Quarterly Investment Review - SDCERA...Burgiss Private iQ Global Private Equity3 15.31% 14.78%...

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San Diego County Employees' Retirement Association | Second Quarter 2020

Quarterly Investment Review

1 Executive Summary 1

2 Total Public Equity 15

3 Total Fixed Income 51

4 Opportunistic 81

5 Total Private Assets 95

6 Market Environment 103

7 Appendix 117

Table of Contents

Executive Summary

1

Aon Proprietary & Confidential Investment advice and consulting services provided by Aon Investments USA Inc.

Market Highlights

10.7%

4.3%2.1% 2.9%

4.3%

9.2% 8.5%

4.8%

-7.7%

14.0%

10.5%

5.7%3.3% 3.8%

7.7% 7.8%6.7%

-5.8%-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets

BloombergBarclays U.S.

Aggregate


Long Gov't

BloombergBarclays U.S.Long Credit


High Yield

BloombergCommodity Index

LONG TERM ANNUALIZED RETURNSAS OF 06/30/2020

Five-Year Ten-Year

Source: Russell, MSCI, Bloomberg Barclays, Bloomberg

20.5%

25.4%

14.9%18.1%

2.9%0.3%

11.1% 10.2%

5.1%7.5%

-6.6% -5.1% -3.4%

8.7%

25.1%

13.2%

0.0%

-17.4%-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets


Aggregate


Long Gov't

BloombergBarclays U.S.Long Credit


High Yield

BloombergCommodity Index

SHORT TERM RETURNSAS OF 06/30/2020

Second Quarter 2020 One-Year

Source: Russell, MSCI, Bloomberg Barclays, BloombergMSCI Indices show net total returns throughout this report. All other indices show gross total returns..

2


Market Highlights

Second Quarter YTD 1-Year 3-Year1

5-Year1

10-Year1

Equity

MSCI All Country World IMI 19.83% -7.06% 1.17% 5.55% 6.11% 9.10%

MSCI All Country World 19.22% -6.25% 2.11% 6.14% 6.46% 9.16%

Dow Jones U.S. Total Stock Market 22.09% -3.50% 6.41% 9.97% 9.97% 13.68%

Russell 3000 22.03% -3.48% 6.53% 10.04% 10.03% 13.72%

S&P 500 20.54% -3.08% 7.51% 10.73% 10.73% 13.99%

Russell 2000 25.42% -12.98% -6.63% 2.01% 4.29% 10.50%

MSCI All Country World ex-U.S. IMI 16.96% -11.24% -4.74% 0.96% 2.30% 5.11%

MSCI All Country World ex-U.S. 16.12% -11.00% -4.80% 1.13% 2.26% 4.97%

MSCI EAFE 14.88% -11.34% -5.13% 0.81% 2.05% 5.73%

MSCI EAFE (Local Currency) 12.60% -10.53% -4.24% 1.26% 2.63% 6.86%

MSCI Emerging Markets 18.08% -9.78% -3.39% 1.90% 2.86% 3.27%

Fixed Income

Bloomberg Barclays Global Aggregate 3.32% 2.98% 4.22% 3.79% 3.56% 2.81%

Bloomberg Barclays U.S. Aggregate 2.90% 6.14% 8.74% 5.32% 4.30% 3.82%

Bloomberg Barclays U.S. Long Gov't 0.28% 20.97% 25.14% 11.96% 9.21% 7.71%

Bloomberg Barclays U.S. Long Credit 11.08% 5.92% 13.19% 8.70% 8.51% 7.77%

Bloomberg Barclays U.S. Long Gov't/Credit 6.23% 12.82% 18.91% 10.32% 8.98% 7.84%

Bloomberg Barclays U.S. TIPS 4.24% 6.01% 8.28% 5.05% 3.75% 3.52%

Bloomberg Barclays U.S. High Yield 10.18% -3.80% 0.03% 3.33% 4.79% 6.68%

Bloomberg Barclays Global Treasury ex U.S. 2.39% 0.82% 0.87% 2.82% 3.23% 1.85%

JP Morgan EMBI Global (Emerging Markets) 11.21% -1.87% 1.52% 3.31% 5.12% 5.82%

Commodities

Bloomberg Commodity Index 5.08% -19.40% -17.38% -6.14% -7.69% -5.82%

Goldman Sachs Commodity Index 10.47% -36.31% -33.90% -8.71% -12.54% -8.53%

Hedge Funds

HFRI Fund-Weighted Composite2

9.08% -3.43% -0.54% 2.13% 2.33% 3.72%

HFRI Fund of Funds2

7.48% -1.97% 0.09% 2.12% 1.41% 2.75%

Real Estate

NAREIT U.S. Equity REITS 11.82% -18.71% -13.04% 0.03% 4.06% 9.05%

NCREIF NFI - ODCE -1.55% 2.23% 5.66% 7.31% 10.80%

FTSE Global Core Infrastructure Index 8.89% -10.59% -4.61% 5.49% 7.01% 9.75%

Private Equity

Burgiss Private iQ Global Private Equity3

15.31% 14.78% 12.30% 13.19%

MSCI Indices show net total returns throughout this report. All other indices show gross total returns.1 Periods are annualized.

2 Latest 5 months of HFR data are estimated by HFR and may change in the future.

3 Burgiss Private iQ Global Private Equity data is as at Dec 31, 2019

Returns of the Major Capital Markets

Period Ending 06/30/2020

3

Change in Market ValueFrom April 1, 2020 to June 30, 2020

Summary of Cash Flow

$0.0

$4,500.0

$9,000.0

$13,500.0

$18,000.0

($4,500.0)

($9,000.0)

Mill

ion

s ($

)

Beginning Market Value Net Additions / Withdrawals Investment Earnings Ending Market Value

$11,935.3

($164.7)

$1,177.8

$12,948.4

1Quarter

YearTo

Date

FiscalYTD

1Year

Trust Fund

Beginning Market Value 11,935,258,563 13,872,981,193 12,893,288,629 12,893,288,629

+ Additions / Withdrawals -164,691,099 -324,919,699 -85,185,197 -85,185,197

+ Investment Earnings 1,177,784,592 -599,709,439 140,248,623 140,248,623

= Ending Market Value 12,948,352,056 12,948,352,056 12,948,352,056 12,948,352,056

Trust Fund

Trust Fund Asset Summary

As of June 30, 2020

4

Return Summary

Quarterly Relative Performance - 5 Years Ratio of Cumulative Wealth - 5 Years

Trust Fund SDCERA Policy Benchmark

0.0

8.0

16.0

24.0

-8.0

-16.0

Re

turn

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

13.8

-3.7

2.7 2.7

5.4 5.77.6

9.9

-4.3

1.1 1.1

4.8 5.3

7.6

0.96

0.98

1.00

1.02

1.04

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.98

0.0%

3.0%

6.0%

-3.0 %

-6.0 %

-9.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Trust Fund Performance Summary

As of June 30, 2020Trust Fund

5

Actual vs. Target Allocation (%)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Trust Fund 9.9 -4.3 1.1 1.1 4.8 5.3 7.6 9.4 Sep-80

SDCERA Policy Benchmark 13.8 -3.7 2.7 2.7 5.4 5.7 7.6 -

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 7.6 -

Total Public Assets 13.7 -4.6 1.0 1.0 4.3 4.4 10.7 7.8 Jan-06

SDCERA Public Benchmark 14.2 -3.5 2.9 2.9 5.3 5.4 7.0 5.7

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 7.6 5.8

Total Public Equity 19.9 -7.5 0.6 0.6 5.3 5.1 15.4 11.1 Jan-06

MSCI AC World IMI (Net) 19.8 -7.1 1.2 1.2 5.5 6.1 9.1 5.9

Total Fixed Income 4.5 2.6 4.5 4.5 3.7 3.5 2.9 2.7 Jan-06

Fixed Income Benchmark 4.0 2.4 4.8 4.8 4.0 3.2 3.1 4.0

Opportunistic 8.2 -13.9 -10.8 -10.8 -1.6 0.8 3.9 3.9 Jun-10

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 7.6 7.4

Total Private Assets -4.5 -2.8 1.2 1.2 6.4 - - 7.5 Sep-15

SDCERA Private Assets Benchmark 12.4 -4.6 1.8 1.8 5.6 - - 8.1

Target Allocation Actual Allocation Allocation Differences

0.0% 6.0% 12.0% 18.0% 24.0% 30.0% 36.0%-6.0 %-12.0 %-18.0 %

Private Real Assets

Private Equity

Real Estate

Opportunistic

Return-Seeking Fixed Income

Risk-Reducing Fixed Income

Emerging Market Equity

International Equity

Global Equity

U.S. Equity

6.0%

8.0%

9.0%

8.0%

6.0%

18.0%

7.0%

15.0%

3.0%

20.0%

4.3%

5.0%

8.7%

6.7%

7.4%

17.8%

6.2%

15.9%

4.1%

23.8%

-1.7 %

-3.0 %

-0.3 %

-1.3 %

1.4%

-0.2 %

-0.8 %

0.9%

1.1%

3.8%

Trust Fund Executive Summary

As of June 30, 2020

SDCERA Policy Benchmark: 45% MSCI ACWI IMI, 18% Bloomberg Barclays US Intermediate Aggregate, 6% ICE BofAML US High Yield Index, 8% Balanced Benchmark, 23% SDCERA Private Asset Benchmark. SDCERA PrivateAsset Benchmark: 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI. Balanced Benchmark: 70% MSCI ACWI IMI and 30% Bloomberg Barclay's US Intermediate Aggregate. Fixed Income Benchmark: 75% Bloomberg Barclays US

Intermediate Aggregate, 25% ICE BofAML US High Yield Index. Composite since inception returns are from the beginning of the first full month after inception.

6

Trust Fund Performance

0.00% 10.00% 20.00% 30.00%-10.00 %-20.00 %

Trust Fund

Trust Fund Benchmark

Total Value Added

9.90%

13.76%

-3.86 %

Total Value Added:-3.86 %

0.00% 2.00%-2.00 %-4.00 %-6.00 %

Other

Manager Value Added

Asset Allocation

0.01%

-3.85 %

-0.02 %

Total Asset Allocation:-0.02 %

Average Active Weight

0.00% 4.00% 8.00%-4.00 %-8.00 %

Opportunistic

Total Private Assets

Total Fixed Income

Total Public Equity

We

igh

t

(%)

0.04%

-3.44 %

1.17%

2.24%

Asset Allocation Value Added

0.00% 0.20%-0.20 %-0.40 %

0.00%

0.05%

-0.14 %

0.08%

Total Manager Value Added:-3.85 %

Manager Value Added

0.00% 3.00%-3.00 %-6.00 %

-0.51 %

-3.53 %

0.15%

0.03%

Trust Fund

Trust Fund Attribution

1 Quarter Ending June 30, 2020

7

Trust Fund Performance

0.00% 3.00% 6.00%-3.00 %-6.00 %

Trust Fund

Trust Fund Benchmark

Total Value Added

1.07%

2.65%

-1.59 %

Total Value Added:-1.59 %

0.00% 0.99% 1.98%-0.99 %-1.98 %-2.97 %

Other

Manager Value Added

Asset Allocation

-0.12 %

-1.72 %

0.25%

Total Asset Allocation:0.25%

Average Active Weight

0.00% 4.00% 8.00%-4.00 %-8.00 %

Opportunistic


Total Fixed Income

Total Public Equity

We

igh

t

(%)

0.00%

-3.88 %

2.45%

1.43%

Asset Allocation Value Added

0.00% 0.20% 0.40%-0.20 %

0.00%

0.03%

0.24%

-0.02 %

Total Manager Value Added:-1.72 %

Manager Value Added

-1.71 % -1.14 % -0.57 % 0.00%

-1.23 %

-0.12 %

-0.10 %

-0.27 %

Trust Fund

Trust Fund Attribution

1 Year Ending June 30, 2020

8

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015Since

InceptionInception

Date

Trust Fund 12,948,352,056 100.0 9.9 -4.3 1.1 1.1 4.8 5.3 7.6 15.9 -3.9 16.0 6.9 -1.0 9.4 Sep-80

SDCERA Policy Benchmark 13.8 -3.7 2.7 2.7 5.4 5.7 7.6 19.8 -6.0 16.3 7.0 -0.4 -

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 7.6 20.3 -6.7 17.3 6.8 -1.2 -

Total Public Assets 10,616,581,141 82.0 13.7 -4.6 1.0 1.0 4.3 4.4 10.7 18.4 -7.2 18.5 7.5 -6.3 7.8 Jan-06

SDCERA Public Benchmark 14.2 -3.5 2.9 2.9 5.3 5.4 7.0 20.1 -6.5 15.6 6.2 -0.2 5.7

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 7.6 20.3 -6.7 17.3 6.8 -1.2 5.8

Total Public Equity 6,480,227,994 50.0 19.9 -7.5 0.6 0.6 5.3 5.1 15.4 26.1 -10.7 25.7 8.0 -5.7 11.1 Jan-06

MSCI AC World IMI (Net) 19.8 -7.1 1.2 1.2 5.5 6.1 9.1 26.4 -10.1 23.9 8.4 -2.2 5.9

U.S. Equity 3,087,601,787 23.8 22.8 -3.8 6.2 6.2 9.9 9.3 11.7 31.4 -5.8 20.7 12.0 1.8 9.7 Jan-06

MSCI USA IMI (Net) 22.1 -3.6 6.1 6.1 9.5 9.5 13.1 30.4 -5.7 20.6 12.0 0.0 8.2

Global Equity 529,657,827 4.1 18.5 -8.8 -0.7 -0.7 4.5 5.7 10.1 24.4 -10.7 25.2 8.3 -1.4 10.1 Jul-10


International Equity 2,063,182,827 15.9 16.5 -10.5 -4.0 -4.0 1.3 2.5 - 23.3 -14.4 25.3 1.5 -0.7 1.3 Jun-14

MSCI EAFE IMI (Net) 15.6 -11.6 -4.9 -4.9 0.8 2.3 - 22.4 -14.4 26.2 1.2 0.5 1.4

Emerging Market Equity 799,785,554 6.2 18.9 -11.6 -6.3 -6.3 0.7 2.8 3.5 17.3 -14.6 35.9 12.8 -14.5 5.6 Jan-06

Emerging Markets Benchmark 18.1 -9.8 -3.4 -3.4 1.9 2.7 3.3 18.4 -14.6 36.9 9.9 -13.9 5.0

Total Fixed Income 3,264,735,643 25.2 4.5 2.6 4.5 4.5 3.7 3.5 2.9 7.3 0.1 4.0 5.2 -0.9 2.7 Jan-06

Fixed Income Benchmark 4.0 2.4 4.8 4.8 4.0 3.2 3.1 8.6 0.1 2.7 2.0 1.2 4.0

Risk-Reducing Fixed Income 2,309,265,767 17.8 2.1 4.1 5.8 5.8 4.0 - - 5.9 1.1 3.0 2.3 - 3.7 Jan-16

Blmbg. Barc. U.S. Intermediate Aggregate 2.1 4.7 6.6 6.6 4.3 - - 6.7 0.9 2.3 2.0 - 3.6

Return-Seeking Fixed Income 955,469,876 7.4 10.9 -5.0 -2.2 -2.2 1.7 - - 11.5 -3.3 7.1 15.4 - 5.4 Jan-16

ICE BofAML US High Yield Index 9.5 -4.8 -1.2 -1.2 2.9 - - 14.4 -2.3 7.5 17.5 - 6.8

Opportunistic 871,617,504 6.7 8.2 -13.9 -10.8 -10.8 -1.6 0.8 3.9 12.8 -10.4 11.3 0.9 7.3 3.9 Jun-10

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 7.6 20.3 -6.7 17.3 6.8 -1.2 7.4

Total Private Assets 2,331,770,915 18.0 -4.5 -2.8 1.2 1.2 6.4 7.5 - 7.1 9.1 12.0 9.2 5.5 7.2 Jan-15

SDCERA Private Assets Benchmark 12.4 -4.6 1.8 1.8 5.6 7.1 - 18.8 -4.4 18.8 9.9 4.7 7.4

Real Estate 1,125,017,978 8.7 1.3 4.1 10.5 10.5 9.7 10.4 11.8 11.9 8.1 8.1 11.7 14.2 7.6 Jan-84

NCREIF ODCE Index (Net) -1.8 -1.0 1.3 1.3 4.7 6.3 9.8 4.4 7.4 6.7 7.8 14.0 6.3

Private Equity 644,349,632 5.0 -10.1 -8.9 -4.9 -4.9 6.7 8.1 10.6 7.2 15.6 18.2 9.6 3.0 8.4 Jan-06


Private Real Assets 562,403,306 4.3 -8.4 -7.9 -7.4 -7.4 0.4 2.1 5.9 0.0 3.7 11.0 5.5 -4.6 3.0 Feb-08


Asset Allocation & Performance

As of June 30, 2020

9

-22.0

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

Re

turn

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017

Trust Fund 9.9 (55) -4.3 (65) 1.1 (63) 1.1 (63) 4.8 (56) 5.3 (48) 7.6 (49) 15.9 (66) -3.9 (60) 16.0 (39)¢

SDCERA Policy Benchmark 13.8 (9) -3.7 (47) 2.7 (33) 2.7 (33) 5.4 (34) 5.7 (38) 7.6 (48) 19.8 (12) -6.0 (89) 16.3 (28)�

Balanced Benchmark 14.3 (5) -3.2 (37) 3.3 (20) 3.3 (20) 5.5 (33) 5.6 (39) 7.6 (46) 20.3 (8) -6.7 (96) 17.3 (7)p

5th Percentile 14.3 0.0 5.5 5.5 6.9 6.9 9.1 20.6 0.5 17.7

1st Quartile 11.9 -2.5 3.0 3.0 5.8 5.9 8.2 18.3 -1.9 16.5

Median 10.1 -3.7 1.5 1.5 4.9 5.2 7.5 16.9 -3.5 15.6

3rd Quartile 8.0 -4.8 0.1 0.1 4.0 4.6 7.0 15.3 -4.9 14.2

95th Percentile 4.6 -7.3 -2.2 -2.2 2.6 2.6 5.2 12.1 -6.7 10.4

Population 119 119 119 119 117 115 111 169 130 105

Trust Fund

Plan Sponsor Peer Group Analysis

As of June 30, 2020

All Public Plans > $1B-Total Fund

Parentheses contain percentile rankings.

10

Universe: All Public Plans > $1 Billion

StandardDeviation

Beta R-SquaredUp

MarketCapture

DownMarket

Capture

InformationRatio

TrackingError

SharpeRatio

SortinoRatio

Trust Fund 7.78 0.78 0.98 82.04 76.19 -0.22 2.40 0.55 0.76

SDCERA Policy Benchmark 9.84 1.00 1.00 100.00 100.00 - 0.00 0.49 0.68

FTSE 3 Month T-Bill 0.25 0.00 0.00 5.30 -3.51 -0.49 9.86 - 0.00

Annualized Return vs. Annualized Standard Deviation5 Years

2.0

4.0

6.0

8.0

10.0

Re

turn

(%)

2.0 4.0 6.0 8.0 10.0 12.0 14.0

Risk (Standard Deviation %)

Trust FundSDCERA Policy Benchmark

ReturnStandardDeviation

Trust Fund 5.29 7.78¢£

SDCERA Policy Benchmark 5.65 9.84��

Median 5.23 8.26¾

35.0

50.0

65.0

80.0

95.0

110.0

125.0

140.0

Up MarketCapture

0.0

25.0

50.0

75.0

100.0

125.0

150.0

Down MarketCapture

5Years

5Years

Trust Fund 82.04 (62) 76.19 (54)¢

5th Percentile 108.14 105.66

1st Quartile 94.18 90.64

Median 85.68 77.38

3rd Quartile 76.34 68.07

95th Percentile 56.63 32.55

<ReportMemberName>

Trust Fund Risk Analysis

5 Years As of June 30, 2020

11

Rolling Information Ratio3 Year

-0.8

-0.4

0.0

0.4

0.8

Info

Ra

tio

Jul-

17

Jan

-18

Jul-

18

Jan

-19

Jul-

19

Jan

-20

Jun

-20

-0.3

Rolling Information Ratio5 Year

-0.8

-0.4

0.0

0.4

0.8

Info

Ra

tio

Jul-

15

Ap

r-1

6

Jan

-17

Oct

-17

Jul-

18

Ap

r-1

9

Jun

-20

-0.2

Rolling Tracking Error3 Year

0.6

1.2

1.8

2.4

3.0

3.6

Tra

ck

ing

Err

or

Jul-

17

Jan

-18

Jul-

18

Jan

-19

Jul-

19

Jan

-20

Jun

-20

2.7

Rolling Tracking Error5 Year

0.5

1.0

1.5

2.0

2.5

3.0

Tra

ck

ing

Err

or

Jul-

15

Ap

r-1

6

Jan

-17

Oct

-17

Jul-

18

Ap

r-1

9

Jun

-20

2.4

<ReportMemberName>

Trust Fund Rolling Risk Statistics

As of June 30, 2020

12

Rolling Up Market Capture Ratio (%)3 Year

75.0

80.0

85.0

90.0

95.0

100.0

Up

Mk

t

Ca

p R

ati

o

Jul-

17

Jan

-18

Jul-

18

Jan

-19

Jul-

19

Jan

-20

Jun

-20

79.5

Rolling Up Market Capture Ratio (%)5 Year

70.0

80.0

90.0

100.0

110.0

Up

Mk

t

Ca

p R

ati

o

Jul-

15

Ap

r-1

6

Jan

-17

Oct

-17

Jul-

18

Ap

r-1

9

Jun

-20

82.0

Rolling Down Market Capture Ratio (%)3 Year

64.0

72.0

80.0

88.0

96.0

Do

wn

Mk

t

Ca

p R

ati

o

Jul-

17

Jan

-18

Jul-

18

Jan

-19

Jul-

19

Jan

-20

Jun

-20

76.4

Rolling Down Market Capture Ratio (%)5 Year

60.0

75.0

90.0

105.0

120.0

Do

wn

Mk

t

Ca

p R

ati

o

Jul-

15

Ap

r-1

6

Jan

-17

Oct

-17

Jul-

18

Ap

r-1

9

Jun

-20

76.2

<ReportMemberName>

Trust Fund Rolling Risk Statistics

As of June 30, 2020

13

This Page Left Blank Intentionally

Writeup

14

Total Public Equity

15

Total Public Equity Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Total Public Equity 6,480,227,994 19.9 -7.5 0.6 0.6 5.3 5.1 15.4 26.1 -10.7 25.7 8.0 -5.7

MSCI AC World IMI (Net) 19.8 -7.1 1.2 1.2 5.5 6.1 9.1 26.4 -10.1 23.9 8.4 -2.2

U.S. Equity 3,087,601,787 22.8 -3.8 6.2 6.2 9.9 9.3 11.7 31.4 -5.8 20.7 12.0 1.8

MSCI USA IMI (Net) 22.1 -3.6 6.1 6.1 9.5 9.5 13.1 30.4 -5.7 20.6 12.0 0.0

Global Equity 529,657,827 18.5 -8.8 -0.7 -0.7 4.5 5.7 10.1 24.4 -10.7 25.2 8.3 -1.4


International Equity 2,063,182,827 16.5 -10.5 -4.0 -4.0 1.3 2.5 - 23.3 -14.4 25.3 1.5 -0.7

MSCI EAFE IMI (Net) 15.6 -11.6 -4.9 -4.9 0.8 2.3 - 22.4 -14.4 26.2 1.2 0.5

Emerging Market Equity 799,785,554 18.9 -11.6 -6.3 -6.3 0.7 2.8 3.5 17.3 -14.6 35.9 12.8 -14.5

Emerging Markets Benchmark 18.1 -9.8 -3.4 -3.4 1.9 2.7 3.3 18.4 -14.6 36.9 9.9 -13.9

U.S. Equity47.6%

Emerging Market Equity12.3%

International Equity31.8%

Global Equity8.2%

Total Public Equity Performance Summary

As of June 30, 2020

16

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Trust Fund 12,948,352,056 100.0 9.9 -4.3 1.1 1.1 4.8 5.3 7.6 15.9 -3.9 16.0 6.9 -1.0

U.S. Equity 3,087,601,787 23.8 22.8 -3.8 6.2 6.2 9.9 9.3 11.7 31.4 -5.8 20.7 12.0 1.8

MSCI USA IMI (Net) 22.1 -3.6 6.1 6.1 9.5 9.5 13.1 30.4 -5.7 20.6 12.0 0.0

BlackRock MSCI US Equity Index 1,240,667,013 9.6 21.7 (51) -2.1 (30) 8.4 (24) 8.4 (24) - - - 31.6 (22) -4.5 (25) - - -

MSCI USA (Net) 21.6 (52) -2.5 (31) 7.8 (25) 7.8 (25) - - - 30.9 (25) -5.0 (28) - - -IM U.S. Equity (SA+CF) Median 21.8 -9.5 -2.5 -2.5 - - - 26.8 -8.6 - - -

BlackRock MSCI US Small Cap Index 212,440,592 1.6 27.1 (38) -12.6 (44) -6.2 (41) -6.2 (41) - - - 27.3 (26) -10.3 (40) - - -

MSCI USA Small Cap Index (Net) 26.9 (39) -12.9 (45) -6.7 (43) -6.7 (43) - - - 26.7 (29) -10.4 (40) - - -IM U.S. Small Cap Equity (SA+CF) Median 24.9 -15.3 -9.8 -9.8 - - - 23.7 -12.3 - - -

PIMCO Russell 2000 Passive Plus 194,040,654 1.5 27.7 (24) -13.2 (61) -6.7 (61) -6.7 (61) 2.1 (61) - - 26.9 (50) -11.7 (67) 14.9 (64) 22.8 (14) -

Russell 2000 Index 25.4 (33) -13.0 (61) -6.6 (60) -6.6 (60) 2.0 (61) - - 25.5 (58) -11.0 (64) 14.6 (65) 21.3 (16) -IM U.S. Equity (SA+CF) Median 21.8 -9.5 -2.5 -2.5 4.4 - - 26.8 -8.6 17.5 11.5 -

PIMCO S&P Passive Plus 1,440,453,528 11.1 22.4 (47) -3.2 (33) 7.4 (26) 7.4 (26) 10.5 (27) - - 32.6 (17) -5.4 (31) 21.6 (31) 13.2 (43) -

S&P 500 Index 20.5 (60) -3.1 (32) 7.5 (26) 7.5 (26) 10.7 (26) - - 31.5 (22) -4.4 (24) 21.8 (30) 12.0 (48) -IM U.S. Equity (SA+CF) Median 21.8 -9.5 -2.5 -2.5 4.4 - - 26.8 -8.6 17.5 11.5 -

Global Equity 529,657,827 4.1 18.5 -8.8 -0.7 -0.7 4.5 5.7 10.1 24.4 -10.7 25.2 8.3 -1.4


Allianz Global Equity 383,184,017 3.0 17.9 (57) -10.1 (67) -2.2 (63) -2.2 (63) 3.8 (57) - - 23.9 (64) -11.3 (61) - - -

MSCI AC World IMI (Net) 19.8 (46) -7.1 (54) 1.2 (47) 1.2 (47) 5.5 (43) - - 26.4 (46) -10.1 (49) - - -IM Global Equity (SA+CF) Median 19.0 -6.4 0.2 0.2 4.4 - - 25.8 -10.2 - - -

BlackRock ACWI IMI Index 146,473,809 1.1 20.0 (37) -6.8 (34) 1.6 (28) 1.6 (28) - - - 26.9 (19) - - - -

MSCI AC World IMI (Net) 19.8 (37) -7.1 (34) 1.2 (30) 1.2 (30) - - - 26.4 (21) - - - -IM International Equity (SA+CF) Median 18.1 -10.4 -3.9 -3.9 - - - 21.1 - - - -

International Equity 2,063,182,827 15.9 16.5 -10.5 -4.0 -4.0 1.3 2.5 - 23.3 -14.4 25.3 1.5 -0.7

MSCI EAFE IMI (Net) 15.6 -11.6 -4.9 -4.9 0.8 2.3 - 22.4 -14.4 26.2 1.2 0.5

BlackRock MSCI EAFE IMI Index 596,064,140 4.6 15.8 (73) -11.4 (57) -4.6 (54) -4.6 (54) - - - 22.9 (39) -14.1 (28) - - -

MSCI EAFE IMI (Net) 15.6 (75) -11.6 (58) -4.9 (55) -4.9 (55) - - - 22.4 (41) -14.4 (32) - - -IM International Equity (SA+CF) Median 18.1 -10.4 -3.9 -3.9 - - - 21.1 -16.6 - - -

PIMCO EAFE Passive Plus 1,467,118,687 11.3 16.9 (62) -11.3 (57) -5.0 (55) -5.0 (55) 0.9 (43) - - 23.5 (37) -14.4 (32) 25.2 (71) 1.5 (53) -

MSCI EAFE Index (Net) 14.9 (79) -11.3 (57) -5.1 (56) -5.1 (56) 0.8 (44) - - 22.0 (44) -13.8 (25) 25.0 (71) 1.0 (57) -IM International Equity (SA+CF) Median 18.1 -10.4 -3.9 -3.9 0.2 - - 21.1 -16.6 29.3 1.9 -

Emerging Market Equity 799,785,554 6.2 18.9 -11.6 -6.3 -6.3 0.7 2.8 3.5 17.3 -14.6 35.9 12.8 -14.5


BlackRock EM Index 395,687,535 3.1 18.1 (63) -9.8 (44) -3.5 (44) -3.5 (44) 1.8 (32) - - 18.2 (51) -14.6 (25) 37.1 (36) 11.0 (30) -

MSCI Emerging Markets Index (Net) 18.1 (63) -9.8 (44) -3.4 (43) -3.4 (43) 1.9 (31) - - 18.4 (51) -14.6 (25) 37.3 (35) 11.2 (29) -IM Emerging Markets Equity (SA+CF) Median 19.8 -10.7 -5.0 -5.0 -0.6 - - 18.6 -17.3 34.4 7.2 -

DFA Emerging Markets Value I 140,537,914 1.1 19.0 (64) -18.9 (89) -17.3 (91) -17.3 (91) -3.7 (88) 0.1 (79) - 9.6 (88) -11.9 (16) 33.8 (56) 19.8 (8) -18.8 (83)

MSCI Emerging Markets Index (Net) 18.1 (75) -9.8 (44) -3.4 (45) -3.4 (45) 1.9 (39) 2.9 (44) - 18.4 (58) -14.6 (34) 37.3 (38) 11.2 (37) -14.9 (59)IM Emerging Markets Equity (MF) Median 20.4 -10.2 -4.0 -4.0 0.8 2.4 - 19.4 -16.0 35.0 9.3 -13.8

PIMCO EM Passive Plus 263,560,105 2.0 20.1 (49) -10.1 (45) -3.5 (44) -3.5 (44) 1.7 (34) - - 19.6 (44) -15.5 (33) 37.0 (37) 11.9 (25) -

MSCI Emerging Markets Index (Net) 18.1 (63) -9.8 (44) -3.4 (43) -3.4 (43) 1.9 (31) - - 18.4 (51) -14.6 (25) 37.3 (35) 11.2 (29) -IM Emerging Markets Equity (SA+CF) Median 19.8 -10.7 -5.0 -5.0 -0.6 - - 18.6 -17.3 34.4 7.2 -

Total Public Equity Performance Summary

As of June 30, 2020

17

Return Summary

Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception

Current Allocation

Total Public Equity MSCI AC World IMI (Net)

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

10Years

Inception1/1/06

19.8

-7.1

1.2

5.5 6.19.1

5.9

19.9

-7.5

0.6

5.3 5.1

15.4

11.1

June 30, 2020 : $6,480M

DFA Emerging Markets Value I:2.2%

PIMCO EAFE Passive Plus:22.6%

BlackRock ACWI IMI Index:2.3%

PIMCO S&P Passive Plus:22.2%

Allianz Global Equity:5.9%

BlackRock EM Index:6.1%

PIMCO EM Passive Plus:4.1%

BlackRock MSCI EAFE IMI Index:9.2%

BlackRock MSCI US Small Cap Index:3.3%

BlackRock MSCI US Equity Index:19.1%

PIMCO Russell 2000 Passive Plus:3.0%

0.00

0.80

1.60

2.40

3.20

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/20

1.99

0.0%

3.0%

-3.0 %

-6.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Total Public Equity Portfolio Overview

As of June 30, 2020Total Public Equity

18


Rolling 5 Years Standard Deviation

5 Years Historical Statistics


FTSE 3 Month T-Bill

-1.5

0.0

1.5

3.0

4.5

6.0

7.5

9.0

Re

turn

(%)

0.0 4.0 8.0 12.0 16.0 20.0 24.0Risk (Standard Deviation %)


0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 6/20

ActiveReturn

TrackingError

InformationRatio

R-SquaredSharpeRatio

Alpha Beta ReturnStandardDeviation

ActualCorrelation

Total Public Equity -0.96 1.83 -0.52 0.99 0.33 -1.04 1.01 5.06 15.11 0.99

MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.40 0.00 1.00 6.11 14.82 1.00

FTSE 3 Month T-Bill -5.90 14.83 -0.40 0.00 N/A 1.16 0.00 1.15 0.25 -0.06

Total Public Equity Risk Profile

As of June 30, 2020Total Public Equity

19

1 Quarter

0 50 100 150-50-100-150

PIMCO EM Passive Plus

DFA Emerging Markets Value I

BlackRock EM Index

PIMCO EAFE Passive Plus

BlackRock MSCI EAFE IMI Index

BlackRock ACWI IMI Index

Allianz Global Equity

PIMCO S&P Passive Plus

PIMCO Russell 2000 Passive Plus

BlackRock MSCI US Small Cap Index

BlackRock MSCI US Equity Index

Benchmark Effect

Cash Flow Effect

Total Excess Return

8

2

0

46

2

0

-12

41

6

0

3

-95

3

6

Total Public Equity

Asset Class Attribution


20

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

U.S. Equity 3,087,601,787 100.0 22.8 -3.8 6.2 6.2 9.9 9.3 11.7 31.4 -5.8 20.7 12.0 1.8

MSCI USA IMI (Net) 22.1 -3.6 6.1 6.1 9.5 9.5 13.1 30.4 -5.7 20.6 12.0 0.0

BlackRock MSCI US Equity Index 1,240,667,013 40.2 21.7 -2.1 8.4 8.4 - - - 31.6 -4.5 - - -

MSCI USA (Net) 21.6 -2.5 7.8 7.8 - - - 30.9 -5.0 - - -

BlackRock MSCI US Small Cap Index 212,440,592 6.9 27.1 -12.6 -6.2 -6.2 - - - 27.3 -10.3 - - -

MSCI USA Small Cap Index (Net) 26.9 -12.9 -6.7 -6.7 - - - 26.7 -10.4 - - -

PIMCO Russell 2000 Passive Plus 194,040,654 6.3 27.7 -13.2 -6.7 -6.7 2.1 - - 26.9 -11.7 14.9 22.8 -

Russell 2000 Index 25.4 -13.0 -6.6 -6.6 2.0 - - 25.5 -11.0 14.6 21.3 -

PIMCO S&P Passive Plus 1,440,453,528 46.7 22.4 -3.2 7.4 7.4 10.5 - - 32.6 -5.4 21.6 13.2 -

S&P 500 Index 20.5 -3.1 7.5 7.5 10.7 - - 31.5 -4.4 21.8 12.0 -

<ReportMemberName>

U.S. Equity Asset Class Overview

As of June 30, 2020

21

Return Summary


Current Allocation

U.S. Equity MSCI USA IMI (Net)

0.0

15.0

30.0

45.0

-15.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

10Years

Inception1/1/06

22.1

-3.6

6.1

9.5 9.5

13.1

8.2

22.8

-3.8

6.2

9.9 9.311.7

9.7

June 30, 2020 : $3,088M

PIMCO Russell 2000 Passive Plus:6.3%

BlackRock MSCI US Equity Index:40.2%

BlackRock MSCI US Small Cap Index:6.9%

PIMCO S&P Passive Plus:46.7%

0.60

0.90

1.20

1.50

1.80

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/20

1.22

0.0%

0.9%

1.8%

-0.9 %

-1.8 %

-2.7 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

U.S. Equity Portfolio Overview

As of June 30, 2020U.S. Equity

22





FTSE 3 Month T-Bill

-3.0

0.0

3.0

6.0

9.0

12.0

15.0

Re

turn

(%)



0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

U.S. Equity -0.17 1.01 -0.17 1.00 0.58 -0.17 1.00 9.27 15.42 1.00

MSCI USA IMI (Net) 0.00 0.00 N/A 1.00 0.59 0.00 1.00 9.46 15.38 1.00


U.S. Equity Risk Profile

As of June 30, 2020U.S. Equity

23

1 Quarter

0 25 50 75 100 125 150 175-25-50-75-100

PIMCO S&P Passive Plus




Benchmark Effect

Cash Flow Effect

Total Excess Return

89

14

1

7

-46

6

70

U.S. Equity



24

Return Summary


Account Information


MSCI USA (Net)

0.0

15.0

30.0

45.0

-15.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception8/1/17

21.6

-2.5

7.810.0

21.7

-2.1

8.410.6

Account Name: BlackRock MSCI US Equity Index

Inception Date: 07/07/2017

Account Structure: Commingled Fund

Asset Class: US Equity

Benchmark: MSCI USA (Net)

Peer Group: IM U.S. Equity (SA+CF)

12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 0.0%

0.1%

0.2%

0.3%

0.4%

0.99

1.00

1.01

1.02

1.03

7/17 1/18 7/18 1/19 7/19 1/20 6/20

1.02

BlackRock MSCI US Equity Index Performance Summary

As of June 30, 2020BlackRock MSCI US Equity Index

25

Return Summary


Account Information


MSCI USA Small Cap Index (Net)

0.0

20.0

40.0

60.0

-20.0

-40.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception8/1/17

26.9

-12.9-6.7

2.6

27.1

-12.6-6.2

3.0

Account Name: BlackRock MSCI US Small Cap Index




Benchmark: MSCI USA Small Cap Index (Net)

Peer Group: IM U.S. Small Cap Equity (SA+CF)

0.0%

0.3%

0.6%

-0.3 %

-0.6 %

9/17 3/18 9/18 3/19 9/19 3/20 6/20

1/18 7/18 1/19 0.99

1.00

1.01

1.02

7/17 7/19 1/20 6/20

1.01

BlackRock MSCI US Small Cap Index Performance Summary

As of June 30, 2020BlackRock MSCI US Small Cap Index

26

Return Summary


Account Information


Russell 2000 Index

0.0

20.0

40.0

60.0

-20.0

-40.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception9/1/15

25.4

-13.0-6.6

2.06.1

27.7

-13.2

-6.7

2.16.5

Account Name: PIMCO Russell 2000 Passive Plus


Account Structure: Separate Account


Benchmark: Russell 2000 Index


12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.0%

2.0%

4.0%

-2.0 %

-4.0 %

0.98

1.00

1.02

1.04

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 6/20

1.02

PIMCO Russell 2000 Passive Plus Performance Summary

As of June 30, 2020PIMCO Russell 2000 Passive Plus

27

Return Summary


Account Information

PIMCO S&P Passive Plus S&P 500 Index

0.0

15.0

30.0

45.0

-15.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception9/1/15

20.5

-3.1

7.510.7 12.1

22.4

-3.2

7.410.5

12.4

Account Name: PIMCO S&P Passive Plus




Benchmark: S&P 500 Index


12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.0%

2.0%

4.0%

-2.0 %

-4.0 % 0.98

1.00

1.02

1.04

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 6/20

1.01

PIMCO S&P Passive Plus Performance Summary

As of June 30, 2020PIMCO S&P Passive Plus

28

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

2019 2018 2017 2016 2015

Global Equity 529,657,827 100.0 18.5 -8.8 -0.7 -0.7 4.5 5.7 24.4 -10.7 25.2 8.3 -1.4

MSCI AC World IMI (Net) 19.8 -7.1 1.2 1.2 5.5 6.1 26.4 -10.1 23.9 8.4 -2.2

Allianz Global Equity 383,184,017 72.3 17.9 -10.1 -2.2 -2.2 3.8 - 23.9 -11.3 - - -

MSCI AC World IMI (Net) 19.8 -7.1 1.2 1.2 5.5 - 26.4 -10.1 - - -

BlackRock ACWI IMI Index 146,473,809 27.7 20.0 -6.8 1.6 1.6 - - 26.9 - - - -

MSCI AC World IMI (Net) 19.8 -7.1 1.2 1.2 - - 26.4 - - - -

Global Equity Performance Summary

As of June 30, 2020

29

Return Summary


Current Allocation

Global Equity MSCI AC World IMI (Net)

0.0

15.0

30.0

45.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception7/1/10

19.8

-7.1

1.2

5.5 6.19.1

18.5

-8.8

-0.7

4.5 5.7

10.1

June 30, 2020 : $530M

BlackRock ACWI IMI Index:27.7%

Allianz Global Equity:72.3%

0.96

1.04

1.12

1.20

1.28

6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 6/20

1.100.0%

2.0%

4.0%

-2.0 %

-4.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Global Equity Portfolio Overview

As of June 30, 2020Global Equity

30





FTSE 3 Month T-Bill

-1.5

0.0

1.5

3.0

4.5

6.0

7.5

9.0

Re

turn

(%)

0.0 3.0 6.0 9.0 12.0 15.0 18.0 21.0Risk (Standard Deviation %)


0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Global Equity -0.42 1.53 -0.28 0.99 0.37 -0.31 0.98 5.69 14.65 0.99

MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.40 0.00 1.00 6.11 14.82 1.00


Global Equity Risk Profile

As of June 30, 2020Global Equity

31

1 Quarter

0 25 50 75-25-50-75-100-125-150-175-200

BlackRock ACWI IMI Index

Allianz Global Equity

Benchmark Effect

Cash Flow Effect

Total Excess Return

4

-140

0

0

-136

Global Equity



32

Return Summary


Account Information

Allianz Global Equity MSCI AC World IMI (Net)

0.0

15.0

30.0

45.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception7/1/17

19.8

-7.1

1.2

5.5

17.9

-10.1

-2.2

3.8

Account Name: Allianz Global Equity



Asset Class: Global Equity

Benchmark: MSCI AC World IMI (Net)

Peer Group: IM Global Equity (SA+CF)

0.0%

2.0%

4.0%

-2.0 %

-4.0 %

9/17 3/18 9/18 3/19 9/19 3/20 6/20

0.96

1.00

1.04

1.08

6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.95

Allianz Global Equity Performance Summary

As of June 30, 2020Allianz Global Equity

33

Return Summary


Account Information

BlackRock ACWI IMI Index MSCI AC World IMI (Net)

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception1/1/19

19.8

-7.1

1.2

11.3

20.0

-6.8

1.6

11.8

Account Name: BlackRock ACWI IMI Index



Asset Class: Global Equity

Benchmark: MSCI AC World IMI (Net)


0.0%

0.1%

0.2%

0.3%

0.4%

3/19 6/19 9/19 12/19 3/20 6/20 3/19 6/19 0.99

1.00

1.01

12/18 9/19 12/19 3/20 6/20

1.01

BlackRock ACWI IMI Index Performance Summary

As of June 30, 2020BlackRock ACWI IMI Index

34

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

2019 2018

International Equity 2,063,182,827 100.0 16.5 -10.5 -4.0 -4.0 1.3 23.3 -14.4

MSCI EAFE IMI (Net) 15.6 -11.6 -4.9 -4.9 0.8 22.4 -14.4

BlackRock MSCI EAFE IMI Index 596,064,140 28.9 15.8 -11.4 -4.6 -4.6 - 22.9 -14.1

MSCI EAFE IMI (Net) 15.6 -11.6 -4.9 -4.9 - 22.4 -14.4

PIMCO EAFE Passive Plus 1,467,118,687 71.1 16.9 -11.3 -5.0 -5.0 0.9 23.5 -14.4

MSCI EAFE Index (Net) 14.9 -11.3 -5.1 -5.1 0.8 22.0 -13.8

International Equity Performance Summary

As of June 30, 2020

35

Return Summary


Current Allocation

International Equity MSCI EAFE IMI (Net)

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception6/1/14

15.6

-11.6

-4.9

0.82.3 1.4

16.5

-10.5

-4.0

1.3 2.5 1.3

June 30, 2020 : $2,063M

BlackRock MSCI EAFE IMI Index:28.9%

PIMCO EAFE Passive Plus:71.1%

2/15 11/15 8/16 0.94

0.96

0.98

1.00

1.02

5/14 5/17 2/18 11/18 8/19 6/20

1.00

0.0%

0.9%

1.8%

-0.9 %

-1.8 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

International Equity Portfolio Overview

As of June 30, 2020International Equity

36

1 Quarter

0 50 100 150 200 250-50-100-150

PIMCO EAFE Passive Plus


Benchmark Effect

Cash Flow Effect

Total Excess Return

141

5

-49

0

97

International Equity



37

Return Summary


Account Information


MSCI EAFE IMI (Net)

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception8/1/17

15.6

-11.6

-4.9

-0.2

15.8

-11.4

-4.6

0.1

Account Name: BlackRock MSCI EAFE IMI Index



Asset Class: International Equity

Benchmark: MSCI EAFE IMI (Net)

Peer Group: IM International Equity (SA+CF)

12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20

0.0%

0.3%

0.6%

-0.3 %

-0.6 %

0.99

1.00

1.01

1.02

7/17 1/18 7/18 1/19 7/19 1/20 6/20

1.01

BlackRock MSCI EAFE IMI Index Performance Summary

As of June 30, 2020BlackRock MSCI EAFE IMI Index

38

Return Summary


Account Information

PIMCO EAFE Passive Plus MSCI EAFE Index (Net)

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception9/1/15

14.9

-11.3

-5.1

0.83.3

16.9

-11.3

-5.0

0.93.9

Account Name: PIMCO EAFE Passive Plus



Asset Class: International Equity

Benchmark: MSCI EAFE Index (Net)

Peer Group: IM International Equity (SA+CF)

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.0%

2.0%

4.0%

-2.0 %

-4.0 % 0.98

1.00

1.02

1.04

1.06

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 6/20

1.03

PIMCO EAFE Passive Plus Performance Summary

As of June 30, 2020PIMCO EAFE Passive Plus

39

Emerging Markets Effective Style Map3 Years

Emerging Markets Effective Style Map5 Years

Allocation

MarketValue

($)%

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Emerging Market Equity 799,785,554 100.0 18.9 -11.6 -6.3 -6.3 0.7 2.8 3.5 17.3 -14.6 35.9 12.8 -14.5


BlackRock EM Index 395,687,535 49.5 18.1 -9.8 -3.5 -3.5 1.8 - - 18.2 -14.6 37.1 11.0 -

MSCI Emerging Markets Index (Net) 18.1 -9.8 -3.4 -3.4 1.9 - - 18.4 -14.6 37.3 11.2 -

DFA Emerging Markets Value I 140,537,914 17.6 19.0 -18.9 -17.3 -17.3 -3.7 0.1 - 9.6 -11.9 33.8 19.8 -18.8

MSCI Emerging Markets Index (Net) 18.1 -9.8 -3.4 -3.4 1.9 2.9 - 18.4 -14.6 37.3 11.2 -14.9

PIMCO EM Passive Plus 263,560,105 33.0 20.1 -10.1 -3.5 -3.5 1.7 - - 19.6 -15.5 37.0 11.9 -

MSCI Emerging Markets Index (Net) 18.1 -9.8 -3.4 -3.4 1.9 - - 18.4 -14.6 37.3 11.2 -

Style Map(36 Months)

Ca

pit

aliz

ati

on

Manager Style

EM Large Value

EM Small Value EM Small Growth

EM Large Growth

DFA EM Value

Style Map(60 Months)

Ca

pit

aliz

ati

on

Manager Style

EM Large Value

EM Small Value EM Small Growth

EM Large Growth

DFA EM Value

<ReportMemberName>

Emerging Market Equity Asset Class Overview

As of June 30, 2020

40

Return Summary


Current Allocation


Emerging Markets Benchmark

0.0

15.0

30.0

45.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

10Years

Inception1/1/06

18.1

-9.8

-3.4

1.9 2.7 3.3 5.0

18.9

-11.6

-6.3

0.7 2.8 3.55.6

June 30, 2020 : $800M

BlackRock EM Index:49.5%

PIMCO EM Passive Plus:33.0%

DFA Emerging Markets Value I:17.6%

0.91

0.98

1.05

1.12

1.19

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/20

1.08

0.0%

2.0%

4.0%

-2.0 %

-4.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Emerging Market Equity Portfolio Overview

As of June 30, 2020Emerging Market Equity

41





Emerging Markets Benchmark

FTSE 3 Month T-Bill

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Re

turn

(%)


Emerging Market Equity Emerging Markets Benchmark

0.0

6.0

12.0

18.0

24.0

30.0

36.0

42.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Emerging Market Equity 0.14 1.69 0.09 0.99 0.18 0.13 1.00 2.79 17.92 1.00

Emerging Markets Benchmark 0.00 0.00 N/A 1.00 0.17 0.00 1.00 2.68 17.76 1.00


Emerging Market Equity Risk Profile

As of June 30, 2020Emerging Market Equity

42

1 Quarter

0 10 20 30 40 50 60 70 80 90 100 110 120 130



BlackRock EM Index

Benchmark Effect

Cash Flow Effect

Total Excess Return

64

17

0

0

0

82




43

Return Summary


Account Information

BlackRock EM Index

MSCI Emerging Markets Index (Net)

0.0

15.0

30.0

45.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception9/1/15

18.1

-9.8

-3.4

1.96.6

18.1

-9.8

-3.5

1.86.5

Account Name: BlackRock EM Index



Asset Class: International-Emerging Equity

Benchmark: MSCI Emerging Markets Index (Net)

Peer Group: IM Emerging Markets Equity (SA+CF)

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.0%

0.1%

0.2%

-0.1 %

-0.2 %

-0.3 % 0.98

0.99

1.00

1.01

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 6/20

1.00

BlackRock EM Index Performance Summary

As of June 30, 2020BlackRock EM Index

44

Return Summary


Account Information

As of June 30, 2020

DFA Emerging Markets Value I Performance Summary




0.0

20.0

40.0

-20.0

-40.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception12/1/11

18.1

-9.8

-3.4

1.9 2.9 3.3

19.0

-18.9 -17.3

-3.7

0.1 0.9

Product Name : DFA Emg Mkts Value;I (DFEVX)

Fund Family : Dimensional Fund Advisors LP

Ticker : DFEVX

Peer Group : IM Emerging Markets Equity (MF)

Benchmark : MSCI Emerging Markets Index (Net)

Fund Inception : 04/01/1998

Portfolio Manager : Fogdall/Singh/Phillips

Total Assets : $13,302.10 Million

Total Assets Date : 06/30/2020

Gross Expense : 0.61%

Net Expense : 0.51%

Turnover : 14%

0.0%

6.0%

12.0%

-6.0 %

-12.0 %

-18.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

0.72

0.81

0.90

0.99

1.08

1.17

11/11 11/12 11/13 11/14 11/15 11/16 11/17 11/18 6/20

0.82

45

-55.0

-40.0

-25.0

-10.0

5.0

20.0

35.0

50.0

65.0

80.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

2019 2018 2017

DFA Emerging Markets Value I 19.0 (64) -18.9 (89) -17.3 (91) -3.7 (88) 0.1 (79) 9.6 (88) -11.9 (16) 33.8 (56)¢

MSCI Emerging Markets Index (Net) 18.1 (75) -9.8 (44) -3.4 (45) 1.9 (39) 2.9 (44) 18.4 (58) -14.6 (34) 37.3 (38)�

5th Percentile 33.0 2.6 13.0 8.3 8.0 31.2 -8.6 46.6

1st Quartile 24.6 -5.9 0.7 3.6 4.2 24.5 -13.5 39.6

Median 20.4 -10.2 -4.0 0.8 2.4 19.4 -16.0 35.0

3rd Quartile 18.0 -14.5 -9.1 -1.3 0.8 15.2 -18.7 28.4

95th Percentile 13.7 -22.4 -21.3 -6.9 -4.0 6.1 -23.1 19.7

Population 208 208 208 208 208 220 233 240


Peer Group Analysis

As of June 30, 2020

IM Emerging Markets Equity (MF)


46






FTSE 3 Month T-Bill

-1.8

-0.9

0.0

0.9

1.8

2.7

3.6

4.5

Re

turn

(%)




0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

11/16 5/17 11/17 5/18 11/18 5/19 11/19 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

DFA Emerging Markets Value I -2.32 5.06 -0.46 0.94 0.05 -2.64 1.08 0.08 19.89 0.97

MSCI Emerging Markets Index (Net) 0.00 0.00 N/A 1.00 0.18 0.00 1.00 2.86 17.86 1.00


DFA Emerging Markets Value I Risk Profile

As of June 30, 2020DFA Emerging Markets Value I

47

Asset Allocation As of 01/31/2020

0.0% 100.0% 200.0%-100.0 %

Other

Fixed Income

Convertibles

Cash

Equities

-0.2 %

0.0%

0.0%

0.0%

100.2%

Fund Characteristics As of 01/31/2020

Total Securities 2,376

Avg. Market Cap $36,754.59 Million

P/E 14.70

P/B 1.15

Div. Yield 4.07%

Annual EPS 13.36

5Yr EPS 7.53

3Yr EPS Growth 11.15

Top Ten Securities As of 01/31/2020

Reliance Industries Ltd ORD 3.66 %

China Construction Bank Corp ORD 2.82 %

China Mobile Ltd ORD 2.11 %

Vale SA ORD 1.99 %

Industrial and Commercial Bank 1.46 %

Hon Hai Precision Industry Co Ltd 1.41 %

NK Lukoil PAO DR 1.27 %

CNOOC Ltd ORD 1.14 %

Petroleo Brasileiro SA Petrobras 1.10 %

Petroleo Brasileiro SA Petrobras 1.01 %

Regional Allocation As of 01/31/2020

0.0% 50.0% 100.0%

Other

North America

Europe

Pacific Basin

Emg. MidEast, Africa, Europe

Emerging Latin America

Emerging Asia

0.1%

0.1%

0.2%

4.4%

10.2%

12.7%

72.3%


Mutual Fund Attributes

As of June 30, 2020

48

Return Summary


Account Information



0.0

15.0

30.0

45.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception9/1/15

18.1

-9.8

-3.4

1.96.6

20.1

-10.1

-3.5

1.76.6

Account Name: PIMCO EM Passive Plus



Asset Class: International-Emerging Equity

Benchmark: MSCI Emerging Markets Index (Net)

Peer Group: IM Emerging Markets Equity (SA+CF)

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.0%

2.0%

4.0%

-2.0 %

-4.0 % 0.96

0.98

1.00

1.02

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 6/20

1.00

PIMCO EM Passive Plus Performance Summary

As of June 30, 2020PIMCO EM Passive Plus

49

(This Page Left Blank Intentionally)

50

Total Fixed Income

51

Total Fixed Income Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Risk-Reducing Fixed Income 2,309,265,767 2.1 4.1 5.8 5.8 4.0 - - 5.9 1.1 3.0 2.3 -

Blmbg. Barc. U.S. Intermediate Aggregate 2.1 4.7 6.6 6.6 4.3 - - 6.7 0.9 2.3 2.0 -

U.S. Fixed Income 2,034,141,585 2.4 4.7 6.5 6.5 4.3 - - 6.2 1.0 3.3 2.5 -


Cash 275,124,182

Return-Seeking Fixed Income 955,469,876 10.9 -5.0 -2.2 -2.2 1.7 - - 11.5 -3.3 7.1 15.4 -

ICE BofAML US High Yield Index 9.5 -4.8 -1.2 -1.2 2.9 - - 14.4 -2.3 7.5 17.5 -

High Yield Credit 888,580,180 10.7 -4.4 -1.6 -1.6 1.9 3.5 6.0 12.2 -3.6 7.1 15.6 -4.2

ICE BofAML US High Yield Index 9.5 -4.8 -1.2 -1.2 2.9 4.6 6.5 14.4 -2.3 7.5 17.5 -4.6

Loans 66,889,697 13.4 -10.9 -7.9 -7.9 -0.1 - - 7.3 0.9 - - -

S&P Leveraged Loan Index 9.7 -4.6 -2.0 -2.0 2.1 - - 8.6 0.4 - - -

Loans2.0%

High Yield Credit27.2%

Cash8.4%

U.S. Fixed Income62.3%

Total Fixed Income Performance Summary

As of June 30, 2020

52

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

U.S. Fixed Income 2,034,141,585 2.4 4.7 6.5 6.5 4.3 - - 6.2 1.0 3.3 2.5 -


BlackRock U.S. Intermediate Aggregate Index 836,801,213 2.2 (92) 4.7 (50) 6.6 (32) 6.6 (32) 4.3 (18) - - 6.7 (21) 0.9 (11) - - -

Blmbg. Barc. U.S. Intermediate Aggregate 2.1 (94) 4.7 (50) 6.6 (37) 6.6 (37) 4.3 (20) - - 6.7 (24) 0.9 (13) - - -

SLC Management Core Fixed 261,909,707 4.7 (40) 5.2 (68) 7.8 (68) 7.8 (68) 5.3 (20) - - 9.4 (14) -0.1 (19) - - -

Blmbg. Barc. U.S. Aggregate 2.9 (89) 6.1 (36) 8.7 (25) 8.7 (25) 5.3 (21) - - 8.7 (52) 0.0 (15) - - -

Hoisington 425,277,070 0.4 (95) 12.7 (3) 14.7 (6) 14.7 (6) 7.6 (8) 7.5 (7) - 9.1 (36) 0.2 (43) 7.6 (14) 1.5 (73) -3.7 (88)

Blmbg. Barc. U.S. Treasury: 7-10 Year 0.9 (91) 11.1 (4) 12.8 (7) 12.8 (7) 6.8 (9) 5.1 (14) - 8.5 (44) 0.9 (26) 2.6 (67) 1.1 (80) 1.6 (11)

PIMCO Short Term Fixed 510,153,595 3.3 (23) 0.8 (91) 1.9 (96) 1.9 (96) 2.2 (77) 1.8 (65) - 2.5 (96) 2.1 (2) 2.3 (8) 1.2 (45) 0.7 (12)

LIBOR (3 month) 0.2 (100) 0.5 (94) 1.6 (99) 1.6 (99) 2.0 (88) 1.5 (84) - 2.4 (97) 2.3 (1) 1.3 (31) 0.7 (78) 0.3 (67)

Cash 275,124,182



Hotchkis & Wiley Cap 293,999,722 11.9 (4) -7.4 (97) -5.3 (98) -5.3 (98) 0.8 (96) 3.1 (55) - 10.3 (28) -3.2 (87) 9.2 (9) 17.4 (2) -4.5 (93)

ICE BofAML US High Yield Index 9.5 (15) -4.8 (91) -1.2 (89) -1.2 (89) 2.9 (59) 4.6 (19) - 14.4 (15) -2.3 (78) 7.5 (14) 17.5 (2) -4.6 (93)

Oaktree High Yield 594,580,457 10.4 (10) -3.2 (85) 0.2 (83) 0.2 (83) 2.5 (69) 3.6 (43) 5.7 (17) 13.7 (17) -4.0 (91) 5.4 (29) 14.0 (7) -3.9 (89)

ICE BofAML US High Yield Index 9.5 (15) -4.8 (91) -1.2 (89) -1.2 (89) 2.9 (59) 4.6 (19) 6.5 (11) 14.4 (15) -2.3 (78) 7.5 (14) 17.5 (2) -4.6 (93)

Loans 66,889,697 13.4 -10.9 -7.9 -7.9 -0.1 - - 7.3 0.9 - - -


Allianz Loan Port 66,889,697 13.4 (3) -10.9 (99) -8.0 (99) -8.0 (99) -0.1 (98) - - 7.3 (56) 0.9 (28) 5.0 (32) - -

S&P Leveraged Loan Index 9.7 (14) -4.6 (91) -2.0 (92) -2.0 (92) 2.1 (78) - - 8.6 (42) 0.4 (39) 4.1 (41) - -

Total Fixed Income Performance Summary

As of June 30, 2020

53

Return Summary


Current Allocation


Blmbg. Barc. U.S. Intermediate Aggregate

0.0

3.0

6.0

9.0

12.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception1/1/16

2.1

4.7

6.6

4.33.6

2.1

4.1

5.8

4.03.7

June 30, 2020 : $2,309M

BlackRock U.S. Intermediate Aggregate Index:36.2%

SLC Management Core Fixed:11.3%

Operational Cash:11.5%

Hoisington:18.4%

PIMCO Short Term Fixed:22.1%

0.98

1.00

1.02

1.04

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

1.00

0.0%

2.0%

4.0%

-2.0 %

-4.0 %

3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Risk-Reducing Fixed Income Portfolio Overview

As of June 30, 2020Risk-Reducing Fixed Income

54


1 Quarter

Hoisington

BlackRock U.S.

Int. Agg. Index

PIMCO

Short Term Fixed


Excess Return

Cash Flow Effect

Benchmark Effect

Cash

SLC Management

Core Fixed


3

-8

66

21

0

-81

-5

-4

-100 -80 -60 -40 -20 0 20 40 60 80

Attribution Analysis 3 Months Ending 6/30/2020

55

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

U.S. Fixed Income 2,034,141,585 2.4 4.7 6.5 6.5 4.3 - - 6.2 1.0 3.3 2.5 -


BlackRock U.S. Intermediate Aggregate Index 836,801,213 2.2 4.7 6.6 6.6 4.3 - - 6.7 0.9 - - -

Blmbg. Barc. U.S. Intermediate Aggregate 2.1 4.7 6.6 6.6 4.3 - - 6.7 0.9 - - -

SLC Management Core Fixed 261,909,707 4.7 5.2 7.8 7.8 5.3 - - 9.4 -0.1 - - -

Blmbg. Barc. U.S. Aggregate 2.9 6.1 8.7 8.7 5.3 - - 8.7 0.0 - - -

Hoisington 425,277,070 0.4 12.7 14.7 14.7 7.6 7.5 - 9.1 0.2 7.6 1.5 -3.7

Blmbg. Barc. U.S. Treasury: 7-10 Year 0.9 11.1 12.8 12.8 6.8 5.1 - 8.5 0.9 2.6 1.1 1.6

PIMCO Short Term Fixed 510,153,595 3.3 0.8 1.9 1.9 2.2 1.8 - 2.5 2.1 2.3 1.2 0.7

LIBOR (3 month) 0.2 0.5 1.6 1.6 2.0 1.5 - 2.4 2.3 1.3 0.7 0.3

U.S. Fixed Income Performance Summary

As of June 30, 2020

56

Return Summary


Current Allocation

U.S. Fixed Income


0.0

3.0

6.0

9.0

12.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception8/1/15

2.1

4.7

6.6

4.3

3.4

2.4

4.7

6.5

4.33.6

June 30, 2020 : $2,034M

SLC Management Core Fixed:12.9%

PIMCO Short Term Fixed:25.1%

Hoisington:20.9%BlackRock U.S. Intermediate Aggregate Index:41.1%

0.99

1.00

1.01

1.02

1.03

7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 7/19 1/20 6/20

1.01

0.0%

0.8%

1.6%

-0.8 %

-1.6 %

-2.4 %

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

U.S. Fixed Income Portfolio Overview

As of June 30, 2020U.S. Fixed Income

57

1 Quarter

0 50 100 150-50-100-150

SLC Management Core Fixed

PIMCO Short Term Fixed

Hoisington

BlackRock U.S. Intermediate Aggregate Index

Benchmark Effect

Cash Flow Effect

Total Excess Return

24

76

-10

3

-64

-1

28

U.S. Fixed Income



58

Return Summary


Account Information

BlackRock U.S. Intermediate Aggregate Index


0.0

3.0

6.0

9.0

12.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception2/1/17

2.1

4.7

6.6

4.3 4.2

2.2

4.7

6.6

4.3 4.3

Account Name: BlackRock U.S. Intermediate Aggregate Index



Asset Class: US Fixed Income

Benchmark: Blmbg. Barc. U.S. Intermediate Aggregate

Peer Group: IM U.S. Intermediate Duration (SA+CF)

6/19 12/19

0.0%

0.1%

0.2%

-0.1 %

-0.2 %

6/17 12/17 6/18 12/18 6/20

7/17 1/18 7/18 1/19 0.99

1.00

1.01

1/17 7/19 1/20 6/20

1.00

BlackRock U.S. Intermediate Aggregate Index Performance Summary

As of June 30, 2020BlackRock U.S. Intermediate Aggregate Index

59

Return Summary


Account Information

SLC Management Core Fixed

Blmbg. Barc. U.S. Aggregate

0.0

4.0

8.0

12.0

16.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception2/1/17

2.9

6.1

8.7

5.3 5.34.7 5.2

7.8

5.3 5.3

Account Name: SLC Management Core Fixed




Benchmark: Blmbg. Barc. U.S. Aggregate

Peer Group: IM U.S. Broad Market Core Fixed Income (SA+CF)

6/19 12/19

0.0%

3.0%

6.0%

-3.0 %

-6.0 %

6/17 12/17 6/18 12/18 6/20

7/17 1/18 7/18 0.96

0.98

1.00

1.02

1.04

1/17 1/19 7/19 1/20 6/20

1.00

SLC Management Core Fixed Performance Summary

As of June 30, 2020SLC Management Core Fixed

60

Return Summary


Account Information

Hoisington

Blmbg. Barc. U.S. Treasury: 7-10 Year

0.0

6.0

12.0

18.0

24.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception9/1/10

0.9

11.1

12.8

6.8

5.14.3

0.4

12.7

14.7

7.6 7.5 7.7

Account Name: Hoisington




Benchmark: Blmbg. Barc. U.S. Treasury: 7-10 Year

Peer Group: IM U.S. Fixed Income (SA+CF)

0.0%

8.0%

16.0%

-8.0 %

-16.0 %

-24.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

0.40

0.80

1.20

1.60

2.00

8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 8/19 6/20

1.37

Hoisington Performance Summary

As of June 30, 2020Hoisington

61

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

2019 2018 2017

Hoisington 0.4 (95) 12.7 (3) 14.7 (6) 7.6 (8) 7.5 (7) 9.1 (36) 0.2 (43) 7.6 (14)¢

Blmbg. Barc. U.S. Treasury: 7-10 Year 0.9 (91) 11.1 (4) 12.8 (7) 6.8 (9) 5.1 (14) 8.5 (44) 0.9 (26) 2.6 (67)�

5th Percentile 11.4 9.0 14.7 9.1 8.2 20.0 1.9 11.1

1st Quartile 8.1 5.3 7.7 4.9 4.3 10.9 1.0 6.0

Median 4.6 2.7 4.3 3.4 3.2 8.0 -0.2 3.5

3rd Quartile 2.5 0.3 1.5 2.2 2.2 5.0 -1.8 1.9

95th Percentile 0.4 -6.0 -3.4 0.9 1.0 2.1 -5.3 0.5

Population 907 903 880 844 806 958 1,017 1,047

Hoisington

Peer Group Analysis

As of June 30, 2020

IM U.S. Fixed Income (SA+CF)


62




Hoisington


FTSE 3 Month T-Bill

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

Re

turn

(%)

0.0 3.0 6.0 9.0 12.0 15.0Risk (Standard Deviation %)

Hoisington


0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Hoisington 2.68 6.36 0.42 0.73 0.65 -0.82 1.69 7.50 10.21 0.86

Blmbg. Barc. U.S. Treasury: 7-10 Year 0.00 0.00 N/A 1.00 0.77 0.00 1.00 5.08 5.18 1.00

FTSE 3 Month T-Bill -3.95 5.14 -0.77 0.04 N/A 1.10 0.01 1.15 0.25 0.19

Hoisington Risk Profile

As of June 30, 2020Hoisington

63

Return Summary


Account Information

PIMCO Short Term Fixed ICE Libor (3 month)

0.0

2.0

4.0

6.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception9/1/10

0.2

0.5

1.6

2.0

1.5

0.9

3.3

0.8

1.92.2

1.8

1.4

Account Name: PIMCO Short Term Fixed




Benchmark: ICE Libor (3 month)

Peer Group: IM U.S. Short Duration Fixed Income (SA+CF)

0.0%

3.0%

6.0%

-3.0 %

-6.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

0.96

0.99

1.02

1.05

1.08

1.11

8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 8/19 6/20

1.05

PIMCO Short Term Fixed Performance Summary

As of June 30, 2020PIMCO Short Term Fixed

64

Return Seeking Fixed Income Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015



Hotchkis & Wiley Cap 293,999,722 11.9 -7.4 -5.3 -5.3 0.8 3.1 - 10.3 -3.2 9.2 17.4 -4.5

ICE BofAML US High Yield Index 9.5 -4.8 -1.2 -1.2 2.9 4.6 - 14.4 -2.3 7.5 17.5 -4.6

Oaktree High Yield 594,580,457 10.4 -3.2 0.2 0.2 2.5 3.6 5.7 13.7 -4.0 5.4 14.0 -3.9


Loans 66,889,697 13.4 -10.9 -7.9 -7.9 -0.1 - - 7.3 0.9 - - -


Allianz Loan Port 66,889,697 13.4 -10.9 -8.0 -8.0 -0.1 - - 7.3 0.9 5.0 - -

S&P Leveraged Loan Index 9.7 -4.6 -2.0 -2.0 2.1 - - 8.6 0.4 4.1 - -

Loans7.0%

High Yield Credit93.0%

Return Seeking Fixed Income Performance Summary

As of June 30, 2020

65

Return Summary


Current Allocation


ICE BofAML US High Yield Index

0.0

8.0

16.0

24.0

-8.0

-16.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception1/1/16

9.5

-4.8

-1.2

2.9

6.8

10.9

-5.0

-2.2

1.7

5.4

June 30, 2020 : $955M

Hotchkis & Wiley Cap:30.8%

Allianz Loan Port:7.0%

Oaktree High Yield:62.2%

0.92

0.96

1.00

1.04

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.940.0%

2.0%

4.0%

-2.0 %

-4.0 %

3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Return-Seeking Fixed Income Portfolio Overview

As of June 30, 2020Return-Seeking Fixed Income

66

1 Quarter

0 25 50 75 100 125 150 175 200-25-50-75

Allianz Loan Port

Oaktree High Yield

Hotchkis & Wiley Cap

Benchmark Effect

Cash Flow Effect

Total Excess Return

24

52

72

2

-18

131




67

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015



Hotchkis & Wiley Cap 293,999,722 11.9 -7.4 -5.3 -5.3 0.8 3.1 - 10.3 -3.2 9.2 17.4 -4.5

ICE BofAML US High Yield Index 9.5 -4.8 -1.2 -1.2 2.9 4.6 - 14.4 -2.3 7.5 17.5 -4.6

Oaktree High Yield 594,580,457 10.4 -3.2 0.2 0.2 2.5 3.6 5.7 13.7 -4.0 5.4 14.0 -3.9


U.S. High Yield Performance Summary

As of June 30, 2020

68

Return Summary


Current Allocation

High Yield Credit


0.0

8.0

16.0

24.0

-8.0

-16.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

10Years

Inception1/1/06

9.5

-4.8

-1.2

2.94.6

6.5 6.8

10.7

-4.4

-1.6

1.93.5

6.0 6.0

June 30, 2020 : $889M

Hotchkis & Wiley Cap:33.1%

Oaktree High Yield:66.9%

0.80

0.88

0.96

1.04

1.12

1.20

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 6/20

0.90

0.0%

0.9%

1.8%

2.7%

-0.9 %

-1.8 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

High Yield Credit Portfolio Overview

As of June 30, 2020High Yield Credit

69




High Yield Credit


FTSE 3 Month T-Bill

-1.5

0.0

1.5

3.0

4.5

6.0

Re

turn

(%)


High Yield Credit


0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

High Yield Credit -1.04 1.03 -1.01 0.98 0.33 -0.97 0.99 3.50 7.94 0.99

ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.46 0.00 1.00 4.57 7.98 1.00


High Yield Credit Risk Profile

As of June 30, 2020High Yield Credit

70

1 Quarter

0 20 40 60 80 100 120 140 160 180-20-40-60-80

Oaktree High Yield


Benchmark Effect

Cash Flow Effect

Total Excess Return

56

77

0

-19

114

High Yield Credit



71

Return Summary


Account Information



0.0

10.0

20.0

-10.0

-20.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception9/1/10

9.5

-4.8

-1.2

2.94.6

6.2

11.9

-7.4-5.3

0.83.1

6.0

Account Name: Hotchkis & Wiley Cap




Benchmark: ICE BofAML US High Yield Index


0.0%

3.0%

6.0%

-3.0 %

-6.0 %

-9.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

0.90

0.95

1.00

1.05

1.10

1.15

8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 8/19 6/20

0.98

Hotchkis & Wiley Cap Performance Summary

As of June 30, 2020Hotchkis & Wiley Cap

72

-22.0

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

2019 2018 2017

Hotchkis & Wiley Cap 11.9 (4) -7.4 (97) -5.3 (98) 0.8 (96) 3.1 (55) 10.3 (28) -3.2 (87) 9.2 (9)¢

ICE BofAML US High Yield Index 9.5 (15) -4.8 (91) -1.2 (89) 2.9 (59) 4.6 (19) 14.4 (15) -2.3 (78) 7.5 (14)�

5th Percentile 11.4 9.0 14.7 9.1 8.2 20.0 1.9 11.1

1st Quartile 8.1 5.3 7.7 4.9 4.3 10.9 1.0 6.0

Median 4.6 2.7 4.3 3.4 3.2 8.0 -0.2 3.5

3rd Quartile 2.5 0.3 1.5 2.2 2.2 5.0 -1.8 1.9

95th Percentile 0.4 -6.0 -3.4 0.9 1.0 2.1 -5.3 0.5

Population 907 903 880 844 806 958 1,017 1,047


Peer Group Analysis

As of June 30, 2020



73






FTSE 3 Month T-Bill

-1.5

0.0

1.5

3.0

4.5

6.0

Re

turn

(%)




0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Hotchkis & Wiley Cap -1.30 2.57 -0.50 0.94 0.25 -1.93 1.14 3.09 9.36 0.97



Hotchkis & Wiley Cap Risk Profile

As of June 30, 2020Hotchkis & Wiley Cap

74

Return Summary


Account Information

Oaktree High Yield


0.0

8.0

16.0

24.0

-8.0

-16.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

10Years

Inception5/1/1995

9.5

-4.8

-1.2

2.94.6

6.5

10.4

-3.2

0.22.5 3.6

5.7 6.9

Account Name: Oaktree High Yield




Benchmark: ICE BofAML US High Yield Index


0.0%

2.0%

-2.0 %

-4.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

0.80

1.00

1.20

1.40

12/96 3/99 6/01 9/03 12/05 3/08 6/10 9/12 12/14 3/17 6/20

0.97

Oaktree High Yield Performance Summary

As of June 30, 2020Oaktree High Yield

*The ICE BofAML US High Yield Index inception date is 1/1/1997.

75

-16.0

-10.0

-4.0

2.0

8.0

14.0

20.0

26.0

32.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

10Years

2019 2018 2017

Oaktree High Yield 10.4 (10) -3.2 (85) 0.2 (83) 2.5 (69) 3.6 (43) 5.7 (17) 13.7 (17) -4.0 (91) 5.4 (29)¢

ICE BofAML US High Yield Index 9.5 (15) -4.8 (91) -1.2 (89) 2.9 (59) 4.6 (19) 6.5 (11) 14.4 (15) -2.3 (78) 7.5 (14)�

5th Percentile 11.4 9.0 14.7 9.1 8.2 7.8 20.0 1.9 11.1

1st Quartile 8.1 5.3 7.7 4.9 4.3 5.1 10.9 1.0 6.0

Median 4.6 2.7 4.3 3.4 3.2 3.6 8.0 -0.2 3.5

3rd Quartile 2.5 0.3 1.5 2.2 2.2 2.3 5.0 -1.8 1.9

95th Percentile 0.4 -6.0 -3.4 0.9 1.0 0.8 2.1 -5.3 0.5

Population 907 903 880 844 806 665 958 1,017 1,047

Oaktree High Yield

Peer Group Analysis

As of June 30, 2020



76




Oaktree High Yield


FTSE 3 Month T-Bill

-1.5

0.0

1.5

3.0

4.5

6.0

Re

turn

(%)


Oaktree High Yield


0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

12/01 9/03 6/05 3/07 12/08 9/10 6/12 3/14 12/15 9/17 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Oaktree High Yield -1.00 1.06 -0.94 0.99 0.35 -0.67 0.93 3.58 7.49 0.99



Oaktree High Yield Risk Profile

As of June 30, 2020Oaktree High Yield

77

Return Summary


Account Information

Allianz Loan Port S&P Leveraged Loan Index

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

Inception5/1/16

9.7

-4.6-2.0

2.1 3.5

13.4

-10.9-8.0

-0.1

2.0

Account Name: Allianz Loan Port




Benchmark: S&P Leveraged Loan Index


0.0%

6.0%

12.0%

-6.0 %

-12.0 %

-18.0 %

6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

0.90

0.96

1.02

1.08

1.14

4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 6/20

0.94

Allianz Loan Port Performance Summary

As of June 30, 2020Allianz Loan Port

78

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

2019

Allianz Loan Port 13.4 (3) -10.9 (99) -8.0 (99) -0.1 (98) 7.3 (56)¢

S&P Leveraged Loan Index 9.7 (14) -4.6 (91) -2.0 (92) 2.1 (78) 8.6 (42)�

5th Percentile 11.4 9.0 14.7 9.1 20.0

1st Quartile 8.1 5.3 7.7 4.9 10.9

Median 4.6 2.7 4.3 3.4 8.0

3rd Quartile 2.5 0.3 1.5 2.2 5.0

95th Percentile 0.4 -6.0 -3.4 0.9 2.1

Population 907 903 880 844 958

Allianz Loan Port

Peer Group Analysis

As of June 30, 2020



79


Writeup

80

Opportunistic

81

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Opportunistic 871,617,504 8.2 -13.9 -10.8 -10.8 -1.6 0.8 3.9 12.8 -10.4 11.3 0.9 7.3

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 7.6 20.3 -6.7 17.3 6.8 -1.2

BlackRock Global Allocation 564,374,797 14.8 -3.5 3.1 3.1 - - - 21.5 -6.6 - - -

Balanced Benchmark 14.3 -3.2 3.3 3.3 - - - 20.3 -6.7 - - -

GAM Systematic 98,713,182 -1.0 -6.3 -2.8 -2.8 5.1 3.6 - 23.2 -12.9 18.8 0.1 -0.8

Balanced Benchmark 14.3 -3.2 3.3 3.3 5.5 5.6 - 20.3 -6.7 17.3 6.8 -1.2

Allianz Multi Asset Long Short 97,471,360 -2.1 -8.4 -10.0 -10.0 - - - -0.4 - - - -

Balanced Benchmark 14.3 -3.2 3.3 3.3 - - - 20.3 - - - -

PIMCO Opp I 15,036,569 -10.1 - - - - - - - - - - -

Balanced Benchmark 14.3 - - - - - - - - - - -

PIMCO Opp II 27,112,104 27.9 - - - - - - - - - - -


PIMCO Opp III 64,444,721 14.3 - - - - - - - - - - -


AQR Global Alt Premia Offshore Fund 4,464,771

Opportunistic Performance Summary

As of June 30, 2020

82

Return Summary


Current Allocation

Opportunistic Balanced Benchmark

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception6/1/10

14.3

-3.2

3.35.5 5.6

7.48.2

-13.9-10.8

-1.6

0.83.9

June 30, 2020 : $872M

AQR Global Alt Premia Offshore Fund:0.5%PIMCO Opp III:7.4%

Allianz Multi Asset Long Short:11.2%

PIMCO Opp II:3.1%

GAM Systematic:11.3%

PIMCO Opp I:1.7% BlackRock Global Allocation:64.8%

0.40

0.60

0.80

1.00

1.20

5/10 5/11 5/12 5/13 5/14 5/15 5/16 5/17 5/18 5/19 6/20

0.710.0%

8.0%

16.0%

24.0%

-8.0 %

-16.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

Opportunistic Portfolio Overview

As of June 30, 2020Opportunistic

83





FTSE 3 Month T-Bill

-2.0

0.0

2.0

4.0

6.0

8.0

Re

turn

(%)

0.0 3.0 6.0 9.0 12.0 15.0Risk (Standard Deviation %)


0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Opportunistic -4.66 7.65 -0.61 0.52 0.02 -2.77 0.69 0.85 9.99 0.72

Balanced Benchmark 0.00 0.00 N/A 1.00 0.47 0.00 1.00 5.64 10.36 1.00


Opportunistic Risk Profile

As of June 30, 2020Opportunistic

84

1 Quarter

0 150 300-150-300-450-600-750-900

PIMCO Opp III

PIMCO Opp II

PIMCO Opp I

GAM Systematic

BlackRock Global Allocation

AQR Global Alt Premia Offshore Fund

Allianz Multi Asset Long Short

Benchmark Effect

Cash Flow Effect

Total Excess Return

0

29

-41

-275

20

-193

-189

0

30

-619

Opportunistic



85

Return Summary


Account Information

BlackRock Global Allocation Balanced Benchmark

0.0

8.0

16.0

24.0

-8.0

-16.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception8/1/17

14.3

-3.2

3.34.9

14.8

-3.5

3.1

5.6

Account Name: BlackRock Global Allocation



Asset Class: Global Mixed Assets

Benchmark: Balanced Benchmark


0.0%

2.0%

-2.0 %

-4.0 %

9/17 3/18 9/18 3/19 9/19 3/20 6/20 1/18 7/18 0.98

1.00

1.02

1.04

7/17 1/19 7/19 1/20 6/20

1.02

BlackRock Global Allocation Performance Summary

As of June 30, 2020BlackRock Global Allocation

86

Return Summary


Account Information

GAM Systematic Balanced Benchmark

0.0

10.0

20.0

30.0

-10.0

-20.0

Re

turn

1Quarter

YearTo

Date

1Year

3Years

5Years

Inception10/1/13

14.3

-3.2

3.35.5 5.6 5.9

-1.0

-6.3

-2.8

5.13.6

6.4

Account Name: GAM Systematic





Peer Group:

0.0%

15.0%

30.0%

-15.0 %

-30.0 %

9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

0.80

1.00

1.20

1.40

1.60

9/13 6/14 3/15 12/15 9/16 6/17 3/18 12/18 9/19 6/20

1.03

GAM Systematic Performance Summary

As of June 30, 2020GAM Systematic

87





FTSE 3 Month T-Bill

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

Re

turn

(%)



0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

9/16 3/17 9/17 3/18 9/18 3/19 9/19 6/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

GAM Systematic -0.30 12.25 -0.02 0.22 0.33 2.86 0.48 5.14 12.05 0.47

Balanced Benchmark 0.00 0.00 N/A 1.00 0.37 0.00 1.00 5.49 11.67 1.00


GAM Systematic Risk Profile

As of June 30, 2020GAM Systematic

88

Return Summary


Account Information

Allianz Multi Asset Long Short

Balanced Benchmark

0.0

15.0

30.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception4/1/18

14.3

-3.2

3.3 4.2

-2.1

-8.4 -10.0

-4.3

Account Name: Allianz Multi Asset Long Short





Peer Group:

0.0%

15.0%

30.0%

-15.0 %

-30.0 %

6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20

0.60

0.80

1.00

1.20

3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20

0.83

Allianz Multi Asset Long Short Performance Summary

As of June 30, 2020Allianz Multi Asset Long Short

89

Return Summary


PIMCO Opp I Balanced Benchmark

0.0

25.0

50.0

-25.0

-50.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception3/1/20

14.3

-3.2

3.3 2.8

-10.1

-32.8

Account Information

Account Name: PIMCO Opp I





Peer Group:

-40.0 %

-30.0 %

-20.0 %

-10.0 %

0.0%

6/20

0.40

0.60

0.80

1.00

1.20

2/20 3/20 4/20 5/20 6/20

0.65

PIMCO Opp I Performance Summary

As of June 30, 2020PIMCO Opp I

90

Return Summary


PIMCO Opp II Balanced Benchmark

0.0

15.0

30.0

45.0

-15.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception4/1/20

14.3

-3.2

3.3

14.3

27.9 27.9

Account Information

Account Name: PIMCO Opp II





Peer Group:

0.0%

5.0%

10.0%

15.0%

20.0%

6/20

0.96

1.02

1.08

1.14

1.20

3/20 4/20 5/20 6/20

1.12

PIMCO Opp II Performance Summary

As of June 30, 2020PIMCO Opp II

91

Return Summary


PIMCO Opp III Balanced Benchmark

0.0

8.0

16.0

24.0

-8.0

-16.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception4/1/20

14.3

-3.2

3.3

14.314.3 14.3

Account Information

Account Name: PIMCO Opp III





Peer Group:

-0.2 %

-0.1 %

0.0%

6/20

0.99

1.00

1.01

3/20 4/20 5/20 6/20

1.00

PIMCO Opp III Performance Summary

As of June 30, 2020PIMCO Opp III

92

Real Estate

93

Return Summary


Account Information

AACA REIT

Dow Jones U.S. Real Estate Total Return Index

0.0

15.0

30.0

45.0

-15.0

-30.0

Re

turn

1Quarter

YearTo

Date

1Year

Inception12/1/17

13.9

-13.9

-6.8

2.5

20.9

3.4

14.29.9

Account Name: AACA REIT



Asset Class: US REIT (Real-Estate Funds)

Benchmark: Dow Jones U.S. Real Estate Total Return Index

Peer Group:

0.0%

8.0%

16.0%

24.0%

-8.0 %

-16.0 %

3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/200.60

0.80

1.00

1.20

1.40

11/17 2/18 5/18 8/18 11/18 2/19 5/19 8/19 11/19 2/20 6/20

1.20

AACA REIT Performance Summary

As of June 30, 2020AACA REIT

94


95

Total Private Assets Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

YearTo

Date

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Total Private Assets 2,331,770,915 -4.5 -2.8 1.2 1.2 6.4 7.5 - 7.1 9.1 12.0 9.2 5.5

SDCERA Private Assets Benchmark 12.4 -4.6 1.8 1.8 5.6 7.1 - 18.8 -4.4 18.8 9.9 4.7

Real Estate 1,125,017,978 1.3 4.1 10.5 10.5 9.7 10.4 11.8 11.9 8.1 8.1 11.7 14.2

NCREIF ODCE Index (Net) -1.8 -1.0 1.3 1.3 4.7 6.3 9.8 4.4 7.4 6.7 7.8 14.0

Private Equity 644,349,632 -10.1 -8.9 -4.9 -4.9 6.7 8.1 10.6 7.2 15.6 18.2 9.6 3.0


Private Real Assets 562,403,306 -8.4 -7.9 -7.4 -7.4 0.4 2.1 5.9 0.0 3.7 11.0 5.5 -4.6


Private Equity27.6%

Real Estate48.2%

Private Real Assets24.1%

Total Private Assets Performance Summary

As of June 30, 2020

*SDCERA Private Assets Benchmark: 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI.

96


Writeup

97

Unfunded

Manager/Fund Commitment³

Private Credit

2013 Oaktree European Dislocation Fund (US) LP $2,552,565 $90,000,000 $51,516,000 57% $38,484,000 $54,869,129 $9,000,000 106.5% 111.5% 8.3% 3/31/2020

2014 Apollo Credit Opportunities Fund III LP $19,604,144 $100,000,000 $199,590,074 200% -$99,590,074 $177,974,350 $20,261,207 89.2% 99.0% -1.4% 3/31/2020

2014 D.E. Shaw Alkali Fund II LP $10,369,110 $45,000,000 $52,878,255 118% -$7,878,255 $57,708,868 $0 109.1% 128.7% 8.0% 3/31/2020

Total Private Credit Managers $32,525,819 $235,000,000 $303,984,329 129% -$68,984,329 $290,552,347 $29,261,207 95.6% 106.3%

% of Portfolio (Market Value) 0.27%

Buy Out & Growth

1997 HarbourVest Int'l Priv Eq Prtnrs III - Prtnrship $65,610 $34,700,000 $34,179,500 99% $520,500 $53,997,454 $520,500 158.0% 158.2% 9.0% 3/31/2020

1998 Oak Hill Capital Partners (Bermuda) $0 $10,000,000 $11,069,477 111% -$1,069,477 $18,881,788 $0 170.6% 170.6% 10.6% 7/27/2018

2001 Blackstone Capital Partners IV, L.P. $368,445 $15,000,000 $18,154,587 121% -$3,154,587 $46,453,415 $392,673 255.9% 257.9% 54.2% 3/31/2020

2003 TPG Partners IV, L.P. $120,801 $10,000,000 $11,158,085 112% -$1,158,085 $22,894,357 $42,969 205.2% 206.3% 20.6% 3/31/2020

2004 Graham Partners II, L.P. $265,511 $7,500,000 $7,682,126 102% -$182,126 $14,065,456 $49,554 183.1% 186.5% 11.7% 3/31/2020

2004 Providence Equity Partners V, L.P. $134,369 $10,000,000 $12,414,814 124% -$2,414,814 $14,605,332 $879,492 117.6% 118.7% 3.0% 3/31/2020

2005 Northgate Private Equity Partners II, L.P. $938,373 $15,000,000 $14,250,000 95% $750,000 $19,949,574 $750,000 140.0% 146.6% 7.3% 12/31/2019

2006 Bain Capital Fund IX Coinvestment Fund, L.P. $30,797 $1,500,000 $1,821,000 121% -$321,000 $2,651,529 $18,000 145.6% 147.3% 6.9% 3/31/2020

2006 Bain Capital Fund IX, L.P. $286,687 $7,000,000 $7,350,000 105% -$350,000 $11,160,553 $175,000 151.8% 155.7% 7.3% 3/31/2020

2006 Blackstone Capital Partners V, L.P. $673,214 $15,000,000 $15,444,867 103% -$444,867 $25,950,026 $725,674 168.0% 172.4% 8.7% 3/31/2020

2006 Charterhouse Capital Partners VIII, L.P. $4,221 $10,972,500 $12,057,898 110% -$1,085,398 $11,776,306 $0 97.7% 97.7% -0.7% 3/31/2020

2006 Hellman & Friedman Capital Partners VI, L.P. $563,307 $15,000,000 $15,060,795 100% -$60,795 $29,051,240 $434,290 192.9% 196.6% 13.6% 3/31/2020

2006 Northgate Private Equity Partners III, L.P. $2,697,816 $15,000,000 $13,950,000 93% $1,050,000 $18,001,920 $1,050,000 129.0% 148.4% 6.8% 12/31/2019

2006 TA X, L.P. $5,382 $13,000,000 $12,545,000 97% $455,000 $16,523,000 $455,000 131.7% 131.8% 5.2% 3/31/2020

2006 TA Subordinated Debt Fund II, L.P. $223,525 $8,000,000 $6,960,000 87% $1,040,000 $9,330,635 $1,040,000 134.1% 137.3% 8.5% 3/31/2020

2007 Capital International Private Equity Fund V, L.P. $195,321 $10,000,000 $10,809,812 108% -$809,812 $9,993,854 $1,592,943 92.5% 94.3% -2.8% 3/31/2020

2007 Greenbriar Equity Fund II, L.P. $0 $10,000,000 $8,106,480 81% $1,893,520 $12,311,262 $0 151.9% 151.9% 8.0% 11/30/2019

2008 BAIN Capital Fund X, L.P. $1,716,704 $15,000,000 $15,225,521 102% -$225,521 $23,271,930 $457,500 152.8% 164.1% 10.1% 3/31/2020

2008 Emerging Europe Growth Fund II $4,549,348 $10,000,000 $9,343,143 93% $656,857 $7,116,228 $114,369 76.2% 124.9% 2.8% 3/31/2020

2009 Hellman & Friedman Capital Partners VII, L.P. $18,603,064 $15,000,000 $13,293,861 89% $1,706,139 $20,982,042 $689,280 157.8% 297.8% 23.0% 3/31/2020

2010 Blackstone Capital Partners VI, L.P. $54,883,006 $100,000,000 $101,204,379 101% -$1,204,379 $99,138,527 $11,100,377 98.0% 152.2% 9.2% 3/31/2020

2010 Baring Asia Private Equity Fund V $42,647,526 $50,000,000 $62,597,686 125% -$12,597,686 $40,307,114 $5,920,232 64.4% 132.5% 5.7% 3/31/2020

2010 Capital International Private Equity Fund VI, L.P. $32,536,902 $50,000,000 $55,441,195 111% -$5,441,195 $25,924,183 $6,216,857 46.8% 105.4% -0.4% 3/31/2020

2011 EQT VI $15,081,463 $43,890,000 $53,030,220 121% -$9,140,220 $77,260,518 $2,645,822 145.7% 174.1% 13.3% 3/31/2020

2012 TPG Asia VI, L.P. $60,967,609 $75,000,000 $79,321,440 106% -$4,321,440 $39,678,392 $11,805,815 50.0% 126.9% 7.6% 3/31/2020

2012 FountainVest China Growth capital Fund II $24,868,424 $50,000,000 $48,755,452 98% $1,244,548 $57,698,905 $7,258,026 118.3% 169.3% 15.5% 3/31/2020

2013 New Mountain Partners IV, L.P. $69,226,713 $90,000,000 $78,108,844 87% $11,891,156 $80,128,841 $9,407,485 102.6% 191.2% 22.1% 3/31/2020

2015 EQT VII (No.2) Limited Partnership $47,890,485 $54,862,500 $58,984,456 108% -$4,121,956 $29,619,435 $7,098,307 50.2% 131.4% 13.2% 3/31/2020

2016 Blackstone Capital Partners VII LP $79,133,782 $100,000,000 $74,836,960 75% $25,163,040 $8,185,425 $21,348,766 10.9% 116.7% 9.3% 3/31/2020

2017 SDCERA Public Pension Capital LLC $31,334,471 $100,000,000 $31,367,156 31% $68,632,844 $6,826,190 $75,410,903 21.8% 121.7% 15.4% 3/31/2020

Total Buy Out & Growth Managers $490,012,876 $961,425,000 $894,524,754 93% $66,900,246 $853,735,431 $167,599,834 95.4% 150.2%


Private Equity

Illiquid Alternative Investments

As of March 31, 2020

Vintage

Year3 Total Commitment3

IRR Analysis as of Valuation Date

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

Valuation

Date3

Market Value as of

Valuation Date3

Capital

Called3,4 % Called

Remaining

Commitment3

Capital

Returned3

98

Unfunded


Distress & Special Situations

2001 Lexington Capital Partners V, L.P. $53,999 $10,000,000 $11,026,975 110% -$1,026,975 $17,752,792 $48,681 161.0% 161.5% 18.1% 3/31/2020

2004 Paul Capital Partners VIII-B $1,085,485 $15,000,000 $15,040,667 100% -$40,667 $20,355,521 $225,950 135.3% 142.6% 9.0% 3/31/2020

2005 Lexington Capital partners VI-B, L.P. $717,404 $10,000,000 $10,774,432 108% -$774,432 $14,217,440 $163,471 132.0% 138.6% 6.9% 3/31/2020

2005 OCM Opportunities Fund VI, L.P. $318 $5,000,000 $5,000,000 100% $0 $7,852,326 $0 157.0% 157.1% 8.7% 3/31/2020

2006 Coller International Partners V-A, L.P. $600,663 $10,000,000 $7,820,000 78% $2,180,000 $11,209,264 $2,180,000 143.3% 151.0% 7.8% 3/31/2020

2006 Cerberus Institutional Partners, L.P. Series Four $1,805,692 $15,000,000 $13,851,643 92% $1,148,357 $22,725,330 $1,148,357 164.1% 177.1% 8.9% 3/31/2020

2006 Paul Capital Partners IX, L.P. $4,306,800 $20,000,000 $17,699,666 88% $2,300,334 $17,573,905 $4,971,108 99.3% 123.6% 4.0% 3/31/2020

2007 OCM Opportunities Fund VII, L.P. $266,394 $7,500,000 $7,500,000 100% $0 $10,064,316 $0 134.2% 137.7% 7.4% 3/31/2020

2007 OCM Opportunities Fund VIIb, L.P. $225,279 $12,500,000 $11,250,000 90% $1,250,000 $19,259,573 $0 171.2% 173.2% 16.5% 3/31/2020

2008 Onex Partners III, L.P. $3,233,534 $15,000,000 $15,643,853 104% -$643,853 $23,858,830 $1,208,190 152.5% 173.2% 10.6% 3/31/2020

2009 GSO Capital Solutions Fund $842,641 $50,000,000 $71,867,365 144% -$21,867,365 $92,305,143 $4,971,167 128.4% 129.6% 9.0% 3/31/2020

2010 Gores Capital Partners III, L.P. $3,127,032 $75,000,000 $79,256,488 106% -$4,256,488 $82,307,913 $7,766,201 103.9% 107.8% 1.7% 3/31/2020

2010 OCM European Principal Fund III, L.P. $46,464,719 $65,835,000 $64,898,091 99% $936,909 $52,899,145 $19,800,419 81.5% 153.1% 8.6% 3/31/2020

2011 Gores Small Capital Partners $8,543,551 $30,000,000 $32,333,383 108% -$2,333,383 $33,783,835 $3,153,125 104.5% 130.9% 13.0% 3/31/2020

2012 GSO Capital Solutions Fund II, LP $8,822,221 $90,000,000 $70,743,779 79% $19,256,221 $61,138,370 $37,220,182 86.4% 98.9% -1.8% 3/31/2020

2014 SSG III $30,964,831 $60,000,000 $99,074,217 165% -$39,074,217 $87,696,500 $20,789,088 88.5% 119.8% 9.5% 3/31/2020

Total Distress & Special Situations Managers $111,060,563 $490,835,000 $533,780,559 109% -$42,945,559 $575,000,203 $103,645,939 107.7% 128.5%


Niche and Other

2010 RMF 2 Co-Investment Fund, L.P. $3,275,395 $25,000,000 $8,974,920 36% $16,025,080 $15,893,419 $0 177.1% 213.6% 18.0% 3/31/2020

2012 Drug Royalty III LP $5,904,806 $41,488,181 $26,762,485 65% $14,725,696 $28,914,490 $13,969,500 108.0% 130.1% 8.4% 3/31/2020

Total Niche and Other Managers $9,180,201 $66,488,181 $35,737,405 54% $30,750,776 $44,807,909 $13,969,500 125.4% 151.1%



Market Value as of

Valuation Date3

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

Vintage

Year3 Total Commitment3Capital

Called3,4 % Called

Remaining

Commitment3

Capital

Returned3

Valuation

Date3

99

Unfunded


Private Real Assets

Agriculture

2011 Brookfield Brazil Agriland $40,990,000 $75,000,000 $69,652,604 93% $5,347,396 $0 $2,097,704 0.0% 58.8% -7.9% 3/31/2020

2012 Amerra Agri Fund II $30,588,107 $50,000,000 $50,934,555 102% -$934,555 $36,112,003 $12,440,928 70.9% 131.0% 6.3% 3/31/2020

2012 Hancock Agricultural Investment Group-Separate Account $46,514,132 $100,000,000 $39,650,000 40% $60,350,000 $5,200,000 $60,450,000 13.1% 130.4% 4.4% 3/31/2020

Total Agriculture Managers $118,092,239 $225,000,000 $160,237,159 71% $64,762,841 $41,312,003 $74,988,632 25.8% 99.5%


Energy

2005 EnerVest Energy Institutional Fund X-B, L.P. $6,561 $10,000,000 $10,043,273 100% -$43,273 $10,272,571 $0 102.3% 102.3% 0.6% 3/31/2020

2005 Merit Energy Partners F, L.P. $1,201,626 $8,000,000 $4,761,830 60% $3,238,170 $2,410,357 $0 50.6% 75.9% -4.2% 3/31/2020

2006 EnCap Energy Capital Fund VI, L.P. $54,011 $9,000,000 $9,931,900 110% -$931,900 $17,836,642 $0 179.6% 180.1% 26.7% 3/31/2020

2007 EnCap Energy Capital Fund VII, L.P. $243,908 $10,000,000 $10,678,022 107% -$678,022 $14,788,562 $0 138.5% 140.8% 16.2% 3/31/2020

2007 EnerVest Energy Institutional Fund XI-B, L.P. $25,295 $15,000,000 $14,306,417 95% $693,583 $13,909,178 $245,837 97.2% 97.4% -1.8% 3/31/2020

2008 Kayne Anderson Energy Fund V, L.P. $2,553,817 $15,000,000 $19,453,116 130% -$4,453,116 $20,405,637 $0 104.9% 118.0% 8.2% 12/31/2019

2010 Falcon E&P $12,778,000 $75,000,000 $80,914,567 108% -$5,914,567 $56,407,227 $7,769,994 69.7% 85.5% -9.1% 3/31/2020

2011 Denham Commodity Partners Fund VI, L.P. $26,270,227 $50,000,000 $52,027,681 104% -$2,027,681 $30,285,510 $4,720,449 58.2% 108.7% 0.6% 3/31/2020

Total Energy Managers $43,133,445 $192,000,000 $202,116,806 105% -$10,116,806 $166,315,684 $12,736,280 82.3% 103.6%


Infrastructure

2008 Global Infrastructure Partners A, L.P. $730,496 $75,000,000 $82,518,407 110% -$7,518,407 $198,432,170 $8,822,046 240.5% 241.4% 18.8% 3/31/2020

2008 Macquarie Infrastructure Partners II $39,119,124 $75,000,000 $85,408,350 114% -$10,408,350 $108,644,877 $3,798,718 127.2% 173.0% 9.4% 3/31/2020

2010 Brookfield Americas Infrastructure Fund, L.P. $71,689,488 $75,000,000 $77,440,897 103% -$2,440,897 $76,093,334 $3,632,602 98.3% 190.8% 10.1% 3/31/2020

2010 J.P.M. Global Maritime Investment Fund $40,213,840 $75,000,000 $75,257,810 100% -$257,810 $7,503,454 $2,048,912 10.0% 63.4% -9.1% 3/31/2020

2013 Actis Energy 3 $26,181,000 $50,000,000 $50,912,027 102% -$912,027 $37,505,849 $10,038,715 73.7% 125.1% 8.9% 3/31/2020

2013 Actis Energy 3 Co-Investment, LP $7,318,000 $13,750,000 $13,986,438 102% -$236,438 $11,163,092 $1,764,409 79.8% 132.1% 9.9% 3/31/2020

2014 Energy & Minerals Group Fund III LP $36,083,491 $75,000,000 $71,302,052 95% $3,697,948 $7,905,284 $481,704 11.1% 61.7% -11.7% 3/31/2020

2014 EMG AENO Co-Investment LP $4,267,560 $4,342,137 $4,342,137 100% $0 $0 $0 0.0% 98.3% -0.3% 3/31/2020

2014 EMG AEPB Co-Investment $0 $6,000,000 $6,000,000 100% $0 $2,513,364 $0 41.9% 41.9% -25.6% 3/31/2020

Total Infrastructure Managers $225,602,999 $449,092,137 $467,168,118 104% -$18,075,981 $449,761,424 $30,587,106 96.3% 144.6%


Metals & Mining

2011 Red Kite Mine Finance Fund $90,933,444 $50,000,000 $50,000,000 100% $0 $0 $0 0.0% 181.9% 8.9% 3/31/2020

2011 Taurus Resources Fund II Ltd. $58,175,889 $75,000,000 $89,832,724 120% -$14,832,724 $48,684,593 $934,641 54.2% 119.0% 2.6% 3/31/2020

Total Metals & Mining Managers $149,109,333 $125,000,000 $139,832,724 112% -$14,832,724 $48,684,593 $934,641 34.8% 141.5%


Timber

2011 Molpus Woodlands Fund III $42,552,867 $50,000,000 $47,250,000 95% $2,750,000 $17,209,235 $0 36.4% 126.5% 3.7% 3/31/2020

Total Timber Managers $42,552,867 $50,000,000 $47,250,000 95% $2,750,000 $17,209,235 $0 36.4% 126.5%


Capital

Returned3


Valuation

Date3

Vintage


Called3,4 % Called

Market Value as of

Valuation Date3

Remaining

Commitment3

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

100

Unfunded


1999 Hearthstone MSII Homebuilding Investors, L.L.C. -$136 $10,000,000 $7,973,058 80% $2,026,942 $13,884,971 $1,008,131 174.1% 174.1% 44.2% 3/31/2020

2000 RREEF I.M.A. $441,385,630 $255,126,000 $548,397,800 215% -$293,271,800 $529,780,931 $0 96.6% 177.1% 9.9% 3/31/2020

2004 Southern California Smart Growth Fund $99,177 $25,000,000 $36,721,206 147% -$11,721,206 $40,044,587 $768,807 109.1% 109.3% 0.4% 3/31/2020

2005 Canyon-Johnson Urban Fund II, L.P. $99,875 $30,000,000 $26,966,111 90% $3,033,889 $11,923,957 $0 44.2% 44.6% -10.7% 12/31/2019

2005 RREEF Rio San Diego Plaza II $27,968,170 $25,925,218 $27,050,000 104% -$1,124,782 $17,250,000 $0 63.8% 167.2% 4.7% 3/31/2020

2005 LaSalle Asia Opportunity Fund II, L.P. $236,458 $25,000,000 $24,013,609 96% $986,391 $25,752,817 $0 107.2% 108.2% 1.7% 12/31/2019

2006 California Smart Growth Fund IV $1,992,645 $25,000,000 $23,370,715 93% $1,629,285 $28,916,511 $27,627 123.7% 132.3% 2.6% 3/31/2020

2007 Allegis Value Trust $79,433 $25,000,000 $25,550,296 102% -$550,296 $31,309,296 $0 122.5% 122.9% 2.5% 12/31/2019

2007 Blackstone Real Estate Partners VI $2,544,297 $50,000,000 $49,688,041 99% $311,959 $108,738,261 $2,453,949 218.8% 224.0% 14.3% 3/31/2020

2008 Trophy Property Development, L.P. $50,876 $15,000,000 $14,259,190 95% $740,810 $10,907,159 $740,810 76.5% 76.8% -3.6% 3/31/2020

2011 JPMCB Strategic Property Fund $232,472,900 $200,000,000 $205,654,170 103% -$5,654,170 $183,840,365 $0 89.4% 202.4% 10.0% 3/31/2020

2017 Ascentris SD Partners LP $295,736,104 $300,000,000 $522,365,404 174% -$222,365,404 $460,633,774 $72,565,508 88.2% 144.8% 17.5% 3/31/2020

2018 Brookfield Senior Mezzanine Real Estate Finance Fund LP $99,114,597 $100,000,000 $100,227,465 100% -$227,465 $9,087,163 $0 9.1% 108.0% 4.6% 3/31/2020

2019 Ascentris Value Add Fund III LP $26,407,465 $50,000,000 $30,209,158 60% $19,790,842 $1,412,268 $21,203,110 4.7% 92.1% -28.7% 3/31/2020

Total Real Estate Managers $1,128,187,491 $1,136,051,218 $1,642,446,223 145% -$506,395,005 $1,473,482,060 $98,767,942 89.7% 158.4%


Total Private Managers $2,349,457,833 $3,930,891,536 $4,427,078,077 113% -$496,186,541 $3,960,860,889 $532,491,081 89.5% 142.5%


1(DPI) is equal to (capital returned / capital called)2(TVPI) is equal to (market value + capital returned) / capital called3Data source: The Burgiss Group Private I Module4Capital called may include recallable distributions

Valuation

Date3

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

Vintage


Called3,4 % Called

Remaining

Commitment3

Capital

Returned3

Total Private Markets Portfolio


Market Value as of

Valuation Date3

Real Estate

101

(This Page Left Blank Intentionally)

102

Market Environment

103


Global Equity Markets

19.8%17.0%

22.1%

8.8%11.8%

23.0%

15.0%18.4%

22.3%18.9%

1.2%

-4.7%

6.1%

-17.2%

2.8%

-7.1%

-2.1% -2.8%

-11.8%

-4.0%

-20%

-10%

0%

10%

20%

30%

ACWI IMI 43.1%ACWI ex-U.S.

IMI

56.9%USA IMI

4.1%UK IMI

7.4%Japan IMI

2.8%Canada IMI

0.2%Israel IMI

13.2%Europe ex-UK

IMI

3.4%Pacific ex-Japan

IMI

12.0%Emerging

Markets IMI

GLOBAL MSCI IMI INDEX RETURNS (USD)AS OF 06/30/2020

Second Quarter 2020 One-Year

Source: MSCI

Global equities rebounded sharply over the second quarter, recovering the bulk of losses sustained during the previous quarter’s selloff. Investors appear to be willing to overlook economic data suggesting the worst recession in generations. Data on infections indicated that the “first wave” of the pandemic may have passed in many developed economies and a relatively quick re-opening of economies has boosted investor optimism. This coupled with expanding fiscal and monetary stimulus measures from governments has provided further support for markets. In local currency terms, the MSCI AC World Investable Market Index rose by 18.8% in Q2 2020. Depreciation of the U.S. dollar further pushed up the returns to 19.8% in USD terms.

Canadian equities were the best performers with a return of 23.0% over the quarter, supported by strong returns from the Information Technology and Materials sectors.

UK equities were the worst performer returning 8.8% over the quarter. The UK suffered the fastest monthly contraction on record as GDP plunged by 20.4% in April, the first full month of the UK’s coronavirus lockdown. Meanwhile, the UK formally rejected the option to extend its post-Brexit transition period beyond the end of 2020 but did announce plans for “intensified” trade negotiations over July in a bid to break the deadlock.

104


Global Equity Markets

The two exhibits on this slide illustrate the percentage that each country/region represents of the global and international equity markets as measured by the MSCI All Country World IMI Index and the MSCI All Country World ex-U.S. IMI Index, respectively.

105


U.S. Equity Markets

22.0%

31.2%

16.9%

30.9%

9.3%

33.2%

27.0%

18.3%16.1%

3.8%6.5%

36.2%

12.8%10.2%

2.8%

-37.1%

-2.9%-8.7% -8.4%

-2.8%

-50.0%

-40.0%

-30.0%

-20.0%

-10.0%

0.0%

10.0%

20.0%

30.0%

40.0%

Russell3000

27.2%Te chnology

14.4%Healthcare

15.6%Cons. Disc

5.5%Cons.

Staples

2.7%Energ y

3.2%Materials &Processing

8.8%Produ cerDurables

17.8%FinancialServices

4.7%Utilities

RUSSELL SECTOR RETURNS AS OF 06/30/2020

Second Quarter 2020

One-Year

Source: Russell Indexes

22.0%

11.7%

27.2%

19.9%

30.3%

18.9%

30.6%

6.5%

-7.3%

26.4%

-11.8%

11.9%

-17.5%

3.5%

-20.0%

-10.0%

0.0%

10.0%

20.0%

30.0%

40.0%

Russell3000

30.9%LargeValue

39.6%Large

Growth

15.4%MediumValue

8.4%MediumGrowth

2.8%SmallValue

2.9%Small

Growth

RUSSELL STYLE RETURNS AS OF 06/30/2020

Second Quarter 2020

One-Year

Source: Russell Indexes

U.S. equity markets achieved significant gains over the quarter, boosted by rebounding economic data. The U.S. unemployment rate fell from April’s all-time high of 14.7% to 11.1% in June, defying analysts who have been expecting the unemployment rate to peak at close to 20%. The technology and consumer discretionary sectors provided the bulk of the gains, benefiting from increased demand for technology and e-commerce services amidst social distancing measures. The Russell 3000 Index rose 22.0% during the second quarter and 6.5% over the one-year period.

The CBOE Volatility Index (VIX), Wall Street’s “fear gauge”, steadily declined over the quarter from the record highs seen in Q1. It fell from 53.5 to 30.4 over the quarter, having averaged 23.8 over the previous 12 months.

All sectors generated positive returns over the quarter. In particular, the energy sector achieved a 33.2% return on the back of rebounding oil prices, but the sector is still 37.1% down over the past 12 months.

Large cap stocks underperformed both medium and small cap stocks over the quarter, whilst Value stocks continued to underperform their Growth counterparts in Q2 2020.

106


U.S. Fixed Income Markets

2.9%

0.5%

9.0%

0.7%

3.5% 4.0%

8.7%

10.3%

9.5%

5.7%4.7%

6.8%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Barclays Agg.Bond

40.5%Govt

28.7%Corp.

28.1%MBS

0.4%ABS

2.3%CMBS

BLOOMBERG BARCLAYS AGGREGATE RETURNS BY SECTOR AS OF 06/30/2020

Second Quarter 2020 One-YearSource: FactSet

0.9%1.8%

3.7%

5.7% 6.2%

4.0%

6.5%

8.6%

10.9%

18.9%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

1-3 Yr. 3-5 Yr. 5-7 Yr. 7-10 Yr. >10 Yr.

BLOOMBERG BARCLAYS AGGREGATE RETURNS BY MATURITY AS OF 06/30/2020


0.7%

4.5%

7.0%

11.2%

10.2%

8.5% 8.8%

10.3%

8.2%

0.0%0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Aaa Aa A Baa High Yield

BLOOMBERG BARCLAYS AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 06/30/2020


The Bloomberg Barclays U.S. Aggregate Bond Index rose by 2.9%.

The increase in investors’ risk appetite were evident in the corporate bonds space as corporate bonds rose by 9.0%.

Corporate bonds were also boosted by the Fed’s decision to start buying individual corporate bonds on the secondary market for the first time in history through its $750 billion corporate lending facility.

High yield bonds rose by 10.2%. Within investment grade bonds, Baa bonds outperformed with a return of 11.2%.

107


U.S. Fixed Income Markets

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

Jun 10 Jun 12 Jun 14 Jun 16 Jun 18 Jun 20

U.S. 10-YEAR TREASURY AND TIPS YIELDS10Y TIPS Yield

10Y Treasury Yield

Source: U.S. Department of Treasury

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

0 5 10 15 20 25 30

Maturity (Years)

U.S. TREASURY YIELD CURVE

6/30/2019

3/31/2020

6/30/2020

Source: U.S. Department of Treasury

The U.S. nominal yield curve ended the quarter broadly unchanged. The Federal Reserve forecasted that the U.S. economy will contract by 6.5% this year before rebounding by 5.0% in 2021, as Fed officials signaled that interest rates will likely remain near zero until the end of 2022.

The 10-year US treasury yield ended the quarter 4bps lower at 0.66% whilst the 30-year yield increased by 6bps to 1.41%.

The 10-year TIPS yield fell by 51bps over the quarter to -0.68%, whilst the 10-year breakeven inflation increased from 0.87% to 1.34%. Breakeven inflation rebounded as markets appeared to be anticipating some longer-term inflationary effects from recent monetary and fiscal stimulus measures. Meanwhile, rising oil prices and the relaxation of lockdown measures also raised near-term inflationary expectations.

108


European Fixed Income Markets

0%

2%

4%

6%

8%

10%

12%

14%

16%

2014 2015 2016 2017 2018 2019 2020

EUROZONE PERIPHERAL BOND SPREADS(10-YEAR SPREADS OVER GERMAN BUNDS)

Spain ItalyPortugal GreeceIreland

Source: FactSet

European government bond spreads over 10-year German bunds narrowed across the Euro Area. The European Commission proposed a €750 billion recovery fund to be funded partly by issuing mutualized EU debt. The move towards fiscal burden sharing stabilised the spread between peripheral and core Eurozone government bonds, reducing a source of friction within the Eurozone. Meanwhile, the European Central Bank (ECB) increased the size of its asset purchases under the Pandemic Emergency Purchase Program by an additional €600 billion to €1.35 trillion and extended the program until June 2021.

German government bund yields rose by 1bp to -0.48% over the quarter. The Eurozone recorded a quarter-on-quarter growth rate of -3.8%, the worst economic contraction since the Eurozone was formed. France, which was amongst the first European countries to be locked down, recorded a quarter-on-quarter contraction of 5.8% in Q1, its worst GDP figure since 1945, whilst the German economy contracted by 2.2%.

Greek and Portuguese government bond yields fell by 41bps and 39bps to 1.20% and 0.47% respectively.

109


Credit Spreads

Spread (bps) 06/30/2020 03/31/2020 06/30/2019 Quarterly Change (bps)One-Year Change

(bps)

U.S. Aggregate 68 95 46 -27 22

Long Gov't 1 4 1 -3 0

Long Credit 202 279 161 -77 41

Long Gov't/Credit 120 151 92 -31 28

MBS 70 60 46 10 24

CMBS 132 188 69 -56 63

ABS 68 213 41 -145 27

Corporate 150 272 115 -122 35

High Yield 626 880 377 -254 249

Global Emerging Markets 393 619 282 -226 111

Source: FactSet, B loomberg Barclays

Credit assets rebounded strongly, benefiting from a broad risk asset recovery due to improving investor sentiment and reduced coronavirus fears. Credit spreads reversed much of last quarter’s spike, boosted by huge fiscal and monetary stimulus measures.

Credit spreads over U.S. Treasuries narrowed over the quarter (except MBS).

Riskier areas of credit, such as US high yield bonds and emerging market debt also performed well. Boosted by the Federal Reserve’s decision to expand its quantitative easing programmes to include some non-investment grade credit, High Yield credit spreads narrowed significantly in Q2 2020, decreasing by 254bps.

110


Currency

80

90

100

110

120

130

140

Jun 14 Jun 15 Jun 16 Jun 17 Jun 18 Jun 19 Jun 20

U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 06/30/2014

EUR/USD

GBP/USD

JPY/USD

Source: FactSet

Stronger Dollar

Weaker Dollar

80

85

90

95

100

105

110

115

120

125

Jun 14 Jun 15 Jun 16 Jun 17 Jun 18 Jun 19 Jun 20

TRADE WEIGHTED U.S. DOLLAR INDEX(1973 = 100)

Source: Federal Reserve

The U.S. dollar generally weakened against major currencies over the quarter as it fell 1.6% on a trade-weighted basis. The safe haven fund flows which supported the dollar over the first quarter was partially reversed in Q2 on the back of easing coronavirus concerns. U.S. dollar depreciated against euro and yen but marginally appreciated against sterling.

Sterling fell by 2.2% on a trade-weighted basis over the quarter. The increasing prospects of negative rates in the UK made holding sterling assets less attractive, whilst a weak economic outlook and ongoing Brexit uncertainty also weighed on sterling. Sterling depreciated by 0.4% against the U.S. dollar.

The U.S. dollar depreciated by 2.3% and 0.1% against the euro and yen respectively.

111


Commodities

5.1%

4.1%

9.8%

12.3%

15.0%

-4.8%

0.6%

-6.3%

-8.6%

-17.4%

-5.0%

-45.7%

-6.4%

24.2%

-13.8%

-12.9%

-15.8%

-33.7%

-50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0%

Bloomberg Commodity Index

Ex-Energy

Energy

Industrial Metals

Prec. Metals

Agric.

Softs

Grains

Livestock

COMMODITY RETURNS AS OF 06/30/2020

Second Quarter 2020

One-Year

Source: BloombergNote: Softs and Grains are part of the wider Agriculture sector

Commodities rose over the quarter which saw the Bloomberg Commodity Index return 5.1%.

The Energy sector rose by 9.8% over the quarter. Oil had an especially turbulent quarter as U.S oil futures prices fell into negative territory for the first time ever when the price of West Texas Intermediate (WTI) futures expiring in May closed at -$37.63 on April 20th. Investors faced storage facility shortages and a decreasing demand, leaving them with no choice but to pay in order to not receive physical barrels. To combat the growing imbalance between supply and demand OPEC+, led by Saudi Arabia and Russia, implemented record setting production cuts in May. An increase in global travel along with the supply cuts created major tailwinds for oil later in the quarter.

The price of Brent crude oil recovered and sharply rose by 81.0% to $41/bbl. and WTI crude oil spot prices rose by 91.7% to $39/bbl. On a one-year basis, the Energy sector is down by 46%.

Livestock was the worst performing sector, falling by 8.6% in Q2 2020.

112


Hedge Fund Markets Overview

5.7%

0.8%

13.3%

12.7%

9.7%

7.2%

6.4%

9.1%

7.5%

2.7%

0.6%

0.8%

-1.7%

-4.9%

-7.0%

-2.4%

-0.5%

0.1%

-10.0% -5.0% 0.0% 5.0% 10.0% 15.0%

Fixed Income/Convertible Arb.

Global Macro

Equity Hedge

Emerging Markets

Event-Driven

Distressed-Restructuring

Relative Value

Fund-Weighted Composite Index

Fund of Funds Composite Index

HEDGE FUND PERFORMANCE AS OF 06/30/2020

Second Quarter 2020

One-Year

Note: Latest 5 months of HFR data are estimated by HFR and may change in the future.Source: HFR

Hedge fund performance was positive across all strategies in the second quarter.

The HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of 9.1% and 7.5% respectively.

Equities-oriented strategies performed well amidst a broad risk assets rally. Equity Hedge and Emerging Markets strategies were the best performers over the quarter, returning 13.3% and 12.7% respectively.

113


Private Equity Market Overview – Q1 2020 Slide 1 of 2

Sources: 1 Preqin 2 Standard & Poor’s 3 PwC/CB Insights MoneyTree Report 4 PitchBook/NVCA Venture Monitor 5 Fitch Ratings 6 Thomson Reuters 7 UBS

Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: Total Purchase Price ÷ EBITDA.

Fundraising: In 1Q 2020, $190.7 billion was raised by 373 funds, which was a decrease of 29.8% on a capital basis and 32.2% by number of funds over the prior quarter. Dry powder stood at nearly $2.2 trillion at the end of the quarter, a modest increase compared to the previous quarter.1

Buyout: Global private equity-backed buyout deals totaled $95.0 billion in 1Q 2020, which was down 0.5% on a capital basis and up 7.5% by number of deals from 4Q 2019.1 Through the end of 1Q 2020, the average purchase price multiple for all U.S. LBOs was 11.2x EBITDA, a decrease of 0.3x over year-end 2019 but higher than the five-year average (10.6x).2 Large cap purchase price multiples stood at 10.9x, down compared to the full-year 2019 level of 11.4x.2 The weighted average purchase price multiple across all European transaction sizes averaged 12.2x EBITDA for 1Q 2020, up significantly from the 10.9x multiple seen at the end of 4Q 2019. Purchase prices for transactions of greater than €1.0 billion increased to 12.1x at the end of 1Q 2020, a jump from the 11.2x seen at year-end 2019. Globally, exit value totaled $76.0 billion from 496 deals during the first quarter, down from the $84.2 billion in exits from 458 deals during 4Q 2019.1

Venture: During the first quarter, 1,271 venture-backed transactions totaling $26.4 billion were completed in the U.S., which was an increase on a capital basis over the prior quarter’s total of $23.3 billion across 1,399 deals. This was 17.5% higher than the five-year quarterly average of $22.5 billion.3 Total U.S. venture-backed exit activity totaled approximately $19.3 billion across 183 completed transactions in 1Q 2020, down on a capital basis from the $24.2 billion across 215 exits in 4Q 2019. 1Q 2020’s U.S. exit activity represented only 7.3% of 2019’s total.4

Mezzanine: Six funds closed on $2.3 billion during the first quarter. This was down from the prior quarter’s total of $3.2 billion raised by eight funds and represented 47.4% of the five-year quarterly average of $4.9 billion. Estimated dry powder was $48.5 billion at the end of 1Q 2020, up from the $44.6 billion seen at the end of 2019.1

Source: Preqin

LTM Global Private Equity-Backed Buyout Deal Volume

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

$0

$100

$200

$300

$400

$500

$600

4Q11 3Q12 2Q13 1Q14 4Q14 3Q15 2Q16 1Q17 4Q17 3Q18 2Q19 1Q20

# of Deals

Val

ue ($

Bil

lions

)

Deal Value ($ Billions)

Number of Deals

114


Private Equity Market Overview – Q1 2020 Slide 2 of 2

Distressed Debt: The LTM U.S. high-yield default rate was 2.9% as of March 2020, and was expected to increase substantially during the following quarter.5 During the quarter, $4.5 billion was raised by nine funds, lower than both the $22.3 billion raised by 24 funds in 4Q 2019 and the five-year quarterly average of $11.4 billion.1 Dry powder was estimated at $117.0 billion at the end of 1Q 2020, which was down slightly from the $117.2 billion seen at the end of 4Q 2019. This remained above the five-year annual average level of $109.4 billion.1

Secondaries: 12 funds raised $20.8 billion during the quarter, up significantly from the $5.1 billion raised by 10 funds in 4Q 2019. This was the largest amount raised since 1Q 2017 when 14 funds raised $20.1 billion.1 At the end of 1Q 2020, there were an estimated 79 secondary and direct secondary funds in market targeting roughly $73.6 billion.1 The average discount rate for all private equity sectors finished the quarter at 18.1%, significantly lower than the 9.4% discount at the end of 4Q 2019.6

Infrastructure: $39.6 billion of capital was raised by 24 funds in 1Q 2020 compared to $47.8 billion of capital raised by 38 partnerships in 4Q 2019. At the end of the quarter, dry powder stood at an estimated $220.7 billion, up from 4Q 2019’s total of $212.1 billion. Infrastructure managers completed 603 deals with an estimated aggregate deal value of $79.4 billion in 1Q 2020 compared to 730 deals totaling $149.1 billion a quarter ago.1

Natural Resources: During 1Q 2020, six funds closed on $4.6 billion compared to eleven funds totaling $2.6 billion in 4Q 2019. Energy and utilities industry managers completed approximately 39 deals totaling an estimated $5.3 billion through 1Q 2020, which represented 31.2% of energy and utilities deal value during 2019.1

Source: S&P

Sources: 1 Preqin 2 Standard & Poor’s 3 PwC/CB Insights MoneyTree Report 4 PitchBook/NVCA Venture Monitor 5 Fitch Ratings 6 Thomson Reuters 7 UBS

Notes: FY=Fiscal year ended 12/31; YTD=Year to date; LTM=Last 12 months (aka trailing 12 months); PPM=Purchase Price Multiples: Total Purchase Price ÷ EBITDA.

U.S. LBO Purchase Price Multiples – All Transactions Sizes

8.7x 8.8x

9.8x10.3x 10.0x

10.6x 10.6x

11.5x 11.2x

0.0x

2.0x

4.0x

6.0x

8.0x

10.0x

12.0x

Senior Debt/EBITDA Sub Debt/EBITDA Equity/EBITDA Others

115


U.S. Commercial Real Estate Markets

*Indicates preliminary NFI-ODCE data gross of fees

CAP RATES BY SECTORSOURCE: RCA, AON 6/30/2020

U.S. Core Real Estate returned -1.55%* over the second quarter, equating to a 2.2% total gross return year-over-year, including a 3.7% income return.Shelter in place orders and social distancing practices have most severely impacted retail and hotel property sectors. Property valuations have begun toprice in the loss of cash flow as a result of COVID-19. Transaction volume has contracted substantially, and price discovery continues to be limited.

Global property markets, as measured by the FTSE EPRA/NAREIT Developed Real Estate Index, returned 10.3% (USD) in aggregate during the secondquarter and experienced a cumulative decline of -20.9% YTD. REIT market performance was driven by Asia Pacific (10.8% USD), North America (11.7%USD) and Europe (4.2% USD). The U.S. REIT markets (FTSE NAREIT Equity REITs Index) returned 11.8% in the second quarter. The U.S. 10-yeartreasury bond yields remained flat during the quarter (0.66%).

The coronavirus fueled market volatility and decline in the stock and bond markets has created a situation of uncertainty for private real estate pricing.Public markets are searching for the right pricing level in light of the global pandemic, and how it will affect the regional and global economies. Impliedvolatility continues to signal elevated levels of uncertainty concerning public market implied valuations. Considering this situation, we are recommendingthat investments with pre-specified assets be postponed. Private market transactions based on appraisal valuations lag the most current information, andthey do not fully reflect the current market conditions.

We are proactively evolving our investment strategy. In the post-coronavirus world, supply chains may move back to North America which will requirecorresponding real estate infrastructure. Demand for last mile logistics, already a key investment theme, will accelerate. Live and work preference changeswill create opportunities. Interest rates are likely to remain lower for even longer, making real estate a very compelling alternative to fixed incomeinvestments.

Blind pool funds offer a potential to have capital available when the new opportunity set presents itself. Those strategies need careful review in light of thechanging market dynamics. Strategies that worked previously in a growth-oriented market may not be appropriate for what may be more opportunistic styleinvesting. Regions, countries and property types all need to be reevaluated.

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

'08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20

Office Industrial Retail Apartment

-1.6%

2.2%

5.7%7.3%

10.8%11.8%

-13.0%

0.0%

4.1%

9.1%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

Q2 2020 1-Year 3-Years 5-Years 10-Years

PRIVATE VS. PUBLIC REAL ESTATE RETURNSAS OF 06/30/2020

Private (NFI-ODCEGross)*Public (NAREITGross)

*Second quarter returns are preliminarySources: NCREIF, FactSet

116

Appendix

117

Fee ScheduleMarket Value

$

EstimatedAnnual Fee

$

EstimatedAnnual Fee

(%)

BlackRock MSCI US Equity Index 0.02 % of Assets 1,240,667,013 186,100 0.02

BlackRock MSCI US Small Cap Index 0.02 % of Assets 212,440,592 31,866 0.02

PIMCO Russell 2000 Passive Plus 0.02 % of Assets 194,040,654 29,106 0.02

PIMCO S&P Passive Plus 0.02 % of Assets 1,440,453,528 216,068 0.02

Allianz Global Equity 0.05 % of Assets 383,184,017 191,592 0.05

BlackRock ACWI IMI Index 0.05 % of First $250 M0.04 % Thereafter

146,473,809 73,237 0.05

BlackRock MSCI EAFE IMI Index 0.04 % of Assets 596,064,140 238,426 0.04

PIMCO EAFE Passive Plus 0.04 % of Assets 1,467,118,687 586,847 0.04

BlackRock EM Index 0.07 % of Assets 395,687,535 276,981 0.07

DFA Emerging Markets Value I 0.54 % of Assets 140,537,914 758,905 0.54

PIMCO EM Passive Plus 0.07 % of Assets 263,560,105 184,492 0.07


Total Fund Investment Fund Fee Analysis

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Total Fund Investment Fund Fee Analysis

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Fee ScheduleMarket Value

$

EstimatedAnnual Fee

$

EstimatedAnnual Fee

(%)

BlackRock U.S. Intermediate Aggregate Index 0.02 % of Assets 836,801,213 167,360 0.02

Hoisington 0.20 % of First $100 M0.05 % Thereafter

425,277,070 362,639 0.09

PIMCO Short Term Fixed 0.20 % of First $200 M0.15 % of Next $200 M0.13 % of Next $200 M0.09 % of Next $800 M0.09 % Thereafter

510,153,595 837,692 0.16

SLC Management Core Fixed 0.25 % of Assets 261,909,707 654,774 0.25

Hotchkis & Wiley Cap 0.10 % of Assets 293,999,722 294,000 0.10

Oaktree High Yield 0.50 % of Assets 594,580,457 2,972,902 0.50

Allianz Loan Port 0.50 % of Assets 66,889,697 334,448 0.50

Allianz Multi Asset Long Short 0.27 % of Assets 97,471,360 263,173 0.27

AQR Global Alt Premia Offshore Fund 0.50 % of Assets 4,464,771 22,324 0.50

BlackRock Global Allocation 0.04 % of Assets 564,374,797 225,750 0.04

GAM Systematic 0.60 % of Assets 98,713,182 592,279 0.60

PIMCO Opp I 0.50 % of Assets 15,036,569 75,183 0.50

PIMCO Opp II 0.50 % of Assets 27,112,104 135,561 0.50

PIMCO Opp III 0.50 % of Assets 64,444,721 322,224 0.50

- In addition to the base management fee of 0.05%, Allianz Global Equity charges a 27% performance fee calculated annually. The performance fee issubject to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.04%, BlackRock Global Allocation charges a 27% performance fee calculated annually. The performance fee issubject to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.60%, GAM Systematic charges a 20% performance fee over a 6% net return calculated annually. Theperformance fee is subject to a high water mark on alpha only.- In addition to the base management fee of 0.50%, Allianz Loan Portfolio charges a 20% performance fee over an IRR of 7.5%.

- In addition to the base management fee of 0.50%, AQR GAP charges a 30% net performance fee over an index of 90-day T-Bills + 5.0%.

- In addition to the base management fee of 0.015%, PIMCO S&P 500 charges a 50% performance fee calculated annually. The performance fee is subject

to a high water mark on alpha only, and the performance fee is capped at 0.60% annually.

- In addition to the base management fee of 0.015%, PIMCO R2000 charges a 50% performance fee calculated annually. The performance fee is subject to

a high water mark on alpha only, and the performance fee is capped at 0.60% annually.

- In addition to the base management fee of 0.04%, PIMCO EAFE charges a 50% performance fee calculated annually. The performance fee is subject to a

high water mark on alpha only, and the performance fee is capped at 0.60% annually.

- In addition to the base management fee of 0.07%, PIMCO EM charges a 50% performance fee calculated annually. The performance fee is subject to a

high water mark on alpha only, and the performance fee is capped at 0.60% annually.- In addition to the base management fee of 0.50%, PIMCO Opps I, II, & III charges a 23% performance fee over a 7.25% hurdle, 3 year performanceperiod.- In addition to the investment management fee of 0.27%, the Allianz Multi Asset Long Short fund charges operating expenses which are capped at 0.20%

annually.

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Performance Return Calculations

Returns calculated in the performance summary tables are time-weighted rates of return (TWRR). TWRR are calculated from the changes in monthly market values, adjusted forweighted cash flows between months. Returns are linked geometrically and annualized for period longer than one year.

Data Source

Aon Investments USA Inc. (Aon) is an independent third party consulting firm and calculates returns from best source book of record data. Returns calculated by Aon may deviatefrom those shown by the manager in part, but not limited to, differences in prices and market values reported by the custodian and manager. It is the responsibility of the managerand custodian to provide insight into the pricing and methodologies and any difference in valuation.

Illiquid Alternatives

Closed end funds including but not limited to Real Estate, Hedge Funds, Private Equity, and Private Credit may lag performance and market value data due to delayed reporting.Aon will show market values for closed end funds as of the most recent reported performance adjusted for capital calls and distributions. Closed end fund managers reportperformance using an internal rate of return (IRR), which differs from the TWRR calculation done by Aon. It is inappropriate to compare IRR and TWRR to each other. IRR figuresreported in the illiquid alternative pages are provided by the respective managers, and Aon has not made any attempts to verify these returns. Until a partnership is liquidated(typically over 10-12 years), the IRR is only an interim estimated return. The actual IRR performance of any LP is not known until the final liquidation.

Manager Line Up

Manager Inception Date Data Source Manager Inception Date Data SourceGAM Systematic 10/01/2013 BNY Mellon BlackRock MSCI EAFE IMI Index 07/07/2017 BNY MellonPIMCO S&P Passive Plus 08/10/2015 BNY Mellon PIMCO Russell 2000 Passive Plus 08/10/2015 BNY MellonPIMCO EAFE Passive Plus 08/10/2015 BNY Mellon BlackRock EM Index 08/04/2015 BNY MellonPIMCO EM Passive Plus 08/10/2015 BNY Mellon PIMCO Short Term Fixed 09/01/2010 BNY MellonBlackRock ACWI IMI Index 12/01/2018 BNY Mellon AQR Global Alt Premia Offshore 10/11/2019 BNY MellonBlackRock US Int. Aggregate Index 01/24/2017 BNY Mellon SLC Management Core Fixed 01/31/2017 BNY MellonHotchkis & Wiley Cap 08/01/2010 BNY Mellon Oaktree High Yield 05/01/1995 BNY MellonHoisington 09/01/2010 BNY Mellon Allianz Global Equity 06/21/2017 BNY MellonBlackRock MSCI US Equity Index 07/07/2017 BNY Mellon BlackRock MSCI US Small Cap 07/07/2017 BNY MellonBlackRock Global Allocation 07/31/2017 BNY Mellon Allianz Loan Port 04/13/2016 BNY MellonAllianz Multi-Asset Long Short 03/05/2018 BNY Mellon DFA Emerging Markets Value I 12/01/2011 BNY MellonPIMCO Opp I 02/04/2020 BNY Mellon PIMCO Opp II 03/16/2020 BNY MellonPIMCO Opp III 03/25/2020 BNY Mellon

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Data Sources and Methodology

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Data Sources and Methodology

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Policy & Custom Index Composition

SDCERA Policy Benchmark 45% MSCI ACWI IMI, 18% Bloomberg Barclays US Intermediate Aggregate, 6% ICE BofAML US High Yield Index, 8% Balancedbenchmark, 23% SDCERA Private Asset Benchmark.

SDCERA Private Asset Benchmark 1/3 NCREIF-ODCE and 2/3 MSCI ACWI IMI. Prior to July 1, 2017, the benchmark was comprised of 1/3 NCREIF-ODCE +50bps, and2/3 MSCI ACWI IMI + 200bps.

SDCERA Public Benchmark 58.4% MSCI ACWI IMI, 23.4% Bloomberg Barclays US Intermediate Aggregate, 7.8% ICE BofAML US High Yield Index, 10.4%Balanced Benchmark.

Balanced Benchmark Currently 70% MSCI ACWI IMI and 30% Bloomberg Barclays US Intermediate Aggregate. Prior to July 1, 2017 the benchmark wascomprised of 70% MSCI ACWI IMI and 30% Bloomberg Barclays US Aggregate.

Emerging Markets Benchmark Currently, the MSCI Emerging Markets Index (Net). Prior to July 1, 2017, the benchmark was the MSCI Emerging Markets IMI Index(Net).

Fixed Income Benchmark Currently 75% Bloomberg Barclays U.S. Intermediate Aggregate Index and 25% ICE BofAML US High Yield Index. Prior to July 1,2017 the benchmark was comprised of the Bloomberg Barclays U.S. Intermediate Aggregate Index.

Other Disclosures

All data prior to 3/31/2016 was provided by BNY Mellon, Salient Partners, and Verus.

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Total Public Equity:Benchmark: MSCI AC World IMI (Net)

U.S. Equity:Benchmark: MSCI USA IMI (Net)

BlackRock MSCI U.S. Equity Index:Benchmark: MSCI USA (Net)Universe: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics

BlackRock MSCI U.S. Small Cap Index:Benchmark: MSCI USA Small Cap (Net)Universe: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics

PIMCO S&P Passive Plus:Benchmark: S&P 500 IndexUniverse: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics

PIMCO Russell 2000 Passive Plus:Benchmark: Russell 2000 IndexUniverse: Rankings are based on a universe of U.S. stock funds compiled by Investment Metrics

Global Equity:Benchmark: MSCI AC World IMI (Net)

Allianz Global Equity:Benchmark: MSCI AC World IMI Index (Net)Universe: Rankings are based on a universe of global stock funds compiled by Investment Metrics

BlackRock ACWI IMI Index:Benchmark: MSCI AC World IMI Index (Net)Universe: Rankings are based on a universe of global stock funds compiled by Investment Metrics

International Equity:Benchmark: MSCI EAFE IMI (Net)

BlackRock MSCI EAFE IMI Index:Benchmark: MASI EAFE IMI (Net)Universe: Rankings are based on a universe of non-U.S. stock funds compiled by Investment Metrics

PIMCO EAFE Passive Plus:Benchmark: MSCI EAFE Index (Net)Universe: Rankings are based on a universe of non-U.S. stock funds compiled by Investment Metrics

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Emerging Market Equity:Benchmark: Emerging Markets Benchmark

BlackRock EM Index:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Investment Metrics

PIMCO EM Passive Plus:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Investment Metrics

DFA Emerging Markets Value I:Benchmark: MSCI Emerging Markets Index (Net)Universe: Rankings are based on a universe of emerging market stock funds compiled by Lipper

Risk Reducing Fixed Income:Benchmark: Bloomberg Barclays U.S. Intermediate Aggregate Index

U.S. Fixed Income:Benchmark: Bloomberg Barclays U.S Intermediate Aggregate Index

BlackRock U.S. Intermediate Aggregate Index:Benchmark: Bloomberg Barclays U.S. Intermediate Aggregate IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics

SLC Management Core Fixed:Benchmark: Bloomberg Barclays Aggregate IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics

PIMCO Short Term Fixed:Benchmark: 3 Month LIBORUniverse: Rankings are based on a universe of U.S. short term duration funds compiled by Investment Metrics

Hoisington:Benchmark: Bloomberg Barclays U.S. Treasury 7-10 YearUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics

Return Seeking Fixed Income:Benchmark: ICE BofAML US High Yield Index

High Yield Credit:Benchmark: ICE BofAML US High Yield Index

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Hotchkis & Wiley Cap:Benchmark: ICE BofAML US High Yield IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics

Oaktree High Yield:Benchmark: ICE BofAML US High Yield IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics

Loans:Benchmark: S&P Leveraged Loan Index

Allianz Loan Portfolio:Benchmark: S&P Leveraged Loan IndexUniverse: Rankings are based on a universe of U.S. bond funds compiled by Investment Metrics

Opportunistic:Benchmark: Balanced Benchmark

Allianz Multi Asset Long Short:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available

AQR Global Alt Premia Offshore:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available

BlackRock Global Allocation:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available

GAM Systematic:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available

PIMCO Opp I, II, & IIIBenchmark: Balanced BenchmarkUniverse: No suitable universe is available

Total Private AssetsBenchmark: SDCERA Private Assets Benchmark

Real EstateBenchmark: NCREIF ODCE

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Private EquityBenchmark: MSCI AC World IMI (Net)

Private Real AssetsBenchmark: MSCI AC World IMI (Net)

Manager Benchmark DescriptionsMSCI AC World IMI (Net): A capitalization-weighted stock index that captures large, mid and small cap representation across 23 Developed Markets (DM) and 24 EmergingMarkets (EM) countries. With 8,870 constituents, the index is comprehensive, covering approximately 99% of the global equity investment opportunity set.

MSCI USA IMI (Net): A capitalization-weighted stock index designed to measure the performance of the large, mid and small cap segments of the US market. With 2,414constituents, the index covers approximately 99% of the free float-adjusted market capitalization in the US.

S&P 500 Index: A capitalization-weighted stock index consisting of 500 of the largest publicly traded U.S. stocks by capitalization. The index covers approximately 80% of availablemarket capitalization.

Russell 2000 Index: A capitalization-weighted stock index that measures the performance of approximately 2000 small capitalization U.S. stocks.

MSCI AC World ex USA Index (Net): A capitalization-weighted index that captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries (excludingthe US) and 24 Emerging Markets (EM) countries. With 2,166 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.

MSCI EAFE IMI (Net): A capitalization-weighted index of stocks that captures large, mid and small cap representation across Developed Markets countries around the world,excluding the US and Canada. With 3,268 constituents, the index is comprehensive, covering approximately 99% of the free float-adjusted market capitalization in each country.

MSCI EAFE Index (Net): A capitalization-weighted index of stocks that captures large and mid-cap representation across 21 Developed Markets countries around the world,excluding the US and Canada. With 924 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

MSCI Emerging Markets IMI (Net): A capitalization-weighted index of stocks that captures large, mid and small cap representation across 24 Emerging Markets (EM) countries.With 2,882 constituents, the index covers approximately 99% of the free float-adjusted market capitalization in each country.

MSCI Emerging Markets Index (Net): A capitalization-weighted index of stocks that captures large and mid-cap representation across 24 Emerging Markets (EM) countries. With1,151 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.

Bloomberg Barclays U.S. Intermediate Aggregate: A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backedsecurities with one to ten years to maturity and an outstanding par value of $250 million or greater.

Bloomberg Barclays Aggregate Index: A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backedsecurities with at least one year to maturity and an outstanding par value of $250 million or greater. This index is a broad measure of the performance of the investment grade U.S.fixed income market.

Bloomberg Barclays U.S. Treasury: 7-10 Year: A market value-weighted index consisting of U.S. Treasury bonds with seven to ten years to maturity and an outstanding par valueof $250 million or greater.

Bloomberg Barclays Long Government Index: An unmanaged index considered representative of long-term fixed-income obligations issued by the U.S. treasury, government

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agencies and quasi-federal corporations.

Bloomberg Barclays Intermediate Government Index: An unmanaged index considered representative of intermediate-term fixed-income obligations issued by the U.S. treasury,government agencies and quasi-federal corporations.

ICE BofAML US High Yield Index: A market capitalization-weighted index that tracks the performance of U.S. dollar-denominated, below investment grade corporate debt publiclyissued in the U.S. domestic market.

Citi 3-Month T-bill: An index that measures the average return of the last three-month U.S. Treasury Bill issues.

HFRI Macro (Total) Index: Tracks investment managers which trade a broad range of strategies in which the investment process is predicated on movements in underlyingeconomic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary andsystematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategiesemploy RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlyinginstruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, theoverriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which thefundamental characteristics on the company are the most significant are integral to investment thesis.

NCREIF ODCE (Net) Monthilized: A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute theindex are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investmentresults. The returns shown in this report are net of management fees of the respective funds included in the index.

3 Month LIBOR: An index that serves as the benchmark reference rate for debt instruments. The index serves as the rate of interest at which banks offer to lend money to one

another in the wholesale money market.

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CountrySDCERA Public Equity

AllocationMSCI All Country World IMI Index

Difference

United States 51.1% 56.9% -5.7%

U.S. Equity 51.1% 56.9% -5.7%

Australia 2.3% 2.0% 0.3%

Austria 0.1% 0.1% 0.0%

Belgium 0.3% 0.3% 0.0%

Canada 0.3% 2.8% -2.5%

Denmark 0.8% 0.6% 0.2%

Finland 0.3% 0.3% 0.0%

France 3.8% 2.8% 1.0%

Germany 3.1% 2.5% 0.6%

Hong Kong 1.2% 0.9% 0.3%

Ireland 0.3% 0.2% 0.1%

Israel 0.2% 0.2% 0.0%

Italy 0.9% 0.7% 0.2%

Japan 9.1% 7.4% 1.7%

Netherlands 1.5% 1.1% 0.3%

New Zealand 0.1% 0.1% 0.0%

Norway 0.2% 0.2% 0.0%

Portugal 0.1% 0.1% 0.0%

Singapore 0.4% 0.4% 0.0%

Spain 0.8% 0.7% 0.2%

Sweden 1.1% 1.0% 0.1%

Switzerland 3.5% 2.7% 0.8%

United Kingdom 4.9% 4.1% 0.8%

Non-U.S. Equity: Developed 35.3% 31.2% 4.1%

Brazil 0.7% 0.6% 0.1%

Chile 0.1% 0.1% 0.0%

China 5.3% 4.6% 0.7%

Czech Republic 0.0% 0.0% 0.0%

Egypt 0.0% 0.0% 0.0%

Greece 0.0% 0.0% 0.0%

Hungary 0.0% 0.0% 0.0%

India 0.0% 0.0% 0.0%

Indonesia 1.1% 1.0% 0.1%

Korea 0.2% 0.2% 0.0%

Malaysia 1.5% 1.5% 0.1%

Mexico 0.2% 0.2% 0.0%

Pakistan 0.2% 0.2% 0.0%

Peru 0.0% 0.0% 0.0%

Philippines 0.0% 0.0% 0.0%

Poland 0.1% 0.1% 0.0%

Qatar 0.1% 0.1% 0.0%

Russia 0.1% 0.1% 0.0%

Saudi Arabia 0.2% 0.4% -0.2%

South Africa 0.5% 0.4% 0.1%

Taiwan 1.8% 1.6% 0.2%

Thailand 0.3% 0.3% 0.0%

Turkey 0.1% 0.1% 0.0%

United Arab Emirates 0.1% 0.1% 0.0%

Other Countries 0.7% 0.3% 0.4%

Non-U.S. Equity: Emerging Markets 13.6% 12.0% 1.6%

Total Public Equity 100% 100% --

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

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

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

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

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

Capture Ratio: A statistical measure of an investment manager's overall performance in up or down markets. The capture ratio is used to evaluate how well an investmentmanager performed relative to an index during periods when that index has risen (up market) or fallen (down market). The capture ratio is calculated by dividing the manager'sreturns by the returns of the index during the up/down market, and multiplying that factor by 100.

Correlation: A measure of the relative movement of returns of one security or asset class relative to another over time. A correlation of 1 means the returns of two securities movein lock step, a correlation of -1 means the returns of two securities move in the exact opposite direction over time. Correlation is used as a measure to help maximize the benefits ofdiversification when constructing an investment portfolio.

Excess Return: A measure of the difference in appreciation or depreciation in the price of an investment compared to its benchmark, over a given time period. This is usuallyexpressed as a percentage and may be annualized over a number of years or represent a single period.

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

Interaction Effect: An attribution effect that describes the portion of active management that is contributable to the cross interaction between the allocation and selection effect.This can also be explained as an effect that cannot be easily traced to a source.

Portfolio Turnover: The percentage of a portfolio that is sold and replaced (turned over) during a given time period. Low portfolio turnover is indicative of a buy and hold strategywhile high portfolio turnover implies a more active form of management.

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

R-Squared: Also called the coefficient of determination, it measures the amount of variation in one variable explained by variations in another, i.e., the goodness of fit to abenchmark. In the case of investments, the term is used to explain the amount of variation in a security or portfolio explained by movements in the market or the portfolio'sbenchmark.

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

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Sharpe Ratio: A measure of portfolio efficiency. The Sharpe Ratio indicates excess portfolio return for each unit of risk associated with achieving the excess return. The higher theSharpe Ratio, the more efficient the portfolio. Sharpe ratio is calculated as: Portfolio Excess Return / Portfolio Standard Deviation.

Sortino Ratio: Measures the risk-adjusted return of an investment, portfolio, or strategy. It is a modification of the Sharpe Ratio, but penalizes only those returns falling below aspecified benchmark. The Sortino Ratio uses downside deviation in the denominator rather than standard deviation, like the Sharpe Ratio.

Standard Deviation: A measure of volatility, or risk, inherent in a security or portfolio. The standard deviation of a series is a measure of the extent to which observations in theseries differ from the arithmetic mean of the series. For example, if a security has an average annual rate of return of 10% and a standard deviation of 5%, then two-thirds of thetime, one would expect to receive an annual rate of return between 5% and 15%.

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

Style Map: A specialized form or scatter plot chart typically used to show where a Manager lies in relation to a set of style indices on a two-dimensional plane. This is simply a wayof viewing the asset loadings in a different context. The coordinates are calculated by rescaling the asset loadings to range from -1 to 1 on each axis and are dependent on theStyle Indices comprising the Map.

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Benchmark Descriptions

Bloomberg Barclays Corporate High Yield Bond Index - An index that covers the U.S.D-dominated, non- investment grade, fixed rate, taxable corporate bond market. Debt issues from emerging market countries are excluded. Securities are classified as high-yield if the middle rating is Ba1/BB+ or below.

Bloomberg Barclays Emerging Markets Index - An unmanaged index that tracks total returns for external-currency-denominated debt instruments of the emerging markets.

Bloomberg Barclays Global Aggregate - Provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and U.S.D investment grade 144A securities.

Bloomberg Barclays Global Treasury Ex-U.S. - The Barclays Global Treasury ex U.S. Index is a subset of the flagship Global Treasury Index that does not have any exposure to U.S. debt. This multi-currency benchmark includes investment grade, fixed-rate bonds issued by governments in their native currencies.

Bloomberg Barclays Inflation Index - Measures the performance of the U.S. Treasury Inflation Protected Securities ("TIPS") market.

Bloomberg Barclays Universal Index - A market value-weighted index which is the union of the U.S. Aggregate Index, U.S. High Yield Corporate Index, Eurodollar Index, U.S. Emerging Markets Index and the CMBS High Yield Index. The Index is appropriate for core plus fixed income mandates.

Bloomberg Barclays U.S. Aggregate Bond Index - A market value-weighted index consisting of government bonds, SEC-registered corporate bonds and mortgage-related and asset-backed securities with at least one year to maturity and an outstanding par value of $250 M or greater. This index is a broad measure of the performance of the investment grade U.S. fixed income market.

Bloomberg Barclays U.S. Government/Credit Index - A subcomponent of the Barclays Capital Aggregate Index, this benchmark includes treasury securities, government related issues, and high quality corporate bonds with an outstanding par value of $250 M or greater and at least one year of maturity remaining.

Bloomberg Barclays U.S. Government Index - A market value weighted index of U.S. government and government agency securities (other than mortgage securities) with maturities of one year or more.

Bloomberg Barclays U.S. High Yield Index - An index composed of non-investment grade corporate debt denominated in U.S. dollars. The issues have to have an outstanding par value of $150 M or greater and at least one year of maturity remaining.

Bloomberg Barclays U.S. Intermediate Aggregate Bond Index - A market value-weighted index consisting of U.S. Treasury securities, corporate bonds and mortgage-related and asset-backed securities with one to ten years to maturity and an outstanding par value of $250 M or greater.

Bloomberg Barclays U.S. Intermediate Government Bond Index - An unmanaged index considered representative of intermediate- term fixed-income obligations issued by the U.S. Treasury, government agencies and quasi-federal corporations.

Bloomberg Barclays U.S. Intermediate Government/Credit Index - A market-value weighted index consisting of U.S. government bonds and SEC-registered corporate bonds with one to ten years to maturity and an outstanding par value of $150 M or greater.

Bloomberg Barclays U.S. Intermediate Treasury - An unmanaged index considered representative of intermediate-term fixed- income obligations issued by the U.S. Treasury.

Bloomberg Barclays U.S. Long Credit Bond Index - An unmanaged index considered representative of long-term fixed-income obligations issued by U.S. corporate, specified foreign debentures, and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.

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Bloomberg Barclays U.S. Long Gov’t/Credit Index - The Barclays Capital U.S. Government/ Credit Bond Index measures performance of U.S. dollar denominated U.S. treasuries, government-related, and investment grade U.S. corporate securities that have a remaining maturity of greater than or equal to 1 year. In addition, the securities have $250 M or more of outstanding face value, and must be fixed rate and non-convertible.

Bloomberg Barclays U.S. Long Government Bond Index - An unmanaged index considered representative of long-term fixed- income obligations issued by the U.S. Treasury, government agencies and quasi-federal corporations.

Bloomberg Barclays U.S. TIPS - A market value-weighted index consisting of U.S. Treasury Inflation Protected Securities with one or more years remaining until maturity with total outstanding issue size of $500m or more.

Bloomberg Barclays U.S. Treasury 20-30 Year STRIPS Index - A subcomponent of the Barclays Aggregate Index, this benchmark includes long-term treasury STRIPS.

Bloomberg Commodity Index - Consists of 22 exchange-traded futures on physical commodities, which are weighted to account for economic significance and market liquidity. Performance is calculated on an excess return basis and reflects commodity future price movements.

BofA Merrill Lynch 3 Month Treasury Bill - An index that measures the average return of the last three-month U.S. Treasury Bill issues.

BofA Merrill Lynch High Yield Master - A market-capitalization weighted index that tracks the performance of U.S. dollar- denominated, below investment grade corporate debt publicly issued in the U.S. domestic market.

Citigroup 90-Day T-Bill Index - An index that measures the average return of the last three-month U.S. Treasury Bill issues.

Credit Suisse Leveraged Loan Index - Designed to mirror the investable universe of the U.S. dollar denominated leveraged loan market.

CRSP U.S. Large Cap Index - an index comprised of nearly 640 U.S. large cap companies and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 85% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December.

CRSP U.S. Total Market Index - an index comprised of nearly 4,000 constituents across mega, large, small, and micro capitalizations and includes securities traded on NYSE, NYSE Market, NASDAQ, or ARCA, representing nearly 100% of the U.S. investable equity market. The index is reconstituted quarterly after the market close on the third Fridays of March, June, September, and December.

DJ U.S. Completion Total Stock Market Index - A capitalization-weighted index that consists of the stocks in the Dow Jones U.S. Total Stock Market Index less the stocks in the S&P 500 Stock Index.

DJ U.S. Total Stock Market Index - A capitalization-weighted stock index representing all domestic common stocks traded regularly on the organized exchanges. The index is the broadest measure of the aggregate domestic stock market and includes approximately 5,000 stocks.

FTSE 4Good U.S. Select Index - a socially responsible investment (SRI) index of U.S. stocks that excludes companies with certain business activities such as weapons, tobacco, gambling, alcohol, nuclear power, and adult entertainment.

FTSE All-World ex-U.S. Index - A capitalization-weighted stock index representing 46 developed market countries and emerging market countries excluding the U.S.

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FTSE EPRA NAREIT Global ex-U.S. Index - Designed to represent general trends in eligible real estate equities worldwide. Relevant real estate activities are defined as the ownership, disposure and development of income-producing real estate.

FTSE Global All Cap ex U.S. Index - a market-capitalization weighted index representing the performance of roughly 5350 large, mid and small cap companies in 46 Developed and Emerging markets worldwide, excluding the USA.

FTSE Global Core Infrastructure Index - Represents the performance of infrastructure and infrastructure-related securities companies in a set of industries that FTSE defines as being involved in infrastructure. The series is based on the FTSE Global Equity Index Series and both developed and emerging markets are included.

FTSE NAREIT U.S. Equity REITS - Free float adjusted, market capitalization weighted index of U.S. based equity real estate investment trusts (REITs).

Goldman Sachs Commodity Index - A composite index of commodity sector returns which represents a broadly diversified, unleveraged, long-only position in commodity futures.

HFRI Fund-of-Fund Index - This index is equal-weighted including 800 constituents. It includes both domestic and offshore accounts and is valued in U.S. dollars. Only fund-of-fund products are included in the index that have at least $50 M under managements and have been actively trading for at least one year. All funds report net monthly returns.

HFRI Fund Weighted Composite Index - The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFRDatabase. Constituent funds report monthly net of all fees performance in U.S. Dollar and have a minimum of $50 M under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

Hueler Stable Value Index - The Hueler Analytics Stable Value Pooled Fund Comparative Universe represents investment strategies of $96 billion in stable value assets, across 24 pooled funds, invested in contracts universe across a universe of 16 general account issuers and 14 synthetic wrap providers. The allocation of pooled fund assets is dominated by synthetic contracts issued by insurance companies and banks.

iMoneyNet All Taxable Money Funds Index - An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets.

iMoneyNet Money Fund Average - An index made up of the entire universe of money market mutual funds. The index currently represents over 1,300 funds, or approximately 99 percent of all money fund assets.

J.P. Morgan EMBI Global Diversified - Comprised of dollar-denominated Brady bonds, traded loans and Eurobonds issued by emerging market sovereign and quasi-sovereign entities. The Diversified version limits the weights of the index countries by only including a specified portion of those countries' eligible current face amounts of debt outstanding, providing for a more even distribution of weights within the countries in the index.

MSCI All Country World ex-U.S. Index - A capitalization-weighted index of stocks representing 44 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America. Index consists of 23 developed and 21 emerging countries, but excludes the U.S.

MSCI All Country World ex-U.S. Index IMI- A capitalization-weighted index of large, mid and small cap stocks representing 22 developed (excluding the United States) and 24 emerging market countries. The index is the broadest measure of the aggregate non-U.S. stock market, covering approximately 99% of the global equity investment opportunity set outside of the United States.

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MSCI All Country World ex-U.S. Small Cap Index - Covers all investable small cap securities with a market capitalization below that of the companies in the MSCI Standard Indices (excluding U.S.), and target approximately 14% of each market’s free-float adjusted market capitalization.

MSCI All Country World Index - A capitalization-weighted index of stocks representing 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America.

MSCI All Country World Index IMI - A capitalization-weighted index of large, mid and small cap stocks representing 23 developed and 24 emerging market countries. The index is the broadest measure of the aggregate global stock market, covering approximately 99% of the global equity investment opportunity set.

MSCI EAFE Growth Index - A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the growth-oriented companies.

MSCI EAFE Index - A capitalization-weighted index of stocks representing 22 developed countries in Europe, Australia, Asia, and the Far East.

MSCI EAFE Small Cap Index - A capitalization-weighted index of small cap stocks representing 23 developed country markets in Europe, Australia, Asia, and the Far East.

MSCI EAFE Value Index - A capitalization-weighted index of 21 stock markets in Europe, Australia, Asia and the Far East designed to capture the value-oriented companies.

MSCI Emerging Markets Index - A capitalization-weighted index of stocks representing 22 emerging country markets.

MSCI Emerging Markets Value Index - A capitalization-weighted index considered representative of value stocks across 46 stock markets in Europe, Australia, the Far East, the Middle East, Latin America and North America.

MSCI U.S. Broad Market Index - A capitalization-weighted stock index that aggregates the MSCI U.S. Large Cap 300, Mid Cap 450, Small Cap 1,750 and Micro Cap Indices. This index represents approximately 99.5% of the capitalization of the U.S. Equity market and includes approximately 3,562 companies.

MSCI U.S. REIT Index - A broad index that fairly represents the equity REIT opportunity set with proper investability screens to ensure that the index is investable and replicable. The index represents approximately 85% of the U.S. REIT universe.

MSCI World Index - A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, representing 24 developed market country indices.

NCREIF Property Index - A capitalization-weighted index of privately owned investment grade income-producing properties representing approximately $269 billion in assets.

NFI ODCE Index - A capitalization weighted index comprised of open-end, Core funds investing in commercial real estate properties. The funds that constitute the index are subject to certain geographic and property type diversification requirements as well as leverage restrictions. The index reflects the impact of leverage on investment results. The returns shown in this report are net of management fees of the respective funds included in the index.

Rolling 3-year Constant Maturity Treasury Index - An index published by the Federal Reserve Board based on the monthly average yield of a range of Treasury securities, all adjusted to the equivalent of a three-year maturity.

Russell 1000 Growth Index - An index that measures the performance of those Russell 1000 companies with higher price-to- book ratios and higher I/B/E/S growth forecasts.

Russell 1000 Index - A capitalization-weighted index of the 1,000 largest publicly traded U.S. stocks by capitalization.

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Russell 1000 Value Index - An index that measures the performance of those stocks included in the Russell 1000 Index with lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.

Russell 2000 Growth Index - A capitalization-weighted index of those stocks in the Russell 2000 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.

Russell 2000 Index - A capitalization-weighted index of the smallest 2,000 stocks in the Russell 3000 Index. The index excludes the largest- and smallest-capitalization issues in the domestic stock market.


Russell 2500 Growth Index - A capitalization-weighted index representing those companies within the Russell 2500 Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.

Russell 2500 Index - The Index is constructed by first identifying the 3,000 largest-capitalization U.S. stocks and ranking them by market capitalizations, choosing the bottom 2,500 names on the list.


Russell 3000 Growth Index - A capitalization-weighted index consisting of those Russell 3000 Index stocks that have higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.

Russell 3000 Index - A capitalization-weighted index consisting of the 3,000 largest publicly traded U.S. stocks by capitalization. This index is a broad measure of the performance of the aggregate domestic equity market.

Russell 3000 Value Index - A capitalization-weighted index consisting of those Russell 3000 Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.

Russell Mid Cap Growth Index - A capitalization-weighted index representing those stocks in the Russell MidCap Index with higher price-to-book ratios and higher I/B/E/S earnings growth forecasts.

Russell Mid Cap Index - A capitalization-weighted index of the 800 smallest stocks in the Russell 1000 Index. This index is a broad measure of mid-capitalization stocks.

Russell Mid Cap Value Index - A capitalization-weighted index consisting of those Russell MidCap Index stocks that have lower price-to-book ratios and lower I/B/E/S earnings growth forecasts.

S&P 500 Index - A capitalization-weighted index representing stocks chosen by Standard & Poor's, Inc. for their size, liquidity, stability and industry group representation. The companies in the S&P 500 Index are generally among the largest in their industries.

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S&P Completion Index -The S&P Completion Index is a sub-index of the S&P Total Market Index, including all stocks eligible for the S&P TMI and excluding all current constituents of the S&P 500. The index covers approximately 4,000 constituents, offering investors broad exposure to mid, small, and micro cap companies.

S&P Leverage Loan Index - A daily total return index that uses LSTA/LPC Mark-to-Market Pricing to calculate market value change.

S&P MidCap 400 Index - A market-capitalization-weighted index of stocks in all major industries in the mid-range of the U.S. stock market.

Wilshire REIT - A measure of the types of U.S. real estate securities that represent the ownership and operation of commercial or residential real estate. To be included in the index, a company must have a market capitalization of $200 M and have at least 75% of the total revenue derived from the ownership and operation of the real estate assets.

Indices cannot be invested in directly. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect our fees or expenses.

Past performance is no guarantee of future results.

Please feel free to contact us at [email protected] for more index information.

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· The rates of return contained in this report are shown on an after-fees basis unless otherwise noted. They are geometric and time-weighted.Returns for periods longer than one year are annualized.

· Universe percentiles are based upon an ordering system in which 1 is the best ranking and 100 is the worst ranking.

· Due to rounding throughout the report, percentage totals displayed may not sum to 100%. Additionally, individual fund totals in dollar termsmay not sum to the plan total.

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Notes

As of June 30, 2020

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Past performance is not necessarily indicative of future results.

Unless otherwise noted, performance returns presented reflect the respective fund’s performance as indicated. Returns may be presented on a before-fees basis (gross) or after-fees basis (net). After-fee performance is net of each respective sub-advisors’ investment management fees and include the reinvestment of dividends and interest as indicated onthe notes page within this report or on the asset allocation and performance summary pages. Actual returns may be reduced by Aon Investments’ investment advisory fees or othertrust payable expenses you may incur as a client. Aon Investments’ advisory fees are described in Form ADV Part 2A. Portfolio performance, characteristics and volatility also maydiffer from the benchmark(s) shown.

The information contained herein is confidential and proprietary and provided for informational purposes only. It is not complete and does not contain certain material informationabout making investments in securities including important disclosures and risk factors. All securities transactions involve substantial risk of loss. Under no circumstances does theinformation in this report represent a recommendation to buy or sell stocks, limited partnership interests, or other investment instruments.

The data contained in these reports is compiled from statements provided by custodian(s), record-keeper(s), and/or other third-party data provider(s). This document is not intendedto provide, and shall not be relied upon for, accounting and legal or tax advice. Aon Investments has not conducted additional audits and cannot warrant its accuracy orcompleteness. We urge you to carefully review all custodial statements and notify Aon Investments with any issues or questions you may have with respect to investmentperformance or any other matter set forth herein.

The mutual fund information found in this report is provided by Thomson Reuters Lipper and Aon Investments cannot warrant its accuracy or timeliness. Thomson Reuters LipperGlobal Data Feed provides comprehensive coverage of mutual fund information directly to Investment Metrics, Aon Investments’ performance reporting vendor, via the PARisperformance reporting platform. Thomson Reuters Lipper is the data provider chosen by Investment Metrics, and as such, Aon Investments has no direct relationship with ThomsonReuters Lipper.

Refer to Hedge Fund Research, Inc. www.hedgefundresearch.com for information on HFR indices.

FTSE International Limited (“FTSE”) © FTSE 2017. “FTSE®” and “FTSE4Good®” are trademarks of the London Stock Exchange Group companies and are used by FTSEInternational Limited under license. The FTSE indices are calculated by FTSE International Limited in conjunction with Indonesia Stock Exchange, Bursa Malaysia Berhad, ThePhilippine Stock Exchange, Inc., Singapore Exchange Securities Trading Limited and the Stock Exchange of Thailand (the "Exchanges"). All intellectual property rights in theFTSE/ASEAN Index vest in FTSE and the Exchanges. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings orunderlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.

Aon Investments USA Inc. (“Aon Investments”) is a federally registered investment advisor with the U.S. Securities and Exchange Commission (“SEC”). Aon Investments is alsoregistered with the Commodity Futures Trade Commission as a commodity pool operator and a commodity trading advisor, and is a member of the National Futures Association.The Aon Investments ADV Form Part 2A disclosure statement is available upon written request to:

Aon Investments USA Inc.200 East Randolph StreetSuite 700Chicago, IL 60601ATTN: Aon Investments Compliance Officer

Disclaimer

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