestlevel on record through September, at more than 11 index points above the critical expansion/contraction level of 50 andwith both the Services and Manufacturing components at or near cyclically high levels.

• The headline U-3 unemployment rate dropped to 3.7% in September, the lowest level since December 1969 despite aweak payrolls reading. Employee wage growth held steady near 3%, essentially at the highest level since 2009. Whilewage growth has accelerated gradually since 2015, much of this improvement can be attributed to rebounding inflationrates, as inflation-adjusted (real) wage growth has declined meaningfully since 2015.

ISM ECONOMY-WEIGHTED PURCHASING MANAGER INDEX

Data sources: ISM, NBER, Bloomberg, L.P.; Data as of September 2018

61.4

35

40

45

50

55

60

65

1997 2000 2003 2006 2009 2012 2015 2018

PMI I

ndex

Leve

l

NBER Recessions PMI Expansion/Contraction Threshold

3


MARKET RETURNS

MARKET RETURNSThird Quarter 2018

Data sources: Lipper and HedgeFund Research

-10%

-5%

0%

5%

10%

15%

S&P 500Index

MSCI EAFEIndex

MSCIEmerging

MktsIndex

BlmbrgBarclaysU.S. Agg

Index

BlmbrgBarclaysHY Index

FTSENAREIT All

EquityIndex

AlerianMLP Index

BlmbrgCmdtyIndex

HFRI FundWtd

Comp.Index

HFRI Fundof FundIndex

Quarter 7.7% 1.4% -1.1% 0.0% 2.4% 0.5% 6.6% -2.0% 0.6% 0.4%1 Yr 17.9% 2.7% -0.8% -1.2% 3.0% 4.3% 4.9% 2.6% 4.1% 3.3%5 Yrs Annualized 13.9% 4.4% 3.6% 2.2% 5.5% 9.6% -2.7% -7.2% 4.1% 3.2%

Quarter 1 Yr 5 Yrs Annualized

GLOBAL EQUITY REAL ASSETSGLOBAL F.I. DIV. STRATEGIES

4


GLOBAL EQUITY, U.S. SECTOR CHANGES

• The Global Industry Classification Sectors(GICS) for the equity markets wererestructured to reflect the evolution inwhich people communicate and accessentertainment as well as information.

• The telecommunications sector, will berenamed ‘communications services’. Thisnew sector will make up a larger portion ofthe indices, accounting for nearly 11%versus the previous 2% level.

• Media companies from the consumerdiscretionary sector and internet servicescompanies from the informationtechnology sector will move tocommunication services, and e-commercecompanies will move from the informationtechnology sector to consumerdiscretionary.

• Several of the “FAANG” stocks will beaffected by this change. Companies thatwill be reclassified under the new changesinclude Facebook, Alphabet, Twitter,Netflix, and Walt Disney, just to name afew. Apple and Amazon will not beaffected by this transition, but will nowreflect a larger weight within their sectors.

GICS SECTOR CHANGES

Data source: Goldman Sachs Asset Management

Telecom Services (2%)

Disney, Netflix,and others

Consumer Discretionary

(13%)

Facebook,Alphabet, and

others

Information Technology

(26%)

Communication Services (11%)

Consumer Discretionary

(10%)

Information Technology

(20%)

Sept

embe

r 201

8

Exist

ing

5


GLOBAL EQUITY, U.S.

• A strong economy that supported consumer confidence and strong corporate earnings drove the U.S. equity market aheadof other markets across the globe.

• The health care sector posted the strongest returns as companies’ drug pipelines, sales growth, and spin-offs led toinvestor optimism.

• The technology sector performed well, but results were bifurcated for individual companies. Apple and Microsoft gainedas their new product announcements and cloud computing businesses were viewed favorably, while other householdnames in social media, Facebook and Twitter, dealt with declining user growth, government scrutiny, and cybersecurityissues.

LARGE CAP, MID CAP, AND SMALL CAP

Data source: Russell Data source: Russell

7.4%

17.8%17.1%

13.7%

5.0%

14.0%14.5%

11.7%

3.6%

15.2%

17.1%

11.1%

0%

5%

10%

15%

20%

Qtr 1 Yr 3 Yr 5 Yr

Russell 1000 Index Russell Mid Cap Index Russell 2000 IndexRUSSELL 3000 INDEX SECTOR QUARTERLY RETURNS

0.1%

0.6%

0.6%

2.5%

3.7%

5.1%

6.6%

7.9%

9.1%

9.3%

13.7%

0% 5% 10% 15%

MATERIALS

REAL ESTATE

ENERGY

UTILITIES

FINANCIALS

CONSUMER STAPLES

CONSUMER DISCRETIONARY

TELECOMMUNICATION SERVICES

INDUSTRIALS

TECHNOLOGY

HEALTH CARE

6


• Emerging market equities lagged thebroader equity market due in part to aslowdown in China, fears over thepotential impact of trade tensions, andtighter U.S. monetary policy.Additionally, the rise in oil prices hurtemerging market economies thatimport oil for their energy needs.

• The United Kingdom faced headwindsdue to difficulties in the ongoing Brexitnegotiations that weighed on marketsand led to a decline in the Britishpound.

• Economic news from the eurozoneshowed weakening since the beginningof the year and continued during thethird quarter, which pressuredconsumer confidence in the region,particularly in France. Also, exports toChina from the eurozone decreasedamid China’s slowdown, illustratingthe ramifications of global trade.

• Currency fluctuations played a minimalpart in returns throughout developedEurope.

Data source: MSCI Barra

Data source: MSCI Barra

GLOBAL EQUITY, NON-U.S.

MSCI EAFE REGIONAL QUARTERLY RETURNS

MSCI EM REGIONAL QUARTERLY RETURNS

-0.5%

3.7%

-1.7%

1.8%

0.6%

6.3%

-0.4%

1.8%

-5% 0% 5% 10%

Pacific (ex-Japan)

Japan

United Kingdom

Europe (ex-UK)

Quarter (Local) Quarter ($)

-1.6%

-1.8%

4.8%

1.8%

-1.2%

5.6%

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

Europe, Middle East, and Africa

Asia

Latin America

Quarter (Local) Quarter ($)

7


0%

3%

6%

9%

12%

15%

18%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Net

IRR

Vintage Year

Venture Capital Buyout

GLOBAL EQUITY, PRIVATE

• Median private equity returns havebeen positive since the 2003 vintageyear. Venture fund performance rosesteadily from 2004 to 2011, whilebuyout fund performance hasremained relatively stable since 2009.Recent vintage year returns are lowerdue to the short holding periods ofnew funds .

• Buyout fundraising softened in thefirst half of 2018 but remained athistorically elevated levels in line withrecent years. In contrast, venturefundraising rebounded in the secondquarter. Fundraising data can varysignificantly from quarter to quarterdue to the timing of a fund closing.

• Initial public offering (IPO) exit activitywas strong in 2018 for both venturecapital-backed companies and buyout-backed companies. The biopharmasector was among the most active as15 biopharma companies went publicin the second quarter, including six inone day.

The most recent private equity return information available from Thomson One is through March 31, 2018.

Data Source: Thomson One

MEDIAN VENTURE CAPITAL & BUYOUT VINTAGE YEAR IRRAs of March 31, 2018

Data Source: Pitchbook

VENTURE CAPITAL AND BUYOUT FUNDRAISING ACTIVITYAs of September 30, 2018

54 5222

38 46 38 3150 58 64 52 46

380

294

162132

169 179

251

296255

316346

221

$0$50

$100$150$200$250$300$350$400

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018YTD

Com

mitm

ents

(Bi

llion

s)

Vintage Year

Venture Capital Buyout

8


0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

1 Mth 5 Yr 10 Yr 30 Yr

September 2017 June 2018 September 2018

• The Federal Open Market Committeeincreased the federal funds rate attheir September 25-26th meeting by 25basis points (bps), bringing the targetrange to 2.0%-2.25%. Furthermore, thecommittee dropped “accommodative”from their description of their currentpolicy stance. Market expectations arefor one more rate hike in 2018.

• In the Federal Reserve's (Fed) flow offunds report, released the third weekof September, the Fed highlightedcorporate defined-benefit plan activityin the Treasury market. The Septemberincrease in the 10-year Treasury yieldcoincided with the deadline forcompanies to contribute to theirpensions at the previous 35% tax rate.Market speculation is that the end ofthis tax benefit may reduce Treasurydemand and support higher yields.

• The U.S. Treasury yield curve, asmeasured by the spread between theyields of 10-year and 2-year U.S.Treasuries, flattened from 33 bps to 18bps during the third quarter, beforerebounding to end the quarter at aspread of 24 bps. Market participantsare watching this metric closely as apotential recession indicator.

GLOBAL FIXED INCOME

BLOOMBERG BARCLAYS U.S. FIXED INCOME INDEX RETURNS

U.S. TREASURY YIELD CURVE

Data source: Bloomberg, L.P.

Data source: Barclays

0.0%

-0.8%-0.6%

-0.2% -0.1%

0.9%

2.4%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Aggregate TIPS Treasuries Municipal Mortgage-Backed

Credit High Yield

Data source: Lipper and Bloomberg Barclays

9


Data sources: NAREIT, Bloomberg, and Alerian

REAL ASSETS

• Although public real estate experienced six straight months of positive total return, growth came to an end in Septemberas REITs declined amid rising short-term interest rates. While rising interest rates brought headwinds to REITs in general,hotels and resorts rose almost 10% due to strong corporate earnings and U.S. economic growth that supported businessand leisure travel.

• Trade tensions with China and supply disruptions in Venezuela contributed to oil price volatility. However, oil pricesbegan to march higher to end the quarter, as the upcoming U.S. sanctions on Iran came into focus, Iranian crude exportsdeclined, and Organization of the Petroleum Exporting Countries (OPEC) decided to leave production steady.

• MLPs posted strong returns in the third quarter, and an increase in North American oil production could lead to highervolumes through pipelines and increased revenue for midstream MLPs. MLP balance-sheet quality has improved due todeleveraging over the last 12-18 months, and distributions are expected to grow by 3%-5% over the coming years.

PUBLIC REAL ASSETS – REAL ESTATE, COMMODITIES, AND MLPs

0.5%

4.3%

9.0% 9.6%

-1.1%

4.7%6.6%

3.4%

-2.0%

2.6%

-0.1%

-7.2%

6.6%4.9% 4.4%

-2.7%

-10%

-5%

0%

5%

10%

15%

Qtr 1 Yr 3 Yr 5 Yr

FTSE NAREIT All Equity Index FTSE EPRA/NAREIT Developed Property ex-U.S. IndexBloomberg Commodity Index Alerian MLP Index

10


0.6%0.4% 0.3%

1.5%

0.0%

0.7%

4.1%

3.3%

4.3% 4.3%

0.5%

5.3%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

Fund WeightedComposite Index

Fund of FundsComposite Index

Event - Driven(Total) Index

Relative Value(Total) Index

Macro (Total)Index

Equity Hedge(Total) Index

Quarter 1 Yr

• Hedge funds focused on emerging markets (EM) struggled throughout the quarter. A number of idiosyncratic events—ranging from tariff negotiations between the U.S. and China to extreme measures taken by the Argentinian government toprotect its currency—adversely impacted certain countries and led to spillover effects more broadly across EM.

• Systematic macro strategies rebounded from a challenging start to the year. Also, persistent trends in the U.S. dollar andcertain commodities drove gains for trend followers during the third quarter.

• Event driven strategies performed well, particularly those with large merger and acquisition (M&A) portfolios. The courtsoverruled the Department of Justice’s attempt to block the vertical merger of AT&T and Time Warner earlier in the year,clearing the way for the closure and announcement of similar deals.

i

DIVERSIFYING STRATEGIES, HEDGE FUNDS

Data source: HedgeFund Research

HFRI INDICES PERFORMANCE RETURNS IN U.S. DOLLARS

11

Standard Sharpe3Mos. YTD 1Yr 3Yr 5Yr 10Yr Deviation Ratio

Total Fund 1.5% 2.0% 4.8% 7.2% 7.1% 8.0% 6.2% 1.05 CPI + 5.0% 1.6 7.1 0.0 6.5 6.4 7.1 - -Policy Index 1.7 2.4 5.5 7.6 6.7 7.7 6.5% 1.04 Active Index 1.8 2.6 5.8 8.9 7.8 - 6.7% 1.15

Target Current37% 38% Growth Composite 1.8 1.0 6.6 11.9 10.1 9.7 10.3% 0.93

Target Index 3.1 4.6 10.3 14.4 10.4 10.0 10.3% 0.96 Active Index 2.7 2.6 8.7 14.5 10.6 - 10.4% 0.97

20% 19% Real Assets 3.5 7.4 8.5 6.3 10.0 5.2 5.3% 1.78 Target Index 2.6 4.8 6.1 5.5 8.6 5.4 5.4% 1.50 Active Index 3.2 6.1 8.2 7.0 9.4 4.6 5.3% 1.69

31% 31% Income Composite 0.6 1.9 2.6 3.5 3.3 4.6 2.0% 1.36 Target Index 0.8 0.8 2.1 4.3 3.8 4.7 2.3% 1.41 Active Index 0.5 1.9 3.1 4.0 3.7 - 2.2% 1.43

12% 12% Defensive Compsite -0.4 -2.4 0.3 - - - - - Target Index -2.1 -4.8 -1.6 - - - - - Active Index -1.2 -2.1 -0.2 - - - - -

% ofMarket Value Total Fund

Liquid $1,558,206,578 62% Semi-Liquid $528,498,752 21% Illiquid $428,921,482 17% Total Fund $2,515,626,812 100%

Liquidity Overview

SITFOSummary of Allocation and Performance

Report For Periods Ending September 30, 2018

5 Year

Asset Allocation

Annualized

38%

19%

31%

12%Growth CompositeReal AssetsIncome CompositeDefensive Compsite

12

5-year 10-year2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD annual annual

Emerging Markets 34.0%

Public RE 35.1%


Bonds - Agg 5.2%


MLPs 35.9%

MLPs 13.9%

Public RE 19.7%

U.S. Equity 33.6%

Public RE 28.0%

Private Equity 10.6%

MLPs 18.3%








Div. Strats. -19.0%

MLPs 76.4%

Public RE 27.9%

Private Equity 9.3%


MLPs 27.6%


Public RE 2.8%

High Yield 17.1%

Int'l 25.0%

U.S. Equity 10.6%

U.S. Equity 13.5%

U.S. Equity 12.0%

Commod 21.4%


Commod 16.2%

Private Equity -25.4%

High Yield 58.2%


Public RE 8.3%

Int'l 17.3%

Int'l 22.8%

U.S. Equity 12.6%

SITFO 2.2%

U.S. Equity 12.7%


MLPs 5.9%

Public RE 9.6%

High Yield 9.5%

Int'l 13.5%

Int'l 26.3%

MLPs 12.7%

SITFO -26.0%

Int'l 31.8%


Bonds - Agg 7.8%

U.S. Equity 16.4%


SITFO 8.7%

Bonds - Agg 0.5%

Commod 11.8%

U.S. Equity 21.1%

High Yield 2.6%

SITFO 7.1%

MLPs 9.2%

Public RE 12.2%

MLPs 26.1%

Int'l 11.2%

High Yield -26.2%

U.S. Equity 28.3%

U.S. Equity 16.9%

High Yield 5.0%

High Yield 15.8%

SITFO 20.2%

Bonds - Agg 6.0%

U.S. Equity 0.5%


SITFO 10.4%

SITFO 2.0%

High Yield 5.5%

SITFO 8.0%

Div. Strats. 9.3%

U.S. Equity 15.7%

Div. Strats. 10.0%

Commod -35.6%

Public RE 28.0%

Commod 16.8%

SITFO 2.3%

SITFO 13.5%

Div. Strats. 9.1%

MLPs 4.8%

Int'l -0.8%

Private Equity 9.2%

Public RE 8.7%

Public RE 1.8%

Int'l 4.4%

Public RE 7.8%

MLPs 6.3%

SITFO 13.0%

Bonds - Agg 7.0%

MLPs -36.9%

Div. Strats. 20.0%

High Yield 15.1%

U.S. Equity 1.0%


High Yield 7.4%

Div. Strats. 3.0%

Div. Strats. -1.1%

Public RE 8.6%

Div. Strats. 8.6%

Div. Strats. 1.4%

Div. Strats. 4.1%

Emerging Markets

5.4%

SITFO 6.1%

Div. Strats. 12.9%

SITFO 6.9%

U.S. Equity -37.3%

SITFO 19.8%

SITFO 12.2%

Div. Strats. -5.3%

Div. Strats. 6.4%

Public RE 2.9%

High Yield 2.5%

High Yield -4.5%

SITFO 5.9%

High Yield 7.5%

Int'l -1.4%

Emerging Markets

3.6%

Int'l 5.4%

U.S. Equity 6.1%

High Yield 11.8%

U.S. Equity 5.1%

Public RE -37.7%

Commod 18.9%

Div. Strats. 10.2%

Int'l -12.1%

MLPs 4.8%

Bonds - Agg

-2.0%

Emerging Markets

-2.2%

Emerging Markets -14.9%

Div. Strats. 5.4%

Bonds - Agg 3.5%

Bonds - Agg

-1.6%

Bonds - Agg 2.2%

Div. Strats. 4.6%

High Yield 2.7%

Bonds - Agg 4.3%

High Yield 1.9%

Int'l -43.4%


Int'l 7.7%

Commod -13.3%

Bonds - Agg 4.2%

Emerging Markets

-2.6%

Int'l -4.9%

Commod -24.7%

Bonds - Agg 2.6%

Commod 1.7%

Commod -2.0%

MLPs -2.7%

Bonds - Agg 3.8%

Bonds - Agg 2.4%

Commod 2.1%

Public RE -15.7%


Bonds - Agg 5.9%

Bonds - Agg 6.5%


Commod -1.1%

Commod -9.5%

Commod -17.0%

MLPs -32.6%

Int'l 1.0%

MLPs -6.5%

Emerging Markets

-7.7%

Commod -7.2%

Commod -6.2%


TABLE OF INVESTMENT RETURNS

© 2018 Fund Evaluation Group, LLC Approved for Client Use13

SinceMarket Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date2,515,626,812 -0.1 1.5 4.8 7.2 7.1 8.0 6.8 5/04

CPI + 5% 0.4 1.6 7.1 7.0 6.5 6.4 7.1Policy Index 0.0 1.7 5.5 7.6 6.7 7.7 7.1Difference -0.1 -0.2 -0.7 -0.4 0.4 0.2 -0.3Active Index -0.1 1.8 5.8 8.9 7.8 - 7.9Difference -0.1 -0.3 -1.0 -1.7 -0.6 -1.1

School Fund 2,400,169,855 -0.1 1.5 4.8 7.2 7.1 8.0 6.8 5/04Deaf School 2,441,919 -0.1 1.5 4.8 7.3 6.9 7.7 6.6 5/04Industrial School 1,317,434 -0.1 1.5 4.8 7.3 7.0 7.7 6.6 5/04Institute for the Blind 21,692,502 -0.1 1.5 4.8 7.2 7.3 8.2 7.0 5/04Miners Hospital 59,021,133 -0.1 1.5 4.8 7.3 7.3 8.3 6.5 5/04Normal School 5,449,099 -0.1 1.5 4.8 7.3 6.9 7.7 6.6 5/04Reservoirs Fund 7,532,793 -0.1 1.5 4.8 7.3 7.0 7.8 6.7 5/04School of Mines 4,525,361 -0.1 1.5 4.8 7.3 7.0 7.8 6.7 5/04University of Utah 6,432,961 -0.1 1.5 4.8 7.2 6.9 7.6 6.6 5/04Utah State Hospital 3,530,179 -0.1 1.5 4.8 7.2 7.0 7.8 6.7 5/04Utah State University 3,513,576 -0.1 1.5 4.8 7.2 6.9 7.6 6.5 5/04

Total Fund

SITFOSummary of Investment Performance


Annualized

0.1%0.1%0.3%0.2%0.3%0.2%2.3%0.9%0.1%

Current %

0.1%95.4%

© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only

14

Market Value YTD 2017 2016 2015 2014 2013 2012 20112,515,626,812 2.0 10.4 5.9 2.2 8.7 20.2 13.5 2.3

CPI + 5% 5.2 7.1 5.6 5.8 6.7 6.8 8.0 6.4Policy Index 2.4 11.4 5.4 0.9 7.6 19.2 14.2 0.7Difference -0.4 -1.0 0.6 1.3 1.1 1.0 -0.7 1.6Active Index 2.6 12.6 7.3 1.6 7.9 - - -Difference -0.6 -2.2 -1.3 0.6 0.9

School Fund 2,400,169,855 2.0 10.4 5.9 2.2 8.7 20.2 13.5 2.3Deaf School 2,441,919 2.0 10.4 5.9 1.7 8.0 21.1 14.1 2.0Industrial School 1,317,434 2.0 10.4 6.0 1.7 8.4 21.3 14.1 2.1Institute for the Blind 21,692,502 2.0 10.4 5.8 2.3 9.3 21.3 13.8 2.6Miners Hospital 59,021,133 2.0 10.4 5.9 2.4 9.5 20.6 13.8 2.6Normal School 5,449,099 2.0 10.4 6.0 1.6 8.1 20.6 13.8 2.2Reservoirs Fund 7,532,793 2.0 10.4 6.0 1.7 8.1 20.8 14.1 2.0School of Mines 4,525,361 2.0 10.4 6.0 1.7 8.4 21.0 14.0 2.2University of Utah 6,432,961 2.0 10.4 5.9 1.4 8.0 20.7 14.1 2.0Utah State Hospital 3,530,179 2.0 10.4 5.7 1.7 8.4 21.0 14.0 2.1Utah State University 3,513,576 2.0 10.4 5.9 1.7 8.2 20.6 13.8 2.5

Current %



0.1%

Total Fund

95.4%0.1%0.1%0.9%2.3%0.2%0.3%0.2%0.3%0.1%


15

SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date

2,515,626,812 -0.1 1.5 4.8 7.2 7.1 8.0 6.8 5/04CPI + 5% 0.4 1.6 7.1 7.0 6.5 6.4 7.1Policy Index 0.0 1.7 5.5 7.6 6.7 7.7 7.1Difference -0.1 -0.2 -0.7 -0.4 0.4 0.2 -0.3Active Index -0.1 1.8 5.8 8.9 7.8 - -Difference -0.1 -0.3 -1.0 -1.7 -0.6

38% 37% 952,756,693 -1.0 1.8 6.6 11.9 10.1 9.7 8.0 5/04Target Index 0.2 3.1 10.3 14.4 10.4 10.0 8.3Difference -1.2 -1.3 -3.7 -2.5 -0.3 -0.2 -0.2Active Index -0.4 2.7 8.7 14.5 10.6 - -Difference -0.6 -0.9 -2.0 -2.7 -0.5

19% 20% 488,192,260 0.6 3.5 8.5 6.3 10.0 5.2 4.8 12/07Target Index 0.4 2.6 6.1 5.5 8.6 5.4 5.0Difference 0.2 0.9 2.4 0.8 1.4 -0.2 -0.2Active Index 0.3 3.2 8.2 7.0 9.4 4.6 4.2Difference 0.3 0.3 0.3 -0.7 0.5 0.6 0.6

31% 31% 777,439,772 0.7 0.6 2.6 3.5 3.3 4.6 4.5 5/04Target Index 0.5 0.8 2.1 4.3 3.8 4.7 4.6Difference 0.2 -0.2 0.5 -0.8 -0.5 -0.1 0.0Active Index 0.4 0.5 3.1 4.0 3.7 - -Difference 0.3 0.1 -0.5 -0.5 -0.4

12% 12% 297,238,087 -0.5 -0.4 0.3 - - - -3.4 6/16Target Index -2.4 -2.1 -1.6 - - - -6.0Difference 1.9 1.7 2.0 - - - 2.7Active Index -1.7 -1.2 -0.2 - - - -3.1Difference 1.2 0.9 0.5 - - - -0.3

Total Fund

Growth Composite



Annualized

Real Assets Composite

Income Composite

Defensive Composite


16

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20112,515,626,812 2.0 10.4 5.9 2.2 8.7 20.2 13.5 2.3

CPI + 5% 5.2 7.1 5.6 5.8 6.7 6.8 8.0 6.4Policy Index 2.4 11.4 5.4 0.9 7.6 19.2 14.2 0.7Difference -0.4 -1.0 0.6 1.3 1.1 1.0 -0.7 1.6Active Index 2.6 12.6 7.3 1.6 7.9 - - -Difference -0.6 -2.2 -1.3 0.6 0.9

38% 37% 952,756,693 1.0 21.5 8.6 0.4 9.6 29.3 18.0 -1.3Target Index 4.6 22.5 10.7 -0.9 7.6 27.8 16.6 -3.6Difference -3.6 -1.0 -2.0 1.3 2.1 1.4 1.5 2.4Active Index 2.6 25.2 10.8 -0.8 7.9 - - -Difference -1.6 -3.7 -2.1 1.2 1.7

19% 20% 488,192,260 7.4 1.6 7.5 13.5 15.5 10.8 9.6 16.2Target Index 4.8 2.3 6.4 12.2 12.7 13.8 10.1 12.8Difference 2.5 -0.7 1.1 1.4 2.8 -3.0 -0.5 3.4Active Index 6.1 5.7 6.9 11.4 12.6 14.8 10.6 13.4Difference 1.3 -4.2 0.6 2.1 3.0 -4.1 -1.0 2.8

31% 31% 777,439,772 1.9 5.0 3.7 1.4 3.8 1.3 4.2 7.8Target Index 0.8 7.2 5.4 0.9 4.1 -0.8 4.2 7.8Difference 1.1 -2.2 -1.7 0.5 -0.3 2.0 0.0 -0.1Active Index 1.9 5.8 4.7 1.0 4.5 - - -Difference 0.0 -0.9 -1.0 0.4 -0.7

12% 12% 297,238,087 -2.4 1.9 - - - - - -Target Index -4.8 5.1 - - - - - -Difference 2.4 -3.2 - - - - - -Active Index -2.1 0.4 - - - - - -Difference -0.3 1.5 - - - - - -

Growth Composite


Income Composite

Defensive Composite

Total Fund




17


37.9% 37.0% 952,756,693 -1.0 1.8 6.6 11.9 10.1 9.7 8.0 5/04Target Index 0.2 3.1 10.3 14.4 10.4 10.0 8.3Difference -1.2 -1.3 -3.7 -2.5 -0.3 -0.2 -0.2Active Index -0.4 2.7 8.7 14.5 10.6 - -Difference -0.6 -0.9 -2.0 -2.7 -0.5

17.4% 15.0% 438,301,130 -1.0 5.0 18.6 16.1 14.1 12.5 9.4 5/04Target Index -1.0 5.5 16.6 18.0 14.0 12.3 9.4Difference 0.0 -0.5 2.0 -1.8 0.1 0.2 0.0Active Index -0.9 5.6 16.9 17.0 13.4 - -Difference -0.1 -0.6 1.7 -0.9 0.7

9.8% 7.5% 246,531,068 0.1 5.8 19.6 17.2 14.7 12.4 9.4 5/04Russell 1000 Index 0.4 7.4 17.8 17.1 13.7 12.1 9.3Difference -0.2 -1.7 1.9 0.2 1.1 0.3 0.1

9.8% 246,531,068 0.1 5.8 20.6 - - - 20.7 4/17Russell 1000 Index 0.4 7.4 17.8 17.4Difference -0.2 -1.7 2.9 3.3

7.6% 7.5% 191,770,062 -2.5 4.0 16.7 15.6 13.3 12.8 8.7 7/07Russell 2000 Index -2.4 3.6 15.2 17.1 11.1 11.1 8.8Difference -0.1 0.4 1.5 -1.6 2.2 1.7 -0.1

6.5% 162,319,382 -2.7 3.9 16.3 - - - 15.0 4/17Russell 2000 Index -2.4 3.6 15.2 16.0Difference -0.3 0.3 1.0 -1.0

1.2% 29,450,680 -1.1 4.4 - - - - 16.2 10/17Russell Microcap Index -3.3 0.8 13.8Difference 2.1 3.6 2.3

U.S. Small Cap

Parametric US VMP Small Cap

Parmetric US VMP Large Cap

BMO US Micro Cap

Domestic Equity

U.S. Large Cap



Annualized

Growth Composite


18

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201137.9% 37.0% 952,756,693 1.0 21.5 8.6 0.4 9.6 29.3 18.0 -1.3

Target Index 4.6 22.5 10.7 -0.9 7.6 27.8 16.6 -3.6Difference -3.6 -1.0 -2.0 1.3 2.1 1.4 1.5 2.4Active Index 2.6 25.2 10.8 -0.8 7.9 - - -Difference -1.6 -3.7 -2.1 1.2 1.7

17.4% 15.0% 438,301,130 11.5 20.1 10.5 2.2 15.2 35.1 17.8 4.6Target Index 11.1 18.2 17.6 0.5 12.7 33.3 16.3 1.1Difference 0.4 1.9 -7.1 1.7 2.5 1.8 1.5 3.4Active Index 11.0 20.5 12.6 0.5 12.7 - - -Difference 0.5 -0.4 -2.1 1.7 2.5

9.8% 7.5% 246,531,068 11.3 22.7 10.5 2.5 15.8 32.3 17.9 5.6Russell 1000 Index 10.5 21.7 12.1 0.9 13.2 33.1 16.4 1.5Difference 0.8 1.0 -1.5 1.5 2.5 -0.9 1.4 4.1

9.8% 246,531,068 12.0 - - - - - - -Russell 1000 Index 10.5Difference 1.5

7.6% 7.5% 191,770,062 11.7 13.9 17.7 -1.4 13.7 41.6 18.9 1.2Russell 2000 Index 11.5 14.6 21.3 -4.4 4.9 38.8 16.3 -4.2Difference 0.2 -0.7 -3.6 3.0 8.8 2.8 2.6 5.3

6.5% 162,319,382 11.0 - - - - - - -Russell 2000 Index 11.5Difference -0.5

1.2% 29,450,680 16.3 - - - - - - -Russell Microcap Index 11.6Difference 4.6

BMO US Micro Cap



Parmetric US VMP Large Cap

U.S. Small Cap


Growth Composite

Domestic Equity

U.S. Large Cap


19


18.4% 15.0% 463,402,672 -1.1 -0.9 -2.4 7.5 3.1 4.5 5.6 5/04Target Index 0.0 0.0 1.1 10.7 4.9 5.6 6.4Difference -1.2 -0.9 -3.4 -3.2 -1.8 -1.1 -0.8Active Index -0.5 -0.3 0.1 10.0 4.4 - 6.2Difference -0.7 -0.6 -2.5 -2.4 -1.3 -0.5

10.0% 7.5% 252,287,021 -0.2 1.3 4.3 10.3 4.8 5.5 6.4 5/04MSCI EAFE IMI Index 0.6 1.0 2.9 9.7 4.9 5.9 6.2Difference -0.8 0.2 1.5 0.6 -0.1 -0.4 0.3

10.0% 252,287,021 -0.2 1.3 4.3 - - - 9.7 4/17MSCI EAFE Index 0.9 1.4 2.7 8.4Difference -1.0 -0.1 1.6 1.4

8.4% 7.5% 211,115,651 -2.3 -3.5 -9.4 - - - 4.5 11/16MSCI Emerging Markets Index -0.5 -1.1 -0.8 13.9Difference -1.8 -2.4 -8.6 -9.4

1.4% 35,599,764 -1.9 -3.2 -3.2 - - - 4.8 11/16MSCI Frontier Markets Index -0.1 -2.0 -7.7 9.6Difference -1.9 -1.2 4.5 -4.9

0.9% 22,616,332 -15.4 -17.4 -37.4 - - - -24.7 3/17MSCI India SMID Cap Index -16.2 -12.2 -16.0 -5.4Difference 0.7 -5.2 -21.3 -19.3

6.1% 152,899,555 -0.1 -1.1 -4.7 - - - 2.3 4/17MSCI Emerging Markets Index -0.5 -1.1 -0.8 7.8Difference 0.4 0.0 -3.9 -5.6

International Equity

International Developed

Parametric International

Emerging Markets

SR Global Fund (Frontier)

Taiyo Greater India Fund

Parametric Emerging Markets



Annualized


20

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201118.4% 15.0% 463,402,672 -7.1 24.5 4.7 -4.2 -4.1 15.2 18.3 -14.5

Target Index -4.6 31.7 4.3 -4.3 -3.4 15.8 17.0 -14.3Difference -2.5 -7.2 0.4 0.1 -0.7 -0.6 1.3 -0.2Active Index -5.8 30.1 4.7 -4.3 -3.4 - - -Difference -1.3 -5.6 0.0 0.1 -0.7

10.0% 7.5% 252,287,021 0.3 24.3 4.8 -4.1 -3.9 15.2 18.6 -14.4MSCI EAFE IMI Index -1.5 26.2 1.2 0.5 -4.9 23.5 17.6 -12.6Difference 1.8 -1.8 3.6 -4.6 1.0 -8.4 0.9 -1.8

10.0% 252,287,021 0.3 - - - - - - -MSCI EAFE Index -1.4Difference 1.7

8.4% 7.5% 211,115,651 -14.7 26.0 - - - - - -MSCI Emerging Markets Index -7.7 37.3Difference -7.0 -11.2

1.4% 35,599,764 -10.6 20.8 - - - - - -MSCI Frontier Markets Index -12.6 31.9Difference 2.0 -11.0

0.9% 22,616,332 -46.6 - - - - - - -MSCI India SMID Cap Index -28.7Difference -17.9

6.1% 152,899,555 -8.9 - - - - - - -MSCI Emerging Markets Index -7.7Difference -1.2

International Equity



Emerging Markets




International Developed



21


2.0% 7.0% 51,052,891 1.0 0.2 -4.0 - - - 0.6 10/16Thomson One All Private Equity Index 4.3 4.3 21.4 20.3Difference -3.3 -4.1 -25.4 -19.7



Annualized

Private Equity


22

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20112.0% 7.0% 51,052,891 -6.0 10.4 - - - - - -

Thomson One All Private Equity Index 14.8 21.4Difference -20.9 -11.0



Private Equity


23


19.4% 20.0% 488,192,260 0.6 3.5 8.5 6.3 10.0 5.2 4.8 12/07Target Index 0.4 2.6 6.1 5.5 8.6 5.4 5.0Difference 0.2 0.9 2.4 0.8 1.4 -0.2 -0.2Active Index 0.3 3.2 8.2 7.0 9.4 4.6 4.2Difference 0.3 0.3 0.3 -0.7 0.5 0.6 0.6

5.9% 4.0% 148,541,888 -2.0 6.1 8.7 - - - 3.8 6/16Target Index -1.6 6.6 4.9 - - - 1.0Difference -0.4 -0.4 3.8 2.8Active Index -1.6 6.6 4.9 - - - 0.9Difference -0.4 -0.4 3.8 2.9

5.9% 148,541,888 -2.0 6.1 8.7 - - - 3.8 6/16Alerian MLP Index -1.6 6.6 4.9 0.9Difference -0.4 -0.4 3.8 2.9

3.3% 3.0% 82,049,056 -0.2 0.1 0.9 - - - 0.5 6/16Barclays U.S. TIPS Index -1.1 -0.8 0.4 0.3Difference 0.8 1.0 0.5 0.3

3.3% 82,049,056 -0.2 0.1 1.0 - - - 0.8 8/17BBG Barclays U.S. 0-5 Year TIPS Index -0.2 0.1 1.0 0.8Difference 0.0 0.1 0.0 0.0



Annualized

Harvest MLP Income Fund

Vanguard Inflation Protected ST Index

Public Real Assets

Inflation Linked Bonds



24

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201119.4% 20.0% 488,192,260 7.4 1.6 7.5 13.5 15.5 10.8 9.6 16.2

Target Index 4.8 2.3 6.4 12.2 12.7 13.8 10.1 12.8Difference 2.5 -0.7 1.1 1.4 2.8 -3.0 -0.5 3.4Active Index 6.1 5.7 6.9 11.4 12.6 14.8 10.6 13.4Difference 1.3 -4.2 0.6 2.1 3.0 -4.1 -1.0 2.8

5.9% 4.0% 148,541,888 9.2 -5.9 - - - - - -Target Index 5.9 -6.3 - - - - - -Difference 3.3 0.4Active Index 5.9 -6.5 - - - - - -Difference 3.3 0.6

5.9% 148,541,888 9.2 -5.9 - - - - - -Alerian MLP Index 5.9 -6.5Difference 3.3 0.6

3.3% 3.0% 82,049,056 0.1 2.8 - - - - - -Barclays U.S. TIPS Index -0.8 3.0Difference 0.9 -0.2

3.3% 82,049,056 0.8 - - - - - - -BBG Barclays U.S. 0-5 Year TIPS Index 0.8Difference 0.0





Public Real Assets

Inflation Linked Bonds

Vanguard Inflation Protected ST Index


25


9.4% 9.0% 235,745,760 1.8 1.9 7.3 7.1 10.5 5.5 5.0 12/07NCREIF Property Index 1.7 1.7 7.2 7.8 9.6 6.4 6.2Difference 0.2 0.2 0.2 -0.7 0.9 -0.9 -1.1

Private Real Estate



Annualized


26


NCREIF Property Index 5.3 7.0 8.0 13.3 11.8 11.0 10.5 14.3Difference -0.1 -0.7 -0.7 0.2 3.7 -0.2 -1.0 2.0

Private Real Estate




27


0.9% 4.0% 21,855,556 8.0 8.0 29.2 - - - 5.2 1/17Thomson One Private NR Index 2.2 2.2 11.5 8.3Difference 5.8 5.8 17.6 -3.1



Annualized

Private Real Assets


28

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20110.9% 4.0% 21,855,556 29.9 - - - - - - -

Thomson One Private NR Index 6.7Difference 23.3



Private Real Assets


29


30.9% 31.0% 777,439,772 0.7 0.6 2.6 3.5 3.3 4.6 4.5 5/04Target Index 0.5 0.8 2.1 4.3 3.8 4.7 4.6Difference 0.2 -0.2 0.5 -0.8 -0.5 -0.1 0.0Active Index 0.4 0.5 3.1 4.0 3.7 - -Difference 0.3 0.1 -0.5 -0.5 -0.4

10.0% 7.0% 251,007,290 -0.1 1.0 1.6 2.9 2.9 - 3.0 7/13Target Index 0.1 1.6 1.5 4.5 3.9 - 3.9Difference -0.2 -0.6 0.1 -1.6 -1.0 -0.8Active Index 0.5 1.7 3.1 3.5 3.4 - 3.5Difference -0.5 -0.7 -1.5 -0.6 -0.5 -0.4

Bramshill Investments 4.1% 102,756,703 0.4 1.1 1.8 - - - 3.3 12/16U.S. 91-Day Treasury Bill +5% 0.6 1.7 6.6 6.3Difference -0.2 -0.6 -4.8 -3.0

Loomis Sayles Full Spectrum Credit 4.2% 104,925,419 0.1 1.5 1.5 - - - 4.3 12/16Blended Index 0.1 1.5 1.4 3.7Difference 0.0 0.0 0.1 0.6

1.7% 43,325,168 -1.5 -0.7 2.8 - - - 3.9 12/16HFRI ED: Distressed/Restructuring Ix 1.1 1.3 5.9 6.0Difference -2.6 -2.0 -3.1 -2.1

Income Composite



Annualized

Credit

DW Partners Value Fund


30


Target Index 0.8 7.2 5.4 0.9 4.1 -0.8 4.2 7.8Difference 1.1 -2.2 -1.7 0.5 -0.3 2.0 0.0 -0.1Active Index 1.9 5.8 4.7 1.0 4.5 - - -Difference 0.0 -0.9 -1.0 0.4 -0.7

10.0% 7.0% 251,007,290 1.5 3.8 3.6 1.4 3.8 - - -Target Index 0.5 6.1 7.3 0.9 4.1 - - -Difference 1.0 -2.3 -3.8 0.5 -0.3Active Index 2.7 4.2 3.9 1.0 4.5 - - -Difference -1.2 -0.4 -0.4 0.4 -0.7

Bramshill Investments 4.1% 102,756,703 2.9 2.8 - - - - - -U.S. 91-Day Treasury Bill +5% 5.1 5.9Difference -2.1 -3.1

Loomis Sayles Full Spectrum Credit 4.2% 104,925,419 0.7 6.9 - - - - - -Blended Index 2.8 6.1Difference -2.1 0.8

1.7% 43,325,168 2.0 4.9 - - - - - -HFRI ED: Distressed/Restructuring Ix 4.2 6.3Difference -2.2 -1.4

Credit

DW Partners Value Fund

Income Composite




31


9.7% 8.0% 244,110,737 0.4 0.6 7.1 - - - 6.5 9/16Target Index -0.4 0.2 -0.4 - - - 0.0Difference 0.8 0.4 7.5 6.5Active Index 0.5 1.6 6.5 - - - 6.7Difference -0.1 -1.0 0.6 -0.2

2.5% 62,476,031 0.5 1.7 8.3 - - - 10.1 9/16HFRI RV: Asset Backed Index 0.5 1.3 6.0 7.3Difference 0.0 0.5 2.3 2.9

7.2% 181,634,706 0.4 0.2 6.7 - - - 5.7 2/17U.S. 91-Day Treasury Bill + 5% 0.6 1.7 6.6 6.4Difference -0.2 -1.5 0.0 -0.7

Putnam Dedicated Mortgage Strategy

Waterfall Eden



Annualized

Securitized


32

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20119.7% 8.0% 244,110,737 5.4 5.2 - - - - - -

Target Index -0.6 2.5 - - - - - -Difference 6.0 2.7Active Index 5.0 6.2 - - - - - -Difference 0.4 -1.0

2.5% 62,476,031 6.4 11.6 - - - - - -HFRI RV: Asset Backed Index 4.7 7.7Difference 1.7 3.9

7.2% 181,634,706 5.1 3.5 - - - - - -U.S. 91-Day Treasury Bill + 5% 5.1 5.9Difference 0.0 -2.4

Securitized

Waterfall Eden





33


5.4% 5.0% 134,868,545 1.5 -2.3 -5.4 - - - -1.3 5/17Target Index 0.4 -0.9 -3.2 - - - -0.4Difference 1.1 -1.4 -2.2 -0.9Active Index 1.8 -1.9 -6.5 - - - -2.1Difference -0.4 -0.4 1.1 0.8

3.4% 85,614,039 2.3 -2.4 -8.6 - - - -3.8 5/17JP Morgan GBI-EM Global Diversified Ix 3.1 -3.2 -9.9 -4.7Difference -0.8 0.8 1.3 1.0

2.0% 49,254,506 0.0 -2.1 - - - - -0.1 12/17HFRI Macro Index -0.3 0.0 -1.8Difference 0.3 -2.1 1.7

Templeton Global Summits Fund

PIMCO Emerging Markets Local Bond



Annualized

Emerging Markets Debt


34

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20115.4% 5.0% 134,868,545 -5.8 - - - - - - -

Target Index -4.2 - - - - - - -Difference -1.6Active Index -7.1 - - - - - - -Difference 1.3

85,614,039 -9.0 - - - - - - -JP Morgan GBI-EM Global Diversified Ix -10.8Difference 1.7

49,254,506 -0.1 - - - - - - -HFRI Macro Index -1.8Difference 1.7

Templeton Global Summits Fund

PIMCO Emerging Markets Local Bond



Emerging Markets Debt


35


4.1% 7.0% 104,160,943 2.3 2.8 10.7 - - - 11.4 10/16Thomson One Distressed Index 1.4 1.4 8.2 11.5Difference 0.9 1.3 2.5 -0.1



Annualized

Private Debt


36

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20114.1% 7.0% 104,160,943 8.1 12.5 - - - - - -

Thomson One Distressed Index 4.7 13.5Difference 3.4 -0.9



Private Debt


37


1.7% 4.0% 43,292,257 0.4 3.5 - - - - 4.9 12/17Swiss Re Cat Bond Index 0.1 1.0 4.2Difference 0.3 2.5 0.7

1.1% 27,185,925 -0.2 4.5 - - - - 8.7 12/17Swiss Re Cat Bond Index 0.1 1.0 4.2Difference -0.4 3.5 4.5

Income - ILS

Securis Event Fund



Annualized


38

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20111.7% 4.0% 43,292,257 4.9 - - - - - - -

Swiss Re Cat Bond Index 4.2Difference 0.7

1.1% 27,185,925 8.7 - - - - - - -Swiss Re Cat Bond Index 4.2Difference 4.5

Securis Event Fund



Income - ILS


39


11.8% 12.0% 297,238,087 -0.5 -0.4 0.3 - - - -3.4 6/16Target Index -2.4 -2.1 -1.6 - - - -6.0Difference 1.9 1.7 2.0 - - - 2.7Active Index -1.7 -1.2 -0.2 - - - -3.1Difference 1.2 0.9 0.5 - - - -0.3

2.9% 5.0% 71,852,565 -3.9 -4.4 -4.0 - - - -8.0 7/16BBG Barclays STRP 20-30 Yr Equal Par Ix -4.4 -4.7 -4.3 - - - -8.0Difference 0.4 0.3 0.3 0.1Active Index -4.4 -4.7 -4.3 - - - -8.0Difference 0.4 0.3 0.3 0.1

2.9% 71,852,565 -3.9 -4.4 -4.0 - - - -8.0 7/16BBG Barclays STRP 20-30 Yr Equal Par Ix -4.4 -4.7 -4.3 -8.0Difference 0.4 0.3 0.3 0.1

Defensive Composite



Annualized

Long U.S. Treasury

Vanguard Extended Duration


40

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201111.8% 12.0% 297,238,087 -2.4 1.9 - - - - - -

Target Index -4.8 5.1 - - - - - -Difference 2.4 -3.2 - - - - - -Active Index -2.1 0.4 - - - - - -Difference -0.3 1.5 - - - - - -

2.9% 5.0% 71,852,565 -8.0 13.5 - - - - - -BBG Barclays STRP 20-30 Yr Equal Par Ix -8.3 13.5 - - - - - -Difference 0.3 0.0Active Index -8.3 13.5 - - - - - -Difference 0.3 0.0

2.9% 71,852,565 -8.0 13.5 - - - - - -BBG Barclays STRP 20-30 Yr Equal Par Ix -8.3 13.5Difference 0.3 0.0

Long U.S. Treasury

Vanguard Extended Duration



Defensive Composite


41


7.5% 7.0% 188,753,644 0.3 0.7 0.4 - - - -8.2 9/16Target Index -1.1 -0.3 0.0 - - - -5.8Difference 1.4 1.0 0.4 -2.3Active Index -1.1 -0.3 0.0 - - - -4.4Difference 1.4 1.0 0.4 -3.8

7.5% 188,753,644 0.3 0.7 0.4 - - - -1.0 3/17Blended Index -1.1 -0.3 0.0 -2.8Difference 1.4 1.0 0.4 1.9



Annualized

CTA

Man FRM Alpha Protect


42

Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20117.5% 7.0% 188,753,644 -2.7 -9.1 - - - - - -

Target Index -1.7 -5.8 - - - - - -Difference -1.0 -3.3Active Index -1.7 -4.7 - - - - - -Difference -1.0 -4.4

7.5% 188,753,644 -2.7 - - - - - - -Blended Index -1.7Difference -1.0

CTA

Man FRM Alpha Protect




43


1.5% 0.0% 36,631,878 0.2 0.5 1.5 0.8 0.7 0.7 1.6 5/04ML U.S. 91-Day Treasury Bills 0.2 0.5 1.6 0.8 0.5 0.3 1.3Difference 0.1 0.0 -0.1 0.0 0.2 0.3 0.3

1.1% 26,432,491 0.2 0.6 1.7 1.3 1.0 0.8 1.7 5/04Blended Index 0.0 0.3 0.8 0.6 0.6 0.8 1.6Difference 0.2 0.2 0.9 0.7 0.4 0.1 0.1

0.4% 10,199,387 0.0 0.2 0.5 - - - 0.3 11/16ML U.S. 91-Day Treasury Bills 0.2 0.5 1.6 1.2Difference -0.1 -0.3 -1.1 -0.9

Public Treasurer's Investment Fund



Annualized

Cash

Northern Trust Cash


44


ML U.S. 91-Day Treasury Bills 1.3 0.9 0.3 0.1 0.0 0.1 0.1 0.1Difference 0.0 -0.2 0.0 0.5 0.4 0.4 0.5 0.4

1.1% 26,432,491 1.4 1.9 0.4 0.6 0.4 0.5 0.6 0.5Blended Index 0.8 0.7 0.6 0.3 0.3 0.2 0.3 0.8Difference 0.6 1.2 -0.2 0.3 0.1 0.3 0.3 -0.3

0.4% 10,199,387 0.5 0.0 - - - - - -ML U.S. 91-Day Treasury Bills 1.3 0.9Difference -0.8 -0.9

Public Treasurer's Investment Fund

Northern Trust Cash



Cash


45

*Defensive Composite Target Index is comprised of: 41.7% Bloomberg Barclays STRP 20-30 Year Equal Par Index, 58.3% Man FRM Target Index.

*Credit Target Index is comprised of: 50% Bloomberg Barclays Investment Grade Corporate Bond Index, 25% Bloomberg Barclays U.S. High Yield Corporate Bond Index,25% Credit Suisse Leveraged Loan Index.

*Fundamental Partners III Target Index is comprised of: 50% Thomson One Private Real Estate Index and 50% Thomson One Distressed Index.

*Cordillera Investment Fund I Target Index is comprised of: 45% Thomson One Private Real Estate Index, 35% Thomson One Private Equity Index and 20% Thomson OnePrivate Natural Resources Index.

*Loomis Sayles U.S High Yield Bond Trust Target Index is comprised of: 50% Bloomberg Barclays Corporate Investment Grade Index, 25% Bloomberg Barclays U.S. High Yield 2%Capped Index and 25% S&P/LSTA Leveraged Index.

*Securitized Target Index is comprised of: 50% Bloomberg Barclays U.S. MBS Index, 25% Bloomberg Barclays Investment Grade CMBS Index and 25% Bloomberg Barclays Asset BackedSecurities Index.

*EM Debt Target Index is comprised of: 50% FTSE ex-US World Gov't Bond Index, 16.7% JP Morgan EMBI Global Index, 16.7% JP Morgan GBI-EM Global Diversified Index, and 16.6% JP Morgan EM Corp. Debt Index

*Long US Treasury Target Index is comprised of 100% Barclays U.S. 20+ Yr Treasury Index.

*CTA Target Index is comprised of 50% SG Trend Index, 25% S&P 10Y US Treasury Note Futures Index, 12% VIX Mid-Term Future Index, 13% LIBOR.

*Man FRM Target Index is comprised of 50% SG Trend Index, 25% S&P 10Y US Treasury Note Futures Index, 12% VIX Mid-Term Future Index, 13% LIBOR.

*Public Treasurer's Target Index is comprised of 50% 3-Month T-Bill Index and 50% Bloomberg Barclays 1-3 Yr Government Bond Index.

*Active Weighted Indices are comprised of specific indices weighted in proportion to the composites actual asset allocation adjusted monthly.

**Any benchmark containing a Thomson One private benchmark, NCREIF, or the Barclay CTA Index is subject to change as updated data becomes available.

*Domestic Equity Target Index is comprised of: 50% Russell 1000 Index, 50% Russell 2000 Index.

*International Equity Target Index is comprised of: 50% MSCI EAFE IMI Index, 50% MSCI Emerging Markets Index.

*Public Real Assets Target Index is comprised of: 43% Bloomberg Barclays U.S. TIPS Index, 57% Alerian MLP Index.

13.0% HFRI RV Asset Backed Index, 8.0% JPM EMBI Global Index, 8.0% JPM GBI-EM Global Diversified Unhedged Index, 29.0% Thomson One Distressed Debt Index.

Underlined Indexes are pro-rated and may differ slightly from the targets listed below; the pro-rata weighting occurs monthly.

*Growth Composite Target Index is comprised of: 20.3% Russell 1000 Index, 20.3% Russell 2000 Index, 20.3% MSCI EAFE IMI Index, 20.3% MSCI Emerging Markets Index,18.8% Thomson One All Private Equity Index.

*Real Assets Composite Target Index is comprised of: 15% Bloomberg Barclays U.S. TIPS Index, 20% Alerian MLP Index, 45% NCREIF Property Index, 20% Thomson One Private Natural Resources Index.

*Income Composite Target Index is comprised of: 14.5% Bloomberg Barclays Corporate Index, 14.5% Merrill Lynch High Yield Master Index, 13.0% Bloomberg Barclays Securitized Index,

*Total Fund Policy Index is comprised of: 37% Growth Composite Target Index, 20% Real Assets Composite Target Index, 31% Income Composite Target Index,12% Defensive Composite Target Index.



Performance returns are net of investment management fees.


46

SITFOSummary of Illiquid Investments

Report for Periods Ending September 30, 2018


CommittedCapital

CalledCapital % Called

DistributedCapital

FairMarket Value

Multiple ofCalled Capital

Fair MV as a% of Total Fund

Target MV as a% of Total Fund

Private Equity $158,000,000 $55,814,013 35% $4,320,198 $51,052,891 1.0 2.0% 7.0%

Private Real Estate 427,497,037 330,398,696 77 238,593,054 235,745,761 1.4 9.4 9.0

Private Natural Resources 71,000,000 24,475,155 34 6,236,018 21,855,556 1.1 0.9 4.0

Private Debt 195,500,000 114,482,861 59 6,561,561 120,267,275 1.1 4.8 9.0

Total Illiquid Investments $851,997,037 $525,170,725 62% $255,710,831 $428,921,483 1.3 17.1% 29.0%

* Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.

47

SITFOSummary of Private Equity



CommittedCapital


DistributedCapital

FairMarket Value

Multiple ofCalled Capital IRR * Vintage Year

* Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* Manager IRR is calculated through previous quarter-end and will not be calculated for the first two years; Summary IRR includes all managers.

Private Equity

Westport NewCold, LP $15,000,000 $14,692,500 98% $1,125,000 $15,476,481 1.1 - - 2016

Varsity Healthcare Partners II 15,000,000 7,749,931 52 0 6,818,751 0.9 - - 2016

Gladius Venator Fund, LP 35,000,000 10,966,259 31 0 8,680,559 0.8 - - 2017

Summit Growth Equity IX 22,000,000 11,424,599 52 3,195,198 10,147,024 1.2 - - 2016

Kickstart Seed IV 15,000,000 5,925,000 40 0 5,411,290 0.9 - - 2017

Huron Fund V, LP 22,000,000 2,365,000 11 0 1,841,773 0.8 - - 2016

Unicorn Partners Fund II 15,000,000 1,500,000 10 0 1,862,992 1.2 - - 2018

Douglas Bay Capital III 19,000,000 1,190,724 6 0 814,021 0.7 - - 2018

Private Equity $158,000,000 $55,814,013 35% $4,320,198 $51,052,891 1.0 - -

48

SITFOSummary of Private Real Estate



CommittedCapital


DistributedCapital

FairMarket Value



Private Real Estate

Colony Realty Partners III $18,020,400 $14,633,151 81% $10,320,655 $11,634,767 1.5 7.5% 2008

Colony Realty Partners IV 47,250,000 39,044,680 83 21,153,837 45,576,086 1.7 14.2 2012

Fidelity Real Estate Growth Fund III 15,000,000 13,388,046 89 17,771,408 0 1.3 7.4 2007

Fundamental Partners III 25,000,000 12,946,798 52 1,951,157 12,346,706 1.1 - - 2015

LaSalle Income & Growth V 20,000,000 18,570,252 93 31,094,275 0 1.7 13.0 2008

LaSalle Income & Growth VI 35,000,000 33,333,333 95 32,806,223 17,290,226 1.5 13.8 2012

LaSalle Asia Opportunity Fund V 25,000,000 2,515,762 10 0 1,902,311 0.8 - - 2018

Long Wharf Real Estate Partners IV 45,000,000 45,000,000 100 39,345,037 24,526,826 1.4 12.5 2012

Long Wharf Real Estate Partners V 25,000,000 21,892,494 88 2,170,684 22,241,621 1.1 7.8 2015

Palatine Real Estate Fund III 25,000,000 0 0 0 0 0.0 - - 2018

UBS Trumbull Property Fund 51,673,532 51,673,532 100 67,574,458 1 1.3 3.3 -

UBS Trumbull Property Income Fund 60,553,105 60,553,105 100 14,405,320 82,910,263 1.6 8.6 -

Varde European Real Estate Feeder Fund 35,000,000 16,847,543 48 0 17,316,954 1.0 - - 2017

Private Real Estate $427,497,037 $330,398,696 77% $238,593,054 $235,745,761 1.4 8.2%

49

SITFOSummary of Private Natural Resources



CommittedCapital


DistributedCapital

FairMarket Value


* Cordillera Investment Fund I includes all the Cordillera co-investments. Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.

* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.

* Manager IRR is calculated through previous quarter-end and will not be calculated for the first two years; Summary IRR includes all managers.

Private Natural Resources

Rockland Power Partners III $25,000,000 $7,436,559 30% $3,857,265 $7,393,200 1.5 - - 2016

Cordillera Investment Fund I 26,000,000 17,038,596 66 2,378,753 14,462,356 1.0 - - 2016

Cordillera Investment Fund II 20,000,000 0 0 0 0 0.0 - - 2018

Private Natural Resources $71,000,000 $24,475,155 34% $6,236,018 $21,855,556 1.1 - -

50

SITFOSummary of Private Debt



CommittedCapital


DistributedCapital

FairMarket Value



Private Debt

ARES ICOF III $25,000,000 $24,632,161 99% $2,960,875 $23,401,198 1.1 - - 2016

Libremax Value Partners 25,000,000 25,000,000 100 0 31,121,897 1.2 - - 2016

BPC Opportunities Fund III 25,000,000 14,993,799 60 0 16,218,562 1.1 - - -

Crestline Oportunity Fund III 25,000,000 12,877,070 52 3,323,622 10,309,149 1.1 - - -

ILS Property & Casualty Fund II 50,000,000 16,404,831 33 277,064 16,106,332 1.0 - - 2018

Strategic Value Special Situations Fund IV 20,500,000 3,075,000 15 0 3,415,890 1.1 - - 2017

Clearwater Capital Partners Fund V 25,000,000 17,500,000 70 0 19,694,247 1.1 - - 2018

Private Debt $195,500,000 $114,482,861 59% $6,561,561 $120,267,275 1.1 - -

51

SITFOGrowth Composite

Asset Class Objectives


Performance Objectives Result Objective Achieved

Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = -0.3% No

Beta < 1.20 Beta = 0.99 Yes

Alpha > 0.0% Alpha = -0.2% No

Peer Group Rank > 50th Percentile Ranks in Top 33rd Percentile Yes

Statistical Measures R²SharpeRatio

StandardDeviation

TrackingError

InformationRatio

Growth CompositeBalanced Index

1.01.0

0.91.0

10.3%10.3

1.7%0.0

-0.2--

Asset Growth Summary (in thousands) Qtr YTD

Beginning Market Value $ 922,563 $ 967,993

Net Contributions/(Distributions) $ 13,693 $ (23,838)

Market Appreciation/(Depreciation) $ 16,501 $ 8,602

Ending Market Value $ 952,757 $ 952,757

* Risk Statistics are based on monthly data.*Growth Composite Blended Index is comprised of: 20.3% Russell 1000 Index, 20.3% Russell 2000 Index, 20.3% MSCI EAFE IMI Index, 20.3% MSCI Emerging Markets Index and 18.8% Thomson One All Private Equity Index. (Pro-rated)

52

SITFOGrowth CompositeGlobal Equity Universe

For Report Periods Ending September 30, 2018


SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04

5th

25th

50th

75th

95th

%6.5 %11.3 %19.5 %18.3 %12.0 %15.6 %10.9 %9.6

5.0 7.6 12.6 14.1 10.1 13.4 9.9 8.9

3.6 3.9 9.9 13.4 9.1 12.7 8.8 8.4

2.4 1.7 5.7 11.7 7.0 11.0 7.8 6.5

0.2 -4.6 -1.4 9.0 5.4 9.8 6.2 5.0

%1.8

3.1

%1.0

4.6

%6.6

10.3

%11.9

14.4

%10.1

10.4

%13.8

13.7

%9.7

10.0

%8.0

8.3

- Growth Composite

- Balanced Index

% R

etur

n

Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/04-6%

-1%

4%

9%

14%

19%

24%

Report From September 30, 2004 to September 30, 20185 Year Rolling Periods

% R

etur

n

9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-6%

-2%

2%

6%

10%

14%

18%

53

SITFODomestic Equity Composite




Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = 0.1% Yes


Alpha > 0.0% Alpha = 0.9% Yes

Peer Group Rank > 50th Percentile Ranks in Top 25th Percentile Yes


StandardDeviation

TrackingError

InformationRatio

Domestic Equity CompositeBalanced Index

0.91.0

1.21.2

11.1%11.5

2.3%0.0

0.1--

* Risk Statistics are based on monthly data.*Domestic Equity Composite Blended Index is comprised of: 50.0% Russell 1000 Index and 50.0% Russell 2000 Index.

54

SITFODomestic Equity Composite

Broad Equity UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%9.4 %22.5 %30.2 %21.0 %16.2 %18.9 %14.8 %11.5

7.5 14.4 21.0 17.6 13.2 17.0 12.5 10.0

5.7 8.9 15.1 15.4 11.4 15.8 11.4 9.1

3.6 5.0 10.1 13.3 9.8 14.3 10.1 8.0

0.8 1.1 5.4 10.2 7.1 11.6 8.2 6.5

%5.0

5.5

%11.5

11.1

%18.6

16.6

%16.1

18.0

%14.1

14.0

%17.6

17.2

%12.5

12.3

%9.4

9.4

- Domestic Equity Composite

- Balanced Index

% R

etur

n

Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/040%

6%

12%

18%

24%

30%

36%


% R

etur

n

9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-5%

-1%

3%

7%

11%

15%

19%

55

SITFOU.S. Large Cap









StandardDeviation

TrackingError

InformationRatio

U.S. Large CapRussell 1000 Index

1.01.0

1.31.2

11.1%10.8

1.7%0.0

0.6--

* Risk Statistics are based on monthly data.

56

SITFOU.S. Large Cap

Broad Large Cap UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%9.3 %21.2 %29.5 %21.1 %16.9 %19.0 %14.7 %11.2

7.9 14.4 22.4 18.1 14.4 17.3 12.6 9.4

7.0 9.1 16.3 15.9 12.6 16.0 11.2 8.7

5.7 5.4 11.9 14.1 10.8 14.6 9.9 7.8

3.7 2.5 7.3 11.4 8.5 12.3 8.3 6.5

%5.8

7.4

%11.3

10.5

%19.6

17.8

%17.2

17.1

%14.7

13.7

%17.7

16.9

%12.4

12.1

%9.4

9.3

- U.S. Large Cap

- Russell 1000 Index

% R

etur

n

Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/042%

7%

12%

17%

22%

27%

32%


% R

etur

n

9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-5%

-1%

3%

7%

11%

15%

19%

57

SITFOParametric US VMP Large CapSummary of Performance and Statistics



Performance Results Qtr YTD 1YrSince

InceptionInception

Date

Parametric US VMP Large Cap

Russell 1000 Index

5.8%

7.4

12.0%

10.5

20.6%

17.8

20.7%

17.4

4/17

Risk Statistics (Since 4/17) Beta Alpha R²StandardDeviation

TrackingError

InformationRatio

Parametric US VMP Large Cap

Russell 1000 Index

1.02

1.00

2.9%

0.0

0.88

1.00

9.7%

8.7

2.9%

0.0

1.1

--



Net Contributions/(Distributions) $ 0 $ 13,418



* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.

58

SITFOParametric US VMP Large Cap

Broad Large Cap UniverseFor Report Periods Ending September 30, 2018


SinceQtr YTD 1Yr 4/17

5th

25th

50th

75th

95th

%9.3 %21.2 %29.5 %28.0

7.9 14.4 22.4 21.4

7.0 9.1 16.3 16.1

5.7 5.4 11.9 12.8

3.7 2.5 7.3 9.0

%5.8

7.4

%12.0

10.5

%20.6

17.8

%20.7

17.4

- Parametric US VMP Large Cap


% R

etur

n

Qtr YTD 1Yr Since 4/172%

7%

12%

17%

22%

27%

32%

Report From June 30, 2017 to September 30, 20181 Year Rolling Periods

% R

etur

n

6/18 9/185%

10%

15%

20%

25%

30%

35%

59

SITFOU.S. Small Cap









StandardDeviation

TrackingError

InformationRatio

U.S. Small CapRussell 2000 Index

0.91.0

1.00.7

13.3%15.0

4.7%0.0

0.5--


60

SITFOU.S. Small Cap

Broad Small Cap UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%10.3 %27.5 %34.1 %21.9 %14.1 %19.0 %14.8 %11.3

6.2 16.0 21.8 18.1 11.9 17.2 12.6 9.6

3.7 9.7 14.1 16.0 10.5 15.9 11.4 8.6

1.6 5.3 9.1 13.7 9.0 14.6 10.3 7.5

-0.8 1.1 4.4 9.8 5.6 11.6 8.2 5.3

%4.0

3.6

%11.7

11.5

%16.7

15.2

%15.6

17.1

%13.3

11.1

%18.2

16.4

%12.8

11.1

%8.7

8.8

- U.S. Small Cap


% R

etur

n


5%

12%

19%

26%

33%

40%


% R

etur

n

9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18-2%

4%

10%

16%

22%

28%

34%

61

SITFOParametric US VMP Small CapSummary of Performance and Statistics




InceptionInception

Date


Russell 2000 Index

3.9%

3.6

11.0%

11.5

16.3%

15.2

15.0%

16.0

4/17


TrackingError

InformationRatio


Russell 2000 Index

1.04

1.00

-1.6%

0.0

0.96

1.00

11.9%

11.3

2.1%

0.0

-0.5

--



Net Contributions/(Distributions) $ 0 $ 0




62

SITFOParametric US VMP Small Cap

Broad Small Cap UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%10.3 %27.5 %34.1 %30.6

6.2 16.0 21.8 21.5

3.7 9.7 14.1 14.4

1.6 5.3 9.1 10.4

-0.8 1.1 4.4 6.2

%3.9

3.6

%11.0

11.5

%16.3

15.2

%15.0

16.0

- Parametric US VMP Small Cap


% R

etur

n

Qtr YTD 1Yr Since 4/17-2%

5%

12%

19%

26%

33%

40%


% R

etur

n

6/18 9/184%

10%

16%

22%

28%

34%

40%

63

SITFOBMO U.S. Microcap

Summary of Performance and StatisticsReport For Periods Ending September 30, 2018


Performance Results Qtr YTDSince

InceptionInception

Date

BMO U.S. Microcap

Russell Microcap Index

4.4%

0.8

16.3%

11.6

16.2%

13.8

10/17

Portfolio StatisticsTrailing

P/ETrailing

P/BWtd AvgMkt Cap

CurrentYield

Equity AnnualTurnover

BMO U.S. Microcap

Russell Microcap Index

19.2

21.7

2.6

2.2

632.0M

590.0

0.8%

1.0

81.2%

--







64

SITFOBMO U.S. MicrocapBroad Small Cap Universe



5th Percentile25th Percentile50th Percentile75th Percentile95th Percentile

- BMO U.S. Microcap- Russell Microcap Index

%10.3 %27.5 %31.46.2 16.0 19.63.7 9.7 12.91.6 5.3 7.8

-0.8 1.1 3.1

%4.40.8

%16.311.6

%16.213.8

% R

etur

n

Qtr YTD Since 10/17-2%

4%

10%

16%

22%

28%

34%

65

SITFOInternational Equity Composite







Peer Group Rank > 50th Percentile Ranks in Bottom 50th Percentile No


StandardDeviation

TrackingError

InformationRatio

International Equity CompositeBalanced Index

1.01.0

0.20.4

11.2%12.0

2.2%0.0

-0.8--

* Risk Statistics are based on monthly data.*International Equity Composite Blended Index is comprised of: 50.0% MSCI EAFE IMI Index and 50.0% MSCI Emerging Markets Index.

66

SITFOInternational Equity Composite

Blended UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%3.0 %-0.3 %6.1 %14.4 %6.7 %9.5 %8.2 %9.1

0.2 -4.2 1.0 11.2 4.7 7.6 6.1 8.0

-0.7 -6.0 -0.9 10.1 3.7 6.5 5.0 7.2

-2.4 -8.3 -3.7 8.2 2.4 5.5 4.2 6.4

-5.2 -11.4 -7.2 4.6 0.0 3.1 1.5 4.9

%-0.9

0.0

%-7.1

-4.6

%-2.4

1.1

%7.5

10.7

%3.1

4.9

%6.7

7.8

%4.5

5.6

%5.6

6.4

- International Equity Composite

- Balanced Index

% R

etur

n


-8%

-3%

2%

7%

12%

17%

Blended Universe50.0% International Equity

50.0% Emerging Markets


% R

etur

n

9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-8%

-4%

0%

4%

8%

12%

16%

67

SITFOInternational Developed









StandardDeviation

TrackingError

InformationRatio

International DevelopedMSCI EAFE IMI Index

0.91.0

0.40.4

11.2%11.5

3.2%0.0

0.0--


68

SITFOInternational DevelopedInternational Equity Universe




5th

25th

50th

75th

95th

%2.9 %3.3 %8.1 %13.1 %8.1 %11.5 %8.8 %8.1

1.3 -1.0 3.1 10.1 5.5 9.4 6.4 6.8

0.6 -2.6 1.6 9.0 4.4 8.3 5.4 5.9

-0.2 -4.0 -0.6 7.8 3.6 7.4 4.6 5.3

-2.6 -6.9 -3.4 5.9 1.9 5.9 3.3 4.1

%1.3

1.0

%0.3

-1.5

%4.3

2.9

%10.3

9.7

%4.8

4.9

%8.0

8.7

%5.5

5.9

%6.4

6.2

- International Developed

- MSCI EAFE IMI Index

% R

etur

n


-4%

0%

4%

8%

12%

16%


% R

etur

n

9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-8%

-4%

0%

4%

8%

12%

16%

69

SITFOParametric International




InceptionInception

Date


MSCI EAFE Index

1.3%

1.4

0.3%

-1.4

4.3%

2.7

9.7%

8.4

4/17


TrackingError

InformationRatio


MSCI EAFE Index

0.90

1.00

2.0%

0.0

0.94

1.00

8.7%

9.3

2.2%

0.0

0.6

--


P/ETrailing

P/BWtd AvgMkt Cap

CurrentYield



MSCI EAFE Index

14.7

15.4

1.8

1.7

14,171.0M

50,408.3

3.2%

3.2

36.0%

--



Net Contributions/(Distributions) $ 0 $ (11,849)

Market Appreciation/(Depreciation) $ 3,156 $ 558



70

SITFOParametric International

International SectorReport For Periods Ending September 30, 2018


Region Allocation

Region Weightings Market Total ReturnsPrimary

Region Manager Benchmark 3 Months 12 MonthsUnited States 0% 0% 7.4% 17.2%

Dev Mkts - Other 0 1 5.1 14.8

Em Mkts - Latin Am 0 0 4.8 -9.1

Japan 16 25 3.7 10.2

Europe (ex-UK) 52 46 1.8 -1.5

Pacific (ex-Japan) 15 12 -0.6 4.3

Em Mkts - EMEA 2 0 -1.6 -2.2

United Kingdom 16 18 -1.7 2.9

Em Mkts - Other 0 0 -2.0 -7.7

Em Mkts - Asia 0 0 -2.7 -1.1

Em Mkts - Asia

Em Mkts - Other

United Kingdom

Em Mkts - EMEA

Pacific (ex-Japan)

Europe (ex-UK)

Japan

Em Mkts - Latin Am

Dev Mkts - Other

United States

0% 10% 20% 30% 40% 50% 60%

Manager Primary Benchmark

Top Five Countries WeightingJapan 15.9%

United Kingdom 15.7

Switzerland 8.0

France 7.9

Germany 7.9

Number of Holdings: 1040

* Sector weightings may not add up to 100% due to rounding.* Manager data represents the most current available at the time of report publication.

71

SITFOEmerging MarketsAsset Class Objectives



Time Period From 11/16 To 9/18Return > Benchmark Return over benchmark = -9.4% No





StandardDeviation

TrackingError

InformationRatio

Emerging MarketsMSCI Emerging Markets Index

0.81.0

0.31.0

11.4%13.2

5.3%0.0

-1.8--


72

SITFOEmerging Markets

Emerging Markets UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%3.0 %-3.8 %4.0 %15.6

-1.0 -7.4 -1.0 14.0

-2.1 -9.5 -3.4 12.3

-4.6 -12.6 -6.8 9.8

-7.7 -15.8 -11.1 4.7

%-3.5

-1.1

%-14.7

-7.7

%-9.4

-0.8

%4.5

13.9

- Emerging Markets

- MSCI Emerging Markets Index

% R

etur

n


-11%

-5%

1%

7%

13%

19%

Report From December 31, 2016 to September 30, 20181 Year Rolling Periods

% R

etur

n

12/17 3/18 6/18 9/18-12%

-2%

8%

18%

28%

38%

48%

73

SITFOSR Global Fund (Frontier)




InceptionInception

Date


MSCI Frontier Markets Index

-3.2%

-2.0

-10.6%

-12.6

-3.2%

-7.7

4.8%

9.6

11/16


TrackingError

InformationRatio



0.67

1.00

-2.1%

0.0

0.67

1.00

11.0%

14.0

7.5%

0.0

-0.7

--


P/ETrailing

P/BWtd AvgMkt Cap

CurrentYield




10.8

14.0

2.1

1.9

4,200.0M

2,399.2

3.6%

3.9

127.9%

--



Net Contributions/(Distributions) $ 0 $ 0

Market Appreciation/(Depreciation) $ (1,171) $ (4,217)



74

SITFOSR Global Fund (Frontier)




5th

25th

50th

75th

95th

%3.0 %-3.8 %4.0 %15.6

-1.0 -7.4 -1.0 14.0

-2.1 -9.5 -3.4 12.3

-4.6 -12.6 -6.8 9.8

-7.7 -15.8 -11.1 4.7

%-3.2

-2.0

%-10.6

-12.6

%-3.2

-7.7

%4.8

9.6

- SR Global Fund (Frontier)

- MSCI Frontier Markets Index

% R

etur

n


-11%

-5%

1%

7%

13%

19%


% R

etur

n

12/17 3/18 6/18 9/18-12%

-2%

8%

18%

28%

38%

48%

75

SITFOTaiyo Greater India Fund




InceptionInception

Date


MSCI India SMID Cap Index

MSCI India ND IX

-17.4%

-12.2

-2.2

-46.6%

-28.7

-9.6

-37.4%

-16.0

1.1

-24.7%

-5.4

4.7

3/17


TrackingError

InformationRatio


MSCI India SMID Cap Index

MSCI India ND IX

1.02

1.00

0.68

-19.1%

0.0

7.9

0.79

1.00

0.76

19.6%

20.7

17.4

13.0%

0.0

17.5

-1.5

--

-1.7







76

SITFOParametric Emerging MarketsSummary of Performance and Statistics




InceptionInception

Date


MSCI Emerging Markets Index

-1.1%

-1.1

-8.9%

-7.7

-4.7%

-0.8

2.3%

7.8

4/17


TrackingError

InformationRatio



0.87

1.00

-4.7%

0.0

0.91

1.00

11.6%

13.4

4.1%

0.0

-1.4

--


P/ETrailing

P/BWtd AvgMkt Cap

CurrentYield




12.0

13.3

1.4

1.7

19,809.8M

48,773.5

3.1%

2.7

11.7%

--






* Risk Statistics are based on monthly data. MSCI does not compute the Weighted Average Market Capitalization - the average market capitalization is used as the best available representation.* Manager data represents the most current available at the time of report publication.

77

SITFOParametric Emerging Markets

Emerging Markets SectorReport For Periods Ending September 30, 2018


Region Allocation

Region Weightings Market Total ReturnsPrimary

Region Manager Benchmark 3 Months 12 MonthsUnited States 0% 0% 7.4% 17.2%

Dev Mkts - Other 0 0 5.1 14.8

Em Mkts - Latin Am 19 11 4.8 -9.1

Japan 0 0 3.7 10.2

Europe (ex-UK) 0 0 1.8 -1.5

Pacific (ex-Japan) 0 0 -0.6 4.3

Em Mkts - EMEA 22 14 -1.6 -2.2

United Kingdom 0 0 -1.7 2.9

Em Mkts - Other 15 0 -2.0 -7.7

Em Mkts - Asia 44 75 -2.7 -1.1

Em Mkts - Asia

Em Mkts - Other

United Kingdom

Em Mkts - EMEA

Pacific (ex-Japan)

Europe (ex-UK)

Japan

Em Mkts - Latin Am

Dev Mkts - Other

United States

0% 10% 20% 30% 40% 50% 60% 70% 80%


Top Five Countries WeightingChina 9.9%

Russia 6.6

Taiwan 6.5

Korea, South 6.3

Brazil 6.2

Number of Holdings: 1811

* Sector weightings may not add up to 100% due to rounding.* Manager data represents the most current available at the time of report publication.

78

SITFOParametric Emerging Markets




5th

25th

50th

75th

95th

%3.0 %-3.8 %4.0 %9.5

-1.0 -7.4 -1.0 7.4

-2.1 -9.5 -3.4 5.4

-4.6 -12.6 -6.8 2.6

-7.7 -15.8 -11.1 -1.5

%-1.1

-1.1

%-8.9

-7.7

%-4.7

-0.8

%2.3

7.8

- Parametric Emerging Markets

- MSCI Emerging Markets Index

% R

etur

n


-12%

-7%

-2%

3%

8%

13%


% R

etur

n

6/18 9/18-12%

-7%

-2%

3%

8%

13%

18%

79

SITFOWestport NewCold, LP

Summary of Manager PerformanceReport for Periods Ending September 30, 2018


Fund SummaryFund Company Westport Capital Partners, LLC

Fund Name New Cold

Focus Private Real Estate - Opportunistic

Capital Drawn 98%

Vintage Year 2016

Client Investment Summary 9/30/2018 6/30/2018

Committed Capital $15,000,000 $15,000,000

Called Capital $14,692,500 $13,567,500

Distributed Capital $1,125,000 $1,125,000Market Value $15,476,481 $14,216,214Total Value $16,601,481 $15,341,214

RatiosDistributed Capital/

Called CapitalTotal Value/

Called Capital

New Cold 0.08 1.13

Median Thomson One All Private Capital - -

Performance Summary 6/30/2018

New Cold IRR -

Median Thomson One All Private Capital IRR -

Quartile Rank -

Cumulative Cash Flow Summary

Dol

lars

(in

Milli

ons)

$0.00

$3.32

$6.64

$9.96

$13.28

$16.60

10/1

6

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$16.60

$15.00

$14.69

$1.13

Committed CapitalCalled Capital

Distributed CapitalTotal Value

Cumulative Total Value Comparison

Dol

lars

(in

Milli

ons)

$0.00

$3.32

$6.64

$9.96

$13.28

$16.60

10/1

6

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$16.60

New Cold

* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.

80

SITFOVarsity Healthcare Partners II



Fund SummaryFund Company Varsity Management Company, LLC

Fund Name Varsity Healthcare Partners II, LP

Focus Private Equity - Buyout

Capital Drawn 52%

Vintage Year 2016



Called Capital $7,749,931 $2,517,573

Distributed Capital $0 $0Market Value $6,818,751 $1,692,496Total Value $6,818,751 $1,692,496



Called Capital

Varsity Healthcare Partners II, LP - 0.88

Median Thomson One Buyout - -


Varsity Healthcare Partners II, LP IRR -

Median Thomson One Buyout IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$3.00

$6.00

$9.00

$12.00

$15.00

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$15.00

$7.75

$6.82

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$1.36

$2.73

$4.09

$5.46

$6.82

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$6.82

Varsity Healthcare Partners II, LP


81

SITFOGladius Venator Fund, LPSummary of Manager Performance



Fund SummaryFund Company Gladius Capital Management, LP

Fund Name Gladius Venator Fund, LP

Focus Private Equity - Relative Value

Capital Drawn 31%

Vintage Year 2017



Called Capital $10,966,259 $8,158,945




Called Capital

Gladius Venator Fund, LP - 0.79

Median Thomson One All Private Equity - -


Gladius Venator Fund, LP IRR -

Median Thomson One All Private Equity IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$7.00

$14.00

$21.00

$28.00

$35.00

4/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$35.00

$10.97

$8.68

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$1.74

$3.47

$5.21

$6.94

$8.68

4/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$8.68

Gladius Venator Fund, LP


82

SITFOSummit Growth Equity IX



Fund SummaryFund Company Summit Partners

Fund Name Summit Growth Equity IX, LP

Focus Private Equity - Venture Capital

Capital Drawn 52%

Vintage Year 2016



Called Capital $11,424,599 $8,602,000




Called Capital

Summit Growth Equity IX, LP 0.28 1.17



Summit Growth Equity IX, LP IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$4.40

$8.80

$13.20

$17.60

$22.00

4/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$22.00

$13.34

$11.42

$3.20




Dol

lars

(in

Milli

ons)

$0.00

$2.67

$5.34

$8.01

$10.67

$13.34

4/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$13.34

Summit Growth Equity IX, LP


83

SITFOKickstart Seed IV



Fund SummaryFund Company Kickstart

Fund Name Kickstart Seed Fund IV

Focus Private Equity - Diversified

Capital Drawn 40%

Vintage Year 2017



Called Capital $5,925,000 $5,925,000




Called Capital

Kickstart Seed Fund IV - 0.91

Median Thomson One Fund of Funds - -


Kickstart Seed Fund IV IRR -

Median Thomson One Fund of Funds IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$3.00

$6.00

$9.00

$12.00

$15.00

6/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$15.00

$5.93

$5.41

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$1.10

$2.19

$3.29

$4.39

$5.48

6/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$5.41

Kickstart Seed Fund IV


84

SITFOHuron Fund V, LP



Fund SummaryFund Company Huron Capital Partners

Fund Name Huron Capital V


Capital Drawn 11%

Vintage Year 2016



Called Capital $2,365,000 $2,365,000




Called Capital

Huron Capital V - 0.78



Huron Capital V IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$-0.51

$3.99

$8.49

$13.00

$17.50

$22.00

12/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$22.00

$2.37

$1.84

$0.00




Dol

lars

(in

Milli

ons)

$-0.51

$-0.01

$0.49

$0.99

$1.49

$1.99

12/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$1.84

Huron Capital V


85

SITFOUnicorn Partners Fund II



Fund SummaryFund Company Unicorn Capital Partners

Fund Name Unicorn Partners Fund II, LP

Focus Private Equity - Venture Capital

Capital Drawn 10%

Vintage Year 2018



Called Capital $1,500,000 $0

Distributed Capital $0 $0Market Value $1,862,992 $0Total Value $1,862,992 $0



Called Capital

Unicorn Partners Fund II, LP - 1.24

Median Thomson One Venture Capital - -


Unicorn Partners Fund II, LP IRR -

Median Thomson One Venture Capital IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$3.00

$6.00

$9.00

$12.00

$15.00

6/18

7/18

8/18

9/18

$15.00

$1.86

$1.50

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$0.37

$0.75

$1.12

$1.49

$1.86

6/18

7/18

8/18

9/18

$1.86

Unicorn Partners Fund II, LP


86

SITFODouglas Bay Capital III



Fund SummaryFund Company DouglasBay (DBAY) Advisors

Fund Name Douglas Bay Capital III


Capital Drawn 6%

Vintage Year 2018



Called Capital $1,190,724 $0

Distributed Capital $0 $0Market Value $814,021 $0Total Value $814,021 $0



Called Capital

Douglas Bay Capital III - 0.68



Douglas Bay Capital III IRR -

S&P 500 Index IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$3.80

$7.60

$11.40

$15.20

$19.00

6/18

7/18

8/18

9/18

$19.00

$1.19

$0.81

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$0.25

$0.49

$0.74

$0.98

$1.23

6/18

7/18

8/18

9/18

$1.23

$0.81

Douglas Bay Capital IIIS&P 500 Index


87

SITFOReal Assets Composite









StandardDeviation

TrackingError

InformationRatio

Real Assets CompositeReal Assets Policy Index

0.81.0

1.81.5

5.3%5.4

2.2%0.0

0.6--

* Risk Statistics are based on monthly data.*Real Assets Composite Blended Index is comprised of: 15.0% Bloomberg Barclays U.S. TIPS Index, 20.0% Alerian MLP Index, 45.0% NCREIF Property Index, 20.0% Thomson One Private Natural Resources Index. (Pro-rated)

88

SITFOReal Assets Composite




5th

25th

50th

75th

95th

%4.2 %15.5 %21.3 %12.5 %6.8 %9.7 %6.5 %4.4

1.3 3.9 8.9 8.3 2.9 6.9 4.2 2.6

-0.2 0.2 3.7 4.9 0.8 3.6 2.4 0.6

-2.1 -3.1 0.3 2.7 -1.5 1.5 0.0 -1.5

-6.4 -11.1 -8.8 -4.3 -6.2 -3.5 -4.2 -4.8

%3.5

2.6

%7.4

4.8

%8.5

6.1

%6.3

5.5

%10.0

8.6

%9.8

9.2

%5.2

5.4

%4.9

5.1

- Real Assets Composite

- Real Assets Policy Index

% R

etur

n


-7%

-1%

5%

11%

17%

23%

Blended Universe50.0% Global Real Estate

50.0% Natural Resources

Report From March 31, 2008 to September 30, 20185 Year Rolling Periods

% R

etur

n

3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18-10%

-4%

2%

8%

14%

20%

26%

89

SITFOPublic Real Assets




Time Period From 6/16 To 9/18Return > Benchmark Return over benchmark = 2.8% Yes





StandardDeviation

TrackingError

InformationRatio

Public Real AssetsBalanced Index

1.01.0

0.20.0

15.8%15.3

3.0%0.0

0.9--

* Risk Statistics are based on monthly data.*Public Real Assets Composite Blended Index is comprised of: 43.0% Bloomberg Barclays U.S. TIPS Index and 57.0% Alerian MLP Index.

90

SITFOPublic Real Assets




5th

25th

50th

75th

95th

%2.7 %7.9 %11.1 %7.5

1.1 2.7 5.6 3.6

0.3 0.7 3.1 1.5

-0.6 -0.9 1.2 0.0

-3.8 -5.0 -4.0 -4.0

%6.1

6.6

%9.2

5.9

%8.7

4.9

%3.8

1.0

- Public Real Assets

- Balanced Index

% R

etur

n


-3%

1%

5%

9%

13%

17%

Blended Universe15.0% TIPS

65.0% REIT Manager

20.0% Natural Resources


% R

etur

n

6/17 9/17 12/17 3/18 6/18 9/18-21%

-15%

-9%

-3%

3%

9%

15%

91

SITFOHarvest MLP Income Fund




InceptionInception

Date


Alerian MLP Index

6.1%

6.6

9.2%

5.9

8.7%

4.9

3.8%

0.9

6/16


TrackingError

InformationRatio


Alerian MLP Index

0.99

1.00

2.9%

0.0

0.96

1.00

15.8%

15.3

3.0%

0.0

1.0

--



Net Contributions/(Distributions) $ (22,646) $ 27,354




92

SITFOHarvest MLP Income Fund

Natural Resources UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%7.7 %27.9 %34.7 %17.6

2.4 6.4 12.6 8.8

-0.2 0.2 3.3 3.7

-3.5 -5.2 -2.1 -1.4

-10.9 -19.2 -19.0 -17.9

%6.1

6.6

%9.2

5.9

%8.7

4.9

%3.8

0.9

- Harvest MLP Income Fund

- Alerian MLP Index

% R

etur

n


-11%

-1%

9%

19%

29%

39%


% R

etur

n

6/17 9/17 12/17 3/18 6/18 9/18-24%

-12%

0%

12%

24%

36%

48%

93

SITFOInflation Linked Bonds Composite









StandardDeviation

TrackingError

InformationRatio

Inflation Linked Bonds CompositeBloomberg Barclays U.S. TIPS Index

0.91.0

-0.2-0.3

2.4%2.6

0.8%0.0

0.3--



Net Contributions/(Distributions) $ 12,500 $ 12,500

Market Appreciation/(Depreciation) $ 76 $ (10)



94

SITFOInflation Linked Bonds Composite

TIPS UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%0.5 %1.5 %2.1 %2.7

-0.3 -0.3 0.7 0.7

-0.8 -0.8 0.3 0.3

-0.9 -1.1 0.1 0.1

-1.1 -1.6 -0.3 -0.4

%0.1

-0.8

%0.1

-0.8

%0.9

0.4

%0.5

0.3

- Inflation Linked Bonds Composite

- Bloomberg Barclays U.S. TIPS Index

% R

etur

n


-2%

-1%

0%

1%

2%

3%


% R

etur

n

6/17 9/17 12/17 3/18 6/18 9/18-3%

-1%

1%

3%

5%

7%

9%

95

SITFOVanguard Inflation Protected Short Term




InceptionInception

Date

Vanguard Inflation Protected Short Term

Bloomberg Barclays U.S. 0-5 Year TIPS

0.1%

0.1

0.8%

0.8

1.0%

1.0

0.8%

0.8

8/17


TrackingError

InformationRatio



0.94

1.00

-0.1%

0.0

0.98

1.00

0.9%

1.0

0.1%

0.0

-0.2

--

Portfolio StatisticsEffectiveDuration

Wtd AvgMaturity

Wtd AvgCredit

Yield toWorst

FI AnnlTurnover



2.6yrs

--

2.6yrs

--

AAA

--

3.0%

--

17.0%

--




Market Appreciation/(Depreciation) $ 76 $ 484



96


Fixed Income SectorReport For Periods Ending September 30, 2018


Sector Allocation

Sector Weightings Market Total Returns

PrimarySector Manager Benchmark 3 Months 12 Months

Total Weighting 100% 100% 0.1% 1.0%

Municipals 0 0 -0.2 0.4

Convertibles 0 0 3.9 12.2

Government/Sovereigns 100 100 -0.6 -1.6

Private Placements/144As 0 0 0.9 -0.8

Mortgage-Passthrough (TBA) 0 0 0.4 -1.4

Agencies/Regional 0 0 0.3 -0.5

Invt. Grade Corporates 0 0 1.0 -1.2

Other 0 0 0.5 0.3

High Yield Corporates 0 0 2.4 3.1

Non-Agency ABS 0 0 0.5 0.5

Non-Agency MBS 0 0 0.6 -0.7

Leveraged/Bank Loans 0 0 1.9 5.6

0

10

20

30

40

50

60

70

80

90

100

% o

f Tot

al


MunicipalsConvertiblesGovernment/SovereignsPrivate Placements/144AsMortgage-Passthrough (TBA)Agencies/Regional

Invt. Grade CorporatesOtherHigh Yield CorporatesNon-Agency ABSNon-Agency MBSLeveraged/Bank Loans

* Manager data represents the most current available at the time of report publication.*Sector weightings may not add up to 100% due to rounding.

97


TIPS UniverseFor Report Periods Ending September 30, 2018


5th Percentile25th Percentile50th Percentile75th Percentile95th Percentile

- Vanguard Inflation Protected Short Term- Bloomberg Barclays U.S. 0-5 Year TIPS

%0.5 %1.5 %2.1 %2.1-0.3 -0.3 0.7 0.2-0.8 -0.8 0.3 -0.3-0.9 -1.1 0.1 -0.4-1.1 -1.6 -0.3 -0.9

%0.10.1

%0.80.8

%1.01.0

%0.80.8

% R

etur

n


-2%

-1%

0%

1%

2%

3%

98

SITFOPrivate Real Estate









StandardDeviation

TrackingError

InformationRatio

Private Real EstateNCREIF Property Index

0.81.0

2.12.1

4.8%4.4

1.9%0.0

0.5--


99

SITFOPrivate Real Estate

Global Real Estate UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%0.7 %3.2 %7.9 %9.4 %8.0 %11.4 %8.2 %5.5

0.1 1.4 5.3 7.6 6.7 10.7 6.7 4.4

-0.2 0.3 4.1 6.1 5.9 9.6 6.3 3.6

-0.7 -0.9 2.8 5.6 5.3 9.2 5.6 3.0

-1.9 -2.9 1.4 3.7 4.0 7.5 4.9 2.8

%1.9

1.7

%5.2

5.3

%7.3

7.2

%7.1

7.8

%10.5

9.6

%10.2

10.0

%5.5

6.4

%5.0

6.2

- Private Real Estate

- NCREIF Property Index

% R

etur

n


-1%

2%

5%

8%

11%

14%


% R

etur

n

3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18-1%

4%

9%

14%

19%

24%

29%

100

SITFOColony Realty Partners III



Fund SummaryFund Company Colony Realty Partners

Fund Name Colony Realty Partners III

Focus Private Real Estate - Value Added

Capital Drawn 81%

Vintage Year 2008



Called Capital $14,633,151 $14,633,151




Called Capital

Colony Realty Partners III 0.71 1.50

Median Thomson One Private Real Estate 1.07 1.35


Colony Realty Partners III IRR 7.5%

NCREIF Property Index IRR 10.6%

Median Thomson One Private Real Estate IRR 6.1%

Quartile Rank 2nd


Dol

lars

(in

Milli

ons)

$0.00

$4.41

$8.83

$13.24

$17.66

$22.07

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

9/15

3/16

9/16

3/17

9/17

3/18

9/18

$21.96

$18.02

$14.63

$10.32




Dol

lars

(in

Milli

ons)

$0.00

$5.45

$10.89

$16.34

$21.78

$27.23

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

9/15

3/16

9/16

3/17

9/17

3/18

9/18

$27.23

$21.96

Colony Realty Partners IIINCREIF Property Index


101

SITFOColony Realty Partners IVSummary of Manager Performance



Fund SummaryFund Company Colony Realty Partners

Fund Name Colony Realty Partners IV


Capital Drawn 83%

Vintage Year 2012



Called Capital $39,044,680 $39,044,680




Called Capital

Colony Realty Partners IV 0.54 1.71



Colony Realty Partners IV IRR 14.2%



Quartile Rank 2nd


Dol

lars

(in

Milli

ons)

$0.00

$14.69

$29.38

$44.07

$58.76

$73.45

12/1

2

3/13

6/13

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

3/18

6/18

9/18

$66.73

$47.25

$39.04

$21.15




Dol

lars

(in

Milli

ons)

$0.00

$14.69

$29.38

$44.07

$58.76

$73.45

12/1

2

3/13

6/13

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

3/18

6/18

9/18

$66.73

$66.17

Colony Realty Partners IVNCREIF Property Index


102

SITFOFundamental Partners III



Fund SummaryFund Company Fundamental Partners

Fund Name Fundamental Partners III

Focus Private Debt - Distressed Debt

Capital Drawn 52%

Vintage Year 2015



Called Capital $12,946,798 $12,946,798




Called Capital

Fundamental Partners III 0.15 1.10

Median Thomson One Distressed - -


Fundamental Partners III IRR -

Median Thomson One Distressed IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

4/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$25.00

$14.30

$12.95

$1.95




Dol

lars

(in

Milli

ons)

$0.00

$2.86

$5.72

$8.58

$11.44

$14.30

4/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$14.30

Fundamental Partners III


103

SITFOLaSalle Income & Growth VISummary of Manager Performance



Fund SummaryFund Company LaSalle Investment Management

Fund Name LaSalle Income & Growth VI


Capital Drawn 95%

Vintage Year 2012



Called Capital $33,333,333 $33,333,333




Called Capital

LaSalle Income & Growth VI 0.98 1.50



LaSalle Income & Growth VI IRR 13.8%



Quartile Rank 2nd


Dol

lars

(in

Milli

ons)

$0.18

$10.16

$20.14

$30.13

$40.11

$50.10

7/13

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

3/18

6/18

9/18

$50.10

$35.00

$33.33

$32.81




Dol

lars

(in

Milli

ons)

$0.00

$10.02

$20.04

$30.06

$40.08

$50.10

7/13

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

3/18

6/18

9/18

$50.10

$45.54

LaSalle Income & Growth VINCREIF Property Index


104

SITFOLaSalle Asia Opportunity Fund V



Fund SummaryFund Company LaSalle Investment Management

Fund Name LaSalle Asia Opportunity Fund V

Focus Private Real Estate - Core

Capital Drawn 10%

Vintage Year 2018



Called Capital $2,515,762 $1,411,907

Distributed Capital $0 $0Market Value $1,902,311 $988,303Total Value $1,902,311 $988,303



Called Capital

LaSalle Asia Opportunity Fund V - 0.76

Median Thomson One Private Real Estate - -


LaSalle Asia Opportunity Fund V IRR -

Median Thomson One Private Real Estate IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

12/1

7

1/18

2/18

3/18

4/18

5/18

6/18

7/18

8/18

9/18

$25.00

$2.52

$1.90

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$0.42

$0.84

$1.26

$1.67

$2.09

12/1

7

1/18

2/18

3/18

4/18

5/18

6/18

7/18

8/18

9/18

$1.90

LaSalle Asia Opportunity Fund V


105

SITFOLong Wharf Real Estate Partners IV



Fund SummaryFund Company Long Wharf Real Estate Partners

Fund Name Long Wharf Real Estate Partners IV


Capital Drawn 100%

Vintage Year 2012



Called Capital $45,000,000 $45,000,000




Called Capital

Long Wharf Real Estate Partners IV 0.87 1.42



Long Wharf Real Estate Partners IV IRR 12.5%



Quartile Rank 3rd


Dol

lars

(in

Milli

ons)

$0.00

$12.77

$25.55

$38.32

$51.10

$63.87

11/1

2

3/13

6/13

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

3/18

6/18

9/18

$63.87

$45.00

$45.00

$39.35




Dol

lars

(in

Milli

ons)

$0.00

$13.79

$27.58

$41.37

$55.16

$68.95

11/1

2

3/13

6/13

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

3/18

6/18

9/18

$68.95

$63.87

Long Wharf Real Estate Partners IVNCREIF Property Index


106

SITFOLong Wharf Real Estate Partners V



Fund SummaryFund Company Long Wharf Real Estate Partners

Fund Name Long Wharf Real Estate Partners V


Capital Drawn 88%

Vintage Year 2015



Called Capital $21,892,494 $19,379,070




Called Capital

Long Wharf Real Estate Partners V 0.10 1.12



Long Wharf Real Estate Partners V IRR 7.8%



Quartile Rank 3rd


Dol

lars

(in

Milli

ons)

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

12/1

51/

16

3/16

5/16

7/16

9/16

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$25.00

$24.41

$21.89

$2.17




Dol

lars

(in

Milli

ons)

$0.00

$5.57

$11.13

$16.70

$22.27

$27.83

12/1

51/

16

3/16

5/16

7/16

9/16

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$27.83

$24.41

Long Wharf Real Estate Partners VNCREIF Property Index


107

SITFOUBS Trumbull Property Fund



Fund SummaryFund Company UBS Global Asset Management

Fund Name UBS Trumbull Property Fund

Focus Private Real Estate - Diversified

Capital Drawn 100%

Vintage Year -



Called Capital $51,673,532 $51,673,532

Distributed Capital $67,574,458 $67,574,458Market Value $1 $1Total Value $67,574,459 $67,574,459



Called Capital

UBS Trumbull Property Fund 1.31 1.31



UBS Trumbull Property Fund IRR 3.3%


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$13.51

$27.03

$40.54

$54.06

$67.57

12/0

73/

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

9/15

3/16

9/16

3/17

9/17

3/18

9/18

$67.57

$67.57

$51.67

$51.67




Dol

lars

(in

Milli

ons)

$0.00

$13.51

$27.03

$40.54

$54.06

$67.57

12/0

73/

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

9/15

3/16

9/16

3/17

9/17

3/18

9/18

$67.57

UBS Trumbull Property Fund


108

SITFOUBS Trumbull Property Income Fund



Fund SummaryFund Company UBS Global Asset Management

Fund Name UBS Trumbull Property Income Fund


Capital Drawn 100%

Vintage Year -



Called Capital $60,553,105 $60,553,105




Called Capital

UBS Trumbull Property Income Fund 0.24 1.61



UBS Trumbull Property Income Fund IRR 8.6%


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$19.46

$38.93

$58.39

$77.85

$97.32

10/1

0

3/11

9/11

3/12

9/12

3/13

9/13

3/14

9/14

3/15

9/15

3/16

9/16

3/17

9/17

3/18

9/18

$97.32

$60.55

$60.55

$14.41




Dol

lars

(in

Milli

ons)

$0.00

$19.46

$38.93

$58.39

$77.85

$97.32

10/1

0

3/11

9/11

3/12

9/12

3/13

9/13

3/14

9/14

3/15

9/15

3/16

9/16

3/17

9/17

3/18

9/18

$97.32

UBS Trumbull Property Income Fund


109

SITFOVarde European Real Estate Feeder Fund



Fund SummaryFund Company Värde Investment Partners, Inc.

Fund Name Varde European Real Estate Feeder Fund, LP


Capital Drawn 48%

Vintage Year 2017



Called Capital $16,847,543 $19,216,650




Called Capital

Varde European Real Estate Feeder Fund, LP - 1.03



Varde European Real Estate Feeder Fund, LP IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$7.00

$14.00

$21.00

$28.00

$35.00

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$35.00

$17.32

$16.85

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$4.11

$8.22

$12.32

$16.43

$20.54

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$17.32

Varde European Real Estate Feeder Fund, LP


110

SITFOPrivate Natural Resources







Peer Group Rank > 50th Percentile Ranks in Top 33rd Percentile Yes


StandardDeviation

TrackingError

InformationRatio

Private Natural ResourcesThomson One Private NR Index

0.11.0

0.21.4

16.6%5.1

14.9%0.0

-0.2--







111

SITFOPrivate Natural Resources

Natural Resources UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%7.7 %27.9 %34.7 %20.4

2.4 6.4 12.6 7.8

-0.2 0.2 3.3 0.4

-3.5 -5.2 -2.1 -4.7

-10.9 -19.2 -19.0 -16.5

%8.0

2.2

%29.9

6.7

%29.2

11.5

%5.2

8.3

- Private Natural Resources

- Thomson One Private NR Index

% R

etur

n


-11%

-1%

9%

19%

29%

39%


% R

etur

n

3/18 6/18 9/18-24%

-12%

0%

12%

24%

36%

48%

112

SITFORockland Power Partners IIISummary of Manager Performance



Fund SummaryFund Company Rockland Capital

Fund Name Rockland Power Partners III, LP

Focus Private Natural Resources - Energy

Capital Drawn 30%

Vintage Year 2016



Called Capital $7,436,559 $7,436,559

Distributed Capital $3,857,265 $608,366Market Value $7,393,200 $9,075,257Total Value $11,250,465 $9,683,623



Called Capital

Rockland Power Partners III, LP 0.52 1.51

Median Thomson One Private Natural Resources - -


Rockland Power Partners III, LP IRR -

Median Thomson One Private Natural Resources IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$25.00

$11.25

$7.44

$3.86




Dol

lars

(in

Milli

ons)

$0.00

$2.25

$4.50

$6.75

$9.00

$11.25

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$11.25

Rockland Power Partners III, LP


113

SITFOCordillera Investment Fund ISummary of Manager Performance



Fund SummaryFund Company Cordillera Investment Partners

Fund Name Cordillera Investment Fund I, LP

Focus FOF - Private Natural Resources - Opportunistic

Capital Drawn 66%

Vintage Year 2016



Called Capital $17,038,596 $11,609,742

Distributed Capital $2,378,753 $516,846Market Value $14,462,356 $10,965,290Total Value $16,841,109 $11,482,136



Called Capital

Cordillera Investment Fund I, LP 0.14 0.99

Median Thomson One Fund of Funds - -


Cordillera Investment Fund I, LP IRR -

Median Thomson One Fund of Funds IRR -

Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.20

$10.40

$15.60

$20.80

$26.00

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$26.00

$17.04

$16.84

$2.38




Dol

lars

(in

Milli

ons)

$0.00

$3.37

$6.74

$10.10

$13.47

$16.84

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$16.84

Cordillera Investment Fund I, LP


114

SITFOIncome Composite









StandardDeviation

TrackingError

InformationRatio

Income CompositeBalanced Index

0.71.0

1.41.4

2.0%2.3

1.2%0.0

-0.4--

* Risk Statistics are based on monthly data.*Income Composite Blended Index is comprised of: 14.5% Bloomberg Barclays Corporate Index, 14.5% Merrill Lynch High Yield Master Index, 13.0% Bloomberg Barclays Securitized Index, 13.0% HFRI RV Asset Backed Index, 8.0% JPM EMBI Global Index, 8.0% JPM GBI-EM Diversified Unhedged Index, 29.0% Thomson One Distressed Debt Index. (Pro-rated)

115

SITFOIncome Composite




5th

25th

50th

75th

95th

%2.1 %1.8 %2.6 %6.7 %5.1 %6.9 %8.5 %7.4

1.7 0.7 1.3 5.8 4.3 5.7 7.2 6.5

1.5 0.2 0.6 5.1 3.8 5.2 6.7 6.2

1.3 -0.5 -0.1 4.5 3.3 4.8 6.3 5.8

0.5 -1.7 -1.3 3.0 2.0 3.5 5.0 5.2

%0.6

0.8

%1.9

0.8

%2.6

2.1

%3.5

4.3

%3.3

3.8

%3.2

3.3

%4.6

4.7

%4.5

4.6

- Income Composite

- Balanced Index

% R

etur

n


-1%

1%

3%

5%

7%

9%

Blended Universe25.0% Mortgage Backed

60.0% High Yield Bond

15.0% Emerging Markets Fixed Inc


% R

etur

n

9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/182%

4%

6%

8%

10%

12%

14%

116

SITFOCredit









StandardDeviation

TrackingError

InformationRatio

CreditBalanced Index

0.81.0

1.31.4

1.8%2.3

1.1%0.0

-0.9--

* Risk Statistics are based on monthly data.*Credit Composite Blended Index is comprised of: 50.0% Bloomberg Barclays Investment Grade Corporate Bond Index, 25.0% Bloomberg Barclays U.S. High Yield Corporate Bond Index and 25.0% Credit Suisse Leveraged Loan Index.

117

SITFOCredit

High Yield UniverseFor Report Periods Ending September 30, 2018


SinceQtr YTD 1Yr 3Yr 5Yr 7/13

5th

25th

50th

75th

95th

%2.8 %3.5 %4.4 %8.1 %5.9 %5.8

2.4 2.4 3.2 7.4 5.1 4.9

2.2 1.9 2.4 6.6 4.6 4.5

1.9 1.1 1.5 6.1 4.1 4.0

1.4 -0.1 0.3 3.9 2.8 2.8

%1.0

1.6

%1.5

0.5

%1.6

1.5

%2.9

4.5

%2.9

3.9

%3.0

3.9

- Credit

- Balanced Index

% R

etur

n

Qtr YTD 1Yr 3Yr 5Yr Since 7/13-2%

0%

2%

4%

6%

8%

10%


% R

etur

n

9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/181%

3%

5%

7%

9%

11%

13%

118

SITFOBramshill Investments




InceptionInception

Date

Bramshill Investments

U.S. T-Bills + 5%

1.1%

1.7

2.9%

5.1

1.8%

6.6

3.3%

6.3

12/16


TrackingError

InformationRatio

Bramshill Investments

U.S. T-Bills + 5%

0.75

1.00

-1.8%

0.0

0.00

1.00

2.2%

0.1

2.3%

0.0

-1.3

--







119

SITFOBramshill Investments

Short Term Fixed Income UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%0.9 %1.8 %2.3 %2.2

0.6 0.9 1.0 1.6

0.5 0.6 0.5 1.1

0.2 0.2 0.0 0.5

0.0 -0.2 -0.6 0.1

%1.1

1.7

%2.9

5.1

%1.8

6.6

%3.3

6.3

- Bramshill Investments

- U.S. T-Bills + 5%

% R

etur

n


0%

2%

4%

6%

8%

10%


% R

etur

n

12/17 3/18 6/18 9/18-1%

1%

3%

5%

7%

9%

11%

120

SITFOLoomis Sayles Full Spectrum Credit




InceptionInception

Date

Loomis Sayles Full Spectrum Credit

High Yield Blended Index

1.5%

1.5

0.7%

0.5

1.5%

1.4

4.1%

3.0

2/17


TrackingError

InformationRatio



0.94

1.00

1.2%

0.0

0.59

1.00

2.1%

1.7

1.3%

0.0

0.8

--


Wtd AvgMaturity

Wtd AvgCredit

Yield toWorst

FI AnnlTurnover



3.8yrs

--

5.4yrs

--

BB

--

6.0%

--

24.1%

--



Net Contributions/(Distributions) $ (25,000) $ (10,000)

Market Appreciation/(Depreciation) $ 1,659 $ 410



121

SITFOLoomis Sayles Full Spectrum Credit

High Yield Bond UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%2.8 %3.5 %4.4 %5.1

2.4 2.4 3.2 4.4

2.2 1.9 2.4 3.8

1.9 1.1 1.5 3.1

1.4 -0.1 0.3 2.5

%1.5

1.5

%0.7

0.5

%1.5

1.4

%4.1

3.0

- Loomis Sayles Full Spectrum Credit

- High Yield Blended Index

% R

etur

n


0%

2%

4%

6%

8%

10%


% R

etur

n

3/18 6/18 9/18-1%

1%

3%

5%

7%

9%

11%

122

SITFODW Partners Value Fund




InceptionInception

DateDW Partners Value Fund

HFRI ED: Distressed/Restructuring Index-0.7%1.3

2.0%4.2

2.8%5.9

4.6%7.8

10/16


SharpeRatio

MaximumDrawdown

DW Partners Value FundHFRI ED: Distressed/Restructuring Index

0.041.00

3.1%0.0

0.01.0

2.0%3.1

1.692.10

-1.5%-1.0


Beginning Market Value $ 43,622 $ 42,480Net Contributions/(Distributions) $ 0 $ 0Market Appreciation/(Depreciation) $ (297) $ 845


1 1.5 2 2.5 3 3.5 4

3

4

5

6

7

8

9

DW Partners Value Fund HFRI ED: Distressed/Restructuring Index

Ann

ualiz

ed R

etur

n

Annualized Standard Deviation

Strategy Allocation

Fixed Income/CreditReal EstateOther/Special Investment

30%

51%

19%


123

SITFOSecuritized

Summary of Performance Relative to Investment Policy Statement ObjectivesReport For Periods Ending September 30, 2018



InceptionInception

DateSecuritized

Securitized Policy Index0.6%0.2

5.4%-0.6

7.1%-0.4

6.5%0.0

9/16


SharpeRatio

MaximumDrawdown

SecuritizedSecuritized Policy Index

-0.231.00

5.0%0.0

0.11.0

2.0%1.9

2.63-0.63

-0.6%-1.9

0.5 1 1.5 2 2.5 3 3.5

0

1

2

3

4

5

6

7

Securitized Securitized Policy Index

Ann

ualiz

ed R

etur

n


0

3

6

9

12

15

18

< -1

0-1

0 to

-9-9

to -8

-8 to

-7-7

to -6

-6 to

-5-5

to -4

-4 to

-3-3

to -2

-2 to

-1-1

to 0

0 to

11

to 2

2 to

33

to 4

4 to

55

to 6

6 to

77

to 8

8 to

99

to 1

0>

10

Mon

thly

Per

iods

Return Range (%)


124

SITFOWaterfall Eden




InceptionInception

DateWaterfall Eden

HFRI RV: Asset Backed IndexBloomberg Barclays Asset Backed Index

1.7%1.30.5

6.4%4.70.5

8.3%6.00.5

10.1%7.30.7

9/16


SharpeRatio

MaximumDrawdown

Waterfall EdenHFRI RV: Asset Backed IndexBloomberg Barclays Asset Backed Index

1.041.00

-0.20

2.6%0.00.7

0.31.00.0

1.7%0.90.9

5.206.42

-0.59

0.0%0.0

-0.8


Beginning Market Value $ 61,413 $ 49,263Net Contributions/(Distributions) $ 0 $ 9,573Market Appreciation/(Depreciation) $ 1,063 $ 3,640


Geographic Allocation

Europe (ex-UK)

Pacific (ex-Japan)

Japan

United Kingdom

United States

Dev Mkts - Other

Em Mkts - EMEA

Em Mkts - Asia

Em Mkts - Latin Am

Em Mkts - Other

17% 34% 51% 68% 85% 102%

0%

0%

0%

0%

100%

0%

0%

0%

0%

0%

-0.5 0 0.5 1 1.5 2 2.5

0

2

4

6

8

10

12

Waterfall Eden HFRI RV: Asset Backed IndexBloomberg Barclays Asset Backed Index

Ann

ualiz

ed R

etur

n


Strategy Allocation

Fixed Income/Credit

100%


125

SITFOPutnam Dedicated Mortgage Strategy




InceptionInception

Date


ICE BofAML 3 Month U.S. T-Bills Index + 5%

0.2%

1.7

5.1%

5.0

6.7%

6.6

5.7%

6.3

2/17


TrackingError

InformationRatio



-1.10

1.00

9.8%

0.0

0.01

1.00

2.2%

0.2

2.1%

0.0

-0.3

--


Wtd AvgMaturity

Wtd AvgCredit

Yield toWorst

FI AnnlTurnover



0.0yrs

0.2

7.2yrs

0.2

A

AAA

6.1%

2.2

14.1%

--




Market Appreciation/(Depreciation) $ 336 $ 8,098



126

SITFOPIMCO Emerging Local Bond Fund




InceptionInception

Date

PIMCO Emerging Local Bond Fund

JP Morgan GBI – EM Diversified Index

-2.4%

-3.2

-9.0%

-10.8

-8.5%

-9.9

-3.7%

-4.7

5/17


TrackingError

InformationRatio



0.92

1.00

0.5%

0.0

0.98

1.00

10.6%

11.3

1.7%

0.0

0.6

--


Wtd AvgMaturity

Wtd AvgCredit

Yield toWorst

FI AnnlTurnover



5.3yrs

--

7.3yrs

--

A-

--

5.4%

--

40.0%

--







127

SITFOPIMCO Emerging Local Bond Fund

Emerging Markets Fixed Income UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%2.4 %-1.6 %-0.8 %1.6

1.9 -3.7 -2.6 0.2

1.5 -4.4 -3.8 -0.5

1.0 -5.2 -4.6 -1.8

-1.2 -8.3 -6.6 -3.0

%-2.4

-3.2

%-9.0

-10.8

%-8.5

-9.9

%-3.7

-4.7

- PIMCO Emerging Local Bond Fund

- JP Morgan GBI – EM Diversified Index

% R

etur

n


-9%

-6%

-3%

0%

3%

6%


% R

etur

n

6/18 9/18-10%

-8%

-6%

-4%

-2%

0%

2%

128

SITFOTempleton Global Summits Fund




InceptionInception

DateTempleton Global Summits Fund

HFRI Macro Index-2.1%0.0

-0.1%-1.8

-0.1%-1.8

12/17


Beginning Market Value $ 50,301 $ 25,000Net Contributions/(Distributions) $ 0 $ 25,000Market Appreciation/(Depreciation) $ (1,046) $ (745)


4 6 8 10 12 14 16

-2.5

-2

-1.5

-1

-0.5

0

0.5

Templeton Global Summits Fund HFRI Macro Index

Ann

ualiz

ed R

etur

n


0

1

2

3

4

5

6

< -1

0-1

0 to

-9-9

to -8

-8 to

-7-7

to -6

-6 to

-5-5

to -4

-4 to

-3-3

to -2

-2 to

-1-1

to 0

0 to

11

to 2

2 to

33

to 4

4 to

55

to 6

6 to

77

to 8

8 to

99

to 1

0>

10

Mon

thly

Per

iods

Return Range (%)


129

SITFOPrivate Debt








StandardDeviation

TrackingError

InformationRatio

Private DebtThomson One Distressed Index

0.01.0

3.11.9

3.3%5.5

5.5%0.0

0.0--







130

SITFOARES ICOF III



Fund SummaryFund Company Ares Management, LLC

Fund Name Ares ICOF III

Focus Private Debt - Credit Multi-Strategy

Capital Drawn 99%

Vintage Year 2016



Called Capital $24,632,161 $21,362,373




Called Capital

Ares ICOF III 0.12 1.07



Ares ICOF III IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.27

$10.54

$15.82

$21.09

$26.36

12/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$26.36

$25.00

$24.63

$2.96




Dol

lars

(in

Milli

ons)

$0.00

$5.27

$10.54

$15.82

$21.09

$26.36

12/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$26.36

Ares ICOF III


131

SITFOLibremax Value Partners



Fund SummaryFund Company Libremax

Fund Name Libremax Private Debt

Focus Private Debt - Distressed

Capital Drawn 100%

Vintage Year 2016



Called Capital $25,000,000 $25,000,000




Called Capital

Libremax Private Debt - 1.24



Libremax Private Debt IRR -

HFRI RV: Asset Backed Index IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$6.22

$12.45

$18.67

$24.90

$31.12

10/1

6

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$31.12

$25.00

$25.00

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$6.22

$12.45

$18.67

$24.90

$31.12

10/1

6

11/1

6

1/17

3/17

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$31.12

$28.51

Libremax Private DebtHFRI RV: Asset Backed Index


132

SITFOBPC Opportunities Fund IIISummary of Manager Performance



Fund SummaryFund Company Beach Point Capital Mgmt.

Fund Name BPC Opportunities Fund III

Focus Private Debt - Credit

Capital Drawn 60%

Vintage Year -



Called Capital $14,993,799 $14,440,827




Called Capital

BPC Opportunities Fund III - 1.08



BPC Opportunities Fund III IRR -

HFRI ED: Distressed/Restructuring Index IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$25.00

$16.22

$14.99

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$3.36

$6.73

$10.09

$13.46

$16.82

5/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$16.82

$16.22

BPC Opportunities Fund IIIHFRI ED: Distressed/Restructuring Index


133

SITFOCrestline Oportunity Fund IIISummary of Manager Performance



Fund SummaryFund Company Crestline Investors

Fund Name Crestline Opportunity Fund III

Focus Private Debt - Distressed Debt

Capital Drawn 52%

Vintage Year -



Called Capital $12,877,070 $11,454,213




Called Capital

Crestline Opportunity Fund III 0.26 1.06



Crestline Opportunity Fund III IRR -

HFRI ED: Distressed/Restructuring Index IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

6/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$25.00

$13.63

$12.88

$3.32




Dol

lars

(in

Milli

ons)

$0.00

$2.74

$5.48

$8.22

$10.96

$13.69

6/17

7/17

9/17

11/1

7

1/18

3/18

5/18

7/18

9/18

$13.69

$13.63

Crestline Opportunity Fund IIIHFRI ED: Distressed/Restructuring Index


134

SITFOStrategic Value Special Situations Fund IV



Fund SummaryFund Company SVPGlobal

Fund Name Strategic Value Special Situations Fund IV


Capital Drawn 15%

Vintage Year 2017



Called Capital $3,075,000 $2,050,000




Called Capital

Strategic Value Special Situations Fund IV - 1.11



Strategic Value Special Situations Fund IV IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$4.10

$8.20

$12.30

$16.40

$20.50

3/18

4/18

5/18

6/18

7/18

8/18

9/18

$20.50

$3.42

$3.08

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$0.68

$1.37

$2.05

$2.73

$3.42

3/18

4/18

5/18

6/18

7/18

8/18

9/18

$3.42

Strategic Value Special Situations Fund IV


135

SITFOClearwater Capital Partners Fund V



Fund SummaryFund Company Clearwater Capital

Fund Name Clearwater Capital Partners Fund V

Focus Private Debt - Special Situations

Capital Drawn 70%

Vintage Year 2018



Called Capital $17,500,000 $17,500,000




Called Capital

Clearwater Capital Partners Fund V - 1.13



Clearwater Capital Partners Fund V IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$5.00

$10.00

$15.00

$20.00

$25.00

6/18

7/18

8/18

9/18

$25.00

$19.69

$17.50

$0.00




Dol

lars

(in

Milli

ons)

$0.00

$3.94

$7.88

$11.82

$15.76

$19.69

6/18

7/18

8/18

9/18

$19.69

Clearwater Capital Partners Fund V


136

SITFOIncome ILS




StandardDeviation

TrackingError

InformationRatio

Income ILSSwiss Re Cat Bond Index

0.11.0

1.41.9

2.6%1.5

3.2%0.0

0.2--



Net Contributions/(Distributions) $ (2,930) $ 16,147




137

SITFOSecuris Event Fund




InceptionInception

DateSecuris Event Fund

Swiss Re Cat Bond Index4.5%1.0

8.7%4.2

8.7%4.2

12/17


Beginning Market Value $ 26,011 $ 25,005Net Contributions/(Distributions) $ 0 $ 0Market Appreciation/(Depreciation) $ 1,175 $ 2,181


1 1.5 2 2.5 3 3.5 4

3

4

5

6

7

8

9

Securis Event Fund Swiss Re Cat Bond Index

Ann

ualiz

ed R

etur

n


0

1

2

3

4

5

6

< -1

0-1

0 to

-9-9

to -8

-8 to

-7-7

to -6

-6 to

-5-5

to -4

-4 to

-3-3

to -2

-2 to

-1-1

to 0

0 to

11

to 2

2 to

33

to 4

4 to

55

to 6

6 to

77

to 8

8 to

99

to 1

0>

10

Mon

thly

Per

iods

Return Range (%)


138

SITFOILS Property & Casualty Fund II



Fund SummaryFund Company ILS Property & Casualty

Fund Name ILS Property & Casualty Fund II LP


Capital Drawn 33%

Vintage Year 2018



Called Capital $16,404,831 $19,057,963

Distributed Capital $277,064 $0Market Value $16,106,332 $18,734,632Total Value $16,383,396 $18,734,632



Called Capital

ILS Property & Casualty Fund II LP 0.02 1.00



ILS Property & Casualty Fund II LP IRR -


Quartile Rank -


Dol

lars

(in

Milli

ons)

$0.00

$10.00

$20.00

$30.00

$40.00

$50.00

1/18

2/18

3/18

4/18

5/18

6/18

7/18

8/18

9/18

$50.00

$16.40

$16.38

$0.28




Dol

lars

(in

Milli

ons)

$0.00

$4.54

$9.08

$13.62

$18.16

$22.70

1/18

2/18

3/18

4/18

5/18

6/18

7/18

8/18

9/18

$16.38

ILS Property & Casualty Fund II LP


139

SITFODefensive Composite







Peer Group Rank > 50th Percentile Ranks in Bottom 33rd Percentile No


StandardDeviation

TrackingError

InformationRatio

Defensive CompositeBalanced Index

0.61.0

-1.0-0.9

4.5%7.8

5.4%0.0

0.5--

* Risk Statistics are based on monthly data.*Defensive Composite Target Index is comprised of: 41.7% Bloomberg Barclays STRP 20-30 Year Equal Par Index, 58.3% Man FRM Target Index. (Pro-rated)

140

SITFODefensive Composite

Long Term Fixed Income UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%1.9 %1.4 %1.9 %4.0

1.2 -1.8 -0.8 2.1

0.5 -4.6 -2.4 0.4

-2.8 -5.8 -3.5 -4.4

-4.3 -7.7 -4.4 -6.0

%-0.4

-2.1

%-2.4

-4.8

%0.3

-1.6

%-3.4

-6.0

- Defensive Composite

- Balanced Index

% R

etur

n


-6%

-3%

0%

3%

6%

9%


% R

etur

n

6/17 9/17 12/17 3/18 6/18 9/18-12%

-7%

-2%

3%

8%

13%

18%

141

SITFOVanguard Extended Duration Treasury Fund




InceptionInception

Date

Vanguard Extended Duration Treasury Fund

Bloomberg Barclays STRIPS 20-30 Equal Par

-4.4%

-4.7

-8.0%

-8.3

-4.0%

-4.3

-8.0%

-8.0

7/16


TrackingError

InformationRatio



1.00

1.00

0.1%

0.0

0.99

1.00

11.5%

11.4

1.2%

0.0

0.0

--


Wtd AvgMaturity

Wtd AvgCredit

Yield toWorst

FI AnnlTurnover



24.7yrs

--

25.1yrs

--

--

--

--%

--

--%

--







142


Fixed Income SectorReport For Periods Ending September 30, 2018


Sector Allocation

Sector Weightings Market Total Returns

PrimarySector Manager Benchmark 3 Months 12 Months

Total Weighting 100% 100% -4.7% -4.3%

Municipals 0 0 -0.2 0.4

Convertibles 0 0 3.9 12.2

Government/Sovereigns 100 100 -0.6 -1.6

Private Placements/144As 0 0 0.9 -0.8

Mortgage-Passthrough (TBA) 0 0 0.4 -1.4

Agencies/Regional 0 0 0.3 -0.5

Invt. Grade Corporates 0 0 1.0 -1.2

Other 0 0 0.5 0.3

High Yield Corporates 0 0 2.4 3.1

Non-Agency ABS 0 0 0.5 0.5

Non-Agency MBS 0 0 0.6 -0.7

Leveraged/Bank Loans 0 0 1.9 5.6

0

10

20

30

40

50

60

70

80

90

100

% o

f Tot

al


MunicipalsConvertiblesGovernment/SovereignsPrivate Placements/144AsMortgage-Passthrough (TBA)Agencies/Regional

Invt. Grade CorporatesOtherHigh Yield CorporatesNon-Agency ABSNon-Agency MBSLeveraged/Bank Loans

* Manager data represents the most current available at the time of report publication.*Sector weightings may not add up to 100% due to rounding.

143


Long Term Fixed Income UniverseFor Report Periods Ending September 30, 2018



5th

25th

50th

75th

95th

%1.9 %1.4 %1.9 %3.5

1.2 -1.8 -0.8 1.3

0.5 -4.6 -2.4 -0.6

-2.8 -5.8 -3.5 -5.5

-4.3 -7.7 -4.4 -7.5

%-4.4

-4.7

%-8.0

-8.3

%-4.0

-4.3

%-8.0

-8.0

- Vanguard Extended Duration Treasury Fund

- Bloomberg Barclays STRIPS 20-30 Equal Par

% R

etur

n


-7%

-4%

-1%

2%

5%

8%


% R

etur

n

9/17 12/17 3/18 6/18 9/18-10%

-6%

-2%

2%

6%

10%

14%

144

SITFOCTA Composite








StandardDeviation

TrackingError

InformationRatio

CTA CompositeMan FRM Custom Benchmark

0.51.0

-1.3-1.3

7.4%5.4

5.8%0.0

-0.4--




Market Appreciation/(Depreciation) $ 1,310 $ (4,442)



145

SITFOMan FRM Alpha Protect




InceptionInception

DateMan FRM Alpha Protect

Man FRM Custom Benchmark0.7%

-0.3-2.7%-1.7

0.4%0.0

-1.0%-2.8

3/17


SharpeRatio

MaximumDrawdown

Man FRM Alpha ProtectMan FRM Custom Benchmark

0.891.00

1.4%0.0

0.51.0

6.9%5.5

-0.34-0.77

-8.1%-5.2


Beginning Market Value $ 187,444 $ 168,196Net Contributions/(Distributions) $ 0 $ 25,000Market Appreciation/(Depreciation) $ 1,310 $ (4,442)


4.5 5 5.5 6 6.5 7 7.5

-3.5

-3

-2.5

-2

-1.5

-1

-0.5

Man FRM Alpha Protect Man FRM Custom Benchmark

Ann

ualiz

ed R

etur

n


0

1

2

3

4

5

6

< -1

0-1

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-9-9

to -8

-8 to

-7-7

to -6

-6 to

-5-5

to -4

-4 to

-3-3

to -2

-2 to

-1-1

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0 to

11

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2 to

33

to 4

4 to

55

to 6

6 to

77

to 8

8 to

99

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Mon

thly

Per

iods

Return Range (%)


146

SITFOPublic Treasurer's Investment Fund




5th

25th

50th

75th

95th

%0.9 %1.8 %2.3 %2.3 %1.9 %2.3 %3.2 %3.1

0.6 0.9 1.0 1.6 1.4 1.8 2.7 2.6

0.5 0.6 0.5 1.1 1.0 1.2 2.1 2.2

0.2 0.2 0.0 0.5 0.6 0.6 1.4 1.8

0.0 -0.2 -0.6 0.0 0.1 0.0 0.4 1.0

%0.6

0.3

%1.4

0.8

%1.7

0.8

%1.3

0.6

%1.0

0.6

%0.9

0.5

%0.8

0.8

%1.7

1.6

- Public Treasurer's Investment Fund

- Public Treasurer Blended Index

% R

etur

n


-1%

0%

1%

2%

3%

4%


% R

etur

n

9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/180%

1%

2%

3%

4%

5%

6%

147

SITFONT Cash




5th

25th

50th

75th

95th

%0.9 %1.8 %2.3 %2.3

0.6 0.9 1.0 1.6

0.5 0.6 0.5 1.1

0.2 0.2 0.0 0.5

0.0 -0.2 -0.6 0.1

%0.2

0.5

%0.5

1.3

%0.5

1.6

%0.3

1.2

- NT Cash

- ICE BofAML 3 Month U.S. T-Bills Index

% R

etur

n


-1%

0%

1%

2%

3%

4%


% R

etur

n

12/17 3/18 6/18 9/18-1%

0%

1%

2%

3%

4%

5%

148

Index Summary Sheet for Periods Ending September 30, 2018Annualized

Global Equity Qtr YTD 1 Yr 3 Yr 5 Yr 10 YrMSCI AC World Index 4.3% 3.8% 9.8% 13.4% 8.7% 8.2%MSCI World Index 5.0 5.4 11.2 13.5 9.3 8.6S&P 500 Index 7.7 10.6 17.9 17.3 13.9 12.0Russell 3000 Index 7.1 10.6 17.6 17.1 13.5 12.0Russell 1000 Index 7.4 10.5 17.8 17.1 13.7 12.1Russell 1000 Growth Index 9.2 17.1 26.3 20.6 16.6 14.3Russell 1000 Value Index 5.7 3.9 9.5 13.6 10.7 9.8Russell Midcap Index 5.0 7.5 14.0 14.5 11.7 12.3Russell Midcap Growth Index 7.6 13.4 21.1 16.6 13.0 13.5Russell Midcap Value Index 3.3 3.1 8.8 13.1 10.7 11.3Russell 2000 Index 3.6 11.5 15.2 17.1 11.1 11.1Russell 2000 Growth Index 5.5 15.8 21.1 18.0 12.1 12.7Russell 2000 Value Index 1.6 7.1 9.3 16.1 9.9 9.5Russell Microcap Index 0.8 11.6 13.6 16.4 10.5 10.8MSCI AC World Index ex-U.S. 0.7 -3.1 1.8 10.0 4.1 5.2MSCI EAFE Index 1.4 -1.4 2.7 9.2 4.4 5.4MSCI EAFE Growth Index 1.5 0.6 5.8 10.3 5.6 6.2MSCI EAFE Value Index 1.2 -3.5 -0.4 8.1 3.1 4.5MSCI Small Cap EAFE Index -0.9 -2.2 3.7 12.4 8.0 9.7MSCI Emerging Markets Index -1.1 -7.7 -0.8 12.4 3.6 5.4MSCI Emerging Markets Small Cap Index -4.2 -12.3 -4.2 7.4 2.7 7.4MSCI Frontier Markets Index -2.0 -12.6 -7.7 5.3 2.9 -0.2HFRI Equity Hedge Index 0.3 1.5 4.9 7.3 5.1 5.1HFRI Emerging Markets -3.6 -7.2 -3.6 6.6 3.0 3.6HFRI FOF: Strategic Index -0.6 -0.2 2.3 4.0 3.4 2.9Thomson One All Private Capital Index 3.4 11.2 16.7 13.0 12.6 10.2Thomson One Buyout Index 3.8 11.4 17.7 16.9 15.2 12.2Thomson One Fund of Funds Index 2.6 10.6 15.3 10.6 11.9 9.2Thomson One Venture Capital Index 4.8 17.2 21.7 11.1 16.5 11.8Global Fixed IncomeBloomberg Barclays US Aggregate Index 0.0 -1.6 -1.2 1.3 2.2 3.8Bloomberg Barclays U.S. TIPS Index -0.8 -0.8 0.4 2.0 1.4 3.3Bloomberg Barclays Government Bond Index -0.6 -1.6 -1.6 0.3 1.3 2.7Bloomberg Barclays Municipals Index -0.2 -0.4 0.3 2.2 3.5 4.8Bloomberg Barclays Asset Backed Index 0.5 0.5 0.5 1.2 1.5 3.7

© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only149

Index Summary Sheet for Periods Ending September 30, 2018Annualized

Global Fixed Income (continued) Qtr YTD 1 Yr 3 Yr 5 Yr 10 YrBloomberg Barclays US MBS Index -0.1% -1.1% -0.9% 1.0% 2.0% 3.3%Bloomberg Barclays IG CMBS Index 0.5 -0.6 -0.2 1.7 2.4 5.6Bloomberg Barclays U.S. Credit Index 0.9 -2.1 -1.1 3.0 3.4 5.9Bloomberg Barclays US Corporate HY Index 2.4 2.6 3.0 8.1 5.5 9.5Bloomberg Barclays Interm. US G/C Index 0.2 -0.8 -1.0 0.9 1.5 3.2ICE BofAML 1-3 Yr. Govt. Bond Index 0.2 0.3 0.0 0.4 0.6 1.1U.S. 91-Day Treasury Bills 0.5 1.3 1.6 0.9 0.5 0.3CS Leveraged Loan Index 1.9 4.4 5.6 5.4 4.4 5.8JPMorgan Non-U.S. GBI Hedged Index -1.0 -0.3 0.9 2.6 3.8 4.1JPMorgan Non-U.S. GBI Index -2.4 -3.2 -1.6 2.3 -0.2 2.2JPMorgan EMBI Plus Index 1.5 -4.7 -5.0 4.8 4.2 6.8JPMorgan EMBI Global Index 1.9 -3.5 -2.9 5.7 4.6 7.3HFRI RV: Fixed Income - Corporate Index 1.2 2.3 4.0 6.5 4.4 5.7HFRI ED: Distressed/Restructuring Index 1.3 4.2 5.9 7.2 3.8 5.6Thomson One Distressed Index 1.4 4.7 8.2 10.0 8.7 10.2Real AssetsFTSE NAREIT All Equity Index 0.5 1.8 4.3 9.0 9.6 7.8S&P Developed BMI Property Index -0.8 -1.3 2.4 6.5 5.7 6.5S&P Developed ex-U.S. Property Index -2.1 -3.5 2.8 7.5 4.6 7.3NCREIF Property Index 1.7 5.3 7.2 7.8 9.6 6.4Bloomberg Commodity Index -2.0 -2.0 2.6 -0.1 -7.2 -6.2Alerian MLP Index 6.6 5.9 4.9 4.4 -2.7 9.2NCREIF Timberland Index 1.0 2.4 4.0 3.5 6.0 4.0Thomson One Private Real Estate Index 1.3 5.4 9.9 9.7 11.1 4.2Diversifying StrategiesHFRI Fund of Funds Index 0.2 1.0 3.1 3.3 3.2 2.6HFRI Fund Weighted Composite Index 0.5 1.4 4.0 5.3 4.1 4.6HFRI FOF: Conservative Index 0.8 2.5 3.6 2.8 2.9 2.2HFRI Event Driven 0.8 2.8 4.8 6.8 4.4 5.6HFRI Relative Value Total Index 1.4 3.1 4.2 5.2 4.4 6.0HFRI Macro Index 0.0 -1.8 0.6 0.4 1.5 1.6OtherConsumer Price Index - U.S. 0.5 1.6 2.2 2.0 1.5 1.4U.S. Dollar Index 0.3 3.7 2.4 -0.4 3.5 1.8

* For indices that report returns on a lag, 0.0% is utilized for the most recent time period until the actual return data are reported.

© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only150

Disclosures

This one on one report was prepared by FEG (also known as Fund Evaluation Group, LLC), a federally registered investment adviser under the Investment Advisers Act of 1940, as amended, providing non-discretionary and discretionary investment advice to its clients on an individual basis. Registration as an investment adviser does not imply a certain level of skill or training. The oral and written communications of an adviser provide you with information about which you determine to hire or retain an adviser. Fund Evaluation Group, LLC, Form ADV can be obtained by written request directed to: Fund Evaluation Group, LLC, 201 East Fifth Street, Suite 1600, Cincinnati, OH 45202 Attention: Compliance Department.

The information herein was obtained from various sources. FEG does not guarantee the accuracy or completeness of such information provided by third parties. The information in this report is given as of the date indicated and believed to be reliable. FEG assumes no obligation to update this information, or to advise on further developments relating to it. FEG, its affiliates, directors, officers, employees, employee benefit programs and client accounts may have a long position in any securities of issuers discussed in this report.

Market Values and return statistics for time periods pre-dating FEG’s relationship with clients may include data provided by the clients and/or a previous consultant is assumed to be accurate. However, this information is not independently verified by FEG.

Performance results are calculated using information provided by the custodian and/ or independent pricing sources. It is the responsibility of the trustee, custodian and /or manager to ensure the accuracy of market value and transactional data. Performance analysis is calculated using monthly and/or quarterly market values. Performance analysis and asset valuations may or may not include accrued interest and dividend income and are net of management fees. FEG/Consulting fees may or may not be deducted, based on client preference.

FEG’s universes are updated monthly and the traditional asset classes are constructed from Lipper data feeds encompassing over 19,000 mutual funds. Lipper classifies approximately 50 asset classes according to the funds’ investment objectives and portfolio attributes. FEG screens the Lipper universes to include only institutional and no-load funds. However, because the Lipper data may treat multiple share classes of the same fund as separate funds for the purposes of constructing their universes, FEG further screens the universes to eliminate multiple share classes within the institutional and no-load funds (examples include retirement-share classes and 529-share classes) in an effort to present pure-institutional universes.

Monitoring of managers includes fundamental research for all investment managers, as well as enhanced coverage for managers that have been approved for FEG’s recommended list. A Quarterly Compliance Questionnaire is the basis of fundamental coverage and requests qualitative (e.g., personnel, organizational changes) and quantitative information (performance, cash flows) on all investment strategies for ongoing monitoring and adherence to investment policy. Clients may have exposure to both fundamental and recommended managers in their portfolio depending on their unique needs. FEG conducts conference calls directly with the active managers that receive enhanced coverage.

Mutual funds are bound by their prospectus, limiting potential deviation from the stated investment strategy.

Clients are encouraged to contact their Investment Advisers immediately if there are changes to their financial situation or investment objectives, or if they wish to impose or modify restrictions on the management of their account(s). Please notify your adviser immediately if you believe that any information on file is incorrect, or have had changes that have not been previously discussed.

Index performance results do not represent any managed portfolio returns. An investor cannot invest directly in a presented index, as an investment vehicle replicating an index would be required. An index does not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown.

This report is prepared for informational purposes only. Past Performance is not indicative of future results.

Confidential – For Client Use Only151

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