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COMPOSITE PERFORMANCE REVIEWReport for Periods Ending September 30, 2018
SITFO
Presented by:David D. Center, CFASenior Vice President
THIRD QUARTER 2018MARKET SUMMARY
• A strong tailwind behind domestic macroeconomic fundamentals supported healthyreturns across U.S. equities, including the strongest quarterly total return for the Russell1000 Index since 2013. Conversely, international developed and emerging marketequities struggled amid an increasingly tenuous global trade backdrop, incrementallytighter Fed policy, and rising U.S. interest rates.
• The robust U.S. economy and increasing cost pressures helped drive a broad-basedincrease in Treasury interest rates, leading to price declines across the higher qualityfixed income market and supporting returns among credit-sensitive areas.
• Energy infrastructure posted solid returns for the second consecutive quarter, withincreasing energy prices, elevated domestic crude oil production, and renewed positiveinvestor sentiment underpinning the recent run of impressive returns.
EXECUTIVE SUMMARY
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Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC
ECONOMIC INSIGHTS
• While the economy may indeed slow in the coming years, current conditions remain exceptionally favorable. The Institutefor Supply Management (ISM) Economy-Weighted Purchasing Manager Index (PMI), for example, ascended to the highestlevel on record through September, at more than 11 index points above the critical expansion/contraction level of 50 andwith both the Services and Manufacturing components at or near cyclically high levels.
• The headline U-3 unemployment rate dropped to 3.7% in September, the lowest level since December 1969 despite aweak payrolls reading. Employee wage growth held steady near 3%, essentially at the highest level since 2009. Whilewage growth has accelerated gradually since 2015, much of this improvement can be attributed to rebounding inflationrates, as inflation-adjusted (real) wage growth has declined meaningfully since 2015.
ISM ECONOMY-WEIGHTED PURCHASING MANAGER INDEX
Data sources: ISM, NBER, Bloomberg, L.P.; Data as of September 2018
61.4
35
40
45
50
55
60
65
1997 2000 2003 2006 2009 2012 2015 2018
PMI I
ndex
Leve
l
NBER Recessions PMI Expansion/Contraction Threshold
3
Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC
MARKET RETURNS
MARKET RETURNSThird Quarter 2018
Data sources: Lipper and HedgeFund Research
-10%
-5%
0%
5%
10%
15%
S&P 500Index
MSCI EAFEIndex
MSCIEmerging
MktsIndex
BlmbrgBarclaysU.S. Agg
Index
BlmbrgBarclaysHY Index
FTSENAREIT All
EquityIndex
AlerianMLP Index
BlmbrgCmdtyIndex
HFRI FundWtd
Comp.Index
HFRI Fundof FundIndex
Quarter 7.7% 1.4% -1.1% 0.0% 2.4% 0.5% 6.6% -2.0% 0.6% 0.4%1 Yr 17.9% 2.7% -0.8% -1.2% 3.0% 4.3% 4.9% 2.6% 4.1% 3.3%5 Yrs Annualized 13.9% 4.4% 3.6% 2.2% 5.5% 9.6% -2.7% -7.2% 4.1% 3.2%
Quarter 1 Yr 5 Yrs Annualized
GLOBAL EQUITY REAL ASSETSGLOBAL F.I. DIV. STRATEGIES
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Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC
GLOBAL EQUITY, U.S. SECTOR CHANGES
• The Global Industry Classification Sectors(GICS) for the equity markets wererestructured to reflect the evolution inwhich people communicate and accessentertainment as well as information.
• The telecommunications sector, will berenamed ‘communications services’. Thisnew sector will make up a larger portion ofthe indices, accounting for nearly 11%versus the previous 2% level.
• Media companies from the consumerdiscretionary sector and internet servicescompanies from the informationtechnology sector will move tocommunication services, and e-commercecompanies will move from the informationtechnology sector to consumerdiscretionary.
• Several of the “FAANG” stocks will beaffected by this change. Companies thatwill be reclassified under the new changesinclude Facebook, Alphabet, Twitter,Netflix, and Walt Disney, just to name afew. Apple and Amazon will not beaffected by this transition, but will nowreflect a larger weight within their sectors.
GICS SECTOR CHANGES
Data source: Goldman Sachs Asset Management
Telecom Services (2%)
Disney, Netflix,and others
Consumer Discretionary
(13%)
Facebook,Alphabet, and
others
Information Technology
(26%)
Communication Services (11%)
Consumer Discretionary
(10%)
Information Technology
(20%)
Sept
embe
r 201
8
Exist
ing
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Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC
GLOBAL EQUITY, U.S.
• A strong economy that supported consumer confidence and strong corporate earnings drove the U.S. equity market aheadof other markets across the globe.
• The health care sector posted the strongest returns as companies’ drug pipelines, sales growth, and spin-offs led toinvestor optimism.
• The technology sector performed well, but results were bifurcated for individual companies. Apple and Microsoft gainedas their new product announcements and cloud computing businesses were viewed favorably, while other householdnames in social media, Facebook and Twitter, dealt with declining user growth, government scrutiny, and cybersecurityissues.
LARGE CAP, MID CAP, AND SMALL CAP
Data source: Russell Data source: Russell
7.4%
17.8%17.1%
13.7%
5.0%
14.0%14.5%
11.7%
3.6%
15.2%
17.1%
11.1%
0%
5%
10%
15%
20%
Qtr 1 Yr 3 Yr 5 Yr
Russell 1000 Index Russell Mid Cap Index Russell 2000 IndexRUSSELL 3000 INDEX SECTOR QUARTERLY RETURNS
0.1%
0.6%
0.6%
2.5%
3.7%
5.1%
6.6%
7.9%
9.1%
9.3%
13.7%
0% 5% 10% 15%
MATERIALS
REAL ESTATE
ENERGY
UTILITIES
FINANCIALS
CONSUMER STAPLES
CONSUMER DISCRETIONARY
TELECOMMUNICATION SERVICES
INDUSTRIALS
TECHNOLOGY
HEALTH CARE
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Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC
• Emerging market equities lagged thebroader equity market due in part to aslowdown in China, fears over thepotential impact of trade tensions, andtighter U.S. monetary policy.Additionally, the rise in oil prices hurtemerging market economies thatimport oil for their energy needs.
• The United Kingdom faced headwindsdue to difficulties in the ongoing Brexitnegotiations that weighed on marketsand led to a decline in the Britishpound.
• Economic news from the eurozoneshowed weakening since the beginningof the year and continued during thethird quarter, which pressuredconsumer confidence in the region,particularly in France. Also, exports toChina from the eurozone decreasedamid China’s slowdown, illustratingthe ramifications of global trade.
• Currency fluctuations played a minimalpart in returns throughout developedEurope.
Data source: MSCI Barra
Data source: MSCI Barra
GLOBAL EQUITY, NON-U.S.
MSCI EAFE REGIONAL QUARTERLY RETURNS
MSCI EM REGIONAL QUARTERLY RETURNS
-0.5%
3.7%
-1.7%
1.8%
0.6%
6.3%
-0.4%
1.8%
-5% 0% 5% 10%
Pacific (ex-Japan)
Japan
United Kingdom
Europe (ex-UK)
Quarter (Local) Quarter ($)
-1.6%
-1.8%
4.8%
1.8%
-1.2%
5.6%
-4% -2% 0% 2% 4% 6%
Europe, Middle East, and Africa
Asia
Latin America
Quarter (Local) Quarter ($)
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0%
3%
6%
9%
12%
15%
18%
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014
Net
IRR
Vintage Year
Venture Capital Buyout
GLOBAL EQUITY, PRIVATE
• Median private equity returns havebeen positive since the 2003 vintageyear. Venture fund performance rosesteadily from 2004 to 2011, whilebuyout fund performance hasremained relatively stable since 2009.Recent vintage year returns are lowerdue to the short holding periods ofnew funds .
• Buyout fundraising softened in thefirst half of 2018 but remained athistorically elevated levels in line withrecent years. In contrast, venturefundraising rebounded in the secondquarter. Fundraising data can varysignificantly from quarter to quarterdue to the timing of a fund closing.
• Initial public offering (IPO) exit activitywas strong in 2018 for both venturecapital-backed companies and buyout-backed companies. The biopharmasector was among the most active as15 biopharma companies went publicin the second quarter, including six inone day.
The most recent private equity return information available from Thomson One is through March 31, 2018.
Data Source: Thomson One
MEDIAN VENTURE CAPITAL & BUYOUT VINTAGE YEAR IRRAs of March 31, 2018
Data Source: Pitchbook
VENTURE CAPITAL AND BUYOUT FUNDRAISING ACTIVITYAs of September 30, 2018
54 5222
38 46 38 3150 58 64 52 46
380
294
162132
169 179
251
296255
316346
221
$0$50
$100$150$200$250$300$350$400
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018YTD
Com
mitm
ents
(Bi
llion
s)
Vintage Year
Venture Capital Buyout
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Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
1 Mth 5 Yr 10 Yr 30 Yr
September 2017 June 2018 September 2018
• The Federal Open Market Committeeincreased the federal funds rate attheir September 25-26th meeting by 25basis points (bps), bringing the targetrange to 2.0%-2.25%. Furthermore, thecommittee dropped “accommodative”from their description of their currentpolicy stance. Market expectations arefor one more rate hike in 2018.
• In the Federal Reserve's (Fed) flow offunds report, released the third weekof September, the Fed highlightedcorporate defined-benefit plan activityin the Treasury market. The Septemberincrease in the 10-year Treasury yieldcoincided with the deadline forcompanies to contribute to theirpensions at the previous 35% tax rate.Market speculation is that the end ofthis tax benefit may reduce Treasurydemand and support higher yields.
• The U.S. Treasury yield curve, asmeasured by the spread between theyields of 10-year and 2-year U.S.Treasuries, flattened from 33 bps to 18bps during the third quarter, beforerebounding to end the quarter at aspread of 24 bps. Market participantsare watching this metric closely as apotential recession indicator.
GLOBAL FIXED INCOME
BLOOMBERG BARCLAYS U.S. FIXED INCOME INDEX RETURNS
U.S. TREASURY YIELD CURVE
Data source: Bloomberg, L.P.
Data source: Barclays
0.0%
-0.8%-0.6%
-0.2% -0.1%
0.9%
2.4%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Aggregate TIPS Treasuries Municipal Mortgage-Backed
Credit High Yield
Data source: Lipper and Bloomberg Barclays
9
Confidential – Not for Redistribution©2018 Fund Evaluation Group, LLC
Data sources: NAREIT, Bloomberg, and Alerian
REAL ASSETS
• Although public real estate experienced six straight months of positive total return, growth came to an end in Septemberas REITs declined amid rising short-term interest rates. While rising interest rates brought headwinds to REITs in general,hotels and resorts rose almost 10% due to strong corporate earnings and U.S. economic growth that supported businessand leisure travel.
• Trade tensions with China and supply disruptions in Venezuela contributed to oil price volatility. However, oil pricesbegan to march higher to end the quarter, as the upcoming U.S. sanctions on Iran came into focus, Iranian crude exportsdeclined, and Organization of the Petroleum Exporting Countries (OPEC) decided to leave production steady.
• MLPs posted strong returns in the third quarter, and an increase in North American oil production could lead to highervolumes through pipelines and increased revenue for midstream MLPs. MLP balance-sheet quality has improved due todeleveraging over the last 12-18 months, and distributions are expected to grow by 3%-5% over the coming years.
PUBLIC REAL ASSETS – REAL ESTATE, COMMODITIES, AND MLPs
0.5%
4.3%
9.0% 9.6%
-1.1%
4.7%6.6%
3.4%
-2.0%
2.6%
-0.1%
-7.2%
6.6%4.9% 4.4%
-2.7%
-10%
-5%
0%
5%
10%
15%
Qtr 1 Yr 3 Yr 5 Yr
FTSE NAREIT All Equity Index FTSE EPRA/NAREIT Developed Property ex-U.S. IndexBloomberg Commodity Index Alerian MLP Index
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0.6%0.4% 0.3%
1.5%
0.0%
0.7%
4.1%
3.3%
4.3% 4.3%
0.5%
5.3%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Fund WeightedComposite Index
Fund of FundsComposite Index
Event - Driven(Total) Index
Relative Value(Total) Index
Macro (Total)Index
Equity Hedge(Total) Index
Quarter 1 Yr
• Hedge funds focused on emerging markets (EM) struggled throughout the quarter. A number of idiosyncratic events—ranging from tariff negotiations between the U.S. and China to extreme measures taken by the Argentinian government toprotect its currency—adversely impacted certain countries and led to spillover effects more broadly across EM.
• Systematic macro strategies rebounded from a challenging start to the year. Also, persistent trends in the U.S. dollar andcertain commodities drove gains for trend followers during the third quarter.
• Event driven strategies performed well, particularly those with large merger and acquisition (M&A) portfolios. The courtsoverruled the Department of Justice’s attempt to block the vertical merger of AT&T and Time Warner earlier in the year,clearing the way for the closure and announcement of similar deals.
i
DIVERSIFYING STRATEGIES, HEDGE FUNDS
Data source: HedgeFund Research
HFRI INDICES PERFORMANCE RETURNS IN U.S. DOLLARS
11
Standard Sharpe3Mos. YTD 1Yr 3Yr 5Yr 10Yr Deviation Ratio
Total Fund 1.5% 2.0% 4.8% 7.2% 7.1% 8.0% 6.2% 1.05 CPI + 5.0% 1.6 7.1 0.0 6.5 6.4 7.1 - -Policy Index 1.7 2.4 5.5 7.6 6.7 7.7 6.5% 1.04 Active Index 1.8 2.6 5.8 8.9 7.8 - 6.7% 1.15
Target Current37% 38% Growth Composite 1.8 1.0 6.6 11.9 10.1 9.7 10.3% 0.93
Target Index 3.1 4.6 10.3 14.4 10.4 10.0 10.3% 0.96 Active Index 2.7 2.6 8.7 14.5 10.6 - 10.4% 0.97
20% 19% Real Assets 3.5 7.4 8.5 6.3 10.0 5.2 5.3% 1.78 Target Index 2.6 4.8 6.1 5.5 8.6 5.4 5.4% 1.50 Active Index 3.2 6.1 8.2 7.0 9.4 4.6 5.3% 1.69
31% 31% Income Composite 0.6 1.9 2.6 3.5 3.3 4.6 2.0% 1.36 Target Index 0.8 0.8 2.1 4.3 3.8 4.7 2.3% 1.41 Active Index 0.5 1.9 3.1 4.0 3.7 - 2.2% 1.43
12% 12% Defensive Compsite -0.4 -2.4 0.3 - - - - - Target Index -2.1 -4.8 -1.6 - - - - - Active Index -1.2 -2.1 -0.2 - - - - -
% ofMarket Value Total Fund
Liquid $1,558,206,578 62% Semi-Liquid $528,498,752 21% Illiquid $428,921,482 17% Total Fund $2,515,626,812 100%
Liquidity Overview
SITFOSummary of Allocation and Performance
Report For Periods Ending September 30, 2018
5 Year
Asset Allocation
Annualized
38%
19%
31%
12%Growth CompositeReal AssetsIncome CompositeDefensive Compsite
12
5-year 10-year2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 YTD annual annual
Emerging Markets 34.0%
Public RE 35.1%
Emerging Markets 39.4%
Bonds - Agg 5.2%
Emerging Markets 78.5%
MLPs 35.9%
MLPs 13.9%
Public RE 19.7%
U.S. Equity 33.6%
Public RE 28.0%
Private Equity 10.6%
MLPs 18.3%
Emerging Markets 37.3%
Private Equity 14.8%
Private Equity 15.9%
Private Equity 12.5%
Private Equity 22.8%
Private Equity 34.0%
Private Equity 24.6%
Div. Strats. -19.0%
MLPs 76.4%
Public RE 27.9%
Private Equity 9.3%
Emerging Markets 18.2%
MLPs 27.6%
Private Equity 13.8%
Public RE 2.8%
High Yield 17.1%
Int'l 25.0%
U.S. Equity 10.6%
U.S. Equity 13.5%
U.S. Equity 12.0%
Commod 21.4%
Emerging Markets 32.2%
Commod 16.2%
Private Equity -25.4%
High Yield 58.2%
Private Equity 19.8%
Public RE 8.3%
Int'l 17.3%
Int'l 22.8%
U.S. Equity 12.6%
SITFO 2.2%
U.S. Equity 12.7%
Private Equity 21.4%
MLPs 5.9%
Public RE 9.6%
High Yield 9.5%
Int'l 13.5%
Int'l 26.3%
MLPs 12.7%
SITFO -26.0%
Int'l 31.8%
Emerging Markets 18.9%
Bonds - Agg 7.8%
U.S. Equity 16.4%
Private Equity 22.6%
SITFO 8.7%
Bonds - Agg 0.5%
Commod 11.8%
U.S. Equity 21.1%
High Yield 2.6%
SITFO 7.1%
MLPs 9.2%
Public RE 12.2%
MLPs 26.1%
Int'l 11.2%
High Yield -26.2%
U.S. Equity 28.3%
U.S. Equity 16.9%
High Yield 5.0%
High Yield 15.8%
SITFO 20.2%
Bonds - Agg 6.0%
U.S. Equity 0.5%
Emerging Markets 11.2%
SITFO 10.4%
SITFO 2.0%
High Yield 5.5%
SITFO 8.0%
Div. Strats. 9.3%
U.S. Equity 15.7%
Div. Strats. 10.0%
Commod -35.6%
Public RE 28.0%
Commod 16.8%
SITFO 2.3%
SITFO 13.5%
Div. Strats. 9.1%
MLPs 4.8%
Int'l -0.8%
Private Equity 9.2%
Public RE 8.7%
Public RE 1.8%
Int'l 4.4%
Public RE 7.8%
MLPs 6.3%
SITFO 13.0%
Bonds - Agg 7.0%
MLPs -36.9%
Div. Strats. 20.0%
High Yield 15.1%
U.S. Equity 1.0%
Private Equity 12.0%
High Yield 7.4%
Div. Strats. 3.0%
Div. Strats. -1.1%
Public RE 8.6%
Div. Strats. 8.6%
Div. Strats. 1.4%
Div. Strats. 4.1%
Emerging Markets
5.4%
SITFO 6.1%
Div. Strats. 12.9%
SITFO 6.9%
U.S. Equity -37.3%
SITFO 19.8%
SITFO 12.2%
Div. Strats. -5.3%
Div. Strats. 6.4%
Public RE 2.9%
High Yield 2.5%
High Yield -4.5%
SITFO 5.9%
High Yield 7.5%
Int'l -1.4%
Emerging Markets
3.6%
Int'l 5.4%
U.S. Equity 6.1%
High Yield 11.8%
U.S. Equity 5.1%
Public RE -37.7%
Commod 18.9%
Div. Strats. 10.2%
Int'l -12.1%
MLPs 4.8%
Bonds - Agg
-2.0%
Emerging Markets
-2.2%
Emerging Markets -14.9%
Div. Strats. 5.4%
Bonds - Agg 3.5%
Bonds - Agg
-1.6%
Bonds - Agg 2.2%
Div. Strats. 4.6%
High Yield 2.7%
Bonds - Agg 4.3%
High Yield 1.9%
Int'l -43.4%
Private Equity 13.0%
Int'l 7.7%
Commod -13.3%
Bonds - Agg 4.2%
Emerging Markets
-2.6%
Int'l -4.9%
Commod -24.7%
Bonds - Agg 2.6%
Commod 1.7%
Commod -2.0%
MLPs -2.7%
Bonds - Agg 3.8%
Bonds - Agg 2.4%
Commod 2.1%
Public RE -15.7%
Emerging Markets -53.3%
Bonds - Agg 5.9%
Bonds - Agg 6.5%
Emerging Markets -18.4%
Commod -1.1%
Commod -9.5%
Commod -17.0%
MLPs -32.6%
Int'l 1.0%
MLPs -6.5%
Emerging Markets
-7.7%
Commod -7.2%
Commod -6.2%
Report For Periods Ending September 30, 2018
TABLE OF INVESTMENT RETURNS
© 2018 Fund Evaluation Group, LLC Approved for Client Use13
SinceMarket Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date2,515,626,812 -0.1 1.5 4.8 7.2 7.1 8.0 6.8 5/04
CPI + 5% 0.4 1.6 7.1 7.0 6.5 6.4 7.1Policy Index 0.0 1.7 5.5 7.6 6.7 7.7 7.1Difference -0.1 -0.2 -0.7 -0.4 0.4 0.2 -0.3Active Index -0.1 1.8 5.8 8.9 7.8 - 7.9Difference -0.1 -0.3 -1.0 -1.7 -0.6 -1.1
School Fund 2,400,169,855 -0.1 1.5 4.8 7.2 7.1 8.0 6.8 5/04Deaf School 2,441,919 -0.1 1.5 4.8 7.3 6.9 7.7 6.6 5/04Industrial School 1,317,434 -0.1 1.5 4.8 7.3 7.0 7.7 6.6 5/04Institute for the Blind 21,692,502 -0.1 1.5 4.8 7.2 7.3 8.2 7.0 5/04Miners Hospital 59,021,133 -0.1 1.5 4.8 7.3 7.3 8.3 6.5 5/04Normal School 5,449,099 -0.1 1.5 4.8 7.3 6.9 7.7 6.6 5/04Reservoirs Fund 7,532,793 -0.1 1.5 4.8 7.3 7.0 7.8 6.7 5/04School of Mines 4,525,361 -0.1 1.5 4.8 7.3 7.0 7.8 6.7 5/04University of Utah 6,432,961 -0.1 1.5 4.8 7.2 6.9 7.6 6.6 5/04Utah State Hospital 3,530,179 -0.1 1.5 4.8 7.2 7.0 7.8 6.7 5/04Utah State University 3,513,576 -0.1 1.5 4.8 7.2 6.9 7.6 6.5 5/04
Total Fund
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
0.1%0.1%0.3%0.2%0.3%0.2%2.3%0.9%0.1%
Current %
0.1%95.4%
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
14
Market Value YTD 2017 2016 2015 2014 2013 2012 20112,515,626,812 2.0 10.4 5.9 2.2 8.7 20.2 13.5 2.3
CPI + 5% 5.2 7.1 5.6 5.8 6.7 6.8 8.0 6.4Policy Index 2.4 11.4 5.4 0.9 7.6 19.2 14.2 0.7Difference -0.4 -1.0 0.6 1.3 1.1 1.0 -0.7 1.6Active Index 2.6 12.6 7.3 1.6 7.9 - - -Difference -0.6 -2.2 -1.3 0.6 0.9
School Fund 2,400,169,855 2.0 10.4 5.9 2.2 8.7 20.2 13.5 2.3Deaf School 2,441,919 2.0 10.4 5.9 1.7 8.0 21.1 14.1 2.0Industrial School 1,317,434 2.0 10.4 6.0 1.7 8.4 21.3 14.1 2.1Institute for the Blind 21,692,502 2.0 10.4 5.8 2.3 9.3 21.3 13.8 2.6Miners Hospital 59,021,133 2.0 10.4 5.9 2.4 9.5 20.6 13.8 2.6Normal School 5,449,099 2.0 10.4 6.0 1.6 8.1 20.6 13.8 2.2Reservoirs Fund 7,532,793 2.0 10.4 6.0 1.7 8.1 20.8 14.1 2.0School of Mines 4,525,361 2.0 10.4 6.0 1.7 8.4 21.0 14.0 2.2University of Utah 6,432,961 2.0 10.4 5.9 1.4 8.0 20.7 14.1 2.0Utah State Hospital 3,530,179 2.0 10.4 5.7 1.7 8.4 21.0 14.0 2.1Utah State University 3,513,576 2.0 10.4 5.9 1.7 8.2 20.6 13.8 2.5
Current %
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
0.1%
Total Fund
95.4%0.1%0.1%0.9%2.3%0.2%0.3%0.2%0.3%0.1%
© 2012 Fund Evaluation Group, LLC Confidential - For Client Use Only
15
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
2,515,626,812 -0.1 1.5 4.8 7.2 7.1 8.0 6.8 5/04CPI + 5% 0.4 1.6 7.1 7.0 6.5 6.4 7.1Policy Index 0.0 1.7 5.5 7.6 6.7 7.7 7.1Difference -0.1 -0.2 -0.7 -0.4 0.4 0.2 -0.3Active Index -0.1 1.8 5.8 8.9 7.8 - -Difference -0.1 -0.3 -1.0 -1.7 -0.6
38% 37% 952,756,693 -1.0 1.8 6.6 11.9 10.1 9.7 8.0 5/04Target Index 0.2 3.1 10.3 14.4 10.4 10.0 8.3Difference -1.2 -1.3 -3.7 -2.5 -0.3 -0.2 -0.2Active Index -0.4 2.7 8.7 14.5 10.6 - -Difference -0.6 -0.9 -2.0 -2.7 -0.5
19% 20% 488,192,260 0.6 3.5 8.5 6.3 10.0 5.2 4.8 12/07Target Index 0.4 2.6 6.1 5.5 8.6 5.4 5.0Difference 0.2 0.9 2.4 0.8 1.4 -0.2 -0.2Active Index 0.3 3.2 8.2 7.0 9.4 4.6 4.2Difference 0.3 0.3 0.3 -0.7 0.5 0.6 0.6
31% 31% 777,439,772 0.7 0.6 2.6 3.5 3.3 4.6 4.5 5/04Target Index 0.5 0.8 2.1 4.3 3.8 4.7 4.6Difference 0.2 -0.2 0.5 -0.8 -0.5 -0.1 0.0Active Index 0.4 0.5 3.1 4.0 3.7 - -Difference 0.3 0.1 -0.5 -0.5 -0.4
12% 12% 297,238,087 -0.5 -0.4 0.3 - - - -3.4 6/16Target Index -2.4 -2.1 -1.6 - - - -6.0Difference 1.9 1.7 2.0 - - - 2.7Active Index -1.7 -1.2 -0.2 - - - -3.1Difference 1.2 0.9 0.5 - - - -0.3
Total Fund
Growth Composite
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Real Assets Composite
Income Composite
Defensive Composite
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
16
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20112,515,626,812 2.0 10.4 5.9 2.2 8.7 20.2 13.5 2.3
CPI + 5% 5.2 7.1 5.6 5.8 6.7 6.8 8.0 6.4Policy Index 2.4 11.4 5.4 0.9 7.6 19.2 14.2 0.7Difference -0.4 -1.0 0.6 1.3 1.1 1.0 -0.7 1.6Active Index 2.6 12.6 7.3 1.6 7.9 - - -Difference -0.6 -2.2 -1.3 0.6 0.9
38% 37% 952,756,693 1.0 21.5 8.6 0.4 9.6 29.3 18.0 -1.3Target Index 4.6 22.5 10.7 -0.9 7.6 27.8 16.6 -3.6Difference -3.6 -1.0 -2.0 1.3 2.1 1.4 1.5 2.4Active Index 2.6 25.2 10.8 -0.8 7.9 - - -Difference -1.6 -3.7 -2.1 1.2 1.7
19% 20% 488,192,260 7.4 1.6 7.5 13.5 15.5 10.8 9.6 16.2Target Index 4.8 2.3 6.4 12.2 12.7 13.8 10.1 12.8Difference 2.5 -0.7 1.1 1.4 2.8 -3.0 -0.5 3.4Active Index 6.1 5.7 6.9 11.4 12.6 14.8 10.6 13.4Difference 1.3 -4.2 0.6 2.1 3.0 -4.1 -1.0 2.8
31% 31% 777,439,772 1.9 5.0 3.7 1.4 3.8 1.3 4.2 7.8Target Index 0.8 7.2 5.4 0.9 4.1 -0.8 4.2 7.8Difference 1.1 -2.2 -1.7 0.5 -0.3 2.0 0.0 -0.1Active Index 1.9 5.8 4.7 1.0 4.5 - - -Difference 0.0 -0.9 -1.0 0.4 -0.7
12% 12% 297,238,087 -2.4 1.9 - - - - - -Target Index -4.8 5.1 - - - - - -Difference 2.4 -3.2 - - - - - -Active Index -2.1 0.4 - - - - - -Difference -0.3 1.5 - - - - - -
Growth Composite
Real Assets Composite
Income Composite
Defensive Composite
Total Fund
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
17
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
37.9% 37.0% 952,756,693 -1.0 1.8 6.6 11.9 10.1 9.7 8.0 5/04Target Index 0.2 3.1 10.3 14.4 10.4 10.0 8.3Difference -1.2 -1.3 -3.7 -2.5 -0.3 -0.2 -0.2Active Index -0.4 2.7 8.7 14.5 10.6 - -Difference -0.6 -0.9 -2.0 -2.7 -0.5
17.4% 15.0% 438,301,130 -1.0 5.0 18.6 16.1 14.1 12.5 9.4 5/04Target Index -1.0 5.5 16.6 18.0 14.0 12.3 9.4Difference 0.0 -0.5 2.0 -1.8 0.1 0.2 0.0Active Index -0.9 5.6 16.9 17.0 13.4 - -Difference -0.1 -0.6 1.7 -0.9 0.7
9.8% 7.5% 246,531,068 0.1 5.8 19.6 17.2 14.7 12.4 9.4 5/04Russell 1000 Index 0.4 7.4 17.8 17.1 13.7 12.1 9.3Difference -0.2 -1.7 1.9 0.2 1.1 0.3 0.1
9.8% 246,531,068 0.1 5.8 20.6 - - - 20.7 4/17Russell 1000 Index 0.4 7.4 17.8 17.4Difference -0.2 -1.7 2.9 3.3
7.6% 7.5% 191,770,062 -2.5 4.0 16.7 15.6 13.3 12.8 8.7 7/07Russell 2000 Index -2.4 3.6 15.2 17.1 11.1 11.1 8.8Difference -0.1 0.4 1.5 -1.6 2.2 1.7 -0.1
6.5% 162,319,382 -2.7 3.9 16.3 - - - 15.0 4/17Russell 2000 Index -2.4 3.6 15.2 16.0Difference -0.3 0.3 1.0 -1.0
1.2% 29,450,680 -1.1 4.4 - - - - 16.2 10/17Russell Microcap Index -3.3 0.8 13.8Difference 2.1 3.6 2.3
U.S. Small Cap
Parametric US VMP Small Cap
Parmetric US VMP Large Cap
BMO US Micro Cap
Domestic Equity
U.S. Large Cap
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Growth Composite
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
18
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201137.9% 37.0% 952,756,693 1.0 21.5 8.6 0.4 9.6 29.3 18.0 -1.3
Target Index 4.6 22.5 10.7 -0.9 7.6 27.8 16.6 -3.6Difference -3.6 -1.0 -2.0 1.3 2.1 1.4 1.5 2.4Active Index 2.6 25.2 10.8 -0.8 7.9 - - -Difference -1.6 -3.7 -2.1 1.2 1.7
17.4% 15.0% 438,301,130 11.5 20.1 10.5 2.2 15.2 35.1 17.8 4.6Target Index 11.1 18.2 17.6 0.5 12.7 33.3 16.3 1.1Difference 0.4 1.9 -7.1 1.7 2.5 1.8 1.5 3.4Active Index 11.0 20.5 12.6 0.5 12.7 - - -Difference 0.5 -0.4 -2.1 1.7 2.5
9.8% 7.5% 246,531,068 11.3 22.7 10.5 2.5 15.8 32.3 17.9 5.6Russell 1000 Index 10.5 21.7 12.1 0.9 13.2 33.1 16.4 1.5Difference 0.8 1.0 -1.5 1.5 2.5 -0.9 1.4 4.1
9.8% 246,531,068 12.0 - - - - - - -Russell 1000 Index 10.5Difference 1.5
7.6% 7.5% 191,770,062 11.7 13.9 17.7 -1.4 13.7 41.6 18.9 1.2Russell 2000 Index 11.5 14.6 21.3 -4.4 4.9 38.8 16.3 -4.2Difference 0.2 -0.7 -3.6 3.0 8.8 2.8 2.6 5.3
6.5% 162,319,382 11.0 - - - - - - -Russell 2000 Index 11.5Difference -0.5
1.2% 29,450,680 16.3 - - - - - - -Russell Microcap Index 11.6Difference 4.6
BMO US Micro Cap
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Parmetric US VMP Large Cap
U.S. Small Cap
Parametric US VMP Small Cap
Growth Composite
Domestic Equity
U.S. Large Cap
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
19
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
18.4% 15.0% 463,402,672 -1.1 -0.9 -2.4 7.5 3.1 4.5 5.6 5/04Target Index 0.0 0.0 1.1 10.7 4.9 5.6 6.4Difference -1.2 -0.9 -3.4 -3.2 -1.8 -1.1 -0.8Active Index -0.5 -0.3 0.1 10.0 4.4 - 6.2Difference -0.7 -0.6 -2.5 -2.4 -1.3 -0.5
10.0% 7.5% 252,287,021 -0.2 1.3 4.3 10.3 4.8 5.5 6.4 5/04MSCI EAFE IMI Index 0.6 1.0 2.9 9.7 4.9 5.9 6.2Difference -0.8 0.2 1.5 0.6 -0.1 -0.4 0.3
10.0% 252,287,021 -0.2 1.3 4.3 - - - 9.7 4/17MSCI EAFE Index 0.9 1.4 2.7 8.4Difference -1.0 -0.1 1.6 1.4
8.4% 7.5% 211,115,651 -2.3 -3.5 -9.4 - - - 4.5 11/16MSCI Emerging Markets Index -0.5 -1.1 -0.8 13.9Difference -1.8 -2.4 -8.6 -9.4
1.4% 35,599,764 -1.9 -3.2 -3.2 - - - 4.8 11/16MSCI Frontier Markets Index -0.1 -2.0 -7.7 9.6Difference -1.9 -1.2 4.5 -4.9
0.9% 22,616,332 -15.4 -17.4 -37.4 - - - -24.7 3/17MSCI India SMID Cap Index -16.2 -12.2 -16.0 -5.4Difference 0.7 -5.2 -21.3 -19.3
6.1% 152,899,555 -0.1 -1.1 -4.7 - - - 2.3 4/17MSCI Emerging Markets Index -0.5 -1.1 -0.8 7.8Difference 0.4 0.0 -3.9 -5.6
International Equity
International Developed
Parametric International
Emerging Markets
SR Global Fund (Frontier)
Taiyo Greater India Fund
Parametric Emerging Markets
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
20
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201118.4% 15.0% 463,402,672 -7.1 24.5 4.7 -4.2 -4.1 15.2 18.3 -14.5
Target Index -4.6 31.7 4.3 -4.3 -3.4 15.8 17.0 -14.3Difference -2.5 -7.2 0.4 0.1 -0.7 -0.6 1.3 -0.2Active Index -5.8 30.1 4.7 -4.3 -3.4 - - -Difference -1.3 -5.6 0.0 0.1 -0.7
10.0% 7.5% 252,287,021 0.3 24.3 4.8 -4.1 -3.9 15.2 18.6 -14.4MSCI EAFE IMI Index -1.5 26.2 1.2 0.5 -4.9 23.5 17.6 -12.6Difference 1.8 -1.8 3.6 -4.6 1.0 -8.4 0.9 -1.8
10.0% 252,287,021 0.3 - - - - - - -MSCI EAFE Index -1.4Difference 1.7
8.4% 7.5% 211,115,651 -14.7 26.0 - - - - - -MSCI Emerging Markets Index -7.7 37.3Difference -7.0 -11.2
1.4% 35,599,764 -10.6 20.8 - - - - - -MSCI Frontier Markets Index -12.6 31.9Difference 2.0 -11.0
0.9% 22,616,332 -46.6 - - - - - - -MSCI India SMID Cap Index -28.7Difference -17.9
6.1% 152,899,555 -8.9 - - - - - - -MSCI Emerging Markets Index -7.7Difference -1.2
International Equity
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Emerging Markets
SR Global Fund (Frontier)
Taiyo Greater India Fund
Parametric Emerging Markets
International Developed
Parametric International
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
21
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
2.0% 7.0% 51,052,891 1.0 0.2 -4.0 - - - 0.6 10/16Thomson One All Private Equity Index 4.3 4.3 21.4 20.3Difference -3.3 -4.1 -25.4 -19.7
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Private Equity
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
22
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20112.0% 7.0% 51,052,891 -6.0 10.4 - - - - - -
Thomson One All Private Equity Index 14.8 21.4Difference -20.9 -11.0
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Private Equity
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
23
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
19.4% 20.0% 488,192,260 0.6 3.5 8.5 6.3 10.0 5.2 4.8 12/07Target Index 0.4 2.6 6.1 5.5 8.6 5.4 5.0Difference 0.2 0.9 2.4 0.8 1.4 -0.2 -0.2Active Index 0.3 3.2 8.2 7.0 9.4 4.6 4.2Difference 0.3 0.3 0.3 -0.7 0.5 0.6 0.6
5.9% 4.0% 148,541,888 -2.0 6.1 8.7 - - - 3.8 6/16Target Index -1.6 6.6 4.9 - - - 1.0Difference -0.4 -0.4 3.8 2.8Active Index -1.6 6.6 4.9 - - - 0.9Difference -0.4 -0.4 3.8 2.9
5.9% 148,541,888 -2.0 6.1 8.7 - - - 3.8 6/16Alerian MLP Index -1.6 6.6 4.9 0.9Difference -0.4 -0.4 3.8 2.9
3.3% 3.0% 82,049,056 -0.2 0.1 0.9 - - - 0.5 6/16Barclays U.S. TIPS Index -1.1 -0.8 0.4 0.3Difference 0.8 1.0 0.5 0.3
3.3% 82,049,056 -0.2 0.1 1.0 - - - 0.8 8/17BBG Barclays U.S. 0-5 Year TIPS Index -0.2 0.1 1.0 0.8Difference 0.0 0.1 0.0 0.0
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Harvest MLP Income Fund
Vanguard Inflation Protected ST Index
Public Real Assets
Inflation Linked Bonds
Real Assets Composite
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
24
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201119.4% 20.0% 488,192,260 7.4 1.6 7.5 13.5 15.5 10.8 9.6 16.2
Target Index 4.8 2.3 6.4 12.2 12.7 13.8 10.1 12.8Difference 2.5 -0.7 1.1 1.4 2.8 -3.0 -0.5 3.4Active Index 6.1 5.7 6.9 11.4 12.6 14.8 10.6 13.4Difference 1.3 -4.2 0.6 2.1 3.0 -4.1 -1.0 2.8
5.9% 4.0% 148,541,888 9.2 -5.9 - - - - - -Target Index 5.9 -6.3 - - - - - -Difference 3.3 0.4Active Index 5.9 -6.5 - - - - - -Difference 3.3 0.6
5.9% 148,541,888 9.2 -5.9 - - - - - -Alerian MLP Index 5.9 -6.5Difference 3.3 0.6
3.3% 3.0% 82,049,056 0.1 2.8 - - - - - -Barclays U.S. TIPS Index -0.8 3.0Difference 0.9 -0.2
3.3% 82,049,056 0.8 - - - - - - -BBG Barclays U.S. 0-5 Year TIPS Index 0.8Difference 0.0
Real Assets Composite
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Harvest MLP Income Fund
Public Real Assets
Inflation Linked Bonds
Vanguard Inflation Protected ST Index
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
25
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
9.4% 9.0% 235,745,760 1.8 1.9 7.3 7.1 10.5 5.5 5.0 12/07NCREIF Property Index 1.7 1.7 7.2 7.8 9.6 6.4 6.2Difference 0.2 0.2 0.2 -0.7 0.9 -0.9 -1.1
Private Real Estate
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
26
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20119.4% 9.0% 235,745,760 5.2 6.3 7.3 13.5 15.5 10.8 9.6 16.2
NCREIF Property Index 5.3 7.0 8.0 13.3 11.8 11.0 10.5 14.3Difference -0.1 -0.7 -0.7 0.2 3.7 -0.2 -1.0 2.0
Private Real Estate
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
27
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
0.9% 4.0% 21,855,556 8.0 8.0 29.2 - - - 5.2 1/17Thomson One Private NR Index 2.2 2.2 11.5 8.3Difference 5.8 5.8 17.6 -3.1
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Private Real Assets
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
28
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20110.9% 4.0% 21,855,556 29.9 - - - - - - -
Thomson One Private NR Index 6.7Difference 23.3
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Private Real Assets
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
29
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
30.9% 31.0% 777,439,772 0.7 0.6 2.6 3.5 3.3 4.6 4.5 5/04Target Index 0.5 0.8 2.1 4.3 3.8 4.7 4.6Difference 0.2 -0.2 0.5 -0.8 -0.5 -0.1 0.0Active Index 0.4 0.5 3.1 4.0 3.7 - -Difference 0.3 0.1 -0.5 -0.5 -0.4
10.0% 7.0% 251,007,290 -0.1 1.0 1.6 2.9 2.9 - 3.0 7/13Target Index 0.1 1.6 1.5 4.5 3.9 - 3.9Difference -0.2 -0.6 0.1 -1.6 -1.0 -0.8Active Index 0.5 1.7 3.1 3.5 3.4 - 3.5Difference -0.5 -0.7 -1.5 -0.6 -0.5 -0.4
Bramshill Investments 4.1% 102,756,703 0.4 1.1 1.8 - - - 3.3 12/16U.S. 91-Day Treasury Bill +5% 0.6 1.7 6.6 6.3Difference -0.2 -0.6 -4.8 -3.0
Loomis Sayles Full Spectrum Credit 4.2% 104,925,419 0.1 1.5 1.5 - - - 4.3 12/16Blended Index 0.1 1.5 1.4 3.7Difference 0.0 0.0 0.1 0.6
1.7% 43,325,168 -1.5 -0.7 2.8 - - - 3.9 12/16HFRI ED: Distressed/Restructuring Ix 1.1 1.3 5.9 6.0Difference -2.6 -2.0 -3.1 -2.1
Income Composite
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Credit
DW Partners Value Fund
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
30
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201130.9% 31.0% 777,439,772 1.9 5.0 3.7 1.4 3.8 1.3 4.2 7.8
Target Index 0.8 7.2 5.4 0.9 4.1 -0.8 4.2 7.8Difference 1.1 -2.2 -1.7 0.5 -0.3 2.0 0.0 -0.1Active Index 1.9 5.8 4.7 1.0 4.5 - - -Difference 0.0 -0.9 -1.0 0.4 -0.7
10.0% 7.0% 251,007,290 1.5 3.8 3.6 1.4 3.8 - - -Target Index 0.5 6.1 7.3 0.9 4.1 - - -Difference 1.0 -2.3 -3.8 0.5 -0.3Active Index 2.7 4.2 3.9 1.0 4.5 - - -Difference -1.2 -0.4 -0.4 0.4 -0.7
Bramshill Investments 4.1% 102,756,703 2.9 2.8 - - - - - -U.S. 91-Day Treasury Bill +5% 5.1 5.9Difference -2.1 -3.1
Loomis Sayles Full Spectrum Credit 4.2% 104,925,419 0.7 6.9 - - - - - -Blended Index 2.8 6.1Difference -2.1 0.8
1.7% 43,325,168 2.0 4.9 - - - - - -HFRI ED: Distressed/Restructuring Ix 4.2 6.3Difference -2.2 -1.4
Credit
DW Partners Value Fund
Income Composite
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
31
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
9.7% 8.0% 244,110,737 0.4 0.6 7.1 - - - 6.5 9/16Target Index -0.4 0.2 -0.4 - - - 0.0Difference 0.8 0.4 7.5 6.5Active Index 0.5 1.6 6.5 - - - 6.7Difference -0.1 -1.0 0.6 -0.2
2.5% 62,476,031 0.5 1.7 8.3 - - - 10.1 9/16HFRI RV: Asset Backed Index 0.5 1.3 6.0 7.3Difference 0.0 0.5 2.3 2.9
7.2% 181,634,706 0.4 0.2 6.7 - - - 5.7 2/17U.S. 91-Day Treasury Bill + 5% 0.6 1.7 6.6 6.4Difference -0.2 -1.5 0.0 -0.7
Putnam Dedicated Mortgage Strategy
Waterfall Eden
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Securitized
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
32
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20119.7% 8.0% 244,110,737 5.4 5.2 - - - - - -
Target Index -0.6 2.5 - - - - - -Difference 6.0 2.7Active Index 5.0 6.2 - - - - - -Difference 0.4 -1.0
2.5% 62,476,031 6.4 11.6 - - - - - -HFRI RV: Asset Backed Index 4.7 7.7Difference 1.7 3.9
7.2% 181,634,706 5.1 3.5 - - - - - -U.S. 91-Day Treasury Bill + 5% 5.1 5.9Difference 0.0 -2.4
Securitized
Waterfall Eden
Putnam Dedicated Mortgage Strategy
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
33
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
5.4% 5.0% 134,868,545 1.5 -2.3 -5.4 - - - -1.3 5/17Target Index 0.4 -0.9 -3.2 - - - -0.4Difference 1.1 -1.4 -2.2 -0.9Active Index 1.8 -1.9 -6.5 - - - -2.1Difference -0.4 -0.4 1.1 0.8
3.4% 85,614,039 2.3 -2.4 -8.6 - - - -3.8 5/17JP Morgan GBI-EM Global Diversified Ix 3.1 -3.2 -9.9 -4.7Difference -0.8 0.8 1.3 1.0
2.0% 49,254,506 0.0 -2.1 - - - - -0.1 12/17HFRI Macro Index -0.3 0.0 -1.8Difference 0.3 -2.1 1.7
Templeton Global Summits Fund
PIMCO Emerging Markets Local Bond
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Emerging Markets Debt
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
34
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20115.4% 5.0% 134,868,545 -5.8 - - - - - - -
Target Index -4.2 - - - - - - -Difference -1.6Active Index -7.1 - - - - - - -Difference 1.3
85,614,039 -9.0 - - - - - - -JP Morgan GBI-EM Global Diversified Ix -10.8Difference 1.7
49,254,506 -0.1 - - - - - - -HFRI Macro Index -1.8Difference 1.7
Templeton Global Summits Fund
PIMCO Emerging Markets Local Bond
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Emerging Markets Debt
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
35
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
4.1% 7.0% 104,160,943 2.3 2.8 10.7 - - - 11.4 10/16Thomson One Distressed Index 1.4 1.4 8.2 11.5Difference 0.9 1.3 2.5 -0.1
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Private Debt
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
36
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20114.1% 7.0% 104,160,943 8.1 12.5 - - - - - -
Thomson One Distressed Index 4.7 13.5Difference 3.4 -0.9
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Private Debt
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
37
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
1.7% 4.0% 43,292,257 0.4 3.5 - - - - 4.9 12/17Swiss Re Cat Bond Index 0.1 1.0 4.2Difference 0.3 2.5 0.7
1.1% 27,185,925 -0.2 4.5 - - - - 8.7 12/17Swiss Re Cat Bond Index 0.1 1.0 4.2Difference -0.4 3.5 4.5
Income - ILS
Securis Event Fund
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
38
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20111.7% 4.0% 43,292,257 4.9 - - - - - - -
Swiss Re Cat Bond Index 4.2Difference 0.7
1.1% 27,185,925 8.7 - - - - - - -Swiss Re Cat Bond Index 4.2Difference 4.5
Securis Event Fund
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Income - ILS
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
39
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
11.8% 12.0% 297,238,087 -0.5 -0.4 0.3 - - - -3.4 6/16Target Index -2.4 -2.1 -1.6 - - - -6.0Difference 1.9 1.7 2.0 - - - 2.7Active Index -1.7 -1.2 -0.2 - - - -3.1Difference 1.2 0.9 0.5 - - - -0.3
2.9% 5.0% 71,852,565 -3.9 -4.4 -4.0 - - - -8.0 7/16BBG Barclays STRP 20-30 Yr Equal Par Ix -4.4 -4.7 -4.3 - - - -8.0Difference 0.4 0.3 0.3 0.1Active Index -4.4 -4.7 -4.3 - - - -8.0Difference 0.4 0.3 0.3 0.1
2.9% 71,852,565 -3.9 -4.4 -4.0 - - - -8.0 7/16BBG Barclays STRP 20-30 Yr Equal Par Ix -4.4 -4.7 -4.3 -8.0Difference 0.4 0.3 0.3 0.1
Defensive Composite
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Long U.S. Treasury
Vanguard Extended Duration
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
40
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 201111.8% 12.0% 297,238,087 -2.4 1.9 - - - - - -
Target Index -4.8 5.1 - - - - - -Difference 2.4 -3.2 - - - - - -Active Index -2.1 0.4 - - - - - -Difference -0.3 1.5 - - - - - -
2.9% 5.0% 71,852,565 -8.0 13.5 - - - - - -BBG Barclays STRP 20-30 Yr Equal Par Ix -8.3 13.5 - - - - - -Difference 0.3 0.0Active Index -8.3 13.5 - - - - - -Difference 0.3 0.0
2.9% 71,852,565 -8.0 13.5 - - - - - -BBG Barclays STRP 20-30 Yr Equal Par Ix -8.3 13.5Difference 0.3 0.0
Long U.S. Treasury
Vanguard Extended Duration
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Defensive Composite
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
41
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
7.5% 7.0% 188,753,644 0.3 0.7 0.4 - - - -8.2 9/16Target Index -1.1 -0.3 0.0 - - - -5.8Difference 1.4 1.0 0.4 -2.3Active Index -1.1 -0.3 0.0 - - - -4.4Difference 1.4 1.0 0.4 -3.8
7.5% 188,753,644 0.3 0.7 0.4 - - - -1.0 3/17Blended Index -1.1 -0.3 0.0 -2.8Difference 1.4 1.0 0.4 1.9
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
CTA
Man FRM Alpha Protect
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
42
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20117.5% 7.0% 188,753,644 -2.7 -9.1 - - - - - -
Target Index -1.7 -5.8 - - - - - -Difference -1.0 -3.3Active Index -1.7 -4.7 - - - - - -Difference -1.0 -4.4
7.5% 188,753,644 -2.7 - - - - - - -Blended Index -1.7Difference -1.0
CTA
Man FRM Alpha Protect
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
43
SinceCurrent % Target % Market Value Month 3Mos. 1Yr 3Yr 5Yr 10Yr Inception Date
1.5% 0.0% 36,631,878 0.2 0.5 1.5 0.8 0.7 0.7 1.6 5/04ML U.S. 91-Day Treasury Bills 0.2 0.5 1.6 0.8 0.5 0.3 1.3Difference 0.1 0.0 -0.1 0.0 0.2 0.3 0.3
1.1% 26,432,491 0.2 0.6 1.7 1.3 1.0 0.8 1.7 5/04Blended Index 0.0 0.3 0.8 0.6 0.6 0.8 1.6Difference 0.2 0.2 0.9 0.7 0.4 0.1 0.1
0.4% 10,199,387 0.0 0.2 0.5 - - - 0.3 11/16ML U.S. 91-Day Treasury Bills 0.2 0.5 1.6 1.2Difference -0.1 -0.3 -1.1 -0.9
Public Treasurer's Investment Fund
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Annualized
Cash
Northern Trust Cash
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
44
Current % Target % Market Value YTD 2017 2016 2015 2014 2013 2012 20111.5% 0.0% 36,631,878 1.3 0.6 0.4 0.6 0.4 0.5 0.6 0.5
ML U.S. 91-Day Treasury Bills 1.3 0.9 0.3 0.1 0.0 0.1 0.1 0.1Difference 0.0 -0.2 0.0 0.5 0.4 0.4 0.5 0.4
1.1% 26,432,491 1.4 1.9 0.4 0.6 0.4 0.5 0.6 0.5Blended Index 0.8 0.7 0.6 0.3 0.3 0.2 0.3 0.8Difference 0.6 1.2 -0.2 0.3 0.1 0.3 0.3 -0.3
0.4% 10,199,387 0.5 0.0 - - - - - -ML U.S. 91-Day Treasury Bills 1.3 0.9Difference -0.8 -0.9
Public Treasurer's Investment Fund
Northern Trust Cash
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Cash
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
45
*Defensive Composite Target Index is comprised of: 41.7% Bloomberg Barclays STRP 20-30 Year Equal Par Index, 58.3% Man FRM Target Index.
*Credit Target Index is comprised of: 50% Bloomberg Barclays Investment Grade Corporate Bond Index, 25% Bloomberg Barclays U.S. High Yield Corporate Bond Index,25% Credit Suisse Leveraged Loan Index.
*Fundamental Partners III Target Index is comprised of: 50% Thomson One Private Real Estate Index and 50% Thomson One Distressed Index.
*Cordillera Investment Fund I Target Index is comprised of: 45% Thomson One Private Real Estate Index, 35% Thomson One Private Equity Index and 20% Thomson OnePrivate Natural Resources Index.
*Loomis Sayles U.S High Yield Bond Trust Target Index is comprised of: 50% Bloomberg Barclays Corporate Investment Grade Index, 25% Bloomberg Barclays U.S. High Yield 2%Capped Index and 25% S&P/LSTA Leveraged Index.
*Securitized Target Index is comprised of: 50% Bloomberg Barclays U.S. MBS Index, 25% Bloomberg Barclays Investment Grade CMBS Index and 25% Bloomberg Barclays Asset BackedSecurities Index.
*EM Debt Target Index is comprised of: 50% FTSE ex-US World Gov't Bond Index, 16.7% JP Morgan EMBI Global Index, 16.7% JP Morgan GBI-EM Global Diversified Index, and 16.6% JP Morgan EM Corp. Debt Index
*Long US Treasury Target Index is comprised of 100% Barclays U.S. 20+ Yr Treasury Index.
*CTA Target Index is comprised of 50% SG Trend Index, 25% S&P 10Y US Treasury Note Futures Index, 12% VIX Mid-Term Future Index, 13% LIBOR.
*Man FRM Target Index is comprised of 50% SG Trend Index, 25% S&P 10Y US Treasury Note Futures Index, 12% VIX Mid-Term Future Index, 13% LIBOR.
*Public Treasurer's Target Index is comprised of 50% 3-Month T-Bill Index and 50% Bloomberg Barclays 1-3 Yr Government Bond Index.
*Active Weighted Indices are comprised of specific indices weighted in proportion to the composites actual asset allocation adjusted monthly.
**Any benchmark containing a Thomson One private benchmark, NCREIF, or the Barclay CTA Index is subject to change as updated data becomes available.
*Domestic Equity Target Index is comprised of: 50% Russell 1000 Index, 50% Russell 2000 Index.
*International Equity Target Index is comprised of: 50% MSCI EAFE IMI Index, 50% MSCI Emerging Markets Index.
*Public Real Assets Target Index is comprised of: 43% Bloomberg Barclays U.S. TIPS Index, 57% Alerian MLP Index.
13.0% HFRI RV Asset Backed Index, 8.0% JPM EMBI Global Index, 8.0% JPM GBI-EM Global Diversified Unhedged Index, 29.0% Thomson One Distressed Debt Index.
Underlined Indexes are pro-rated and may differ slightly from the targets listed below; the pro-rata weighting occurs monthly.
*Growth Composite Target Index is comprised of: 20.3% Russell 1000 Index, 20.3% Russell 2000 Index, 20.3% MSCI EAFE IMI Index, 20.3% MSCI Emerging Markets Index,18.8% Thomson One All Private Equity Index.
*Real Assets Composite Target Index is comprised of: 15% Bloomberg Barclays U.S. TIPS Index, 20% Alerian MLP Index, 45% NCREIF Property Index, 20% Thomson One Private Natural Resources Index.
*Income Composite Target Index is comprised of: 14.5% Bloomberg Barclays Corporate Index, 14.5% Merrill Lynch High Yield Master Index, 13.0% Bloomberg Barclays Securitized Index,
*Total Fund Policy Index is comprised of: 37% Growth Composite Target Index, 20% Real Assets Composite Target Index, 31% Income Composite Target Index,12% Defensive Composite Target Index.
SITFOSummary of Investment Performance
Report For Periods Ending September 30, 2018
Performance returns are net of investment management fees.
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
46
SITFOSummary of Illiquid Investments
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
CommittedCapital
CalledCapital % Called
DistributedCapital
FairMarket Value
Multiple ofCalled Capital
Fair MV as a% of Total Fund
Target MV as a% of Total Fund
Private Equity $158,000,000 $55,814,013 35% $4,320,198 $51,052,891 1.0 2.0% 7.0%
Private Real Estate 427,497,037 330,398,696 77 238,593,054 235,745,761 1.4 9.4 9.0
Private Natural Resources 71,000,000 24,475,155 34 6,236,018 21,855,556 1.1 0.9 4.0
Private Debt 195,500,000 114,482,861 59 6,561,561 120,267,275 1.1 4.8 9.0
Total Illiquid Investments $851,997,037 $525,170,725 62% $255,710,831 $428,921,483 1.3 17.1% 29.0%
* Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.
47
SITFOSummary of Private Equity
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
CommittedCapital
CalledCapital % Called
DistributedCapital
FairMarket Value
Multiple ofCalled Capital IRR * Vintage Year
* Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* Manager IRR is calculated through previous quarter-end and will not be calculated for the first two years; Summary IRR includes all managers.
Private Equity
Westport NewCold, LP $15,000,000 $14,692,500 98% $1,125,000 $15,476,481 1.1 - - 2016
Varsity Healthcare Partners II 15,000,000 7,749,931 52 0 6,818,751 0.9 - - 2016
Gladius Venator Fund, LP 35,000,000 10,966,259 31 0 8,680,559 0.8 - - 2017
Summit Growth Equity IX 22,000,000 11,424,599 52 3,195,198 10,147,024 1.2 - - 2016
Kickstart Seed IV 15,000,000 5,925,000 40 0 5,411,290 0.9 - - 2017
Huron Fund V, LP 22,000,000 2,365,000 11 0 1,841,773 0.8 - - 2016
Unicorn Partners Fund II 15,000,000 1,500,000 10 0 1,862,992 1.2 - - 2018
Douglas Bay Capital III 19,000,000 1,190,724 6 0 814,021 0.7 - - 2018
Private Equity $158,000,000 $55,814,013 35% $4,320,198 $51,052,891 1.0 - -
48
SITFOSummary of Private Real Estate
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
CommittedCapital
CalledCapital % Called
DistributedCapital
FairMarket Value
Multiple ofCalled Capital IRR * Vintage Year
* Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* Manager IRR is calculated through previous quarter-end and will not be calculated for the first two years; Summary IRR includes all managers.
Private Real Estate
Colony Realty Partners III $18,020,400 $14,633,151 81% $10,320,655 $11,634,767 1.5 7.5% 2008
Colony Realty Partners IV 47,250,000 39,044,680 83 21,153,837 45,576,086 1.7 14.2 2012
Fidelity Real Estate Growth Fund III 15,000,000 13,388,046 89 17,771,408 0 1.3 7.4 2007
Fundamental Partners III 25,000,000 12,946,798 52 1,951,157 12,346,706 1.1 - - 2015
LaSalle Income & Growth V 20,000,000 18,570,252 93 31,094,275 0 1.7 13.0 2008
LaSalle Income & Growth VI 35,000,000 33,333,333 95 32,806,223 17,290,226 1.5 13.8 2012
LaSalle Asia Opportunity Fund V 25,000,000 2,515,762 10 0 1,902,311 0.8 - - 2018
Long Wharf Real Estate Partners IV 45,000,000 45,000,000 100 39,345,037 24,526,826 1.4 12.5 2012
Long Wharf Real Estate Partners V 25,000,000 21,892,494 88 2,170,684 22,241,621 1.1 7.8 2015
Palatine Real Estate Fund III 25,000,000 0 0 0 0 0.0 - - 2018
UBS Trumbull Property Fund 51,673,532 51,673,532 100 67,574,458 1 1.3 3.3 -
UBS Trumbull Property Income Fund 60,553,105 60,553,105 100 14,405,320 82,910,263 1.6 8.6 -
Varde European Real Estate Feeder Fund 35,000,000 16,847,543 48 0 17,316,954 1.0 - - 2017
Private Real Estate $427,497,037 $330,398,696 77% $238,593,054 $235,745,761 1.4 8.2%
49
SITFOSummary of Private Natural Resources
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
CommittedCapital
CalledCapital % Called
DistributedCapital
FairMarket Value
Multiple ofCalled Capital IRR * Vintage Year
* Cordillera Investment Fund I includes all the Cordillera co-investments. Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.
* Manager IRR is calculated through previous quarter-end and will not be calculated for the first two years; Summary IRR includes all managers.
Private Natural Resources
Rockland Power Partners III $25,000,000 $7,436,559 30% $3,857,265 $7,393,200 1.5 - - 2016
Cordillera Investment Fund I 26,000,000 17,038,596 66 2,378,753 14,462,356 1.0 - - 2016
Cordillera Investment Fund II 20,000,000 0 0 0 0 0.0 - - 2018
Private Natural Resources $71,000,000 $24,475,155 34% $6,236,018 $21,855,556 1.1 - -
50
SITFOSummary of Private Debt
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
CommittedCapital
CalledCapital % Called
DistributedCapital
FairMarket Value
Multiple ofCalled Capital IRR * Vintage Year
* Fair Market Value estimate based on the most recent valuation, adjusted for capital calls and distributions after the valuation date.* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* Manager IRR is calculated through previous quarter-end and will not be calculated for the first two years; Summary IRR includes all managers.
Private Debt
ARES ICOF III $25,000,000 $24,632,161 99% $2,960,875 $23,401,198 1.1 - - 2016
Libremax Value Partners 25,000,000 25,000,000 100 0 31,121,897 1.2 - - 2016
BPC Opportunities Fund III 25,000,000 14,993,799 60 0 16,218,562 1.1 - - -
Crestline Oportunity Fund III 25,000,000 12,877,070 52 3,323,622 10,309,149 1.1 - - -
ILS Property & Casualty Fund II 50,000,000 16,404,831 33 277,064 16,106,332 1.0 - - 2018
Strategic Value Special Situations Fund IV 20,500,000 3,075,000 15 0 3,415,890 1.1 - - 2017
Clearwater Capital Partners Fund V 25,000,000 17,500,000 70 0 19,694,247 1.1 - - 2018
Private Debt $195,500,000 $114,482,861 59% $6,561,561 $120,267,275 1.1 - -
51
SITFOGrowth Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = -0.3% No
Beta < 1.20 Beta = 0.99 Yes
Alpha > 0.0% Alpha = -0.2% No
Peer Group Rank > 50th Percentile Ranks in Top 33rd Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Growth CompositeBalanced Index
1.01.0
0.91.0
10.3%10.3
1.7%0.0
-0.2--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 922,563 $ 967,993
Net Contributions/(Distributions) $ 13,693 $ (23,838)
Market Appreciation/(Depreciation) $ 16,501 $ 8,602
Ending Market Value $ 952,757 $ 952,757
* Risk Statistics are based on monthly data.*Growth Composite Blended Index is comprised of: 20.3% Russell 1000 Index, 20.3% Russell 2000 Index, 20.3% MSCI EAFE IMI Index, 20.3% MSCI Emerging Markets Index and 18.8% Thomson One All Private Equity Index. (Pro-rated)
52
SITFOGrowth CompositeGlobal Equity Universe
For Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04
5th
25th
50th
75th
95th
%6.5 %11.3 %19.5 %18.3 %12.0 %15.6 %10.9 %9.6
5.0 7.6 12.6 14.1 10.1 13.4 9.9 8.9
3.6 3.9 9.9 13.4 9.1 12.7 8.8 8.4
2.4 1.7 5.7 11.7 7.0 11.0 7.8 6.5
0.2 -4.6 -1.4 9.0 5.4 9.8 6.2 5.0
%1.8
3.1
%1.0
4.6
%6.6
10.3
%11.9
14.4
%10.1
10.4
%13.8
13.7
%9.7
10.0
%8.0
8.3
- Growth Composite
- Balanced Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/04-6%
-1%
4%
9%
14%
19%
24%
Report From September 30, 2004 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-6%
-2%
2%
6%
10%
14%
18%
53
SITFODomestic Equity Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = 0.1% Yes
Beta < 1.20 Beta = 0.94 Yes
Alpha > 0.0% Alpha = 0.9% Yes
Peer Group Rank > 50th Percentile Ranks in Top 25th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Domestic Equity CompositeBalanced Index
0.91.0
1.21.2
11.1%11.5
2.3%0.0
0.1--
* Risk Statistics are based on monthly data.*Domestic Equity Composite Blended Index is comprised of: 50.0% Russell 1000 Index and 50.0% Russell 2000 Index.
54
SITFODomestic Equity Composite
Broad Equity UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04
5th
25th
50th
75th
95th
%9.4 %22.5 %30.2 %21.0 %16.2 %18.9 %14.8 %11.5
7.5 14.4 21.0 17.6 13.2 17.0 12.5 10.0
5.7 8.9 15.1 15.4 11.4 15.8 11.4 9.1
3.6 5.0 10.1 13.3 9.8 14.3 10.1 8.0
0.8 1.1 5.4 10.2 7.1 11.6 8.2 6.5
%5.0
5.5
%11.5
11.1
%18.6
16.6
%16.1
18.0
%14.1
14.0
%17.6
17.2
%12.5
12.3
%9.4
9.4
- Domestic Equity Composite
- Balanced Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/040%
6%
12%
18%
24%
30%
36%
Report From September 30, 2004 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-5%
-1%
3%
7%
11%
15%
19%
55
SITFOU.S. Large Cap
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = 1.1% Yes
Beta < 1.20 Beta = 1.00 Yes
Alpha > 0.0% Alpha = 1.0% Yes
Peer Group Rank > 50th Percentile Ranks in Top 25th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
U.S. Large CapRussell 1000 Index
1.01.0
1.31.2
11.1%10.8
1.7%0.0
0.6--
* Risk Statistics are based on monthly data.
56
SITFOU.S. Large Cap
Broad Large Cap UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04
5th
25th
50th
75th
95th
%9.3 %21.2 %29.5 %21.1 %16.9 %19.0 %14.7 %11.2
7.9 14.4 22.4 18.1 14.4 17.3 12.6 9.4
7.0 9.1 16.3 15.9 12.6 16.0 11.2 8.7
5.7 5.4 11.9 14.1 10.8 14.6 9.9 7.8
3.7 2.5 7.3 11.4 8.5 12.3 8.3 6.5
%5.8
7.4
%11.3
10.5
%19.6
17.8
%17.2
17.1
%14.7
13.7
%17.7
16.9
%12.4
12.1
%9.4
9.3
- U.S. Large Cap
- Russell 1000 Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/042%
7%
12%
17%
22%
27%
32%
Report From September 30, 2004 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-5%
-1%
3%
7%
11%
15%
19%
57
SITFOParametric US VMP Large CapSummary of Performance and Statistics
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Parametric US VMP Large Cap
Russell 1000 Index
5.8%
7.4
12.0%
10.5
20.6%
17.8
20.7%
17.4
4/17
Risk Statistics (Since 4/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Parametric US VMP Large Cap
Russell 1000 Index
1.02
1.00
2.9%
0.0
0.88
1.00
9.7%
8.7
2.9%
0.0
1.1
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 233,101 $ 207,249
Net Contributions/(Distributions) $ 0 $ 13,418
Market Appreciation/(Depreciation) $ 13,430 $ 25,864
Ending Market Value $ 246,531 $ 246,531
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
58
SITFOParametric US VMP Large Cap
Broad Large Cap UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 4/17
5th
25th
50th
75th
95th
%9.3 %21.2 %29.5 %28.0
7.9 14.4 22.4 21.4
7.0 9.1 16.3 16.1
5.7 5.4 11.9 12.8
3.7 2.5 7.3 9.0
%5.8
7.4
%12.0
10.5
%20.6
17.8
%20.7
17.4
- Parametric US VMP Large Cap
- Russell 1000 Index
% R
etur
n
Qtr YTD 1Yr Since 4/172%
7%
12%
17%
22%
27%
32%
Report From June 30, 2017 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/18 9/185%
10%
15%
20%
25%
30%
35%
59
SITFOU.S. Small Cap
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = 2.2% Yes
Beta < 1.20 Beta = 0.82 Yes
Alpha > 0.0% Alpha = 4.1% Yes
Peer Group Rank > 50th Percentile Ranks in Top 25th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
U.S. Small CapRussell 2000 Index
0.91.0
1.00.7
13.3%15.0
4.7%0.0
0.5--
* Risk Statistics are based on monthly data.
60
SITFOU.S. Small Cap
Broad Small Cap UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 7/07
5th
25th
50th
75th
95th
%10.3 %27.5 %34.1 %21.9 %14.1 %19.0 %14.8 %11.3
6.2 16.0 21.8 18.1 11.9 17.2 12.6 9.6
3.7 9.7 14.1 16.0 10.5 15.9 11.4 8.6
1.6 5.3 9.1 13.7 9.0 14.6 10.3 7.5
-0.8 1.1 4.4 9.8 5.6 11.6 8.2 5.3
%4.0
3.6
%11.7
11.5
%16.7
15.2
%15.6
17.1
%13.3
11.1
%18.2
16.4
%12.8
11.1
%8.7
8.8
- U.S. Small Cap
- Russell 2000 Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 7/07-2%
5%
12%
19%
26%
33%
40%
Report From September 30, 2007 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/12 3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18-2%
4%
10%
16%
22%
28%
34%
61
SITFOParametric US VMP Small CapSummary of Performance and Statistics
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Parametric US VMP Small Cap
Russell 2000 Index
3.9%
3.6
11.0%
11.5
16.3%
15.2
15.0%
16.0
4/17
Risk Statistics (Since 4/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Parametric US VMP Small Cap
Russell 2000 Index
1.04
1.00
-1.6%
0.0
0.96
1.00
11.9%
11.3
2.1%
0.0
-0.5
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 156,211 $ 146,265
Net Contributions/(Distributions) $ 0 $ 0
Market Appreciation/(Depreciation) $ 6,108 $ 16,054
Ending Market Value $ 162,319 $ 162,319
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
62
SITFOParametric US VMP Small Cap
Broad Small Cap UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 4/17
5th
25th
50th
75th
95th
%10.3 %27.5 %34.1 %30.6
6.2 16.0 21.8 21.5
3.7 9.7 14.1 14.4
1.6 5.3 9.1 10.4
-0.8 1.1 4.4 6.2
%3.9
3.6
%11.0
11.5
%16.3
15.2
%15.0
16.0
- Parametric US VMP Small Cap
- Russell 2000 Index
% R
etur
n
Qtr YTD 1Yr Since 4/17-2%
5%
12%
19%
26%
33%
40%
Report From June 30, 2017 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/18 9/184%
10%
16%
22%
28%
34%
40%
63
SITFOBMO U.S. Microcap
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTDSince
InceptionInception
Date
BMO U.S. Microcap
Russell Microcap Index
4.4%
0.8
16.3%
11.6
16.2%
13.8
10/17
Portfolio StatisticsTrailing
P/ETrailing
P/BWtd AvgMkt Cap
CurrentYield
Equity AnnualTurnover
BMO U.S. Microcap
Russell Microcap Index
19.2
21.7
2.6
2.2
632.0M
590.0
0.8%
1.0
81.2%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 28,208 $ 15,027
Net Contributions/(Distributions) $ 0 $ 10,000
Market Appreciation/(Depreciation) $ 1,243 $ 4,424
Ending Market Value $ 29,451 $ 29,451
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
64
SITFOBMO U.S. MicrocapBroad Small Cap Universe
For Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
5th Percentile25th Percentile50th Percentile75th Percentile95th Percentile
- BMO U.S. Microcap- Russell Microcap Index
%10.3 %27.5 %31.46.2 16.0 19.63.7 9.7 12.91.6 5.3 7.8
-0.8 1.1 3.1
%4.40.8
%16.311.6
%16.213.8
% R
etur
n
Qtr YTD Since 10/17-2%
4%
10%
16%
22%
28%
34%
65
SITFOInternational Equity Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = -1.8% No
Beta < 1.20 Beta = 0.93 Yes
Alpha > 0.0% Alpha = -1.5% No
Peer Group Rank > 50th Percentile Ranks in Bottom 50th Percentile No
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
International Equity CompositeBalanced Index
1.01.0
0.20.4
11.2%12.0
2.2%0.0
-0.8--
* Risk Statistics are based on monthly data.*International Equity Composite Blended Index is comprised of: 50.0% MSCI EAFE IMI Index and 50.0% MSCI Emerging Markets Index.
66
SITFOInternational Equity Composite
Blended UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04
5th
25th
50th
75th
95th
%3.0 %-0.3 %6.1 %14.4 %6.7 %9.5 %8.2 %9.1
0.2 -4.2 1.0 11.2 4.7 7.6 6.1 8.0
-0.7 -6.0 -0.9 10.1 3.7 6.5 5.0 7.2
-2.4 -8.3 -3.7 8.2 2.4 5.5 4.2 6.4
-5.2 -11.4 -7.2 4.6 0.0 3.1 1.5 4.9
%-0.9
0.0
%-7.1
-4.6
%-2.4
1.1
%7.5
10.7
%3.1
4.9
%6.7
7.8
%4.5
5.6
%5.6
6.4
- International Equity Composite
- Balanced Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/04-13%
-8%
-3%
2%
7%
12%
17%
Blended Universe50.0% International Equity
50.0% Emerging Markets
Report From September 30, 2004 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-8%
-4%
0%
4%
8%
12%
16%
67
SITFOInternational Developed
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = -0.1% No
Beta < 1.20 Beta = 0.93 Yes
Alpha > 0.0% Alpha = 0.2% Yes
Peer Group Rank > 50th Percentile Ranks in Top 50th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
International DevelopedMSCI EAFE IMI Index
0.91.0
0.40.4
11.2%11.5
3.2%0.0
0.0--
* Risk Statistics are based on monthly data.
68
SITFOInternational DevelopedInternational Equity Universe
For Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04
5th
25th
50th
75th
95th
%2.9 %3.3 %8.1 %13.1 %8.1 %11.5 %8.8 %8.1
1.3 -1.0 3.1 10.1 5.5 9.4 6.4 6.8
0.6 -2.6 1.6 9.0 4.4 8.3 5.4 5.9
-0.2 -4.0 -0.6 7.8 3.6 7.4 4.6 5.3
-2.6 -6.9 -3.4 5.9 1.9 5.9 3.3 4.1
%1.3
1.0
%0.3
-1.5
%4.3
2.9
%10.3
9.7
%4.8
4.9
%8.0
8.7
%5.5
5.9
%6.4
6.2
- International Developed
- MSCI EAFE IMI Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/04-8%
-4%
0%
4%
8%
12%
16%
Report From September 30, 2004 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18-8%
-4%
0%
4%
8%
12%
16%
69
SITFOParametric International
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Parametric International
MSCI EAFE Index
1.3%
1.4
0.3%
-1.4
4.3%
2.7
9.7%
8.4
4/17
Risk Statistics (Since 4/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Parametric International
MSCI EAFE Index
0.90
1.00
2.0%
0.0
0.94
1.00
8.7%
9.3
2.2%
0.0
0.6
--
Portfolio StatisticsTrailing
P/ETrailing
P/BWtd AvgMkt Cap
CurrentYield
Equity AnnualTurnover
Parametric International
MSCI EAFE Index
14.7
15.4
1.8
1.7
14,171.0M
50,408.3
3.2%
3.2
36.0%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 249,131 $ 263,578
Net Contributions/(Distributions) $ 0 $ (11,849)
Market Appreciation/(Depreciation) $ 3,156 $ 558
Ending Market Value $ 252,287 $ 252,287
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
70
SITFOParametric International
International SectorReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Region Allocation
Region Weightings Market Total ReturnsPrimary
Region Manager Benchmark 3 Months 12 MonthsUnited States 0% 0% 7.4% 17.2%
Dev Mkts - Other 0 1 5.1 14.8
Em Mkts - Latin Am 0 0 4.8 -9.1
Japan 16 25 3.7 10.2
Europe (ex-UK) 52 46 1.8 -1.5
Pacific (ex-Japan) 15 12 -0.6 4.3
Em Mkts - EMEA 2 0 -1.6 -2.2
United Kingdom 16 18 -1.7 2.9
Em Mkts - Other 0 0 -2.0 -7.7
Em Mkts - Asia 0 0 -2.7 -1.1
Em Mkts - Asia
Em Mkts - Other
United Kingdom
Em Mkts - EMEA
Pacific (ex-Japan)
Europe (ex-UK)
Japan
Em Mkts - Latin Am
Dev Mkts - Other
United States
0% 10% 20% 30% 40% 50% 60%
Manager Primary Benchmark
Top Five Countries WeightingJapan 15.9%
United Kingdom 15.7
Switzerland 8.0
France 7.9
Germany 7.9
Number of Holdings: 1040
* Sector weightings may not add up to 100% due to rounding.* Manager data represents the most current available at the time of report publication.
71
SITFOEmerging MarketsAsset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Time Period From 11/16 To 9/18Return > Benchmark Return over benchmark = -9.4% No
Beta < 1.20 Beta = 0.86 Yes
Alpha > 0.0% Alpha = -7.7% No
Peer Group Rank > 50th Percentile Ranks in Bottom 5th Percentile No
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Emerging MarketsMSCI Emerging Markets Index
0.81.0
0.31.0
11.4%13.2
5.3%0.0
-1.8--
* Risk Statistics are based on monthly data.
72
SITFOEmerging Markets
Emerging Markets UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 11/16
5th
25th
50th
75th
95th
%3.0 %-3.8 %4.0 %15.6
-1.0 -7.4 -1.0 14.0
-2.1 -9.5 -3.4 12.3
-4.6 -12.6 -6.8 9.8
-7.7 -15.8 -11.1 4.7
%-3.5
-1.1
%-14.7
-7.7
%-9.4
-0.8
%4.5
13.9
- Emerging Markets
- MSCI Emerging Markets Index
% R
etur
n
Qtr YTD 1Yr Since 11/16-17%
-11%
-5%
1%
7%
13%
19%
Report From December 31, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
12/17 3/18 6/18 9/18-12%
-2%
8%
18%
28%
38%
48%
73
SITFOSR Global Fund (Frontier)
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
SR Global Fund (Frontier)
MSCI Frontier Markets Index
-3.2%
-2.0
-10.6%
-12.6
-3.2%
-7.7
4.8%
9.6
11/16
Risk Statistics (Since 11/16) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
SR Global Fund (Frontier)
MSCI Frontier Markets Index
0.67
1.00
-2.1%
0.0
0.67
1.00
11.0%
14.0
7.5%
0.0
-0.7
--
Portfolio StatisticsTrailing
P/ETrailing
P/BWtd AvgMkt Cap
CurrentYield
Equity AnnualTurnover
SR Global Fund (Frontier)
MSCI Frontier Markets Index
10.8
14.0
2.1
1.9
4,200.0M
2,399.2
3.6%
3.9
127.9%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 36,771 $ 39,817
Net Contributions/(Distributions) $ 0 $ 0
Market Appreciation/(Depreciation) $ (1,171) $ (4,217)
Ending Market Value $ 35,600 $ 35,600
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
74
SITFOSR Global Fund (Frontier)
Emerging Markets UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 11/16
5th
25th
50th
75th
95th
%3.0 %-3.8 %4.0 %15.6
-1.0 -7.4 -1.0 14.0
-2.1 -9.5 -3.4 12.3
-4.6 -12.6 -6.8 9.8
-7.7 -15.8 -11.1 4.7
%-3.2
-2.0
%-10.6
-12.6
%-3.2
-7.7
%4.8
9.6
- SR Global Fund (Frontier)
- MSCI Frontier Markets Index
% R
etur
n
Qtr YTD 1Yr Since 11/16-17%
-11%
-5%
1%
7%
13%
19%
Report From December 31, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
12/17 3/18 6/18 9/18-12%
-2%
8%
18%
28%
38%
48%
75
SITFOTaiyo Greater India Fund
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Taiyo Greater India Fund
MSCI India SMID Cap Index
MSCI India ND IX
-17.4%
-12.2
-2.2
-46.6%
-28.7
-9.6
-37.4%
-16.0
1.1
-24.7%
-5.4
4.7
3/17
Risk Statistics (Since 3/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Taiyo Greater India Fund
MSCI India SMID Cap Index
MSCI India ND IX
1.02
1.00
0.68
-19.1%
0.0
7.9
0.79
1.00
0.76
19.6%
20.7
17.4
13.0%
0.0
17.5
-1.5
--
-1.7
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 27,380 $ 30,714
Net Contributions/(Distributions) $ 0 $ 10,000
Market Appreciation/(Depreciation) $ (4,764) $ (18,098)
Ending Market Value $ 22,616 $ 22,616
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
76
SITFOParametric Emerging MarketsSummary of Performance and Statistics
Report For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Parametric Emerging Markets
MSCI Emerging Markets Index
-1.1%
-1.1
-8.9%
-7.7
-4.7%
-0.8
2.3%
7.8
4/17
Risk Statistics (Since 4/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Parametric Emerging Markets
MSCI Emerging Markets Index
0.87
1.00
-4.7%
0.0
0.91
1.00
11.6%
13.4
4.1%
0.0
-1.4
--
Portfolio StatisticsTrailing
P/ETrailing
P/BWtd AvgMkt Cap
CurrentYield
Equity AnnualTurnover
Parametric Emerging Markets
MSCI Emerging Markets Index
12.0
13.3
1.4
1.7
19,809.8M
48,773.5
3.1%
2.7
11.7%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 154,529 $ 192,304
Net Contributions/(Distributions) $ 0 $ (25,050)
Market Appreciation/(Depreciation) $ (1,629) $ (14,354)
Ending Market Value $ 152,900 $ 152,900
* Risk Statistics are based on monthly data. MSCI does not compute the Weighted Average Market Capitalization - the average market capitalization is used as the best available representation.* Manager data represents the most current available at the time of report publication.
77
SITFOParametric Emerging Markets
Emerging Markets SectorReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Region Allocation
Region Weightings Market Total ReturnsPrimary
Region Manager Benchmark 3 Months 12 MonthsUnited States 0% 0% 7.4% 17.2%
Dev Mkts - Other 0 0 5.1 14.8
Em Mkts - Latin Am 19 11 4.8 -9.1
Japan 0 0 3.7 10.2
Europe (ex-UK) 0 0 1.8 -1.5
Pacific (ex-Japan) 0 0 -0.6 4.3
Em Mkts - EMEA 22 14 -1.6 -2.2
United Kingdom 0 0 -1.7 2.9
Em Mkts - Other 15 0 -2.0 -7.7
Em Mkts - Asia 44 75 -2.7 -1.1
Em Mkts - Asia
Em Mkts - Other
United Kingdom
Em Mkts - EMEA
Pacific (ex-Japan)
Europe (ex-UK)
Japan
Em Mkts - Latin Am
Dev Mkts - Other
United States
0% 10% 20% 30% 40% 50% 60% 70% 80%
Manager Primary Benchmark
Top Five Countries WeightingChina 9.9%
Russia 6.6
Taiwan 6.5
Korea, South 6.3
Brazil 6.2
Number of Holdings: 1811
* Sector weightings may not add up to 100% due to rounding.* Manager data represents the most current available at the time of report publication.
78
SITFOParametric Emerging Markets
Emerging Markets UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 4/17
5th
25th
50th
75th
95th
%3.0 %-3.8 %4.0 %9.5
-1.0 -7.4 -1.0 7.4
-2.1 -9.5 -3.4 5.4
-4.6 -12.6 -6.8 2.6
-7.7 -15.8 -11.1 -1.5
%-1.1
-1.1
%-8.9
-7.7
%-4.7
-0.8
%2.3
7.8
- Parametric Emerging Markets
- MSCI Emerging Markets Index
% R
etur
n
Qtr YTD 1Yr Since 4/17-17%
-12%
-7%
-2%
3%
8%
13%
Report From June 30, 2017 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/18 9/18-12%
-7%
-2%
3%
8%
13%
18%
79
SITFOWestport NewCold, LP
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Westport Capital Partners, LLC
Fund Name New Cold
Focus Private Real Estate - Opportunistic
Capital Drawn 98%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $15,000,000 $15,000,000
Called Capital $14,692,500 $13,567,500
Distributed Capital $1,125,000 $1,125,000Market Value $15,476,481 $14,216,214Total Value $16,601,481 $15,341,214
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
New Cold 0.08 1.13
Median Thomson One All Private Capital - -
Performance Summary 6/30/2018
New Cold IRR -
Median Thomson One All Private Capital IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$3.32
$6.64
$9.96
$13.28
$16.60
10/1
6
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$16.60
$15.00
$14.69
$1.13
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$3.32
$6.64
$9.96
$13.28
$16.60
10/1
6
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$16.60
New Cold
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
80
SITFOVarsity Healthcare Partners II
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Varsity Management Company, LLC
Fund Name Varsity Healthcare Partners II, LP
Focus Private Equity - Buyout
Capital Drawn 52%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $15,000,000 $15,000,000
Called Capital $7,749,931 $2,517,573
Distributed Capital $0 $0Market Value $6,818,751 $1,692,496Total Value $6,818,751 $1,692,496
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Varsity Healthcare Partners II, LP - 0.88
Median Thomson One Buyout - -
Performance Summary 6/30/2018
Varsity Healthcare Partners II, LP IRR -
Median Thomson One Buyout IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$3.00
$6.00
$9.00
$12.00
$15.00
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$15.00
$7.75
$6.82
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$1.36
$2.73
$4.09
$5.46
$6.82
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$6.82
Varsity Healthcare Partners II, LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
81
SITFOGladius Venator Fund, LPSummary of Manager Performance
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Gladius Capital Management, LP
Fund Name Gladius Venator Fund, LP
Focus Private Equity - Relative Value
Capital Drawn 31%
Vintage Year 2017
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $35,000,000 $35,000,000
Called Capital $10,966,259 $8,158,945
Distributed Capital $0 $0Market Value $8,680,559 $5,714,072Total Value $8,680,559 $5,714,072
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Gladius Venator Fund, LP - 0.79
Median Thomson One All Private Equity - -
Performance Summary 6/30/2018
Gladius Venator Fund, LP IRR -
Median Thomson One All Private Equity IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$7.00
$14.00
$21.00
$28.00
$35.00
4/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$35.00
$10.97
$8.68
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$1.74
$3.47
$5.21
$6.94
$8.68
4/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$8.68
Gladius Venator Fund, LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
82
SITFOSummit Growth Equity IX
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Summit Partners
Fund Name Summit Growth Equity IX, LP
Focus Private Equity - Venture Capital
Capital Drawn 52%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $22,000,000 $22,000,000
Called Capital $11,424,599 $8,602,000
Distributed Capital $3,195,198 $2,194,198Market Value $10,147,024 $8,129,849Total Value $13,342,222 $10,324,047
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Summit Growth Equity IX, LP 0.28 1.17
Median Thomson One All Private Capital - -
Performance Summary 6/30/2018
Summit Growth Equity IX, LP IRR -
Median Thomson One All Private Capital IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$4.40
$8.80
$13.20
$17.60
$22.00
4/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$22.00
$13.34
$11.42
$3.20
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$2.67
$5.34
$8.01
$10.67
$13.34
4/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$13.34
Summit Growth Equity IX, LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
83
SITFOKickstart Seed IV
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Kickstart
Fund Name Kickstart Seed Fund IV
Focus Private Equity - Diversified
Capital Drawn 40%
Vintage Year 2017
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $15,000,000 $15,000,000
Called Capital $5,925,000 $5,925,000
Distributed Capital $0 $0Market Value $5,411,290 $5,484,673Total Value $5,411,290 $5,484,673
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Kickstart Seed Fund IV - 0.91
Median Thomson One Fund of Funds - -
Performance Summary 6/30/2018
Kickstart Seed Fund IV IRR -
Median Thomson One Fund of Funds IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$3.00
$6.00
$9.00
$12.00
$15.00
6/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$15.00
$5.93
$5.41
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$1.10
$2.19
$3.29
$4.39
$5.48
6/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$5.41
Kickstart Seed Fund IV
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
84
SITFOHuron Fund V, LP
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Huron Capital Partners
Fund Name Huron Capital V
Focus Private Equity - Buyout
Capital Drawn 11%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $22,000,000 $22,000,000
Called Capital $2,365,000 $2,365,000
Distributed Capital $0 $0Market Value $1,841,773 $1,993,754Total Value $1,841,773 $1,993,754
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Huron Capital V - 0.78
Median Thomson One Buyout - -
Performance Summary 6/30/2018
Huron Capital V IRR -
Median Thomson One Buyout IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$-0.51
$3.99
$8.49
$13.00
$17.50
$22.00
12/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$22.00
$2.37
$1.84
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$-0.51
$-0.01
$0.49
$0.99
$1.49
$1.99
12/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$1.84
Huron Capital V
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
85
SITFOUnicorn Partners Fund II
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Unicorn Capital Partners
Fund Name Unicorn Partners Fund II, LP
Focus Private Equity - Venture Capital
Capital Drawn 10%
Vintage Year 2018
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $15,000,000 $15,000,000
Called Capital $1,500,000 $0
Distributed Capital $0 $0Market Value $1,862,992 $0Total Value $1,862,992 $0
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Unicorn Partners Fund II, LP - 1.24
Median Thomson One Venture Capital - -
Performance Summary 6/30/2018
Unicorn Partners Fund II, LP IRR -
Median Thomson One Venture Capital IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$3.00
$6.00
$9.00
$12.00
$15.00
6/18
7/18
8/18
9/18
$15.00
$1.86
$1.50
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$0.37
$0.75
$1.12
$1.49
$1.86
6/18
7/18
8/18
9/18
$1.86
Unicorn Partners Fund II, LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
86
SITFODouglas Bay Capital III
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company DouglasBay (DBAY) Advisors
Fund Name Douglas Bay Capital III
Focus Private Equity - Buyout
Capital Drawn 6%
Vintage Year 2018
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $19,000,000 $19,000,000
Called Capital $1,190,724 $0
Distributed Capital $0 $0Market Value $814,021 $0Total Value $814,021 $0
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Douglas Bay Capital III - 0.68
Median Thomson One Buyout - -
Performance Summary 6/30/2018
Douglas Bay Capital III IRR -
S&P 500 Index IRR -
Median Thomson One Buyout IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$3.80
$7.60
$11.40
$15.20
$19.00
6/18
7/18
8/18
9/18
$19.00
$1.19
$0.81
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$0.25
$0.49
$0.74
$0.98
$1.23
6/18
7/18
8/18
9/18
$1.23
$0.81
Douglas Bay Capital IIIS&P 500 Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
87
SITFOReal Assets Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = 1.4% Yes
Beta < 1.20 Beta = 0.89 Yes
Alpha > 0.0% Alpha = 2.3% Yes
Peer Group Rank > 50th Percentile Ranks in Top 5th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Real Assets CompositeReal Assets Policy Index
0.81.0
1.81.5
5.3%5.4
2.2%0.0
0.6--
* Risk Statistics are based on monthly data.*Real Assets Composite Blended Index is comprised of: 15.0% Bloomberg Barclays U.S. TIPS Index, 20.0% Alerian MLP Index, 45.0% NCREIF Property Index, 20.0% Thomson One Private Natural Resources Index. (Pro-rated)
88
SITFOReal Assets Composite
Blended UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 1/08
5th
25th
50th
75th
95th
%4.2 %15.5 %21.3 %12.5 %6.8 %9.7 %6.5 %4.4
1.3 3.9 8.9 8.3 2.9 6.9 4.2 2.6
-0.2 0.2 3.7 4.9 0.8 3.6 2.4 0.6
-2.1 -3.1 0.3 2.7 -1.5 1.5 0.0 -1.5
-6.4 -11.1 -8.8 -4.3 -6.2 -3.5 -4.2 -4.8
%3.5
2.6
%7.4
4.8
%8.5
6.1
%6.3
5.5
%10.0
8.6
%9.8
9.2
%5.2
5.4
%4.9
5.1
- Real Assets Composite
- Real Assets Policy Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 1/08-13%
-7%
-1%
5%
11%
17%
23%
Blended Universe50.0% Global Real Estate
50.0% Natural Resources
Report From March 31, 2008 to September 30, 20185 Year Rolling Periods
% R
etur
n
3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18-10%
-4%
2%
8%
14%
20%
26%
89
SITFOPublic Real Assets
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Time Period From 6/16 To 9/18Return > Benchmark Return over benchmark = 2.8% Yes
Beta < 1.20 Beta = 0.99 Yes
Alpha > 0.0% Alpha = 2.8% Yes
Peer Group Rank > 50th Percentile Ranks in Top 25th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Public Real AssetsBalanced Index
1.01.0
0.20.0
15.8%15.3
3.0%0.0
0.9--
* Risk Statistics are based on monthly data.*Public Real Assets Composite Blended Index is comprised of: 43.0% Bloomberg Barclays U.S. TIPS Index and 57.0% Alerian MLP Index.
90
SITFOPublic Real Assets
Blended UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 6/16
5th
25th
50th
75th
95th
%2.7 %7.9 %11.1 %7.5
1.1 2.7 5.6 3.6
0.3 0.7 3.1 1.5
-0.6 -0.9 1.2 0.0
-3.8 -5.0 -4.0 -4.0
%6.1
6.6
%9.2
5.9
%8.7
4.9
%3.8
1.0
- Public Real Assets
- Balanced Index
% R
etur
n
Qtr YTD 1Yr Since 6/16-7%
-3%
1%
5%
9%
13%
17%
Blended Universe15.0% TIPS
65.0% REIT Manager
20.0% Natural Resources
Report From June 30, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/17 9/17 12/17 3/18 6/18 9/18-21%
-15%
-9%
-3%
3%
9%
15%
91
SITFOHarvest MLP Income Fund
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Harvest MLP Income Fund
Alerian MLP Index
6.1%
6.6
9.2%
5.9
8.7%
4.9
3.8%
0.9
6/16
Risk Statistics (Since 6/16) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Harvest MLP Income Fund
Alerian MLP Index
0.99
1.00
2.9%
0.0
0.96
1.00
15.8%
15.3
3.0%
0.0
1.0
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 160,507 $ 104,368
Net Contributions/(Distributions) $ (22,646) $ 27,354
Market Appreciation/(Depreciation) $ 10,681 $ 16,820
Ending Market Value $ 148,542 $ 148,542
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
92
SITFOHarvest MLP Income Fund
Natural Resources UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 6/16
5th
25th
50th
75th
95th
%7.7 %27.9 %34.7 %17.6
2.4 6.4 12.6 8.8
-0.2 0.2 3.3 3.7
-3.5 -5.2 -2.1 -1.4
-10.9 -19.2 -19.0 -17.9
%6.1
6.6
%9.2
5.9
%8.7
4.9
%3.8
0.9
- Harvest MLP Income Fund
- Alerian MLP Index
% R
etur
n
Qtr YTD 1Yr Since 6/16-21%
-11%
-1%
9%
19%
29%
39%
Report From June 30, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/17 9/17 12/17 3/18 6/18 9/18-24%
-12%
0%
12%
24%
36%
48%
93
SITFOInflation Linked Bonds Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Time Period From 6/16 To 9/18Return > Benchmark Return over benchmark = 0.3% Yes
Beta < 1.20 Beta = 0.86 Yes
Alpha > 0.0% Alpha = 0.2% Yes
Peer Group Rank > 50th Percentile Ranks in Top 50th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Inflation Linked Bonds CompositeBloomberg Barclays U.S. TIPS Index
0.91.0
-0.2-0.3
2.4%2.6
0.8%0.0
0.3--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 69,473 $ 69,559
Net Contributions/(Distributions) $ 12,500 $ 12,500
Market Appreciation/(Depreciation) $ 76 $ (10)
Ending Market Value $ 82,049 $ 82,049
* Risk Statistics are based on monthly data.
94
SITFOInflation Linked Bonds Composite
TIPS UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 6/16
5th
25th
50th
75th
95th
%0.5 %1.5 %2.1 %2.7
-0.3 -0.3 0.7 0.7
-0.8 -0.8 0.3 0.3
-0.9 -1.1 0.1 0.1
-1.1 -1.6 -0.3 -0.4
%0.1
-0.8
%0.1
-0.8
%0.9
0.4
%0.5
0.3
- Inflation Linked Bonds Composite
- Bloomberg Barclays U.S. TIPS Index
% R
etur
n
Qtr YTD 1Yr Since 6/16-3%
-2%
-1%
0%
1%
2%
3%
Report From June 30, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/17 9/17 12/17 3/18 6/18 9/18-3%
-1%
1%
3%
5%
7%
9%
95
SITFOVanguard Inflation Protected Short Term
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Vanguard Inflation Protected Short Term
Bloomberg Barclays U.S. 0-5 Year TIPS
0.1%
0.1
0.8%
0.8
1.0%
1.0
0.8%
0.8
8/17
Risk Statistics (Since 8/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Vanguard Inflation Protected Short Term
Bloomberg Barclays U.S. 0-5 Year TIPS
0.94
1.00
-0.1%
0.0
0.98
1.00
0.9%
1.0
0.1%
0.0
-0.2
--
Portfolio StatisticsEffectiveDuration
Wtd AvgMaturity
Wtd AvgCredit
Yield toWorst
FI AnnlTurnover
Vanguard Inflation Protected Short Term
Bloomberg Barclays U.S. 0-5 Year TIPS
2.6yrs
--
2.6yrs
--
AAA
--
3.0%
--
17.0%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 69,473 $ 24,689
Net Contributions/(Distributions) $ 12,500 $ 56,876
Market Appreciation/(Depreciation) $ 76 $ 484
Ending Market Value $ 82,049 $ 82,049
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
96
SITFOVanguard Inflation Protected Short Term
Fixed Income SectorReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Sector Allocation
Sector Weightings Market Total Returns
PrimarySector Manager Benchmark 3 Months 12 Months
Total Weighting 100% 100% 0.1% 1.0%
Municipals 0 0 -0.2 0.4
Convertibles 0 0 3.9 12.2
Government/Sovereigns 100 100 -0.6 -1.6
Private Placements/144As 0 0 0.9 -0.8
Mortgage-Passthrough (TBA) 0 0 0.4 -1.4
Agencies/Regional 0 0 0.3 -0.5
Invt. Grade Corporates 0 0 1.0 -1.2
Other 0 0 0.5 0.3
High Yield Corporates 0 0 2.4 3.1
Non-Agency ABS 0 0 0.5 0.5
Non-Agency MBS 0 0 0.6 -0.7
Leveraged/Bank Loans 0 0 1.9 5.6
0
10
20
30
40
50
60
70
80
90
100
% o
f Tot
al
Manager Primary Benchmark
MunicipalsConvertiblesGovernment/SovereignsPrivate Placements/144AsMortgage-Passthrough (TBA)Agencies/Regional
Invt. Grade CorporatesOtherHigh Yield CorporatesNon-Agency ABSNon-Agency MBSLeveraged/Bank Loans
* Manager data represents the most current available at the time of report publication.*Sector weightings may not add up to 100% due to rounding.
97
SITFOVanguard Inflation Protected Short Term
TIPS UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
5th Percentile25th Percentile50th Percentile75th Percentile95th Percentile
- Vanguard Inflation Protected Short Term- Bloomberg Barclays U.S. 0-5 Year TIPS
%0.5 %1.5 %2.1 %2.1-0.3 -0.3 0.7 0.2-0.8 -0.8 0.3 -0.3-0.9 -1.1 0.1 -0.4-1.1 -1.6 -0.3 -0.9
%0.10.1
%0.80.8
%1.01.0
%0.80.8
% R
etur
n
Qtr YTD 1Yr Since 8/17-3%
-2%
-1%
0%
1%
2%
3%
98
SITFOPrivate Real Estate
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = 0.9% Yes
Beta < 1.20 Beta = 0.98 Yes
Alpha > 0.0% Alpha = 1.1% Yes
Peer Group Rank > 50th Percentile Ranks in Top 5th Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Private Real EstateNCREIF Property Index
0.81.0
2.12.1
4.8%4.4
1.9%0.0
0.5--
* Risk Statistics are based on monthly data.
99
SITFOPrivate Real Estate
Global Real Estate UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 12/07
5th
25th
50th
75th
95th
%0.7 %3.2 %7.9 %9.4 %8.0 %11.4 %8.2 %5.5
0.1 1.4 5.3 7.6 6.7 10.7 6.7 4.4
-0.2 0.3 4.1 6.1 5.9 9.6 6.3 3.6
-0.7 -0.9 2.8 5.6 5.3 9.2 5.6 3.0
-1.9 -2.9 1.4 3.7 4.0 7.5 4.9 2.8
%1.9
1.7
%5.2
5.3
%7.3
7.2
%7.1
7.8
%10.5
9.6
%10.2
10.0
%5.5
6.4
%5.0
6.2
- Private Real Estate
- NCREIF Property Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 12/07-4%
-1%
2%
5%
8%
11%
14%
Report From March 31, 2008 to September 30, 20185 Year Rolling Periods
% R
etur
n
3/13 9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18-1%
4%
9%
14%
19%
24%
29%
100
SITFOColony Realty Partners III
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Colony Realty Partners
Fund Name Colony Realty Partners III
Focus Private Real Estate - Value Added
Capital Drawn 81%
Vintage Year 2008
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $18,020,400 $18,020,400
Called Capital $14,633,151 $14,633,151
Distributed Capital $10,320,655 $10,116,850Market Value $11,634,767 $11,955,360Total Value $21,955,422 $22,072,210
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Colony Realty Partners III 0.71 1.50
Median Thomson One Private Real Estate 1.07 1.35
Performance Summary 6/30/2018
Colony Realty Partners III IRR 7.5%
NCREIF Property Index IRR 10.6%
Median Thomson One Private Real Estate IRR 6.1%
Quartile Rank 2nd
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$4.41
$8.83
$13.24
$17.66
$22.07
9/08
3/09
9/09
3/10
9/10
3/11
9/11
3/12
9/12
3/13
9/13
3/14
9/14
3/15
9/15
3/16
9/16
3/17
9/17
3/18
9/18
$21.96
$18.02
$14.63
$10.32
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$5.45
$10.89
$16.34
$21.78
$27.23
9/08
3/09
9/09
3/10
9/10
3/11
9/11
3/12
9/12
3/13
9/13
3/14
9/14
3/15
9/15
3/16
9/16
3/17
9/17
3/18
9/18
$27.23
$21.96
Colony Realty Partners IIINCREIF Property Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
101
SITFOColony Realty Partners IVSummary of Manager Performance
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Colony Realty Partners
Fund Name Colony Realty Partners IV
Focus Private Real Estate - Value Added
Capital Drawn 83%
Vintage Year 2012
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $47,250,000 $47,250,000
Called Capital $39,044,680 $39,044,680
Distributed Capital $21,153,837 $20,674,401Market Value $45,576,086 $44,688,737Total Value $66,729,923 $65,363,138
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Colony Realty Partners IV 0.54 1.71
Median Thomson One Private Real Estate 0.84 1.43
Performance Summary 6/30/2018
Colony Realty Partners IV IRR 14.2%
NCREIF Property Index IRR 9.8%
Median Thomson One Private Real Estate IRR 12.6%
Quartile Rank 2nd
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$14.69
$29.38
$44.07
$58.76
$73.45
12/1
2
3/13
6/13
9/13
12/1
3
3/14
6/14
9/14
12/1
4
3/15
6/15
9/15
12/1
5
3/16
6/16
9/16
12/1
6
3/17
6/17
9/17
12/1
7
3/18
6/18
9/18
$66.73
$47.25
$39.04
$21.15
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$14.69
$29.38
$44.07
$58.76
$73.45
12/1
2
3/13
6/13
9/13
12/1
3
3/14
6/14
9/14
12/1
4
3/15
6/15
9/15
12/1
5
3/16
6/16
9/16
12/1
6
3/17
6/17
9/17
12/1
7
3/18
6/18
9/18
$66.73
$66.17
Colony Realty Partners IVNCREIF Property Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
102
SITFOFundamental Partners III
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Fundamental Partners
Fund Name Fundamental Partners III
Focus Private Debt - Distressed Debt
Capital Drawn 52%
Vintage Year 2015
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $12,946,798 $12,946,798
Distributed Capital $1,951,157 $1,699,395Market Value $12,346,706 $12,164,233Total Value $14,297,863 $13,863,628
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Fundamental Partners III 0.15 1.10
Median Thomson One Distressed - -
Performance Summary 6/30/2018
Fundamental Partners III IRR -
Median Thomson One Distressed IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.00
$10.00
$15.00
$20.00
$25.00
4/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$25.00
$14.30
$12.95
$1.95
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$2.86
$5.72
$8.58
$11.44
$14.30
4/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$14.30
Fundamental Partners III
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
103
SITFOLaSalle Income & Growth VISummary of Manager Performance
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company LaSalle Investment Management
Fund Name LaSalle Income & Growth VI
Focus Private Real Estate - Value Added
Capital Drawn 95%
Vintage Year 2012
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $35,000,000 $35,000,000
Called Capital $33,333,333 $33,333,333
Distributed Capital $32,806,223 $32,806,223Market Value $17,290,226 $17,049,794Total Value $50,096,449 $49,856,017
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
LaSalle Income & Growth VI 0.98 1.50
Median Thomson One Private Real Estate 0.84 1.43
Performance Summary 6/30/2018
LaSalle Income & Growth VI IRR 13.8%
NCREIF Property Index IRR 10.8%
Median Thomson One Private Real Estate IRR 12.6%
Quartile Rank 2nd
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.18
$10.16
$20.14
$30.13
$40.11
$50.10
7/13
9/13
12/1
3
3/14
6/14
9/14
12/1
4
3/15
6/15
9/15
12/1
5
3/16
6/16
9/16
12/1
6
3/17
6/17
9/17
12/1
7
3/18
6/18
9/18
$50.10
$35.00
$33.33
$32.81
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$10.02
$20.04
$30.06
$40.08
$50.10
7/13
9/13
12/1
3
3/14
6/14
9/14
12/1
4
3/15
6/15
9/15
12/1
5
3/16
6/16
9/16
12/1
6
3/17
6/17
9/17
12/1
7
3/18
6/18
9/18
$50.10
$45.54
LaSalle Income & Growth VINCREIF Property Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
104
SITFOLaSalle Asia Opportunity Fund V
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company LaSalle Investment Management
Fund Name LaSalle Asia Opportunity Fund V
Focus Private Real Estate - Core
Capital Drawn 10%
Vintage Year 2018
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $2,515,762 $1,411,907
Distributed Capital $0 $0Market Value $1,902,311 $988,303Total Value $1,902,311 $988,303
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
LaSalle Asia Opportunity Fund V - 0.76
Median Thomson One Private Real Estate - -
Performance Summary 6/30/2018
LaSalle Asia Opportunity Fund V IRR -
Median Thomson One Private Real Estate IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.00
$10.00
$15.00
$20.00
$25.00
12/1
7
1/18
2/18
3/18
4/18
5/18
6/18
7/18
8/18
9/18
$25.00
$2.52
$1.90
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$0.42
$0.84
$1.26
$1.67
$2.09
12/1
7
1/18
2/18
3/18
4/18
5/18
6/18
7/18
8/18
9/18
$1.90
LaSalle Asia Opportunity Fund V
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
105
SITFOLong Wharf Real Estate Partners IV
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Long Wharf Real Estate Partners
Fund Name Long Wharf Real Estate Partners IV
Focus Private Real Estate - Value Added
Capital Drawn 100%
Vintage Year 2012
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $45,000,000 $45,000,000
Called Capital $45,000,000 $45,000,000
Distributed Capital $39,345,037 $37,658,314Market Value $24,526,826 $25,763,785Total Value $63,871,863 $63,422,099
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Long Wharf Real Estate Partners IV 0.87 1.42
Median Thomson One Private Real Estate 0.84 1.43
Performance Summary 6/30/2018
Long Wharf Real Estate Partners IV IRR 12.5%
NCREIF Property Index IRR 9.8%
Median Thomson One Private Real Estate IRR 12.6%
Quartile Rank 3rd
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$12.77
$25.55
$38.32
$51.10
$63.87
11/1
2
3/13
6/13
9/13
12/1
3
3/14
6/14
9/14
12/1
4
3/15
6/15
9/15
12/1
5
3/16
6/16
9/16
12/1
6
3/17
6/17
9/17
12/1
7
3/18
6/18
9/18
$63.87
$45.00
$45.00
$39.35
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$13.79
$27.58
$41.37
$55.16
$68.95
11/1
2
3/13
6/13
9/13
12/1
3
3/14
6/14
9/14
12/1
4
3/15
6/15
9/15
12/1
5
3/16
6/16
9/16
12/1
6
3/17
6/17
9/17
12/1
7
3/18
6/18
9/18
$68.95
$63.87
Long Wharf Real Estate Partners IVNCREIF Property Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
106
SITFOLong Wharf Real Estate Partners V
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Long Wharf Real Estate Partners
Fund Name Long Wharf Real Estate Partners V
Focus Private Real Estate - Value Added
Capital Drawn 88%
Vintage Year 2015
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $21,892,494 $19,379,070
Distributed Capital $2,170,684 $1,370,958Market Value $22,241,621 $19,727,679Total Value $24,412,305 $21,098,637
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Long Wharf Real Estate Partners V 0.10 1.12
Median Thomson One Private Real Estate 0.13 1.21
Performance Summary 6/30/2018
Long Wharf Real Estate Partners V IRR 7.8%
NCREIF Property Index IRR 8.0%
Median Thomson One Private Real Estate IRR 11.1%
Quartile Rank 3rd
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.00
$10.00
$15.00
$20.00
$25.00
12/1
51/
16
3/16
5/16
7/16
9/16
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$25.00
$24.41
$21.89
$2.17
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$5.57
$11.13
$16.70
$22.27
$27.83
12/1
51/
16
3/16
5/16
7/16
9/16
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$27.83
$24.41
Long Wharf Real Estate Partners VNCREIF Property Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
107
SITFOUBS Trumbull Property Fund
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company UBS Global Asset Management
Fund Name UBS Trumbull Property Fund
Focus Private Real Estate - Diversified
Capital Drawn 100%
Vintage Year -
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $51,673,532 $51,673,532
Called Capital $51,673,532 $51,673,532
Distributed Capital $67,574,458 $67,574,458Market Value $1 $1Total Value $67,574,459 $67,574,459
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
UBS Trumbull Property Fund 1.31 1.31
Median Thomson One Private Real Estate - -
Performance Summary 6/30/2018
UBS Trumbull Property Fund IRR 3.3%
Median Thomson One Private Real Estate IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$13.51
$27.03
$40.54
$54.06
$67.57
12/0
73/
08
9/08
3/09
9/09
3/10
9/10
3/11
9/11
3/12
9/12
3/13
9/13
3/14
9/14
3/15
9/15
3/16
9/16
3/17
9/17
3/18
9/18
$67.57
$67.57
$51.67
$51.67
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$13.51
$27.03
$40.54
$54.06
$67.57
12/0
73/
08
9/08
3/09
9/09
3/10
9/10
3/11
9/11
3/12
9/12
3/13
9/13
3/14
9/14
3/15
9/15
3/16
9/16
3/17
9/17
3/18
9/18
$67.57
UBS Trumbull Property Fund
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
108
SITFOUBS Trumbull Property Income Fund
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company UBS Global Asset Management
Fund Name UBS Trumbull Property Income Fund
Focus Private Real Estate - Core
Capital Drawn 100%
Vintage Year -
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $60,553,105 $60,553,105
Called Capital $60,553,105 $60,553,105
Distributed Capital $14,405,320 $13,741,158Market Value $82,910,263 $82,407,581Total Value $97,315,583 $96,148,739
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
UBS Trumbull Property Income Fund 0.24 1.61
Median Thomson One Private Real Estate - -
Performance Summary 6/30/2018
UBS Trumbull Property Income Fund IRR 8.6%
Median Thomson One Private Real Estate IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$19.46
$38.93
$58.39
$77.85
$97.32
10/1
0
3/11
9/11
3/12
9/12
3/13
9/13
3/14
9/14
3/15
9/15
3/16
9/16
3/17
9/17
3/18
9/18
$97.32
$60.55
$60.55
$14.41
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$19.46
$38.93
$58.39
$77.85
$97.32
10/1
0
3/11
9/11
3/12
9/12
3/13
9/13
3/14
9/14
3/15
9/15
3/16
9/16
3/17
9/17
3/18
9/18
$97.32
UBS Trumbull Property Income Fund
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
109
SITFOVarde European Real Estate Feeder Fund
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Värde Investment Partners, Inc.
Fund Name Varde European Real Estate Feeder Fund, LP
Focus Private Real Estate - Core
Capital Drawn 48%
Vintage Year 2017
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $35,000,000 $35,000,000
Called Capital $16,847,543 $19,216,650
Distributed Capital $0 $0Market Value $17,316,954 $19,488,426Total Value $17,316,954 $19,488,426
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Varde European Real Estate Feeder Fund, LP - 1.03
Median Thomson One Private Real Estate - -
Performance Summary 6/30/2018
Varde European Real Estate Feeder Fund, LP IRR -
Median Thomson One Private Real Estate IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$7.00
$14.00
$21.00
$28.00
$35.00
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$35.00
$17.32
$16.85
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$4.11
$8.22
$12.32
$16.43
$20.54
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$17.32
Varde European Real Estate Feeder Fund, LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
110
SITFOPrivate Natural Resources
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Time Period From 1/17 To 9/18Return > Benchmark Return over benchmark = -3.1% No
Beta < 1.20 Beta = 0.99 Yes
Alpha > 0.0% Alpha = -3.0% No
Peer Group Rank > 50th Percentile Ranks in Top 33rd Percentile Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Private Natural ResourcesThomson One Private NR Index
0.11.0
0.21.4
16.6%5.1
14.9%0.0
-0.2--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 20,041 $ 15,049
Net Contributions/(Distributions) $ 319 $ 2,010
Market Appreciation/(Depreciation) $ 1,496 $ 4,797
Ending Market Value $ 21,856 $ 21,856
* Risk Statistics are based on monthly data.
111
SITFOPrivate Natural Resources
Natural Resources UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 1/17
5th
25th
50th
75th
95th
%7.7 %27.9 %34.7 %20.4
2.4 6.4 12.6 7.8
-0.2 0.2 3.3 0.4
-3.5 -5.2 -2.1 -4.7
-10.9 -19.2 -19.0 -16.5
%8.0
2.2
%29.9
6.7
%29.2
11.5
%5.2
8.3
- Private Natural Resources
- Thomson One Private NR Index
% R
etur
n
Qtr YTD 1Yr Since 1/17-21%
-11%
-1%
9%
19%
29%
39%
Report From March 31, 2017 to September 30, 20181 Year Rolling Periods
% R
etur
n
3/18 6/18 9/18-24%
-12%
0%
12%
24%
36%
48%
112
SITFORockland Power Partners IIISummary of Manager Performance
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Rockland Capital
Fund Name Rockland Power Partners III, LP
Focus Private Natural Resources - Energy
Capital Drawn 30%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $7,436,559 $7,436,559
Distributed Capital $3,857,265 $608,366Market Value $7,393,200 $9,075,257Total Value $11,250,465 $9,683,623
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Rockland Power Partners III, LP 0.52 1.51
Median Thomson One Private Natural Resources - -
Performance Summary 6/30/2018
Rockland Power Partners III, LP IRR -
Median Thomson One Private Natural Resources IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.00
$10.00
$15.00
$20.00
$25.00
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$25.00
$11.25
$7.44
$3.86
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$2.25
$4.50
$6.75
$9.00
$11.25
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$11.25
Rockland Power Partners III, LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
113
SITFOCordillera Investment Fund ISummary of Manager Performance
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Cordillera Investment Partners
Fund Name Cordillera Investment Fund I, LP
Focus FOF - Private Natural Resources - Opportunistic
Capital Drawn 66%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $26,000,000 $24,500,000
Called Capital $17,038,596 $11,609,742
Distributed Capital $2,378,753 $516,846Market Value $14,462,356 $10,965,290Total Value $16,841,109 $11,482,136
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Cordillera Investment Fund I, LP 0.14 0.99
Median Thomson One Fund of Funds - -
Performance Summary 6/30/2018
Cordillera Investment Fund I, LP IRR -
Median Thomson One Fund of Funds IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.20
$10.40
$15.60
$20.80
$26.00
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$26.00
$17.04
$16.84
$2.38
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$3.37
$6.74
$10.10
$13.47
$16.84
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$16.84
Cordillera Investment Fund I, LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
114
SITFOIncome Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = -0.5% No
Beta < 1.20 Beta = 0.74 Yes
Alpha > 0.0% Alpha = 0.3% Yes
Peer Group Rank > 50th Percentile Ranks in Bottom 25th Percentile No
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Income CompositeBalanced Index
0.71.0
1.41.4
2.0%2.3
1.2%0.0
-0.4--
* Risk Statistics are based on monthly data.*Income Composite Blended Index is comprised of: 14.5% Bloomberg Barclays Corporate Index, 14.5% Merrill Lynch High Yield Master Index, 13.0% Bloomberg Barclays Securitized Index, 13.0% HFRI RV Asset Backed Index, 8.0% JPM EMBI Global Index, 8.0% JPM GBI-EM Diversified Unhedged Index, 29.0% Thomson One Distressed Debt Index. (Pro-rated)
115
SITFOIncome Composite
Blended UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04
5th
25th
50th
75th
95th
%2.1 %1.8 %2.6 %6.7 %5.1 %6.9 %8.5 %7.4
1.7 0.7 1.3 5.8 4.3 5.7 7.2 6.5
1.5 0.2 0.6 5.1 3.8 5.2 6.7 6.2
1.3 -0.5 -0.1 4.5 3.3 4.8 6.3 5.8
0.5 -1.7 -1.3 3.0 2.0 3.5 5.0 5.2
%0.6
0.8
%1.9
0.8
%2.6
2.1
%3.5
4.3
%3.3
3.8
%3.2
3.3
%4.6
4.7
%4.5
4.6
- Income Composite
- Balanced Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/04-3%
-1%
1%
3%
5%
7%
9%
Blended Universe25.0% Mortgage Backed
60.0% High Yield Bond
15.0% Emerging Markets Fixed Inc
Report From September 30, 2004 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/182%
4%
6%
8%
10%
12%
14%
116
SITFOCredit
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Measurement Period: Moving 5 YearReturn > Benchmark Return over benchmark = -1.0% No
Beta < 1.20 Beta = 0.70 Yes
Alpha > 0.0% Alpha = 0.0% Yes
Peer Group Rank > 50th Percentile Ranks in Bottom 25th Percentile No
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
CreditBalanced Index
0.81.0
1.31.4
1.8%2.3
1.1%0.0
-0.9--
* Risk Statistics are based on monthly data.*Credit Composite Blended Index is comprised of: 50.0% Bloomberg Barclays Investment Grade Corporate Bond Index, 25.0% Bloomberg Barclays U.S. High Yield Corporate Bond Index and 25.0% Credit Suisse Leveraged Loan Index.
117
SITFOCredit
High Yield UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7/13
5th
25th
50th
75th
95th
%2.8 %3.5 %4.4 %8.1 %5.9 %5.8
2.4 2.4 3.2 7.4 5.1 4.9
2.2 1.9 2.4 6.6 4.6 4.5
1.9 1.1 1.5 6.1 4.1 4.0
1.4 -0.1 0.3 3.9 2.8 2.8
%1.0
1.6
%1.5
0.5
%1.6
1.5
%2.9
4.5
%2.9
3.9
%3.0
3.9
- Credit
- Balanced Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr Since 7/13-2%
0%
2%
4%
6%
8%
10%
Report From September 30, 2013 to September 30, 20183 Year Rolling Periods
% R
etur
n
9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/181%
3%
5%
7%
9%
11%
13%
118
SITFOBramshill Investments
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Bramshill Investments
U.S. T-Bills + 5%
1.1%
1.7
2.9%
5.1
1.8%
6.6
3.3%
6.3
12/16
Risk Statistics (Since 12/16) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Bramshill Investments
U.S. T-Bills + 5%
0.75
1.00
-1.8%
0.0
0.00
1.00
2.2%
0.1
2.3%
0.0
-1.3
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 101,603 $ 59,842
Net Contributions/(Distributions) $ 0 $ 40,000
Market Appreciation/(Depreciation) $ 1,154 $ 2,915
Ending Market Value $ 102,757 $ 102,757
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
119
SITFOBramshill Investments
Short Term Fixed Income UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 12/16
5th
25th
50th
75th
95th
%0.9 %1.8 %2.3 %2.2
0.6 0.9 1.0 1.6
0.5 0.6 0.5 1.1
0.2 0.2 0.0 0.5
0.0 -0.2 -0.6 0.1
%1.1
1.7
%2.9
5.1
%1.8
6.6
%3.3
6.3
- Bramshill Investments
- U.S. T-Bills + 5%
% R
etur
n
Qtr YTD 1Yr Since 12/16-2%
0%
2%
4%
6%
8%
10%
Report From December 31, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
12/17 3/18 6/18 9/18-1%
1%
3%
5%
7%
9%
11%
120
SITFOLoomis Sayles Full Spectrum Credit
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Loomis Sayles Full Spectrum Credit
High Yield Blended Index
1.5%
1.5
0.7%
0.5
1.5%
1.4
4.1%
3.0
2/17
Risk Statistics (Since 2/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Loomis Sayles Full Spectrum Credit
High Yield Blended Index
0.94
1.00
1.2%
0.0
0.59
1.00
2.1%
1.7
1.3%
0.0
0.8
--
Portfolio StatisticsEffectiveDuration
Wtd AvgMaturity
Wtd AvgCredit
Yield toWorst
FI AnnlTurnover
Loomis Sayles Full Spectrum Credit
High Yield Blended Index
3.8yrs
--
5.4yrs
--
BB
--
6.0%
--
24.1%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 128,266 $ 114,515
Net Contributions/(Distributions) $ (25,000) $ (10,000)
Market Appreciation/(Depreciation) $ 1,659 $ 410
Ending Market Value $ 104,925 $ 104,925
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
121
SITFOLoomis Sayles Full Spectrum Credit
High Yield Bond UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 2/17
5th
25th
50th
75th
95th
%2.8 %3.5 %4.4 %5.1
2.4 2.4 3.2 4.4
2.2 1.9 2.4 3.8
1.9 1.1 1.5 3.1
1.4 -0.1 0.3 2.5
%1.5
1.5
%0.7
0.5
%1.5
1.4
%4.1
3.0
- Loomis Sayles Full Spectrum Credit
- High Yield Blended Index
% R
etur
n
Qtr YTD 1Yr Since 2/17-2%
0%
2%
4%
6%
8%
10%
Report From March 31, 2017 to September 30, 20181 Year Rolling Periods
% R
etur
n
3/18 6/18 9/18-1%
1%
3%
5%
7%
9%
11%
122
SITFODW Partners Value Fund
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
DateDW Partners Value Fund
HFRI ED: Distressed/Restructuring Index-0.7%1.3
2.0%4.2
2.8%5.9
4.6%7.8
10/16
Risk Statistics (Since 10/16) Beta Alpha R²StandardDeviation
SharpeRatio
MaximumDrawdown
DW Partners Value FundHFRI ED: Distressed/Restructuring Index
0.041.00
3.1%0.0
0.01.0
2.0%3.1
1.692.10
-1.5%-1.0
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 43,622 $ 42,480Net Contributions/(Distributions) $ 0 $ 0Market Appreciation/(Depreciation) $ (297) $ 845
Ending Market Value $ 43,325 $ 43,325
1 1.5 2 2.5 3 3.5 4
3
4
5
6
7
8
9
DW Partners Value Fund HFRI ED: Distressed/Restructuring Index
Ann
ualiz
ed R
etur
n
Annualized Standard Deviation
Strategy Allocation
Fixed Income/CreditReal EstateOther/Special Investment
30%
51%
19%
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
123
SITFOSecuritized
Summary of Performance Relative to Investment Policy Statement ObjectivesReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
DateSecuritized
Securitized Policy Index0.6%0.2
5.4%-0.6
7.1%-0.4
6.5%0.0
9/16
Risk Statistics (Since 9/16) Beta Alpha R²StandardDeviation
SharpeRatio
MaximumDrawdown
SecuritizedSecuritized Policy Index
-0.231.00
5.0%0.0
0.11.0
2.0%1.9
2.63-0.63
-0.6%-1.9
0.5 1 1.5 2 2.5 3 3.5
0
1
2
3
4
5
6
7
Securitized Securitized Policy Index
Ann
ualiz
ed R
etur
n
Annualized Standard Deviation
0
3
6
9
12
15
18
< -1
0-1
0 to
-9-9
to -8
-8 to
-7-7
to -6
-6 to
-5-5
to -4
-4 to
-3-3
to -2
-2 to
-1-1
to 0
0 to
11
to 2
2 to
33
to 4
4 to
55
to 6
6 to
77
to 8
8 to
99
to 1
0>
10
Mon
thly
Per
iods
Return Range (%)
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
124
SITFOWaterfall Eden
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
DateWaterfall Eden
HFRI RV: Asset Backed IndexBloomberg Barclays Asset Backed Index
1.7%1.30.5
6.4%4.70.5
8.3%6.00.5
10.1%7.30.7
9/16
Risk Statistics (Since 9/16) Beta Alpha R²StandardDeviation
SharpeRatio
MaximumDrawdown
Waterfall EdenHFRI RV: Asset Backed IndexBloomberg Barclays Asset Backed Index
1.041.00
-0.20
2.6%0.00.7
0.31.00.0
1.7%0.90.9
5.206.42
-0.59
0.0%0.0
-0.8
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 61,413 $ 49,263Net Contributions/(Distributions) $ 0 $ 9,573Market Appreciation/(Depreciation) $ 1,063 $ 3,640
Ending Market Value $ 62,476 $ 62,476
Geographic Allocation
Europe (ex-UK)
Pacific (ex-Japan)
Japan
United Kingdom
United States
Dev Mkts - Other
Em Mkts - EMEA
Em Mkts - Asia
Em Mkts - Latin Am
Em Mkts - Other
17% 34% 51% 68% 85% 102%
0%
0%
0%
0%
100%
0%
0%
0%
0%
0%
-0.5 0 0.5 1 1.5 2 2.5
0
2
4
6
8
10
12
Waterfall Eden HFRI RV: Asset Backed IndexBloomberg Barclays Asset Backed Index
Ann
ualiz
ed R
etur
n
Annualized Standard Deviation
Strategy Allocation
Fixed Income/Credit
100%
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
125
SITFOPutnam Dedicated Mortgage Strategy
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Putnam Dedicated Mortgage Strategy
ICE BofAML 3 Month U.S. T-Bills Index + 5%
0.2%
1.7
5.1%
5.0
6.7%
6.6
5.7%
6.3
2/17
Risk Statistics (Since 2/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Putnam Dedicated Mortgage Strategy
ICE BofAML 3 Month U.S. T-Bills Index + 5%
-1.10
1.00
9.8%
0.0
0.01
1.00
2.2%
0.2
2.1%
0.0
-0.3
--
Portfolio StatisticsEffectiveDuration
Wtd AvgMaturity
Wtd AvgCredit
Yield toWorst
FI AnnlTurnover
Putnam Dedicated Mortgage Strategy
ICE BofAML 3 Month U.S. T-Bills Index + 5%
0.0yrs
0.2
7.2yrs
0.2
A
AAA
6.1%
2.2
14.1%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 168,799 $ 151,037
Net Contributions/(Distributions) $ 12,500 $ 22,500
Market Appreciation/(Depreciation) $ 336 $ 8,098
Ending Market Value $ 181,635 $ 181,635
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
126
SITFOPIMCO Emerging Local Bond Fund
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
PIMCO Emerging Local Bond Fund
JP Morgan GBI – EM Diversified Index
-2.4%
-3.2
-9.0%
-10.8
-8.5%
-9.9
-3.7%
-4.7
5/17
Risk Statistics (Since 5/17) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
PIMCO Emerging Local Bond Fund
JP Morgan GBI – EM Diversified Index
0.92
1.00
0.5%
0.0
0.98
1.00
10.6%
11.3
1.7%
0.0
0.6
--
Portfolio StatisticsEffectiveDuration
Wtd AvgMaturity
Wtd AvgCredit
Yield toWorst
FI AnnlTurnover
PIMCO Emerging Local Bond Fund
JP Morgan GBI – EM Diversified Index
5.3yrs
--
7.3yrs
--
A-
--
5.4%
--
40.0%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 87,719 $ 108,665
Net Contributions/(Distributions) $ 0 $ (15,000)
Market Appreciation/(Depreciation) $ (2,105) $ (8,051)
Ending Market Value $ 85,614 $ 85,614
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
127
SITFOPIMCO Emerging Local Bond Fund
Emerging Markets Fixed Income UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 5/17
5th
25th
50th
75th
95th
%2.4 %-1.6 %-0.8 %1.6
1.9 -3.7 -2.6 0.2
1.5 -4.4 -3.8 -0.5
1.0 -5.2 -4.6 -1.8
-1.2 -8.3 -6.6 -3.0
%-2.4
-3.2
%-9.0
-10.8
%-8.5
-9.9
%-3.7
-4.7
- PIMCO Emerging Local Bond Fund
- JP Morgan GBI – EM Diversified Index
% R
etur
n
Qtr YTD 1Yr Since 5/17-12%
-9%
-6%
-3%
0%
3%
6%
Report From June 30, 2017 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/18 9/18-10%
-8%
-6%
-4%
-2%
0%
2%
128
SITFOTempleton Global Summits Fund
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTDSince
InceptionInception
DateTempleton Global Summits Fund
HFRI Macro Index-2.1%0.0
-0.1%-1.8
-0.1%-1.8
12/17
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 50,301 $ 25,000Net Contributions/(Distributions) $ 0 $ 25,000Market Appreciation/(Depreciation) $ (1,046) $ (745)
Ending Market Value $ 49,255 $ 49,255
4 6 8 10 12 14 16
-2.5
-2
-1.5
-1
-0.5
0
0.5
Templeton Global Summits Fund HFRI Macro Index
Ann
ualiz
ed R
etur
n
Annualized Standard Deviation
0
1
2
3
4
5
6
< -1
0-1
0 to
-9-9
to -8
-8 to
-7-7
to -6
-6 to
-5-5
to -4
-4 to
-3-3
to -2
-2 to
-1-1
to 0
0 to
11
to 2
2 to
33
to 4
4 to
55
to 6
6 to
77
to 8
8 to
99
to 1
0>
10
Mon
thly
Per
iods
Return Range (%)
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
129
SITFOPrivate Debt
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Time Period From 10/16 To 9/18Return > Benchmark Return over benchmark = -0.1% No
Beta < 1.20 Beta = 0.06 Yes
Alpha > 0.0% Alpha = 9.6% Yes
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Private DebtThomson One Distressed Index
0.01.0
3.11.9
3.3%5.5
5.5%0.0
0.0--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 96,230 $ 59,813
Net Contributions/(Distributions) $ 5,206 $ 37,867
Market Appreciation/(Depreciation) $ 2,725 $ 6,481
Ending Market Value $ 104,161 $ 104,161
* Risk Statistics are based on monthly data.
130
SITFOARES ICOF III
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Ares Management, LLC
Fund Name Ares ICOF III
Focus Private Debt - Credit Multi-Strategy
Capital Drawn 99%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $24,632,161 $21,362,373
Distributed Capital $2,960,875 $2,960,875Market Value $23,401,198 $19,368,949Total Value $26,362,073 $22,329,824
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Ares ICOF III 0.12 1.07
Median Thomson One Distressed - -
Performance Summary 6/30/2018
Ares ICOF III IRR -
Median Thomson One Distressed IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.27
$10.54
$15.82
$21.09
$26.36
12/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$26.36
$25.00
$24.63
$2.96
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$5.27
$10.54
$15.82
$21.09
$26.36
12/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$26.36
Ares ICOF III
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
131
SITFOLibremax Value Partners
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Libremax
Fund Name Libremax Private Debt
Focus Private Debt - Distressed
Capital Drawn 100%
Vintage Year 2016
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $25,000,000 $25,000,000
Distributed Capital $0 $0Market Value $31,121,897 $30,357,986Total Value $31,121,897 $30,357,986
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Libremax Private Debt - 1.24
Median Thomson One Distressed - -
Performance Summary 6/30/2018
Libremax Private Debt IRR -
HFRI RV: Asset Backed Index IRR -
Median Thomson One Distressed IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$6.22
$12.45
$18.67
$24.90
$31.12
10/1
6
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$31.12
$25.00
$25.00
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$6.22
$12.45
$18.67
$24.90
$31.12
10/1
6
11/1
6
1/17
3/17
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$31.12
$28.51
Libremax Private DebtHFRI RV: Asset Backed Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
132
SITFOBPC Opportunities Fund IIISummary of Manager Performance
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Beach Point Capital Mgmt.
Fund Name BPC Opportunities Fund III
Focus Private Debt - Credit
Capital Drawn 60%
Vintage Year -
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $14,993,799 $14,440,827
Distributed Capital $0 $0Market Value $16,218,562 $15,272,357Total Value $16,218,562 $15,272,357
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
BPC Opportunities Fund III - 1.08
Median Thomson One Distressed - -
Performance Summary 6/30/2018
BPC Opportunities Fund III IRR -
HFRI ED: Distressed/Restructuring Index IRR -
Median Thomson One Distressed IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.00
$10.00
$15.00
$20.00
$25.00
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$25.00
$16.22
$14.99
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$3.36
$6.73
$10.09
$13.46
$16.82
5/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$16.82
$16.22
BPC Opportunities Fund IIIHFRI ED: Distressed/Restructuring Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
133
SITFOCrestline Oportunity Fund IIISummary of Manager Performance
Report for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Crestline Investors
Fund Name Crestline Opportunity Fund III
Focus Private Debt - Distressed Debt
Capital Drawn 52%
Vintage Year -
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $12,877,070 $11,454,213
Distributed Capital $3,323,622 $2,295,100Market Value $10,309,149 $9,726,975Total Value $13,632,771 $12,022,075
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Crestline Opportunity Fund III 0.26 1.06
Median Thomson One Distressed - -
Performance Summary 6/30/2018
Crestline Opportunity Fund III IRR -
HFRI ED: Distressed/Restructuring Index IRR -
Median Thomson One Distressed IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.00
$10.00
$15.00
$20.00
$25.00
6/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$25.00
$13.63
$12.88
$3.32
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$2.74
$5.48
$8.22
$10.96
$13.69
6/17
7/17
9/17
11/1
7
1/18
3/18
5/18
7/18
9/18
$13.69
$13.63
Crestline Opportunity Fund IIIHFRI ED: Distressed/Restructuring Index
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
134
SITFOStrategic Value Special Situations Fund IV
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company SVPGlobal
Fund Name Strategic Value Special Situations Fund IV
Focus Private Debt - Distressed
Capital Drawn 15%
Vintage Year 2017
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $20,500,000 $20,500,000
Called Capital $3,075,000 $2,050,000
Distributed Capital $0 $0Market Value $3,415,890 $2,032,332Total Value $3,415,890 $2,032,332
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Strategic Value Special Situations Fund IV - 1.11
Median Thomson One Distressed - -
Performance Summary 6/30/2018
Strategic Value Special Situations Fund IV IRR -
Median Thomson One Distressed IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$4.10
$8.20
$12.30
$16.40
$20.50
3/18
4/18
5/18
6/18
7/18
8/18
9/18
$20.50
$3.42
$3.08
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$0.68
$1.37
$2.05
$2.73
$3.42
3/18
4/18
5/18
6/18
7/18
8/18
9/18
$3.42
Strategic Value Special Situations Fund IV
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
135
SITFOClearwater Capital Partners Fund V
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company Clearwater Capital
Fund Name Clearwater Capital Partners Fund V
Focus Private Debt - Special Situations
Capital Drawn 70%
Vintage Year 2018
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $25,000,000 $25,000,000
Called Capital $17,500,000 $17,500,000
Distributed Capital $0 $0Market Value $19,694,247 $19,471,363Total Value $19,694,247 $19,471,363
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
Clearwater Capital Partners Fund V - 1.13
Median Thomson One All Private Capital - -
Performance Summary 6/30/2018
Clearwater Capital Partners Fund V IRR -
Median Thomson One All Private Capital IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$5.00
$10.00
$15.00
$20.00
$25.00
6/18
7/18
8/18
9/18
$25.00
$19.69
$17.50
$0.00
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$3.94
$7.88
$11.82
$15.76
$19.69
6/18
7/18
8/18
9/18
$19.69
Clearwater Capital Partners Fund V
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
136
SITFOIncome ILS
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Income ILSSwiss Re Cat Bond Index
0.11.0
1.41.9
2.6%1.5
3.2%0.0
0.2--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 44,746 $ 25,005
Net Contributions/(Distributions) $ (2,930) $ 16,147
Market Appreciation/(Depreciation) $ 1,476 $ 2,140
Ending Market Value $ 43,292 $ 43,292
* Risk Statistics are based on monthly data.
137
SITFOSecuris Event Fund
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTDSince
InceptionInception
DateSecuris Event Fund
Swiss Re Cat Bond Index4.5%1.0
8.7%4.2
8.7%4.2
12/17
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 26,011 $ 25,005Net Contributions/(Distributions) $ 0 $ 0Market Appreciation/(Depreciation) $ 1,175 $ 2,181
Ending Market Value $ 27,186 $ 27,186
1 1.5 2 2.5 3 3.5 4
3
4
5
6
7
8
9
Securis Event Fund Swiss Re Cat Bond Index
Ann
ualiz
ed R
etur
n
Annualized Standard Deviation
0
1
2
3
4
5
6
< -1
0-1
0 to
-9-9
to -8
-8 to
-7-7
to -6
-6 to
-5-5
to -4
-4 to
-3-3
to -2
-2 to
-1-1
to 0
0 to
11
to 2
2 to
33
to 4
4 to
55
to 6
6 to
77
to 8
8 to
99
to 1
0>
10
Mon
thly
Per
iods
Return Range (%)
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
138
SITFOILS Property & Casualty Fund II
Summary of Manager PerformanceReport for Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Fund SummaryFund Company ILS Property & Casualty
Fund Name ILS Property & Casualty Fund II LP
Focus Private Debt - Distressed
Capital Drawn 33%
Vintage Year 2018
Client Investment Summary 9/30/2018 6/30/2018
Committed Capital $50,000,000 $50,000,000
Called Capital $16,404,831 $19,057,963
Distributed Capital $277,064 $0Market Value $16,106,332 $18,734,632Total Value $16,383,396 $18,734,632
RatiosDistributed Capital/
Called CapitalTotal Value/
Called Capital
ILS Property & Casualty Fund II LP 0.02 1.00
Median Thomson One Distressed - -
Performance Summary 6/30/2018
ILS Property & Casualty Fund II LP IRR -
Median Thomson One Distressed IRR -
Quartile Rank -
Cumulative Cash Flow Summary
Dol
lars
(in
Milli
ons)
$0.00
$10.00
$20.00
$30.00
$40.00
$50.00
1/18
2/18
3/18
4/18
5/18
6/18
7/18
8/18
9/18
$50.00
$16.40
$16.38
$0.28
Committed CapitalCalled Capital
Distributed CapitalTotal Value
Cumulative Total Value Comparison
Dol
lars
(in
Milli
ons)
$0.00
$4.54
$9.08
$13.62
$18.16
$22.70
1/18
2/18
3/18
4/18
5/18
6/18
7/18
8/18
9/18
$16.38
ILS Property & Casualty Fund II LP
* Due to the different reporting methodologies of the managers, Called Capital amount may or may not include the following: Management Fees, Expenses, Catch-up Interest, Recallable Return of Capital, Recallable Distributions.* The fund retains the option to recall return of capital per the limited partnership agreement. Recalled capital may cause "percent called" to be greater than 100%.* Funds with less than two years of history are not included in the IRR calculation.
139
SITFODefensive Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Time Period From 6/16 To 9/18Return > Benchmark Return over benchmark = 2.7% Yes
Beta < 1.20 Beta = 0.44 Yes
Alpha > 0.0% Alpha = -1.3% No
Peer Group Rank > 50th Percentile Ranks in Bottom 33rd Percentile No
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
Defensive CompositeBalanced Index
0.61.0
-1.0-0.9
4.5%7.8
5.4%0.0
0.5--
* Risk Statistics are based on monthly data.*Defensive Composite Target Index is comprised of: 41.7% Bloomberg Barclays STRP 20-30 Year Equal Par Index, 58.3% Man FRM Target Index. (Pro-rated)
140
SITFODefensive Composite
Long Term Fixed Income UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 6/16
5th
25th
50th
75th
95th
%1.9 %1.4 %1.9 %4.0
1.2 -1.8 -0.8 2.1
0.5 -4.6 -2.4 0.4
-2.8 -5.8 -3.5 -4.4
-4.3 -7.7 -4.4 -6.0
%-0.4
-2.1
%-2.4
-4.8
%0.3
-1.6
%-3.4
-6.0
- Defensive Composite
- Balanced Index
% R
etur
n
Qtr YTD 1Yr Since 6/16-9%
-6%
-3%
0%
3%
6%
9%
Report From June 30, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
6/17 9/17 12/17 3/18 6/18 9/18-12%
-7%
-2%
3%
8%
13%
18%
141
SITFOVanguard Extended Duration Treasury Fund
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
Date
Vanguard Extended Duration Treasury Fund
Bloomberg Barclays STRIPS 20-30 Equal Par
-4.4%
-4.7
-8.0%
-8.3
-4.0%
-4.3
-8.0%
-8.0
7/16
Risk Statistics (Since 7/16) Beta Alpha R²StandardDeviation
TrackingError
InformationRatio
Vanguard Extended Duration Treasury Fund
Bloomberg Barclays STRIPS 20-30 Equal Par
1.00
1.00
0.1%
0.0
0.99
1.00
11.5%
11.4
1.2%
0.0
0.0
--
Portfolio StatisticsEffectiveDuration
Wtd AvgMaturity
Wtd AvgCredit
Yield toWorst
FI AnnlTurnover
Vanguard Extended Duration Treasury Fund
Bloomberg Barclays STRIPS 20-30 Equal Par
24.7yrs
--
25.1yrs
--
--
--
--%
--
--%
--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 64,721 $ 59,581
Net Contributions/(Distributions) $ 10,000 $ 17,000
Market Appreciation/(Depreciation) $ (2,868) $ (4,728)
Ending Market Value $ 71,853 $ 71,853
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
142
SITFOVanguard Extended Duration Treasury Fund
Fixed Income SectorReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Sector Allocation
Sector Weightings Market Total Returns
PrimarySector Manager Benchmark 3 Months 12 Months
Total Weighting 100% 100% -4.7% -4.3%
Municipals 0 0 -0.2 0.4
Convertibles 0 0 3.9 12.2
Government/Sovereigns 100 100 -0.6 -1.6
Private Placements/144As 0 0 0.9 -0.8
Mortgage-Passthrough (TBA) 0 0 0.4 -1.4
Agencies/Regional 0 0 0.3 -0.5
Invt. Grade Corporates 0 0 1.0 -1.2
Other 0 0 0.5 0.3
High Yield Corporates 0 0 2.4 3.1
Non-Agency ABS 0 0 0.5 0.5
Non-Agency MBS 0 0 0.6 -0.7
Leveraged/Bank Loans 0 0 1.9 5.6
0
10
20
30
40
50
60
70
80
90
100
% o
f Tot
al
Manager Primary Benchmark
MunicipalsConvertiblesGovernment/SovereignsPrivate Placements/144AsMortgage-Passthrough (TBA)Agencies/Regional
Invt. Grade CorporatesOtherHigh Yield CorporatesNon-Agency ABSNon-Agency MBSLeveraged/Bank Loans
* Manager data represents the most current available at the time of report publication.*Sector weightings may not add up to 100% due to rounding.
143
SITFOVanguard Extended Duration Treasury Fund
Long Term Fixed Income UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 7/16
5th
25th
50th
75th
95th
%1.9 %1.4 %1.9 %3.5
1.2 -1.8 -0.8 1.3
0.5 -4.6 -2.4 -0.6
-2.8 -5.8 -3.5 -5.5
-4.3 -7.7 -4.4 -7.5
%-4.4
-4.7
%-8.0
-8.3
%-4.0
-4.3
%-8.0
-8.0
- Vanguard Extended Duration Treasury Fund
- Bloomberg Barclays STRIPS 20-30 Equal Par
% R
etur
n
Qtr YTD 1Yr Since 7/16-10%
-7%
-4%
-1%
2%
5%
8%
Report From September 30, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
9/17 12/17 3/18 6/18 9/18-10%
-6%
-2%
2%
6%
10%
14%
144
SITFOCTA Composite
Asset Class Objectives
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Objectives Result Objective Achieved
Time Period From 9/16 To 9/18Return > Benchmark Return over benchmark = -2.3% No
Beta < 1.20 Beta = 0.95 Yes
Alpha > 0.0% Alpha = -2.7% No
Statistical Measures R²SharpeRatio
StandardDeviation
TrackingError
InformationRatio
CTA CompositeMan FRM Custom Benchmark
0.51.0
-1.3-1.3
7.4%5.4
5.8%0.0
-0.4--
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 187,444 $ 168,196
Net Contributions/(Distributions) $ 0 $ 25,000
Market Appreciation/(Depreciation) $ 1,310 $ (4,442)
Ending Market Value $ 188,754 $ 188,754
* Risk Statistics are based on monthly data.
145
SITFOMan FRM Alpha Protect
Summary of Performance and StatisticsReport For Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
Performance Results Qtr YTD 1YrSince
InceptionInception
DateMan FRM Alpha Protect
Man FRM Custom Benchmark0.7%
-0.3-2.7%-1.7
0.4%0.0
-1.0%-2.8
3/17
Risk Statistics (Since 3/17) Beta Alpha R²StandardDeviation
SharpeRatio
MaximumDrawdown
Man FRM Alpha ProtectMan FRM Custom Benchmark
0.891.00
1.4%0.0
0.51.0
6.9%5.5
-0.34-0.77
-8.1%-5.2
Asset Growth Summary (in thousands) Qtr YTD
Beginning Market Value $ 187,444 $ 168,196Net Contributions/(Distributions) $ 0 $ 25,000Market Appreciation/(Depreciation) $ 1,310 $ (4,442)
Ending Market Value $ 188,754 $ 188,754
4.5 5 5.5 6 6.5 7 7.5
-3.5
-3
-2.5
-2
-1.5
-1
-0.5
Man FRM Alpha Protect Man FRM Custom Benchmark
Ann
ualiz
ed R
etur
n
Annualized Standard Deviation
0
1
2
3
4
5
6
< -1
0-1
0 to
-9-9
to -8
-8 to
-7-7
to -6
-6 to
-5-5
to -4
-4 to
-3-3
to -2
-2 to
-1-1
to 0
0 to
11
to 2
2 to
33
to 4
4 to
55
to 6
6 to
77
to 8
8 to
99
to 1
0>
10
Mon
thly
Per
iods
Return Range (%)
* Risk Statistics are based on monthly data.* Manager data represents the most current available at the time of report publication.
146
SITFOPublic Treasurer's Investment Fund
Short Term Fixed Income UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr 5/04
5th
25th
50th
75th
95th
%0.9 %1.8 %2.3 %2.3 %1.9 %2.3 %3.2 %3.1
0.6 0.9 1.0 1.6 1.4 1.8 2.7 2.6
0.5 0.6 0.5 1.1 1.0 1.2 2.1 2.2
0.2 0.2 0.0 0.5 0.6 0.6 1.4 1.8
0.0 -0.2 -0.6 0.0 0.1 0.0 0.4 1.0
%0.6
0.3
%1.4
0.8
%1.7
0.8
%1.3
0.6
%1.0
0.6
%0.9
0.5
%0.8
0.8
%1.7
1.6
- Public Treasurer's Investment Fund
- Public Treasurer Blended Index
% R
etur
n
Qtr YTD 1Yr 3Yr 5Yr 7Yr 10Yr Since 5/04-2%
-1%
0%
1%
2%
3%
4%
Report From September 30, 2004 to September 30, 20185 Year Rolling Periods
% R
etur
n
9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/180%
1%
2%
3%
4%
5%
6%
147
SITFONT Cash
Short Term Fixed Income UniverseFor Report Periods Ending September 30, 2018
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only
SinceQtr YTD 1Yr 11/16
5th
25th
50th
75th
95th
%0.9 %1.8 %2.3 %2.3
0.6 0.9 1.0 1.6
0.5 0.6 0.5 1.1
0.2 0.2 0.0 0.5
0.0 -0.2 -0.6 0.1
%0.2
0.5
%0.5
1.3
%0.5
1.6
%0.3
1.2
- NT Cash
- ICE BofAML 3 Month U.S. T-Bills Index
% R
etur
n
Qtr YTD 1Yr Since 11/16-2%
-1%
0%
1%
2%
3%
4%
Report From December 31, 2016 to September 30, 20181 Year Rolling Periods
% R
etur
n
12/17 3/18 6/18 9/18-1%
0%
1%
2%
3%
4%
5%
148
Index Summary Sheet for Periods Ending September 30, 2018Annualized
Global Equity Qtr YTD 1 Yr 3 Yr 5 Yr 10 YrMSCI AC World Index 4.3% 3.8% 9.8% 13.4% 8.7% 8.2%MSCI World Index 5.0 5.4 11.2 13.5 9.3 8.6S&P 500 Index 7.7 10.6 17.9 17.3 13.9 12.0Russell 3000 Index 7.1 10.6 17.6 17.1 13.5 12.0Russell 1000 Index 7.4 10.5 17.8 17.1 13.7 12.1Russell 1000 Growth Index 9.2 17.1 26.3 20.6 16.6 14.3Russell 1000 Value Index 5.7 3.9 9.5 13.6 10.7 9.8Russell Midcap Index 5.0 7.5 14.0 14.5 11.7 12.3Russell Midcap Growth Index 7.6 13.4 21.1 16.6 13.0 13.5Russell Midcap Value Index 3.3 3.1 8.8 13.1 10.7 11.3Russell 2000 Index 3.6 11.5 15.2 17.1 11.1 11.1Russell 2000 Growth Index 5.5 15.8 21.1 18.0 12.1 12.7Russell 2000 Value Index 1.6 7.1 9.3 16.1 9.9 9.5Russell Microcap Index 0.8 11.6 13.6 16.4 10.5 10.8MSCI AC World Index ex-U.S. 0.7 -3.1 1.8 10.0 4.1 5.2MSCI EAFE Index 1.4 -1.4 2.7 9.2 4.4 5.4MSCI EAFE Growth Index 1.5 0.6 5.8 10.3 5.6 6.2MSCI EAFE Value Index 1.2 -3.5 -0.4 8.1 3.1 4.5MSCI Small Cap EAFE Index -0.9 -2.2 3.7 12.4 8.0 9.7MSCI Emerging Markets Index -1.1 -7.7 -0.8 12.4 3.6 5.4MSCI Emerging Markets Small Cap Index -4.2 -12.3 -4.2 7.4 2.7 7.4MSCI Frontier Markets Index -2.0 -12.6 -7.7 5.3 2.9 -0.2HFRI Equity Hedge Index 0.3 1.5 4.9 7.3 5.1 5.1HFRI Emerging Markets -3.6 -7.2 -3.6 6.6 3.0 3.6HFRI FOF: Strategic Index -0.6 -0.2 2.3 4.0 3.4 2.9Thomson One All Private Capital Index 3.4 11.2 16.7 13.0 12.6 10.2Thomson One Buyout Index 3.8 11.4 17.7 16.9 15.2 12.2Thomson One Fund of Funds Index 2.6 10.6 15.3 10.6 11.9 9.2Thomson One Venture Capital Index 4.8 17.2 21.7 11.1 16.5 11.8Global Fixed IncomeBloomberg Barclays US Aggregate Index 0.0 -1.6 -1.2 1.3 2.2 3.8Bloomberg Barclays U.S. TIPS Index -0.8 -0.8 0.4 2.0 1.4 3.3Bloomberg Barclays Government Bond Index -0.6 -1.6 -1.6 0.3 1.3 2.7Bloomberg Barclays Municipals Index -0.2 -0.4 0.3 2.2 3.5 4.8Bloomberg Barclays Asset Backed Index 0.5 0.5 0.5 1.2 1.5 3.7
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only149
Index Summary Sheet for Periods Ending September 30, 2018Annualized
Global Fixed Income (continued) Qtr YTD 1 Yr 3 Yr 5 Yr 10 YrBloomberg Barclays US MBS Index -0.1% -1.1% -0.9% 1.0% 2.0% 3.3%Bloomberg Barclays IG CMBS Index 0.5 -0.6 -0.2 1.7 2.4 5.6Bloomberg Barclays U.S. Credit Index 0.9 -2.1 -1.1 3.0 3.4 5.9Bloomberg Barclays US Corporate HY Index 2.4 2.6 3.0 8.1 5.5 9.5Bloomberg Barclays Interm. US G/C Index 0.2 -0.8 -1.0 0.9 1.5 3.2ICE BofAML 1-3 Yr. Govt. Bond Index 0.2 0.3 0.0 0.4 0.6 1.1U.S. 91-Day Treasury Bills 0.5 1.3 1.6 0.9 0.5 0.3CS Leveraged Loan Index 1.9 4.4 5.6 5.4 4.4 5.8JPMorgan Non-U.S. GBI Hedged Index -1.0 -0.3 0.9 2.6 3.8 4.1JPMorgan Non-U.S. GBI Index -2.4 -3.2 -1.6 2.3 -0.2 2.2JPMorgan EMBI Plus Index 1.5 -4.7 -5.0 4.8 4.2 6.8JPMorgan EMBI Global Index 1.9 -3.5 -2.9 5.7 4.6 7.3HFRI RV: Fixed Income - Corporate Index 1.2 2.3 4.0 6.5 4.4 5.7HFRI ED: Distressed/Restructuring Index 1.3 4.2 5.9 7.2 3.8 5.6Thomson One Distressed Index 1.4 4.7 8.2 10.0 8.7 10.2Real AssetsFTSE NAREIT All Equity Index 0.5 1.8 4.3 9.0 9.6 7.8S&P Developed BMI Property Index -0.8 -1.3 2.4 6.5 5.7 6.5S&P Developed ex-U.S. Property Index -2.1 -3.5 2.8 7.5 4.6 7.3NCREIF Property Index 1.7 5.3 7.2 7.8 9.6 6.4Bloomberg Commodity Index -2.0 -2.0 2.6 -0.1 -7.2 -6.2Alerian MLP Index 6.6 5.9 4.9 4.4 -2.7 9.2NCREIF Timberland Index 1.0 2.4 4.0 3.5 6.0 4.0Thomson One Private Real Estate Index 1.3 5.4 9.9 9.7 11.1 4.2Diversifying StrategiesHFRI Fund of Funds Index 0.2 1.0 3.1 3.3 3.2 2.6HFRI Fund Weighted Composite Index 0.5 1.4 4.0 5.3 4.1 4.6HFRI FOF: Conservative Index 0.8 2.5 3.6 2.8 2.9 2.2HFRI Event Driven 0.8 2.8 4.8 6.8 4.4 5.6HFRI Relative Value Total Index 1.4 3.1 4.2 5.2 4.4 6.0HFRI Macro Index 0.0 -1.8 0.6 0.4 1.5 1.6OtherConsumer Price Index - U.S. 0.5 1.6 2.2 2.0 1.5 1.4U.S. Dollar Index 0.3 3.7 2.4 -0.4 3.5 1.8
* For indices that report returns on a lag, 0.0% is utilized for the most recent time period until the actual return data are reported.
© 2019 Fund Evaluation Group, LLC Confidential - For Client Use Only150
Disclosures
This one on one report was prepared by FEG (also known as Fund Evaluation Group, LLC), a federally registered investment adviser under the Investment Advisers Act of 1940, as amended, providing non-discretionary and discretionary investment advice to its clients on an individual basis. Registration as an investment adviser does not imply a certain level of skill or training. The oral and written communications of an adviser provide you with information about which you determine to hire or retain an adviser. Fund Evaluation Group, LLC, Form ADV can be obtained by written request directed to: Fund Evaluation Group, LLC, 201 East Fifth Street, Suite 1600, Cincinnati, OH 45202 Attention: Compliance Department.
The information herein was obtained from various sources. FEG does not guarantee the accuracy or completeness of such information provided by third parties. The information in this report is given as of the date indicated and believed to be reliable. FEG assumes no obligation to update this information, or to advise on further developments relating to it. FEG, its affiliates, directors, officers, employees, employee benefit programs and client accounts may have a long position in any securities of issuers discussed in this report.
Market Values and return statistics for time periods pre-dating FEG’s relationship with clients may include data provided by the clients and/or a previous consultant is assumed to be accurate. However, this information is not independently verified by FEG.
Performance results are calculated using information provided by the custodian and/ or independent pricing sources. It is the responsibility of the trustee, custodian and /or manager to ensure the accuracy of market value and transactional data. Performance analysis is calculated using monthly and/or quarterly market values. Performance analysis and asset valuations may or may not include accrued interest and dividend income and are net of management fees. FEG/Consulting fees may or may not be deducted, based on client preference.
FEG’s universes are updated monthly and the traditional asset classes are constructed from Lipper data feeds encompassing over 19,000 mutual funds. Lipper classifies approximately 50 asset classes according to the funds’ investment objectives and portfolio attributes. FEG screens the Lipper universes to include only institutional and no-load funds. However, because the Lipper data may treat multiple share classes of the same fund as separate funds for the purposes of constructing their universes, FEG further screens the universes to eliminate multiple share classes within the institutional and no-load funds (examples include retirement-share classes and 529-share classes) in an effort to present pure-institutional universes.
Monitoring of managers includes fundamental research for all investment managers, as well as enhanced coverage for managers that have been approved for FEG’s recommended list. A Quarterly Compliance Questionnaire is the basis of fundamental coverage and requests qualitative (e.g., personnel, organizational changes) and quantitative information (performance, cash flows) on all investment strategies for ongoing monitoring and adherence to investment policy. Clients may have exposure to both fundamental and recommended managers in their portfolio depending on their unique needs. FEG conducts conference calls directly with the active managers that receive enhanced coverage.
Mutual funds are bound by their prospectus, limiting potential deviation from the stated investment strategy.
Clients are encouraged to contact their Investment Advisers immediately if there are changes to their financial situation or investment objectives, or if they wish to impose or modify restrictions on the management of their account(s). Please notify your adviser immediately if you believe that any information on file is incorrect, or have had changes that have not been previously discussed.
Index performance results do not represent any managed portfolio returns. An investor cannot invest directly in a presented index, as an investment vehicle replicating an index would be required. An index does not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown.
This report is prepared for informational purposes only. Past Performance is not indicative of future results.
Confidential – For Client Use Only151
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