SITFO PORTFOLIO ANALYTICS

1st Quarter 2018

David D Center CFASenior Vice President

SITFOATTRIBUTIONANALYSIS

BACKWARD-LOOKING

APPROVED FOR CLIENT USE3copy2018 Fund Evaluation Group LLC

ATTRIBUTION ANALYSIS

Numbers may not add up exactly due to roundingLarge CapMid Cap combined which may change the Target Weighted Benchmark return slightly from what is shown on the reportInteraction Effect Positive for (Overweight + Outperformance) and (Underweight + Underperformance)

Negative for (Overweight + Underperformance) and (Underweight + Outperformance)

DECEMBER 31 2017 ndash MARCH 31 2018 12312017 12312017 3312018

Target Actual Actual Portfolio Benchmark Asset Manager Interaction Total ActiveAsset Class Weight Weight Weight Return Return Allocation Selection Effect ReturnUS Large Cap 75 103 98 15 -07 00 02 01 02US Smal l Cap 75 66 68 -09 -01 00 -01 00 -01International Developed 75 107 100 -11 -17 00 00 00 00Emerging Markets 75 107 99 -08 13 00 -02 -01 -02Private Equity 70 11 14 -25 00 00 -02 01 -01Publ ic Real Assets 40 42 48 -94 -111 00 01 00 00TIPS 30 28 28 -06 -08 00 00 00 00Private Real Es tate 90 97 93 14 17 00 00 00 00Private Natura l Resources 40 06 08 02 00 00 00 00 00Credit 90 136 92 -07 -10 -01 00 00 00Securi ti zed - HFRI RV FI AB 40 20 24 31 22 -01 00 00 00Securi ti zed - BBG Securi ti zed 40 62 66 19 -12 00 01 01 02Non-US Debt 50 44 61 53 43 00 00 00 00Private Debt 90 24 37 03 00 00 00 00 00Income - Other 00 27 27 12 00 00 00 00 00Long US Treasuries 70 24 26 -47 -34 01 -01 01 01CTA 50 68 67 -05 -16 00 01 00 01Cash 00 25 45 02 00 00 00 00 00

Total -01 01 03 03

Target Weighted Benchmark = -05Active Asset Allocation = -01

Manager Selection = 01 03Interaction Effect = 03Portfolio Return = 00

Total Active Return

Custom Date

AssetAllocationUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal-19699999999999999E-40-42900000000000002E-447699999999999999E-4-30800000000000001E-4-27300000000000002E-4-10000000000000001E-5137E-4-18100000000000001E-4-74600000000000003E-4-51699999999999999E-481000000000000004E-5-292E-4-11400000000000001E-413300000000000001E-41256E-3-22499999999999999E-4204E-4-10040000000000006E-3ManagerSelectionUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal1634E-3-59199999999999997E-446999999999999999E-4-1606E-3-17279999999999999E-372400000000000003E-468999999999999997E-5-29300000000000002E-462000000000000003E-522499999999999999E-432600000000000001E-411999999999999999E-349399999999999997E-4222E-40-90200000000000002E-456300000000000002E-4086799999999999974E-4InteractionEffectUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal638E-464999999999999994E-5205E-4-65499999999999998E-413990000000000001E-390000000000000002E-6-60000000000000002E-6-23E-5-53000000000000001E-558E-5-14899999999999999E-474700000000000005E-4-62000000000000003E-5-15699999999999999E-433E-461499999999999999E-418000000000000001E-471000000000000005E-53212E-3

APPROVED FOR CLIENT USE4copy2018 Fund Evaluation Group LLC

ATTRIBUTION ANALYSIS

Numbers may not add up exactly due to roundingLarge CapMid Cap combined which may change the Target Weighted Benchmark return slightly from what is shown on the reportInteraction Effect Positive for (Overweight + Outperformance) and (Underweight + Underperformance)

Negative for (Overweight + Underperformance) and (Underweight + Outperformance)

MARCH 31 2017 ndash MARCH 31 2018 3312017 3312017 3312018

Target Actual Actual Portfolio Benchmark Asset Manager Interaction Total ActiveAsset Class Weight Weight Weight Return Return Allocation Selection Effect ReturnUS Large Cap 75 172 98 174 140 02 02 00 04US Smal l Cap 75 56 68 96 118 -01 -02 00 -02International Developed 75 174 100 135 146 03 -01 -02 00Emerging Markets 75 20 99 178 248 03 -05 -04 -06Private Equity 70 04 14 47 167 -05 -08 07 -06Publ ic Real Assets 40 50 48 -181 -201 -02 01 00 -01TIPS 30 19 28 09 09 00 00 00 00Private Real Es tate 90 110 93 66 71 00 00 00 -01Private Natura l Resources 40 03 08 -65 45 01 -05 04 01Credit 90 208 92 18 35 -05 -02 -02 -08Securi ti zed - HFRI RV FI AB 40 14 24 98 72 00 01 -01 01Securi ti zed - BBG Securi ti zed 40 43 66 48 08 -01 02 01 01Non-US Debt 50 00 61 99 137 -01 -02 02 -01Private Debt 90 15 37 74 90 00 -02 01 -01Income - Other 00 17 27 47 00 -01 00 01 00Long US Treasuries 70 23 26 63 39 02 02 -01 03CTA 50 40 67 07 01 -01 00 00 -01Cash 00 33 45 08 00 -02 00 00 -02

Total -08 -17 08 -17

Target Weighted Benchmark = 84Active Asset Allocation = -08

Manager Selection = -17 -17Interaction Effect = 08Portfolio Return = 68

Total Active Return

Custom Date

AssetAllocationUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal17520000000000001E-3-74299999999999995E-42826E-327720000000000002E-3-51110000000000001E-3-16080000000000001E-346000000000000001E-4-31500000000000001E-414400000000000001E-3-47699999999999999E-342200000000000001E-4-1194E-3-14040000000000001E-3-30800000000000001E-4-14710000000000001E-31964E-3-114E-3-20439999999999998E-3-84720000000000004E-3ManagerSelectionUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal24599999999999999E-3-1596E-3-776E-4-48019999999999998E-3-83809999999999996E-310189999999999999E-3-21999999999999999E-5-437E-4-48079999999999998E-3-1588E-31026E-316739999999999999E-3-18320000000000001E-3-15499999999999999E-301921E-342700000000000002E-40-17264999999999999E-2InteractionEffectUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal27099999999999997E-436600000000000001E-4-1627E-3-39160000000000002E-372649999999999998E-3-34E-5-99999999999999995E-7-12799999999999999E-442519999999999997E-3-1905E-3-58699999999999996E-498299999999999993E-42098E-31266E-3977E-4-1276E-319599999999999999E-422599999999999999E-484260000000000012E-3

SITFO1-YEAR RISKPROJECTION

FORWARD-LOOKING

Confidential ndash Not for Redistribution6copy2018 Fund Evaluation Group LLC

676102

170

51

Equities Fixed Income Real Assets Diversifying Strategies

371

312

150

167

Equities Fixed Income Real Assets Diversifying Strategies

METRIC CONTRIBUTION TO RISK bull The component of a portfoliorsquos standard

deviation attributable to an asset classbull The sum of the components equals the

portfoliorsquos standard deviationbull The portfolio must have a direct exposure

to have risk exposure

USES OF CONTRIBUTION TO RISK bull Understand the sources of portfolio riskbull Ensure the predominant risks are intended

risksbull Adjust risks to align with the best return

opportunitiesbull Identify areas where hedging may be

appropriate

Equities comprise 371 of assets in this portfolio but account for 676 of the risk

Source Fund Evaluation Group LLC

ASSET ALLOCATION

RISK CONTRIBUTION

RISK MEASUREMENT AND DECOMPOSITION

Confidential ndash Not for Redistribution7copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 49 045 009LCMC VALUE 49 046 009SC GROWTH 34 051 015SC VALUE 34 041 012INTL LC GROWTH 50 069 014INTL LC VALUE 50 066 013INTL SC GROWTH 00 000 015INTL SC VALUE 00 000 015EM LC GROWTH 49 072 015EM LC VALUE 49 071 014HEDGED EQUITY 00 000 008PE - BUYOUT 03 002 008PE - VENTURE 04 003 007CORE FIXED INCOME 128 011 001TIPS 28 003 001EM FIXED INCOME 40 017 004

CREDIT HIGH YIELD 71 039 005PUBLIC REAL ESTATE 16 022 013PRIVATE REAL ESTATE 78 055 007COMMODITIES 00 000 005MLPs 48 037 008PRIVATE NR 08 003 004DS EVENT DRIVEN 19 011 006DS RELATIVE VALUE 60 017 003DS MACRO 88 007 001

CASH CASH 45 000 000686

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

PORTFOLIO RISK DECOMPOSITION BY ASSET CLASS

PORTFOLIO

Source Fund Evaluation Group LLC

bull To maximize risk-adjusted returns the return expectations should be roughly proportional to MCR consider adding to (decreasing) positions with low (high) MCR and strong (weak) return expectations

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies037145000000000006031191999999999998015016653000000000001

EquitiesFixed IncomeReal AssetsDiversifying Strategies06764536389336729401019855866125049701704299195618806451130854891941538E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

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• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		49		045		009			66			US LCG		491		0092		0451		658
			LCMC VALUE		49		046		009			67			US LCV		491		0093		0458		667
			SC GROWTH		34		051		015			74			US SCG		342		0148		0507		739
			SC VALUE		34		041		012			60			US SCV		342		0120		0409		596
			INTL LC GROWTH		50		069		014			100			Intl LCG		500		0137		0686		1000
			INTL LC VALUE		50		066		013			96			Intl LCV		500		0131		0656		956
			INTL SC GROWTH		00		000		015			00			Intl SCG		000		0154		0000		000
			INTL SC VALUE		00		000		015			00			Intl SCV		000		0146		0000		000
			EM LC GROWTH		49		072		015			104			EM LCG		493		0145		0717		1045
			EM LC VALUE		49		071		014			103			EM LCV		493		0144		0710		1035
			HEDGED EQUITY		00		000		008			00			Eqty Hedge		000		0079		0000		000
			PE - BUYOUT		03		002		008			03			PE Buyout		026		0085		0022		031
			PE - VENTURE		04		003		007			04			PE Venture		038		0067		0025		037
		RATES		CORE FIXED INCOME		128		011		001			16			Rate Sens		1283		0009		0111		161
			TIPS		28		003		001			04			High Yield		714		0055		0390		568
			EM FIXED INCOME		40		017		004			25			FI EM		398		0042		0168		245
		CREDIT		HIGH YIELD		71		039		005			57			TIPS		278		0011		0031		045
		REAL ESTATE		PUBLIC REAL ESTATE		16		022		013			32			Event Driven		189		0060		0112		164
			PRIVATE REAL ESTATE		78		055		007			80			Rel Value		596		0028		0166		243
		NATURAL RESOURCES		COMMODITIES		00		000		005			00			Macro		881		0008		0072		105
			MLPs		48		037		008			54			Priv RE		779		0070		0548		798
			PRIVATE NR		08		003		004			05			REITs		165		0133		0219		318
		VOLATILITY		DS EVENT DRIVEN		19		011		006			16			Priv NatRes		077		0044		0034		049			Equities		371		676
			DS RELATIVE VALUE		60		017		003			24			Commod		000		0047		0000		000			Fixed Income		312		102
			DS MACRO		88		007		001			11			MLPs		480		0077		0370		538			Real Assets		150		170
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		167		51
					686						Total								1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

		33118				ERRORNAME
		ERRORNAME
Composite			142704
																PASTE TABLE IN CELL Q6
					ERRORNAME		ERRORNAME		33118											Portfolio		Target
					Target		Actual		Actual		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active					Weight		Weight		Active		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active
			Asset Class			Weight		Weight		Weight		Return		Return		Allocation		Selection		Effect		Return				Segment		33117		33117		Weight		Return		Return		Allocation		Selection		Effect		Return
		142124		US Large Cap			75		172		ERRORNAME		174		140		02		02		00		04				US Large Cap		1717		750		967		1740		1398		018		025		003		045
		142125		US Small Cap			75		56		ERRORNAME		96		118		-01		-02		00		-02				US Small Cap		562		750		-188		964		1179		-007		-016		004		-020
		142128		International Developed			75		174		ERRORNAME		135		146		03		-01		-02		00				International Developed		1738		750		988		1355		1460		028		-008		-016		004
		142751		Emerging Markets			75		20		ERRORNAME		178		248		03		-05		-04		-06				Emerging Markets		198		750		-552		1778		2476		028		-048		-039		-059
		142703		Private Equity			70		04		ERRORNAME		47		167		-05		-08		07		-06				Private Equity		036		700		-664		469		1673		-051		-084		073		-062
		142693		Public Real Assets			40		50		ERRORNAME		-181		-201		-02		01		-00		-01				Public Real Assets		502		400		102		-1813		-2007		-016		010		-000		-006
		143395		TIPS			30		19		ERRORNAME		09		09		00		-00		-00		00				TIPS		188		300		-112		086		092		005		-000		-000		004
		142694		Private Real Estate			90		110		ERRORNAME		66		71		-00		-00		-00		-01				Private Real Estate		1103		900		203		665		713		-003		-004		-001		-009
		142856		Private Natural Resources			40		03		ERRORNAME		-65		45		01		-05		04		01				Private Natural Resources		031		400		-369		-654		455		014		-048		043		009
		142174		Credit			90		208		ERRORNAME		18		35		-05		-02		-02		-08				Credit		2077		900		1177		178		346		-048		-016		-019		-083
		147895		Securitized - HFRI RV FI AB			40		14		ERRORNAME		98		72		00		01		-01		01				Non-US Debt		000		500		-500		994		1371		-014		-018		021		-011
		147896		Securitized - BBG Securitized			40		43		ERRORNAME		48		08		-01		02		01		01				Private Debt		148		900		-752		742		904		-003		-016		013		-006
		146146		Non-US Debt			50		00		ERRORNAME		99		137		-01		-02		02		-01				Income - Other		175		000		175		465		000		-015		000		010		-005
		142702		Private Debt			90		15		ERRORNAME		74		90		-00		-02		01		-01				Long US Treasuries		229		700		-471		626		385		020		019		-013		026
		142173		Income - Other			00		17		ERRORNAME		47		00		-01		00		01		-00				CTA		403		500		-097		074		011		-011		004		002		-005
		142697		Long US Treasuries			70		23		ERRORNAME		63		39		02		02		-01		03				Cash		329		000		329		077		000		-020		000		002		-018
		142699		CTA			50		40		ERRORNAME		07		01		-01		00		00		-01				Securitized - HFRI RV FI AB		137		400		-263		978		720		004		010		-006		009
		142700		Cash			00		33		ERRORNAME		08		00		-02		00		00		-02				Securitized - BBG Securitized		425		400		025		481		079		-012		017		010		015
			Total								-08		-17		08		-17										-085		-173		084		-173
								Target Weighted Benchmark =		84								Portfolio Return		675
								Active Asset Allocation =		-08								Benchmark Return		836
								Manager Selection =		-17			Total Active Return			-17				Active Return		-161
								Interaction Effect =		08
								Portfolio Return =		68								Asset Allocation		-085
																Manager Selection		-173
																Interaction Effect		084
																Total Active Return		-173
142124		ERRORNAME		ERRORNAME		ERRORNAME
142125		ERRORNAME		ERRORNAME		ERRORNAME
142128		ERRORNAME		ERRORNAME		ERRORNAME
142751		ERRORNAME		ERRORNAME		ERRORNAME
142703		ERRORNAME		ERRORNAME		ERRORNAME
142693		ERRORNAME		ERRORNAME		ERRORNAME
143395		ERRORNAME		ERRORNAME		ERRORNAME
142694		ERRORNAME		ERRORNAME		ERRORNAME
142856		ERRORNAME		ERRORNAME		ERRORNAME
142174		ERRORNAME		ERRORNAME		ERRORNAME
147895		ERRORNAME		ERRORNAME		ERRORNAME
147896		ERRORNAME		ERRORNAME		ERRORNAME
146146		ERRORNAME		ERRORNAME		ERRORNAME
142702		ERRORNAME		ERRORNAME		ERRORNAME
142173		ERRORNAME		ERRORNAME		ERRORNAME
142697		ERRORNAME		ERRORNAME		ERRORNAME
142699		ERRORNAME		ERRORNAME		ERRORNAME
142700		ERRORNAME		ERRORNAME		ERRORNAME
			ERRORNAME			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME

		33118				ERRORNAME
		ERRORNAME
Composite			142704
																PASTE TABLE IN CELL Q6
					ERRORNAME		ERRORNAME		33118											Portfolio		Target
					Target		Actual		Actual		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active					Weight		Weight		Active		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active
			Asset Class			Weight		Weight		Weight		Return		Return		Allocation		Selection		Effect		Return				Segment		123117		123117		Weight		Return		Return		Allocation		Selection		Effect		Return
		142124		US Large Cap			75		103		ERRORNAME		15		-07		-00		02		01		02				US Large Cap		1027		750		277		147		-069		-002		016		006		021
		142125		US Small Cap			75		66		ERRORNAME		-09		-01		00		-01		00		-01				US Small Cap		657		750		-093		-087		-008		000		-006		001		-005
		142128		International Developed			75		107		ERRORNAME		-11		-17		-00		00		00		00				International Developed		1073		750		323		-106		-170		-004		005		002		002
		142751		Emerging Markets			75		107		ERRORNAME		-08		13		00		-02		-01		-02				Emerging Markets		1070		750		320		-077		128		005		-016		-007		-018
		142703		Private Equity			70		11		ERRORNAME		-25		00		-00		-02		01		-01				Private Equity		114		700		-586		-246		000		-003		-017		014		-006
		142693		Public Real Assets			40		42		ERRORNAME		-94		-111		-00		01		00		00				Public Real Assets		425		400		025		-944		-1112		-003		007		000		005
		143395		TIPS			30		28		ERRORNAME		-06		-08		-00		00		-00		00				TIPS		283		300		-017		-055		-079		-000		001		-000		001
		142694		Private Real Estate			90		97		ERRORNAME		14		17		00		-00		-00		-00				Private Real Estate		968		900		068		139		170		001		-003		-000		-002
		142856		Private Natural Resources			40		06		ERRORNAME		02		00		-00		00		-00		-00				Private Natural Resources		061		400		-339		015		000		-002		001		-001		-002
		142174		Credit			90		136		ERRORNAME		-07		-10		-01		00		00		-00				Credit		1364		900		464		-073		-098		-007		002		001		-005
		147895		Securitized - HFRI RV FI AB			40		20		ERRORNAME		31		22		-01		00		-00		-00				Non-US Debt		442		500		-058		531		428		-003		005		-001		001
		147896		Securitized - BBG Securitized			40		62		ERRORNAME		19		-12		00		01		01		02				Private Debt		244		900		-656		025		000		-001		002		-002		-000
		146146		Non-US Debt			50		44		ERRORNAME		53		43		-00		00		-00		00				Income - Other		275		000		275		121		000		001		000		003		005
		142702		Private Debt			90		24		ERRORNAME		03		00		-00		00		-00		-00				Long US Treasuries		243		700		-457		-472		-336		013		-009		006		010
		142173		Income - Other			00		27		ERRORNAME		12		00		00		00		00		00				CTA		685		500		185		-052		-156		-002		006		002		005
		142697		Long US Treasuries			70		24		ERRORNAME		-47		-34		01		-01		01		01				Cash		253		000		253		023		000		002		000		001		003
		142699		CTA			50		68		ERRORNAME		-05		-16		-00		01		00		01				Securitized - HFRI RV FI AB		201		400		-199		306		223		-005		003		-001		-003
		142700		Cash			00		25		ERRORNAME		02		00		00		00		00		00				Securitized - BBG Securitized		615		400		215		188		-119		001		012		007		020
			Total								-01		01		03		03										-010		009		032		031
								Target Weighted Benchmark =		-05								Portfolio Return		-005
								Active Asset Allocation =		-01								Benchmark Return		-049
								Manager Selection =		01			Total Active Return			03				Active Return		045
								Interaction Effect =		03
								Portfolio Return =		-00								Asset Allocation		-010
																Manager Selection		009
																Interaction Effect		032
																Total Active Return		031
142124		ERRORNAME		ERRORNAME		ERRORNAME
142125		ERRORNAME		ERRORNAME		ERRORNAME
142128		ERRORNAME		ERRORNAME		ERRORNAME
142751		ERRORNAME		ERRORNAME		ERRORNAME
142703		ERRORNAME		ERRORNAME		ERRORNAME
142693		ERRORNAME		ERRORNAME		ERRORNAME
143395		ERRORNAME		ERRORNAME		ERRORNAME
142694		ERRORNAME		ERRORNAME		ERRORNAME
142856		ERRORNAME		ERRORNAME		ERRORNAME
142174		ERRORNAME		ERRORNAME		ERRORNAME
147895		ERRORNAME		ERRORNAME		ERRORNAME
147896		ERRORNAME		ERRORNAME		ERRORNAME
146146		ERRORNAME		ERRORNAME		ERRORNAME
142702		ERRORNAME		ERRORNAME		ERRORNAME
142173		ERRORNAME		ERRORNAME		ERRORNAME
142697		ERRORNAME		ERRORNAME		ERRORNAME
142699		ERRORNAME		ERRORNAME		ERRORNAME
142700		ERRORNAME		ERRORNAME		ERRORNAME
			ERRORNAME			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME

SITFOATTRIBUTIONANALYSIS

BACKWARD-LOOKING

APPROVED FOR CLIENT USE3copy2018 Fund Evaluation Group LLC

ATTRIBUTION ANALYSIS

Numbers may not add up exactly due to roundingLarge CapMid Cap combined which may change the Target Weighted Benchmark return slightly from what is shown on the reportInteraction Effect Positive for (Overweight + Outperformance) and (Underweight + Underperformance)

Negative for (Overweight + Underperformance) and (Underweight + Outperformance)

DECEMBER 31 2017 ndash MARCH 31 2018 12312017 12312017 3312018

Target Actual Actual Portfolio Benchmark Asset Manager Interaction Total ActiveAsset Class Weight Weight Weight Return Return Allocation Selection Effect ReturnUS Large Cap 75 103 98 15 -07 00 02 01 02US Smal l Cap 75 66 68 -09 -01 00 -01 00 -01International Developed 75 107 100 -11 -17 00 00 00 00Emerging Markets 75 107 99 -08 13 00 -02 -01 -02Private Equity 70 11 14 -25 00 00 -02 01 -01Publ ic Real Assets 40 42 48 -94 -111 00 01 00 00TIPS 30 28 28 -06 -08 00 00 00 00Private Real Es tate 90 97 93 14 17 00 00 00 00Private Natura l Resources 40 06 08 02 00 00 00 00 00Credit 90 136 92 -07 -10 -01 00 00 00Securi ti zed - HFRI RV FI AB 40 20 24 31 22 -01 00 00 00Securi ti zed - BBG Securi ti zed 40 62 66 19 -12 00 01 01 02Non-US Debt 50 44 61 53 43 00 00 00 00Private Debt 90 24 37 03 00 00 00 00 00Income - Other 00 27 27 12 00 00 00 00 00Long US Treasuries 70 24 26 -47 -34 01 -01 01 01CTA 50 68 67 -05 -16 00 01 00 01Cash 00 25 45 02 00 00 00 00 00

Total -01 01 03 03

Target Weighted Benchmark = -05Active Asset Allocation = -01

Manager Selection = 01 03Interaction Effect = 03Portfolio Return = 00

Total Active Return

Custom Date

AssetAllocationUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal-19699999999999999E-40-42900000000000002E-447699999999999999E-4-30800000000000001E-4-27300000000000002E-4-10000000000000001E-5137E-4-18100000000000001E-4-74600000000000003E-4-51699999999999999E-481000000000000004E-5-292E-4-11400000000000001E-413300000000000001E-41256E-3-22499999999999999E-4204E-4-10040000000000006E-3ManagerSelectionUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal1634E-3-59199999999999997E-446999999999999999E-4-1606E-3-17279999999999999E-372400000000000003E-468999999999999997E-5-29300000000000002E-462000000000000003E-522499999999999999E-432600000000000001E-411999999999999999E-349399999999999997E-4222E-40-90200000000000002E-456300000000000002E-4086799999999999974E-4InteractionEffectUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal638E-464999999999999994E-5205E-4-65499999999999998E-413990000000000001E-390000000000000002E-6-60000000000000002E-6-23E-5-53000000000000001E-558E-5-14899999999999999E-474700000000000005E-4-62000000000000003E-5-15699999999999999E-433E-461499999999999999E-418000000000000001E-471000000000000005E-53212E-3

APPROVED FOR CLIENT USE4copy2018 Fund Evaluation Group LLC

ATTRIBUTION ANALYSIS

Numbers may not add up exactly due to roundingLarge CapMid Cap combined which may change the Target Weighted Benchmark return slightly from what is shown on the reportInteraction Effect Positive for (Overweight + Outperformance) and (Underweight + Underperformance)

Negative for (Overweight + Underperformance) and (Underweight + Outperformance)

MARCH 31 2017 ndash MARCH 31 2018 3312017 3312017 3312018

Target Actual Actual Portfolio Benchmark Asset Manager Interaction Total ActiveAsset Class Weight Weight Weight Return Return Allocation Selection Effect ReturnUS Large Cap 75 172 98 174 140 02 02 00 04US Smal l Cap 75 56 68 96 118 -01 -02 00 -02International Developed 75 174 100 135 146 03 -01 -02 00Emerging Markets 75 20 99 178 248 03 -05 -04 -06Private Equity 70 04 14 47 167 -05 -08 07 -06Publ ic Real Assets 40 50 48 -181 -201 -02 01 00 -01TIPS 30 19 28 09 09 00 00 00 00Private Real Es tate 90 110 93 66 71 00 00 00 -01Private Natura l Resources 40 03 08 -65 45 01 -05 04 01Credit 90 208 92 18 35 -05 -02 -02 -08Securi ti zed - HFRI RV FI AB 40 14 24 98 72 00 01 -01 01Securi ti zed - BBG Securi ti zed 40 43 66 48 08 -01 02 01 01Non-US Debt 50 00 61 99 137 -01 -02 02 -01Private Debt 90 15 37 74 90 00 -02 01 -01Income - Other 00 17 27 47 00 -01 00 01 00Long US Treasuries 70 23 26 63 39 02 02 -01 03CTA 50 40 67 07 01 -01 00 00 -01Cash 00 33 45 08 00 -02 00 00 -02

Total -08 -17 08 -17

Target Weighted Benchmark = 84Active Asset Allocation = -08

Manager Selection = -17 -17Interaction Effect = 08Portfolio Return = 68

Total Active Return

Custom Date

AssetAllocationUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal17520000000000001E-3-74299999999999995E-42826E-327720000000000002E-3-51110000000000001E-3-16080000000000001E-346000000000000001E-4-31500000000000001E-414400000000000001E-3-47699999999999999E-342200000000000001E-4-1194E-3-14040000000000001E-3-30800000000000001E-4-14710000000000001E-31964E-3-114E-3-20439999999999998E-3-84720000000000004E-3ManagerSelectionUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal24599999999999999E-3-1596E-3-776E-4-48019999999999998E-3-83809999999999996E-310189999999999999E-3-21999999999999999E-5-437E-4-48079999999999998E-3-1588E-31026E-316739999999999999E-3-18320000000000001E-3-15499999999999999E-301921E-342700000000000002E-40-17264999999999999E-2InteractionEffectUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal27099999999999997E-436600000000000001E-4-1627E-3-39160000000000002E-372649999999999998E-3-34E-5-99999999999999995E-7-12799999999999999E-442519999999999997E-3-1905E-3-58699999999999996E-498299999999999993E-42098E-31266E-3977E-4-1276E-319599999999999999E-422599999999999999E-484260000000000012E-3

SITFO1-YEAR RISKPROJECTION

FORWARD-LOOKING

Confidential ndash Not for Redistribution6copy2018 Fund Evaluation Group LLC

676102

170

51

Equities Fixed Income Real Assets Diversifying Strategies

371

312

150

167

Equities Fixed Income Real Assets Diversifying Strategies

METRIC CONTRIBUTION TO RISK bull The component of a portfoliorsquos standard

deviation attributable to an asset classbull The sum of the components equals the

portfoliorsquos standard deviationbull The portfolio must have a direct exposure

to have risk exposure

USES OF CONTRIBUTION TO RISK bull Understand the sources of portfolio riskbull Ensure the predominant risks are intended

risksbull Adjust risks to align with the best return

opportunitiesbull Identify areas where hedging may be

appropriate

Equities comprise 371 of assets in this portfolio but account for 676 of the risk

Source Fund Evaluation Group LLC

ASSET ALLOCATION

RISK CONTRIBUTION

RISK MEASUREMENT AND DECOMPOSITION

Confidential ndash Not for Redistribution7copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 49 045 009LCMC VALUE 49 046 009SC GROWTH 34 051 015SC VALUE 34 041 012INTL LC GROWTH 50 069 014INTL LC VALUE 50 066 013INTL SC GROWTH 00 000 015INTL SC VALUE 00 000 015EM LC GROWTH 49 072 015EM LC VALUE 49 071 014HEDGED EQUITY 00 000 008PE - BUYOUT 03 002 008PE - VENTURE 04 003 007CORE FIXED INCOME 128 011 001TIPS 28 003 001EM FIXED INCOME 40 017 004

CREDIT HIGH YIELD 71 039 005PUBLIC REAL ESTATE 16 022 013PRIVATE REAL ESTATE 78 055 007COMMODITIES 00 000 005MLPs 48 037 008PRIVATE NR 08 003 004DS EVENT DRIVEN 19 011 006DS RELATIVE VALUE 60 017 003DS MACRO 88 007 001

CASH CASH 45 000 000686

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

PORTFOLIO RISK DECOMPOSITION BY ASSET CLASS

PORTFOLIO

Source Fund Evaluation Group LLC

bull To maximize risk-adjusted returns the return expectations should be roughly proportional to MCR consider adding to (decreasing) positions with low (high) MCR and strong (weak) return expectations

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies037145000000000006031191999999999998015016653000000000001

EquitiesFixed IncomeReal AssetsDiversifying Strategies06764536389336729401019855866125049701704299195618806451130854891941538E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		49		045		009			66			US LCG		491		0092		0451		658
			LCMC VALUE		49		046		009			67			US LCV		491		0093		0458		667
			SC GROWTH		34		051		015			74			US SCG		342		0148		0507		739
			SC VALUE		34		041		012			60			US SCV		342		0120		0409		596
			INTL LC GROWTH		50		069		014			100			Intl LCG		500		0137		0686		1000
			INTL LC VALUE		50		066		013			96			Intl LCV		500		0131		0656		956
			INTL SC GROWTH		00		000		015			00			Intl SCG		000		0154		0000		000
			INTL SC VALUE		00		000		015			00			Intl SCV		000		0146		0000		000
			EM LC GROWTH		49		072		015			104			EM LCG		493		0145		0717		1045
			EM LC VALUE		49		071		014			103			EM LCV		493		0144		0710		1035
			HEDGED EQUITY		00		000		008			00			Eqty Hedge		000		0079		0000		000
			PE - BUYOUT		03		002		008			03			PE Buyout		026		0085		0022		031
			PE - VENTURE		04		003		007			04			PE Venture		038		0067		0025		037
		RATES		CORE FIXED INCOME		128		011		001			16			Rate Sens		1283		0009		0111		161
			TIPS		28		003		001			04			High Yield		714		0055		0390		568
			EM FIXED INCOME		40		017		004			25			FI EM		398		0042		0168		245
		CREDIT		HIGH YIELD		71		039		005			57			TIPS		278		0011		0031		045
		REAL ESTATE		PUBLIC REAL ESTATE		16		022		013			32			Event Driven		189		0060		0112		164
			PRIVATE REAL ESTATE		78		055		007			80			Rel Value		596		0028		0166		243
		NATURAL RESOURCES		COMMODITIES		00		000		005			00			Macro		881		0008		0072		105
			MLPs		48		037		008			54			Priv RE		779		0070		0548		798
			PRIVATE NR		08		003		004			05			REITs		165		0133		0219		318
		VOLATILITY		DS EVENT DRIVEN		19		011		006			16			Priv NatRes		077		0044		0034		049			Equities		371		676
			DS RELATIVE VALUE		60		017		003			24			Commod		000		0047		0000		000			Fixed Income		312		102
			DS MACRO		88		007		001			11			MLPs		480		0077		0370		538			Real Assets		150		170
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		167		51
					686						Total								1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

		33118				ERRORNAME
		ERRORNAME
Composite			142704
																PASTE TABLE IN CELL Q6
					ERRORNAME		ERRORNAME		33118											Portfolio		Target
					Target		Actual		Actual		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active					Weight		Weight		Active		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active
			Asset Class			Weight		Weight		Weight		Return		Return		Allocation		Selection		Effect		Return				Segment		33117		33117		Weight		Return		Return		Allocation		Selection		Effect		Return
		142124		US Large Cap			75		172		ERRORNAME		174		140		02		02		00		04				US Large Cap		1717		750		967		1740		1398		018		025		003		045
		142125		US Small Cap			75		56		ERRORNAME		96		118		-01		-02		00		-02				US Small Cap		562		750		-188		964		1179		-007		-016		004		-020
		142128		International Developed			75		174		ERRORNAME		135		146		03		-01		-02		00				International Developed		1738		750		988		1355		1460		028		-008		-016		004
		142751		Emerging Markets			75		20		ERRORNAME		178		248		03		-05		-04		-06				Emerging Markets		198		750		-552		1778		2476		028		-048		-039		-059
		142703		Private Equity			70		04		ERRORNAME		47		167		-05		-08		07		-06				Private Equity		036		700		-664		469		1673		-051		-084		073		-062
		142693		Public Real Assets			40		50		ERRORNAME		-181		-201		-02		01		-00		-01				Public Real Assets		502		400		102		-1813		-2007		-016		010		-000		-006
		143395		TIPS			30		19		ERRORNAME		09		09		00		-00		-00		00				TIPS		188		300		-112		086		092		005		-000		-000		004
		142694		Private Real Estate			90		110		ERRORNAME		66		71		-00		-00		-00		-01				Private Real Estate		1103		900		203		665		713		-003		-004		-001		-009
		142856		Private Natural Resources			40		03		ERRORNAME		-65		45		01		-05		04		01				Private Natural Resources		031		400		-369		-654		455		014		-048		043		009
		142174		Credit			90		208		ERRORNAME		18		35		-05		-02		-02		-08				Credit		2077		900		1177		178		346		-048		-016		-019		-083
		147895		Securitized - HFRI RV FI AB			40		14		ERRORNAME		98		72		00		01		-01		01				Non-US Debt		000		500		-500		994		1371		-014		-018		021		-011
		147896		Securitized - BBG Securitized			40		43		ERRORNAME		48		08		-01		02		01		01				Private Debt		148		900		-752		742		904		-003		-016		013		-006
		146146		Non-US Debt			50		00		ERRORNAME		99		137		-01		-02		02		-01				Income - Other		175		000		175		465		000		-015		000		010		-005
		142702		Private Debt			90		15		ERRORNAME		74		90		-00		-02		01		-01				Long US Treasuries		229		700		-471		626		385		020		019		-013		026
		142173		Income - Other			00		17		ERRORNAME		47		00		-01		00		01		-00				CTA		403		500		-097		074		011		-011		004		002		-005
		142697		Long US Treasuries			70		23		ERRORNAME		63		39		02		02		-01		03				Cash		329		000		329		077		000		-020		000		002		-018
		142699		CTA			50		40		ERRORNAME		07		01		-01		00		00		-01				Securitized - HFRI RV FI AB		137		400		-263		978		720		004		010		-006		009
		142700		Cash			00		33		ERRORNAME		08		00		-02		00		00		-02				Securitized - BBG Securitized		425		400		025		481		079		-012		017		010		015
			Total								-08		-17		08		-17										-085		-173		084		-173
								Target Weighted Benchmark =		84								Portfolio Return		675
								Active Asset Allocation =		-08								Benchmark Return		836
								Manager Selection =		-17			Total Active Return			-17				Active Return		-161
								Interaction Effect =		08
								Portfolio Return =		68								Asset Allocation		-085
																Manager Selection		-173
																Interaction Effect		084
																Total Active Return		-173
142124		ERRORNAME		ERRORNAME		ERRORNAME
142125		ERRORNAME		ERRORNAME		ERRORNAME
142128		ERRORNAME		ERRORNAME		ERRORNAME
142751		ERRORNAME		ERRORNAME		ERRORNAME
142703		ERRORNAME		ERRORNAME		ERRORNAME
142693		ERRORNAME		ERRORNAME		ERRORNAME
143395		ERRORNAME		ERRORNAME		ERRORNAME
142694		ERRORNAME		ERRORNAME		ERRORNAME
142856		ERRORNAME		ERRORNAME		ERRORNAME
142174		ERRORNAME		ERRORNAME		ERRORNAME
147895		ERRORNAME		ERRORNAME		ERRORNAME
147896		ERRORNAME		ERRORNAME		ERRORNAME
146146		ERRORNAME		ERRORNAME		ERRORNAME
142702		ERRORNAME		ERRORNAME		ERRORNAME
142173		ERRORNAME		ERRORNAME		ERRORNAME
142697		ERRORNAME		ERRORNAME		ERRORNAME
142699		ERRORNAME		ERRORNAME		ERRORNAME
142700		ERRORNAME		ERRORNAME		ERRORNAME
			ERRORNAME			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME

		33118				ERRORNAME
		ERRORNAME
Composite			142704
																PASTE TABLE IN CELL Q6
					ERRORNAME		ERRORNAME		33118											Portfolio		Target
					Target		Actual		Actual		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active					Weight		Weight		Active		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active
			Asset Class			Weight		Weight		Weight		Return		Return		Allocation		Selection		Effect		Return				Segment		123117		123117		Weight		Return		Return		Allocation		Selection		Effect		Return
		142124		US Large Cap			75		103		ERRORNAME		15		-07		-00		02		01		02				US Large Cap		1027		750		277		147		-069		-002		016		006		021
		142125		US Small Cap			75		66		ERRORNAME		-09		-01		00		-01		00		-01				US Small Cap		657		750		-093		-087		-008		000		-006		001		-005
		142128		International Developed			75		107		ERRORNAME		-11		-17		-00		00		00		00				International Developed		1073		750		323		-106		-170		-004		005		002		002
		142751		Emerging Markets			75		107		ERRORNAME		-08		13		00		-02		-01		-02				Emerging Markets		1070		750		320		-077		128		005		-016		-007		-018
		142703		Private Equity			70		11		ERRORNAME		-25		00		-00		-02		01		-01				Private Equity		114		700		-586		-246		000		-003		-017		014		-006
		142693		Public Real Assets			40		42		ERRORNAME		-94		-111		-00		01		00		00				Public Real Assets		425		400		025		-944		-1112		-003		007		000		005
		143395		TIPS			30		28		ERRORNAME		-06		-08		-00		00		-00		00				TIPS		283		300		-017		-055		-079		-000		001		-000		001
		142694		Private Real Estate			90		97		ERRORNAME		14		17		00		-00		-00		-00				Private Real Estate		968		900		068		139		170		001		-003		-000		-002
		142856		Private Natural Resources			40		06		ERRORNAME		02		00		-00		00		-00		-00				Private Natural Resources		061		400		-339		015		000		-002		001		-001		-002
		142174		Credit			90		136		ERRORNAME		-07		-10		-01		00		00		-00				Credit		1364		900		464		-073		-098		-007		002		001		-005
		147895		Securitized - HFRI RV FI AB			40		20		ERRORNAME		31		22		-01		00		-00		-00				Non-US Debt		442		500		-058		531		428		-003		005		-001		001
		147896		Securitized - BBG Securitized			40		62		ERRORNAME		19		-12		00		01		01		02				Private Debt		244		900		-656		025		000		-001		002		-002		-000
		146146		Non-US Debt			50		44		ERRORNAME		53		43		-00		00		-00		00				Income - Other		275		000		275		121		000		001		000		003		005
		142702		Private Debt			90		24		ERRORNAME		03		00		-00		00		-00		-00				Long US Treasuries		243		700		-457		-472		-336		013		-009		006		010
		142173		Income - Other			00		27		ERRORNAME		12		00		00		00		00		00				CTA		685		500		185		-052		-156		-002		006		002		005
		142697		Long US Treasuries			70		24		ERRORNAME		-47		-34		01		-01		01		01				Cash		253		000		253		023		000		002		000		001		003
		142699		CTA			50		68		ERRORNAME		-05		-16		-00		01		00		01				Securitized - HFRI RV FI AB		201		400		-199		306		223		-005		003		-001		-003
		142700		Cash			00		25		ERRORNAME		02		00		00		00		00		00				Securitized - BBG Securitized		615		400		215		188		-119		001		012		007		020
			Total								-01		01		03		03										-010		009		032		031
								Target Weighted Benchmark =		-05								Portfolio Return		-005
								Active Asset Allocation =		-01								Benchmark Return		-049
								Manager Selection =		01			Total Active Return			03				Active Return		045
								Interaction Effect =		03
								Portfolio Return =		-00								Asset Allocation		-010
																Manager Selection		009
																Interaction Effect		032
																Total Active Return		031
142124		ERRORNAME		ERRORNAME		ERRORNAME
142125		ERRORNAME		ERRORNAME		ERRORNAME
142128		ERRORNAME		ERRORNAME		ERRORNAME
142751		ERRORNAME		ERRORNAME		ERRORNAME
142703		ERRORNAME		ERRORNAME		ERRORNAME
142693		ERRORNAME		ERRORNAME		ERRORNAME
143395		ERRORNAME		ERRORNAME		ERRORNAME
142694		ERRORNAME		ERRORNAME		ERRORNAME
142856		ERRORNAME		ERRORNAME		ERRORNAME
142174		ERRORNAME		ERRORNAME		ERRORNAME
147895		ERRORNAME		ERRORNAME		ERRORNAME
147896		ERRORNAME		ERRORNAME		ERRORNAME
146146		ERRORNAME		ERRORNAME		ERRORNAME
142702		ERRORNAME		ERRORNAME		ERRORNAME
142173		ERRORNAME		ERRORNAME		ERRORNAME
142697		ERRORNAME		ERRORNAME		ERRORNAME
142699		ERRORNAME		ERRORNAME		ERRORNAME
142700		ERRORNAME		ERRORNAME		ERRORNAME
			ERRORNAME			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME

APPROVED FOR CLIENT USE3copy2018 Fund Evaluation Group LLC

ATTRIBUTION ANALYSIS

Numbers may not add up exactly due to roundingLarge CapMid Cap combined which may change the Target Weighted Benchmark return slightly from what is shown on the reportInteraction Effect Positive for (Overweight + Outperformance) and (Underweight + Underperformance)

Negative for (Overweight + Underperformance) and (Underweight + Outperformance)

DECEMBER 31 2017 ndash MARCH 31 2018 12312017 12312017 3312018

Target Actual Actual Portfolio Benchmark Asset Manager Interaction Total ActiveAsset Class Weight Weight Weight Return Return Allocation Selection Effect ReturnUS Large Cap 75 103 98 15 -07 00 02 01 02US Smal l Cap 75 66 68 -09 -01 00 -01 00 -01International Developed 75 107 100 -11 -17 00 00 00 00Emerging Markets 75 107 99 -08 13 00 -02 -01 -02Private Equity 70 11 14 -25 00 00 -02 01 -01Publ ic Real Assets 40 42 48 -94 -111 00 01 00 00TIPS 30 28 28 -06 -08 00 00 00 00Private Real Es tate 90 97 93 14 17 00 00 00 00Private Natura l Resources 40 06 08 02 00 00 00 00 00Credit 90 136 92 -07 -10 -01 00 00 00Securi ti zed - HFRI RV FI AB 40 20 24 31 22 -01 00 00 00Securi ti zed - BBG Securi ti zed 40 62 66 19 -12 00 01 01 02Non-US Debt 50 44 61 53 43 00 00 00 00Private Debt 90 24 37 03 00 00 00 00 00Income - Other 00 27 27 12 00 00 00 00 00Long US Treasuries 70 24 26 -47 -34 01 -01 01 01CTA 50 68 67 -05 -16 00 01 00 01Cash 00 25 45 02 00 00 00 00 00

Total -01 01 03 03

Target Weighted Benchmark = -05Active Asset Allocation = -01

Manager Selection = 01 03Interaction Effect = 03Portfolio Return = 00

Total Active Return

Custom Date

AssetAllocationUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal-19699999999999999E-40-42900000000000002E-447699999999999999E-4-30800000000000001E-4-27300000000000002E-4-10000000000000001E-5137E-4-18100000000000001E-4-74600000000000003E-4-51699999999999999E-481000000000000004E-5-292E-4-11400000000000001E-413300000000000001E-41256E-3-22499999999999999E-4204E-4-10040000000000006E-3ManagerSelectionUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal1634E-3-59199999999999997E-446999999999999999E-4-1606E-3-17279999999999999E-372400000000000003E-468999999999999997E-5-29300000000000002E-462000000000000003E-522499999999999999E-432600000000000001E-411999999999999999E-349399999999999997E-4222E-40-90200000000000002E-456300000000000002E-4086799999999999974E-4InteractionEffectUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal638E-464999999999999994E-5205E-4-65499999999999998E-413990000000000001E-390000000000000002E-6-60000000000000002E-6-23E-5-53000000000000001E-558E-5-14899999999999999E-474700000000000005E-4-62000000000000003E-5-15699999999999999E-433E-461499999999999999E-418000000000000001E-471000000000000005E-53212E-3

APPROVED FOR CLIENT USE4copy2018 Fund Evaluation Group LLC

ATTRIBUTION ANALYSIS

Numbers may not add up exactly due to roundingLarge CapMid Cap combined which may change the Target Weighted Benchmark return slightly from what is shown on the reportInteraction Effect Positive for (Overweight + Outperformance) and (Underweight + Underperformance)

Negative for (Overweight + Underperformance) and (Underweight + Outperformance)

MARCH 31 2017 ndash MARCH 31 2018 3312017 3312017 3312018

Target Actual Actual Portfolio Benchmark Asset Manager Interaction Total ActiveAsset Class Weight Weight Weight Return Return Allocation Selection Effect ReturnUS Large Cap 75 172 98 174 140 02 02 00 04US Smal l Cap 75 56 68 96 118 -01 -02 00 -02International Developed 75 174 100 135 146 03 -01 -02 00Emerging Markets 75 20 99 178 248 03 -05 -04 -06Private Equity 70 04 14 47 167 -05 -08 07 -06Publ ic Real Assets 40 50 48 -181 -201 -02 01 00 -01TIPS 30 19 28 09 09 00 00 00 00Private Real Es tate 90 110 93 66 71 00 00 00 -01Private Natura l Resources 40 03 08 -65 45 01 -05 04 01Credit 90 208 92 18 35 -05 -02 -02 -08Securi ti zed - HFRI RV FI AB 40 14 24 98 72 00 01 -01 01Securi ti zed - BBG Securi ti zed 40 43 66 48 08 -01 02 01 01Non-US Debt 50 00 61 99 137 -01 -02 02 -01Private Debt 90 15 37 74 90 00 -02 01 -01Income - Other 00 17 27 47 00 -01 00 01 00Long US Treasuries 70 23 26 63 39 02 02 -01 03CTA 50 40 67 07 01 -01 00 00 -01Cash 00 33 45 08 00 -02 00 00 -02

Total -08 -17 08 -17

Target Weighted Benchmark = 84Active Asset Allocation = -08

Manager Selection = -17 -17Interaction Effect = 08Portfolio Return = 68

Total Active Return

Custom Date

AssetAllocationUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal17520000000000001E-3-74299999999999995E-42826E-327720000000000002E-3-51110000000000001E-3-16080000000000001E-346000000000000001E-4-31500000000000001E-414400000000000001E-3-47699999999999999E-342200000000000001E-4-1194E-3-14040000000000001E-3-30800000000000001E-4-14710000000000001E-31964E-3-114E-3-20439999999999998E-3-84720000000000004E-3ManagerSelectionUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal24599999999999999E-3-1596E-3-776E-4-48019999999999998E-3-83809999999999996E-310189999999999999E-3-21999999999999999E-5-437E-4-48079999999999998E-3-1588E-31026E-316739999999999999E-3-18320000000000001E-3-15499999999999999E-301921E-342700000000000002E-40-17264999999999999E-2InteractionEffectUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal27099999999999997E-436600000000000001E-4-1627E-3-39160000000000002E-372649999999999998E-3-34E-5-99999999999999995E-7-12799999999999999E-442519999999999997E-3-1905E-3-58699999999999996E-498299999999999993E-42098E-31266E-3977E-4-1276E-319599999999999999E-422599999999999999E-484260000000000012E-3

SITFO1-YEAR RISKPROJECTION

FORWARD-LOOKING

Confidential ndash Not for Redistribution6copy2018 Fund Evaluation Group LLC

676102

170

51

Equities Fixed Income Real Assets Diversifying Strategies

371

312

150

167

Equities Fixed Income Real Assets Diversifying Strategies

METRIC CONTRIBUTION TO RISK bull The component of a portfoliorsquos standard

deviation attributable to an asset classbull The sum of the components equals the

portfoliorsquos standard deviationbull The portfolio must have a direct exposure

to have risk exposure

USES OF CONTRIBUTION TO RISK bull Understand the sources of portfolio riskbull Ensure the predominant risks are intended

risksbull Adjust risks to align with the best return

opportunitiesbull Identify areas where hedging may be

appropriate

Equities comprise 371 of assets in this portfolio but account for 676 of the risk

Source Fund Evaluation Group LLC

ASSET ALLOCATION

RISK CONTRIBUTION

RISK MEASUREMENT AND DECOMPOSITION

Confidential ndash Not for Redistribution7copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 49 045 009LCMC VALUE 49 046 009SC GROWTH 34 051 015SC VALUE 34 041 012INTL LC GROWTH 50 069 014INTL LC VALUE 50 066 013INTL SC GROWTH 00 000 015INTL SC VALUE 00 000 015EM LC GROWTH 49 072 015EM LC VALUE 49 071 014HEDGED EQUITY 00 000 008PE - BUYOUT 03 002 008PE - VENTURE 04 003 007CORE FIXED INCOME 128 011 001TIPS 28 003 001EM FIXED INCOME 40 017 004

CREDIT HIGH YIELD 71 039 005PUBLIC REAL ESTATE 16 022 013PRIVATE REAL ESTATE 78 055 007COMMODITIES 00 000 005MLPs 48 037 008PRIVATE NR 08 003 004DS EVENT DRIVEN 19 011 006DS RELATIVE VALUE 60 017 003DS MACRO 88 007 001

CASH CASH 45 000 000686

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

PORTFOLIO RISK DECOMPOSITION BY ASSET CLASS

PORTFOLIO

Source Fund Evaluation Group LLC

bull To maximize risk-adjusted returns the return expectations should be roughly proportional to MCR consider adding to (decreasing) positions with low (high) MCR and strong (weak) return expectations

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies037145000000000006031191999999999998015016653000000000001

EquitiesFixed IncomeReal AssetsDiversifying Strategies06764536389336729401019855866125049701704299195618806451130854891941538E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		49		045		009			66			US LCG		491		0092		0451		658
			LCMC VALUE		49		046		009			67			US LCV		491		0093		0458		667
			SC GROWTH		34		051		015			74			US SCG		342		0148		0507		739
			SC VALUE		34		041		012			60			US SCV		342		0120		0409		596
			INTL LC GROWTH		50		069		014			100			Intl LCG		500		0137		0686		1000
			INTL LC VALUE		50		066		013			96			Intl LCV		500		0131		0656		956
			INTL SC GROWTH		00		000		015			00			Intl SCG		000		0154		0000		000
			INTL SC VALUE		00		000		015			00			Intl SCV		000		0146		0000		000
			EM LC GROWTH		49		072		015			104			EM LCG		493		0145		0717		1045
			EM LC VALUE		49		071		014			103			EM LCV		493		0144		0710		1035
			HEDGED EQUITY		00		000		008			00			Eqty Hedge		000		0079		0000		000
			PE - BUYOUT		03		002		008			03			PE Buyout		026		0085		0022		031
			PE - VENTURE		04		003		007			04			PE Venture		038		0067		0025		037
		RATES		CORE FIXED INCOME		128		011		001			16			Rate Sens		1283		0009		0111		161
			TIPS		28		003		001			04			High Yield		714		0055		0390		568
			EM FIXED INCOME		40		017		004			25			FI EM		398		0042		0168		245
		CREDIT		HIGH YIELD		71		039		005			57			TIPS		278		0011		0031		045
		REAL ESTATE		PUBLIC REAL ESTATE		16		022		013			32			Event Driven		189		0060		0112		164
			PRIVATE REAL ESTATE		78		055		007			80			Rel Value		596		0028		0166		243
		NATURAL RESOURCES		COMMODITIES		00		000		005			00			Macro		881		0008		0072		105
			MLPs		48		037		008			54			Priv RE		779		0070		0548		798
			PRIVATE NR		08		003		004			05			REITs		165		0133		0219		318
		VOLATILITY		DS EVENT DRIVEN		19		011		006			16			Priv NatRes		077		0044		0034		049			Equities		371		676
			DS RELATIVE VALUE		60		017		003			24			Commod		000		0047		0000		000			Fixed Income		312		102
			DS MACRO		88		007		001			11			MLPs		480		0077		0370		538			Real Assets		150		170
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		167		51
					686						Total								1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

		33118				ERRORNAME
		ERRORNAME
Composite			142704
																PASTE TABLE IN CELL Q6
					ERRORNAME		ERRORNAME		33118											Portfolio		Target
					Target		Actual		Actual		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active					Weight		Weight		Active		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active
			Asset Class			Weight		Weight		Weight		Return		Return		Allocation		Selection		Effect		Return				Segment		33117		33117		Weight		Return		Return		Allocation		Selection		Effect		Return
		142124		US Large Cap			75		172		ERRORNAME		174		140		02		02		00		04				US Large Cap		1717		750		967		1740		1398		018		025		003		045
		142125		US Small Cap			75		56		ERRORNAME		96		118		-01		-02		00		-02				US Small Cap		562		750		-188		964		1179		-007		-016		004		-020
		142128		International Developed			75		174		ERRORNAME		135		146		03		-01		-02		00				International Developed		1738		750		988		1355		1460		028		-008		-016		004
		142751		Emerging Markets			75		20		ERRORNAME		178		248		03		-05		-04		-06				Emerging Markets		198		750		-552		1778		2476		028		-048		-039		-059
		142703		Private Equity			70		04		ERRORNAME		47		167		-05		-08		07		-06				Private Equity		036		700		-664		469		1673		-051		-084		073		-062
		142693		Public Real Assets			40		50		ERRORNAME		-181		-201		-02		01		-00		-01				Public Real Assets		502		400		102		-1813		-2007		-016		010		-000		-006
		143395		TIPS			30		19		ERRORNAME		09		09		00		-00		-00		00				TIPS		188		300		-112		086		092		005		-000		-000		004
		142694		Private Real Estate			90		110		ERRORNAME		66		71		-00		-00		-00		-01				Private Real Estate		1103		900		203		665		713		-003		-004		-001		-009
		142856		Private Natural Resources			40		03		ERRORNAME		-65		45		01		-05		04		01				Private Natural Resources		031		400		-369		-654		455		014		-048		043		009
		142174		Credit			90		208		ERRORNAME		18		35		-05		-02		-02		-08				Credit		2077		900		1177		178		346		-048		-016		-019		-083
		147895		Securitized - HFRI RV FI AB			40		14		ERRORNAME		98		72		00		01		-01		01				Non-US Debt		000		500		-500		994		1371		-014		-018		021		-011
		147896		Securitized - BBG Securitized			40		43		ERRORNAME		48		08		-01		02		01		01				Private Debt		148		900		-752		742		904		-003		-016		013		-006
		146146		Non-US Debt			50		00		ERRORNAME		99		137		-01		-02		02		-01				Income - Other		175		000		175		465		000		-015		000		010		-005
		142702		Private Debt			90		15		ERRORNAME		74		90		-00		-02		01		-01				Long US Treasuries		229		700		-471		626		385		020		019		-013		026
		142173		Income - Other			00		17		ERRORNAME		47		00		-01		00		01		-00				CTA		403		500		-097		074		011		-011		004		002		-005
		142697		Long US Treasuries			70		23		ERRORNAME		63		39		02		02		-01		03				Cash		329		000		329		077		000		-020		000		002		-018
		142699		CTA			50		40		ERRORNAME		07		01		-01		00		00		-01				Securitized - HFRI RV FI AB		137		400		-263		978		720		004		010		-006		009
		142700		Cash			00		33		ERRORNAME		08		00		-02		00		00		-02				Securitized - BBG Securitized		425		400		025		481		079		-012		017		010		015
			Total								-08		-17		08		-17										-085		-173		084		-173
								Target Weighted Benchmark =		84								Portfolio Return		675
								Active Asset Allocation =		-08								Benchmark Return		836
								Manager Selection =		-17			Total Active Return			-17				Active Return		-161
								Interaction Effect =		08
								Portfolio Return =		68								Asset Allocation		-085
																Manager Selection		-173
																Interaction Effect		084
																Total Active Return		-173
142124		ERRORNAME		ERRORNAME		ERRORNAME
142125		ERRORNAME		ERRORNAME		ERRORNAME
142128		ERRORNAME		ERRORNAME		ERRORNAME
142751		ERRORNAME		ERRORNAME		ERRORNAME
142703		ERRORNAME		ERRORNAME		ERRORNAME
142693		ERRORNAME		ERRORNAME		ERRORNAME
143395		ERRORNAME		ERRORNAME		ERRORNAME
142694		ERRORNAME		ERRORNAME		ERRORNAME
142856		ERRORNAME		ERRORNAME		ERRORNAME
142174		ERRORNAME		ERRORNAME		ERRORNAME
147895		ERRORNAME		ERRORNAME		ERRORNAME
147896		ERRORNAME		ERRORNAME		ERRORNAME
146146		ERRORNAME		ERRORNAME		ERRORNAME
142702		ERRORNAME		ERRORNAME		ERRORNAME
142173		ERRORNAME		ERRORNAME		ERRORNAME
142697		ERRORNAME		ERRORNAME		ERRORNAME
142699		ERRORNAME		ERRORNAME		ERRORNAME
142700		ERRORNAME		ERRORNAME		ERRORNAME
			ERRORNAME			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME

		33118				ERRORNAME
		ERRORNAME
Composite			142704
																PASTE TABLE IN CELL Q6
					ERRORNAME		ERRORNAME		33118											Portfolio		Target
					Target		Actual		Actual		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active					Weight		Weight		Active		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active
			Asset Class			Weight		Weight		Weight		Return		Return		Allocation		Selection		Effect		Return				Segment		123117		123117		Weight		Return		Return		Allocation		Selection		Effect		Return
		142124		US Large Cap			75		103		ERRORNAME		15		-07		-00		02		01		02				US Large Cap		1027		750		277		147		-069		-002		016		006		021
		142125		US Small Cap			75		66		ERRORNAME		-09		-01		00		-01		00		-01				US Small Cap		657		750		-093		-087		-008		000		-006		001		-005
		142128		International Developed			75		107		ERRORNAME		-11		-17		-00		00		00		00				International Developed		1073		750		323		-106		-170		-004		005		002		002
		142751		Emerging Markets			75		107		ERRORNAME		-08		13		00		-02		-01		-02				Emerging Markets		1070		750		320		-077		128		005		-016		-007		-018
		142703		Private Equity			70		11		ERRORNAME		-25		00		-00		-02		01		-01				Private Equity		114		700		-586		-246		000		-003		-017		014		-006
		142693		Public Real Assets			40		42		ERRORNAME		-94		-111		-00		01		00		00				Public Real Assets		425		400		025		-944		-1112		-003		007		000		005
		143395		TIPS			30		28		ERRORNAME		-06		-08		-00		00		-00		00				TIPS		283		300		-017		-055		-079		-000		001		-000		001
		142694		Private Real Estate			90		97		ERRORNAME		14		17		00		-00		-00		-00				Private Real Estate		968		900		068		139		170		001		-003		-000		-002
		142856		Private Natural Resources			40		06		ERRORNAME		02		00		-00		00		-00		-00				Private Natural Resources		061		400		-339		015		000		-002		001		-001		-002
		142174		Credit			90		136		ERRORNAME		-07		-10		-01		00		00		-00				Credit		1364		900		464		-073		-098		-007		002		001		-005
		147895		Securitized - HFRI RV FI AB			40		20		ERRORNAME		31		22		-01		00		-00		-00				Non-US Debt		442		500		-058		531		428		-003		005		-001		001
		147896		Securitized - BBG Securitized			40		62		ERRORNAME		19		-12		00		01		01		02				Private Debt		244		900		-656		025		000		-001		002		-002		-000
		146146		Non-US Debt			50		44		ERRORNAME		53		43		-00		00		-00		00				Income - Other		275		000		275		121		000		001		000		003		005
		142702		Private Debt			90		24		ERRORNAME		03		00		-00		00		-00		-00				Long US Treasuries		243		700		-457		-472		-336		013		-009		006		010
		142173		Income - Other			00		27		ERRORNAME		12		00		00		00		00		00				CTA		685		500		185		-052		-156		-002		006		002		005
		142697		Long US Treasuries			70		24		ERRORNAME		-47		-34		01		-01		01		01				Cash		253		000		253		023		000		002		000		001		003
		142699		CTA			50		68		ERRORNAME		-05		-16		-00		01		00		01				Securitized - HFRI RV FI AB		201		400		-199		306		223		-005		003		-001		-003
		142700		Cash			00		25		ERRORNAME		02		00		00		00		00		00				Securitized - BBG Securitized		615		400		215		188		-119		001		012		007		020
			Total								-01		01		03		03										-010		009		032		031
								Target Weighted Benchmark =		-05								Portfolio Return		-005
								Active Asset Allocation =		-01								Benchmark Return		-049
								Manager Selection =		01			Total Active Return			03				Active Return		045
								Interaction Effect =		03
								Portfolio Return =		-00								Asset Allocation		-010
																Manager Selection		009
																Interaction Effect		032
																Total Active Return		031
142124		ERRORNAME		ERRORNAME		ERRORNAME
142125		ERRORNAME		ERRORNAME		ERRORNAME
142128		ERRORNAME		ERRORNAME		ERRORNAME
142751		ERRORNAME		ERRORNAME		ERRORNAME
142703		ERRORNAME		ERRORNAME		ERRORNAME
142693		ERRORNAME		ERRORNAME		ERRORNAME
143395		ERRORNAME		ERRORNAME		ERRORNAME
142694		ERRORNAME		ERRORNAME		ERRORNAME
142856		ERRORNAME		ERRORNAME		ERRORNAME
142174		ERRORNAME		ERRORNAME		ERRORNAME
147895		ERRORNAME		ERRORNAME		ERRORNAME
147896		ERRORNAME		ERRORNAME		ERRORNAME
146146		ERRORNAME		ERRORNAME		ERRORNAME
142702		ERRORNAME		ERRORNAME		ERRORNAME
142173		ERRORNAME		ERRORNAME		ERRORNAME
142697		ERRORNAME		ERRORNAME		ERRORNAME
142699		ERRORNAME		ERRORNAME		ERRORNAME
142700		ERRORNAME		ERRORNAME		ERRORNAME
			ERRORNAME			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME

APPROVED FOR CLIENT USE4copy2018 Fund Evaluation Group LLC

ATTRIBUTION ANALYSIS

Numbers may not add up exactly due to roundingLarge CapMid Cap combined which may change the Target Weighted Benchmark return slightly from what is shown on the reportInteraction Effect Positive for (Overweight + Outperformance) and (Underweight + Underperformance)

Negative for (Overweight + Underperformance) and (Underweight + Outperformance)

MARCH 31 2017 ndash MARCH 31 2018 3312017 3312017 3312018

Target Actual Actual Portfolio Benchmark Asset Manager Interaction Total ActiveAsset Class Weight Weight Weight Return Return Allocation Selection Effect ReturnUS Large Cap 75 172 98 174 140 02 02 00 04US Smal l Cap 75 56 68 96 118 -01 -02 00 -02International Developed 75 174 100 135 146 03 -01 -02 00Emerging Markets 75 20 99 178 248 03 -05 -04 -06Private Equity 70 04 14 47 167 -05 -08 07 -06Publ ic Real Assets 40 50 48 -181 -201 -02 01 00 -01TIPS 30 19 28 09 09 00 00 00 00Private Real Es tate 90 110 93 66 71 00 00 00 -01Private Natura l Resources 40 03 08 -65 45 01 -05 04 01Credit 90 208 92 18 35 -05 -02 -02 -08Securi ti zed - HFRI RV FI AB 40 14 24 98 72 00 01 -01 01Securi ti zed - BBG Securi ti zed 40 43 66 48 08 -01 02 01 01Non-US Debt 50 00 61 99 137 -01 -02 02 -01Private Debt 90 15 37 74 90 00 -02 01 -01Income - Other 00 17 27 47 00 -01 00 01 00Long US Treasuries 70 23 26 63 39 02 02 -01 03CTA 50 40 67 07 01 -01 00 00 -01Cash 00 33 45 08 00 -02 00 00 -02

Total -08 -17 08 -17

Target Weighted Benchmark = 84Active Asset Allocation = -08

Manager Selection = -17 -17Interaction Effect = 08Portfolio Return = 68

Total Active Return

Custom Date

AssetAllocationUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal17520000000000001E-3-74299999999999995E-42826E-327720000000000002E-3-51110000000000001E-3-16080000000000001E-346000000000000001E-4-31500000000000001E-414400000000000001E-3-47699999999999999E-342200000000000001E-4-1194E-3-14040000000000001E-3-30800000000000001E-4-14710000000000001E-31964E-3-114E-3-20439999999999998E-3-84720000000000004E-3ManagerSelectionUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal24599999999999999E-3-1596E-3-776E-4-48019999999999998E-3-83809999999999996E-310189999999999999E-3-21999999999999999E-5-437E-4-48079999999999998E-3-1588E-31026E-316739999999999999E-3-18320000000000001E-3-15499999999999999E-301921E-342700000000000002E-40-17264999999999999E-2InteractionEffectUS Large CapUS Small CapInternational DevelopedEmerging MarketsPrivate EquityPublic Real AssetsTIPSPrivate Real EstatePrivate Natural ResourcesCreditSecuritized - HFRI RV FI ABSecuritized - BBG SecuritizedNon-US DebtPrivate DebtIncome - OtherLong US TreasuriesCTACashTotal27099999999999997E-436600000000000001E-4-1627E-3-39160000000000002E-372649999999999998E-3-34E-5-99999999999999995E-7-12799999999999999E-442519999999999997E-3-1905E-3-58699999999999996E-498299999999999993E-42098E-31266E-3977E-4-1276E-319599999999999999E-422599999999999999E-484260000000000012E-3

SITFO1-YEAR RISKPROJECTION

FORWARD-LOOKING

Confidential ndash Not for Redistribution6copy2018 Fund Evaluation Group LLC

676102

170

51

Equities Fixed Income Real Assets Diversifying Strategies

371

312

150

167

Equities Fixed Income Real Assets Diversifying Strategies

METRIC CONTRIBUTION TO RISK bull The component of a portfoliorsquos standard

deviation attributable to an asset classbull The sum of the components equals the

portfoliorsquos standard deviationbull The portfolio must have a direct exposure

to have risk exposure

USES OF CONTRIBUTION TO RISK bull Understand the sources of portfolio riskbull Ensure the predominant risks are intended

risksbull Adjust risks to align with the best return

opportunitiesbull Identify areas where hedging may be

appropriate

Equities comprise 371 of assets in this portfolio but account for 676 of the risk

Source Fund Evaluation Group LLC

ASSET ALLOCATION

RISK CONTRIBUTION

RISK MEASUREMENT AND DECOMPOSITION

Confidential ndash Not for Redistribution7copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 49 045 009LCMC VALUE 49 046 009SC GROWTH 34 051 015SC VALUE 34 041 012INTL LC GROWTH 50 069 014INTL LC VALUE 50 066 013INTL SC GROWTH 00 000 015INTL SC VALUE 00 000 015EM LC GROWTH 49 072 015EM LC VALUE 49 071 014HEDGED EQUITY 00 000 008PE - BUYOUT 03 002 008PE - VENTURE 04 003 007CORE FIXED INCOME 128 011 001TIPS 28 003 001EM FIXED INCOME 40 017 004

CREDIT HIGH YIELD 71 039 005PUBLIC REAL ESTATE 16 022 013PRIVATE REAL ESTATE 78 055 007COMMODITIES 00 000 005MLPs 48 037 008PRIVATE NR 08 003 004DS EVENT DRIVEN 19 011 006DS RELATIVE VALUE 60 017 003DS MACRO 88 007 001

CASH CASH 45 000 000686

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

PORTFOLIO RISK DECOMPOSITION BY ASSET CLASS

PORTFOLIO

Source Fund Evaluation Group LLC

bull To maximize risk-adjusted returns the return expectations should be roughly proportional to MCR consider adding to (decreasing) positions with low (high) MCR and strong (weak) return expectations

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies037145000000000006031191999999999998015016653000000000001

EquitiesFixed IncomeReal AssetsDiversifying Strategies06764536389336729401019855866125049701704299195618806451130854891941538E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

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• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		49		045		009			66			US LCG		491		0092		0451		658
			LCMC VALUE		49		046		009			67			US LCV		491		0093		0458		667
			SC GROWTH		34		051		015			74			US SCG		342		0148		0507		739
			SC VALUE		34		041		012			60			US SCV		342		0120		0409		596
			INTL LC GROWTH		50		069		014			100			Intl LCG		500		0137		0686		1000
			INTL LC VALUE		50		066		013			96			Intl LCV		500		0131		0656		956
			INTL SC GROWTH		00		000		015			00			Intl SCG		000		0154		0000		000
			INTL SC VALUE		00		000		015			00			Intl SCV		000		0146		0000		000
			EM LC GROWTH		49		072		015			104			EM LCG		493		0145		0717		1045
			EM LC VALUE		49		071		014			103			EM LCV		493		0144		0710		1035
			HEDGED EQUITY		00		000		008			00			Eqty Hedge		000		0079		0000		000
			PE - BUYOUT		03		002		008			03			PE Buyout		026		0085		0022		031
			PE - VENTURE		04		003		007			04			PE Venture		038		0067		0025		037
		RATES		CORE FIXED INCOME		128		011		001			16			Rate Sens		1283		0009		0111		161
			TIPS		28		003		001			04			High Yield		714		0055		0390		568
			EM FIXED INCOME		40		017		004			25			FI EM		398		0042		0168		245
		CREDIT		HIGH YIELD		71		039		005			57			TIPS		278		0011		0031		045
		REAL ESTATE		PUBLIC REAL ESTATE		16		022		013			32			Event Driven		189		0060		0112		164
			PRIVATE REAL ESTATE		78		055		007			80			Rel Value		596		0028		0166		243
		NATURAL RESOURCES		COMMODITIES		00		000		005			00			Macro		881		0008		0072		105
			MLPs		48		037		008			54			Priv RE		779		0070		0548		798
			PRIVATE NR		08		003		004			05			REITs		165		0133		0219		318
		VOLATILITY		DS EVENT DRIVEN		19		011		006			16			Priv NatRes		077		0044		0034		049			Equities		371		676
			DS RELATIVE VALUE		60		017		003			24			Commod		000		0047		0000		000			Fixed Income		312		102
			DS MACRO		88		007		001			11			MLPs		480		0077		0370		538			Real Assets		150		170
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		167		51
					686						Total								1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

		33118				ERRORNAME
		ERRORNAME
Composite			142704
																PASTE TABLE IN CELL Q6
					ERRORNAME		ERRORNAME		33118											Portfolio		Target
					Target		Actual		Actual		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active					Weight		Weight		Active		Portfolio		Benchmark		Asset		Manager		Interaction		Total Active
			Asset Class			Weight		Weight		Weight		Return		Return		Allocation		Selection		Effect		Return				Segment		33117		33117		Weight		Return		Return		Allocation		Selection		Effect		Return
		142124		US Large Cap			75		172		ERRORNAME		174		140		02		02		00		04				US Large Cap		1717		750		967		1740		1398		018		025		003		045
		142125		US Small Cap			75		56		ERRORNAME		96		118		-01		-02		00		-02				US Small Cap		562		750		-188		964		1179		-007		-016		004		-020
		142128		International Developed			75		174		ERRORNAME		135		146		03		-01		-02		00				International Developed		1738		750		988		1355		1460		028		-008		-016		004
		142751		Emerging Markets			75		20		ERRORNAME		178		248		03		-05		-04		-06				Emerging Markets		198		750		-552		1778		2476		028		-048		-039		-059
		142703		Private Equity			70		04		ERRORNAME		47		167		-05		-08		07		-06				Private Equity		036		700		-664		469		1673		-051		-084		073		-062
		142693		Public Real Assets			40		50		ERRORNAME		-181		-201		-02		01		-00		-01				Public Real Assets		502		400		102		-1813		-2007		-016		010		-000		-006
		143395		TIPS			30		19		ERRORNAME		09		09		00		-00		-00		00				TIPS		188		300		-112		086		092		005		-000		-000		004
		142694		Private Real Estate			90		110		ERRORNAME		66		71		-00		-00		-00		-01				Private Real Estate		1103		900		203		665		713		-003		-004		-001		-009
		142856		Private Natural Resources			40		03		ERRORNAME		-65		45		01		-05		04		01				Private Natural Resources		031		400		-369		-654		455		014		-048		043		009
		142174		Credit			90		208		ERRORNAME		18		35		-05		-02		-02		-08				Credit		2077		900		1177		178		346		-048		-016		-019		-083
		147895		Securitized - HFRI RV FI AB			40		14		ERRORNAME		98		72		00		01		-01		01				Non-US Debt		000		500		-500		994		1371		-014		-018		021		-011
		147896		Securitized - BBG Securitized			40		43		ERRORNAME		48		08		-01		02		01		01				Private Debt		148		900		-752		742		904		-003		-016		013		-006
		146146		Non-US Debt			50		00		ERRORNAME		99		137		-01		-02		02		-01				Income - Other		175		000		175		465		000		-015		000		010		-005
		142702		Private Debt			90		15		ERRORNAME		74		90		-00		-02		01		-01				Long US Treasuries		229		700		-471		626		385		020		019		-013		026
		142173		Income - Other			00		17		ERRORNAME		47		00		-01		00		01		-00				CTA		403		500		-097		074		011		-011		004		002		-005
		142697		Long US Treasuries			70		23		ERRORNAME		63		39		02		02		-01		03				Cash		329		000		329		077		000		-020		000		002		-018
		142699		CTA			50		40		ERRORNAME		07		01		-01		00		00		-01				Securitized - HFRI RV FI AB		137		400		-263		978		720		004		010		-006		009
		142700		Cash			00		33		ERRORNAME		08		00		-02		00		00		-02				Securitized - BBG Securitized		425		400		025		481		079		-012		017		010		015
			Total								-08		-17		08		-17										-085		-173		084		-173
								Target Weighted Benchmark =		84								Portfolio Return		675
								Active Asset Allocation =		-08								Benchmark Return		836
								Manager Selection =		-17			Total Active Return			-17				Active Return		-161
								Interaction Effect =		08
								Portfolio Return =		68								Asset Allocation		-085
																Manager Selection		-173
																Interaction Effect		084
																Total Active Return		-173
142124		ERRORNAME		ERRORNAME		ERRORNAME
142125		ERRORNAME		ERRORNAME		ERRORNAME
142128		ERRORNAME		ERRORNAME		ERRORNAME
142751		ERRORNAME		ERRORNAME		ERRORNAME
142703		ERRORNAME		ERRORNAME		ERRORNAME
142693		ERRORNAME		ERRORNAME		ERRORNAME
143395		ERRORNAME		ERRORNAME		ERRORNAME
142694		ERRORNAME		ERRORNAME		ERRORNAME
142856		ERRORNAME		ERRORNAME		ERRORNAME
142174		ERRORNAME		ERRORNAME		ERRORNAME
147895		ERRORNAME		ERRORNAME		ERRORNAME
147896		ERRORNAME		ERRORNAME		ERRORNAME
146146		ERRORNAME		ERRORNAME		ERRORNAME
142702		ERRORNAME		ERRORNAME		ERRORNAME
142173		ERRORNAME		ERRORNAME		ERRORNAME
142697		ERRORNAME		ERRORNAME		ERRORNAME
142699		ERRORNAME		ERRORNAME		ERRORNAME
142700		ERRORNAME		ERRORNAME		ERRORNAME
			ERRORNAME			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME
			ERRORNAME

SITFO1-YEAR RISKPROJECTION

FORWARD-LOOKING

Confidential ndash Not for Redistribution6copy2018 Fund Evaluation Group LLC

676102

170

51

Equities Fixed Income Real Assets Diversifying Strategies

371

312

150

167

Equities Fixed Income Real Assets Diversifying Strategies

METRIC CONTRIBUTION TO RISK bull The component of a portfoliorsquos standard

deviation attributable to an asset classbull The sum of the components equals the

portfoliorsquos standard deviationbull The portfolio must have a direct exposure

to have risk exposure

USES OF CONTRIBUTION TO RISK bull Understand the sources of portfolio riskbull Ensure the predominant risks are intended

risksbull Adjust risks to align with the best return

opportunitiesbull Identify areas where hedging may be

appropriate

Equities comprise 371 of assets in this portfolio but account for 676 of the risk

Source Fund Evaluation Group LLC

ASSET ALLOCATION

RISK CONTRIBUTION

RISK MEASUREMENT AND DECOMPOSITION

Confidential ndash Not for Redistribution7copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 49 045 009LCMC VALUE 49 046 009SC GROWTH 34 051 015SC VALUE 34 041 012INTL LC GROWTH 50 069 014INTL LC VALUE 50 066 013INTL SC GROWTH 00 000 015INTL SC VALUE 00 000 015EM LC GROWTH 49 072 015EM LC VALUE 49 071 014HEDGED EQUITY 00 000 008PE - BUYOUT 03 002 008PE - VENTURE 04 003 007CORE FIXED INCOME 128 011 001TIPS 28 003 001EM FIXED INCOME 40 017 004

CREDIT HIGH YIELD 71 039 005PUBLIC REAL ESTATE 16 022 013PRIVATE REAL ESTATE 78 055 007COMMODITIES 00 000 005MLPs 48 037 008PRIVATE NR 08 003 004DS EVENT DRIVEN 19 011 006DS RELATIVE VALUE 60 017 003DS MACRO 88 007 001

CASH CASH 45 000 000686

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

PORTFOLIO RISK DECOMPOSITION BY ASSET CLASS

PORTFOLIO

Source Fund Evaluation Group LLC

bull To maximize risk-adjusted returns the return expectations should be roughly proportional to MCR consider adding to (decreasing) positions with low (high) MCR and strong (weak) return expectations

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies037145000000000006031191999999999998015016653000000000001

EquitiesFixed IncomeReal AssetsDiversifying Strategies06764536389336729401019855866125049701704299195618806451130854891941538E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		49		045		009			66			US LCG		491		0092		0451		658
			LCMC VALUE		49		046		009			67			US LCV		491		0093		0458		667
			SC GROWTH		34		051		015			74			US SCG		342		0148		0507		739
			SC VALUE		34		041		012			60			US SCV		342		0120		0409		596
			INTL LC GROWTH		50		069		014			100			Intl LCG		500		0137		0686		1000
			INTL LC VALUE		50		066		013			96			Intl LCV		500		0131		0656		956
			INTL SC GROWTH		00		000		015			00			Intl SCG		000		0154		0000		000
			INTL SC VALUE		00		000		015			00			Intl SCV		000		0146		0000		000
			EM LC GROWTH		49		072		015			104			EM LCG		493		0145		0717		1045
			EM LC VALUE		49		071		014			103			EM LCV		493		0144		0710		1035
			HEDGED EQUITY		00		000		008			00			Eqty Hedge		000		0079		0000		000
			PE - BUYOUT		03		002		008			03			PE Buyout		026		0085		0022		031
			PE - VENTURE		04		003		007			04			PE Venture		038		0067		0025		037
		RATES		CORE FIXED INCOME		128		011		001			16			Rate Sens		1283		0009		0111		161
			TIPS		28		003		001			04			High Yield		714		0055		0390		568
			EM FIXED INCOME		40		017		004			25			FI EM		398		0042		0168		245
		CREDIT		HIGH YIELD		71		039		005			57			TIPS		278		0011		0031		045
		REAL ESTATE		PUBLIC REAL ESTATE		16		022		013			32			Event Driven		189		0060		0112		164
			PRIVATE REAL ESTATE		78		055		007			80			Rel Value		596		0028		0166		243
		NATURAL RESOURCES		COMMODITIES		00		000		005			00			Macro		881		0008		0072		105
			MLPs		48		037		008			54			Priv RE		779		0070		0548		798
			PRIVATE NR		08		003		004			05			REITs		165		0133		0219		318
		VOLATILITY		DS EVENT DRIVEN		19		011		006			16			Priv NatRes		077		0044		0034		049			Equities		371		676
			DS RELATIVE VALUE		60		017		003			24			Commod		000		0047		0000		000			Fixed Income		312		102
			DS MACRO		88		007		001			11			MLPs		480		0077		0370		538			Real Assets		150		170
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		167		51
					686						Total								1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution6copy2018 Fund Evaluation Group LLC

676102

170

51

Equities Fixed Income Real Assets Diversifying Strategies

371

312

150

167

Equities Fixed Income Real Assets Diversifying Strategies

METRIC CONTRIBUTION TO RISK bull The component of a portfoliorsquos standard

deviation attributable to an asset classbull The sum of the components equals the

portfoliorsquos standard deviationbull The portfolio must have a direct exposure

to have risk exposure

USES OF CONTRIBUTION TO RISK bull Understand the sources of portfolio riskbull Ensure the predominant risks are intended

risksbull Adjust risks to align with the best return

opportunitiesbull Identify areas where hedging may be

appropriate

Equities comprise 371 of assets in this portfolio but account for 676 of the risk

Source Fund Evaluation Group LLC

ASSET ALLOCATION

RISK CONTRIBUTION

RISK MEASUREMENT AND DECOMPOSITION

Confidential ndash Not for Redistribution7copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 49 045 009LCMC VALUE 49 046 009SC GROWTH 34 051 015SC VALUE 34 041 012INTL LC GROWTH 50 069 014INTL LC VALUE 50 066 013INTL SC GROWTH 00 000 015INTL SC VALUE 00 000 015EM LC GROWTH 49 072 015EM LC VALUE 49 071 014HEDGED EQUITY 00 000 008PE - BUYOUT 03 002 008PE - VENTURE 04 003 007CORE FIXED INCOME 128 011 001TIPS 28 003 001EM FIXED INCOME 40 017 004

CREDIT HIGH YIELD 71 039 005PUBLIC REAL ESTATE 16 022 013PRIVATE REAL ESTATE 78 055 007COMMODITIES 00 000 005MLPs 48 037 008PRIVATE NR 08 003 004DS EVENT DRIVEN 19 011 006DS RELATIVE VALUE 60 017 003DS MACRO 88 007 001

CASH CASH 45 000 000686

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

PORTFOLIO RISK DECOMPOSITION BY ASSET CLASS

PORTFOLIO

Source Fund Evaluation Group LLC

bull To maximize risk-adjusted returns the return expectations should be roughly proportional to MCR consider adding to (decreasing) positions with low (high) MCR and strong (weak) return expectations

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies037145000000000006031191999999999998015016653000000000001

EquitiesFixed IncomeReal AssetsDiversifying Strategies06764536389336729401019855866125049701704299195618806451130854891941538E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		49		045		009			66			US LCG		491		0092		0451		658
			LCMC VALUE		49		046		009			67			US LCV		491		0093		0458		667
			SC GROWTH		34		051		015			74			US SCG		342		0148		0507		739
			SC VALUE		34		041		012			60			US SCV		342		0120		0409		596
			INTL LC GROWTH		50		069		014			100			Intl LCG		500		0137		0686		1000
			INTL LC VALUE		50		066		013			96			Intl LCV		500		0131		0656		956
			INTL SC GROWTH		00		000		015			00			Intl SCG		000		0154		0000		000
			INTL SC VALUE		00		000		015			00			Intl SCV		000		0146		0000		000
			EM LC GROWTH		49		072		015			104			EM LCG		493		0145		0717		1045
			EM LC VALUE		49		071		014			103			EM LCV		493		0144		0710		1035
			HEDGED EQUITY		00		000		008			00			Eqty Hedge		000		0079		0000		000
			PE - BUYOUT		03		002		008			03			PE Buyout		026		0085		0022		031
			PE - VENTURE		04		003		007			04			PE Venture		038		0067		0025		037
		RATES		CORE FIXED INCOME		128		011		001			16			Rate Sens		1283		0009		0111		161
			TIPS		28		003		001			04			High Yield		714		0055		0390		568
			EM FIXED INCOME		40		017		004			25			FI EM		398		0042		0168		245
		CREDIT		HIGH YIELD		71		039		005			57			TIPS		278		0011		0031		045
		REAL ESTATE		PUBLIC REAL ESTATE		16		022		013			32			Event Driven		189		0060		0112		164
			PRIVATE REAL ESTATE		78		055		007			80			Rel Value		596		0028		0166		243
		NATURAL RESOURCES		COMMODITIES		00		000		005			00			Macro		881		0008		0072		105
			MLPs		48		037		008			54			Priv RE		779		0070		0548		798
			PRIVATE NR		08		003		004			05			REITs		165		0133		0219		318
		VOLATILITY		DS EVENT DRIVEN		19		011		006			16			Priv NatRes		077		0044		0034		049			Equities		371		676
			DS RELATIVE VALUE		60		017		003			24			Commod		000		0047		0000		000			Fixed Income		312		102
			DS MACRO		88		007		001			11			MLPs		480		0077		0370		538			Real Assets		150		170
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		167		51
					686						Total								1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution7copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 49 045 009LCMC VALUE 49 046 009SC GROWTH 34 051 015SC VALUE 34 041 012INTL LC GROWTH 50 069 014INTL LC VALUE 50 066 013INTL SC GROWTH 00 000 015INTL SC VALUE 00 000 015EM LC GROWTH 49 072 015EM LC VALUE 49 071 014HEDGED EQUITY 00 000 008PE - BUYOUT 03 002 008PE - VENTURE 04 003 007CORE FIXED INCOME 128 011 001TIPS 28 003 001EM FIXED INCOME 40 017 004

CREDIT HIGH YIELD 71 039 005PUBLIC REAL ESTATE 16 022 013PRIVATE REAL ESTATE 78 055 007COMMODITIES 00 000 005MLPs 48 037 008PRIVATE NR 08 003 004DS EVENT DRIVEN 19 011 006DS RELATIVE VALUE 60 017 003DS MACRO 88 007 001

CASH CASH 45 000 000686

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

PORTFOLIO RISK DECOMPOSITION BY ASSET CLASS

PORTFOLIO

Source Fund Evaluation Group LLC

bull To maximize risk-adjusted returns the return expectations should be roughly proportional to MCR consider adding to (decreasing) positions with low (high) MCR and strong (weak) return expectations

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies037145000000000006031191999999999998015016653000000000001

EquitiesFixed IncomeReal AssetsDiversifying Strategies06764536389336729401019855866125049701704299195618806451130854891941538E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		49		045		009			66			US LCG		491		0092		0451		658
			LCMC VALUE		49		046		009			67			US LCV		491		0093		0458		667
			SC GROWTH		34		051		015			74			US SCG		342		0148		0507		739
			SC VALUE		34		041		012			60			US SCV		342		0120		0409		596
			INTL LC GROWTH		50		069		014			100			Intl LCG		500		0137		0686		1000
			INTL LC VALUE		50		066		013			96			Intl LCV		500		0131		0656		956
			INTL SC GROWTH		00		000		015			00			Intl SCG		000		0154		0000		000
			INTL SC VALUE		00		000		015			00			Intl SCV		000		0146		0000		000
			EM LC GROWTH		49		072		015			104			EM LCG		493		0145		0717		1045
			EM LC VALUE		49		071		014			103			EM LCV		493		0144		0710		1035
			HEDGED EQUITY		00		000		008			00			Eqty Hedge		000		0079		0000		000
			PE - BUYOUT		03		002		008			03			PE Buyout		026		0085		0022		031
			PE - VENTURE		04		003		007			04			PE Venture		038		0067		0025		037
		RATES		CORE FIXED INCOME		128		011		001			16			Rate Sens		1283		0009		0111		161
			TIPS		28		003		001			04			High Yield		714		0055		0390		568
			EM FIXED INCOME		40		017		004			25			FI EM		398		0042		0168		245
		CREDIT		HIGH YIELD		71		039		005			57			TIPS		278		0011		0031		045
		REAL ESTATE		PUBLIC REAL ESTATE		16		022		013			32			Event Driven		189		0060		0112		164
			PRIVATE REAL ESTATE		78		055		007			80			Rel Value		596		0028		0166		243
		NATURAL RESOURCES		COMMODITIES		00		000		005			00			Macro		881		0008		0072		105
			MLPs		48		037		008			54			Priv RE		779		0070		0548		798
			PRIVATE NR		08		003		004			05			REITs		165		0133		0219		318
		VOLATILITY		DS EVENT DRIVEN		19		011		006			16			Priv NatRes		077		0044		0034		049			Equities		371		676
			DS RELATIVE VALUE		60		017		003			24			Commod		000		0047		0000		000			Fixed Income		312		102
			DS MACRO		88		007		001			11			MLPs		480		0077		0370		538			Real Assets		150		170
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		167		51
					686						Total								1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution8copy2018 Fund Evaluation Group LLC

CATEGORY ASSET CLASS WEIGHT

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKLCMC GROWTH 14 002 001LCMC VALUE 09 000 000SC GROWTH -01 000 -001SC VALUE -06 000 001INTL LC GROWTH 15 005 003INTL LC VALUE 10 004 004INTL SC GROWTH 00 000 004INTL SC VALUE 00 000 005EM LC GROWTH 14 010 007EM LC VALUE 09 007 007HEDGED EQUITY 00 000 001PE - BUYOUT -32 000 000PE - VENTURE -31 042 -014CORE FIXED INCOME -32 000 000TIPS -02 000 000EM FIXED INCOME -10 001 -001

CREDIT HIGH YIELD -49 004 -001PUBLIC REAL ESTATE 16 003 002PRIVATE REAL ESTATE -12 003 -003COMMODITIES 00 000 000MLPs 08 001 002PRIVATE NR -32 011 -003DS EVENT DRIVEN -11 000 000DS RELATIVE VALUE 40 000 000DS MACRO 38 001 000

CASH CASH 45 000 000094

VOLATILITY

NATURAL RESOURCES

REAL ESTATE

EQUITIES

RATES

RELATIVE RISK DECOMPOSITION BY ASSET CLASS

TRACKING ERROR

Source Fund Evaluation Group LLC

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies14499999999999826E-3-48079999999999984E-2-19999999999999997E-266530000000000006E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0739876357235998545739259915868089E-20192625567935028891010547567029178E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

Sheet3

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		14		002		001			17			US LCG		141		0011		0016		168
			LCMC VALUE		09		000		000			04			US LCV		091		0004		0003		035
			SC GROWTH		-01		000		-001			00			US SCG		-008		-0006		0000		005
			SC VALUE		-06		-000		001			-04			US SCV		-058		0006		-0004		-038
			INTL LC GROWTH		15		005		003			55			Intl LCG		150		0035		0052		552
			INTL LC VALUE		10		004		004			38			Intl LCV		100		0036		0036		384
			INTL SC GROWTH		00		000		004			00			Intl SCG		000		0043		0000		000
			INTL SC VALUE		00		000		005			00			Intl SCV		000		0051		0000		000
			EM LC GROWTH		14		010		007			106			EM LCG		143		0069		0099		1057
			EM LC VALUE		09		007		007			69			EM LCV		093		0070		0065		693
			HEDGED EQUITY		00		000		001			00			Eqty Hedge		000		0007		0000		000
			PE - BUYOUT		-32		000		-000			05			PE Buyout		-325		-0002		0005		053
			PE - VENTURE		-31		042		-014			449			PE Venture		-312		-0135		0422		4491
		RATES		CORE FIXED INCOME		-32		000		-000			02			Rate Sens		-317		-0001		0002		019
			TIPS		-02		000		-000			01			High Yield		-486		-0009		0045		476
			EM FIXED INCOME		-10		001		-001			07			FI EM		-102		-0006		0006		067
		CREDIT		HIGH YIELD		-49		004		-001			48			TIPS		-022		-0005		0001		011
		REAL ESTATE		PUBLIC REAL ESTATE		16		003		002			35			Event Driven		-112		0004		-0004		-048
			PRIVATE REAL ESTATE		-12		003		-003			33			Rel Value		396		0000		0002		017
		NATURAL RESOURCES		COMMODITIES		00		000		000			00			Macro		381		0003		0012		131
			MLPs		08		001		002			13			Priv RE		-122		-0025		0031		329
			PRIVATE NR		-32		011		-003			112			REITs		165		0020		0033		346
		VOLATILITY		DS EVENT DRIVEN		-11		-000		000			-05			Priv NatRes		-323		-0033		0106		1124			Equities		01		740
			DS RELATIVE VALUE		40		000		000			02			Commod		000		0003		0000		000			Fixed Income		-48		57
			DS MACRO		38		001		000			13			MLPs		080		0015		0012		128			Real Assets		-20		193
		CASH		CASH		45		000		000			00			Cash		446		0000		0000		000			Diversifying Strategies		67		10
					094						Total								-00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution9copy2018 Fund Evaluation Group LLC

CATEGORY RISK FACTOR

ABSOLUTE CONTRIBUTION

TO RISK

MARGINAL CONTRIBUTION

TO RISKEQUITY RISK PREMIUM 423 224INTL EQUITY 037 110EMERGING MARKETS RISK PREMIUM 037 054TECHNOLOGY HEALTHCARE 000 -010SMALL CAP RISK PREMIUM 005 031VALUE RISK PREMIUM -002 -022MOMENTUM 000 002BOND RISK PREMIUM 003 -017TERM RISK PREMIUM 011 05910 YR REAL 005 -036

CREDIT DEFAULT RISK PREMIUM 034 095VOLATILITY 008 -107SKEW 000 022RATE VOLATILITY 005 -063

LIQUIDITY LIQUIDTY RISK PREMIUM 005 029COMMODITY COMMODITIES 008 078CURRENCY FOREIGN EXCHANGE 057 180INFLATION INFLATION 000 -017OTHER TREND 002 035RESIDUAL RESIDUAL 049 049

686

EQUITY-RELATED

RATES

VOLATILITY

PORTFOLIO RISK DECOMPOSITION BY FACTOR

Return residuals relative to the Equity Risk Premium (contribution to risk not correlated with the Equity Risk Premium)Factors containing the term ldquoRisk Premiumrdquo increase portfoliorsquos expected return because of exposure

Source Fund Evaluation Group LLC

PORTFOLIO

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies0718200000000000060136889900000000000008E-255100000000000003E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08878996256124325221820763114784977E-38978526879572582E-220133029280363032E-2

PRDF

EQUITY RISK PREMIUM061570741096565196INTL EQUITY54561524315114143E-2EMERGING MARKETS RISK PREMIUM5435258880496565E-2TECHNOLOGY HEALTHCARE-13324726889770504E-4SMALL CAP RISK PREMIUM72054081063942701E-3VALUE RISK PREMIUM-32422838972433819E-3MOMENTUM-4116155215474442E-5BOND RISK PREMIUM45854927318523071E-3TERM RISK PREMIUM1635098679443376E-210 YR REAL65977833355980921E-3CREDIT SPREADS49849572632343367E-2VOLATILITY11576138058246985E-2SKEW15676488036052622E-4RATE VOLATILITY79497672857209503E-3LIQUIDITY RISK PREMIUM72581091945310185E-3COMMODITIES1144939979138033E-2US DOLLAR82407300039765499E-2INFLATION-13441175524927734E-4TREND25945004628537905E-3RESIDUAL70948357074332336E-2

Sheet3

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		423		224				Equity RP		1883		2245		4226		616
			INTL EQUITY		037		110				Intl EQ		0341		1099		0374		55
			EMERGING MARKETS RISK PREMIUM		037		054				EM RP		0690		0540		0373		54
			TECHNOLOGY HEALTHCARE		-000		-010				TechampHC		0010		-0095		-0001		-00
			SMALL CAP RISK PREMIUM		005		031				Size RP		0161		0308		0049		07
			VALUE RISK PREMIUM		-002		-022				Value RP		0099		-0225		-0022		-03
			MOMENTUM		-000		002				Momentum		-0016		0017		-0000		-00
		RATES		BOND RISK PREMIUM		003		-017				Shift		-0188		-0168		0031		05
			TERM RISK PREMIUM		011		059				Twist		0189		0595		0112		16
			10 YR REAL		005		-036				Real Rates		-0124		-0364		0045		07
		CREDIT		DEFAULT RISK PREMIUM		034		095				Credit RP		0359		0953		0342		50
		VOLATILITY		VOLATILITY		008		-107				Volatility		-0074		-1069		0079		12
			SKEW		000		022				Skew		0005		0218		0001		00
			RATE VOLATILITY		005		-063				Rate Vol		-0087		-0628		0055		08
		LIQUIDITY		LIQUIDTY RISK PREMIUM		005		029				Liquidity RP		0171		0291		0050		07
		COMMODITY		COMMODITIES		008		078				Commodities		0101		0777		0079		11
		CURRENCY		FOREIGN EXCHANGE		057		180				Currency		0314		1802		0566		82
		INFLATION		INFLATION		-000		-017				Inflation		0005		-0171		-0001		-00
		OTHER		TREND		002		035				Trend		0051		0352		0018		03
		RESIDUAL		RESIDUAL		049		049				Residual		1000		0487		0487		71
				686
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM		616		ERRORREF
								INTL EQUITY		55		ERRORREF
								EMERGING MARKETS RISK PREMIUM		54		ERRORREF
								TECHNOLOGY HEALTHCARE		-00		ERRORREF
								SMALL CAP RISK PREMIUM		07		ERRORREF
								VALUE RISK PREMIUM		-03		ERRORREF
								MOMENTUM		-00		ERRORREF
								BOND RISK PREMIUM		05		ERRORREF
								TERM RISK PREMIUM		16		ERRORREF
								10 YR REAL		07		ERRORREF
								CREDIT SPREADS		50		ERRORREF
								VOLATILITY		12		ERRORREF
								SKEW		00		ERRORREF
								RATE VOLATILITY		08		ERRORREF
								LIQUIDITY RISK PREMIUM		07		ERRORREF
								COMMODITIES		11		ERRORREF
								US DOLLAR		82		ERRORREF
								INFLATION		-00		ERRORREF
								TREND		03		ERRORREF
								RESIDUAL		71		ERRORREF
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		AC_Weight		MCR		CR		PCR
		EQUITIES		LARGEMID CAP		286		405		014			288			LC Eqty		02859		01415504002		40469259407		02883273947
			SMALL CAP		82		160		019			114			SC Eqty		0082		01948282274		15975914646		01138220445
			INTL DEVELOPED		192		371		019			265			DM ex US		01919		01934764378		37128128417		02645231638
			EMERGING MARKETS		97		242		025			173			EM Eqty		00972		02491232367		24214778609		01725206769
			HEDGED EQUITY		61		068		011			49			Eqty Hedge		00612		01117052214		06836359549		00487063457
			PE - BUYOUT		00		000		010			00			PE Buyout		0		01028449264		0		0
			PE - VENTURE		00		000		012			00			PE Venture		0		01190112163		0		0
		RATES		CORE FIXED INCOME		93		001		000			01			Rate Sens		00932		00008903141		00082977276		00005911801
			TIPS		44		002		001			02			High Yield		0		00955765121		0		0
			EM FIXED INCOME		00		000		006			00			FI EM		0		00632551221		0		0
		CREDIT		HIGH YIELD		00		000		010			00			TIPS		00436		00051214708		00223296127		00015908962
		REAL ESTATE		PUBLIC REAL ESTATE		43		076		017			54			Event Driven		0		00819765049		0		0
			PRIVATE REAL ESTATE		00		000		001			00			Rel Value		00551		00512857694		02825845895		00201330293
		NATURAL RESOURCES		COMMODITIES		25		025		010			18			Macro		0		00092377174		0		0
			MLPs		22		025		011			18			Priv RE		0		00094075454		0		0
			PRIVATE NR		00		000		008			00			REITs		00434		01748192446		07587155214		00540554665
		VOLATILITY		DS EVENT DRIVEN		00		000		008			00			Priv Nat Res		0		00787971962		0		0
			DS RELATIVE VALUE		55		028		005			20			Commod		00245		01022915996		0250614419		00178552817
			DS MACRO		00		000		001			00			MLPs		0022		01140383887		02508844552		00178745207
		CASH		CASH		00		000		000			00			Cash		0		0		0		0
										LCMC		286		288					Equities		718		888
										SC		82		114					Fixed Income		137		02
										INTL		192		265					Real Assets		90		90
		ASSET ALLOCATION									EM		97		173					Diversifying Strategies		55		20
										HE		61		49
										PE-BO		00		00
										PE-VENTURE		00		00
										CORE FI		93		01
										TIPS		44		02
										EM FI		00		00
										HY		00		00
										PUB RE		43		54
										PRIV RE		00		00
						28 x 398					COMM		25		18
										MLPs		22		18
										PRIV NR		00		00
										DS ED		00		00
										DS RV		55		20
										DS MACRO		00		00
										CASH		00		00
		RISK DISTRIBUTION

ABSOLUTE RISK

PASTE TABLE IN CELL N7

()

Row

PortfolioAbsoluteRisk

TOTAL RISK

1404

Total

140358703881

COMMON FACTOR

1387

Common Factor

138666331643

ASSET CLASS-SPECIFIC

017

Asset Class-Specific

01692372238

BENCHMARK RISK

1437

ACTIVE RISK

055

Row

OtherRisk

Benchmark

143698193854

Active

05480278389

s

APPENDIX

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution11copy2018 Fund Evaluation Group LLC

TRIBUTE

bull A portfolio management tool for returns-based attribution analysis

bull TRIBUTE deconstructs the value-added return of the various asset classes into three parts Active Asset Allocation ndash Determines if overweightingunderweighting an asset class was additive to

performancebull (Actual Beginning Weight ndash Target Weight) x (Asset Class Benchmark Return ndash Target Weighted Benchmark Return)

Manager Selection ndash Determines if managers were able to outperform their respective benchmark also knownas alphabull (Asset Class Return ndash Asset Class Benchmark Return) x (Target Weight)

Interaction Effect ndash Compounding effect from the interaction between the weighting and section effects doesnot represent an explicit investment decisionbull (Actual Beginning Weight ndash Target Weight) x (Actual Asset Class Return ndash Asset Class Benchmark Return)

bull Allows for the pure calculations of active asset allocation and manager selection decisions

- +

+ -

Underperform Outperform

Ove

rwei

ght

Und

erw

eigh

t

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution12copy2018 Fund Evaluation Group LLC

RISK MODEL ASSET CLASSES

CATEGORY ASSET CLASS INDEX

EQUITIES

LARGEMID CAP SampP 500 INDEXSMALL CAP RUSSELL 2000 INDEXINTL LARGE CAP MSCI WORLD EX-US INDEXINTrsquoL SMALL CAP MSCI WORLD EX-US SMALL CAP INDEXEMERGING MARKETS MSCI EMERGING MARKETS INDEXHEDGED EQUITY HFRI EQUITY HEDGE INDEXPE - BUYOUT THOMSON ONE CUSTOM BUYOUT INDEXPE - VENTURE THOMSON ONE CUSTOM VENTURE CAPITAL INDEX

RATESCORE FIXED INCOME BLOOMBERG BARCLAYS US AGGREGATE BOND INDEXTIPS BLOOMBERG BARCLAYS US TIPS INDEXEM FIXED INCOME JP MORGAN EMBI GLOBAL INDEX

CREDIT HIGH YIELD BLOOMBERG BARCLAYS US CORPORATE HIGH YIELD INDEX

REAL ESTATE PUBLIC REAL ESTATE FTSE NAREIT ALL EQUITY INDEXPRIVATE REAL ESTATE THOMSON ONE CUSTOM PRIVATE REAL ESTATE INDEX

NATURAL RESOURCESCOMMODITIES BLOOMBERG COMMODITY INDEXMLPs ALERIAN MLP INDEXPRIVATE NR THOMSON ONE CUSTOM PRIVATE NATURAL RESOURCES INDEX

VOLATILITYDS EVENT DRIVEN HFRI EVENT DRIVEN INDEXDS RELATIVE VALUE HFRI RELATIVE VALUE INDEXDS MACRO HFRI MACRO INDEX

CASH CASH CASHSource Fund Evaluation Group LLC

Growth and Value

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

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• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution13copy2018 Fund Evaluation Group LLC

RISK FACTOR DEFINITIONS

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

CATEGORY RISK FACTOR DEFINITION CALCULATION

EQUITY-RELATED

EQUITY RISK PREMIUM SampP 500 Total Return (TR) Monthly return

INTL EQUITY MSCI World Ex US TR orthogonalized to the ERP The component of the monthly return of the MSCI World ex-US Index which is uncorrelated to the ERP and FX

EMERGING MARKETS RISK PREMIUM MSCI EM TR orthogonalized to the ERP The component of the monthly return of the MSCI EM Index which is uncorrelated to the ERP FX and liquidity RP

TECHNOLOGY HEALTHCARE NASDAQ TR orthogonalized to the ERP The component of the monthly return of the NASDAQ Composite Index which is uncorrelated to the SampP500 and the Small Cap RP

SMALL CAP RISK PREMIUM Fama French US Small Minus Large (SML) Long-Short Index TR Monthly return a positive value indicates small stocks are outperforming large stocks

VALUE RISK PREMIUM Fama French US Value - Growth (HML) Long-Short Index TR Monthly return a positive value indicates that value stocks are outperforming growth stocks

MOMENTUM Fama French US Winner-Loser (WML) Long-Short Index TR Monthly return a positive value indicates that past winners are outperforming past losers

RATES

BOND RISK PREMIUM US Federal Reserve Constant Maturity Treasury Yield Index level-shift component

1st principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a parallel rise in the Treasury Yield Curve

TERM RISK PREMIUM US Federal Reserve Constant Maturity Treasury Index Twist twist component

2nd principal component of the MOM change in Constant Maturity Treasury yields a positive value indicates a clockwise rotation (flattening) of the Treasury Yield Curve

10 YR REAL (10-Year CMT Yield) - (1-Year Inflation Expectations) Monthly change

CREDIT DEFAULT RISK PREMIUM Barclays Investment Grade Corporate Credit Spreads to Treasury (Option Adjusted)

Monthly change a positive value indicates falling spreads implying the likelihood of decreasing default rates

VOLATILITY

VOLATILITY CBOE VIX Index 30-Day Implied Volatility on SampP500 Index Options Monthly change

SKEWCBOE Skew Index - Option Implied negative skewness in the SampP500 return distribution an increase in the metric corresponds to higher negative tail risk for equities

Monthly change a positive value indicates investors pricing in an increasing probabilty of a negative tail event in the SampP500

RATE VOLATILITYMerrill Lynch Option Volatility Estimate - Implied Volatility on 1-month Treasury options weighted on the 2- 5- 10- and 30-year contracts

Monthly change

LIQUIDITY LIQUIDTY RISK PREMIUM Pastor amp Stambaugh Equity Market Liquidity Metric long-short return

Monthly return a positive value indicates that low liquidity equities are outperforming high liquidity equities

COMMODITY COMMODITIES Bloomberg Commodity Index TR orthogonalized to the foreign currency factor

The component of monthly return of the commodity index that is uncorrelated to FX

CURRENCY FOREIGN CURRENCY Federal Reserve USD Broad Market Currency Index (negated) long a broad basket of foreign currencies and short USD

Monthly return a positive value indicates that the foreign currencies are appreciating relative to the USD

INFLATION INFLATION

A propietary composite index of 1-year inflation expectations from the Bloomberg economist survey the Philadelphia Fed Survey of Professional Forecasters and the Cleveland Federal Reserves Market-Based Inflation Expectations Model

Monthly change

OTHER TREND AQR Multi-Asset Class Long-Short Trend Return IndexMonthly return a positive value indicates that market sectors with positive return trends are outperfoming those with negative return trends

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

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• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution14copy2018 Fund Evaluation Group LLC

ASSET CLASS FACTOR EXPOSURES

EQUITY RP 41 42 55 47 32 34 36 35 40 34 24 23 33 00 00 08 12 53 19 00 00 00 18 05 00 00INTL EQUITY 00 00 00 00 34 29 36 37 00 00 07 10 00 00 00 00 00 00 00 00 00 00 09 02 00 00EM RP 00 00 00 00 00 00 00 00 66 68 09 00 00 00 00 09 00 00 00 00 00 00 00 00 00 00TECHHC 00 00 00 00 00 00 00 00 00 00 00 00 25 00 00 00 00 00 00 00 00 00 00 00 00 00SC RP 00 00 26 19 00 00 17 15 00 00 07 00 00 00 00 00 00 00 00 00 00 00 06 00 00 00VALUE RP -07 07 -11 14 -06 04 -06 09 -05 00 00 00 00 00 00 00 00 21 10 00 00 00 00 00 00 00MOMENTUM 02 -02 00 00 00 -03 00 00 00 00 00 00 04 00 00 00 00 00 00 00 00 00 00 00 00 00BOND RP 00 00 00 00 00 00 00 00 00 00 00 00 00 -10 00 00 -12 00 00 00 00 13 00 -02 00 00TERM RP 00 00 00 00 00 00 00 00 00 00 00 06 00 04 00 00 00 00 12 00 00 00 00 00 02 0010 YR REAL 00 00 00 00 00 00 00 00 00 00 00 00 04 00 -14 -14 00 -25 00 00 00 00 00 00 00 00DFLT RISK PREM 00 00 00 00 00 00 00 00 00 00 00 00 00 03 00 08 18 12 00 00 19 00 01 09 00 00VOLATILITY 00 00 -06 -05 00 00 00 00 00 -03 -02 00 00 00 00 00 00 -05 00 00 00 00 00 00 -03 00SKEW 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 01 00RATE VOLATILITY 00 00 00 00 00 00 00 00 00 00 00 00 00 -01 -03 00 -03 00 00 00 -09 00 00 00 00 00LIQUIDITY RP 00 00 00 00 00 00 00 00 06 04 00 08 00 00 00 00 00 00 11 00 09 00 00 00 00 00COMMODITIES 00 00 00 00 00 00 00 00 00 00 00 00 00 00 04 00 00 00 00 42 12 20 00 03 00 00FOREIGN EXCH 00 00 00 00 15 13 14 12 10 14 03 08 00 00 00 03 00 00 00 10 08 11 02 00 00 00INFLATION 00 00 00 00 00 00 00 00 00 00 00 00 00 00 02 00 00 00 00 00 00 00 00 00 00 00TREND 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 06 00RESIDUAL 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

LCG

MCG

LCV

MCV SC

G

SCV

INT

L LCG

INT

L LCV

INT

L SCG

INT

L SCV

EM LC

G

EM LC

V HE

PE -

BUYO

UT

PE -

VENT

URE

CORE

FI

TIPS

EM F

I

HIGH

YIE

LD

REIT

S

PRIV

ATE

RE

COM

MO

DITI

ES

MLP

s

PRIV

ATE

NR

DS E

D

DS R

V

DS

MAC

RO

CASH

RISK

FAC

TORS

ASSET CLASSES

Suppose one wants to increase small cap risk premium Go to the Small Cap Risk Premium row and look across the columns The chart shows one can most efficiently do this by increasing the weight to small cap equities (obvious) but can also accomplish this by increasing exposure to hedged equity or event driven hedge funds (less obvious)

Orthogonal Statistically independent

Source Fund Evaluation Group LLC

Suppose one is concerned that rates are going to rise in mass and the yield curve is going to have a big positive shift One can most efficiently reduce this exposure by decreasing allocations to core fixed income or high yield

SUMMARY

PRDA

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA (2)

EquitiesFixed IncomeReal AssetsDiversifying Strategies06324750000000001201968999999999999983799999999999999E-286925000000000002E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies08505701616507834739340664945335065E-295106819127327297E-214982354276554172E-2

PRDA Rel

EquitiesFixed IncomeReal AssetsDiversifying Strategies3247499999999999E-2-3100000000000009E-3-16200000000000006E-2-1307500000000001E-2

EquitiesFixed IncomeReal AssetsDiversifying Strategies0942649616894405342119724119982875E-269307123661692158E-2-54076464676080314E-2

PRDF

EQUITY RISK PREMIUM069344671984681672INTL EQUITY28941645512500988E-2EMERGING MARKETS RISK PREMIUM24461262048013886E-2TECHNOLOGY HEALTHCARE0SMALL CAP RISK PREMIUM19889925446758515E-3VALUE RISK PREMIUM-56613561523447811E-3MOMENTUM-15015439838511957E-4BOND RISK PREMIUM65068095054599762E-2TERM RISK PREMIUM12737080888051314E-210 YR REAL25803824585844841E-2CREDIT SPREADS4933931606025551E-2VOLATILITY11164271866084034E-2SKEW29270598072058142E-5RATE VOLATILITY41735831382505644E-3LIQUIDITY RISK PREMIUM-34399448030836895E-4COMMODITIES21024562471228095E-2US DOLLAR45994667179327063E-2INFLATION0TREND31877004930668619E-4RESIDUAL21663443188010768E-2

AC Corr

Wtd Factor Exp

AC MCR

Sheet1

Sheet3

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

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• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

			02
			015
			01
			005
			0
			-005
			-01
			-015
			-02
				-02		-015

				LCGMCG
				LCVMCV
				SCG
				SCV
				INTL LCG
				INTL LCV
				INTL SCG
				INTL SCV
				EM LCG
				EM LCV
				HE
				PE - BUYOUT
				PE - VENTURE
				CORE FI
				TIPS
				EM FI
				HIGH YIELD
				REITS
				PRIVATE RE
				COMMODITIES
				MLPs
				PRIVATE NR
				DS ED
				DS RV
				DS MACRO
				CASH

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Factor Exposures Per Asset Class																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RP		41		42		55		47		32		34		36		35		40		34		24		23		33		00		00		08		12		53		19		00		00		00		18		05		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		34		29		36		37		00		00		07		10		00		00		00		00		00		00		00		00		00		00		09		02		00		00						INTL SCV
		EM RP		00		00		00		00		00		00		00		00		66		68		09		00		00		00		00		09		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHC		00		00		00		00		00		00		00		00		00		00		00		00		25		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RP		00		00		26		19		00		00		17		15		00		00		07		00		00		00		00		00		00		00		00		00		00		00		06		00		00		00						HE
		VALUE RP		-07		07		-11		14		-06		04		-06		09		-05		00		00		00		00		00		00		00		00		21		10		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		02		-02		00		00		00		-03		00		00		00		00		00		00		04		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RP		00		00		00		00		00		00		00		00		00		00		00		00		00		-10		00		00		-12		00		00		00		00		13		00		-02		00		00						CORE FI
		TERM RP		00		00		00		00		00		00		00		00		00		00		00		06		00		04		00		00		00		00		12		00		00		-00		00		00		02		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		04		00		-14		-14		00		-25		00		00		00		00		00		00		00		00						EM FI
		DFLT RISK PREM		00		00		00		00		00		00		00		00		00		00		00		00		00		03		00		08		18		12		00		00		19		00		01		09		00		00						HIGH YIELD
		VOLATILITY		00		00		-06		-05		00		00		00		00		00		-03		-02		00		00		00		00		00		00		-05		00		00		00		00		00		00		-03		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		-03		00		-03		00		00		00		-09		00		00		00		00		00						COMMODITIES
		LIQUIDITY RP		00		00		00		00		00		00		00		00		06		04		00		08		00		00		00		00		00		00		11		00		09		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		04		00		00		00		00		42		12		20		00		03		00		00						PRIVATE NR
		FOREIGN EXCH		00		00		00		00		15		13		14		12		10		14		03		08		00		00		00		03		00		00		00		10		08		11		02		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		06		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		Equity RP		4094		4240		5519		4664		3233		3428		3642		3514		3988		3426		2400		2293		3278		0000		1153		0756		0000		1765		0501		0000		1870		5266		0000		0000		0000		0000
		Intl EQ		0000		0000		0000		0000		3363		2906		3644		3670		0000		0000		0666		1012		0000		0000		0000		0000		0000		0876		0244		0000		0000		0000		0000		0000		0000		0000
		EM RP		0000		0000		0000		0000		0000		0000		0000		0000		6643		6757		0879		0000		0000		0000		0000		0879		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		TechampHC		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		2470		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Size RP		0000		0000		2575		1856		0000		0000		1729		1485		0000		0000		0665		0000		0000		0000		0000		0000		0000		0557		0000		0000		0000		0000		0000		0000		0000		0000
		Value RP		-0682		0724		-1056		1410		-0570		0354		-0557		0869		-0473		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		1018		2090		0000		0000		0000		0000
		Momentum		0174		-0221		0000		0000		0000		-0289		0000		0000		0000		0000		0000		0000		0362		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Shift		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0983		-1166		0000		0000		0000		-0245		0000		0000		0000		1344		0000		0000		0000
		Twist		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0595		0000		0426		0000		0000		0000		0000		0000		0237		1220		0000		-0012		0000		0000		0000
		Real Rates		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0411		0000		0000		-1359		-1438		0000		0000		0000		0000		-2492		0000		0000		0000		0000
		Credit RP		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0338		1789		0779		0000		0130		0914		0000		0000		1158		0000		0000		1876		0000
		Volatility		0000		0000		-0602		-0521		0000		0000		0000		0000		0000		-0301		-0172		0000		0000		0000		0000		0000		0000		0000		0000		-0280		0000		-0461		0000		0000		0000		0000
		Skew		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0063		0000		0000		0000		0000		0000		0000
		Rate Vol		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		-0134		-0333		0000		-0252		0000		0000		0000		0000		0000		0000		0000		-0901		0000
		Liquidity RP		0000		0000		0000		0000		0000		0000		0000		0000		0619		0382		0000		0836		0000		0000		0000		0000		0000		0000		0000		0000		1107		0000		0000		0000		0937		0000
		Commodities		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0429		0000		0283		0000		0000		0000		1993		4226		1155		0000
		Currency		0000		0000		0000		0000		1452		1285		1357		1237		1022		1371		0325		0788		0000		0000		0000		0282		0000		0250		0000		0000		0000		0000		1102		0956		0815		0000
		Inflation		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0188		0000		0000		0000		0000		0000		0000		0000		0000		0000
		Trend		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0000		0575		0000		0000		0000		0000		0000		0000

																																	LCGMCG
																																	LCVMCV
																																	SCG
		Found		FactorDetail Excel sheet Weighted Factor Exposures Per Asset Class and Aggregate Portfolio Exposure																															SCV
																																	INTL LCG
																																	INTL LCV
		EQUITY RISK PREMIUM		04		05		00		00		03		03		00		01		01		03		02		00		00		00		00		00		00		02		00		00		00		00		00		00		00		00						INTL SCG
		INTL EQUITY		00		00		00		00		03		03		00		01		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						INTL SCV
		EM RISK PREMIUM		00		00		00		00		00		00		00		00		01		05		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCG
		TECHHEALTHCARE		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						EM LCV
		SC RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						HE
		VALUE RISK PREMIUM		-01		01		-00		00		-01		00		-00		00		-00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00						PE - BUYOUT
		MOMENTUM		00		-00		00		00		00		-00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PE - VENTURE
		BOND RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		-01		00		00		-00		00		00		00		00		00		00		-00		00		00						CORE FI
		TERM RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00						TIPS
		10 YR REAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		00		00		-01		00		00		00		00		00		00		00		00						EM FI
		CREDIT SPREADS		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00		00		01		00		00		00		00		00						HIGH YIELD
		VOLATILITY		00		00		-00		-00		00		00		00		00		00		-00		-00		00		00		00		00		00		00		-00		00		00		00		00		00		00		-00		00						REITS
		SKEW		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						PRIVATE RE
		RATE VOLATILITY		00		00		00		00		00		00		00		00		00		00		00		00		00		-00		-00		00		-00		00		00		00		-00		00		00		00		00		00						COMMODITIES
		LIQUIDTY RISK PREMIUM		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						MLPs
		COMMODITIES		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		01		00		00		00		00		00						PRIVATE NR
		US DOLLAR		00		00		00		00		01		01		00		00		00		01		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS ED
		INFLATION		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS RV
		TREND		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						DS MACRO
		RESIDUAL		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
			PASTE TABLE IN CELL C32
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		EQ_RP		04428		04584		00119		00134		03030		03219		00052		00794		00805		02545		02497		00000		00000		00000		00230		00000		00000		00116		00046		00000		00000		01706		00000		00000		00000		00000
		Intl_EQ		00000		00000		00000		00000		03149		02716		00052		00824		00000		00000		00711		00000		00000		00000		00000		00000		00000		00074		00022		00000		00000		00000		00000		00000		00000		00000
		EM_RP		00000		00000		00000		00000		00000		00000		00000		00000		01341		05084		00957		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Tech_HC		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Size_RP		00000		00000		00056		00054		00000		00000		00025		00338		00000		00000		00679		00000		00000		00000		00000		00000		00000		00040		00000		00000		00000		00000		00000		00000		00000		00000
		Value_RP		-00734		00780		-00023		00040		-00530		00335		-00008		00203		-00088		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00729		00000		00000		00000		00000
		Mom		00185		-00236		00000		00000		00000		-00275		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Bond_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-01460		-00246		00000		00000		00000		-00023		00000		00000		00000		00000		00000		00000		00000
		Term_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00634		00000		00000		00000		00000		00000		00165		00000		00000		00000		00000		00000		00000
		Real_Rates		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00423		00000		00000		00000		00000		-00803		00000		00000		00000		00000
		Credit_RP		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00501		00363		00000		00000		00032		00084		00000		00000		00372		00000		00000		00959		00000
		Vol		00000		00000		-00013		-00015		00000		00000		00000		00000		00000		-00235		-00210		00000		00000		00000		00000		00000		00000		00000		00000		-00199		00000		-00166		00000		00000		00000		00000
		Skew		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00084		00000		00000		00000		00000		00000		00000
		Rate_Vol		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		-00198		-00063		00000		-00075		00000		00000		00000		00000		00000		00000		00000		-00465		00000
		Liq_RP		00000		00000		00000		00000		00000		00000		00000		00000		00126		00283		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00485		00000
		Comm		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00127		00000		00026		00000		00000		00000		00000		00000		00590		00000
		Currency		00000		00000		00000		00000		01378		01215		00020		00274		00208		01043		00340		00000		00000		00000		00000		00000		00000		00022		00000		00000		00000		00000		00000		00000		00449		00000
		Infl		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00056		00000		00000		00000		00000		00000		00000		00000		00000		00000
		Trend		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00000		00456		00000		00000		00000		00000		00000		00000

		Found		AssetDetail Excel Sheet Stdev amp rhoM tab
		LCMC GROWTH		10		09		09		07		06		06		06		05		05		04		07		07		04		01		01		04		06		06		02		01		02		01		06		06		02		00						LCGMCG
		LCMC VALUE		09		10		08		09		06		07		06		05		05		04		07		07		05		01		01		04		05		07		02		02		02		01		06		06		02		00						LCVMCV
		SC GROWTH		09		08		10		08		06		05		06		05		05		04		08		06		04		01		00		04		05		05		01		02		02		02		07		05		02		00						SCG
		SC VALUE		07		09		08		10		05		06		06		06		05		04		07		06		04		00		00		04		05		07		01		02		02		02		06		05		01		00						SCV
		INTL LC GROWTH		06		06		06		05		10		09		10		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCG
		INTL LC VALUE		06		07		05		06		09		10		09		09		05		05		08		08		03		01		01		04		04		05		01		04		03		03		08		06		01		00						INTL LCV
		INTL SC GROWTH		06		06		06		06		10		09		10		09		06		05		08		08		03		00		01		04		04		04		01		04		03		03		08		06		01		00						INTL SCG
		INTL SC VALUE		05		05		05		06		09		09		09		10		05		05		07		07		02		00		01		04		04		05		01		04		03		03		08		06		01		00						INTL SCV
		EM LC GROWTH		05		05		05		05		05		05		06		05		10		10		07		05		02		00		00		05		03		04		01		04		02		03		05		04		01		00						EM LCG
		EM LC VALUE		04		04		04		04		05		05		05		05		10		10		07		05		02		00		00		05		03		03		01		04		02		03		05		04		01		00						EM LCV
		HEDGED EQUITY		07		07		08		07		08		08		08		07		07		07		10		07		05		00		00		05		04		05		01		03		03		03		08		07		02		00						HE
		PE - BUYOUT		07		07		06		06		08		08		08		07		05		05		07		10		03		01		02		05		05		06		02		03		03		03		07		06		02		00						PE - BUYOUT
		PE - VENTURE		04		05		04		04		03		03		03		02		02		02		05		03		10		-00		-00		02		02		03		03		00		-01		-00		03		03		01		00						PE - VENTURE
		CORE FIXED INCOME		01		01		01		00		01		01		00		00		00		00		00		01		-00		10		07		05		07		04		01		-00		-00		-04		00		03		02		00						CORE FI
	55		TIPS		01		01		00		00		01		01		01		01		00		00		00		02		-00		07		10		05		05		03		01		02		01		-01		01		03		02		00						TIPS
	54		EM FIXED INCOME		04		04		04		04		04		04		04		04		05		05		05		05		02		05		05		10		06		05		01		02		00		01		04		06		02		00						EM FI
	53		HIGH YIELD		06		05		05		05		04		04		04		04		03		03		04		05		02		07		05		06		10		06		01		01		03		-01		04		07		01		00						HIGH YIELD
	60		PUBLIC REAL ESTATE		06		07		05		07		05		05		04		05		04		03		05		06		03		04		03		05		06		10		02		02		01		00		04		05		01		00						REITS
	59		PRIVATE REAL ESTATE		02		02		01		01		01		01		01		01		01		01		01		02		03		01		01		01		01		02		10		00		-00		-01		01		01		-00		00						PRIVATE RE
	62		COMMODITIES		01		02		02		02		04		04		04		04		04		04		03		03		00		-00		02		02		01		02		00		10		03		05		03		04		00		00						COMMODITIES
	63		MLPs		02		02		02		02		03		03		03		03		02		02		03		03		-01		-00		01		02		03		01		-00		03		10		05		04		04		01		00						MLPs
	61		PRIVATE NR		01		01		02		02		03		03		03		03		03		03		03		03		-00		-04		-01		01		-01		00		-01		05		05		10		04		02		00		00						PRIVATE NR
	56		DS EVENT DRIVEN		06		06		07		06		08		08		08		08		05		05		08		07		03		00		01		04		04		04		01		03		04		04		10		07		01		00						DS ED
	57		DS RELATIVE VALUE		06		06		05		05		06		06		06		06		04		04		07		06		03		03		03		06		07		05		01		04		04		02		07		10		01		00						DS RV
	58		DS MACRO		02		02		02		01		01		01		01		01		01		01		02		02		01		02		02		02		01		01		-00		00		01		00		01		01		10		00						DS MACRO
	64		CASH		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		00		10						CASH
			LCGMCG		LCVMCV		SCG		SCV		INTL LCG		INTL LCV		INTL SCG		INTL SCV		EM LCG		EM LCV		HE		PE - BUYOUT		PE - VENTURE		CORE FI		TIPS		EM FI		HIGH YIELD		REITS		PRIVATE RE		COMMODITIES		MLPs		PRIVATE NR		DS ED		DS RV		DS MACRO		CASH
																	T		S		R		Y		X		AA		AB		Z		U		V		W		AC
			PASTE TABLE IN CELL C38
		Row		equsG		equsV		eqscG		eqscV		eqxusG		eqxusV		eqxusSG		eqxusSV		eqemG		eqemV		eh		peboc		peventc		aggus		hyus		fiem		tips		ed		rv		macro		pre		reit		pnr		comm		mlp		cash
		equsG		100		086		085		069		059		057		058		045		046		037		072		066		043		012		055		041		010		061		059		019		017		059		009		014		016		0
		equsV		086		100		077		085		059		065		056		055		047		043		073		069		047		010		055		042		006		061		058		015		017		075		015		018		020		0
		eqscG		085		077		100		084		055		054		061		048		047		041		078		058		044		005		050		038		003		066		054		015		010		052		019		019		022		0
		eqscV		069		085		084		100		054		060		058		060		047		044		074		057		036		004		049		037		002		064		053		009		007		070		023		024		021		0
		eqxusG		059		059		055		054		100		094		095		091		054		052		076		078		029		008		040		042		008		078		060		011		009		046		031		035		026		0
		eqxusV		057		065		054		060		094		100		091		092		054		054		077		080		026		006		043		043		007		080		063		007		007		051		034		036		028		0
		eqxusSG		058		056		061		058		095		091		100		095		055		054		079		076		025		004		038		040		007		080		061		011		011		042		030		037		026		0
		eqxusSV		045		055		048		060		091		092		095		100		052		054		074		072		019		002		036		038		006		077		060		007		007		046		030		038		027		0
		eqemG		046		047		047		047		054		054		055		052		100		098		072		052		018		003		029		053		004		050		044		009		010		036		028		037		022		0
		eqemV		037		043		041		044		052		054		054		054		098		100		069		049		015		002		027		052		004		049		041		010		008		032		031		040		025		0
		eh		072		073		078		074		076		077		079		074		072		069		100		074		047		004		044		049		004		081		067		019		007		051		029		034		031		0
		peboc		066		069		058		057		078		080		076		072		052		049		074		100		033		014		046		050		017		070		059		015		019		059		033		032		026		0
		peventc		043		047		044		036		029		026		025		019		018		015		047		033		100		-003		020		022		-002		028		027		014		030		029		-000		004		-005		0
		aggus		012		010		005		004		008		006		004		002		003		002		004		014		-003		100		068		050		073		002		030		018		014		036		-037		-002		-002		0
		hyus		055		055		050		049		040		043		038		036		029		027		044		046		020		068		100		063		050		045		071		014		007		063		-012		012		027		0
		fiem		041		042		038		037		042		043		040		038		053		052		049		050		022		050		063		100		051		043		057		021		010		049		010		022		022		0
		tips		010		006		003		002		008		007		007		006		004		004		004		017		-002		073		050		051		100		007		027		024		008		031		-014		019		007		0
		ed		061		061		066		064		078		080		080		077		050		049		081		070		028		002		045		043		007		100		071		007		010		041		036		030		037		0
		rv		059		058		054		053		060		063		061		060		044		041		067		059		027		030		071		057		027		071		100		013		006		051		017		037		043		0
		macro		019		015		015		009		011		007		011		007		009		010		019		015		014		018		014		021		024		007		013		100		-002		013		001		004		009		0
		pre		017		017		010		007		009		007		011		007		010		008		007		019		030		014		007		010		008		010		006		-002		100		018		-011		002		-000		0
		reit		059		075		052		070		046		051		042		046		036		032		051		059		029		036		063		049		031		041		051		013		018		100		002		015		011		0
		pnr		009		015		019		023		031		034		030		030		028		031		029		033		-000		-037		-012		010		-014		036		017		001		-011		002		100		053		045		0
		comm		014		018		019		024		035		036		037		038		037		040		034		032		004		-002		012		022		019		030		037		004		002		015		053		100		032		0
		mlp		016		020		022		021		026		028		026		027		022		025		031		026		-005		-002		027		022		007		037		043		009		-000		011		045		032		100		0
		cash		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		0		1

								PASTE TABLE IN CELL I8
		CATEGORY		RISK FACTOR		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK				Row		Exposure		MCR		CR		PCR
		EQUITY-RELATED		EQUITY RISK PREMIUM		643		289				Equity RP		2222		2895		6434		693
			INTL EQUITY		027		083				Intl EQ		0325		0827		0269		29
			EMERGING MARKETS RISK PREMIUM		023		047				EM RP		0483		0470		0227		24
			TECHNOLOGY HEALTHCARE		000		-012				TechampHC		0000		-0119		0000		00
			SMALL CAP RISK PREMIUM		002		019				Size RP		0099		0186		0018		02
			VALUE RISK PREMIUM		-005		-036				Value RP		0144		-0364		-0053		-06
			MOMENTUM		-000		007				Momentum		-0019		0075		-0001		-00
		RATES		BOND RISK PREMIUM		060		-176				Shift		-0342		-1765		0604		65
			TERM RISK PREMIUM		012		096				Twist		0123		0964		0118		13
			10 YR REAL		024		-099				Real Rates		-0242		-0989		0239		26
		CREDIT		CREDIT SPREADS		046		141				Credit RP		0324		1412		0458		49
		VOLATILITY		VOLATILITY		010		-142				Volatility		-0073		-1419		0104		11
			SKEW		000		022				Skew		0001		0220		0000		00
			RATE VOLATILITY		004		-073				Rate Vol		-0053		-0726		0039		04
		LIQUIDITY		LIQUIDTY RISK PREMIUM		-000		-011				Liquidity RP		0030		-0106		-0003		-00
		COMMODITY		COMMODITIES		020		090				Commodities		0216		0902		0195		21
		CURRENCY		US DOLLAR		043		153				Currency		0278		1534		0427		46
		INFLATION		INFLATION		000		-021				Inflation		0000		-0213		0000		00
		OTHER		TREND		000		044				Trend		0007		0445		0003		00
		RESIDUAL		RESIDUAL		020		020				Residual		1000		0201		0201		22
								Total				9278		1000
		Return residuals relative to the SampP 500 = (Excess Return - Beta) x (Benchmark Excess Return)							EQUITY RISK PREMIUM			693
								INTL EQUITY			29
								EMERGING MARKETS RISK PREMIUM			24
								TECHNOLOGY HEALTHCARE			00
								SMALL CAP RISK PREMIUM			02
								VALUE RISK PREMIUM			-06
								MOMENTUM			-00
								BOND RISK PREMIUM			65
								TERM RISK PREMIUM			13
								10 YR REAL			26
								CREDIT SPREADS			49
								VOLATILITY			11
								SKEW			00
								RATE VOLATILITY			04
								LIQUIDITY RISK PREMIUM			-00
								COMMODITIES			21
								US DOLLAR			46
								INFLATION			00
								TREND			00
								RESIDUAL			22
		RISK ALLOCATION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		RELATIVE CONTRIBUTION TO RISK		RELATIVE CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		-26		-001		000			-09			US LCG		-262		0004		-0012		-088
			LCMC VALUE		-27		-004		002			-31			US LCV		-272		0015		-0041		-311
			SC GROWTH		02		001		003			05			US SCG		021		0032		0007		053
			SC VALUE		03		001		004			09			US SCV		029		0040		0011		086
			INTL LC GROWTH		04		004		009			31			Intl LCG		045		0090		0040		305
			INTL LC VALUE		03		003		009			23			Intl LCV		035		0086		0030		227
			INTL SC GROWTH		01		002		011			12			Intl SCG		014		0111		0016		120
			INTL SC VALUE		22		027		012			206			Intl SCV		224		0121		0271		2061
			EM LC GROWTH		-06		-011		018			-81			EM LCG		-058		0183		-0107		-812
			EM LC VALUE		49		099		020			755			EM LCV		489		0203		0992		7546
			HEDGED EQUITY		06		003		005			24			Eqty Hedge		061		0052		0032		240
			PE - BUYOUT		00		000		004			00			PE Buyout		000		0039		0000		000
			PE - VENTURE		00		000		-001			00			PE Venture		000		-0006		0000		000
		RATES		CORE FIXED INCOME		-52		003		-001			26			Rate Sens		-523		-0006		0034		257
			TIPS		29		-000		-000			-02			High Yield		200		0012		0024		179
			EM FIXED INCOME		00		000		003			00			FI EM		000		0030		0000		000
		CREDIT		HIGH YIELD		20		002		001			18			TIPS		292		-0001		-0002		-015
		REAL ESTATE		PUBLIC REAL ESTATE		-01		-000		002			-01			Event Driven		-308		0028		-0085		-645
			PRIVATE REAL ESTATE		00		000		-000			00			Rel Value		-308		0011		-0035		-265
		NATURAL RESOURCES		COMMODITIES		-34		-007		002			-51			Macro		486		0010		0049		370
			MLPs		18		016		009			121			Priv RE		000		-0004		0000		000
			PRIVATE NR		00		000		005			00			REITs		-006		0024		-0001		-011
		VOLATILITY		DS EVENT DRIVEN		-31		-008		003			-65			Priv NatRes		000		0048		0000		000			Equities		32		943
			DS RELATIVE VALUE		-31		-003		001			-27			Commod		-340		0020		-0067		-509			Fixed Income		-03		42
			DS MACRO		49		005		001			37			MLPs		184		0087		0159		1213			Real Assets		-16		69
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		-13		-54
					13													00		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
					104													1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

										PASTE TABLE IN CELL K8
		CATEGORY		ASSET CLASS		WEIGHT		ABSOLUTE CONTRIBUTION TO RISK		MARGINAL CONTRIBUTION TO RISK					Row		Weight		MCR		CR		PCR
		EQUITIES		LCMC GROWTH		108		125		012			120			US LCG		1078		0116		1251		1200
			LCMC VALUE		108		124		012			119			US LCV		1078		0115		1244		1194
			SC GROWTH		02		004		018			04			US SCG		021		0178		0038		037
			SC VALUE		03		004		014			04			US SCV		029		0142		0040		039
			INTL LC GROWTH		93		159		017			153			Intl LCG		935		0170		1592		1527
			INTL LC VALUE		93		153		016			146			Intl LCV		935		0163		1525		1463
			INTL SC GROWTH		01		003		019			03			Intl SCG		014		0190		0027		026
			INTL SC VALUE		22		041		018			39			Intl SCV		224		0181		0405		389
			EM LC GROWTH		20		037		018			36			EM LCG		202		0185		0372		357
			EM LC VALUE		75		135		018			130			EM LCV		749		0181		1353		1298
			HEDGED EQUITY		106		102		010			98			Eqty Hedge		1061		0096		1017		976
			PE - BUYOUT		00		000		010			00			PE Buyout		000		0100		0000		000
			PE - VENTURE		00		000		009			00			PE Venture		000		0085		0000		000
		RATES		CORE FIXED INCOME		148		023		002			22			Rate Sens		1477		0016		0230		221
			TIPS		29		004		001			03			High Yield		200		0072		0144		138
			EM FIXED INCOME		00		000		005			00			FI EM		000		0052		0000		000
		CREDIT		HIGH YIELD		20		014		007			14			TIPS		292		0012		0036		034
		REAL ESTATE		PUBLIC REAL ESTATE		32		058		018			55			Event Driven		092		0060		0055		053
			PRIVATE REAL ESTATE		00		000		002			00			Rel Value		092		0037		0034		032
		NATURAL RESOURCES		COMMODITIES		00		000		006			00			Macro		686		0010		0067		064
			MLPs		51		041		008			40			Priv RE		000		0015		0000		000
			PRIVATE NR		00		000		005			00			REITs		324		0178		0577		554
		VOLATILITY		DS EVENT DRIVEN		09		006		006			05			Priv NatRes		000		0047		0000		000			Equities		632		851
			DS RELATIVE VALUE		09		003		004			03			Commod		000		0057		0000		000			Fixed Income		197		39
			DS MACRO		69		007		001			06			MLPs		514		0081		0414		397			Real Assets		84		95
		CASH		CASH		00		000		000			00			Cash		000		0000		0000		000			Diversifying Strategies		87		15
																	1000		1000
		ASSET ALLOCATION
						28 x 398
		RISK DISTRIBUTION

									ABSOLUTE RISK					PASTE TABLE IN CELL N7
									()					Row		PortfolioAbsoluteRisk
						TOTAL RISK				928					Total		928
							COMMON FACTOR			908					Common Factor		908
							ASSET CLASS-SPECIFIC			020					Asset Class-Specific		020
						BENCHMARK RISK				1485
						ACTIVE RISK				903		180624536723				Row		OtherRisk
													Benchmark		1485
													Active		903
							s

Confidential ndash Not for Redistribution15copy2018 Fund Evaluation Group LLC

This presentation was prepared by FEG (also known as Fund Evaluation Group LLC) a federally registered investment adviser under theInvestment Advisers Act of 1940 as amended providing non-discretionary and discretionary investment advice to its clients on anindividual basis Registration as an investment adviser does not imply a certain level of skill or training The oral and writtencommunications of an adviser provide you with information about which you determine to hire or retain an adviser FEG Form ADV Part2A amp 2B can be obtained by written request directed to FEG 201 East Fifth Street Suite 1600 Cincinnati OH 45202 AttentionCompliance Department

DISCLOSURES

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16

Fund Evaluation Group LLC | 201 East Fifth Street Suite 1600 Cincinnati OH 45202 | 5139774400 | informationfegcom | wwwfegcom

Dallas Detroit Indianapolis

• Slide Number 1
• Slide Number 2
• ATTRIBUTION ANALYSIS
• ATTRIBUTION ANALYSIS
• Slide Number 5
• Risk measurement and decomposition
• Portfolio risk decomposition by asset class
• RELATIVE risk decomposition by asset class
• Portfolio risk decomposition by factor
• Slide Number 10
• TRIBUTE
• Risk model asset classes
• Risk factor definitions
• Asset class factor exposures
• disclosures
• Slide Number 16