quarterly investment review - sdcera · 2020. 6. 18. · burgiss private iq global private equity3...

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San Diego County Employees' Retirement Association | First Quarter 2020

Quarterly Investment Review

1 Executive Summary 1

2 Total Public Equity 15

3 Total Fixed Income 51

4 Opportunistic 81

5 Total Private Assets 92

6 Market Environment 99

7 Appendix 113

Table of Contents

Executive Summary

1

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

Market Highlights

6.7%

-0.2% -0.6% -0.4%

3.4%

7.3%

4.7%2.8%

-7.8%

10.5%

6.9%

2.7%0.7%

3.9%

8.9%7.3%

5.6%

-6.7%-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets

BloombergBarclays U.S.

Aggregate


Long Gov't

BloombergBarclays U.S.Long Credit


High Yield

BloombergCommodity Index

LONG TERM ANNUALIZED RETURNSAS OF 03/31/2020

Five-Year Ten-Year

Source: Russell, MSCI, Bloomberg Barclays, Bloomberg

-19.6%

-30.6%

-22.8% -23.6%

3.1%

20.6%

-4.7%

-12.7%

-23.3%

-7.0%

-24.0%

-14.4%-17.7%

8.9%

32.3%

9.0%

-6.9%

-22.3%

-40.0%

-30.0%

-20.0%

-10.0%

0.0%

10.0%

20.0%

30.0%

40.0%

S&P 500 Russell 2000 MSCI EAFE MSCI EmergingMarkets


Aggregate


Long Gov't

BloombergBarclays U.S.Long Credit


High Yield

BloombergCommodity Index

SHORT TERM RETURNSAS OF 03/31/2020

First Quarter 2020 One-Year

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

2


Market Highlights

First Quarter 1-Year 3-Year1

5-Year1

10-Year1

Equity

MSCI All Country World IMI -22.44% -12.73% 0.76% 2.45% 5.80%

MSCI All Country World -21.37% -11.26% 1.50% 2.85% 5.88%

Dow Jones U.S. Total Stock Market -20.96% -9.28% 3.92% 5.70% 10.13%

Russell 3000 -20.90% -9.13% 4.00% 5.77% 10.15%

S&P 500 -19.60% -6.98% 5.10% 6.73% 10.53%

Russell 2000 -30.61% -23.99% -4.64% -0.25% 6.90%

MSCI All Country World ex-U.S. IMI -24.11% -16.32% -2.34% -0.66% 2.14%

MSCI All Country World ex-U.S. -23.36% -15.57% -1.96% -0.64% 2.05%

MSCI EAFE -22.83% -14.38% -1.82% -0.62% 2.72%

MSCI EAFE (Local Currency) -20.55% -12.58% -1.80% -0.15% 4.36%

MSCI Emerging Markets -23.60% -17.69% -1.62% -0.37% 0.68%

Fixed Income

Bloomberg Barclays Global Aggregate -0.33% 4.20% 3.55% 2.64% 2.47%

Bloomberg Barclays U.S. Aggregate 3.15% 8.93% 4.82% 3.36% 3.88%

Bloomberg Barclays U.S. Long Gov't 20.63% 32.28% 13.30% 7.32% 8.89%

Bloomberg Barclays U.S. Long Credit -4.65% 9.05% 6.58% 4.67% 7.26%

Bloomberg Barclays U.S. Long Gov't/Credit 6.21% 19.32% 9.68% 5.99% 8.07%

Bloomberg Barclays U.S. TIPS 1.69% 6.85% 3.46% 2.67% 3.48%

Bloomberg Barclays U.S. High Yield -12.68% -6.94% 0.77% 2.78% 5.64%

Bloomberg Barclays Global Treasury ex U.S. -1.53% 2.02% 2.96% 2.44% 1.50%

JP Morgan EMBI Global (Emerging Markets) -11.76% -5.28% 0.44% 2.85% 4.82%

Commodities

Bloomberg Commodity Index -23.29% -22.31% -8.61% -7.76% -6.74%

Goldman Sachs Commodity Index -42.34% -41.01% -13.33% -12.82% -10.43%

Hedge Funds

HFRI Fund-Weighted Composite2

-9.39% -5.11% 0.32% 1.09% 2.78%

HFRI Fund of Funds2

-7.30% -3.94% 0.50% 0.33% 1.91%

Real Estate

NAREIT U.S. Equity REITS -27.30% -21.26% -3.14% -0.35% 7.40%

NCREIF NFI - ODCE 0.97% 4.87% 6.81% 8.46% 11.45%

FTSE Global Core Infrastructure Index -17.89% -9.29% 3.94% 4.52% 8.30%

Private Equity

Burgiss Private iQ Global Private Equity3

11.61% 14.89% 11.58% 13.92%

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

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

3 Burgiss Private iQ Global Private Equity data is as at June 30, 2019

Returns of the Major Capital Markets

Period Ending 03/31/2020

3

Change in Market ValueFrom January 1, 2020 to March 31, 2020

Summary of Cash Flow

$0.0

$6,000.0

$12,000.0

$18,000.0

$24,000.0

($6,000.0)

($12,000.0)

Mill

ion

s ($

)

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

$13,873.0

($160.2)($1,777.5)

$11,935.3

1Quarter

FiscalYTD

1Year

Trust Fund

Beginning Market Value 13,872,981,193 12,893,288,629 12,689,738,908

+ Additions / Withdrawals -160,228,599 79,505,902 -73,261,729

+ Investment Earnings -1,777,494,031 -1,037,535,969 -681,218,617

= Ending Market Value 11,935,258,563 11,935,258,563 11,935,258,563

Trust Fund

Trust Fund Asset Summary

As of March 31, 2020

4

Return Summary

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

Trust Fund SDCERA Policy Benchmark

0.0

10.0

20.0

-10.0

-20.0

-30.0

Re

turn

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

-15.4

-9.8

-7.0

2.0 3.15.7

-12.9

-8.0-5.4

2.6 3.1

6.0

0.96

0.98

1.00

1.02

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

1.00

0.0%

3.0%

6.0%

-3.0 %

-6.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

Trust Fund Performance Summary

As of March 31, 2020Trust Fund

5

Actual vs. Target Allocation (%)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

SinceInception

InceptionDate

Trust Fund -12.9 -8.0 -5.4 2.6 3.1 6.0 9.2 Sep-80

SDCERA Policy Benchmark -15.4 -9.8 -7.0 2.0 3.1 5.7 -

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 -

Total Public Assets -16.0 -11.1 -8.4 1.1 1.5 8.5 7.0 Jan-06

SDCERA Public Benchmark -15.5 -9.9 -7.0 1.7 2.6 5.0 4.8

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 4.9

Total Public Equity -22.8 -16.1 -13.2 0.5 1.6 10.3 9.9 Jan-06

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 4.7

Total Fixed Income -1.9 0.0 2.1 2.7 2.6 2.5 2.5 Jan-06

Fixed Income Benchmark -1.5 0.8 3.3 3.0 2.3 3.0 3.8

Opportunistic -20.4 -17.6 -15.4 -4.3 -1.7 - 3.1 Jun-10

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 6.1

Total Private Assets 1.8 6.0 8.2 9.5 - - 9.0 Sep-15

SDCERA Private Assets Benchmark -15.1 -9.4 -7.0 2.8 - - 5.8

Target Allocation Actual Allocation Allocation Differences

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

Private Real Assets

Private Equity

Real Estate

Opportunistic

Return-Seeking Fixed Income

Risk-Reducing Fixed Income

Emerging Market Equity

International Equity

Global Equity

U.S. Equity

6.0%

8.0%

9.0%

8.0%

6.0%

18.0%

7.0%

15.0%

3.0%

20.0%

5.3%

6.0%

9.5%

8.3%

6.6%

19.2%

5.6%

14.8%

3.7%

20.8%

-0.7 %

-2.0 %

0.5%

0.3%

0.6%

1.2%

-1.4 %

-0.2 %

0.7%

0.8%

Trust Fund Executive Summary


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

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

6

Trust Fund Performance

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

Trust Fund

Trust Fund Benchmark

Total Value Added

-12.90 %

-15.37 %

2.47%

Total Value Added:2.47%

0.00% 1.50% 3.00% 4.50%-1.50 %

Other

Manager Value Added

Asset Allocation

-0.09 %

2.26%

0.30%

Total Asset Allocation:0.30%

Average Active Weight

0.00% 5.00% 10.00%-5.00 %-10.00 %

Opportunistic

Total Private Assets

Total Fixed Income

Total Public Equity

We

igh

t

(%)

0.24%

-4.88 %

2.85%

1.79%

Asset Allocation Value Added

0.00% 0.30% 0.60%-0.30 %

0.00%

-0.01 %

0.41%

-0.09 %

Total Manager Value Added:2.26%

Manager Value Added

0.00% 2.00% 4.00% 6.00%-2.00 %

-0.42 %

2.97%

-0.10 %

-0.19 %

Trust Fund

Trust Fund Attribution

1 Quarter Ending March 31, 2020

7

Trust Fund Performance

0.00% 5.00% 10.00%-5.00 %-10.00 %-15.00 %

Trust Fund

Trust Fund Benchmark

Total Value Added

-5.44 %

-7.04 %

1.60%

Total Value Added:1.60%

0.00% 1.00% 2.00% 3.00%-1.00 %

Other

Manager Value Added

Asset Allocation

-0.09 %

1.50%

0.20%

Total Asset Allocation:0.20%

Average Active Weight

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

Opportunistic


Total Fixed Income

Total Public Equity

We

igh

t

(%)

-0.23 %

-3.49 %

2.60%

1.12%

Asset Allocation Value Added

0.00% 0.30% 0.60%-0.30 %

0.00%

-0.01 %

0.31%

-0.11 %

Total Manager Value Added:1.50%

Manager Value Added

0.00% 3.00% 6.00%-3.00 %

-0.75 %

2.76%

-0.30 %

-0.21 %

Trust Fund

Trust Fund Attribution

1 Year Ending March 31, 2020

8

Allocation

MarketValue

($)%

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015Since

InceptionInception

Date

Trust Fund 11,935,258,563 100.0 -12.9 -8.0 -5.4 2.6 3.1 6.0 15.9 -3.9 16.0 6.9 -1.0 9.2 Sep-80

SDCERA Policy Benchmark -15.4 -9.8 -7.0 2.0 3.1 5.7 19.8 -6.0 16.3 7.0 -0.4 -

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 20.3 -6.7 17.3 6.8 -1.2 -

Total Public Assets 9,446,393,910 79.1 -16.0 -11.1 -8.4 1.1 1.5 8.5 18.4 -7.2 18.5 7.5 -6.3 7.0 Jan-06

SDCERA Public Benchmark -15.5 -9.9 -7.0 1.7 2.6 5.0 20.1 -6.5 15.6 6.2 -0.2 4.8

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 5.4 20.3 -6.7 17.3 6.8 -1.2 4.9

Total Public Equity 5,378,169,422 45.1 -22.8 -16.1 -13.2 0.5 1.6 10.3 26.1 -10.7 25.7 8.0 -5.7 9.9 Jan-06

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2 4.7

U.S. Equity 2,488,377,363 20.8 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8 8.3 Jan-06

MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0 6.8

Global Equity 446,997,763 3.7 -23.0 -16.2 -13.5 0.0 2.3 - 24.4 -10.7 25.2 8.3 -1.4 8.5 Jul-10

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 - 26.4 -10.1 23.9 8.4 -2.2 7.3

International Equity 1,770,176,347 14.8 -23.2 -17.6 -14.3 -1.8 -0.5 - 23.3 -14.4 25.3 1.5 -0.7 -1.2 Jun-14

MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 -0.4 - 22.4 -14.4 26.2 1.2 0.5 -1.0

Emerging Market Equity 672,617,948 5.6 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5 4.4 Jan-06

Emerging Markets Benchmark -23.6 -18.2 -17.7 -1.8 -0.4 0.7 18.4 -14.6 36.9 9.9 -13.9 3.8

Total Fixed Income 3,079,571,939 25.8 -1.9 0.0 2.1 2.7 2.6 2.5 7.3 0.1 4.0 5.2 -0.9 2.5 Jan-06

Fixed Income Benchmark -1.5 0.8 3.3 3.0 2.3 3.0 8.6 0.1 2.7 2.0 1.2 3.8

Risk-Reducing Fixed Income 2,292,575,858 19.2 2.0 3.6 5.9 3.8 - - 5.9 1.1 3.0 2.3 - 3.4 Jan-16

Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 2.3 2.0 - 3.4

Return-Seeking Fixed Income 786,996,081 6.6 -14.3 -11.8 -10.2 -1.1 - - 11.5 -3.3 7.1 15.4 - 3.2 Jan-16

ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 - - 14.4 -2.3 7.5 17.5 - 4.9

Opportunistic 988,652,549 8.3 -20.4 -17.6 -15.4 -4.3 -1.7 - 12.8 -10.4 11.3 0.9 7.3 3.1 Jun-10

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 20.3 -6.7 17.3 6.8 -1.2 6.1

Total Private Assets 2,488,864,653 20.9 1.8 6.0 8.2 9.5 8.6 - 7.1 9.1 12.0 9.2 5.5 8.5 Jan-15

SDCERA Private Assets Benchmark -15.1 -9.4 -7.0 2.8 5.0 - 18.8 -4.4 18.8 9.9 4.7 5.4

Real Estate 1,136,420,626 9.5 2.8 9.1 11.7 10.2 10.8 11.8 11.9 8.1 8.1 11.7 14.2 7.7 Jan-84

NCREIF ODCE Index (Net) 0.8 3.1 3.9 5.9 7.5 10.4 4.4 7.4 6.7 7.8 14.0 6.4

Private Equity 721,115,788 6.0 1.4 5.8 10.2 12.8 10.7 12.3 7.2 15.6 18.2 9.6 3.0 9.3 Jan-06


Private Real Assets 631,328,239 5.3 0.5 1.1 0.8 4.8 3.0 6.9 0.0 3.7 11.0 5.5 -4.6 3.8 Feb-08


Asset Allocation & Performance


9

-36.0

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

Re

turn

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017

Trust Fund -12.9 (61) -8.0 (59) -5.4 (63) 2.6 (52) 3.1 (57) 6.0 (53) 15.9 (65) -3.9 (60) 16.0 (39)¢

SDCERA Policy Benchmark -15.4 (86) -9.8 (81) -7.0 (81) 2.0 (69) 3.1 (58) 5.7 (67) 19.8 (12) -6.0 (90) 16.3 (27)�

Balanced Benchmark -15.4 (86) -9.6 (79) -6.8 (77) 2.0 (69) 2.8 (69) 5.4 (77) 20.3 (7) -6.7 (96) 17.3 (7)p

5th Percentile -5.5 0.0 1.7 5.0 5.0 7.4 20.5 0.5 17.7

1st Quartile -10.0 -5.5 -2.4 3.8 4.1 6.6 18.3 -1.9 16.4

Median -12.2 -7.4 -4.4 2.8 3.3 6.0 16.9 -3.5 15.6

3rd Quartile -14.3 -9.4 -6.6 1.8 2.6 5.4 15.3 -4.6 14.2

95th Percentile -16.1 -11.5 -8.8 0.2 1.0 3.4 12.1 -6.5 10.3

Population 141 141 141 137 137 133 164 126 101

Trust Fund

Plan Sponsor Peer Group Analysis


All Public Plans > $1B-Total Fund

Parentheses contain percentile rankings.

10

Universe: All Public Plans > $1 Billion

StandardDeviation

Beta R-SquaredUp

MarketCapture

DownMarket

Capture

InformationRatio

TrackingError

SharpeRatio

SortinoRatio

Trust Fund 7.43 0.80 0.97 83.66 78.94 -0.05 2.19 0.30 0.38

SDCERA Policy Benchmark 9.16 1.00 1.00 100.00 100.00 - 0.00 0.25 0.33

FTSE 3 Month T-Bill 0.25 0.00 0.00 6.08 -3.46 -0.25 9.17 - 0.00

Annualized Return vs. Annualized Standard Deviation5 Years

-1.5

0.0

1.5

3.0

4.5

6.0

7.5

Re

turn

(%)

2.0 4.0 6.0 8.0 10.0 12.0

Risk (Standard Deviation %)

Trust Fund

SDCERA Policy Benchmark

ReturnStandardDeviation

Trust Fund 3.09 7.43¢£

SDCERA Policy Benchmark 3.06 9.16��

Median 3.33 7.71¾

20.0

40.0

60.0

80.0

100.0

120.0

140.0

Up MarketCapture

0.0

20.0

40.0

60.0

80.0

100.0

120.0

140.0

Down MarketCapture

5Years

5Years

Trust Fund 83.66 (65) 78.94 (48)¢

5th Percentile 106.62 105.96

1st Quartile 96.14 90.74

Median 88.27 77.07

3rd Quartile 79.22 66.98

95th Percentile 52.71 36.02

<ReportMemberName>

Trust Fund Risk Analysis

5 Years As of March 31, 2020

11

Rolling Information Ratio3 Year

-0.8

-0.4

0.0

0.4

0.8

Info

Ra

tio

Ap

r-1

7

Oct

-17

Ap

r-1

8

Oct

-18

Ap

r-1

9

Oct

-19

Ma

r-2

0

0.2

Rolling Information Ratio5 Year

-0.8

-0.4

0.0

0.4

0.8

Info

Ra

tio

Ap

r-1

5

Jan

-16

Oct

-16

Jul-

17

Ap

r-1

8

Jan

-19

Ma

r-2

0

-0.1

Rolling Tracking Error3 Year

0.8

1.2

1.6

2.0

2.4

2.8

Tra

ck

ing

Err

or

Ap

r-1

7

Oct

-17

Ap

r-1

8

Oct

-18

Ap

r-1

9

Oct

-19

Ma

r-2

0

2.3

Rolling Tracking Error5 Year

0.5

1.0

1.5

2.0

2.5

Tra

ck

ing

Err

or

Ap

r-1

5

Jan

-16

Oct

-16

Jul-

17

Ap

r-1

8

Jan

-19

Ma

r-2

0

2.2

<ReportMemberName>

Trust Fund Rolling Risk Statistics


12

Rolling Up Market Capture Ratio (%)3 Year

80.0

84.0

88.0

92.0

96.0

Up

Mk

t

Ca

p R

ati

o

Ap

r-1

7

Oct

-17

Ap

r-1

8

Oct

-18

Ap

r-1

9

Oct

-19

Ma

r-2

0

83.6

Rolling Up Market Capture Ratio (%)5 Year

72.0

80.0

88.0

96.0

104.0

112.0

Up

Mk

t

Ca

p R

ati

o

Ap

r-1

5

Jan

-16

Oct

-16

Jul-

17

Ap

r-1

8

Jan

-19

Ma

r-2

0

83.7

Rolling Down Market Capture Ratio (%)3 Year

64.0

72.0

80.0

88.0

96.0

Do

wn

Mk

t

Ca

p R

ati

o

Ap

r-1

7

Oct

-17

Ap

r-1

8

Oct

-18

Ap

r-1

9

Oct

-19

Ma

r-2

0

76.4

Rolling Down Market Capture Ratio (%)5 Year

60.0

75.0

90.0

105.0

120.0

Do

wn

Mk

t

Ca

p R

ati

o

Ap

r-1

5

Jan

-16

Oct

-16

Jul-

17

Ap

r-1

8

Jan

-19

Ma

r-2

0

78.9

<ReportMemberName>

Trust Fund Rolling Risk Statistics


13

This Page Left Blank Intentionally

Writeup

14

Total Public Equity

15

Total Public Equity Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Total Public Equity 5,378,169,422 -22.8 -16.1 -13.2 0.5 1.6 10.3 26.1 -10.7 25.7 8.0 -5.7

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 5.8 26.4 -10.1 23.9 8.4 -2.2

U.S. Equity 2,488,377,363 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8

MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0

Global Equity 446,997,763 -23.0 -16.2 -13.5 0.0 2.3 - 24.4 -10.7 25.2 8.3 -1.4

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 - 26.4 -10.1 23.9 8.4 -2.2

International Equity 1,770,176,347 -23.2 -17.6 -14.3 -1.8 -0.5 - 23.3 -14.4 25.3 1.5 -0.7

MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 -0.4 - 22.4 -14.4 26.2 1.2 0.5

Emerging Market Equity 672,617,948 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5

Emerging Markets Benchmark -23.6 -18.2 -17.7 -1.8 -0.4 0.7 18.4 -14.6 36.9 9.9 -13.9

U.S. Equity46.3%

Emerging Market Equity12.5%

International Equity32.9%

Global Equity8.3%

Total Public Equity Performance Summary


16

Allocation

MarketValue

($)%

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Trust Fund 11,935,258,563 100.0 -12.9 -8.0 -5.4 2.6 3.1 6.0 15.9 -3.9 16.0 6.9 -1.0

U.S. Equity 2,488,377,363 20.8 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8

MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0

BlackRock MSCI US Equity Index 1,019,061,566 8.5 -19.6 (26) -10.9 (20) -7.1 (21) - - - 31.6 (24) -4.5 (28) - - -

MSCI USA (Net) -19.8 (28) -11.3 (22) -7.7 (24) - - - 30.9 (29) -5.0 (31) - - -IM U.S. Equity (SA+CF) Median -24.6 -18.9 -15.5 - - - 27.6 -7.8 - - -

BlackRock MSCI US Small Cap Index 140,684,275 1.2 -31.2 (51) -26.2 (49) -24.5 (47) - - - 27.3 (30) -10.3 (43) - - -

MSCI USA Small Cap Index (Net) -31.4 (51) -26.5 (51) -24.9 (51) - - - 26.7 (35) -10.4 (44) - - -IM U.S. Small Cap Equity (SA+CF) Median -31.1 -26.4 -24.7 - - - 24.7 -11.4 - - -

PIMCO Russell 2000 Passive Plus 151,956,425 1.3 -32.0 (79) -26.9 (79) -25.2 (79) -5.1 (74) - - 26.9 (56) -11.7 (72) 14.9 (69) 22.8 (14) -

Russell 2000 Index -30.6 (74) -25.5 (74) -24.0 (75) -4.6 (71) - - 25.5 (64) -11.0 (69) 14.6 (70) 21.3 (17) -IM U.S. Equity (SA+CF) Median -24.6 -18.9 -15.5 0.0 - - 27.6 -7.8 18.3 12.2 -

PIMCO S&P Passive Plus 1,176,675,098 9.9 -21.0 (36) -12.3 (26) -8.3 (27) 4.3 (27) - - 32.6 (20) -5.4 (35) 21.6 (32) 13.2 (47) -

S&P 500 Index -19.6 (26) -10.8 (19) -7.0 (21) 5.1 (23) - - 31.5 (25) -4.4 (27) 21.8 (31) 12.0 (51) -IM U.S. Equity (SA+CF) Median -24.6 -18.9 -15.5 0.0 - - 27.6 -7.8 18.3 12.2 -

Global Equity 446,997,763 3.7 -23.0 -16.2 -13.5 0.0 2.3 - 24.4 -10.7 25.2 8.3 -1.4

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 - 26.4 -10.1 23.9 8.4 -2.2

Allianz Global Equity 324,913,405 2.7 -23.7 (71) -17.0 (66) -14.5 (67) - - - 23.9 (65) -11.3 (66) - - -

MSCI AC World IMI (Net) -22.4 (63) -15.6 (57) -12.7 (57) - - - 26.4 (47) -10.1 (56) - - -IM Global Equity (SA+CF) Median -21.1 -14.6 -11.7 - - - 25.8 -9.5 - - -

BlackRock ACWI IMI Index 122,084,358 1.0 -22.3 (35) -15.3 (29) -12.3 (28) - - - 26.9 (22) - - - -

MSCI AC World IMI (Net) -22.4 (35) -15.6 (30) -12.7 (30) - - - 26.4 (25) - - - -IM International Equity (SA+CF) Median -24.0 -18.4 -16.5 - - - 21.6 - - - -

International Equity 1,770,176,347 14.8 -23.2 -17.6 -14.3 -1.8 -0.5 - 23.3 -14.4 25.3 1.5 -0.7

MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 -0.4 - 22.4 -14.4 26.2 1.2 0.5

BlackRock MSCI EAFE IMI Index 514,921,041 4.3 -23.5 (46) -17.6 (44) -14.6 (39) - - - 22.9 (43) -14.1 (33) - - -

MSCI EAFE IMI (Net) -23.5 (46) -17.7 (44) -14.9 (41) - - - 22.4 (46) -14.4 (38) - - -IM International Equity (SA+CF) Median -24.0 -18.4 -16.5 - - - 21.6 -15.5 - - -

PIMCO EAFE Passive Plus 1,255,255,306 10.5 -24.1 (52) -18.7 (53) -15.4 (44) -2.3 (46) - - 23.5 (39) -14.4 (38) 25.2 (73) 1.5 (61) -

MSCI EAFE Index (Net) -22.8 (39) -17.4 (42) -14.4 (38) -1.8 (42) - - 22.0 (49) -13.8 (30) 25.0 (74) 1.0 (64) -IM International Equity (SA+CF) Median -24.0 -18.4 -16.5 -2.5 - - 21.6 -15.5 29.6 3.2 -

Emerging Market Equity 672,617,948 5.6 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5


BlackRock EM Index 335,060,193 2.8 -23.6 (35) -18.3 (38) -17.8 (42) -1.7 (33) - - 18.2 (52) -14.6 (32) 37.1 (39) 11.0 (37) -

MSCI Emerging Markets Index (Net) -23.6 (35) -18.2 (37) -17.7 (41) -1.6 (32) - - 18.4 (51) -14.6 (32) 37.3 (38) 11.2 (36) -IM Emerging Markets Equity (SA+CF) Median -25.2 -20.1 -18.9 -3.5 - - 18.5 -16.1 35.5 9.3 -

DFA Emerging Markets Value I 118,056,626 1.0 -31.9 (87) -30.5 (88) -30.3 (92) -8.3 (87) -3.0 (76) - 9.6 (88) -11.9 (16) 33.8 (56) 19.8 (8) -18.8 (83)

MSCI Emerging Markets Index (Net) -23.6 (30) -18.2 (36) -17.7 (41) -1.6 (27) -0.4 (33) - 18.4 (58) -14.6 (34) 37.3 (38) 11.2 (37) -14.9 (59)IM Emerging Markets Equity (MF) Median -25.7 -20.4 -19.1 -3.7 -1.2 - 19.4 -16.0 35.0 9.3 -13.8

PIMCO EM Passive Plus 219,501,129 1.8 -25.1 (50) -19.6 (48) -18.9 (51) -2.4 (36) - - 19.6 (47) -15.5 (44) 37.0 (40) 11.9 (31) -

MSCI Emerging Markets Index (Net) -23.6 (35) -18.2 (37) -17.7 (41) -1.6 (32) - - 18.4 (51) -14.6 (32) 37.3 (38) 11.2 (36) -IM Emerging Markets Equity (SA+CF) Median -25.2 -20.1 -18.9 -3.5 - - 18.5 -16.1 35.5 9.3 -

Total Public Equity Performance Summary


17

Return Summary

Quarterly Relative Performance Ratio of Cumulative Wealth - Since Inception

Current Allocation

Total Public Equity MSCI AC World IMI (Net)

0.0

15.0

30.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

5Years

10Years

Inception1/1/06

-22.4

-12.7

0.8 2.45.8 4.7

-22.8

-13.2

0.5 1.6

10.3 9.9

March 31, 2020 : $5,378M

DFA Emerging Markets Value I:2.2%

PIMCO EAFE Passive Plus:23.3%

BlackRock ACWI IMI Index:2.3%

PIMCO S&P Passive Plus:21.9%

Allianz Global Equity:6.0%

BlackRock EM Index:6.2%

PIMCO EM Passive Plus:4.1%

BlackRock MSCI EAFE IMI Index:9.6%

PIMCO Russell 2000 Passive Plus:2.8%

BlackRock MSCI US Equity Index:18.9%

BlackRock MSCI US Small Cap Index:2.6%

0.00

0.80

1.60

2.40

3.20

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20

1.99

0.0%

3.0%

-3.0 %

-6.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

Total Public Equity Portfolio Overview

As of March 31, 2020Total Public Equity

18


Rolling 5 Years Standard Deviation

5 Years Historical Statistics


FTSE 3 Month T-Bill

0.4

0.8

1.2

1.6

2.0

2.4

2.8

3.2

Re

turn

(%)

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


0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20

ActiveReturn

TrackingError

InformationRatio

R-SquaredSharpeRatio

Alpha Beta ReturnStandardDeviation

ActualCorrelation

Total Public Equity -0.70 2.52 -0.28 0.97 0.11 -0.79 1.03 1.65 14.53 0.99

MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.16 0.00 1.00 2.45 13.94 1.00

FTSE 3 Month T-Bill -2.28 13.95 -0.16 0.00 N/A 1.13 0.00 1.12 0.25 -0.03

Total Public Equity Risk Profile

As of March 31, 2020Total Public Equity

19

1 Quarter

0 15 30 45 60 75-15-30-45-60-75

PIMCO EM Passive Plus

DFA Emerging Markets Value I

BlackRock EM Index

PIMCO EAFE Passive Plus

BlackRock MSCI EAFE IMI Index

BlackRock ACWI IMI Index

Allianz Global Equity

PIMCO S&P Passive Plus

PIMCO Russell 2000 Passive Plus

BlackRock MSCI US Small Cap Index

BlackRock MSCI US Equity Index

Benchmark Effect

Cash Flow Effect

Total Excess Return

-7

-22

0

-33

0

0

-8

-31

-5

0

3

28

36

-37

Total Public Equity

Asset Class Attribution


20

Allocation

MarketValue

($)%

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

U.S. Equity 2,488,377,363 100.0 -21.7 -13.5 -9.9 3.4 5.2 8.7 31.4 -5.8 20.7 12.0 1.8

MSCI USA IMI (Net) -21.1 -13.1 -9.7 3.4 5.2 9.6 30.4 -5.7 20.6 12.0 0.0

BlackRock MSCI US Equity Index 1,019,061,566 41.0 -19.6 -10.9 -7.1 - - - 31.6 -4.5 - - -

MSCI USA (Net) -19.8 -11.3 -7.7 - - - 30.9 -5.0 - - -

BlackRock MSCI US Small Cap Index 140,684,275 5.7 -31.2 -26.2 -24.5 - - - 27.3 -10.3 - - -

MSCI USA Small Cap Index (Net) -31.4 -26.5 -24.9 - - - 26.7 -10.4 - - -

PIMCO Russell 2000 Passive Plus 151,956,425 6.1 -32.0 -26.9 -25.2 -5.1 - - 26.9 -11.7 14.9 22.8 -

Russell 2000 Index -30.6 -25.5 -24.0 -4.6 - - 25.5 -11.0 14.6 21.3 -

PIMCO S&P Passive Plus 1,176,675,098 47.3 -21.0 -12.3 -8.3 4.3 - - 32.6 -5.4 21.6 13.2 -

S&P 500 Index -19.6 -10.8 -7.0 5.1 - - 31.5 -4.4 21.8 12.0 -

<ReportMemberName>

U.S. Equity Asset Class Overview


21

Return Summary


Current Allocation

U.S. Equity MSCI USA IMI (Net)

0.0

15.0

30.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

5Years

10Years

Inception1/1/06

-21.1

-9.7

3.45.2

9.66.8

-21.7

-9.9

3.45.2

8.7 8.3

March 31, 2020 : $2,488M

BlackRock MSCI US Small Cap Index:5.7%

BlackRock MSCI US Equity Index:41.0%

PIMCO Russell 2000 Passive Plus:6.1%

PIMCO S&P Passive Plus:47.3%

0.60

0.90

1.20

1.50

1.80

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20

1.220.0%

2.0%

4.0%

-2.0 %

-4.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

U.S. Equity Portfolio Overview

As of March 31, 2020U.S. Equity

22





FTSE 3 Month T-Bill

-1.5

0.0

1.5

3.0

4.5

6.0

7.5

Re

turn

(%)



0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

U.S. Equity 0.00 1.19 0.00 0.99 0.35 0.03 1.00 5.20 14.16 1.00

MSCI USA IMI (Net) 0.00 0.00 N/A 1.00 0.35 0.00 1.00 5.20 14.17 1.00


U.S. Equity Risk Profile

As of March 31, 2020U.S. Equity

23

1 Quarter

0 15 30 45 60-15-30-45-60-75-90-105

PIMCO S&P Passive Plus




Benchmark Effect

Cash Flow Effect

Total Excess Return

-67

-10

1

6

-5

14

-62

U.S. Equity



24

Return Summary


Account Information


MSCI USA (Net)

0.0

15.0

-15.0

-30.0

Re

turn

1Quarter

1Year

Inception8/1/17

-19.8

-7.7

3.1

-19.6

-7.1

3.7

Account Name: BlackRock MSCI US Equity Index

Inception Date: 07/07/2017

Account Structure: Commingled Fund

Asset Class: US Equity

Benchmark: MSCI USA (Net)

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

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

0.1%

0.2%

0.3%

0.4%

0.99

1.00

1.01

1.02

1.03

7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20

1.02

BlackRock MSCI US Equity Index Performance Summary

As of March 31, 2020BlackRock MSCI US Equity Index

25

Return Summary


Account Information


MSCI USA Small Cap Index (Net)

-45.0

-30.0

-15.0

0.0

Re

turn

1Quarter

1Year

Inception8/1/17

-31.4

-24.9

-5.9

-31.2

-24.5

-5.6

Account Name: BlackRock MSCI US Small Cap Index




Benchmark: MSCI USA Small Cap Index (Net)

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

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

0.0%

0.3%

0.6%

-0.3 %

-0.6 %

0.99

1.00

1.01

1.02

7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20

1.01

BlackRock MSCI US Small Cap Index Performance Summary

As of March 31, 2020BlackRock MSCI US Small Cap Index

26

Return Summary


Account Information


Russell 2000 Index

0.0

15.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

Inception9/1/15

-30.6

-24.0

-4.6

1.3

-32.0

-25.2

-5.1

1.3

Account Name: PIMCO Russell 2000 Passive Plus


Account Structure: Separate Account


Benchmark: Russell 2000 Index


0.0%

1.0%

2.0%

-1.0 %

-2.0 %

-3.0 %

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.98

1.00

1.02

1.04

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20

1.00

PIMCO Russell 2000 Passive Plus Performance Summary

As of March 31, 2020PIMCO Russell 2000 Passive Plus

27

Return Summary


Account Information

PIMCO S&P Passive Plus S&P 500 Index

0.0

15.0

30.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

Inception9/1/15

-19.6

-7.0

5.18.3

-21.0

-8.3

4.3

8.2

Account Name: PIMCO S&P Passive Plus




Benchmark: S&P 500 Index


0.0%

2.0%

4.0%

-2.0 %

-4.0 %

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.98

1.00

1.02

1.04

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20

1.00

PIMCO S&P Passive Plus Performance Summary

As of March 31, 2020PIMCO S&P Passive Plus

28

Allocation

MarketValue

($)%

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

2019 2018 2017 2016 2015

Global Equity 446,997,763 100.0 -23.0 -16.2 -13.5 0.0 2.3 24.4 -10.7 25.2 8.3 -1.4

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 0.8 2.4 26.4 -10.1 23.9 8.4 -2.2

Allianz Global Equity 324,913,405 72.7 -23.7 -17.0 -14.5 - - 23.9 -11.3 - - -

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 - - 26.4 -10.1 - - -

BlackRock ACWI IMI Index 122,084,358 27.3 -22.3 -15.3 -12.3 - - 26.9 - - - -

MSCI AC World IMI (Net) -22.4 -15.6 -12.7 - - 26.4 - - - -

Global Equity Performance Summary


29

Return Summary


Current Allocation

Global Equity MSCI AC World IMI (Net)

0.0

15.0

30.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception7/1/10

-22.4

-12.7

0.8 2.4

7.3

-23.0

-13.5

0.02.3

8.5

March 31, 2020 : $447M

BlackRock ACWI IMI Index:27.3%

Allianz Global Equity:72.7%

0.96

1.04

1.12

1.20

1.28

6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 3/20

1.110.0%

2.0%

4.0%

-2.0 %

-4.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

Global Equity Portfolio Overview

As of March 31, 2020Global Equity

30





FTSE 3 Month T-Bill

0.4

0.8

1.2

1.6

2.0

2.4

2.8

3.2

Re

turn

(%)



0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Global Equity -0.21 1.51 -0.14 0.99 0.15 -0.17 0.99 2.25 13.85 0.99

MSCI AC World IMI (Net) 0.00 0.00 N/A 1.00 0.16 0.00 1.00 2.45 13.94 1.00


Global Equity Risk Profile

As of March 31, 2020Global Equity

31

1 Quarter

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

BlackRock ACWI IMI Index

Allianz Global Equity

Benchmark Effect

Cash Flow Effect

Total Excess Return

2

-100

0

41

-57

Global Equity



32

Return Summary


Account Information

Allianz Global Equity MSCI AC World IMI (Net)

-40.0

-30.0

-20.0

-10.0

0.0

Re

turn

1Quarter

1Year

Inception7/1/17

-22.4

-12.7

-0.7

-23.7

-14.5

-1.9Account Name: Allianz Global Equity



Asset Class: Global Equity

Benchmark: MSCI AC World IMI (Net)

Peer Group: IM Global Equity (SA+CF)

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

0.0%

2.0%

4.0%

-2.0 %

-4.0 %

12/17 0.93

0.96

0.99

1.02

1.05

1.08

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

0.97

Allianz Global Equity Performance Summary

As of March 31, 2020Allianz Global Equity

33

Return Summary


Account Information

BlackRock ACWI IMI Index MSCI AC World IMI (Net)

-32.0

-24.0

-16.0

-8.0

0.0

Re

turn

1Quarter

1Year

Inception1/1/19

-22.4

-12.7

-1.6

-22.3

-12.3

-1.2Account Name: BlackRock ACWI IMI Index



Asset Class: Global Equity

Benchmark: MSCI AC World IMI (Net)


3/19 6/19 0.0%

0.1%

0.2%

0.3%

0.4%

9/19 12/19 3/20 12/18 3/19 6/19 0.99

1.00

1.01

9/19 12/19 3/20

1.01

BlackRock ACWI IMI Index Performance Summary

As of March 31, 2020BlackRock ACWI IMI Index

34

Allocation

MarketValue

($)%

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

2019 2018

International Equity 1,770,176,347 100.0 -23.2 -17.6 -14.3 -1.8 23.3 -14.4

MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 -2.0 22.4 -14.4

BlackRock MSCI EAFE IMI Index 514,921,041 29.1 -23.5 -17.6 -14.6 - 22.9 -14.1

MSCI EAFE IMI (Net) -23.5 -17.7 -14.9 - 22.4 -14.4

PIMCO EAFE Passive Plus 1,255,255,306 70.9 -24.1 -18.7 -15.4 -2.3 23.5 -14.4

MSCI EAFE Index (Net) -22.8 -17.4 -14.4 -1.8 22.0 -13.8

International Equity Performance Summary


35

Return Summary


Current Allocation

International Equity MSCI EAFE IMI (Net)

-32.0

-24.0

-16.0

-8.0

0.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception6/1/14

-23.5

-14.9

-2.0-0.4 -1.0

-23.2

-14.3

-1.8-0.5

-1.2

March 31, 2020 : $1,770M

BlackRock MSCI EAFE IMI Index:29.1%

PIMCO EAFE Passive Plus:70.9%

2/15 11/15 0.94

0.96

0.98

1.00

1.02

5/14 8/16 5/17 2/18 11/18 8/19 3/20

0.990.0%

0.7%

1.4%

-0.7 %

-1.4 %

-2.1 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

International Equity Portfolio Overview

As of March 31, 2020International Equity

36

1 Quarter

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

PIMCO EAFE Passive Plus


Benchmark Effect

Cash Flow Effect

Total Excess Return

-103

1

53

82

34

International Equity



37

Return Summary


Account Information


MSCI EAFE IMI (Net)

-32.0

-24.0

-16.0

-8.0

0.0

Re

turn

1Quarter

1Year

Inception8/1/17

-23.5

-14.9

-5.5

-23.5

-14.6

-5.2

Account Name: BlackRock MSCI EAFE IMI Index



Asset Class: International Equity

Benchmark: MSCI EAFE IMI (Net)

Peer Group: IM International Equity (SA+CF)

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

0.0%

0.3%

0.6%

-0.3 %

-0.6 %

0.99

1.00

1.01

1.02

7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20

1.01

BlackRock MSCI EAFE IMI Index Performance Summary

As of March 31, 2020BlackRock MSCI EAFE IMI Index

38

Return Summary


Account Information

PIMCO EAFE Passive Plus MSCI EAFE Index (Net)

0.0

15.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

Inception9/1/15

-22.8

-14.4

-1.8

0.4

-24.1

-15.4

-2.3

0.6

Account Name: PIMCO EAFE Passive Plus



Asset Class: International Equity

Benchmark: MSCI EAFE Index (Net)

Peer Group: IM International Equity (SA+CF)

0.0%

2.0%

-2.0 %

-4.0 %

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.98

1.00

1.02

1.04

1.06

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20

1.01

PIMCO EAFE Passive Plus Performance Summary

As of March 31, 2020PIMCO EAFE Passive Plus

39

Emerging Markets Effective Style Map3 Years

Emerging Markets Effective Style Map5 Years

Allocation

MarketValue

($)%

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Emerging Market Equity 672,617,948 100.0 -25.7 -21.2 -20.7 -3.2 -0.5 0.9 17.3 -14.6 35.9 12.8 -14.5


BlackRock EM Index 335,060,193 49.8 -23.6 -18.3 -17.8 -1.7 - - 18.2 -14.6 37.1 11.0 -

MSCI Emerging Markets Index (Net) -23.6 -18.2 -17.7 -1.6 - - 18.4 -14.6 37.3 11.2 -

DFA Emerging Markets Value I 118,056,626 17.6 -31.9 -30.5 -30.3 -8.3 -3.0 - 9.6 -11.9 33.8 19.8 -18.8

MSCI Emerging Markets Index (Net) -23.6 -18.2 -17.7 -1.6 -0.4 - 18.4 -14.6 37.3 11.2 -14.9

PIMCO EM Passive Plus 219,501,129 32.6 -25.1 -19.6 -18.9 -2.4 - - 19.6 -15.5 37.0 11.9 -

MSCI Emerging Markets Index (Net) -23.6 -18.2 -17.7 -1.6 - - 18.4 -14.6 37.3 11.2 -

Style Map(36 Months)

Ca

pit

aliz

ati

on

Manager Style

EM Large Value

EM Small Value EM Small Growth

EM Large Growth

DFA EM Value

Style Map(60 Months)

Ca

pit

aliz

ati

on

Manager Style

EM Large Value

EM Small Value EM Small Growth

EM Large Growth

DFA EM Value

<ReportMemberName>

Emerging Market Equity Asset Class Overview


40

Return Summary


Current Allocation


Emerging Markets Benchmark

0.0

15.0

30.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

5Years

10Years

Inception1/1/06

-23.6

-17.7

-1.8 -0.4

0.73.8

-25.7

-20.7

-3.2-0.5

0.94.4

March 31, 2020 : $673M

BlackRock EM Index:49.8%

PIMCO EM Passive Plus:32.6%

DFA Emerging Markets Value I:17.6%

0.91

0.98

1.05

1.12

1.19

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20

1.080.0%

2.0%

4.0%

-2.0 %

-4.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

Emerging Market Equity Portfolio Overview

As of March 31, 2020Emerging Market Equity

41





Emerging Markets Benchmark

FTSE 3 Month T-Bill

-1.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

Re

turn

(%)


Emerging Market Equity Emerging Markets Benchmark

0.0

6.0

12.0

18.0

24.0

30.0

36.0

42.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Emerging Market Equity -0.04 1.68 -0.02 0.99 0.00 -0.04 1.00 -0.50 17.55 1.00

Emerging Markets Benchmark 0.00 0.00 N/A 1.00 0.00 0.00 1.00 -0.44 17.47 1.00

FTSE 3 Month T-Bill 0.04 17.48 0.00 0.00 N/A 1.13 0.00 1.12 0.25 -0.04

Emerging Market Equity Risk Profile

As of March 31, 2020Emerging Market Equity

42

1 Quarter

0 50 100-50-100-150-200-250-300



BlackRock EM Index

Benchmark Effect

Cash Flow Effect

Total Excess Return

-48

-159

0

0

0

-207




43

Return Summary


Account Information

BlackRock EM Index

MSCI Emerging Markets Index (Net)

0.0

15.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

Inception9/1/15

-23.6

-17.7

-1.6

3.1

-23.6

-17.8

-1.7

3.0

Account Name: BlackRock EM Index



Asset Class: International-Emerging Equity

Benchmark: MSCI Emerging Markets Index (Net)

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

0.0%

0.1%

0.2%

-0.1 %

-0.2 %

-0.3 %

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.99

1.00

1.01

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20

1.00

BlackRock EM Index Performance Summary

As of March 31, 2020BlackRock EM Index

44

Return Summary


Account Information


DFA Emerging Markets Value I Performance Summary




0.0

15.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception12/1/11

-23.6

-17.7

-1.6 -0.4

1.3

-31.9-30.3

-8.3

-3.0-1.2

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

Fund Family : Dimensional Fund Advisors LP

Ticker : DFEVX

Peer Group : IM Emerging Markets Equity (MF)

Benchmark : MSCI Emerging Markets Index (Net)

Fund Inception : 04/01/1998

Portfolio Manager : Fogdall/Singh/Phillips

Total Assets : $17,937.00 Million

Total Assets Date : 12/31/2019

Gross Expense : 0.64%

Net Expense : 0.54%

Turnover : 13%

0.0%

6.0%

12.0%

-6.0 %

-12.0 %

-18.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.72

0.81

0.90

0.99

1.08

1.17

11/11 11/12 11/13 11/14 11/15 11/16 11/17 11/18 3/20

0.81

45

-80.0

-60.0

-40.0

-20.0

0.0

20.0

40.0

60.0

80.0

Re

turn

1Quarter

1Year

3Years

5Years

2019 2018 2017

DFA Emerging Markets Value I -31.9 (87) -30.3 (92) -8.3 (87) -3.0 (76) 9.6 (88) -11.9 (16) 33.8 (56)¢

MSCI Emerging Markets Index (Net) -23.6 (30) -17.7 (41) -1.6 (27) -0.4 (33) 18.4 (58) -14.6 (34) 37.3 (38)�

5th Percentile -18.5 -9.6 2.5 2.7 31.2 -8.6 46.6

1st Quartile -23.2 -15.3 -1.3 0.3 24.5 -13.5 39.6

Median -25.7 -19.1 -3.7 -1.2 19.4 -16.0 35.0

3rd Quartile -29.1 -23.2 -6.1 -3.0 15.2 -18.7 28.4

95th Percentile -36.4 -34.9 -11.8 -8.0 6.1 -23.1 19.7

Population 214 214 214 214 220 233 240


Peer Group Analysis


IM Emerging Markets Equity (MF)


46






FTSE 3 Month T-Bill

-6.0

-4.0

-2.0

0.0

2.0

4.0

Re

turn

(%)




0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

11/16 5/17 11/17 5/18 11/18 5/19 11/19 3/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

DFA Emerging Markets Value I -2.27 4.97 -0.46 0.94 -0.11 -2.34 1.09 -3.02 19.67 0.97

MSCI Emerging Markets Index (Net) 0.00 0.00 N/A 1.00 0.00 0.00 1.00 -0.37 17.57 1.00

FTSE 3 Month T-Bill -0.05 17.59 0.00 0.00 N/A 1.13 0.00 1.12 0.25 -0.04

DFA Emerging Markets Value I Risk Profile

As of March 31, 2020DFA Emerging Markets Value I

47

Asset Allocation As of 07/31/2019

0.0% 50.0% 100.0% 150.0%

Fixed Income

Convertibles

Cash

Other

Equities

0.0%

0.0%

0.0%

0.5%

99.5%

Fund Characteristics As of 07/31/2019

Total Securities 2,484

Avg. Market Cap $33,036.10 Million

P/E 15.35

P/B 1.16

Div. Yield 3.82%

Annual EPS 13.99

5Yr EPS 8.52

3Yr EPS Growth 11.72

Top Ten Securities As of 07/31/2019

Reliance Industries Ltd ORD 3.25 %

China Construction Bank Corp ORD 2.05 %

Vale SA ORD 2.01 %

China Mobile Ltd ORD 1.65 %

NK Lukoil PAO DR 1.25 %

Hon Hai Precision Industry Co Ltd 1.17 %

Industrial and Commercial Bank 1.16 %

Petroleo Brasileiro SA Petrobras 1.13 %

Standard Bank Group Ltd ORD 1.09 %

Petroleo Brasileiro SA Petrobras 1.02 %

Regional Allocation As of 07/31/2019

0.0% 50.0% 100.0%

North America

Europe

Other

Pacific Basin

Emg. MidEast, Africa, Europe

Emerging Latin America

Emerging Asia

0.0%

0.2%

0.4%

3.5%

12.2%

14.2%

69.5%


Mutual Fund Attributes


48

Return Summary


Account Information



0.0

15.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

Inception9/1/15

-23.6

-17.7

-1.6

3.1

-25.1

-18.9

-2.4

2.8

Account Name: PIMCO EM Passive Plus



Asset Class: International-Emerging Equity

Benchmark: MSCI Emerging Markets Index (Net)

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

0.0%

1.0%

2.0%

-1.0 %

-2.0 %

-3.0 %

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.96

0.98

1.00

1.02

8/15 2/16 8/16 2/17 8/17 2/18 8/18 2/19 8/19 3/20

0.98

PIMCO EM Passive Plus Performance Summary

As of March 31, 2020PIMCO EM Passive Plus

49


50

Total Fixed Income

51

Total Fixed Income Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Risk-Reducing Fixed Income 2,292,575,858 2.0 3.6 5.9 3.8 - - 5.9 1.1 3.0 2.3 -

Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 2.3 2.0 -

U.S. Fixed Income 2,009,409,862 2.2 4.0 6.3 3.9 - - 6.2 1.0 3.3 2.5 -


Cash 283,165,996

Return-Seeking Fixed Income 786,996,081 -14.3 -11.8 -10.2 -1.1 - - 11.5 -3.3 7.1 15.4 -

ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 - - 14.4 -2.3 7.5 17.5 -

High Yield Credit 728,074,146 -13.6 -11.1 -9.3 -0.8 1.5 4.7 12.2 -3.6 7.1 15.6 -4.2

ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 5.5 14.4 -2.3 7.5 17.5 -4.6

Loans 58,921,934 -21.4 -18.8 -18.8 - - - 7.3 0.9 - - -

S&P Leveraged Loan Index -13.0 -10.7 -9.2 - - - 8.6 0.4 - - -

Loans1.9%

High Yield Credit23.6%

Cash9.2% U.S. Fixed Income

65.2%

Total Fixed Income Performance Summary


52

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

U.S. Fixed Income 2,009,409,862 2.2 4.0 6.3 3.9 - - 6.2 1.0 3.3 2.5 -


BlackRock U.S. Intermediate Aggregate Index 889,081,420 2.5 (19) 4.3 (13) 6.9 (12) 3.9 (7) - - 6.7 (42) 0.9 (23) - - -

Blmbg. Barc. U.S. Intermediate Aggregate 2.5 (19) 4.4 (13) 6.9 (12) 3.9 (7) - - 6.7 (44) 0.9 (27) - - -

Ryan Labs Core Fixed 249,918,543 0.4 (78) 2.9 (78) 6.3 (76) 4.3 (63) - - 9.4 (26) -0.1 (37) - - -

Blmbg. Barc. U.S. Aggregate 3.1 (17) 5.7 (15) 8.9 (16) 4.8 (18) - - 8.7 (59) 0.0 (29) - - -

Hoisington 393,565,185 12.3 (2) 14.2 (2) 18.8 (3) 8.9 (4) 3.8 (13) - 9.1 (42) 0.2 (50) 7.6 (17) 1.5 (79) -3.7 (91)

Blmbg. Barc. U.S. Treasury: 7-10 Year 10.1 (2) 11.8 (3) 16.2 (4) 7.0 (6) 4.4 (10) - 8.5 (50) 0.9 (33) 2.6 (72) 1.1 (87) 1.6 (14)

PIMCO Short Term Fixed 476,844,714 -2.4 (88) -1.4 (90) -0.7 (92) 1.3 (91) 1.2 (94) - 2.5 (100) 2.1 (4) 2.3 (9) 1.2 (62) 0.7 (46)

LIBOR (3 month) 0.4 (48) 1.4 (54) 2.1 (72) 2.0 (68) 1.5 (84) - 2.4 (100) 2.3 (2) 1.3 (47) 0.7 (94) 0.3 (92)

Cash 283,165,996



Hotchkis & Wiley Cap 262,658,951 -17.2 (99) -15.4 (99) -14.1 (99) -2.2 (99) 1.0 (96) - 10.3 (29) -3.2 (89) 9.2 (11) 17.4 (2) -4.5 (95)

ICE BofAML US High Yield Index -13.1 (93) -9.8 (93) -7.5 (93) 0.5 (89) 2.7 (48) - 14.4 (17) -2.3 (83) 7.5 (18) 17.5 (2) -4.6 (95)

Oaktree High Yield 465,415,195 -12.3 (90) -9.3 (91) -7.0 (91) -0.3 (95) 1.5 (86) 4.7 (32) 13.7 (20) -4.0 (92) 5.4 (32) 14.0 (7) -3.9 (91)

ICE BofAML US High Yield Index -13.1 (93) -9.8 (93) -7.5 (93) 0.5 (89) 2.7 (48) 5.5 (19) 14.4 (17) -2.3 (83) 7.5 (18) 17.5 (2) -4.6 (95)

Loans 58,921,934 -21.4 -18.8 -18.8 - - - 7.3 0.9 - - -


Allianz Loan Port 58,921,934 -21.4 (100) -18.8 (100) -18.8 (100) -4.0 (100) - - 7.3 (60) 0.9 (34) 5.0 (35) - -

S&P Leveraged Loan Index -13.0 (93) -10.7 (95) -9.2 (96) -0.8 (96) - - 8.6 (48) 0.4 (45) 4.1 (46) - -

Total Fixed Income Performance Summary


53

Return Summary


Current Allocation


Blmbg. Barc. U.S. Intermediate Aggregate

0.0

3.0

6.0

9.0

12.0

Re

turn

1Quarter

1Year

3Years

Inception1/1/16

2.5

6.9

3.93.4

2.0

5.9

3.83.4

March 31, 2020 : $2,293M

BlackRock U.S. Intermediate Aggregate Index:38.8%

Ryan Labs Core Fixed:10.9%

Hoisington:17.2%

PIMCO Short Term Fixed:20.8%

0.98

1.00

1.02

1.04

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

1.00

0.0%

2.0%

4.0%

-2.0 %

-4.0 %

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

Risk-Reducing Fixed Income Portfolio Overview

As of March 31, 2020Risk-Reducing Fixed Income

54

Operational Cash:12.2%


1 Quarter

Hoisington

BlackRock U.S.

Int. Agg. Index

PIMCO

Short Term Fixed


Excess Return

Cash Flow Effect

Benchmark Effect

Cash

Ryan Labs

Core Fixed


-1

25

-56

-22

4

29

-26

-47

-70 -60 -50 -40 -30 -20 -10 0 10 20 30 40

Attribution Analysis 3 Months Ending 3/31/2020

55

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

U.S. Fixed Income 2,009,409,862 2.2 4.0 6.3 3.9 - - 6.2 1.0 3.3 2.5 -


BlackRock U.S. Intermediate Aggregate Index 889,081,420 2.5 4.3 6.9 3.9 - - 6.7 0.9 - - -

Blmbg. Barc. U.S. Intermediate Aggregate 2.5 4.4 6.9 3.9 - - 6.7 0.9 - - -

Ryan Labs Core Fixed 249,918,543 0.4 2.9 6.3 4.3 - - 9.4 -0.1 - - -

Blmbg. Barc. U.S. Aggregate 3.1 5.7 8.9 4.8 - - 8.7 0.0 - - -

Hoisington 393,565,185 12.3 14.2 18.8 8.9 3.8 - 9.1 0.2 7.6 1.5 -3.7

Blmbg. Barc. U.S. Treasury: 7-10 Year 10.1 11.8 16.2 7.0 4.4 - 8.5 0.9 2.6 1.1 1.6

PIMCO Short Term Fixed 476,844,714 -2.4 -1.4 -0.7 1.3 1.2 - 2.5 2.1 2.3 1.2 0.7

LIBOR (3 month) 0.4 1.4 2.1 2.0 1.5 - 2.4 2.3 1.3 0.7 0.3

U.S. Fixed Income Performance Summary


56

Return Summary


Current Allocation

U.S. Fixed Income


0.0

3.0

6.0

9.0

12.0

Re

turn

1Quarter

1Year

3Years

Inception8/1/15

2.5

6.9

3.9

3.1

2.2

6.3

3.93.2

March 31, 2020 : $2,009M

Ryan Labs Core Fixed:12.4%

PIMCO Short Term Fixed:23.7%

Hoisington:19.6% BlackRock U.S. Intermediate Aggregate Index:44.2%

0.99

1.00

1.01

1.02

1.03

7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 7/19 3/20

1.01

0.0%

0.8%

1.6%

-0.8 %

-1.6 %

-2.4 %

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

U.S. Fixed Income Portfolio Overview

As of March 31, 2020U.S. Fixed Income

57

1 Quarter

0 25 50 75 100 125-25-50-75-100-125

Ryan Labs Core Fixed

PIMCO Short Term Fixed

Hoisington

BlackRock U.S. Intermediate Aggregate Index

Benchmark Effect

Cash Flow Effect

Total Excess Return

-25

-63

29

-1

63

-28

-26

U.S. Fixed Income



58

Return Summary


Account Information

BlackRock U.S. Intermediate Aggregate Index


0.0

3.0

6.0

9.0

12.0

Re

turn

1Quarter

1Year

3Years

Inception2/1/17

2.5

6.9

3.9 3.8

2.5

6.9

3.9 3.9

Account Name: BlackRock U.S. Intermediate Aggregate Index



Asset Class: US Fixed Income

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

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

0.0%

0.1%

-0.1 %

-0.2 %

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

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

1.00

1.01

1/17 7/19 3/20

1.00

BlackRock U.S. Intermediate Aggregate Index Performance Summary

As of March 31, 2020BlackRock U.S. Intermediate Aggregate Index

59

Return Summary


Account Information

Ryan Labs Core Fixed Blmbg. Barc. U.S. Aggregate

0.0

4.0

8.0

12.0

16.0

Re

turn

1Quarter

1Year

3Years

Inception2/1/17

3.1

8.9

4.8 4.8

0.4

6.3

4.3 4.2

Account Name: Ryan Labs Core Fixed




Benchmark: Blmbg. Barc. U.S. Aggregate

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

0.0%

2.0%

-2.0 %

-4.0 %

6/17 12/17 6/18 12/18 6/19 12/19 3/20 7/17 1/18 0.96

0.98

1.00

1.02

1.04

1/17 7/18 1/19 7/19 3/20

0.98

Ryan Labs Core Fixed Performance Summary

As of March 31, 2020Ryan Labs Core Fixed

60

Return Summary


Account Information

Hoisington

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

0.0

8.0

16.0

24.0

32.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception9/1/10

10.1

16.2

7.0

4.4 4.3

12.3

18.8

8.9

3.8

7.9

Account Name: Hoisington




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

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

0.0%

10.0%

20.0%

-10.0 %

-20.0 %

-30.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.40

0.80

1.20

1.60

2.00

8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 3/20

1.38

Hoisington Performance Summary

As of March 31, 2020Hoisington

61

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

Re

turn

1Quarter

1Year

3Years

5Years

2019 2018 2017

Hoisington 12.3 (2) 18.8 (3) 8.9 (4) 3.8 (13) 9.1 (42) 0.2 (50) 7.6 (17)¢

Blmbg. Barc. U.S. Treasury: 7-10 Year 10.1 (2) 16.2 (4) 7.0 (6) 4.4 (10) 8.5 (50) 0.9 (33) 2.6 (72)�

5th Percentile 4.5 12.3 7.4 5.5 20.6 1.9 11.7

1st Quartile 1.4 6.7 4.2 3.3 11.5 1.2 6.5

Median -0.2 3.9 3.1 2.6 8.4 0.1 3.9

3rd Quartile -5.3 -0.2 1.7 1.9 5.7 -1.5 2.3

95th Percentile -13.8 -8.8 -0.5 1.1 2.5 -5.3 0.9

Population 1,299 1,294 1,267 1,215 1,378 1,487 1,519

Hoisington

Peer Group Analysis


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


62




Hoisington


FTSE 3 Month T-Bill

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

Re

turn

(%)

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

Hoisington


0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

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

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Hoisington 0.00 7.54 0.00 0.70 0.29 -3.49 1.80 3.85 11.37 0.84

Blmbg. Barc. U.S. Treasury: 7-10 Year 0.00 0.00 N/A 1.00 0.63 0.00 1.00 4.37 5.28 1.00

FTSE 3 Month T-Bill -3.31 5.23 -0.63 0.05 N/A 1.08 0.01 1.12 0.25 0.23

Hoisington Risk Profile

As of March 31, 2020Hoisington

63

Return Summary


Account Information

PIMCO Short Term Fixed ICE Libor (3 month)

0.0

2.0

4.0

-2.0

-4.0

-6.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception9/1/10

0.4

2.1 2.0

1.5

0.9

-2.4

-0.7

1.3 1.2 1.1

Account Name: PIMCO Short Term Fixed




Benchmark: ICE Libor (3 month)

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

0.0%

2.0%

-2.0 %

-4.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.96

0.99

1.02

1.05

1.08

1.11

8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 3/20

1.02

PIMCO Short Term Fixed Performance Summary

As of March 31, 2020PIMCO Short Term Fixed

64

Return Seeking Fixed Income Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015



Hotchkis & Wiley Cap 262,658,951 -17.2 -15.4 -14.1 -2.2 1.0 - 10.3 -3.2 9.2 17.4 -4.5

ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 - 14.4 -2.3 7.5 17.5 -4.6

Oaktree High Yield 465,415,195 -12.3 -9.3 -7.0 -0.3 1.5 4.7 13.7 -4.0 5.4 14.0 -3.9


Loans 58,921,934 -21.4 -18.8 -18.8 - - - 7.3 0.9 - - -


Allianz Loan Port 58,921,934 -21.4 -18.8 -18.8 -4.0 - - 7.3 0.9 5.0 - -

S&P Leveraged Loan Index -13.0 -10.7 -9.2 -0.8 - - 8.6 0.4 4.1 - -

Loans7.5%

High Yield Credit92.5%

Return Seeking Fixed Income Performance Summary


65

Return Summary


Current Allocation


ICE BofAML US High Yield Index

0.0

10.0

20.0

-10.0

-20.0

-30.0

Re

turn

1Quarter

1Year

3Years

Inception1/1/16

-13.1

-7.5

0.5

4.9

-14.3

-10.2

-1.1

3.2

March 31, 2020 : $787M

Hotchkis & Wiley Cap:33.4%

Allianz Loan Port:7.5%

Oaktree High Yield:59.1%

0.92

0.96

1.00

1.04

12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.93

0.0%

0.8%

1.6%

-0.8 %

-1.6 %

-2.4 %

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

Return-Seeking Fixed Income Portfolio Overview

As of March 31, 2020Return-Seeking Fixed Income

66

1 Quarter

0 50 100 150 200-50-100-150-200-250-300

Allianz Loan Port

Oaktree High Yield

Hotchkis & Wiley Cap

Benchmark Effect

Cash Flow Effect

Total Excess Return

-79

42

-161

2

77

-118




67

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015



Hotchkis & Wiley Cap 262,658,951 -17.2 -15.4 -14.1 -2.2 1.0 - 10.3 -3.2 9.2 17.4 -4.5

ICE BofAML US High Yield Index -13.1 -9.8 -7.5 0.5 2.7 - 14.4 -2.3 7.5 17.5 -4.6

Oaktree High Yield 465,415,195 -12.3 -9.3 -7.0 -0.3 1.5 4.7 13.7 -4.0 5.4 14.0 -3.9


U.S. High Yield Performance Summary


68

Return Summary


Current Allocation

High Yield Credit


0.0

10.0

20.0

-10.0

-20.0

-30.0

Re

turn

1Quarter

1Year

3Years

5Years

10Years

Inception1/1/06

-13.1

-7.5

0.52.7

5.5 6.2

-13.6

-9.3

-0.8

1.5

4.7 5.4

March 31, 2020 : $728M

Hotchkis & Wiley Cap:36.1%

Oaktree High Yield:63.9%

0.80

0.88

0.96

1.04

1.12

1.20

12/05 6/07 12/08 6/10 12/11 6/13 12/14 6/16 12/17 3/20

0.89

0.0%

0.6%

1.2%

-0.6 %

-1.2 %

-1.8 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

High Yield Credit Portfolio Overview

As of March 31, 2020High Yield Credit

69




High Yield Credit


FTSE 3 Month T-Bill

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Re

turn

(%)


High Yield Credit


0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 3/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

High Yield Credit -1.16 0.97 -1.19 0.98 0.09 -1.07 0.97 1.50 7.50 0.99

ICE BofAML US High Yield Index 0.00 0.00 N/A 1.00 0.24 0.00 1.00 2.67 7.64 1.00


High Yield Credit Risk Profile

As of March 31, 2020High Yield Credit

70

1 Quarter

0 50 100 150 200-50-100-150-200-250-300

Oaktree High Yield


Benchmark Effect

Cash Flow Effect

Total Excess Return

46

-178

0

80

-52

High Yield Credit



71

Return Summary


Account Information



0.0

10.0

20.0

-10.0

-20.0

-30.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception9/1/10

-13.1

-7.5

0.52.7

5.4

-17.2-14.1

-2.2

1.0

4.9

Account Name: Hotchkis & Wiley Cap




Benchmark: ICE BofAML US High Yield Index


0.0%

3.0%

-3.0 %

-6.0 %

-9.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.90

0.95

1.00

1.05

1.10

1.15

8/10 8/11 8/12 8/13 8/14 8/15 8/16 8/17 8/18 3/20

0.96

Hotchkis & Wiley Cap Performance Summary

As of March 31, 2020Hotchkis & Wiley Cap

72

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

Re

turn

1Quarter

1Year

3Years

5Years

2019 2018 2017

Hotchkis & Wiley Cap -17.2 (99) -14.1 (99) -2.2 (99) 1.0 (96) 10.3 (29) -3.2 (89) 9.2 (11)¢

ICE BofAML US High Yield Index -13.1 (93) -7.5 (93) 0.5 (89) 2.7 (48) 14.4 (17) -2.3 (83) 7.5 (18)�

5th Percentile 4.5 12.3 7.4 5.5 20.6 1.9 11.7

1st Quartile 1.4 6.7 4.2 3.3 11.5 1.2 6.5

Median -0.2 3.9 3.1 2.6 8.4 0.1 3.9

3rd Quartile -5.3 -0.2 1.7 1.9 5.7 -1.5 2.3

95th Percentile -13.8 -8.8 -0.5 1.1 2.5 -5.3 0.9

Population 1,299 1,294 1,267 1,215 1,378 1,487 1,519


Peer Group Analysis




73






FTSE 3 Month T-Bill

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Re

turn

(%)




0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

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

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Hotchkis & Wiley Cap -1.52 2.49 -0.61 0.93 0.03 -1.89 1.13 1.00 8.94 0.97



Hotchkis & Wiley Cap Risk Profile

As of March 31, 2020Hotchkis & Wiley Cap

74

Return Summary


Account Information

Oaktree High Yield


0.0

10.0

20.0

-10.0

-20.0

-30.0

Re

turn

1Quarter

1Year

3Years

5Years

10Years

Inception5/1/1995

-13.1

-7.5

0.52.7

5.5

-12.3

-7.0

-0.3

1.5

4.76.5

Account Name: Oaktree High Yield




Benchmark: ICE BofAML US High Yield Index


0.0%

2.0%

-2.0 %

-4.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.80

1.00

1.20

1.40

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

0.97

Oaktree High Yield Performance Summary

As of March 31, 2020Oaktree High Yield

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

75

-28.0

-20.0

-12.0

-4.0

4.0

12.0

20.0

28.0

36.0

Re

turn

1Quarter

1Year

3Years

5Years

10Years

2019 2018 2017

Oaktree High Yield -12.3 (90) -7.0 (91) -0.3 (95) 1.5 (86) 4.7 (32) 13.7 (20) -4.0 (92) 5.4 (32)¢

ICE BofAML US High Yield Index -13.1 (93) -7.5 (93) 0.5 (89) 2.7 (48) 5.5 (19) 14.4 (17) -2.3 (83) 7.5 (18)�

5th Percentile 4.5 12.3 7.4 5.5 8.0 20.6 1.9 11.7

1st Quartile 1.4 6.7 4.2 3.3 5.1 11.5 1.2 6.5

Median -0.2 3.9 3.1 2.6 3.8 8.4 0.1 3.9

3rd Quartile -5.3 -0.2 1.7 1.9 2.8 5.7 -1.5 2.3

95th Percentile -13.8 -8.8 -0.5 1.1 1.3 2.5 -5.3 0.9

Population 1,299 1,294 1,267 1,215 1,043 1,378 1,487 1,519

Oaktree High Yield

Peer Group Analysis




76




Oaktree High Yield


FTSE 3 Month T-Bill

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Re

turn

(%)


Oaktree High Yield


0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

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

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Oaktree High Yield -1.17 1.03 -1.14 0.99 0.09 -0.91 0.91 1.53 7.02 0.99



Oaktree High Yield Risk Profile

As of March 31, 2020Oaktree High Yield

77

Return Summary


Account Information

Allianz Loan Port S&P Leveraged Loan Index

0.0

10.0

20.0

-10.0

-20.0

-30.0

Re

turn

1Quarter

1Year

3Years

Inception5/1/16

-13.0

-9.2

-0.8

1.3

-21.4-18.8

-4.0

-1.1

Account Name: Allianz Loan Port




Benchmark: S&P Leveraged Loan Index


0.0%

5.0%

10.0%

-5.0 %

-10.0 %

-15.0 %

6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.90

0.96

1.02

1.08

1.14

4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 3/20

0.91

Allianz Loan Port Performance Summary

As of March 31, 2020Allianz Loan Port

78

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

40.0

Re

turn

1Quarter

1Year

3Years

2019

Allianz Loan Port -21.4 (100) -18.8 (100) -4.0 (100) 7.3 (60)¢

S&P Leveraged Loan Index -13.0 (93) -9.2 (96) -0.8 (96) 8.6 (48)�

5th Percentile 4.5 12.3 7.4 20.6

1st Quartile 1.4 6.7 4.2 11.5

Median -0.2 3.9 3.1 8.4

3rd Quartile -5.3 -0.2 1.7 5.7

95th Percentile -13.8 -8.8 -0.5 2.5

Population 1,299 1,294 1,267 1,378

Allianz Loan Port

Peer Group Analysis




79


Writeup

80

Opportunistic

81

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Opportunistic 988,652,549 -20.4 -17.6 -15.4 -4.3 -1.7 - 12.8 -10.4 11.3 0.9 7.3

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 20.3 -6.7 17.3 6.8 -1.2

AQR Global Alt Premia Offshore Fund 94,848,955 -17.8 - - - - - - - - - -

Balanced Benchmark -15.4 - - - - - - - - - -

BlackRock Global Allocation 463,956,968 -15.9 -10.1 -7.4 - - - 21.5 -6.6 - - -

Balanced Benchmark -15.4 -9.6 -6.8 - - - 20.3 -6.7 - - -

Cantab 199,025,992 -5.4 -1.8 4.5 5.6 1.2 - 23.2 -12.9 18.8 0.1 -0.8

Balanced Benchmark -15.4 -9.6 -6.8 2.0 2.8 - 20.3 -6.7 17.3 6.8 -1.2

Allianz Multi Asset Long Short 114,667,788 -6.4 -8.1 -6.0 - - - -0.4 - - - -

Balanced Benchmark -15.4 -9.6 -6.8 - - - 20.3 - - - -

PIMCO Opp I 16,727,434 - - - - - - - - - - -

Balanced Benchmark - - - - - - - - - - -

PIMCO Opp II 21,194,594 - - - - - - - - - - -


PIMCO Opp III 78,230,818 - - - - - - - - - - -


Opportunistic Performance Summary


82

Return Summary


Current Allocation

Opportunistic Balanced Benchmark

0.0

15.0

30.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception6/1/10

-15.4

-6.8

2.0 2.86.1

-20.4

-15.4

-4.3-1.7

3.1

March 31, 2020 : $989M

PIMCO Opp I:1.7%

BlackRock Global Allocation:46.9%

AQR Global Alt Premia Offshore Fund:9.6%

Allianz Multi Asset Long Short:11.6%

PIMCO Opp III:7.9%

Cantab:20.1%

PIMCO Opp II:2.1%

0.60

0.80

1.00

1.20

5/10 5/11 5/12 5/13 5/14 5/15 5/16 5/17 5/18 5/19 3/20

0.76

0.0%

8.0%

16.0%

24.0%

-8.0 %

-16.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

Opportunistic Portfolio Overview

As of March 31, 2020Opportunistic

83





FTSE 3 Month T-Bill

-4.0

-2.0

0.0

2.0

4.0

6.0

Re

turn

(%)



0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Opportunistic -4.46 7.78 -0.57 0.47 -0.23 -3.44 0.70 -1.72 9.95 0.69

Balanced Benchmark 0.00 0.00 N/A 1.00 0.22 0.00 1.00 2.81 9.71 1.00


Opportunistic Risk Profile

As of March 31, 2020Opportunistic

84

1 Quarter

0 200 400 600-200-400-600-800-1,000-1,200

PIMCO Opp III

PIMCO Opp II

PIMCO Opp I

Martlet Alternative Beta

Cantab

BlackRock Global Allocation

AQR Global Alt Premia Offshore Fund

Allianz Multi Asset Long Short

Benchmark Effect

Cash Flow Effect

Total Excess Return

85

-10

-15

-702

170

-26

-24

90

0

-72

-504

Opportunistic



85

Return Summary


Account Information

BlackRock Global Allocation Balanced Benchmark

0.0

8.0

-8.0

-16.0

-24.0

Re

turn

1Quarter

1Year

Inception8/1/17

-15.4

-6.8

0.2

-15.9

-7.4

0.8

Account Name: BlackRock Global Allocation



Asset Class: Global Mixed Assets

Benchmark: Balanced Benchmark


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

0.0%

2.0%

-2.0 %

-4.0 % 0.98

1.00

1.02

1.04

7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 10/19 3/20

1.02

BlackRock Global Allocation Performance Summary

As of March 31, 2020BlackRock Global Allocation

86

Return Summary


Account Information

Cantab Balanced Benchmark

0.0

10.0

20.0

-10.0

-20.0

-30.0

Re

turn

1Quarter

1Year

3Years

5Years

Inception10/1/13

-15.4

-6.8

2.0 2.84.0

-5.4

4.5 5.6

1.2

6.9

Account Name: Cantab





Peer Group:

0.0%

10.0%

20.0%

-10.0 %

-20.0 %

6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 6/19 3/20

0.80

1.00

1.20

1.40

1.60

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

1.19

Cantab Performance Summary

As of March 31, 2020Cantab

87





FTSE 3 Month T-Bill

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Re

turn

(%)



0.0

3.0

6.0

9.0

12.0

15.0

18.0

21.0

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

ActiveReturn

TrackingError

InformationRatio



ActualCorrelation

Cantab 3.65 11.28 0.32 0.27 0.36 4.76 0.61 5.60 12.29 0.52

Balanced Benchmark 0.00 0.00 N/A 1.00 0.08 0.00 1.00 2.01 10.60 1.00


Cantab Risk Profile

As of March 31, 2020Cantab

88

Return Summary


Account Information

Allianz Multi Asset Long Short

Balanced Benchmark

-24.0

-18.0

-12.0

-6.0

0.0

Re

turn

1Quarter

1Year

Inception4/1/18

-15.4

-6.8

-2.1

-6.4 -6.0

-3.8

Account Name: Allianz Multi Asset Long Short





Peer Group:

0.0%

10.0%

20.0%

-10.0 %

-20.0 %

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

0.72

0.81

0.90

0.99

1.08

1.17

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

0.97

Allianz Multi Asset Long Short Performance Summary

As of March 31, 2020Allianz Multi Asset Long Short

89

Real Estate

90

Return Summary


Account Information

AACA REIT

Dow Jones U.S. Real Estate Total Return Index

0.0

15.0

-15.0

-30.0

-45.0

Re

turn

1Quarter

1Year

Inception12/1/17

-24.4

-16.7

-2.9

-14.5

0.32.4

Account Name: AACA REIT



Asset Class: US REIT (Real-Estate Funds)

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

Peer Group:

0.0%

8.0%

16.0%

24.0%

-8.0 %

-16.0 %

3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/200.80

1.00

1.20

1.40

11/17 2/18 5/18 8/18 11/18 2/19 5/19 8/19 11/19 3/20

1.13

AACA REIT Performance Summary

As of March 31, 2020AACA REIT

91


92

Total Private Assets Current Allocation

Allocation

MarketValue

($)

Performance(%)

1Quarter

FiscalYTD

1Year

3Years

5Years

10Years

2019 2018 2017 2016 2015

Total Private Assets 2,488,864,653 1.8 6.0 8.2 9.5 8.6 - 7.1 9.1 12.0 9.2 5.5

SDCERA Private Assets Benchmark -15.1 -9.4 -7.0 2.8 5.0 - 18.8 -4.4 18.8 9.9 4.7

Real Estate 1,136,420,626 2.8 9.1 11.7 10.2 10.8 11.8 11.9 8.1 8.1 11.7 14.2

NCREIF ODCE Index (Net) 0.8 3.1 3.9 5.9 7.5 10.4 4.4 7.4 6.7 7.8 14.0

Private Equity 721,115,788 1.4 5.8 10.2 12.8 10.7 12.3 7.2 15.6 18.2 9.6 3.0


Private Real Assets 631,328,239 0.5 1.1 0.8 4.8 3.0 6.9 0.0 3.7 11.0 5.5 -4.6


Private Equity29.0%

Real Estate45.7%

Private Real Assets25.4%

Total Private Assets Performance Summary


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

93


Writeup

94

Unfunded

Manager/Fund Commitment³

Private Credit

2013 Oaktree European Dislocation Fund (US) LP $2,705,648 $90,000,000 $51,516,000 57% $38,484,000 $54,869,129 $38,484,000 106.5% 111.8% 8.6% 12/31/2019

2014 Apollo Credit Opportunities Fund III LP $23,209,716 $100,000,000 $199,590,074 200% -$99,590,074 $177,461,723 $20,261,207 88.9% 100.5% -0.3% 12/31/2019

2014 D.E. Shaw Alkali Fund II LP $11,357,981 $45,000,000 $52,878,255 118% -$7,878,255 $57,708,868 $0 109.1% 130.6% 8.5% 12/31/2019

Total Private Credit Managers $37,273,345 $235,000,000 $303,984,329 129% -$68,984,329 $290,039,720 $58,745,207 95.4% 107.7%

% of Portfolio (Market Value) 0.31%

Buy Out & Growth

1997 HarbourVest Int'l Priv Eq Prtnrs III - Prtnrship $69,347 $34,700,000 $34,179,500 99% $520,500 $53,997,454 $520,500 158.0% 158.2% 9.0% 12/31/2019

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

2001 Blackstone Capital Partners IV, L.P. $371,327 $15,000,000 $18,154,587 121% -$3,154,587 $46,453,415 $392,673 255.9% 257.9% 54.2% 12/31/2019

2003 TPG Partners IV, L.P. $277,995 $10,000,000 $11,158,085 112% -$1,158,085 $22,877,784 $42,969 205.0% 207.5% 20.7% 12/31/2019

2004 Graham Partners II, L.P. $262,805 $7,500,000 $7,682,126 102% -$182,126 $14,065,456 $49,554 183.1% 186.5% 11.7% 12/31/2019

2004 Providence Equity Partners V, L.P. $139,293 $10,000,000 $12,414,814 124% -$2,414,814 $14,605,332 $879,492 117.6% 118.8% 3.0% 12/31/2019

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

2006 Bain Capital Fund IX Coinvestment Fund, L.P. $83,933 $1,500,000 $1,821,000 121% -$321,000 $2,651,529 $18,000 145.6% 150.2% 7.2% 12/31/2019

2006 Bain Capital Fund IX, L.P. $377,021 $7,000,000 $7,350,000 105% -$350,000 $11,112,727 $175,000 151.2% 156.3% 7.4% 12/31/2019

2006 Blackstone Capital Partners V, L.P. $671,386 $15,000,000 $15,444,774 103% -$444,774 $25,949,932 $725,674 168.0% 172.4% 8.7% 12/31/2019

2006 Charterhouse Capital Partners VIII, L.P. $2,775 $11,225,000 $12,057,898 107% -$832,898 $11,776,306 $0 97.7% 97.7% -0.7% 12/31/2019

2006 Hellman & Friedman Capital Partners VI, L.P. $755,146 $15,000,000 $15,060,795 100% -$60,795 $29,051,240 $434,290 192.9% 197.9% 13.7% 12/31/2019

2006 Northgate Private Equity Partners III, L.P. $2,940,232 $15,000,000 $13,950,000 93% $1,050,000 $17,759,504 $1,050,000 127.3% 148.4% 6.8% 12/31/2019

2006 TA X, L.P. $5,355 $13,000,000 $12,545,000 97% $455,000 $16,523,000 $455,000 131.7% 131.8% 5.2% 12/31/2019

2006 TA Subordinated Debt Fund II, L.P. $231,121 $8,000,000 $6,960,000 87% $1,040,000 $9,330,635 $1,040,000 134.1% 137.4% 8.5% 12/31/2019

2007 Capital International Private Equity Fund V, L.P. $210,622 $10,000,000 $10,809,812 108% -$809,812 $9,993,854 $1,592,943 92.5% 94.4% -2.8% 12/31/2019

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

2008 BAIN Capital Fund X, L.P. $2,642,969 $15,000,000 $15,225,521 102% -$225,521 $23,230,392 $457,500 152.6% 169.9% 10.6% 12/31/2019

2008 Emerging Europe Growth Fund II $5,021,144 $10,000,000 $9,343,143 93% $656,857 $7,116,228 $114,369 76.2% 129.9% 3.5% 12/31/2019

2009 Hellman & Friedman Capital Partners VII, L.P. $22,540,151 $15,000,000 $13,287,671 89% $1,712,329 $20,218,037 $695,470 152.2% 321.8% 25.1% 12/31/2019

2010 Blackstone Capital Partners VI, L.P. $75,390,225 $100,000,000 $99,854,268 100% $145,732 $94,931,671 $12,389,607 95.1% 170.6% 12.1% 12/31/2019

2010 Baring Asia Private Equity Fund V $49,990,535 $50,000,000 $62,597,686 125% -$12,597,686 $40,307,114 $5,920,232 64.4% 144.3% 8.0% 12/31/2019

2010 Capital International Private Equity Fund VI, L.P. $43,090,964 $50,000,000 $55,238,020 110% -$5,238,020 $16,901,937 $6,420,032 30.6% 108.6% 0.4% 12/31/2019

2011 EQT VI $17,339,621 $44,900,000 $52,309,035 117% -$7,409,035 $75,680,139 $3,243,785 144.7% 177.8% 13.8% 9/30/2019

2012 TPG Asia VI, L.P. $61,951,341 $75,000,000 $77,258,667 103% -$2,258,667 $39,678,392 $13,868,588 51.4% 131.5% 9.1% 9/30/2019

2012 FountainVest China Growth capital Fund II $31,441,705 $50,000,000 $48,755,452 98% $1,244,548 $51,468,390 $5,818,528 105.6% 170.1% 16.1% 12/31/2019

2013 New Mountain Partners IV, L.P. $69,405,343 $90,000,000 $77,741,243 86% $12,258,757 $79,375,447 $9,775,086 102.1% 191.4% 22.9% 12/31/2019

2015 EQT VII (No.2) Limited Partnership $57,794,591 $56,125,000 $58,984,456 105% -$2,859,456 $29,490,604 $7,261,654 50.0% 148.0% 20.7% 12/31/2019

2016 Blackstone Capital Partners VII LP $79,901,171 $100,000,000 $66,237,304 66% $33,762,696 $8,054,425 $29,610,922 12.2% 132.8% 20.1% 12/31/2019

2017 SDCERA Public Pension Capital LLC $34,220,347 $100,000,000 $30,786,046 31% $69,213,954 $6,741,599 $75,671,821 21.9% 133.1% 26.8% 12/31/2019

Total Buy Out & Growth Managers $558,066,838 $963,950,000 $880,632,860 91% $83,317,140 $830,485,167 $179,373,689 94.3% 157.7%


Private Equity

Illiquid Alternative Investments

As of December 31, 2019

Vintage

Year3 Total Commitment3

IRR Analysis as of Valuation Date

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

Valuation

Date3

Market Value as of

Valuation Date3

Capital

Called3,4 % Called

Remaining

Commitment3

Capital

Returned3

95

Unfunded


Distress & Special Situations

2001 Lexington Capital Partners V, L.P. $58,122 $10,000,000 $11,026,975 110% -$1,026,975 $17,752,792 $48,681 161.0% 161.5% 18.1% 9/30/2019

2004 Paul Capital Partners VIII-B $1,057,087 $15,000,000 $15,040,667 100% -$40,667 $20,355,521 $225,950 135.3% 142.4% 9.0% 9/30/2019

2005 Lexington Capital partners VI-B, L.P. $791,334 $10,000,000 $10,774,432 108% -$774,432 $14,158,557 $163,471 131.4% 138.8% 6.9% 12/31/2019

2005 OCM Opportunities Fund VI, L.P. $461 $5,000,000 $5,000,000 100% $0 $7,852,326 $0 157.0% 157.1% 8.7% 12/31/2019

2006 Coller International Partners V-A, L.P. $760,576 $10,000,000 $7,820,000 78% $2,180,000 $11,209,264 $2,180,000 143.3% 153.1% 8.0% 12/31/2019

2006 Cerberus Institutional Partners, L.P. Series Four $2,319,046 $15,000,000 $13,851,643 92% $1,148,357 $22,661,878 $1,148,357 163.6% 180.3% 9.1% 12/31/2019

2006 Paul Capital Partners IX, L.P. $4,200,726 $20,000,000 $17,699,666 88% $2,300,334 $17,573,905 $4,971,108 99.3% 123.0% 3.9% 9/30/2019

2007 OCM Opportunities Fund VII, L.P. $279,726 $7,500,000 $7,500,000 100% $0 $10,064,316 $0 134.2% 137.9% 7.4% 12/31/2019

2007 OCM Opportunities Fund VIIb, L.P. $226,788 $12,500,000 $11,250,000 90% $1,250,000 $19,259,573 $0 171.2% 173.2% 16.5% 12/31/2019

2008 Onex Partners III, L.P. $5,522,599 $15,000,000 $15,643,853 104% -$643,853 $23,858,830 $1,208,190 152.5% 187.8% 12.3% 12/31/2019

2009 GSO Capital Solutions Fund $2,102,725 $50,000,000 $71,729,838 143% -$21,729,838 $92,305,143 $5,108,694 128.7% 131.6% 9.5% 12/31/2019

2010 Gores Capital Partners III, L.P. $6,151,551 $75,000,000 $79,256,488 106% -$4,256,488 $82,307,913 $7,766,201 103.9% 111.6% 2.8% 12/31/2019

2010 OCM European Principal Fund III, L.P. $52,282,304 $67,350,000 $64,898,091 96% $2,451,909 $52,899,145 $20,256,068 81.5% 162.1% 9.9% 12/31/2019

2011 Gores Small Capital Partners $9,214,834 $30,000,000 $30,591,929 102% -$591,929 $33,681,476 $4,894,579 110.1% 140.2% 15.1% 12/31/2019

2012 GSO Capital Solutions Fund II, LP $13,408,573 $90,000,000 $70,380,604 78% $19,619,396 $60,280,826 $37,466,247 85.6% 104.7% 1.7% 12/31/2019

2014 SSG III $36,214,201 $60,000,000 $99,000,907 165% -$39,000,907 $84,059,850 $20,862,398 84.9% 121.5% 10.7% 12/31/2019

Total Distress & Special Situations Managers $134,590,653 $492,350,000 $531,465,093 108% -$39,115,093 $570,281,315 $106,299,944 107.3% 132.6%


Niche and Other

2010 RMF 2 Co-Investment Fund, L.P. $3,518,768 $25,000,000 $8,974,920 36% $16,025,080 $15,600,246 $0 173.8% 213.0% 18.1% 12/31/2019

2012 Drug Royalty III LP $6,391,079 $41,488,181 $26,710,089 64% $14,778,092 $28,119,968 $14,021,896 105.3% 129.2% 8.2% 12/31/2019

Total Niche and Other Managers $9,909,847 $66,488,181 $35,685,009 54% $30,803,172 $43,720,214 $14,021,896 122.5% 150.3%



Market Value as of

Valuation Date3

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

Vintage

Year3 Total Commitment3Capital

Called3,4 % Called

Remaining

Commitment3

Capital

Returned3

Valuation

Date3

96

Unfunded


Private Real Assets

Agriculture

2011 Brookfield Brazil Agriland $53,611,000 $75,000,000 $69,652,604 93% $5,347,396 $0 $2,097,704 0.0% 77.0% -4.4% 12/31/2019

2012 Amerra Agri Fund II $30,431,866 $50,000,000 $50,934,555 102% -$934,555 $36,112,003 $12,440,928 70.9% 130.6% 6.4% 12/31/2019

2012 Hancock Agricultural Investment Group-Separate Account $47,238,115 $100,000,000 $39,650,000 40% $60,350,000 $4,700,000 $60,450,000 11.9% 131.0% 4.6% 12/31/2019

Total Agriculture Managers $131,280,981 $225,000,000 $160,237,159 71% $64,762,841 $40,812,003 $74,988,632 25.5% 107.4%


Energy

2005 EnerVest Energy Institutional Fund X-B, L.P. $8,623 $10,000,000 $10,043,273 100% -$43,273 $10,272,571 $0 102.3% 102.4% 0.6% 12/31/2019

2005 Merit Energy Partners F, L.P. $1,207,424 $8,000,000 $4,761,830 60% $3,238,170 $2,375,180 $0 49.9% 75.2% -4.4% 12/31/2019

2006 EnCap Energy Capital Fund VI, L.P. $118,795 $9,000,000 $9,931,900 110% -$931,900 $17,836,642 $0 179.6% 180.8% 26.7% 12/31/2019

2007 EnCap Energy Capital Fund VII, L.P. $548,899 $10,000,000 $10,678,022 107% -$678,022 $14,788,562 $0 138.5% 143.6% 16.6% 12/31/2019

2007 EnerVest Energy Institutional Fund XI-B, L.P. -$99,585 $15,000,000 $14,306,417 95% $693,583 $13,890,415 $245,837 97.1% 96.4% -2.0% 9/30/2019

2008 Kayne Anderson Energy Fund V, L.P. $2,553,817 $15,000,000 $19,453,116 130% -$4,453,116 $20,405,637 $0 104.9% 118.0% 8.3% 12/31/2019

2010 Falcon E&P $19,255,282 $75,000,000 $80,914,567 108% -$5,914,567 $56,014,254 $7,769,994 69.2% 93.0% -5.3% 9/30/2019

2011 Denham Commodity Partners Fund VI, L.P. $29,678,889 $50,000,000 $51,283,744 103% -$1,283,744 $30,285,510 $5,464,386 59.1% 116.9% 3.1% 12/31/2019

Total Energy Managers $53,272,144 $192,000,000 $201,372,869 105% -$9,372,869 $165,868,771 $13,480,217 82.4% 108.8%


Infrastructure

2008 Global Infrastructure Partners A, L.P. $3,785,236 $75,000,000 $82,284,377 110% -$7,284,377 $195,281,767 $9,056,076 237.3% 241.9% 18.8% 12/31/2019

2008 Macquarie Infrastructure Partners II $38,908,468 $75,000,000 $85,408,350 114% -$10,408,350 $108,644,877 $3,798,718 127.2% 172.8% 9.5% 12/31/2019

2010 Brookfield Americas Infrastructure Fund, L.P. $89,341,816 $75,000,000 $77,219,379 103% -$2,219,379 $58,868,811 $3,854,120 76.2% 191.9% 10.4% 12/31/2019

2010 J.P.M. Global Maritime Investment Fund $45,520,501 $75,000,000 $75,257,810 100% -$257,810 $7,503,454 $2,048,912 10.0% 70.5% -7.3% 12/31/2019

2013 Actis Energy 3 $23,608,000 $50,000,000 $47,745,980 95% $2,254,020 $37,421,300 $13,120,213 78.4% 127.8% 9.6% 12/31/2019

2013 Actis Energy 3 Co-Investment, LP $7,828,000 $13,750,000 $13,986,438 102% -$236,438 $11,163,092 $1,764,409 79.8% 135.8% 11.2% 12/31/2019

2014 Energy & Minerals Group Fund III LP $46,866,725 $75,000,000 $71,302,052 95% $3,697,948 $7,905,284 $481,704 11.1% 76.8% -7.3% 12/31/2019

2014 EMG AENO Co-Investment LP $5,497,235 $4,342,137 $4,342,137 100% $0 $0 $0 0.0% 126.6% 4.7% 12/31/2019

2014 EMG AEPB Co-Investment $0 $6,000,000 $6,000,000 100% $0 $2,513,364 $0 41.9% 41.9% -25.6% 12/31/2019

Total Infrastructure Managers $261,355,981 $449,092,137 $463,546,523 103% -$14,454,386 $429,301,949 $34,124,152 92.6% 149.0%


Metals & Mining

2011 Red Kite Mine Finance Fund $89,013,740 $50,000,000 $50,000,000 100% $0 $0 $0 0.0% 178.0% 8.9% 12/31/2019

2011 Taurus Resources Fund II Ltd. $69,239,941 $75,000,000 $89,832,724 120% -$14,832,724 $48,684,593 $934,641 54.2% 131.3% 4.9% 12/31/2019

Total Metals & Mining Managers $158,253,681 $125,000,000 $139,832,724 112% -$14,832,724 $48,684,593 $934,641 34.8% 148.0%


Timber

2011 Molpus Woodlands Fund III $42,382,759 $50,000,000 $47,250,000 95% $2,750,000 $17,209,235 $0 36.4% 126.1% 3.7% 12/31/2019

Total Timber Managers $42,382,759 $50,000,000 $47,250,000 95% $2,750,000 $17,209,235 $0 36.4% 126.1%


Valuation

Date3

Vintage


Called3,4 % Called

Market Value as of

Valuation Date3

Remaining

Commitment3

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

Capital

Returned3


97

Unfunded


1999 Hearthstone MSII Homebuilding Investors, L.L.C. $1,056 $10,000,000 $7,973,058 80% $2,026,942 $13,884,971 $1,008,131 174.1% 174.2% 44.2% 12/31/2019

2000 RREEF I.M.A. $436,622,454 $255,126,000 $548,397,800 215% -$293,271,800 $528,080,931 $0 96.3% 175.9% 9.9% 12/31/2019

2004 Southern California Smart Growth Fund $100,048 $25,000,000 $36,721,206 147% -$11,721,206 $40,044,587 $768,807 109.1% 109.3% 0.4% 12/31/2019

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

2005 RREEF Rio San Diego Plaza II $26,598,122 $25,925,218 $27,050,000 104% -$1,124,782 $16,750,000 $0 61.9% 160.3% 4.4% 12/31/2019

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

2006 California Smart Growth Fund IV $2,444,121 $25,000,000 $23,370,715 93% $1,629,285 $28,514,447 $27,627 122.0% 132.5% 2.6% 12/31/2019

2007 Allegis Value Trust $182,420 $25,000,000 $25,550,296 102% -$550,296 $31,209,296 $0 122.1% 122.9% 2.5% 9/30/2019

2007 Blackstone Real Estate Partners VI $3,829,376 $50,000,000 $49,688,041 99% $311,959 $108,045,844 $2,453,949 217.4% 225.2% 14.4% 12/31/2019

2008 Trophy Property Development, L.P. $50,903 $15,000,000 $14,259,190 95% $740,810 $10,907,159 $740,810 76.5% 76.8% -3.6% 12/31/2019

2011 JPMCB Strategic Property Fund $231,146,052 $200,000,000 $205,152,298 103% -$5,152,298 $181,575,129 $0 88.5% 201.2% 10.1% 12/31/2019

2017 Ascentris SD Partners LP $286,401,017 $300,000,000 $515,511,717 172% -$215,511,717 $459,936,515 $79,419,194 89.2% 144.8% 18.0% 12/31/2019

2018 Brookfield Senior Mezzanine Real Estate Finance Fund LP $99,641,842 $100,000,000 $100,000,000 100% $0 $7,537,156 $0 7.5% 107.2% 4.8% 12/31/2019

2019 Ascentris Value Add Fund III LP $3,007,711 $50,000,000 $5,108,847 10% $44,891,153 $1,412,268 $46,303,421 27.6% 86.5% -23.4% 12/31/2019

Total Real Estate Managers $1,090,361,455 $1,136,051,218 $1,609,762,888 142% -$473,711,670 $1,465,575,077 $130,721,939 91.0% 158.8%


Total Private Managers $2,476,747,684 $3,934,931,536 $4,373,769,454 111% -$438,837,918 $3,901,978,044 $612,690,317 89.2% 145.8%


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

Valuation

Date3

Distrib./

Paid-In

(DPI)1

Tot. Value/

Paid-In

(TVPI)2

Reported IRR

Since

Inception3

Vintage


Called3,4 % Called

Remaining

Commitment3

Capital

Returned3

Total Private Markets Portfolio


Market Value as of

Valuation Date3

Real Estate

98

Market Environment

99


Global Equity Markets

-22.4%-24.1%

-21.1%

-30.0%

-17.4%

-28.9%

-20.9%-23.3%

-28.4%

-24.4%

-12.7%

-16.3%

-9.7%

-23.3%

-7.5%

-21.0%

-13.8% -13.3%

-24.5%

-18.9%

-40%

-30%

-20%

-10%

0%

ACWI IMI 44.2%ACWI ex-U.S.

IMI

55.8%USA IMI

4.5%UK IMI

8.1%Japan IMI

2.8%Canada IMI

0.2%Israel IMI

13.5%Europe ex-UK

IMI

3.3%Pacific ex-Japan

IMI

11.8%Emerging

Markets IMI

GLOBAL MSCI IMI INDEX RETURNS (USD)AS OF 03/31/2020

First Quarter 2020 One-Year

Source: MSCI

A decade-long bull market came to an abrupt halt as the Covid-19 outbreak in China turned into a global pandemic. After reaching all-time highs in mid-February, global equities sold off sharply as infection numbers grew and governments worldwide ramped up virus containment measures. With much of the economy shuttered, a deep global recession appears to be inevitable despite unprecedented fiscal and monetary stimulus measures. In local currency terms, the MSCI AC World Investable Market Index fell by 21.0%. Appreciation of the U.S. dollar further dragged down the returns to -22.4% in USD terms in Q1 2020.

UK equities were the worst performers (-30.0%) over the quarter where its sizeable resource sector (Oil & Gas and Basic Materials) underperformed due to sharp drop in crude oil prices amidst the coronavirus outbreak. Brexit negotiations ran into difficulties as the UK and the European Union (EU) clashed on “level playing field” requirements. The UK Prime Minister Boris Johnson stated that Britain would be prepared to leave the EU on the World Trade Organization’s (WTO) terms if progress is not made by June 2020.

100


Global Equity Markets

USA55.8%

UK4.5%

Canada2.8%

Pacif ic ex-Japan3.3% Japan

8.1%

Europe ex-UK13.5%

Israel0.2%

Latin America

1.0%

Asia9.3%

Eastern Europe, Middle East & Africa1.5%

Emerging Markets11.8%

MSCI ALL COUNTRY WORLD IMI INDEX GEOGRAPHIC ALLOCATION AS OF 03/31/2020

Source: MSCI

UK10.2%

Canada6.3%

Pacif ic ex-Japan7.5%

Japan18.3%

Europe ex-UK30.6%

Israel0.5%

Latin America2.2%

Asia21.0%

Eastern Europe, Middle East & Africa3.5%

Emerging Markets26.7%

MSCI ALL COUNTRY WORLD EX-U.S. IMI INDEX GEOGRAPHIC ALLOCATION AS OF 03/31/2020

Source: MSCI

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

101


U.S. Equity Markets

-20.9%

-12.1% -12.9%

-20.5%

-15.1%

-51.6%

-28.3% -27.8% -28.6%

-15.1%-9.1%

8.0%

-2.1%

-10.6%

-4.2%

-54.5%

-19.2% -19.7%-15.6%

-3.2%

-60.0%

-50.0%

-40.0%

-30.0%

-20.0%

-10.0%

0.0%

10.0%

20.0%

Russell3000

25.1%Te chnology

15.1%Healthcare

14.5%Cons. Disc

6.2%Cons.

Staples

2.5%Energ y

3.0%Materials &Processing

9.1%Produ cerDurables

18.9%FinancialServices

5.5%Utilities

RUSSELL SECTOR RETURNS AS OF 03/31/2020

First Quarter 2020

One-Year

Source: Russell Indexes

-20.9%-24.2%

-12.5%

-31.7%

-20.0%

-35.7%

-25.8%

-9.1%

-13.6%

3.7%

-24.1%

-9.4%

-29.6%

-18.6%

-40.0%

-35.0%

-30.0%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

Russell3000

28.8%LargeValue

42.1%Large

Growth

13.1%MediumValue

10.2%MediumGrowth

2.6%SmallValue

3.2%Small

Growth

RUSSELL STYLE RETURNS AS OF 03/31/2020

First Quarter 2020

One-Year

Source: Russell Indexes

Three major U.S. equity indices (S&P 500, Dow Jones Industrial Average and Nasdaq Composite) entered bear market territory as the indices fell more than 20% below their mid-February peaks in the fastest bear market on record ending the 11-year bull market, the longest on record. Returns were on pace to be much worse before stock markets rallied to end the quarter. Large fiscal stimulus packages were credited as the major reason for improving risk sentiment. For the quarter, the Dow Jones US Total Stock Market Index returned -21.0%. The Russell 3000 Index fell 20.9% during the first quarter and 9.1% over the one-year period.

The CBOE Volatility Index (VIX), Wall Street’s “fear gauge”, set a new record peak of 82.7 in mid-March before ending the quarter slightly lower at 53.5 after having averaged 19.0 over the previous 12 months.

All sectors generated negative returns over the quarter. In particular, Energy (-51.6%) and Financial Services (-28.6%) were the worst performing sectors in Q1 2020.

Performance was negative across the market capitalization spectrum over the quarter. Small cap stocks underperformed both large and medium cap stocks over the quarter. Value stocks underperformed their Growth counterparts in Q1 2020 and over the last year.

102


U.S. Fixed Income Markets

3.1%

8.1%

-3.6%

2.8%

-0.2%

1.2%

8.9%

13.1%

5.0%

7.0%

2.8%

6.1%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Barclays Agg.Bond

44.2%Govt

25.2%Corp.

27.9%MBS

0.4%ABS

2.2%CMBS

BLOOMBERG BARCLAYS AGGREGATE RETURNS BY SECTOR AS OF 03/31/2020

First Quarter 2020 One-YearSource: FactSet

1.8%2.8% 2.7% 2.1%

6.2%4.6%

7.0% 7.4%8.8%

19.3%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

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

BLOOMBERG BARCLAYS AGGREGATE RETURNS BY MATURITY AS OF 03/31/2020


5.8%

1.5%

-0.6%

-7.4%

-12.7%

10.5%

7.5% 7.4%

1.9%

-6.9%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

Aaa Aa A Baa High Yield

BLOOMBERG BARCLAYS AGGREGATE RETURNS BY QUALITY AND HIGH YIELD RETURNS AS OF 03/31/2020


The Bloomberg Barclays U.S. Aggregate Bond Index rose by 3.1% over the quarter, supported by Government bond’s return of 8.1%. The risk asset sell-off which tormented equity markets were also evident in the corporate bonds space, as concerns over corporate leverage that were disregarded in more benign times resurfaced. Corporate bonds underperformed with a return of -3.6%.

Performance was mixed across all credit grades. High yield bonds fell by 12.7%. Within investment grade bonds, Aaa bonds outperformed with a return of 5.8%.

Long-maturity bonds outperformed intermediate and short-maturity bonds over the quarter. Long-maturity bonds returned 6.2% while short-maturity bonds returned only 1.8% in Q1 2020.

103


U.S. Fixed Income Markets

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

Mar 10 Mar 12 Mar 14 Mar 16 Mar 18 Mar 20

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

10Y Treasury Yield

Source: U.S. Department of Treasury

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

0 5 10 15 20 25 30

Maturity (Years)

U.S. TREASURY YIELD CURVE

3/31/2019

12/31/2019

3/31/2020

Source: U.S. Department of Treasury

The U.S. nominal yield curve shifted downwards over the quarter as the combination of economic damage caused by the Pandemic and the response of easing monetary policy caused yields to fall across the curve.

The rate cuts, along with decreases in global output, caused 10-year US treasury yields to decrease by over 122 basis points to 0.70%, the first time in history it fell below 1.0%, and it remained there at the end of the quarter. The 30-year yield began the quarter at 2.39% and ended the quarter at 1.27%, a decline of 1.12%. The 30-year yield briefly closed below 1% on March 9, 2020, a sign of how stressed the outlook had become

The 10-year TIPS yield fell by 32bps over the quarter to -0.17%.

The US Federal Reserve (Fed) announced two emergency rate cuts over the quarter, lowering the Fed Funds Rate target by a total of 150bps to 0.00%-0.25%. The Federal Reserve also launch unlimited QE, and an expansion of QE into other markets, such as corporate bonds and municipal bonds. In addition to this, Congress passed a $2.2tn stimulus package, the largest bailout in US history.

104


European Fixed Income Markets

0%

5%

10%

15%

20%

25%

30%

2012 2013 2014 2015 2016 2017 2018 2019 2020

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

Spain ItalyPortugal GreeceIreland

Source: FactSet

European government bond spreads over 10-year German bunds rose across the Euro Area with core yields falling and peripheral yields rising (except Ireland). The European Central Bank (ECB) expanded its asset purchase programme and removed a self-imposed limit to buy no more than a third of any country’s eligible bond, restoring some stability to the Euro Area’s government bond market.

German government bund yields fell in line with other developed market government bond yields, falling by 30bps to -0.49% over the quarter. Germany’s annual economic growth slowed to its lowest rate in six years at 0.6% whilst it posted zero growth in Q4, hit by falling household and government consumption while capital investment in machinery and equipment fell.

Italian government bond yields rose by 6bps to 1.48% over the quarter, retracting from a nine-month high of 2.3% after it spiked by 130bps mid-March and Spanish government bond yields rose by 18bps to 0.64%. Both the countries were the worst affected by novel coronavirus in Europe and were the first to impose quarantine measures.

Greek government bond yields rose by 18bps to 1.61% over the quarter which saw the country’s 10-year yield drop below 1% mid-Feb for the first time.

105


Credit Spreads

Spread (bps) 03/31/2020 12/31/2019 03/31/2019 Quarterly Change (bps)One-Year Change

(bps)

U.S. Aggregate 95 39 44 56 51

Long Gov't 4 0 1 4 3

Long Credit 279 139 172 140 107

Long Gov't/Credit 151 79 99 72 52

MBS 60 39 35 21 25

CMBS 188 72 69 116 119

ABS 213 44 39 169 174

Corporate 272 93 119 179 153

High Yield 880 336 391 544 489

Global Emerging Markets 619 287 283 332 336

Source: FactSet, B loomberg Barclays

The rapid reassessment of the economic outlook took a dramatic toll on credit assets during the quarter. Credit spreads over U.S. Treasuries widened over the quarter.

Riskier areas of credit, such as US high yield bonds and emerging market debt, saw double digit losses due to a decrease in investors’ risk appetite. High Yield bond spreads widened significantly in Q1 2020, increasing by 544bps. This was followed by Global Emerging Markets bonds spreads, which widened by 332bps.

106


Currency

80

90

100

110

120

130

140

Mar 14 Mar 15 Mar 16 Mar 17 Mar 18 Mar 19 Mar 20

U.S. DOLLAR RELATIVE TO EUR, GBP AND JPY REBASED TO 100 AT 03/31/2014

EUR/USD

GBP/USD

JPY/USD

Source: FactSet

Stronger Dollar

Weaker Dollar

80

85

90

95

100

105

110

115

120

125

Mar 14 Mar 15 Mar 16 Mar 17 Mar 18 Mar 19 Mar 20

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

Source: Federal Reserve

The U.S. dollar generally strengthened against major currencies over the quarter as it rose 7.1% on a trade-weighted basis. U.S. dollar appreciated against euro and sterling but marginally depreciated against Japanese yen.

Sterling fell sharply over the quarter amidst “risk-off” trade flows as the coronavirus outbreak escalated. The UK’s current account deficit and its status as a relatively small open economy means that sterling is particularly exposed to international fund flows. As investor concerns over economic growth and financial market stability grew, capital flows started to dry up from the UK as investors seek “safe haven” assets such as the US dollar. Sterling depreciated by 6.4% against the U.S. dollar.

Alongside a more dovish ECB and a weaker economic outlook, the euro fell against both the US dollar and the Japanese yen, depreciating by 2.2% and 2.9% respectively. However, it rose by 4.2% against sterling.

107


Commodities

-23.3%

-11.5%

-51.1%

-18.5%

-1.1%

-9.9%

-16.8%

-7.2%

-28.1%

-22.3%

-8.3%

-52.9%

-22.7%

15.7%

-5.3%

-13.7%

-2.6%

-35.5%

-60.0% -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0%

Bloomberg Commodity Index

Ex-Energy

Energy

Industrial Metals

Prec. Metals

Agric.

Softs

Grains

Livestock

COMMODITY RETURNS AS OF 03/31/2020

First Quarter 2020

One-Year

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

Amidst Covid-19 pandemic, commodities fell sharply over the quarter which saw the Bloomberg Commodity Index tumble by 23.3%.

Energy was the worst performing sector over the quarter with a return of -51.1% as crude oil prices fell sharply following Saudi Arabia’s plans to raise production and offer deep discounts to key markets in a bid to gain market share after Russia rejected a proposal by OPEC to cut oil production. The price of Brent crude oil fell by 65.5% to $23/bbl. and WTI crude oil spot prices fell by 66.5% to $20/bbl.

Livestock (-28.1%) was the second worst performing sector in Q1 2020.

108


Hedge Fund Markets Overview

-3.4%

0.1%

-12.9%

-13.9%

-15.3%

-12.2%

-7.0%

-9.4%

-7.3%

1.4%

4.2%

-8.0%

-10.4%

-12.6%

-12.4%

-3.8%

-5.1%

-3.9%

-20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0%

Fixed Income/Convertible Arb.

Global Macro

Equity Hedge

Emerging Markets

Event-Driven

Distressed-Restructuring

Relative Value

Fund-Weighted Composite Index

Fund of Funds Composite Index

HEDGE FUND PERFORMANCE AS OF 03/31/2020

First Quarter 2020

One-Year

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

Hedge fund performance was generally negative across all strategies in the first quarter.

Over the quarter, Global Macro was the only strategy to generate marginal positive return of 0.1%. Conversely, Event-Driven and Emerging Markets were the worst performers, falling 15.3% and 13.9% respectively.

HFRI Fund-Weighted Composite Index and the HFRI Fund of Funds Composite Index produced returns of -9.4% and -7.3% respectively.

109


Private Equity Market Overview – Q4 2019 Slide 1 of 2

Fundraising: In 2019, $787.2 billion was raised by 1,725 funds, which was a decrease of 3.4% on a capital basis and a decrease of 19.2% by number of funds from the prior year. Dry powder stood at $2.2 trillion at the end of the year, an increase of 5.4% and 39.7% compared to year-end 2018 and the five year average, respectively.1

Buyout: Global private equity-backed buyout deals totaled $405.7 billion in 2019, which was down 19.9% and 5.6% from 2018 and the five year average, respectively.1 At the end of 2019, the average purchase price multiple for all U.S. LBOs was 11.5x EBITDA, up from year-end 2018’s average of 10.6x and up from the five-year average (10.6x).2 Large cap purchase price multiples stood at 11.4x, up compared to the full-year 2018 level of 10.6x.2 The weighted average purchase price multiple across all European transaction sizes averaged 11.1x EBITDA for year-end 2019, down slightly from the 11.3x multiple seen at year-end 2018. Purchase prices for transactions of €1.0 billion or more decreased from 11.7x in 2018 to 11.2x in 2019. Globally, exit value totaled $336.5 billion on 1,804 deals during the year, significantly lower than the $412.0 billion in exits from 2,369 deals during 2018.

Venture: During the year, 5,906 venture-backed transactions totaling $108.0 billion were completed, which was a decrease on a capital andnumber of deals basis over the prior year’s total of $118.4 billion across 6,452 deals. This was 34.7% higher than the five-year average of $80.2 billion.3 Total U.S. venture-backed exit activity totaled approximately $256.4 billion across 882 completed transactions in 2019, up notably from $130.2 billion across 1,015 exits in 2018.4

Mezzanine: 25 funds closed on $6.1 billion during the year. This was a significant decrease from the prior year’s total of $27.3 billion raised by 56 funds and represented a decrease of 71.5% from the five-year average of $21.1 billion. Estimated dry powder was $44.6 billion at the end of 2019, down by $18.5 billion from the prior year.

Source: Preqin

LTM Global Private Equity-Backed Buyout Deal Volume

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

$0

$100

$200

$300

$400

$500

$600

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

# of D

eals

Val

ue ($

Bill

ions

)

Deal Value ($ Billions)

Number of Deals

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

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

110


Private Equity Market Overview – Q4 2019 Slide 2 of 2

Distressed Debt: The LTM U.S. high-yield default rate was 3.3% as of December 2018, which was up from December 2018’s LTM rate of 2.4%.5 This was the highest level seen since 2016. During the year, $52.6 billion was raised by 66 funds, higher than the $41.8 billion raised by 72 funds during 2018.1 Dry powder was estimated at $117.2 billion at the end of 2019, which was down 1.0% from year-end 2018. This remained above the five-year annual average level of $101.8 billion.1

Secondaries: 30 funds raised $23.2 billion during the year, down slightly from the $23.6 billion raised by 49 funds in 2018 and down significantly from the $43.1 billion raised by 61 funds in 2017.1 The average discount rate for all private equity sectors finished the year at 8.1%, lower than the 8.9% discount at the end of 2018.6

Infrastructure: $104.5 billion of capital was raised by 107 funds in 2019 compared to $91.8 billion of capital raised by 99 partnerships in 2018. At the end of the year, dry powder stood at $212.1 billion, up from last year’s record of $177.9 billion. Infrastructure managers completed 2,608 deals for an aggregate deal value of $469.1 billion in 2019 compared to 2,749 deals totaling $406.1 billion in 2018.1

Natural Resources: During 2019, 27 funds closed on $12.1 billion compared to 51 funds totaling $22.2 billion in 2018. Energy and utilities industry managers completed 156 deals totaling $17.0 billion in 2019, compared to $34.4 billion across 155 deals in 2018.1

Source: S&P

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

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

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

8.5 x 8.8 x 8.7x 8.8x

9.8x10.3x 10.0x

10.6x 10.6x

11.5x

0.0 x

2.0 x

4.0 x

6.0 x

8.0 x

10.0 x

12.0 x

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

111


U.S. Commercial Real Estate Markets

U.S. Core Real Estate returned 0.97%* over the first quarter, equating to a 4.9% total gross return year-over-year, including a 4.2% income return. Theindustrial sector was once again the best performing sector, while retail continues perform poorly relative to other major property types. E-commercecontinues to be the primary force driving the bifurcation of performance between the industrial and retail sectors.

Global property markets, as measured by the FTSE EPRA/NAREIT Developed Real Estate Index, returned -28.3% (USD) in aggregate during the firstquarter. REIT market performance was driven by Asia Pacific (-29.1% USD), North America (-29.2% USD) and Europe (-35.0% USD). The U.S. REITmarkets (FTSE NAREIT Equity REITs Index) declined -27.3% in the first quarter. The U.S. 10-year treasury bond yield decreased 122bps to 0.70%.

The coronavirus fueled market volatility and decline in the stock and bond markets has created a situation of uncertainty for private real estate pricing.Public markets are searching for the right pricing level in light of the global pandemic, and how it will affect the regional and global economies. Newinformation and the current assessments change literally daily and often in a material amount. Considering this situation, we are recommending thatinvestments with pre-specified assets be postponed. Private market transactions based on appraisal valuations lag the most current information, and theydo not fully reflect the current market conditions..

We are proactively evolving our strategy to seek such investments. In the post-coronavirus world, supply chains may move back to North America whichwill require corresponding real estate infrastructure. Demand for last mile logistics, already a key investment theme, will accelerate. Live and workpreference changes will create opportunities. Interest rates are likely to remain lower for even longer, making real estate a very compelling alternative tofixed income investments.

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

*Indicates preliminary NFI-ODCE data gross of fees

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

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

Office Industrial Retail Apartment

1.0%4.9% 6.8% 8.5% 11.5%

-27.3%-21.3%

-3.1%-0.3%

7.4%

-30.0%-25.0%-20.0%-15.0%-10.0%-5.0%0.0%5.0%

10.0%15.0%

Q1 2020 1-Year 3-Years 5-Years 10-Years

PRIVATE VS. PUBLIC REAL ESTATE RETURNSAS OF 03/31/2020

Private (NFI-ODCEGross)*Public (NAREITGross)

*First quarter returns are preliminarySources: NCREIF, FactSet

112

Appendix

113

Fee ScheduleMarket Value

$

EstimatedAnnual Fee

$

EstimatedAnnual Fee

(%)

BlackRock MSCI US Equity Index 0.02 % of Assets 1,019,061,566 152,859 0.02

BlackRock MSCI US Small Cap Index 0.02 % of Assets 140,684,275 21,103 0.02

PIMCO Russell 2000 Passive Plus 0.02 % of Assets 151,956,425 22,793 0.02

PIMCO S&P Passive Plus 0.02 % of Assets 1,176,675,098 176,501 0.02

Allianz Global Equity 0.05 % of Assets 324,913,405 162,457 0.05

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

122,084,358 61,042 0.05

BlackRock MSCI EAFE IMI Index 0.04 % of Assets 514,921,041 205,968 0.04

PIMCO EAFE Passive Plus 0.04 % of Assets 1,255,255,306 502,102 0.04

BlackRock EM Index 0.07 % of Assets 335,060,193 234,542 0.07

DFA Emerging Markets Value I 0.54 % of Assets 118,056,626 637,506 0.54

PIMCO EM Passive Plus 0.07 % of Assets 219,501,129 153,651 0.07


Total Fund Investment Fund Fee Analysis


114


Total Fund Investment Fund Fee Analysis


Fee ScheduleMarket Value

$

EstimatedAnnual Fee

$

EstimatedAnnual Fee

(%)

BlackRock U.S. Intermediate Aggregate Index 0.02 % of Assets 889,081,420 177,816 0.02

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

393,565,185 346,783 0.09

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

476,844,714 796,056 0.17

Ryan Labs Core Fixed 0.25 % of Assets 249,918,543 624,796 0.25

Hotchkis & Wiley Cap 0.10 % of Assets 262,658,951 262,659 0.10

Oaktree High Yield 0.50 % of Assets 465,415,195 2,327,076 0.50

Allianz Loan Port 0.50 % of Assets 58,921,934 294,610 0.50

Allianz Multi Asset Long Short 0.27 % of Assets 114,667,788 309,603 0.27

AQR Global Alt Premia Offshore Fund 0.50 % of Assets 94,848,955 474,245 0.50

BlackRock Global Allocation 0.04 % of Assets 463,956,968 185,583 0.04

Cantab 0.60 % of Assets 199,025,992 1,194,156 0.60

PIMCO Opp I 0.50 % of Assets 16,727,434 83,637 0.50

PIMCO Opp II 0.50 % of Assets 21,194,594 105,973 0.50

PIMCO Opp III 0.50 % of Assets 78,230,818 391,154 0.50

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

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

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

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

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

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

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

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

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

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

annually.

115

Performance Return Calculations

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

Data Source

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

Illiquid Alternatives

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

Manager Line Up

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

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Data Sources and Methodology


Policy & Custom Index Composition

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

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

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

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

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

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

Other Disclosures

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

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

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

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

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

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

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

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

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

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

International Equity:Benchmark: MSCI EAFE IMI (Net)

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

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

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Emerging Market Equity:Benchmark: Emerging Markets Benchmark

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

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

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

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

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

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

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

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

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

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

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

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

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

Loans:Benchmark: S&P Leveraged Loan Index

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

Opportunistic:Benchmark: Balanced Benchmark

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

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

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

Cantab:Benchmark: Balanced BenchmarkUniverse: No suitable universe is available

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

Total Private AssetsBenchmark: SDCERA Private Assets Benchmark

Real EstateBenchmark: NCREIF ODCE

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Private EquityBenchmark: MSCI AC World IMI (Net)

Private Real AssetsBenchmark: MSCI AC World IMI (Net)

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

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

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

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

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

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

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

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

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

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

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

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

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

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agencies and quasi-federal corporations.

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

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

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

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

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

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

another in the wholesale money market.

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CountrySDCERA Public Equity

AllocationMSCI All Country World IMI Index

Difference

United States 51.1% 55.8% -4.8%U.S. Equity 51.1% 55.8% -4.8%Australia 2.0% 1.8% 0.3%Austria 0.1% 0.1% 0.0%Belgium 0.3% 0.3% 0.0%Canada 0.2% 2.8% -2.6%Denmark 0.7% 0.6% 0.1%Finland 0.3% 0.3% 0.0%France 3.8% 2.9% 0.9%Germany 2.8% 2.4% 0.5%Hong Kong 1.3% 1.0% 0.3%Ireland 0.2% 0.2% 0.1%Israel 0.2% 0.2% 0.0%Italy 0.9% 0.7% 0.2%Japan 9.5% 8.1% 1.4%Netherlands 1.4% 1.1% 0.3%New Zealand 0.1% 0.1% 0.0%Norway 0.3% 0.2% 0.0%Portugal 0.1% 0.1% 0.0%Singapore 0.4% 0.4% 0.0%Spain 0.9% 0.7% 0.2%Sweden 1.0% 1.0% 0.0%Switzerland 3.6% 3.0% 0.7%United Kingdom 5.2% 4.5% 0.7%Non-U.S. Equity: Developed 35.5% 32.3% 3.2%Brazil 0.7% 0.6% 0.1%Chile 0.1% 0.1% 0.0%China 5.2% 4.5% 0.7%Czech Republic 0.0% 0.0% 0.0%Egypt 0.0% 0.0% 0.0%Greece 0.0% 0.0% 0.0%Hungary 0.0% 0.0% 0.0%India 0.0% 0.0% 0.0%Indonesia 1.1% 1.0% 0.1%Korea 0.2% 0.2% 0.0%Malaysia 1.6% 1.5% 0.1%Mexico 0.3% 0.2% 0.0%Pakistan 0.3% 0.2% 0.0%Peru 0.0% 0.0% 0.0%Philippines 0.0% 0.0% 0.0%Poland 0.1% 0.1% 0.0%Qatar 0.1% 0.1% 0.0%Russia 0.1% 0.1% 0.0%Saudi Arabia 0.2% 0.4% -0.2%South Africa 0.5% 0.4% 0.1%Taiwan 1.8% 1.6% 0.2%Thailand 0.3% 0.3% 0.0%Turkey 0.1% 0.1% 0.0%United Arab Emirates 0.1% 0.1% 0.0%Other Countries 0.7% 0.3% 0.4%Non-U.S. Equity: Emerging Markets 13.4% 11.8% 1.6%Total Public Equity 100% 100% --

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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Glossary


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

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

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

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

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

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Benchmark Descriptions

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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


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

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


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

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

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

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

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

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

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

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

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

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

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

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

Past performance is no guarantee of future results.

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

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

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

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

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Notes


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Past performance is not necessarily indicative of future results.

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

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

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

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

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

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

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

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

Disclaimer

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quarterly investment review - sdcera · 2020. 6. 18. · burgiss private iq global private equity3...

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