oregon savings growth plan advisory committeenov 27, 2018 · retirement plans. the workers, who...

OREGON SAVINGS GROWTH PLAN ADVISORY COMMITTEE

4th QUARTER 2018

November 27, 2018 9:30 A.M.

Keizer Community Center 930 Chemawa Rd NE

Keizer, OR 97303

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November 27, 2018 – 9:30 a.m.

Keizer Community Center – Keizer, Oregon

Meet and Greet 8:30 a.m.

I. Introduction Mark Carlton 9:30 a.m.

II. Approval of Minutes Mark Carlton a. Carry-over to 2/20/2019

meeting

III. Old Business Mark Carlton

IV. Information Items 9:45 a.m.

A. Q3 2018 Service Review Brian Merrick, Voya B. Q3 2018 Performance Report Anne Heaphy, Ben Taylor, Uvan Tseng C. Treasury Update Wil Hiles, Treasury D. OSGP Update Roger Smith, OSGP

a. 2019 meetings going electronic – materials in PowerPoint format

b. Committee member outreach E. Outreach Team Update Gladys Salquero, Voya

F. Communications Update Jennifer Moran, Voya a. Annual participant statements

V. New Business Mark Carlton 11:00 a.m.

VI. Public Comment Mark Carlton 11:15 a.m.

VII. Adjournment Mark Carlton 11:30 a.m.

Next meeting: February 20, 2019

Hard copies of the materials are made available to the Committee and to the public at OSGP About Us. If you have a disability that requires any special material, services or assistance please call

1-888-320-7377 at least 48 hours before the meeting. OSGP Advisory Committee Members

Mark Carlton, Chair Kevin Nordhill

Celeste VanCleave Thomas Poon Richard Bailey Brady Boothe

mailto:[email protected]

https://public.govdelivery.com/accounts/ORPERS/subscriber/new

https://www.oregon.gov/pers/OSGP/Pages/Advisory-Committee-Meeting-Schedule.aspx

Oregon Savings Growth PlanThird Quarter Service Review

Do not put content on the brand signature area

For Plan Sponsor use only

Table of contents

1. Voya Update2. Executive Summary3. Outreach Team Update4. Communications Update

2

Q3 2018 Report5.

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Voya Update

3


New & Noteworthy Recognition of Voya

Voya is focused on making a difference that matters. A passion for doing the right thing, the right way, and making a difference in the lives of our customers.

DALBAR Recognition1

WealthManagement.com

Industry Awards3

Best Place to Work for

Disability Inclusion4

Institutional Investor DC

Industry Leader2

For plan sponsor use only. Not for use with participants. Products and services offered through the Voya® family of companies

1 Voya recognized for digital retirement-planning excellence by DALBAR, https://www.businesswire.com/news/home/20181016005089/en/

2 2018 DC Industry Leaders, https://www.institutionalinvestor.com/research/8293/

Methodology

3 2018 Wealth Management Industry Award Winner for CSR/ Diversity,

https://events.wealthmanagement.com/categories/

4 2018 DEI Best Places to Work, https://disabilityequalityindex.org/Results

Ranked #2

recordkeeper

DALBAR recognized Voya for its Retirement Mobile App, Participant Website, Web Enrollment Experience and Mobile Website

4

Voya.com

Why Voya was recognized“Voya continues to demonstrate its commitment to providing a superior standard of care when it comes to their customer communication channels,” said Shelley Eramo, director at DALBAR.

Voya® participant resources: Highly ranked among financial services communications

171347 3035375.X.G-3 © 2018 Voya Services Company. All rights reserved. CN1019-45772-1119D

1 DALBAR, Inc. is a leading financial services market research firm that performs a variety of ratings and evaluations of practices and communications, committed to raising the standards of excellence in the financial services and healthcare industries.

Industry-leading tools for a secure financial future

Voya Financial®’s participant website earned the DALBAR1 Seal of Communications Excellence for the eighth consecutive year. The Voya website can help participants effectively and efficiently monitor and manage their retirement accounts.

Voya’s mobile website was recognized with the DALBAR Seal for Communication Excellence for the first time.

The Voya Retirement mobile app, recently enhanced with myOrangeMoney®, was awarded the DALBAR Seal of Communications Excellence for the third consecutive year. The seal recognizes best practices in plan participant communications. This recognition underscores the positive impact the myOrangeMoney experience — available to millions of America’s retirement savers — can have to help individuals prepare for retirement.

Voya’s Web Enrollment Experience was awarded the 2018 First Impressions seal for online enrollment. This new recognition reviewed the “State of the Industry” with respect to the online participant enrollment process, measuring the success of the efforts providers put forth in ensuring that they are offering a clear, engaging and seamless experience.

Applying technology to provide solutions Voya invests in research and technology to create meaningful solutions and tests them in the real world. Voya’s top rank affirms its dedication to helping Americans become financially and emotionally ready for retirement.

You can contact your Voya representative for more information.

5

Small Digital Design Enhancements to the Online Enrollment Experience Can Improve Retirement Outcomes — Similar to Dramatically Raising the Company’s Match Limit

Summary

When it comes to an employee’s financial well-being in retirement, many of the most critical decisions are made during the initial enrollment process. To help nudge workers in a positive direction, the retirement industry has historically focused its attention on instituting automatic enrollment and providing generous match incentives. However, recent research from The Voya Behavioral Finance Institute for Innovation suggests another promising opportunity — one that could be even more attractive to an employer that is not in a position to increase the generosity of its match or change its plan design.

In a new working paper titled Save(d) by Design, researchers from Carnegie Mellon University, City, University of London and UCLA conducted a field study¹ involving more than 8,500 employees across 500 workplace retirement plans. The workers, who were scheduled to be auto-enrolled into their employer-sponsored 401(k) plan, were visiting their online enrollment website to either confirm, decline or make personal adjustments to their savings selection. The study examined the impact of the following three design changes on the enrollment choices of employees:

Moving important plan information closer to wherethe individual is being prompted to act

Simplifying and standardizingthe language of the enrollment options

Changing from a single color design on all buttons to using three “traffic light” colors

Enrollment screen

Enrollment screen

Do it for MeDo it Myself I Don’t Want to Save

If you confirm your automatic enrollment you will be enrolled at a savings rate of 3 percent

you will be enrolled at

I want to personalize my enrollmentby selecting a different savings rate

or investment option.

I want my auto enrollment to go through atthe savings rate chosen by my employer.

I want to cancel my auto enrollmentand not save at this time.

6

Key insightsMaking relatively small design changes to a retirement plan’s enrollment website can lead to greater personalized enrollment, match take up, average savings, and improved long-term financial security.2

3052990.C.G CN1024-45881-1119D

1 Saurabh Bhargava, Lynn Conell-Price, Richard T. Mason, and Shlomo Benartzi. “Save(d) by Design,” Working Paper, October 2018. SSRN: 32378202 The tested enhanced design led to a 9 percentage point increase in the share of employees who personalized enrollment (on a baseline of 60 percent), an 11

percentage point increase in the share of employees taking full advantage of their employer match (on a baseline of 58 percent), and 62 basis point increase in the average contribution rate by employees (on a baseline of 5.41 percent of income). Available at SSRN: https://ssrn.com/abstract=3237820

For plan sponsor/intermediary use only.

The Voya Behavioral Finance Institute for Innovation

The Voya Behavioral Finance Institute for Innovation, now celebrating its two year anniversary, is focused on gaining deeper insights into the decisions of Americans regarding their financial and retirement planning activities. As we look to the future of the retirement industry, the goal of the Institute is to conduct pioneering studies and test novel concepts that could translate into largescale solutions capable of helping Americans retire better in the digital age.

1. Greater Enrollment Personalization: As a result of simple website design enhancements,the share of employees who personalized their enrollment increased by 15 percent. Amongpersonalizers, the average contribution rate is 7.8 percent, compared to the rate of 3.4 percentamong those who accept auto-enrollment.

2. Greater Take-Up of Full Company Match: The design enhancements resulted in a 19 percentincrease in the share of employees taking advantage of the company’s full match benefit. Wealso found that an optimized enrollment design can actually increase the effectiveness of existingmatching incentives.

3. Greater Plan Savings and Improved Retirement Security: The design changes also led to anincrease in savings levels, boosting the average contribution rate by 62 basis points, or roughly10 percent across all digital enrollees. That boost in savings is equivalent to what one wouldpredict from increasing the typical employer match by 62 percent. Because of the “stickiness” ofan employee’s initial contribution decisions, these increases in contributions due to design canlead to meaningful improvements to long-term retirement security.

ConclusionIf a company is looking to improve participant savings, and an individual's long-term retirement security, as well as overall plan engagement, making small digital adjustments to an enrollment website can be a powerful strategy. By enhancing the online enrollment architecture in this manner, companies can generate improvements to retirement outcomes that are similar to the results of a dramatic match increase.

Voya Financial has applied these findings to its own enrollment process — in June of 2018 it began introducing newly-designed screens to clients that are influenced by this research.

We encourage plan sponsors and advisors to explore the potential benefits that come with a deeper understanding of digital design.

To learn more or read the full working paper, visit voya.com/behavioralfinance.

15%

19%

10%

7


Information contained herein is proprietary, confidential and non-public and is not for public release.

Co-Browse


Improved Collaboration with Participants

• Online participants quickly abandon websites whenthey cannot find information or complete a webform or transaction. Without an agent ready to help,businesses lose potential participant engagement.

The Problem

• Co-browse secures online participants engagementby offering real-time guidance and joint navigationof the webpage, in conjunction with phone <andchat> support, in order to locate neededinformation or finish a complicated web form ortransaction.

Co-Browse Solution

9


Co-Browse Overview

Co-browse lets plan participants browse and navigateVoya’s Participant Website (Pweb) with CustomerService Associates (CSA) in conjunction with phonesupport

Co-browse helps agents to provide more effective,personalized online assistance

It can be requested by the participant or proactivelyoffered by a CSA

Allows Voya CSAs to point at the screen using pointingdevice or highlight relevant content

10


Security

Technology Controls Our Co-browse technology limits CSAs

ability to operate HTML objects;grayed out radio buttons, lists orsubmit buttons

Co-browse is limited to the VoyaPweb, anything else on theparticipants desktop is blocked

Data masking; sensitive data likesocial security numbers, passwords orbanking account number, cannot beviewed by the CSA

Data encryption; Support for HTTPSand TLS

Recording; just like phone calls, all co-browse activity is recorded and storedby Voya

Participant Controls The participant must initiate a Co-

browse session The participant can cancel a Co-

browse session at any time Co-browse ends automatically at the

end of a voice interaction

11


Co-Browse can be accessed on any page on Pweb by selecting the Live Assistance icon. A pop-up window allows the participant to start a Co-browse session.

Co-Browse Screens

12


Participant may close Co-browse at any time.

The participant reads the unique session ID to the CSA to start the session.

Co-Browse Screens

13


Executive Summary


Executive Summary

Assets and Cash Flow– Total plan assets = $2.3 billion as of September 30, 2018– Net cash flow was a positive $14.6 million

Rollover in contributions were $17 million Participants with Roth elections 4,346 Roth contributions were $2.4 million for the quarter

Investment Composition– The LifePath Options hold 32% of plan assets– The Small Company Stock Option is second with 13% of plan assets, average balance of $25,100– The Socially Responsible Option had 1,486 participants with a balance, average balance of $9,986– The SCHWAB Brokerage account had 215 participants with a balance, average balance of $71,752

Participant Activity – Web visitors averaged 2,106 web-based transactions each month– PSR transactions averaged 456 per month– Mobile transactions averaged 98 per month

15


Oregon Digital Engagement Report 7/1/2018-9/30/2018

Retirement Calculator Engagement

29% of participants took action after using myOrangeMoney

1,306 participants changed deferral amount on average from $403 to $517

629 participants changed fund allocation

2 participants rolled money into plan

Personal Financial Dashboard Engagement

• 19% of participants took action after using the PFD

43 participants changed deferral amount on average from $397 to $465

21 participants changed fund allocation

Activity # of Participants

Used the Personal Financial Dashboard (PFD) 272

Created an action plan 105 (39%)

Took action after using PFD 52 (19%)

Activity # of Participants

Logged in with access to myOrangeMoney 10,707

Viewed the myOrangeMoney 8,143 (76%)

Engaged and interacted with myOrangeMoney 5,681 (70%)

Took Action after using myOrangeMoney 1,638 (29%)

16


Rollover Summary Q3 2018

Institution # of Rollovers % of Total $ Rolled

PERS Purchase of Service 99 46% $5,377,623

Edward Jones 12 6% $544,405

Charles Schwab 7 3% $650,201

Pershing 6 3% $323,649

TD Ameritrade 6 3% $617,704

All Others 83 39% $7,546,729


IAP 166 56% $12,645,213

All Others 128 44% $4,169,373

OSGP Rollovers Out

OSGP Rollovers In


OSGP 166 9% $12,645,213

All Others 1,770 91% $113,534,933

IAP Rollovers Out

17


For Plan Sponsor use only

Net Cash Flow and Earnings by Quarter

4Q 2017 1Q 2018 2Q 2018 3Q 2018 Last 12 months

Beginning Balance 2,058,121,477$ 2,147,708,089$ 2,141,926,337$ 2,193,773,585$ 2,058,121,477$

Net Cash Flow 6,869,703$ 7,929,662$ 3,770,451$ 14,678,035$ 33,247,851$

Investment Earnings 82,716,909$ (13,711,414)$ 48,076,797$ 82,149,632$ 199,231,924$

Ending Balance 2,147,708,089$ 2,141,926,337$ 2,193,773,585$ 2,290,601,252$ 2,290,601,252$

18


Participant Status Summary

As of September 30, 2018

58%

16%

0%5%

21%Active, Contributing

Active, NotContributing

Suspended

Terminated,ReceivingInstallments

Participant Status Number of Participants

Active, Contributing 17,745

Active, Not Contributing 4,926

Suspended 58

Terminated, Receiving Installments 1,399

Terminated with a Balance 6,532

Total: 30,660

As June 30, 2018

60%

14%

0%5%

21%Active, Contributing

Active, NotContributing

Suspended

Terminated,ReceivingInstallments

Participant Status Number of Participants

Active, Contributing 17,950

Active, Not Contributing 4,267

Suspended 56

Terminated, Receiving Installments 1,373

Terminated with a Balance 6,489

Total: 30,135

19


Outreach Team Update


Outreach Activities

Employer

Contact

Visits

Presentations Group

Meetings

Group

Meeting

Attendance

Benefits

Fairs

150

1-on-1s Presentation

Attendance

Phone

Meetings

100 809 81 299 18 507 123

21


Communications Update

2018 Projects in Review

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

• Expo Agency Kits Mailed Out

• Expo Planning + Promotion• Expo activity

planning/execution• Expo email signature banner

linking to signup launched• Expo site for signup created

and launched• First round of educational

rep introduction mailing

campaign

• Q2 Plan Update Mailing• Special Plan Update• VRA Rollout and

Communications

• Save More Campaign begins

• Online Q3 Plan Update• Online Statements Q3• Roth Comparison Flyer• Education Rep Intro

Campaign completed

• ExpoSignage/tablecloths/giveaways/prizes finalized and ordered

• Expo Survey built + deployed

• EXPO• Forms Revision• Flyers Revision• Strategy

Planning for2019

• Limit Change

Postcards

• Forms + FlyersCataloguing

• Q4 Plan UpdateMailing withStatements and

• How to Read YourStatement Flyermailing in January

• Q4 Plan Update andStatements Mailed

• growyourtomorrow.com launched

• Agency Kits Mailed Out• Electronic Q1 Plan Update• Expo Theme and Design

completed

• Forms revision• Education Rep

individual + teamflyers developed

• Loan Flyer• Managed

Accounts Flyer

• Asset AllocationWorksheet

• PERS new logocompleted

Monthly growyourtomorrow.com

updates/maintenance

23


Third Quarter 2018

Cash Flow SummaryPeriod Ending September 30, 2018

OREGON SAVINGS GROWTH PLAN

Cash In 22,901,572.27Employee Before-tax Contributions

Employee After-tax Contributions 0.00

2,415,268.40Roth 457 Contributions

Roth 457 Conversion 50,097.24

Roth Qual Plan Conversion 0.00

16,845,274.09Rollover Contributions

0.00Employer Contributions

Loan Repayments 1,346,696.77

Conversions In 38,227.79

Transfers In 84,924,399.04

2,208,935.33Other

Total Cash In $130,730,470.93

Cash Out 1,005,233.08Withdrawals

5,748,226.71Installment Payments

20,976,521.81Terminations

1,605,880.95Loans Issued

Conversions Out 1,868.98

20,053.98Fees

Transfers Out 84,533,346.40

2,208,935.33Other

($116,100,067.24)Total Cash Out

$14,630,403.69 Net Cash Flow

0M

10M

20M

30M

40M

50M

60M

70M

10/2

017

11/2

017

12/2

017

01/2

018

02/2

018

03/2

018

04/2

018

05/2

018

06/2

018

07/2

018

08/2

018

09/2

018

Cash In Cash Out Net Cash

$32,141,875.33 $24,360,788.58 $7,781,086.75Oct 2017

$29,455,663.38 $26,816,355.64 $2,639,307.74Nov 2017

$29,642,045.41 $33,067,489.80 -$3,425,444.39Dec 2017

$52,740,242.90 $51,889,229.71 $851,013.19Jan 2018

$48,093,055.83 $44,822,278.37 $3,270,777.46Feb 2018

$34,696,239.18 $30,858,507.47 $3,837,731.71Mar 2018

$25,811,634.33 $25,535,776.40 $275,857.93Apr 2018

$25,391,460.29 $22,709,978.36 $2,681,481.93May 2018

$28,219,707.67 $27,367,243.43 $852,464.24Jun 2018

$37,584,259.70 $67,528,051.07 -$29,943,791.37Jul 2018

$45,252,251.48 $7,023,790.99 $38,228,460.49Aug 2018

$47,893,959.75 $41,548,225.18 $6,345,734.57Sep 2018

$436,922,395.25 $403,527,715.00 $33,394,680.25

25

Investment Balances by QuarterPeriod Ending September 30, 2018


Q4 2017 Q1 2018 Q2 2018 Q3 2018

SHORT TERM FIXED OPTION $45,501,334.78 $48,765,962.82 $50,217,898.41 $50,339,969.32

STABLE VALUE OPTION $209,016,762.63 $212,980,973.95 $213,648,261.04 $217,867,543.63

LIFEPATH RETIREMENT FUND $197,348,614.30 $196,830,971.35 $195,632,322.51 $195,818,560.71

LIFEPATH 2020 FUND $142,576,805.15 $142,109,753.01 $142,337,412.77 $143,419,033.52

LIFEPATH 2025 FUND $104,146,041.93 $105,512,031.68 $108,383,758.18 $111,118,493.53

LIFEPATH 2030 FUND $74,832,482.05 $76,964,543.46 $79,902,852.81 $82,128,647.51

LIFEPATH 2035 FUND $55,227,937.91 $56,381,955.24 $58,855,009.58 $60,990,605.96

LIFEPATH 2040 FUND $36,574,887.96 $37,007,250.86 $39,287,851.71 $41,627,629.71

LIFEPATH 2045 FUND $24,492,817.46 $24,266,431.42 $25,674,673.92 $27,200,096.00

LIFEPATH 2050 FUND $21,778,472.31 $22,437,575.06 $23,288,555.74 $24,040,145.07

LIFEPATH 2055 FUND $8,050,315.65 $8,469,137.02 $8,704,556.31 $9,137,490.03

LIFE PATH 2060 $4,265,482.77 $4,504,606.01 $5,086,817.00 $5,195,890.42

ACTIVE FIXED INCOME OPTION $115,491,315.58 $112,346,978.87 $110,966,980.34 $116,491,309.41

REAL RETURN OPTION $3,486,781.41 $3,994,376.41 $4,127,246.14 $4,399,927.76

SOCIALLY RESPONSIBLE INV OPT $10,465,548.66 $11,548,480.40 $12,097,952.97 $14,840,421.41

LARGE COMP VALUE STOCK OPTION $199,538,949.61 $189,528,318.93 $189,865,011.56 $202,357,426.96

STOCK INDEX OPTION $249,498,130.43 $244,864,638.93 $253,577,604.38 $271,068,736.72

LARGE COMP GROWTH STOCK OPTION $233,014,949.22 $235,522,873.59 $249,253,270.24 $277,329,127.66

INTERNATIONAL STK OPTION $121,714,238.90 $122,856,289.34 $117,134,733.35 $117,725,597.06

Investment Name

26

Q4 2017 Q1 2018 Q2 2018 Q3 2018

SMALL COMPANY STOCK OPTION $267,212,691.50 $259,155,787.48 $278,463,185.60 $288,827,598.87

SCHWAB PCRA $10,658,491.84 $12,804,602.60 $14,183,541.70 $15,426,840.50

27

Asset Class by QuarterPeriod Ending September 30, 2018


Q4 2017 Q1 2018 Q2 2018 Q3 2018

International Equity $121,714,238.90 $122,856,289.34 $117,134,733.35 $117,725,597.06

Lifestyle/Balanced $669,293,857.49 $674,484,255.11 $687,153,810.53 $700,676,592.46

Stable Value/Money Market $254,518,097.41 $261,746,936.77 $263,866,159.45 $268,207,512.95

Stock Index $485,999,861.06 $484,381,888.93 $506,958,120.76 $552,797,792.14

US Fixed Income $115,491,315.58 $112,346,978.87 $110,966,980.34 $116,491,309.41

US Large Cap Equity $210,004,498.27 $201,076,799.33 $201,962,964.53 $217,197,848.37

US Small Cap Equity $267,212,691.50 $259,155,787.48 $278,463,185.60 $288,827,598.87

Asset Class

28

Contributions by FundPeriod Ending September 30, 2018


Q4 2017 Q1 2018 Q2 2018 Q3 2018

ACTIVE FIXED INCOME OPTION $1,792,670.35 $1,540,340.56 $1,275,082.15 $1,770,468.64

INTERNATIONAL STK OPTION $2,199,478.44 $2,116,062.31 $1,953,632.84 $1,953,699.82

LARGE COMP GROWTH STOCK OPTION $3,434,815.90 $3,266,226.34 $3,292,928.06 $3,792,987.01

LARGE COMP VALUE STOCK OPTION $3,223,551.96 $3,129,130.37 $2,700,456.09 $3,598,202.48

LIFE PATH 2060 $245,248.85 $345,432.98 $363,163.87 $358,111.38

LIFEPATH 2020 FUND $3,666,549.59 $5,284,012.28 $3,011,604.20 $3,623,020.67

LIFEPATH 2025 FUND $3,557,380.86 $3,656,100.84 $2,999,083.30 $3,297,690.44

LIFEPATH 2030 FUND $3,052,632.69 $2,591,474.01 $2,249,037.67 $2,517,812.26

LIFEPATH 2035 FUND $2,282,318.24 $1,924,465.24 $1,993,363.25 $1,949,458.51

LIFEPATH 2040 FUND $1,596,200.38 $1,409,633.08 $1,630,494.68 $2,003,783.82

LIFEPATH 2045 FUND $1,204,011.79 $1,085,610.35 $1,271,381.97 $1,243,608.14

LIFEPATH 2050 FUND $928,477.01 $833,966.59 $902,692.03 $958,626.42

LIFEPATH 2055 FUND $417,560.21 $480,336.40 $405,397.68 $602,741.89

LIFEPATH RETIREMENT FUND $2,833,753.15 $3,374,818.00 $1,587,903.13 $2,004,216.33

REAL RETURN OPTION $182,850.68 $154,344.81 $107,223.59 $166,256.66

SHORT TERM FIXED OPTION $890,219.48 $1,405,376.71 $870,641.48 $1,042,662.67

SMALL COMPANY STOCK OPTION $3,292,128.31 $3,784,141.58 $3,404,429.61 $3,437,358.78

SOCIALLY RESPONSIBLE INV OPT $460,551.62 $587,954.49 $392,408.29 $524,507.39

STABLE VALUE OPTION $2,490,751.55 $3,380,244.01 $2,340,816.62 $2,991,827.12

Investment Name

29

Q4 2017 Q1 2018 Q2 2018 Q3 2018

STOCK INDEX OPTION $3,584,333.98 $3,552,030.94 $3,326,677.56 $4,375,059.08

Total 41,335,485.04 43,901,701.89 36,078,418.07 42,212,099.51

30

Contributions by SourcePeriod Ending September 30, 2018


July 2018 August 2018 September 2018 Total

Employee Before-tax Contributions $8,220,432.28 $7,416,661.84 $7,264,016.60 $22,901,110.72

Rollover Contributions $5,004,722.37 $4,767,730.91 $7,072,820.81 $16,845,274.09

Roth 457 Contributions $822,492.02 $794,542.03 $798,234.35 $2,415,268.40

Roth 457 Conversion $6,995.10 $38,552.14 $4,437.51 $49,984.75

Total $14,055,103.32 $13,017,486.92 $15,139,509.27 $42,212,099.51

Source Name

Q4 2017 Q1 2018 Q2 2018 Q3 2018 Total

Employee Before-tax Contributions $22,430,666.87 $21,958,353.23 $22,846,871.75 $22,901,110.72 $90,137,002.57

Rollover Contributions $16,861,317.80 $19,780,523.84 $10,831,594.43 $16,845,274.09 $64,318,710.16

Roth 457 Contributions $1,997,510.29 $2,081,594.02 $2,290,029.26 $2,415,268.40 $8,784,401.97

Roth 457 Conversion $26,883.88 $44,839.60 $96,014.89 $49,984.75 $217,723.12

Roth Qual Plan Conversion $2,790.72 $30,000.00 $0.00 $0.00 $32,790.72

Total $41,335,485.04 $43,901,701.89 $36,078,418.07 $42,212,099.51 $163,527,704.51

Source Name

31

Before-Tax Contribution Amount Summary Period Ending September 30, 2018


0

2,000

4,000

6,000

8,000

10,000

12,000

< 1

0

10-1

9

20-2

9

30-3

9

40-4

9

50-5

9

60-6

9

70-7

9

80-8

9

90-9

9

100-

999

1000

-199

9

2000

-299

9

3000

-399

9

4000

-499

9

5000

-599

9

6000

-699

9

7000

-799

9

8000

-899

9

9000

-999

9

<=

100

00

1 11

1,26

8

156

84

1,69

7

78

520

59 16

11,4

77

1,88

6

723

118

33 16 6 4 2 5 5

Contribution Dollars

Nu

mb

er o

f P

arti

cip

ants

Total Number of Participants: 18,165

32

Roth Contribution Amount Summary As of September 30, 2018


0

400

800

1,200

1,600

2,000

2,400

2,80010

-19

20-2

9

30-3

9

40-4

9

50-5

9

60-6

9

70-7

9

80-8

9

90-9

9

100-

999

1000

-199

9

2000

-299

9

3000

-399

9

6000

-699

9

7

571

57 30

758

25

151

16 7

2,55

3

121

42 7 1

Contribution Amount

Nu

mb

er o

f P

arti

cip

ants

Total Number of Participants: 4,346

33

Average Contribution AmountPeriod Ending September 30, 2018


0

100

200

300

400

500

600

700

800

< 21 21-30 31-40 41-50 51-60 61 +

$75.

00

$163

.78 $2

72.1

2 $385

.70

$552

.72

$746

.34

Before-tax $

Age Group

Ave

rage

Am

ount

$75.00< 21$163.7821-30$272.1231-40$385.7041-50$552.7251-60$746.3461 +

$454.43Average

34

Participants with Balances by Number of InvestmentsPeriod Ending September 30, 2018


13.91%11.12%

10.66%9.69%

6.91%4.67%2.94%2.01%1.87%

36.23%

1 111092 42653 34094 32675 29726 21187 14338 9009 61510 or More 572

Total: 30660

Number ofInvestments

Number ofParticipants

Average Number of Funds: 3

35

Participants with a Balance in a Single InvestmentPeriod Ending September 30, 2018


0

200

400

600

800

1,000

1,200

1,400

SH

OR

T T

ER

M F

IXE

D O

PT

ION

ST

AB

LE V

ALU

E O

PT

ION

LIF

EP

AT

H R

ET

IRE

ME

NT

FU

ND

LIF

EP

AT

H 2

020

FU

ND

LIF

EP

AT

H 2

025

FU

ND

LIF

EP

AT

H 2

030

FU

ND

LIF

EP

AT

H 2

035

FU

ND

LIF

EP

AT

H 2

040

FU

ND

LIF

EP

AT

H 2

045

FU

ND

LIF

EP

AT

H 2

050

FU

ND

LIF

EP

AT

H 2

055

FU

ND

LIF

E P

AT

H 2

060

AC

TIV

E F

IXE

D IN

CO

ME

OP

TIO

N

RE

AL

RE

TU

RN

OP

TIO

N

SO

CIA

LLY

RE

SP

ON

SIB

LE IN

V O

PT

LAR

GE

CO

MP

VA

LUE

ST

OC

K O

PT

ION

ST

OC

K IN

DE

X O

PT

ION

LAR

GE

CO

MP

GR

OW

TH

ST

OC

K O

PT

ION

INT

ER

NA

TIO

NA

L S

TK

OP

TIO

N

SM

ALL

CO

MP

AN

Y S

TO

CK

OP

TIO

N

SC

HW

AB

PC

RA

184

698

846

707

985

1,145

1,2951,352

1,300

901

450

304

10112 48 73

278205

39

182

4

Num

ber

of P

artic

ipan

ts

36

Loan Summary


Period Ending September 30, 2018

Total Participants with Loans: 1,724

Total Number of Outstanding Loans: 1,724

Number of General Loans: 1,645

Number of Residential Loans: 79

Total Outstanding Loan Balance: $12,775,740.85

General Loan Balance: $11,549,177.96

Residential Loan Balance: $1,226,562.89

Number of Re-amortized Loans during the period: 1

Number of Loan Defaults during the period: 0

37

Balances by Investment


As of September 30, 2018

Average Participant

Percentage of Plan AssetsInvestment BalanceInvestment

Number of Participants

SHORT TERM FIXED OPTION $50,339,969.32 $15,508.31 2.21%3,246STABLE VALUE OPTION $217,867,543.63 $29,497.37 9.57%7,386LIFEPATH RETIREMENT FUND $195,818,560.71 $52,246.15 8.60%3,748LIFEPATH 2020 FUND $143,419,033.52 $44,402.18 6.30%3,230LIFEPATH 2025 FUND $111,118,493.53 $31,424.91 4.88%3,536LIFEPATH 2030 FUND $82,128,647.51 $23,559.57 3.61%3,486LIFEPATH 2035 FUND $60,990,605.96 $17,817.88 2.68%3,423LIFEPATH 2040 FUND $41,627,629.71 $13,308.07 1.83%3,128LIFEPATH 2045 FUND $27,200,096.00 $10,153.08 1.19%2,679LIFEPATH 2050 FUND $24,040,145.07 $11,469.53 1.06%2,096LIFEPATH 2055 FUND $9,137,490.03 $8,209.78 0.40%1,113LIFE PATH 2060 $5,195,890.42 $7,508.51 0.23%692ACTIVE FIXED INCOME OPTION $116,491,309.41 $17,575.64 5.12%6,628REAL RETURN OPTION $4,399,927.76 $6,929.02 0.19%635SOCIALLY RESPONSIBLE INV OPT $14,840,421.41 $9,986.82 0.65%1,486LARGE COMP VALUE STOCK OPTION $202,357,426.96 $19,498.69 8.89%10,378STOCK INDEX OPTION $271,068,736.72 $27,578.47 11.90%9,829LARGE COMP GROWTH STOCK OPTION $277,329,127.66 $23,646.75 12.18%11,728INTERNATIONAL STK OPTION $117,725,597.06 $12,149.18 5.17%9,690SMALL COMPANY STOCK OPTION $288,827,598.87 $25,100.17 12.68%11,507SCHWAB PCRA $15,426,840.50 $71,752.75 0.68%215

Total Investment Balance: $2,277,351,091.76

$12,882,264.00Total Loan Fund:

38

Balance by Participant StatusPeriod Ending September 30, 2018


Participant Status Participant Balance

51%7%0%0%9%

33%

Active Contributing

Active, Not Contributing

Eligible, Not Participating

Suspended

Terminated, ReceivingInstallmentsTerminated with aBalance

$1,163,938,369.48Active Contributing

Active, Not Contributing

Suspended

Terminated, Receiving Installments

Terminated with a Balance

$3,350,864.70

$196,998,464.04

$767,328,630.08

Total: $2,290,539,988.50

158,923,660.20

39

Asset Class SummaryPeriod Ending September 30, 2018


0M

100M

200M

300M

400M

500M

600M

700M

800M

StableValue/Money

Market

US FixedIncome

LifestyleBalanced

US Large CapEquity

US Small CapEquity

InternationalEquity

Stock Index

$268

,207

,513

$116

,491

,310

$700

,676

,592

$217

,197

,848

$288

,827

,599

$117

,725

,597

$552

,797

,792

To

tal B

alan

ce

40


Period Ending September 30, 2018

Asset Class Summary

Asset Class Balance Percentage of Total AssetsStable Value/Money Market $268,207,513 11.71%

US Fixed Income $116,491,310 5.09%

Lifestyle/Balanced $700,676,592 30.59%

US Large Cap Equity $217,197,848 9.48%

US Small Cap Equity $288,827,599 12.61%

International Equity $117,725,597 5.14%

Stock Index $552,797,792 24.13%

41

Asset Class Balances by Age GroupPeriod Ending September 30, 2018


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

< 21 21-30 31-40 41-50 51-60 > 61

32%

6% 10%16% 15% 10%

7%8%

10% 10%10%1%

2%

3% 5%6%

22%

17%

21%

27% 27%23%

2%

2%

4% 8%13%

46%

62%52%

32% 30% 32%

1% 4% 5% 7% 6% 5%

International Equity

Lifestyle/Balanced

Stable Value/MoneyMarket

Stock Index

US Fixed Income

US Large Cap Equity

US Small Cap Equity

Age Group

21 - 30< 21 31 - 40 41 - 50 51 - 60 > 61

$2,977 $7,018,477 $78,076,183 $285,983,213 $526,975,689 $399,921,801

8 1,420 4,690 6,320 6,768 3,470

Age Range

Total Balance

Total Participants

42

Transfer Activity by InvestmentPeriod Ending September 30, 2018


Investment Name Transfers In Transfers Out Net

SHORT TERM FIXED OPTION $3,581,256.77 -$3,746,548.39 -$165,291.62

STABLE VALUE OPTION $11,344,886.64 -$6,479,585.53 $4,865,301.11

LIFEPATH RETIREMENT FUND $3,463,638.19 -$4,701,252.41 -$1,237,614.22

LIFEPATH 2020 FUND $2,500,695.18 -$5,465,982.88 -$2,965,287.70

LIFEPATH 2025 FUND $2,478,182.90 -$4,465,352.29 -$1,987,169.39

LIFEPATH 2030 FUND $1,579,790.77 -$3,432,305.31 -$1,852,514.54

LIFEPATH 2035 FUND $622,894.01 -$1,931,821.51 -$1,308,927.50

LIFEPATH 2040 FUND $532,874.17 -$1,346,561.95 -$813,687.78

LIFEPATH 2045 FUND $580,056.68 -$851,681.61 -$271,624.93

LIFEPATH 2050 FUND $152,508.33 -$964,927.63 -$812,419.30

LIFEPATH 2055 FUND $83,366.84 -$562,610.49 -$479,243.65

LIFE PATH 2060 $195,783.75 -$610,215.23 -$414,431.48

ACTIVE FIXED INCOME OPTION $9,674,307.13 -$3,912,817.88 $5,761,489.25

REAL RETURN OPTION $843,286.58 -$692,564.51 $150,722.07

SOCIALLY RESPONSIBLE INV OPT $2,596,521.27 -$1,085,668.19 $1,510,853.08

LARGE COMP VALUE STOCK OPTION $9,255,261.39 -$8,995,777.90 $259,483.49

STOCK INDEX OPTION $6,645,185.63 -$8,601,511.81 -$1,956,326.18

LARGE COMP GROWTH STOCK OPTION $13,800,513.87 -$9,766,159.92 $4,034,353.95

INTERNATIONAL STK OPTION $6,058,650.09 -$6,765,842.98 -$707,192.89

SMALL COMPANY STOCK OPTION $7,759,937.84 -$9,782,630.58 -$2,022,692.74

SCHWAB PCRA $1,174,801.01 -$371,527.40 $803,273.61

43

Participant Contact SummaryPeriod Ending September 30, 2018

OREGON SAVINGS

0

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

Oct-2017 Nov-2017 Dec-2017 Jan-2018 Feb-2018 Mar-2018 Apr-2018 May-2018 Jun-2018 Jul-2018 Aug-2018 Sep-2018

1,22

9

1,14

1

1,42

5

2,12

1

1,50

9

1,40

5

1,60

4

1,37

0

1,38

1

1,78

8

1,74

9

1,62

0

3,23

9

2,95

8

3,40

3

4,96

6

3,32

9

3,30

8

3,22

9

2,95

2

3,08

7

3,65

2

3,65

2

3,42

2

25,5

14

24,2

25

27,9

83

37,9

01

28,4

23

27,6

24

24,8

02

26,0

02

25,9

30

30,2

04

31,5

62

29,5

17

5,05

5

4,75

0

5,24

3 7,33

4

5,29

3

5,09

4

5,11

1

5,01

5

5,20

0

6,22

5

5,49

4

5,20

5

Total PSR Calls Total IVR Calls Total Web Visits Unique Visitors

Num

ber

of C

onta

cts

44

Paperless Transaction SummaryPeriod Ending September 30, 2018

OREGON SAVINGS

0

400

800

1,200

1,600

2,000

2,400

2,800

10/31/17 11/30/17 12/31/17 1/31/18 2/28/18 3/31/18 4/30/18 5/31/18 6/30/18 7/31/18 8/31/18 9/30/18

254 32

6

363

628

452

355

344

321 38

8

532

454

383

15 12 12 28 10 9 12 7 5 10 16 9

69 62 73

121

79 78 82 90 108

111

110

74

1,47

4

1,34

0

1,58

5

2,73

8

1,96

6

1,57

0

1,52

8

1,47

6

1,59

1

2,08

6

2,33

9

1,89

5

PSR Transactions IVR Transactions MOB Transactions Web Transactions

Num

ber

of T

rans

actio

ns

45

IVR ActivityJuly 01, 2018 to September 30, 2018

OREGON SAVINGS

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

0

10

20

30

40

50

Jul-2018 Aug-2018 Sep-2018

@IVR to PSR PercentIVR Calls Outside ofPSR Hours

IVR Calls During PSRHours

Num

ber

of IV

R C

alls

Percentage of C

alls Dropped to P

SR

Percent of IVR Calls Transferred to PSR

IVR Calls Transferred to PSR

IVR Calls Outside of PSR Hours

IVR Calls During PSR Hours

Total IVR CallsDate

Jul-2018 3,652 2,620 1,032 1,818 49.78%

Aug-2018 3,652 2,699 953 1,773 48.55%

Sep-2018 3,422 2,452 970 1,640 47.93%

46

PSR ActivityPeriod Ending September 30, 2018

OREGON SAVINGS

Reporting Period Average Speed of Answer (Seconds)PSR Call Volume Average Call Length (Minutes)

1,229Oct-2017 5.67 102

1,141Nov-2017 5.67 34

1,425Dec-2017 5.87 7

2,121Jan-2018 6.35 57

1,509Feb-2018 5.85 17

1,405Mar-2018 5.95 32

1,604Apr-2018 5.98 27

1,370May-2018 5.90 15

1,381Jun-2018 6.35 8

1,788Jul-2018 6.03 20

1,749Aug-2018 5.80 18

1,620Sep-2018 5.78 14

47

PSR Activity Period Ending September 30, 2018

OREGON SAVINGS

Percent of Abandoned Calls Reporting Period

Number of Abandoned Calls

PSR Call Volumes

Oct-2017 1,229 0.06% 89

Nov-2017 1,141 0.02% 24

Dec-2017 1,425 0.00% 6

Jan-2018 2,121 0.04% 90

Feb-2018 1,509 0.01% 20

Mar-2018 1,405 0.02% 34

Apr-2018 1,604 0.01% 26

May-2018 1,370 0.01% 15

Jun-2018 1,381 0.00% 2

Jul-2018 1,788 0.01% 30

Aug-2018 1,749 0.01% 24

Sep-2018 1,620 0.01% 20

48

Paperless Transactions by ChannelPeriod Ending September 30, 2018


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Add

ress

Cha

nge

Ban

king

Info

rmat

ion

Ben

efic

iary

Ele

ctio

n

Bon

us C

ontr

ibut

ion

Cat

ch-U

p C

ontr

ibut

ion

Con

trib

utio

n R

ate

Cha

nge

Con

trib

utio

n R

ate

Esc

alat

or

Div

iden

d E

lect

ion

Doc

umen

ts/P

acka

ge R

eque

st

Fun

d to

Fun

d T

rans

fer

In-S

ervi

ce W

ithdr

awal

Inve

stm

ent E

lect

ion

Cha

nge

Inve

stm

ent R

eallo

catio

n

Reb

alan

ce E

lect

ion

Sum

of L

oan

Rep

aym

ent A

CH

New

Loa

n Is

sued

Onl

ine

Loan

Pay

off v

ia A

CH

Ter

min

atio

n D

istr

ibut

ion

28

27

11 0 0275

0 0

338

160

163

980 4 0

48

41 176

0

0

0 0 0

17

0 0

9

0

0

1

00

0

8

0 0

0

0

0 0 0

171

0 0

0

72

0

52

00

0

0

0 0

47

155

517

0 0

2,277

0 0

0

1,660

0

1,399

0

143

0

122

0 0

WEB MOB IVR PSR

49

Paperless Transactions by Channel (IVR/PSR/WEB/MOB Combined)Period Ending September 30, 2018


Paperless Transaction Description Transaction Volume

75Address Change

Banking Information 182

Beneficiary Election 528

Bonus Contribution 0

Catch-up Contribution 0

Contribution Rate Change 2,740

Contribution Rate Escalator 0

Dividend Election 0

Document/Package Request 347

Fund to Fund Transfer 1,892

In-service Withdrawal 163

Investment Election Change 1,550

Investment Reallocation 0

Rebalance Election 147

Loan Repayment ACH Election 0

New Loans Issued 178

Online Loan Payoff via ACH 41

176Termination Distribution

50

Balances by Age and StatusPeriod Ending September 30, 2018


0

100,000,000

200,000,000

300,000,000

400,000,000

500,000,000

600,000,000

< 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active Suspended Terminated

< 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active $2,977 $4,597,437 $67,527,817 $265,860,495 $509,665,963 $423,322,538 $39,070,521

Suspended $0 $0 $20,834 $178,837 $1,016,622 $1,816,652 $249,939

Terminated $397 $266,691 $5,428,173 $26,057,498 $149,838,193 $500,207,752 $282,221,757

Status

51

Average Balances by Age and StatusPeriod Ending September 30, 2018


0K

40K

80K

120K

160K

200K

240K

280K

< 21 21-29 30-39 40-49 50-59 60-69 >= 70


< 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active $372 $4,079 $15,226 $42,936 $74,775 $110,528 $145,244

Suspended $0 $0 $3,472 $11,177 $50,831 $139,742 $249,939

Terminated $198 $3,175 $12,421 $38,776 $108,500 $153,109 $135,423

Status

52

Median Balance by Age and StatusPeriod Ending September 30, 2018


0K

40K

80K

120K

160K

200K

240K

280K

< 21 21-29 30-39 40-49 50-59 60-69 >= 70


< 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active $242 $1,770 $5,957 $16,649 $30,192 $54,042 $60,872

Suspended $0 $0 $197 $900 $5,297 $33,032 $249,939

Terminated $198 $1,671 $5,827 $14,272 $54,894 $90,745 $80,057

Status

53

Third Quarter 2018Performance Review

November 27, 2018

Anne HeaphyFund Sponsor Consulting

Uvan Tseng, CFAFund Sponsor Consulting

Capital Markets Update

3Knowledge. Experience. Integrity.

Global Economic Update

● Globally, rate policies have yet to converge– The Fed hiked rates a quarter point at the March, June and September meetings.

–One more hike in 2018, and three in 2019 expected–The target range for the Fed Funds rate is now 2.0% to 2.25%.

● Labor market continues to tighten.– Signs U.S. is reaching the limits of full employment.

–Unemployment fell to 3.7% in September 2018, a generational low. – Initial claims for unemployment insurance have fallen to the lowest level since 1969.–Employment cost index rose 2.8% year-over-year in the second quarter, the highest rate of growth since 2007.

– Euro zone unemployment dropped to 8.1% in August, the lowest rate in 10 years

● The U.S. and euro zone economies appear to be diverging again.– Eurozone economic growth stalled at 1.5% in the first half of 2018 after notching the strongest year in a decade in 2017.

–Geopolitical turmoil across the zone, from Italy to Brexit, and the uncertainty from trade wars are dampening sentiment along with reported slower gains in GDP.

● China also showed signs of slowing, with industrial output and retail sales reporting growth at rates lower than expected in through the second and third quarters.

● Trade tensions with China on the rise.– U.S. dollar rose more than 7% since mid-April against a broad basket of developed market currencies, rebounding after 1st quarter

concerns over a potential trade war with China and the fear of higher rates globally.– The dollar appreciated 9% against the Yuan during this period as growth appeared to diverge between the U.S. and developed

non-U.S. markets, and the U.S. alone raised rates.

● Crude oil prices continued to trend higher during the third quarter of 2018, cresting $78 by the end of September.

The Big Picture


US Economic Update

● A strong economic environment in the U.S. despite concerns about:– trade wars– inflation– an inverted yield curve– concerns about a market correction

–Length of the current expansion–Richly priced capital markets

● The U.S. economy may be nearing peak growth for this cycle:– GDP clocked a solid 3.5% gain in the third quarter, following a robust 4.2% jump in the second quarter. – The unemployment rate dropped to 3.7% in September, the lowest reading since 2000– Wages are inching up; consumer spending remains robust, as does consumer confidence– Housing starts surged to an 11-year high in May, only to stall during the summer as short supply and higher rates took their toll.– The Fed raised rates for the third time in 2018, bringing the Fed Funds rate to 2.0-2.25%.

● U.S. growth driven by international trade ahead of the imposition of tariffs.– Net exports declined in the third quarter, trimming GDP growth.– U.S. and China enacted tariffs on $34 billion of imports in July.

● Consensus forecasts suggest a slowdown is coming– Impact of trade wars on economic growth to be seen.– Growth over the next 18 months will be tempered by depletion of inventories, regardless of a trade war.

● Inflation on the rise?– Headline CPI rose 2.3% during the quarter, down from the 2.9% reported in the second quarter. – Core CPI (ex-food and energy) rose 2.2%, slightly above the Fed’s 2% target.

The Big Picture

5Market Environment – Third Quarter 2018Knowledge. Experience. Integrity.

U.S. EconomyFor periods ended September 30, 2018

Sources: Bureau of Labor Statistics, Bloomberg

-10%-8%-6%-4%-2%0%2%4%6%8%

98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18

Quarterly Real GDP Growth

9899 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 1718-15%

-10%

-5%

0%

5%

10%

15%

20%

Inflation Year-Over-Year

2.3% - CPI-U4.3% - PPI

0%

1%

2%

3%

4%

0 5 10 15 20 25 30Maturity (Years)

September 30, 2018 June 30, 2018September 30, 2017

-1%

0%

1%

2%

3%

4%

5%

3Q08 3Q09 3Q10 3Q11 3Q12 3Q13 3Q14 3Q15 3Q16 3Q17 3Q18

10-Year Global Government Bond YieldsU.S. Treasury GermanyU.K. CanadaJapan

U.S. Treasury Yield Curves


Diversification Remains Key Risk ControlPeriodic Table of Investment Returns 2009–Q3 2018

S&P 500

26.47%

S&P 500

15.06%

S&P 500

2.11%

S&P 500

16.00%

S&P 500

32.39%

S&P 500

13.69%

S&P 500

1.38%

S&P 500

11.96%

S&P 500

21.83%

S&P 500

10.56%S&P 500 Growth

31.57%

S&P 500 Growth

15.05%

S&P 500 Growth

4.65%

S&P 500 Growth

14.61%

S&P 500 Growth

32.75%

S&P 500 Growth

14.89%

S&P 500 Growth

5.52%

S&P 500 Growth

6.89%

S&P 500 Growth

27.44%

S&P 500 Growth

17.24%

S&P 500 Value

21.17%

S&P 500 Value

15.10%

S&P 500 Value

-0.48%

S&P 500 Value

17.68%

S&P 500 Value

31.99%

S&P 500 Value

12.36%

S&P 500 Value

-3.13%

S&P 500 Value

17.40%

S&P 500 Value

15.36%

S&P 500 Value

3.51%

Russell 2000

27.17%

Russell 2000

26.85%

Russell 2000

-4.18%

Russell 2000

16.35%

Russell 2000

38.82%

Russell 2000

4.89%Russell 2000

-4.41%

Russell 2000

21.31%

Russell 2000

14.65%

Russell 2000

11.51%Growth

Russell 2000

34.47%

GrowthRussell 2000

29.09%

GrowthRussell 2000

-2.91%

GrowthRussell 2000

14.59%

GrowthRussell 2000

43.30%

GrowthRussell 2000

5.60%

GrowthRussell 2000

-1.38%

GrowthRussell 2000

11.32%

GrowthRussell 2000

22.17%

GrowthRussell 2000

15.76%

ValueRussell 2000

20.58%

ValueRussell 2000

24.50%

ValueRussell 2000

-5.50%

ValueRussell 2000

18.05%

ValueRussell 2000

34.52%

ValueRussell 2000

4.22%

ValueRussell 2000

-7.47%

ValueRussell 2000

31.74%

ValueRussell 2000

7.84%

ValueRussell 2000

7.14%

USAMSCI World ex

33.67%

USAMSCI World ex

8.95%USA

MSCI World ex

-12.21%

USAMSCI World ex

16.41%

USAMSCI World ex

21.02%

USAMSCI World ex

-4.32%

USAMSCI World ex

-3.04%

USAMSCI World ex

2.75%

USAMSCI World ex

24.21%

USAMSCI World ex

-1.50%

Barclays AggBloomberg

5.93%Barclays AggBloomberg

6.54%


7.84%


4.21%


-2.02%


5.97%


0.55%


2.65%Barclays AggBloomberg

3.54%


-1.60%

MarketsMSCI Emerging

78.51%


18.88%


-18.42%


18.23%


-2.60%


-2.19%


-14.92%


11.19%


37.28%


-7.68%

High YieldBloomberg Barclays

58.21%


15.12%


4.98%


15.81%


7.44%


2.45%


-4.47%


17.13%


7.50%


2.57%

2009 2010 2011 2012 2013 2014 2015 2016 2017 3 Qtrs. 2018


U.S. Equity Performance

Russell 3000Russell 1000

Russell 1000 GrowthRussell 1000 Value

S&P 500Russell Midcap


U.S. Equity: Quarterly Returns

7.1%7.4%

9.2%5.7%

7.7%5.0%

4.7%3.6%


Russell 1000 GrowthRussell 1000 Value

S&P 500Russell Midcap


U.S. Equity: Annual Returns

17.6%17.8%

26.3%9.5%

17.9%14.0%

16.2%15.2%

U.S. equity markets posted broad-based gains in the quarter fueled by strong economic growth, robust corporate earnings, and heightened stock buybacks. Several major indices hit record levels during the quarter; the S&P 500 saw it’s biggest gain in five years. Volatility was muted despite ongoing trade war threats.

Large Cap Outpaced Small Cap – FAANG stocks plus Microsoft had a more muted impact, but still

contributed nearly 25% of the S&P 500’s quarterly return.– All sectors landed in positive territory led by Health Care

(+14.5%), Industrials (+10%), and Communication Services (+9.9%).

Growth Continued to Outperform Value – Growth outpacing Value this year by the widest margin in 15

years (R1G YTD: +17.1% vs. R1V YTD: +3.9%) driven by ongoing FAANG stock euphoria.

– Momentum continued as the leading factor; Value is worst-performing style for last 18 months.

Sources: FTSE Russell, Standard & Poor’s


U.S. Stock Market Resumes Its Incredible Run in the Third Quarter

● Relentless climb in S&P 500 Price Index since the trough of the market in Q1 2009.

● Forward valuation dropped in the first and second quarter of 2018; rose again in the robust third quarter, now at 16.8, above the 25-year average, but nowhere near the peak set in 2000

● Dividend yield on stocks has been comparable to that of a 10-year Treasury for an extended period, and the gap is just widening now; vastly different relationship between stock and bond yields in 2000 and 2007

Source: J.P. Morgan Asset Management.

'97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18

600

900

1,200

1,500

1,800

2,100

2,400

2,700

3,000

Oct. 9, 2002 P/E (fwd.) = 14.1x

777

Source: Compustat, FactSet, Federal Reserve, Standard & Poor’s, J.P . Morgan Asset Management.Dividend yield is calculated as consensus estimates of dividends for the next 12 months, divided by most recent price , as provided by Compustat. Forward price to e arnings ratio is a bottom -up calculation based on the most recent S&P 500 Index price, divided by consensus estimates for earnings in the next 12 months (NTM), and is provided by FactSet Market Aggregates. Returns are cumulative and based on S&P 500 Index price movement only, and do not include the reinvestment of dividends. Past performance is not indicative of future returns.Guide to the Markets – U.S. Data are as of September 30, 2018.

S&P 500 Price Index

Characteristic Mar. 2000 Oct. 2007 Sep. 2018

Index level 1,527 1,565 2,914

P/E ratio (fwd.) 27.2x 15.7x 16.8x

Dividend yield 1.1% 1.8% 2.0%

10 -yr. Treasury 6.2% 4.7% 3.1%

-49%

Mar. 24, 2000 P/E (fwd.) = 27.2x

1,527

Dec. 31, 1996 P/E (fwd.) = 16.0x

741

Sep. 30, 2018P/E (fwd.) = 16.8x

2,914

+101%

Oct. 9, 2007 P/E (fwd.) = 15.7x

1,565

-57%

Mar. 9, 2009 P/E (fwd.) = 10.3x

677

+331%

+106%


U.S. Equities: Best House on a Bad Block

– U.S. equity has been the one major asset class with positive returns YTD

– What is driving divergence between U.S. and other asset classes? 1) “Earnings Miracle”

60% of Russell 1000 companies beat consensus earnings expectations by at least one standard deviation in the third quarter - a 15 year record ; only 11% of companies reported earnings that missed expectations by at least a standard deviation; the gap between beats and misses is also at record levels.

2) Tariff/Trade UncertaintyCompanies with international exposure underperformed those with primarily domestic exposure

Source: Bloomberg, Ned Davis Research analysis of S&P Dow Jones Indices data, WSJ.com

-10%

-5%

0%

5%

10%

15%

Gold MSCI EM JPM EMBIGlobal

BloombergAgg

Corporate

BloombergAgg

Treasury

MSCIEAFE

S&P 500

Year-to-Date Returns Through Third Quarter for Various Asset Classes

Share of the S&P 500 Market Capitalization


Concentration Risk within U.S. Equities

– The top five stocks by market cap in the S&P500 comprise approximately 14% of the market cap of the index.

– The market breadth within the S&P 500 Index remains very narrow. The top 10 performing stocks made up the lion’s share of positive performance year-to-date.

– Technology and Communications stocks, particularly FAANG stocks (Facebook, Apple, Amazon, Netflix, Google/Alphabet and to some extent Microsoft) continue to drive outsized proportion of returns within equity indices.

Source: Bloomberg as of 9/28/2018

0%

5%

10%

15%

20%

25%

2018 2017 2016

Top 10 Contributors S&P 490

Top 10 Contributors Versus Rest of S&P 500 Index


Non-U.S. Equity Performance

MSCI ACWIMSCI World

MSCI ACWI ex USAMSCI World ex USA

MSCI ACWI ex US Small CapMSCI World ex US Small Cap

MSCI Europe ex UKMSCI UK

MSCI Pacific ex JapanMSCI Japan

MSCI Emerging MarketsMSCI China

MSCI Frontier Markets

Global Equity: Quarterly Returns

5.0%4.3%

1.3%0.7%

-0.9%-1.5%

-7.5%

1.8%

3.7%-0.5%

-1.7%

-1.1%

-2.0%

MSCI ACWIMSCI World

MSCI ACWI ex USAMSCI World ex USA

MSCI ACWI ex US Small CapMSCI World ex US Small Cap

MSCI Europe ex UKMSCI UK

MSCI Pacific ex JapanMSCI Japan

MSCI Emerging MarketsMSCI China


Global Equity: Annual Returns

11.2%9.8%

2.7%1.8%

3.4%1.9%

-2.2%

-1.5%

10.2%4.3%

2.9%

-0.8%

-7.7%

Market divergence emerged after synchronized growth in 2017. U.S. continues to gain; non-U.S. markets lagged.

Non-U.S. Developed Positive Territory but Lags U.S.– Dollar rallied against euro and yen given strong U.S. economy and

Fed’s contractionary monetary policy.

– Strong earnings boosted Health Care & Telecomm; Energy benefited from positive supply-demand dynamics. Real Estate, Financials, and Staples adversely impacted by rising rates.

– Growth moderately outperformed value. Volatility and small cap factors were out of favor given market uncertainties

Emerging Markets Faltered– EM pressured by rising dollar, U.S. interest rates, trade frictions

– China weakened by economic slowdown; regulatory concerns weighed on Chinese Tech companies

– Energy top performer on rising oil prices; Consumer Discretionary negatively impacted by China and India

Non-U.S. Small Cap Trailed Large Cap– Both non-U.S. developed and emerging market small cap

underperformed large cap as appetite for risk waned due to rising rates/dollar and trade tensions

– Value was favored as Energy thrived


U.S. Fixed Income Performance

Blmberg Barclays Gov/Cr 1-3 Yr

Blmberg Barclays Interm Gov/Cr

Blmberg Barclays Aggregate

Blmberg Barclays Long Gov/Cr

Blmberg Barclays Universal

CS Leveraged Loans

Blmberg Barclays High Yield

Blmberg Barclays TIPS

U.S. Fixed Income: Quarterly Returns

0.0%

0.3%

0.3%

0.2%

-0.5%

1.9%

2.4%

-0.8%






CS Leveraged Loans



U.S. Fixed Income: Annual Returns

-1.2%

-1.0%

0.2%

-1.0%

-2.7%

5.6%

3.0%

0.4%

Fixed income performance was flat. Yield curve rose across maturity spectrum on better-than-expected corporate earnings and solid U.S. economic data. – 10-year U.S. Treasury yield reached a high of 3.10% before

settling at 3.06%– The yield curve flattened with shorter-term rates rising faster than

longer-term

Investment Grade Corporates Earned Strong Quarter– +0.97% for the quarter; -2.3% YTD– New issuance remained strong with an average of 2-3x

oversubscribed demand throughout the quarter– Spreads continued to narrow despite leverages increasing

High Yield Top Performer for Quarter– +2.4% for the quarter; +2.6% YTD– Low new issuance volume and stable fundamentals compressed

spreads– Bond issuance was $41 billion, 33% lower than 3Q17

Bank Loans Remain Strong– +1.9% for the quarter; +4.0% YTD– Demand continues for floating rate securities despite covenant-

lite structures and higher spread duration– Heavy issuance continued through the quarter;

OSGP Review


OSGP Investment Structure

Risk Spectrum Tier I. Asset Allocation Options Tier II. Core Options Tier III. Specialty Options

Conservative Capital PreservationShort-Term Fixed Income Option

Stable Value Option

Asset Allocation Fixed Income

LifePath Portfolios Active Fixed Income Option

Broad U.S. Equity Specialty Equity

Stock Index Option - Russell 3000 Socially Responsible Investment Option

Large Cap U.S. Equity

Large Company Value Stock Option

Large Company Growth Stock Option

International EquityInternational Stock Option Small Cap U.S. Equity

Small Company Stock OptionInflation SensitiveReal Return Option

Brokerage WindowAggressive Schwab PCRA

OSGP Investment Structure


Asset DistributionSeptember 30, 2018 June 30, 2018

Market Value Weight Net New Inv. Inv. Return Market Value WeightTier I - Asset Allocation Options

Target Date Funds $700,059,180 30.76% $(1,799,911) $14,898,200 $686,960,890 31.51%LifePath Index Retirement Fund L 195,779,822 8.60% (2,810,656) 2,940,902 195,649,576 8.97%LifePath Index 2020 Fund L 143,196,021 6.29% (1,422,704) 2,370,671 142,248,054 6.52%LifePath Index 2025 Fund L 111,018,145 4.88% 323,363 2,317,851 108,376,931 4.97%LifePath Index 2030 Fund L 81,959,890 3.60% 162,958 1,886,603 79,910,330 3.66%LifePath Index 2035 Fund L 61,024,832 2.68% 373,198 1,891,782 58,759,852 2.69%LifePath Index 2040 Fund L 41,580,403 1.83% 1,019,743 1,302,014 39,258,645 1.80%LifePath Index 2045 Fund L 27,190,422 1.19% 614,686 905,414 25,670,322 1.18%LifePath Index 2050 Fund L 23,982,486 1.05% (105,317) 779,927 23,307,876 1.07%LifePath Index 2055 Fund L 9,133,380 0.40% 118,173 311,641 8,703,565 0.40%LifePath Index 2060 Fund L 5,193,780 0.23% (73,355) 191,396 5,075,738 0.23%

Tier II - Core Inv estment Options

Short-Term Fixed Income Option State Street 50,078,627 2.20% (102,714) (129,145) 50,310,486 2.31%

Stable Value Option Galliard 217,813,213 9.57% 3,129,346 1,095,922 213,587,945 9.80%

Activ e Fixed Income Option BlackRock / DoubleLine / Wellington 116,102,144 5.10% 5,349,871 (126,594) 110,878,866 5.09%

Stock Index Option BlackRock 270,713,471 11.90% 283,188 16,791,789 253,638,495 11.63%

Large Company Value Stock Option BlackRock 202,302,128 8.89% 1,647,030 10,926,699 189,728,400 8.70%

Large Company Growth Stock Option BlackRock 277,489,958 12.19% (496,709) 28,570,346 249,416,321 11.44%

International Stock Option AQR / BlackRock / DFA* / Lazard 117,690,540 5.17% 1,918,488 (1,060,710) 116,832,763 5.36%

Small Company Stock Option BlackRock / Callan / DFA 288,780,587 12.69% 5,106,965 5,077,216 278,596,406 12.78%

Tier III - Specialty Options

Socially Responsible Inv estment Option TIAA-CREF 14,736,810 0.65% 286,750 2,355,608 12,094,452 0.55%

Real Return Option GMO / State Street / Wellington 4,376,563 0.19% (1,522,789) 1,778,005 4,121,348 0.19%

Brokerage Window 15,442,672 0.68% 803,274 417,653 14,221,745 0.65%

Total Fund $2,275,585,894 100.0% $14,602,789 $80,594,988 $2,180,388,117 100.0%

*DFA consists of 2 different strategies


Summary ReturnsPeriods Ended September 30, 2018

Last Quarter Last Year Last 3 Years Last 5 Years YearsLast 10

DateInception

InceptionSince

Tier I - Asset Allocation Options

LifePath Index Retirement Fund L 1.56 3.88 6.16 4.80 5.93 7/1/05 5.29LifePath Index Retirement Benchmark 1.55 3.84 6.14 4.78 5.96 10/1/93 6.17

LifePath Index 2020 Fund L 1.78 4.55 7.18 5.48 6.43 7/1/05 5.67LifePath Index 2020 Benchmark 1.77 4.50 7.14 5.43 6.45 10/1/93 6.93







LifePath Index 2055 Fund L 3.60 9.76 12.63 8.71 -- 4/1/10 10.23LifePath Index 2055 Benchmark 3.54 9.65 12.46 8.58 -- 7/1/10 11.19

LifePath Index 2060 Fund L 3.60 9.74 12.60 -- -- 10/1/14 7.56


Summary ReturnsPeriods Ended September 30, 2018

Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years Last 15 YearsTier II - Core Investment Options

Short-Term Fixed Income Option 0.48 1.52 0.80 0.49 0.32 1.333-month Treasury Bill 0.49 1.59 0.84 0.52 0.34 1.30

Stable Value Option 0.57 2.14 1.90 1.75 1.91 2.783-month Treasury Bill 0.49 1.59 0.84 0.52 0.34 1.30

Active Fixed Income Option 0.21 (0.20) 2.18 2.87 4.91 4.36Bloomberg Aggregate Index 0.02 (1.22) 1.31 2.16 3.77 3.78

Stock Index Option 7.12 17.62 17.16 13.54 12.07 9.90Russell 3000 Index 7.12 17.58 17.07 13.46 12.01 9.86

Large Company Value Stock Option 5.76 9.61 13.61 10.70 10.16 9.02Russell 1000 Value Index 5.70 9.45 13.55 10.72 9.79 8.89

Large Company Growth Stock Option 9.12 26.12 20.53 16.21 14.09 10.33Russell 1000 Growth Index 9.17 26.30 20.55 16.58 14.31 10.67

International Stock Option 0.32 0.87 9.41 4.33 5.43 6.97MSCI ACWI ex US Index 0.71 1.76 9.97 4.12 5.18 7.20

Small Company Stock Option 4.27 15.83 16.92 11.10 12.04 10.86Russell 2000 Index 3.58 15.24 17.12 11.07 11.11 10.12


Socially Responsible Investment Option 6.86 16.20 16.56 -- -- --Russell 3000 Index 7.12 17.58 17.07 13.46 12.01 9.86

Real Return Option (0.20) 1.39 3.57 -- -- --Consumer Price Index + 3% 0.89 5.34 4.96 4.36 4.39 5.09


Investment Options Fee Summary

*Fee data provided by OST.

Asset Class and Strategy

Total Annual Operating

Expense Ratio*

Institutional Peer Group

Median

Asset Allocation Options LifePath Index Retirement, 2020 – 2060 Funds; L 0.090% 0.08% Capital Preservation Short-Term Fixed Income Option 0.110% 0.44% Stable Value Option 0.380% 0.41% Fixed Income Active Fixed Income Option 0.172% 0.76% U.S. Large Cap Equity Stock Index Option 0.039% 0.04% Large Company Value Stock Option 0.031% 0.04% Large Company Growth Stock Option 0.030% 0.04% U.S. Small Cap Equity Small Company Stock Option 0.391% 1.15% International Equity International Stock Option 0.374% 1.10% Specialty Options Socially Responsible Investment Option 0.180% 0.90% Real Return Option 0.534% 0.65%

OSGP Investment Option Performance


BlackRock LifePath Index Target Date Funds GlidePath Analysis

% P

ure

Equ

ity

0%

25%

50%

75%

100%

40 30 20 10 0Retirement

-10 -20Years Until Retirement

Callan Glide Path Universe (ALL)

Callan Consensus ALL Glidepath LifePath Index Fund

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%

Years Until Retirement40 30 20 10 0

Retirement-10 -20

% W

eigh

t

Real AssetsDomestic FixedReal EstateIntl EquityDomestic Broad Eq

Equity Rolldown Analysis

Macro-Level Asset Allocation Glide Path


LifePath Index Retirement FundPeriods Ended September 30, 2018

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 YearsYears

Last 10Years

Last 13 1/40

2

4

6

8

10th Percentile 2.12 4.24 7.04 5.30 7.05 6.54 5.3225th Percentile 1.67 3.53 6.08 4.82 6.15 5.95 4.85

Median 1.42 3.09 5.40 4.02 5.01 5.54 4.4575th Percentile 1.09 2.36 4.86 3.62 4.49 4.85 4.0890th Percentile 0.69 1.81 4.14 3.11 3.61 4.09 3.52

LifePath Index Retirement Fund L 1.56 3.88 6.16 4.80 5.85 5.93 5.29

LifePath Index Retirement Benchmark 1.55 3.84 6.14 4.78 5.83 5.96 5.28

(37)

(13)

(23)

(25)

(29)(28) (10)

(37)

(13)

(23)

(26)

(29)(24)

(10)

Performance vs Callan Target Date Retirement Income (Institutional Net)


LifePath Index Retirement FundAsset Allocation as of September 30, 2018

Macro-Level Asset Allocation

Micro-Level Asset Allocation

0%

10%

20%

30%

40%

50%

60%

70%

80%

LifePath Index Retirement Fund L - Target

25.1

10.7

0.5

60.0

3.7

Callan Tgt Dt Idx 2010

22.5

10.4

1.8

53.4

5.4 3.3 2.0 1.1

Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

0%

10%

20%

30%

40%

50%

60%

70%


19.5

5.78.7

1.9 0.5

51.2

8.83.7


18.0

4.38.4

2.0 1.2 0.6

34.1

8.73.1 1.1 0.2

7.710.7

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv

Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed


LifePath Index 2030 FundPeriods Ended September 30, 2018

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYears

Last 13 1/40

2

4

6

8

10

12

14



LifePath Index 2030 Fund L 2.62 6.93 9.69 6.92 9.13 7.40 6.38

LifePath Index 2030 Benchmark 2.60 6.87 9.60 6.83 9.04 7.41 6.22

(73)

(57)

(72)

(71)

(75)

(76) (52)

(75)

(59)

(73)

(74)

(81)(76)

(58)

Performance vs Callan Target Date 2030 (Institutional Net)


LifePath Index 2030 FundAsset Allocation as of September 30, 2018



0%

10%

20%

30%

40%

50%

60%

LifePath Index 2030 Fund L - Target

36.9

20.2

6.5

32.5

3.9


41.9

21.7

2.4

27.1

3.2 1.1 1.5 1.2


0%

10%

20%

30%

40%

50%


30.2

6.7

16.6

3.66.5

28.0

4.4 3.9


33.2

8.6

17.0

4.41.3 1.1

19.9

2.5 1.1 1.2 0.2 0.14.7 4.7




LifePath Index 2050 FundPeriods Ended September 30, 2018

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 11 Years0.0

2.5

5.0

7.5

10.0

12.5

15.0



LifePath Index 2050 Fund L 3.59 9.76 12.64 8.65 11.69 8.71 5.92

LifePath Index 2050 Benchmark 3.53 9.65 12.46 8.52 11.52 8.68 5.17

(54)

(42)

(42)

(65)

(69)

(55)

(37)

(61)

(47)

(53)

(70)

(72)

(56)

(71)



LifePath Index 2050 FundAsset Allocation as of September 30, 2018



0%

10%

20%

30%

40%

50%

60%

70%

80%


48.8

30.7

14.4

1.8 4.3


54.6

30.7

2.98.1

1.0 0.5 0.9 1.3


0%

10%

20%

30%

40%

50%

60%


40.3

8.5

25.2

5.5

14.4

1.7 0.14.3


42.9

11.6

23.6

6.81.3 1.7

6.10.3 0.5 1.3 0.3 0.1 1.9 1.7




Short Term Fixed Income OptionPeriods Ended September 30, 2018

Performance vs Callan Money Market Instrument Funds (Institutional Net)

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years(0.25)

0.00

0.25

0.50

0.75

1.00

1.25

1.50

1.75

10th Percentile 0.46 1.45 0.73 0.45 0.33 0.3025th Percentile 0.45 1.38 0.65 0.39 0.28 0.25

Median 0.42 1.27 0.58 0.35 0.25 0.2175th Percentile 0.38 1.11 0.46 0.28 0.20 0.1790th Percentile 0.30 0.86 0.34 0.21 0.15 0.13

Short-Term Fixed Income Option 0.48 1.52 0.80 0.49 0.36 0.32

3-month Treasury Bill 0.49 1.59 0.84 0.52 0.39 0.34

(6)

(5)

(2)

(2)(3) (6)

(5)

(4)

(2)

(2)(2) (4)


Stable Value OptionPeriods Ended September 30, 2018

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years0.0

0.5

1.0

1.5

2.0

2.5

3.0



Stable Value Option 0.57 2.14 1.90 1.75 1.75 1.91

3-month Treasury Bill 0.49 1.59 0.84 0.52 0.39 0.34

(13)

(11)

(20)(26) (32)

(46)

(41)

(74)

(99)

(99)(99) (100)

Performance vs Callan Stable Value CT (Institutional Net)


Active Fixed Income OptionPeriods Ended September 30, 2018

Performance vs Callan Core Plus Mutual Funds (Institutional Net)

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years(4)

(2)

0

2

4

6

8

10th Percentile 0.75 (0.08) 4.22 3.69 4.47 6.4425th Percentile 0.49 (0.57) 2.70 3.12 3.69 5.72

Median 0.30 (0.96) 2.22 2.73 3.04 4.9475th Percentile 0.08 (1.43) 1.78 2.32 2.73 4.3890th Percentile (0.17) (1.81) 1.16 1.97 2.58 3.96

Active Fixed Income Option 0.21 (0.20) 2.18 2.87 2.88 4.91

Bloomberg Aggregate Index 0.02 (1.22) 1.31 2.16 2.02 3.77

(65)

(13)

(51)(46) (66)

(51)

(79)

(61)

(86)

(84) (96)

(91)


Active Fixed Income OptionPortfolio Characteristics as of September 30, 2018

Quality Ratingsvs Callan Core Plus Mutual Funds

AAA

AA+

AA

AA-

A+

A10th Percentile AA+25th Percentile AA-

Median AA-75th Percentile AA-90th Percentile A+

Active Fixed Income Option AA-

Bloomberg Aggregate Index AA+

(52)

(15)

September 30, 2018

(20%) (10%) 0% 10% 20% 30% 40% 50%

RMBS36.9

22.728.1

Corp (incl 144A)18.9

50%

Mgr

MV

50%

Mgr

MV

28.925.1

US Trsy16.7

39.438.0

Non-Agency RMBS14.2

4.4

ABS6.3

3.00.5

CMBS4.9

3.91.9

Gov Related2.9

0.96.3

CMOs1.0

Bk Ln0.6

0.1

Prfd0.3

Tax-Exempt US Muni0.30.2

Other (1.1 )

Cash(3.1 )(2.3 )

Active Fixed Income Option Callan Core Plus Mutual Funds

Bloomberg Aggregate Index

Sector Allocation September 30, 2018


Stock Index OptionPeriods Ended September 30, 2018


2.5

5.0

7.5

10.0

12.5

15.0

17.5

20.0

22.5



Stock Index Option 7.12 17.62 17.16 13.54 16.94 12.07

Russell 3000 Index 7.12 17.58 17.07 13.46 16.86 12.01

(24)

(20) (13)

(12)

(15)

(18)

(24)

(21) (14)

(14)

(17)

(19)

Performance vs Callan All Cap Core Mutual Funds (Institutional Net)


Large Company Value Stock OptionPeriods Ended September 30, 2018

Performance vs Callan Large Cap Value Mutual Funds (Institutional Net)


5.0

7.5

10.0

12.5

15.0

17.5

20.0



Large Company Value Stock Option 5.76 9.61 13.61 10.70 15.55 10.16

Russell 1000 Value Index 5.70 9.45 13.55 10.72 15.02 9.79

(57)

(76)

(63)

(59)

(36)

(40)

(57)

(76)

(64)

(59)

(46)

(55)


Large Company Growth Stock OptionPeriods Ended September 30, 2018

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years0

5

10

15

20

25

30

35



Large Company Growth Stock Option 9.12 26.12 20.53 16.21 18.64 14.09

Russell 1000 Growth Index 9.17 26.30 20.55 16.58 18.69 14.31

(8)

(51)

(16)

(32)

(32)

(31)

(8)

(49)

(16)

(26)

(30)

(30)

Performance vs Callan Large Cap Growth Mutual Funds (Institutional Net)


International Stock OptionPeriods Ended September 30, 2018

Performance vs Callan Non US Equity Mutual Funds (Institutional Net)


(2)

0

2

4

6

8

10

12

14


Median 0.51 2.03 8.89 4.50 8.48 5.8075th Percentile (0.37) (0.53) 7.61 3.72 7.88 4.8090th Percentile (1.11) (2.18) 6.89 2.72 7.17 3.79

International Stock Option 0.32 0.87 9.41 4.33 8.58 5.43

MSCI ACWI ex US Index 0.71 1.76 9.97 4.12 7.25 5.18

(58)(65)

(38)

(54)

(48)

(54)

(43)(54)

(32)

(58)

(89)

(59)


International Stock OptionPortfolio Characteristics as of September 30, 2018

Sector Allocation as of September 30, 2018

Style Exposure MatrixHoldings as of September 30, 2018

0% 5% 10% 15% 20% 25% 30%

Financials18.9

22.819.9

Industrials13.5

12.015.1

Consumer Discretionary11.2

10.212.0

Information Technology10.2

50%

Mgr

MV

50%

Mgr

MV

8.310.2

Energy8.8

7.36.4

Materials8.5

7.97.7

Health Care8.48.2

10.9

Consumer Staples8.1

9.510.6

Communication Services6.1

7.56.1

Real Estate2.83.2

0.8

Utilities2.53.0

0.3

Miscellaneous1.0

Pooled Vehicles

International Stock Option MSCI ACWI ex US Index

Callan Non US Equity MFs

11.1% (618) 15.4% (670) 18.7% (574) 45.2% (1862)

2.1% (151) 3.3% (162) 2.2% (100) 7.6% (413)

7.5% (1263) 6.2% (938) 9.7% (866) 23.5% (3067)

7.2% (1935) 8.2% (1604) 8.4% (1304) 23.8% (4843)

27.8% (3967) 33.2% (3374) 39.0% (2844) 100.0% (10185)

12.1% (132) 12.5% (130) 16.3% (190) 41.0% (452)

2.0% (34) 2.7% (26) 1.8% (31) 6.5% (91)

8.2% (145) 6.6% (146) 9.1% (177) 23.8% (468)

8.2% (409) 9.7% (371) 10.8% (368) 28.7% (1148)

30.5% (720) 31.5% (673) 38.0% (766) 100.0% (2159)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total

Value Core Growth Total


Small Company Stock OptionPeriods Ended September 30, 2018


0

5

10

15

20

25

30

35

40


Median 4.53 15.30 16.10 10.82 16.02 12.0575th Percentile 1.16 8.90 13.84 9.01 14.65 10.2890th Percentile (0.11) 5.92 11.45 7.35 12.91 9.01

Small Company Stock Option 4.27 15.83 16.92 11.10 16.24 12.04

Russell 2000 Index 3.58 15.24 17.12 11.07 16.43 11.11

(52)

(48) (44)

(45)(46)

(50)

(56)

(50)

(43)

(45)

(45)

(60)

Performance vs Callan Small Cap Mutual Funds (Institutional Net)


Small Company Stock OptionPortfolio Characteristics as of September 30, 2018



0% 5% 10% 15% 20% 25%

Industrials18.2

15.119.0

Financials16.9

17.413.3


14.020.1


50%

Mgr

MV

50%

Mgr

MV

12.213.4

Health Care13.6

16.417.6

Energy5.8

4.83.9

Materials4.8

4.24.5

Communication Serv ices3.5

3.22.3

Consumer Staples3.3

2.72.9

Real Estate3.1

6.92.9

Utilities2.3

3.1

Pooled Vehicles

Miscellaneous

Small Company Stock Option Russell 2000 Index

Callan Small Cap MFs

Large

Mid

Small

Micro

Total


0.0% (0) 0.4% (5) 0.4% (7) 0.8% (12)

2.1% (45) 4.0% (70) 9.9% (124) 15.9% (239)

17.4% (324) 28.4% (487) 22.6% (379) 68.5% (1190)

5.5% (486) 5.7% (546) 3.6% (265) 14.8% (1297)

25.0% (855) 38.4% (1108) 36.5% (775) 100.0% (2738)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.8% (4) 2.1% (13) 6.3% (30) 9.2% (47)

21.1% (276) 31.5% (445) 26.3% (351) 78.8% (1072)

4.1% (294) 4.9% (381) 3.0% (220) 12.0% (895)

26.0% (574) 38.5% (839) 35.5% (601) 100.0% (2014)


Socially Responsible Investment OptionPeriods Ended September 30, 2018



2.5

5.0

7.5

10.0

12.5

15.0

17.5

20.0

22.5



Socially Responsible Investment Option 6.86 16.20 16.56 -- -- --

Russell 3000 Index 7.12 17.58 17.07 13.46 16.86 12.01

(31)

(32) (18)

(24)

(21) (14)

(14)

(17)

(19)


Socially Responsible Investment OptionPortfolio Characteristics as of September 30, 2018



0% 5% 10% 15% 20% 25%

Financials17.417.4

17.1

Health Care16.416.4

17.0

Industrials15.115.1

17.5


50%

Mgr

MV

50%

Mgr

MV

14.016.9

Consumer Discretionary12.212.2

13.0

Real Estate6.96.9

4.4

Energy4.84.8

4.4

Materials4.24.24.4

Communication Services3.23.2

2.0

Utilities3.13.1

0.9

Consumer Staples2.72.7

2.4

BlackRock Russell 2000 Index Fund Russell 2000 Index

Callan Small Cap Value Core Growth Total

Large

Mid

Small

Micro

Total

23.9% (56)

24.7% (97)

25.9% (58)

20.4% (107)

28.1% (43)

30.0% (95)

77.9% (157)

75.1% (299)

4.0% (59)

5.1% (186)

5.0% (71)

5.8% (201)

7.3% (87)

5.9% (211)

16.2% (217)

16.8% (598)

0.8% (60)

2.1% (328)

1.9% (100)

2.8% (489)

2.3% (85)

2.3% (379)

5.1% (245)

7.1% (1196)

0.3% (27)

0.3% (294)

0.3% (33)

0.4% (382)

0.3% (21)

0.2% (220)

0.8% (81)

0.9% (896)

29.0% (202)

32.2% (905)

33.0% (262)

29.4% (1179)

38.0% (236)

38.4% (905)

100.0% (700)

100.0% (2989)


Real Return OptionPeriods Ended September 30, 2018

(1)

1

3

5

Ret

urns

Last Quarter Last Year Last 3 Years

Real Return Option Consumer Price Index + 3%

(0.20)

1.39

3.57

0.89

5.34

4.96

Defined Contribution Trends


Regulatory Trends

The Bipartisan Budget Act of 2018 simplified hardship withdrawal restrictions to provide flexibility for participants facing financial challenges and topermit participants to continue saving for retirement.

The primary purpose of defined contribution (DC) plans is to allow participants to save for retirement. Allowing participants to take money out of theDC plan complicates the likelihood of reaching that goal and is therefore limited to certain circumstances, one of which is a participant undergoing afinancial hardship. To be considered a hardship, the withdrawal is required to be an immediate and heavy financial need and has to be necessary tomeet that need. Whether an employee has an immediate and heavy financial need is based on facts and circumstances, but there are safe harborevents (e.g., burial expenses, repair costs for primary residence) that apply. The requirement could be met if the participant had taken all otherdistributions and loans available to them and if they suspended their deferrals into the DC plan for a period of at least six months.

The Bipartisan Budget Act of 2018 simplified hardship withdrawal restrictions to provide flexibility for participants facing financial challenges and topermit participants to continue saving for retirement. The Budget Act made several optional changes to the hardship withdrawal rules that willbecome effective on the first day of the plan year beginning in 2019. The legislation:

• Allows hardship withdrawals without requiring participants to take any available plan loans.

• Directs the Treasury Department to remove the required six-month suspension on deferrals following a hardship withdrawal from the 401(k) safeharbor regulations.

• Expands the types of contributions available for hardships to include qualified non-elective contributions (QNECs) and qualified matchingcontributions (QMACs), as well as earnings on QNECs, QMACs, and elective deferral contributions.

Plan sponsors should consider the impact of loosening the hardship restrictions in their DC plans and which, if any, of these provisions are desirablefor the plan participants. If the plan sponsor elects to make these changes, the plan document will need to be amended and the plan administrationmanual, forms, communications, and the summary plan description will require updates.

Simplified Hardship Withdrawal Rules


Regulatory Trends

On August 31, 2018, President Trump signed an executive order directing the Departments of Treasury and Labor to examine guidance or regulationregarding expanding the availability of open, multiple-employer retirement plans, as well as require minimum distribution rules and certain noticerequirements.

The executive order furthers the policy goals that are contained within two currently stalled bills in Congress, the Retirement Enhancement SavingsAct, or RESA (S. 2526 and H.R. 5282) and the RETIRE Act (H.R. 4610). The administration has directed the Department of Labor (DOL) to considerguidance or regulations that make it easier for businesses to participate in association retirement plans, more commonly known as “open MEPs.”Under current DOL guidance, unrelated plan sponsors are only permitted to participate in such plans if they share a common economic interest orrelationship, such as a trade association.

Another feature of the executive order is the direction to reexamine guidance related to these plans, which would very likely address what is knownas the “one bad apple rule.” This rule has previously impacted open MEPs because the failure to meet qualification standards by one member couldimpact the entire plan, rather than the employer in question. Additionally, the DOL is directed to examine opportunities to expand participation in suchplans for “part-time workers, sole proprietors, working owners, and other entrepreneurial workers with non-traditional employer-employeerelationships.” The administration has directed the DOL to consider within 180 days whether to issue regulations or guidance.

In addition, the executive order also directs the DOL and the Treasury Department to review requirement minimum distribution rules to determinewhether it is possible to permit participants in these plans to retain their investments for a longer period of time without taking distributions. As arelated change, the Treasury is directed to examine life expectancy and mortality assumptions related to the age 70½ cutoff for required minimumdistributions. The departments are directed to respond on whether guidance will be issued within 180 days.

Finally, the executive order directs the two departments to review opportunities to reduce paperwork and required notices under ERISA and theInternal Revenue Code of 1986 more understandable and useful for participants and beneficiaries. In particular, the executive order highlightsmodernizing delivery of these notices electronically, rather than via mail.

The executive order does not, by itself, create any new regulations, and it remains to be seen what the agencies will be able to accomplish withoutthe benefit of the bipartisan legislation currently addressing many of these same topics. Additionally, should open MEPs become more widelyavailable, it is possible that a subsequent administration can reverse guidance or rules promulgated by the Trump administration, which may inhibitefforts to join open MEPs. However, the opportunity for smaller employers to join together to create large economies of scale has significant potentialto alter the retirement landscape for many employers and industries across the country, and should be seen as a significant development that canimpact recordkeepers, investment managers, and plan sponsors.

Potential Changes Underway for Workplace Retirement Plans


Legal Trends

An amended lawsuit filed by participants of Ford Motor Company defined contribution (DC) plans against Xerox HR Solutions has been dismissed.The U.S. District Court for the Eastern District of Michigan Southern Division found that the second amended complaint failed to address thedeficiencies identified by the court and included new allegations and new defendants.

Xerox administers and recordkeeps the Ford DC plans, as well as the master trust for the Ford DC plans. The initial complaint alleged that Xeroxexercised de facto control over Ford’s selection of Financial Engines (FE). Xerox’s master agreement with FE provides that FE will be the soleinvestment adviser, and the suit alleges that, in exchange, FE shares ~30% of the fees it collects from plan participants using the managed accountsolution. According to the complaint, the payments from FE to Xerox equate to “pay to play,” and participants end up paying more than is reasonableor necessary for advisory services. FE was not named as a defendant in the complaint.

The court rejected the plaintiffs’ original three arguments to place fiduciary status on Xerox, but allowed the plantiffs to replead whether Xerox actedas a fiduciary by exercising de facto control over the election of FE as a fiduciary for the plans. The court indicated that a party could act as afunctional fiduciary if they exercised control over the means by which another fiduciary would act in a fiduciary capacity. However, the court alsocautioned that anything less than an allegation that Xerox was directly involved in the Ford-FE negotiations would fail to impose liability.

The amended complaint added new parties (Xerox Corporation and Conduent, Inc.) and claimed that Xerox and FE engaged in a “pattern ofracketeering activity” subjecting them to civil liability under the Racketeer Influence Corrupt Organizations Act (RICO). The court’s decision notesthat a RICO claim requires (1) conduct (2) of an enterprise (3) through a pattern (4) of racketeering activity. The court was doubtful that Xerox couldproperly be held criminally liable for the RICO violation as the section in question appears to impose only individual—not corporate—criminal liability.The decision also noted the relationship between Xerox and FE was not “an enterprise” and was therefore outside the scope of RICO. The court hasdenied further leave to amend the complaint and has granted the Xerox defendant’s second motion to dismiss.

Litigators continue to explore new tactics to allege fiduciary breaches, expanding the pool of defendants beyond the plan sponsor and exploring newavenues to prove fiduciary breaches. Plan sponsors should continue their ongoing due diligence over the DC plan, service providers, and revenuethat the plan generates for the services providers. While the collection of indirect revenue to subsidize related plan services appears to be industrypractice, legal or regulatory rulings have not yet validated or refuted the practice.

Lawsuit Including RICO Allegations Dismissed


Legal Trends

A class-action lawsuit against Vanderbilt University was amended to include a fiduciary breach claim alleging that Vanderbilt allowed the planrecordkeeper (TIAA) to use participant data to market TIAA products and wealth management services to the plan's participants.

The initial lawsuit is one of a number originally filed against universities in 2016. The amended complaint is based on the Employee RetirementIncome Security Act (ERISA) requirement that plan fiduciaries act solely in the interest of and for the exclusive purpose of providing benefits to theplan’s participants, defraying the reasonable expenses of administering the plan, and acting with the care, skill, prudence, and diligence required byERISA.

The claim states that the plan fiduciaries allowed TIAA to exploit its position as recordkeeper, contrary to the best interests of participants. Thecomplaint alleges that plan fiduciaries violated the duty to work for the exclusive benefit of plan participants "by allowing TIAA to use its position asthe plan's recordkeeper to obtain access to participants, gaining valuable, private, and sensitive information including participants’ contactinformation, their choices of investments, the asset size of their accounts, their employment status, age, and proximity to retirement, among otherthings."

The complaint further states that TIAA used the data "to sell TIAA products and wealth management services to the plan's participants." Thecomplaint also alleges that Vanderbilt was aware of TIAA’s misuse of participant information and did nothing to prevent that misuse by establishingsafeguards, as other prudent fiduciaries have done.

Litigators continue to explore new tactics to allege fiduciary breaches. Plan sponsors should continue their ongoing due diligence by selecting andmonitoring their service providers, including limiting the use of participant data to plan purposes. This new type of claim may be duplicated in otherlitigation, should it prove fruitful here.

Lawsuit Alleges Cross-Selling Violates Fiduciary Duties

September 30, 2018

Oregon Savings Growth Plan

Defined Contribution Plan

Investment Measurement Service

Quarterly Review

Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein is

to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain information

herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily

verified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed and

are not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you

make on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your

particular situation. Past performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures.

Table of ContentsSeptember 30, 2018

Capital Markets Review 1

Asset Allocation and Performance

Allocation Across Fund and Changes in Fund Values 11

Asset Distribution Across Investment Managers 12

Performance Across Investment Managers 13

Manager Performance Monitoring Summary 15

Manager Performance Monitoring Summary 17

Investment Option Fee Summary 18

Target Date Funds

LifePath Index Retirement Fund L 24

LifePath Index 2020 Fund L 26









Short-Term Fixed Income Option

Short-Term Fixed Income Option 44

Stable Value Option

Stable Value Option 47

Active Fixed Income Option

Active Fixed Income Option 52

BlackRock US Debt Index Fund 56

DoubleLine Total Return Bond Fund 60

Wellington Trust Core Bond Plus Fund 64

Stock Index Option

Stock Index Option 69


Large Company Value Stock Option 76


Large Company Growth Stock Option 83

Table of ContentsSeptember 30, 2018

International Stock Option

International Stock Option 90

Lazard International Equity Fund 97

DFA International Core Equity 105

DFA Emerging Markets Core Equity Fund 113

BlackRock MSCI ACWI ex-US Index Fund 121

AQR ACWI ex-US Fund 129

Small Company Stock Option

Small Company Stock Option 138

BlackRock Russell 2000 Index Fund 144

Callan Small Equity Fund 150

DFA US Small Cap Portfolio 156

Socially Responsible Option

Socially Responsible Option 163

TIAA-CREF Social Choice Equity Fund 166

Real Return Option

Real Return Option 173

GMO Benchmark-Free Allocation Fund 174

State Street Real Asset Strategy 177

Wellington Real Total Return 180

Definitions 183

Callan Research/Education 188

Disclosures 191

Russell 3000

Russell 1000

Russell 1000 Growth

Russell 1000 Value

S&P 500

Russell Midcap

Russell 2500

Russell 2000

U.S. Equity: Quarterly Returns

7.1%

7.4%

9.2%

5.7%

7.7%

5.0%

4.7%

3.6%

Russell 3000

Russell 1000

Russell 1000 Growth

Russell 1000 Value

S&P 500

Russell Midcap

Russell 2500

Russell 2000

U.S. Equity: One-Year Returns

17.6%

17.8%

26.3%

9.5%

17.9%

14.0%

16.2%

15.2%

Sources: FTSE Russell, Standard & Poor’s

14.2%

9.8% 9.2%

6.8% 5.5%

4.7%

4.4% 1.4% 0.9% 0.9%

7.7%

4.9% 6.3%

4.0%

-0.9%

0.6%

6.2%

12.9%

1.0%

-1.8% -3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

11.0%

12.0%

13.0%

14.0%

15.0%

Health Care ProducerDurables

Technology ConsumerDiscretionary

ConsumerStaples

FinancialServices

Utilities CommunicationServices

Materials &Processing

Energy

Russell 1000 Russell 2000

U.S. EQUITY

The U.S. equity market posted broad-based gains in the third quarter fueled by strong economic growth, robust corporate earnings, and heightened stock buybacks. Several major indices hit record levels during the quarter, and the 7.7% gain for the S&P 500 was its biggest since the fourth quarter of 2013. Volatility was muted in spite of persistent headlines around trade war threats and the ever-changing negotiations.

Large Cap Outpaced Small Cap (Russell 1000: +7.4%; Russell 2000: +3.6%)

– Tax reform and domestic prosperity contributed to an acceleration in corporate earnings growth, and valuations remained elevated as strong sentiment persisted given positive economic data.

– Amazon (+17.8%), Apple (+22.4%), and Microsoft (+16.4%) were strong contributors to large cap outperformance.

– FAANG stocks plus Microsoft had a more muted impact than in previous quarters, but still contributed nearly 25% of the S&P 500’s quarterly return.

– All sectors landed in positive territory with Health Care (+14.5%), Industrials (+10%), and Communication Services (+9.9%) as the strongest performers.

– The new Communication Services sector represents 10% of the S&P 500 and includes several FAANG stocks such as Alphabet, Facebook, and Netflix; Tech and Consumer Discretionary now represent lower weightings in the index.

Growth Continued to Outperform Value (Russell 1000 Growth: +9.2%; Russell 1000 Value: +5.7%)

– Divergence between Growth and Value approaching historical high; Growth outpacing Value this year by the widest margin in 15 years within large cap (Russell 1000 Growth YTD: +17.1% vs. Russell 1000 Value YTD: +3.9%) due largely to ongoing euphoria of the FAANG stocks.

– Momentum continued as the leading factor for the quarter and year-to-date; value has been the worst-performing style for the last 18 months.

Capital Market Overview September 30, 2018

Russell Sector Returns, Quarter ended September 30, 2018

Capital Market Overview (continued) September 30, 2018

MSCI ACWI

MSCI World

MSCI ACWI ex USA

MSCI World ex USA

MSCI ACWI ex USA SC

MSCI World ex USA SC

MSCI Europe ex UK

MSCI United Kingdom

MSCI Pacific ex Japan

MSCI Japan

MSCI Emerging Markets

MSCI China


Global Equity: Quarterly Returns

5.0%

4.3%

1.3%

0.7%

-0.9%

-1.5%

-7.5%

1.8%

3.7%

-0.5%

-1.7%

-1.1%

-2.0%

MSCI ACWI

MSCI World

MSCI ACWI ex USA

MSCI World ex USA

MSCI ACWI ex USA SC

MSCI World ex USA SC

MSCI Europe ex UK

MSCI United Kingdom

MSCI Pacific ex Japan

MSCI Japan

MSCI Emerging Markets

MSCI China


Global Equity: One-Year Returns

11.2%

9.8%

2.7%

1.8%

3.4%

1.9%

-2.2%

-1.5%

10.2%

4.3%

2.9%

-0.8%

-7.7%

Source: MSCI

NON-U.S./GLOBAL EQUITY

Market divergence has emerged after synchronized growth in 2017. The U.S. continues to post positive returns while non-U.S. developed and emerging markets have rolled over year-to-date, dragged down by geopolitical and economic uncertainties.

Global/Non-US Developed (MSCI EAFE: +1.4%; MSCI Europe: +0.8%; MSCI Japan: +3.7%; MSCI World ex USA: +1.3%)

– The dollar rallied against the euro and yen given the fundamentals of the U.S. economy and Fed’s contractionary monetary policy; other central banks maintained status quo

– Global trade tensions coupled with Brexit negotiation and Italy’s populism concerns tempered the European market despite solid earnings growth; re-election of Prime Minister Shinzo Abe and GDP growth sparked the Japanese market

– Top sector performers were Health Care, Telecommunication Services, and Energy

– Real Estate, Financials, and Consumer Staples were hurt by rising interest rates and a flattening yield curve

– Style had a de minimis impact; however, Growth moderately outperformed Value. Volatility and small cap factors were out of favor given market uncertainties

Emerging Markets (MSCI EM: -1.1%)

– Emerging markets were under pressure from a rising dollar, U.S. interest rates, and U.S.-China trade frictions

– Turkey was the worst-performing country within emerging markets as the lira and local currency bonds crashed due to the twin deficit, high level of dollar debt, and inflation

– The economic slowdown in China and trade tensions with the U.S. weakened the market

– Brazil and Russia were among the best performers due to climbing oil prices

– Energy was the best performer supported by rising oil prices; Consumer Discretionary was the worst sector performer weighed down by China and India

– Value and large cap factors were in favor as Energy gained traction with rising oil prices and momentum struggled as market leadership rotated away from Asian tech companies

International Small Cap (MSCI World ex USA Small Cap: +0.9%; MSCI EM Small Cap: -4.2%)

– Both non-U.S. developed and emerging market small cap underperformed large cap as appetite for risk waned due to rising interest rates/dollar, global trade tensions, and geopolitical conflicts

– Value was favored in both non-U.S. developed and emerging market small cap as the value-oriented Energy sector thrived with rising oil prices






CS Leveraged Loans



U.S. Fixed Income: Quarterly Returns

0.0%

0.3%

0.3%

0.2%

-0.5%

1.9%

2.4%

-0.8%






CS Leveraged Loans



U.S. Fixed Income: One-Year Returns

-1.2%

-1.0%

0.2%

-1.0%

-2.7%

5.6%

3.0%

0.4%

0%

1%

2%

3%

4%

0 5 10 15 20 25 30

Maturity (Years)

September 30, 2018 June 30, 2018

September 30, 2017

U.S. Treasury Yield Curves

U.S. FIXED INCOME

Fixed income performance was flat for the third quarter. The U.S. Treasury yield curve rose across the maturity spectrum on better-than-expected corporate earnings and solid U.S. economic data despite increased headline risks from U.S. trade tensions and European political uncertainties. Investors searching for shorter duration spreads helped both the commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) markets as well, but higher interest rates slowed prepayments and extended the duration of agency MBS, resulting in its underperformance.

In other markets, U.S. below-investment grade debt and bank loans also provided strong results this quarter as a lack of new high yield issuance and demand for bank loans from collateralized loan obligation (CLO) formation provided strong support.

Bloomberg Barclays US Aggregate Bond Index: +0.02% in 3Q; -1.6% YTD

– 10-year U.S. Treasury yield rose steadily, reaching a high of 3.10%, before settling at 3.06% as strong economic data repriced investors’ inflation expectations and increased the probability of a December rate hike by the Federal Reserve

– The yield curve flattened with short-term interest rates rising quicker than the longer-term rate. The spread between the 2-year and 10-year key rates narrowed 9 bps to 24 bps from last quarter, the tightest in 10 years

Investment Grade Corporates: +1.0% in 3Q; -2.3% YTD

– New issuance remained strong with an average of 2-3x oversubscribed demand throughout the quarter

– Spreads continued to narrow this quarter despite leverages increasing within the sector

– Higher rates and weaker overall fundamentals caused this sector to post negative results year to date

High Yield: +2.4% in 3Q; +2.6% YTD

– Low new issuance volume and stable fundamentals compressed spreads

– Bond issuance was $41 billion, 33% lower than 3Q17

Bank Loans: +1.8% in 3Q; +4.0% YTD

– Demand continues for floating rate securities despite covenant-lite structures and higher spread duration

– Heavy issuance continued through the quarter; YTD leveraged loan issuance is above $900 billion, driven by leveraged buyout and mergers-and-acquisitions activities

– CLO formation also increased demand in the third quarter


Sources: Bloomberg, Bloomberg Barclays, Credit Suisse

Blmberg Barclays Gl Aggregate

Blmberg Barclays Gl Agg (hdg)

Blmberg Barclays Gl High Yield

Blmberg Barclays Gl Agg ex US

JPM EMBI Global Diversified

JPM GBI-EM Global Diversified

JPM EMBI Gl Div/JPM GBI-EM Gl Div

JPM CEMBI

Global Fixed Income: Quarterly Returns

-0.9%

0.0%

2.0%

-1.7%

2.3%

-1.8%

0.2%

1.3%

Blmberg Barclays Gl Aggregate

Blmberg Barclays Gl Agg (hdg)

Blmberg Barclays Gl High Yield

Blmberg Barclays Gl Agg ex US

JPM EMBI Global Diversified

JPM GBI-EM Global Diversified

JPM EMBI Gl Div/JPM GBI-EM Gl Div

JPM CEMBI

Global Fixed Income: One-Year Returns

-1.3%

0.8%

0.3%

-1.5%

-1.9%

-7.4%

-4.6%

-1.2%

20 bps

17 bps

30 bps

26 bps

9 bps

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35

U.S. Treasury

Germany

U.K.

Canada

Japan

2Q18 to 3Q18

Change in 10-Year Global Government Bond Yields

NON-U.S. FIXED INCOME

Volatility Hinders Local EM Debt

– The quarterly return for the JPM EMBI Global Diversified Index (USD denominated) was +2.3% with all sub-regions delivering positive results. Local currency emerging markets, however, fared more poorly. The JPM GBI-EM Global Diversified Index fell 1.8% for the quarter, but also endured significant intra-quarter volatility including a 6.1% drop in August.

– Further, return dispersion among countries was significant. Argentina (-35%) has seen its peso fall more than 50% this year to a record low as investors were spooked by previous currency debacles and worries over the economic picture. In addition to securing support from the International Monetary Fund, the country’s central bank hiked short-term interest rates 15 percentage points to a global high of 60%. Turkey (-27%) endured a similar currency rout, though for different reasons. U.S.-imposed sanctions and concerns over central bank policy were the twin drivers of the lira’s weakness. Turkey hiked short rates by 6.25 percentage points to 24% to stem its currency slide.

– Elsewhere, returns were far more modest (positive or negative) with only Russia (-6%) and Mexico (+6%) being noteworthy.

– Issuers in Europe faced a different challenge as political uncertainties surrounding Italy caused that market to weaken.


Sources: Bloomberg, Bloomberg Barclays, JP Morgan

Market OverviewActive Management vs Index Returns

Market OverviewThe charts below illustrate the range of returns across managers in Callan’s Mutual Fund database over the most recent onequarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns acrossthose asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, thefirst bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The trianglerepresents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the Large CapEquity manager database.

Range of Mutual Fund Returns by Asset ClassOne Quarter Ended September 30, 2018

Retu

rns

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

Large Cap Small Cap Non-US Domestic GlobalEquity Equity Equity Fixed Income Fixed Income

vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi World Govt

(37)

(56)

(23)

(68)

(96)

10th Percentile 8.63 9.34 1.96 0.49 1.2025th Percentile 8.10 7.87 1.28 0.26 0.48

Median 7.21 4.53 0.51 0.11 (0.29)75th Percentile 5.97 1.16 (0.37) (0.02) (0.83)90th Percentile 4.84 (0.11) (1.11) (0.13) (0.99)

Index 7.71 3.58 1.35 0.02 (1.62)

Range of Mutual Fund Returns by Asset ClassOne Year Ended September 30, 2018

Re

turn

s

(10%)

(5%)

0%

5%

10%

15%

20%

25%

30%

35%

40%

Large Cap Small Cap Non-US Domestic GlobalEquity Equity Equity Fixed Income Fixed Income

vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi World Govt

(49)(50)

(35)

(66) (49)

10th Percentile 29.29 34.35 6.72 (0.41) 0.8225th Percentile 24.79 27.91 3.56 (0.80) (0.42)

Median 17.88 15.30 2.03 (1.15) (1.68)75th Percentile 12.80 8.90 (0.53) (1.33) (1.91)90th Percentile 9.26 5.92 (2.18) (1.57) (2.96)

Index 17.91 15.24 2.74 (1.22) (1.54)

6Oregon Savings Growth Plan

Domestic EquityActive Management Overview

The U.S. equity market posted broad gains in the third quarter, fueled by strong economic growth, soaring corporate profits,and record levels of stock buybacks. Several major indices hit record levels during the quarter, and the S&P’s 7.7% gain wasits biggest since the fourth quarter of 2013. Volatility was muted in spite of persistent headlines around tariff threats. Largegrowth stocks were the top performers (R1000G: +9.2%) while small value (R2000V: +1.6%) occupied the bottom slot. Allsectors posted positive returns within the S&P 500, but the differences were stark. Health Care (+14.5), Industrials (+10.0%),Technology (+8.8%) and the new Communication Services (+9.9%) sectors were the top performers, bookmarked byMaterials, Energy, and Real Estate all of which returned less than 1% for the quarter. Of note, effective September 28, 2018,"Communications Services" replaced "Telecommunications," which only held three stocks. The new sector adopted namesfrom Technology and Consumer Discretionary, including Facebook, Alphabet, Netflix, Twitter, and The Walt DisneyCompany and it now includes over 20 holdings.

Mutual Fund Style Group Median Returnsfor Quarter Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%

7.69

Small CapGrowth

1.45

Small CapValue

4.53

Small CapBroad

7.76

Mid CapGrowth

3.01

Mid CapValue

5.54

Mid CapBroad

7.68

Large CapGrowth

6.00

Large CapValue

7.15

Large CapCore

Re

turn

s

S&P 500: 7.71%

S&P 500 Growth: 9.28%

S&P 500 Value: 5.86%

S&P Mid Cap: 3.86%

S&P 600: 4.71%

S&P 600 Growth: 6.98%

S&P 600 Value: 2.61%

Mutual Fund Style Group Median Returnsfor One Year Ended September 30, 2018

0%

5%

10%

15%

20%

25%

30%

35%

40%

28.09

Small CapGrowth

9.79

Small CapValue

15.30

Small CapBroad

22.85

Mid CapGrowth

8.18

Mid CapValue

14.56

Mid CapBroad

26.16

Large CapGrowth

12.37

Large CapValue

15.98

Large CapCore

Re

turn

s

S&P 500: 17.91%

S&P 500 Growth: 25.21%

S&P 500 Value: 10.06%

S&P Mid Cap: 14.21%

S&P 600: 19.08%

S&P 600 Growth: 24.05%

S&P 600 Value: 14.36%


Domestic Fixed IncomeActive Management Overview

Yields rose during the quarter; the 2-year U.S. Treasury Note climbed nearly 30 bps to close at a multi-year high of 2.81%while the 10- and 30-year Treasury yields rose roughly 20 bps The yield curve continued to flatten with the spread betweenthe 2-year Treasury yield and the 10-year Treasury yield falling to 24 bps as of quarter-end. As expected, the Fed hiked shortrates by 25 bps in September and one more hike in December 2018 appears likely. Markets expect two more hikes in 2019while the median Fed projection is for three. The 10-year breakeven inflation rate rose modestly to 2.14% (9/30) from 2.11%(6/30). The Bloomberg Barclays TIPS Index fell 0.8% as rates rose. The Bloomberg Barclays Aggregate Index was flat(+0.0%) for the quarter with the U.S. Treasury sector (-0.6%) underperforming the Corporate bond sector (+1.0%). High yield(Bloomberg Barclays High Yield Index: +2.4%) outperformed and leveraged loans rose 1.8% (S&P: LSTA Leveraged Loan).


0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

0.51

Defensive

0.24

Intermed

0.11

Core Bond

2.29

High Yield

0.30

Core Plus

Re

turn

s

Blmbg Universal: 0.27%

Blmbg Aggregate: 0.02%

Blmbg High Yield: 2.40%


(2%)

(1%)

0%

1%

2%

3%

4%

0.58

Defensive

(0.80 )

Intermed

(1.15 )

Core Bond

2.50

High Yield

(0.96 )

Core Plus

Re

turn

s

Blmbg Universal: (1.00%)

Blmbg Aggregate: (1.22%)

Blmbg High Yield: 3.05%


International EquityActive Management Overview

Non-U.S. developed markets underperformed the U.S. in the third quarter. The MSCI ACWI ex-U.S. posted a meager +0.7%result. Japan was a top performer (+3.7%) as Prime Minister Abe won his intra-party leadership battle and retained his roleas President of the Liberal Democratic Party. The U.K. dropped 1.7% as uncertainty around Brexit continued to weigh oninvestors’ minds. Italy (-4.5%) sank on political turmoil and financial woes while Europe ex-UK was up 1.8%. As in the U.S.,Health Care (+4.3%) was a top performing sector while Real Estate (-2.8%) was among the worst. Emerging market equitiesdeclined (MSCI: EM -1.1%), but returns were highly divergent. Turkey (-21%) and Greece (-18%) fell the most due tomacro-economic concerns. As a region, Latin America gained 5% with Mexico (+7%) and Brazil (+6%) up the most.Elsewhere, Russia (+6%) rebounded, largely due to the surge in its Energy sector (+16%). Conversely, China (-8%)dropped given a large sell-off in Chinese technology companies (-14%). India (-2%) posted a modest loss due to a significantdecline in its Financial sector (-12%).


(6%)

(4%)

(2%)

0%

2%

4%

6%

0.64

Europe

0.30

Core Int’l

(2.85 )

Pacific Basin

3.20

Japan Only

(3.01 )

EmergingMarkets

Re

turn

s

MSCI AC World Index 4.40%

MSCI ACW ex US Free: 0.71%

MSCI EAFE: 1.35%

MSCI Europe: 0.80%

MSCI Pacific: 2.28%

MSCI Emerging Markets: (1.09%)


(10%)

(5%)

0%

5%

10%

15%

0.60

Europe

1.70

Core Int’l

2.95

Pacific Basin

8.69

Japan Only

(5.38 )

EmergingMarkets

Re

turn

s

MSCI AC World Index 10.35%

MSCI ACW ex US Free: 1.76%

MSCI EAFE: 2.74%

MSCI Europe: (0.30%)

MSCI Pacific: 8.22%

MSCI Emerging Markets: (0.81%)


Changes in Investment Fund BalancesPeriod Ended September 30, 2018

Allocation Across Investment OptionsThe chart below illustrates the allocation of the aggregate fund assets across the various investment options as ofSeptember 30, 2018.

Target Date Funds31%

Short-Term Fixed Income Option2%

Stable Value Option10%

Active Fixed Income Option5%

Stock Index Option Option12%

Large Co. Value Stock Option9%

Large Co. Growth Stock Option12%

International Stock Option5%

Small Co. Stock Option13%

Socially Resp. Option1%

Real Return Option0%

Brokerage Window1%

Changes in Fund ValuesThe chart below shows the net change in fund values across the various investment options for the quarter endedSeptember 30, 2018. The change in value for each fund is the result of a combination of 3 factors: 1) market movements; 2)contributions or disbursements into or out of the funds by the participants (and any matching done by the company); and 3)transfers between funds by the participants.

(10,000) 0 10,000 20,000 30,000 40,000

13,098Target Date Funds

(232)Short-Term Fixed Income Option

4,225Stable Value Option

5,223Active Fixed Income Option

17,075Stock Index Option Option

12,574Large Co. Value Stock Option

28,074Large Co. Growth Stock Option

858International Stock Option

10,184Small Co. Stock Option

2,642Socially Resp. Option

255Real Return Option

1,221Brokerage Window

Thousands$


Investment Manager Asset Allocation

The table below contrasts the distribution of assets across the Fund’s investment managers as of September 30, 2018, withthe distribution as of June 30, 2018. The change in asset distribution is broken down into the dollar change due to Net NewInvestment and the dollar change due to Investment Return.

Asset Distribution Across Investment Managers

September 30, 2018 June 30, 2018

Market Value Weight Net New Inv. Inv. Return Market Value WeightTier I - Asset Allocation Options

Target Date Funds $700,059,180 30.76% $(1,799,911) $14,898,200 $686,960,890 31.51%LifePath Index Retirement Fund L 195,779,822 8.60% (2,810,656) 2,940,902 195,649,576 8.97%LifePath Index 2020 Fund L 143,196,021 6.29% (1,422,704) 2,370,671 142,248,054 6.52%LifePath Index 2025 Fund L 111,018,145 4.88% 323,363 2,317,851 108,376,931 4.97%LifePath Index 2030 Fund L 81,959,890 3.60% 162,958 1,886,603 79,910,330 3.66%LifePath Index 2035 Fund L 61,024,832 2.68% 373,198 1,891,782 58,759,852 2.69%LifePath Index 2040 Fund L 41,580,403 1.83% 1,019,743 1,302,014 39,258,645 1.80%LifePath Index 2045 Fund L 27,190,422 1.19% 614,686 905,414 25,670,322 1.18%LifePath Index 2050 Fund L 23,982,486 1.05% (105,317) 779,927 23,307,876 1.07%LifePath Index 2055 Fund L 9,133,380 0.40% 118,173 311,641 8,703,565 0.40%LifePath Index 2060 Fund L 5,193,780 0.23% (73,355) 191,396 5,075,738 0.23%

Tier II - Core Investment Options

Short-Term Fixed Income Option State Street 50,078,627 2.20% (102,714) (129,145) 50,310,486 2.31%

Stable Value Option Galliard 217,813,213 9.57% 3,129,346 1,095,922 213,587,945 9.80%

Active Fixed Income Option BlackRock / DoubleLine / Wellington 116,102,144 5.10% 5,349,871 (126,594) 110,878,866 5.09%

Stock Index Option BlackRock 270,713,471 11.90% 283,188 16,791,789 253,638,495 11.63%

Large Company Value Stock Option BlackRock 202,302,128 8.89% 1,647,030 10,926,699 189,728,400 8.70%

Large Company Growth Stock Option BlackRock 277,489,958 12.19% (496,709) 28,570,346 249,416,321 11.44%

International Stock Option AQR / BlackRock / DFA* / Lazard 117,690,540 5.17% 1,918,488 (1,060,710) 116,832,763 5.36%

Small Company Stock Option BlackRock / Callan / DFA 288,780,587 12.69% 5,106,965 5,077,216 278,596,406 12.78%


Socially Responsible Investment Option TIAA-CREF 14,736,810 0.65% 286,750 2,355,608 12,094,452 0.55%

Real Return Option GMO / State Street / Wellington 4,376,563 0.19% (1,522,789) 1,778,005 4,121,348 0.19%

Brokerage Window 15,442,672 0.68% 803,274 417,653 14,221,745 0.65%

Total Fund $2,275,585,894 100.0% $14,602,789 $80,594,988 $2,180,388,117 100.0%

* DFA exposure consists of two differing strategies


Investment Fund Returns

The table below details the rates of return for the plan’s investment managers over various cumulative time periods. Negativereturns are shown in red, positive returns in black. Returns for one year or greater are annualized.

Returns for Periods Ended September 30, 2018

Last Last LastLast Last 3 5 10

Quarter Year Years Years Years


LifePath Index Retirement Fund L 1.55% 3.85% 6.15% 4.79% 5.93% LifePath Index Retirement Benchmark 1.55% 3.84% 6.14% 4.78% 5.96%

LifePath Index 2020 Fund L 1.77% 4.53% 7.17% 5.48% 6.43% LifePath Index 2020 Benchmark 1.77% 4.50% 7.14% 5.43% 6.45%







LifePath Index 2055 Fund L 3.59% 9.73% 12.62% 8.70% - LifePath Index 2055 Benchmark 3.54% 9.65% 12.46% 8.58% -

LifePath Index 2060 Fund L 3.59% 9.72% 12.59% - - LifePath Index 2060 Benchmark 3.54% 9.65% 12.46% - -


Short-Term Fixed Income Option 0.48% 1.52% 0.80% 0.49% 0.32% 3-month Treasury Bill 0.49% 1.59% 0.84% 0.52% 0.34%

Stable Value Option 0.57% 2.14% 1.90% 1.75% 1.91% 3-month Treasury Bill 0.49% 1.59% 0.84% 0.52% 0.34%

Active Fixed Income Option 0.21% (0.20%) 2.18% 2.87% 4.91% Bloomberg Aggregate Index 0.02% (1.22%) 1.31% 2.16% 3.77%

Stock Index Option 7.12% 17.62% 17.16% 13.54% 12.07% Russell 3000 Index 7.12% 17.58% 17.07% 13.46% 12.01%

Large Company Value Stock Option 5.76% 9.61% 13.61% 10.70% 10.16% Russell 1000 Value Index 5.70% 9.45% 13.55% 10.72% 9.79%

Large Company Growth Stock Option 9.12% 26.12% 20.53% 16.21% 14.09% Russell 1000 Growth Index 9.17% 26.30% 20.55% 16.58% 14.31%

International Stock Option 0.32% 0.87% 9.41% 4.33% 5.43% MSCI ACWI ex US Index 0.71% 1.76% 9.97% 4.12% 5.18%

Small Company Stock Option 4.27% 15.83% 16.92% 11.10% 12.04% Russell 2000 Index 3.58% 15.24% 17.12% 11.07% 11.11%


Socially Responsible Option 6.86% 16.20% 16.56% - - Russell 3000 Index 7.12% 17.58% 17.07% 13.46% 12.01%

Real Return Option (0.20%) 1.39% 3.57% - - Consumer Price Index + 3% 0.89% 5.34% 4.95% 4.35% 4.39%


Investment Fund Returns

The table below details the rates of return for the plan’s investment managers over various cumulative time periods. Negativereturns are shown in red, positive returns in black. Returns for one year or greater are annualized.

12/2017-9/2018 2017 2016 2015 2014


LifePath Index Retirement Fund L 1.27% 10.16% 6.07% (1.16%) 5.35% LifePath Index Retirement Benchmark 1.25% 10.10% 6.01% (1.07%) 5.36%

LifePath Index 2020 Fund L 1.53% 11.75% 6.61% (1.29%) 5.59% LifePath Index 2020 Benchmark 1.50% 11.67% 6.51% (1.28%) 5.62%








LifePath Index 2060 Fund L 3.98% 20.74% 9.19% (2.17%) - LifePath Index 2060 Benchmark 3.89% 20.55% 8.82% (2.16%) -


Short-Term Fixed Income Option 1.25% 0.84% 0.30% 0.04% 0.02% 3-month Treasury Bill 1.30% 0.86% 0.33% 0.05% 0.03%

Stable Value Option 1.63% 1.89% 1.77% 1.65% 1.44% 3-month Treasury Bill 1.30% 0.86% 0.33% 0.05% 0.03%

Active Fixed Income Option (0.72%) 4.47% 3.48% 0.82% 6.13% Bloomberg Aggregate Index (1.60%) 3.54% 2.65% 0.55% 5.97%

Stock Index Option 10.60% 21.23% 12.83% 0.61% 12.61% Russell 3000 Index 10.57% 21.13% 12.74% 0.48% 12.56%

Large Company Value Stock Option 4.03% 13.81% 17.21% (3.77%) 12.18% Russell 1000 Value Index 3.92% 13.66% 17.34% (3.83%) 13.45%

Large Company Growth Stock Option 16.94% 30.21% 7.11% 5.25% 11.63% Russell 1000 Growth Index 17.09% 30.21% 7.08% 5.67% 13.05%

International Stock Option (3.80%) 27.70% 3.46% (2.59%) (5.06%) MSCI ACWI ex US Index (3.09%) 27.19% 4.50% (5.66%) (3.87%)

Small Company Stock Option 11.32% 14.74% 21.43% (4.17%) 4.71% Russell 2000 Index 11.51% 14.65% 21.31% (4.41%) 4.89%


Socially Responsible Option 9.49% 20.71% 13.39% - - Russell 3000 Index 10.57% 21.13% 12.74% 0.48% 12.56%

Real Return Option (0.94%) 7.49% 5.34% - -Consumer Price Index + 3% 4.73% 5.18% 4.99% 3.39% 3.32%


Oregon Savings Growth PlanInvestment Manager Performance Monitoring Summary ReportSeptember 30, 2018

Last Last 3 5 7 10Quarter Year Year Year Year Year

Investment Manager Return Return Return Return Return Return


LifePath Index Retirement Fund LCallan Target Date Retirement Inc

LifePath Index Retirement Benchmark

1.6 37

1.6 37

3.9 13

3.8 13

6.2 22

6.1 23

4.8 25

4.8 26

5.9 29

5.8 29

5.9 28

6.0 24

LifePath Index 2020 Fund LCallan Target Date 2020

LifePath Index 2020 Benchmark

1.8 77

1.8 77

4.5 62

4.5 63

7.2 72

7.1 73

5.5 66

5.4 66

7.2 71

7.2 72

6.4 72

6.4 71



2.2 69

2.2 70

5.8 57

5.8 61

8.5 68

8.4 70

6.2 70

6.2 72

8.3 79

8.2 79

6.9 80

7.0 80



2.6 73

2.6 75

6.9 57

6.9 59

9.7 72

9.6 73

6.9 71

6.8 74

9.1 75

9.0 81

7.4 76

7.4 76



3.0 68

3.0 72

8.0 54

7.9 57

10.9 68

10.7 74

7.5 72

7.4 75

10.0 87

9.8 89

7.8 83

7.8 84



3.3 66

3.3 67

8.9 48

8.8 52

11.8 48

11.7 56

8.1 71

8.0 74

10.7 79

10.5 83

8.2 73

8.1 75



3.5 60

3.5 64

9.5 45

9.4 49

12.4 47

12.3 55

8.5 69

8.3 76

11.3 85

11.1 86

8.4 78

8.4 79



3.6 54

3.5 61

9.8 42

9.6 47

12.6 42

12.5 53

8.6 66

8.5 70

11.7 69

11.5 72

8.7 55

8.7 56



3.6 53

3.5 60

9.8 48

9.7 49

12.6 56

12.5 62

8.7 68

8.6 78

12.0 72

11.8 82



3.6 60

3.5 66

9.7 53

9.7 56

12.6 65

12.5 70

Returns:above medianthird quartilefourth quartile

15





Short-Term Fixed Income OptionCallan Money Market Funds

3-month Treasury Bill

0.5 6

0.5 5

1.5 5

1.6 4

0.8 2

0.8 2

0.5 2

0.5 2

0.4 3

0.4 2

0.3 6

0.3 4

Stable Value OptionCallan Stable Value CT


0.6 13

0.5 41

2.1 11

1.6 74

1.9 20

0.8 99

1.7 26

0.5 99

1.7 32

0.4 99

1.9 46

0.3 100

Active Fixed Income OptionCallan Core Plus MFs


0.2 65

0.0 79

-0.2 13

-1.2 61

2.2 51

1.3 86

2.9 46

2.2 84

2.9 66

2.0 96

4.9 51

3.8 91

Stock Index Option (i)Callan All Cap Core MFs

Russell 3000 Index

7.1 24

7.1 24

17.6 20

17.6 21

17.2 13

17.1 14

13.5 12

13.5 14

16.9 15

16.9 17

12.1 18

12.0 19

Large Company Value Stock Option (i)Callan Large Cap Value MFs

Russell 1000 Value Index

5.8 57

5.7 57

9.6 76

9.5 76

13.6 63

13.6 64

10.7 59

10.7 59

15.6 36

15.0 46

10.2 40

9.8 55

Large Company Growth Stock Option (i)Callan Large Cap Growth MFs

Russell 1000 Growth Index

9.1 8

9.2 8

26.1 51

26.3 49

20.5 16

20.6 16

16.2 32

16.6 26

18.6 32

18.7 30

14.1 31

14.3 30

International Stock OptionCallan Non US Equity MFs

MSCI ACWI ex US Index

0.3 58

0.7 43

0.9 65

1.8 54

9.4 38

10.0 32

4.3 54

4.1 58

8.6 48

7.2 89

5.4 54

5.2 59

Small Company Stock OptionCallan Small Cap MFs

Russell 2000 Index

4.3 52

3.6 56

15.8 48

15.2 50

16.9 44

17.1 43

11.1 45

11.1 45

16.2 46

16.4 45

12.0 50

11.1 60

Returns:

above median

third quartile

fourth quartile

16

(i) - Indexed scoring method used. Green: manager & index ranking differ by <= +/- 10%tile. Yellow: manager & index ranking differ by <= +/- 20%tile. Red: manager & indexranking differ by > +/- 20%tile.





Socially Responsible OptionCallan All Cap Core MFs

Russell 3000 Index

6.9 31

7.1 24

16.2 32

17.6 21

16.6 18

17.1 14 13.5 14 16.9 17 12.0 19

Real Return Option

Consumer Price Index + 3%

-0.2

0.9

1.4

5.3

3.6

5.0 4.4 4.4 4.4

Returns:above medianthird quartilefourth quartile

17

18

Oregon Savings Growth Plan Investment Options Fee Summary*September 30, 2018

Oregon Savings Growth Plan

*Investment option fee data provided by OST

Asset Class and Strategy

Total Annual Operating

Expense Ratio*

Institutional Peer Group

Median

Asset Allocation Options LifePath Index Retirement, 2020 – 2060 Funds; L 0.090% 0.08% Capital Preservation Short-Term Fixed Income Option 0.110% 0.44% Stable Value Option 0.380% 0.41% Fixed Income Active Fixed Income Option 0.172% 0.76% U.S. Large Cap Equity Stock Index Option 0.039% 0.04% Large Company Value Stock Option 0.031% 0.04% Large Company Growth Stock Option 0.030% 0.04% U.S. Small Cap Equity Small Company Stock Option 0.391% 1.15%

International Equity

International Stock Option 0.374% 1.10%

Specialty Options

Socially Responsible Investment Option 0.180% 0.90%

Real Return Option 0.534% 0.65%

LifePath Index FundTarget Date Glide Path Analysis as of September 30, 2018

The following charts illustrate the asset allocation "glide path" underlying the relevant suite of target date funds. This analysiscovers forty years of investor wealth accumulation up to retirement, as well as twenty years of wealth decumulation followingretirement. The top chart shows the "pure" equity exposure (public equities excluding REITs) versus the peer group andindex. The subsequent charts show more asset allocation detail at the high "macro" level.

Equity Rolldown Analysis

% P

ure

Eq

uity

0%

25%

50%

75%

100%



Callan Glide Path Universe (ALL)

Callan Consensus ALL Glidepath LifePath Index Fund

Macro-Level Asset Allocation Glide Path - LifePath Index Fund

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

Real AssetsDomestic FixedReal EstateIntl EquityDomestic Broad Eq

Macro-Level Asset Allocation Glide Path - Callan Consensus ALL Glidepath

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

Real AssetsAbsolute Return/GTAACash EquivOtherIntl Fixed-IncDomestic FixedReal EstateIntl EquityDomestic Broad Eq



The following charts illustrate the asset allocation "glide path" underlying the relevant suite of target date funds. This analysiscovers forty years of investor wealth accumulation up to retirement, as well as twenty years of wealth decumulation followingretirement. The top chart highlights any significant "macro-level" differences between the manager’s asset allocation glidepath and that of the glide path index. The bottom two charts illustrate the asset allocation glide paths of both the managerand index at the more detailed "micro" level.

Relative Macro Asset Allocation - LifePath Index Fund vs. Callan Consensus ALL Glidepath

% R

ela

tive

We

igh

ts

-10%

-5%

0%

5%

10%

15%



Domestic Broad EqReal EstateDomestic FixedReal AssetsIntl Fixed-IncCash EquivAbsolute Return/GTAA

Micro-Level Asset Allocation Glide Path - LifePath Index Fund

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

CommoditiesTIPSCore BondGlobal REITSEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq

Micro-Level Asset Allocation Glide Path - Callan Consensus ALL Glidepath

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

CommoditiesCash EquivTIPSCore BondGlobal REITSOther-Real EstateEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad EqNatural Resouces EqSm Cap Dev ex-USOther-Dom FixedOther



The first two charts below illustrate the detailed composition over time of the "risky", or "growth" portion of the glide paths forboth the manager and index, defined to be all public equity and real estate asset classes. These charts highlight both thelevels of diversification and aggressiveness within the wealth creation portion of the glide paths. The last two charts serve asimilar purpose but focus on the composition over time of the remaining wealth preservation portion (non-equity) of themanager and index glide paths.

Micro-Level Equity Allocation Glide Path - LifePath Index Fund

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

CommoditiesGlobal REITSEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq

Micro-Level Equity Asset Allocation Glide Path - Callan Consensus ALL Glidepath

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht Commodities

Real EstateGlobal REITSDomestic REITEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad EqNatural Resouces EqSm Cap Dev ex-US

Micro-Level Non-Equity Allocation Glide Path - LifePath Index Fund

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

TIPSCore Bond

Micro-Level Non-Equity Asset Allocation Glide Path - Callan Consensus ALL Glidep

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

Absolute Return/GTAACash EquivStable ValueIntl Fixed-IncTIPSShort Term FixedCore BondExtended MaturityHigh YieldST TIPSInt’l Fixed HedgedBank LoansEmerging Mkts Debt


Equal-Weighted - BlackRock LifePath IndexTarget Date Fund Family Analysis as of September 30, 2018

The following is an analysis of the suite of target date funds as an aggregated portfolio using equal-weighting by target date.The upper-left pie chart shows equal-weighting across target dates. The rest of the charts compare different attributes of theaggregated target date portfolio to a peer group of target date fund families, as well as target date indices, by mimicking theequal-weighted target date suites using these alternatives. The first two charts evaluate the aggregate equity exposure andexpense ratio via target date funds. The last two charts analyze aggregate target date performance on both an actual returnbasis as well as a "glide path return" basis (simulated returns using each funds’ asset allocation "glide path" weights andindex returns).

Glidepath Peer Group: ALL Fee/Return Type: Institutional Net

Fund Family Allocation

Income10.0%

202010.0%

202510.0%

203010.0%

203510.0%2040

10.0%

204510.0%

205010.0%

205510.0%

206010.0%

Equity Exposure

55%

60%

65%

70%

75%

80%

(84)

(53)

10th Percentile 76.1925th Percentile 73.94

Median 69.3075th Percentile 64.9790th Percentile 59.67

BlackRockLifePath Index 63.60

Callan ConsensusALL Glidepath 68.23

Expense Ratio

0.00%0.05%0.10%0.15%0.20%0.25%0.30%0.35%0.40%0.45%0.50%

PassiveOnly

(58)



BlackRockLifePath Index 0.10

Target Date Family Performance vs Peer Families

0%2%4%6%8%

10%12%14%

Last Last Last 3 Last 5 Last 7 Last 10Quarter Year Years Years Years Years

(63)(21)

(52)(24)

(64)(40)

(78)(51)(83)(60)

(78)(50)



BlackRockLifePath Index 2.87 7.66 10.43 7.28 9.61 7.19

Callan ConsensusALL Glidepath 3.34 8.28 10.84 7.84 10.26 7.83

Target Date Family Glide Path Returns vs Peer Families

0%2%4%6%8%

10%12%14%

Last Last Last 3 Last 5 Last 7 Last 10Quarter Year Years Years Years Years

(82)(60)

(70)(58)(79)(60)

(77)(73)(77)(68)

(80)(69)



BlackRockLifePath Index 2.99 7.79 10.21 7.37 9.71 7.32

Callan ConsensusALL Glidepath 3.34 8.28 10.84 7.84 10.26 7.83


LifePath Index Retirement Fund LPeriod Ended September 30, 2018

Investment PhilosophyLifePath Index Retirement Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) now or in the near future may be willing toaccept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and HighlightsLifePath Index Retirement Fund L’s portfolio posted a 1.56% return for the quarter placing it in the 37 percentile of theCallan Target Date Retirement Income group for the quarter and in the 13 percentile for the last year.

LifePath Index Retirement Fund L’s portfolio outperformed the LifePath Idx Retiremnt CB by 0.01% for the quarter andoutperformed the LifePath Idx Retiremnt CB for the year by 0.04%.

Performance vs Callan Target Date Retirement Income (Institutional Net)

0%

1%

2%

3%

4%

5%

6%

7%

8%

Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 YearsYear

(37)(37)

(13)(13)

(22)(23)

(25)(26)

(29)(29) (28)(24)



LifePath IndexRetirement Fund L 1.56 3.88 6.16 4.80 5.85 5.93

LifePath IdxRetiremnt CB 1.55 3.84 6.14 4.78 5.83 5.96

Relative Return vs LifePath Idx Retiremnt CB

Rela

tive

Re

turn

s

(0.15%)

(0.10%)

(0.05%)

0.00%

0.05%

0.10%

13 2014 2015 2016 2017 2018

LifePath Index Retirement Fund L

Callan Target Date Retirement Income (Institutional Net)Annualized Five Year Risk vs Return

1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.01.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

LifePath Index Retirement Fund L

LifePath Idx Retiremnt CB

Standard Deviation

Re

turn

s


LifePath Index Retirement Fund LTarget Date Fund Asset Allocation as of September 30, 2018

The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glidepath and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, whilethe middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target assetallocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versusthose peer target date funds.


0%

10%

20%

30%

40%

50%

60%

70%

80%


25.1

10.7

0.5

60.0

3.7


22.5

10.4

1.8

53.4

5.4 3.3 2.0 1.1



0%

10%

20%

30%

40%

50%

60%

70%


19.5

5.78.7

1.9 0.5

51.2

8.83.7


18.0

4.38.4

2.0 1.2 0.6

34.1

8.7

3.1 1.1 0.2

7.710.7



Macro Asset Allocation Rankings vs. Callan Target Date Retirement Income

% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%

Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ RealEq Equity Estate Fixed Inc Value/Cash GTAA Assets

(14)(24)

(39)(41)

(65)(40)

(50)(67)

(21) (38) (16) (13)(48)

10th Percentile 26.29 14.40 5.00 70.00 11.38 28.50 7.00 3.7425th Percentile 22.00 12.00 2.50 66.30 3.40 6.00 0.00 2.20

Median 19.45 9.63 1.00 59.99 0.00 0.00 0.00 1.0075th Percentile 15.80 7.17 0.00 49.58 0.00 0.00 0.00 0.0090th Percentile 12.01 3.98 0.00 33.74 0.00 0.00 0.00 0.00

LifePath IndexRetirement Fund L - Targe 25.11 10.66 0.50 59.99 - - - 3.74

Callan TgtDt Idx 2010 22.50 10.40 1.83 53.43 5.41 3.28 2.03 1.11


LifePath Index 2020 Fund LPeriod Ended September 30, 2018

Investment PhilosophyLifePath Index 2020 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investorsplanning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2020 may bewilling to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and HighlightsLifePath Index 2020 Fund L’s portfolio posted a 1.78% return for the quarter placing it in the 77 percentile of the CallanTarget Date 2020 group for the quarter and in the 62 percentile for the last year.

LifePath Index 2020 Fund L’s portfolio outperformed the LifePath Index 2020 CB by 0.01% for the quarter andoutperformed the LifePath Index 2020 CB for the year by 0.05%.


0%

2%

4%

6%

8%

10%

12%


(77)(77)

(62)(63)

(72)(73)

(66)(66)

(71)(72)

(72)(71)



LifePath Index2020 Fund L 1.78 4.55 7.18 5.48 7.22 6.43

LifePathIndex 2020 CB 1.77 4.50 7.14 5.43 7.17 6.45

Relative Return vs LifePath Index 2020 CB

Rela

tive

Re

turn

s

(0.15%)

(0.10%)

(0.05%)

0.00%

0.05%

0.10%

0.15%

13 2014 2015 2016 2017 2018

LifePath Index 2020 Fund L

Callan Target Date 2020 (Institutional Net)Annualized Five Year Risk vs Return

2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.03%

4%

5%

6%

7%

8%

9%


LifePath Index 2020 CB

Standard Deviation

Re

turn

s


LifePath Index 2020 Fund LTarget Date Fund Asset Allocation as of September 30, 2018



0%

10%

20%

30%

40%

50%

60%

70%

80%


27.6

12.8

1.5

54.4

3.7


29.5

14.3

2.0

44.2

4.72.2 1.9 1.2



0%

10%

20%

30%

40%

50%

60%

70%


21.7

5.910.5

2.3 1.5

46.5

7.83.7


23.5

5.8

11.4

2.8 1.3 0.7

30.1

6.12.1 1.2 0.1 0.1

6.7 8.0



Macro Asset Allocation Rankings vs. Callan Target Date 2020

% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%


(67)(54)

(72)(66)

(45)(38)

(22)

(51)

(27) (13) (15) (12)(40)



LifePath Index2020 Fund L - Target 27.59 12.81 1.50 54.37 - - - 3.73

Callan TgtDt Idx 2020 29.51 14.28 2.03 44.23 4.70 2.19 1.90 1.16







0%

2%

4%

6%

8%

10%

12%


(69)(70)

(57)(61)

(68)(70)

(70)(72)

(79)(79)

(80)(80)






Rela

tive

Re

turn

s

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

13 2014 2015 2016 2017 2018



3.5 4.0 4.5 5.0 5.5 6.0 6.54.5%

5.0%

5.5%

6.0%

6.5%

7.0%

7.5%

8.0%

8.5%

9.0%



Standard Deviation

Re

turn

s





0%

10%

20%

30%

40%

50%

60%


32.2

16.6

3.9

43.6

3.8


35.6

17.8

2.2

36.1

4.01.5 1.7 1.2



0%

10%

20%

30%

40%

50%


25.9

6.4

13.6

3.0 3.9

37.4

6.13.8


28.3

7.1

14.1

3.61.3 0.9

25.5

4.21.5 1.2 0.1 0.1

5.7 6.3




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%


(76)(66)

(74)(66)

(20)(40)

(20)

(44)

(29) (14) (12) (11)(39)




Callan TgtDt Idx 2025 35.57 17.83 2.19 36.07 3.99 1.49 1.67 1.19







0%

2%

4%

6%

8%

10%

12%

14%


(73)(75)

(57)(59)

(72)(73)

(71)(74)

(75)(81)

(76)(76)






Rela

tive

Re

turn

s

(0.20%)

(0.15%)

(0.10%)

(0.05%)

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

13 2014 2015 2016 2017 2018



4.0 4.5 5.0 5.5 6.0 6.5 7.04%

5%

6%

7%

8%

9%

10%



Standard Deviation

Re

turn

s





0%

10%

20%

30%

40%

50%

60%


36.9

20.2

6.5

32.5

3.9


41.9

21.7

2.4

27.1

3.21.1 1.5 1.2



0%

10%

20%

30%

40%

50%


30.2

6.7

16.6

3.66.5

28.0

4.4 3.9


33.2

8.6

17.0

4.41.3 1.1

19.9

2.5 1.1 1.2 0.2 0.1

4.7 4.7




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%


(75)(60)

(70)(61)

(8)(43)

(19)(51)

(29) (22) (13) (14)(42)




Callan TgtDt Idx 2030 41.87 21.65 2.38 27.14 3.19 1.09 1.46 1.21







0%

5%

10%

15%


(68)(72)

(54)(57)

(68)(74)

(72)(75)

(87)(89)

(83)(84)






Rela

tive

Re

turn

s

(0.30%)

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

0.30%

13 2014 2015 2016 2017 2018



4.5 5.0 5.5 6.0 6.5 7.0 7.55.5%

6.0%

6.5%

7.0%

7.5%

8.0%

8.5%

9.0%

9.5%

10.0%



Standard Deviation

Re

turn

s





0%

10%

20%

30%

40%

50%

60%

70%


41.3

23.7

9.0

22.1

3.9


47.2

25.2

2.6

19.2

2.4 0.9 1.2 1.2



0%

10%

20%

30%

40%

50%


34.2

7.1

19.4

4.3

9.0

19.2

2.9 3.9


37.3

9.8

19.7

5.3

1.3 1.3

14.5

1.3 0.9 1.2 0.2 0.13.6 3.5




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%


(81)(61)

(68)(55)

(8)(42)

(31)(53)

(25) (21) (7) (16)(39)




Callan TgtDt Idx 2035 47.24 25.21 2.60 19.24 2.36 0.91 1.21 1.23







0%

5%

10%

15%


(66)(67)

(48)(52)

(48)(56)

(71)(74)

(79)(83)

(73)(75)






Rela

tive

Re

turn

s

(0.30%)

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

0.30%

13 2014 2015 2016 2017 2018



4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.54%

5%

6%

7%

8%

9%

10%

11%



Standard Deviation

Re

turn

s





0%

10%

20%

30%

40%

50%

60%

70%


45.2

26.9

11.4 12.5

4.0


51.2

28.1

2.8

13.3

1.6 0.8 1.0 1.2



0%

10%

20%

30%

40%

50%

60%


37.7

7.6

22.0

4.8

11.4 11.0

1.54.0


40.4

10.7

21.8

6.1

1.3 1.5

10.0

0.6 0.8 1.2 0.3 0.12.7 2.6




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%


(80)(56)

(60)(46)

(5)

(40)

(56)(48)

(24) (19) (8) (18)(42)




Callan TgtDt Idx 2040 51.23 28.09 2.76 13.25 1.64 0.75 1.03 1.24







0%

5%

10%

15%


(60)(64)

(45)(49)

(47)(55)

(69)(76)

(85)(86)

(78)(79)






Rela

tive

Re

turn

s

(0.30%)

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

0.30%

0.40%

13 2014 2015 2016 2017 2018



5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.05%

6%

7%

8%

9%

10%

11%



Standard Deviation

Re

turn

s





0%

10%

20%

30%

40%

50%

60%

70%


47.8

29.4

13.4

5.3 4.2


53.5

29.9

2.9

9.7

1.2 0.6 0.9 1.3



0%

10%

20%

30%

40%

50%

60%


39.6

8.1

24.1

5.3

13.4

4.70.6

4.2


42.2

11.3

23.0

6.6

1.3 1.6

7.4

0.4 0.6 1.3 0.3 0.12.1 2.0




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%


(84)(61)

(51)(35)

(5)

(42) (87)(45)

(34) (18) (7) (16)(39)




Callan TgtDt Idx 2045 53.54 29.88 2.88 9.71 1.18 0.62 0.94 1.25







0%

5%

10%

15%


(54)(61)

(42)(47)

(42)(53)

(66)(70)

(69)(72)

(55)(56)






Rela

tive

Re

turn

s

(0.30%)

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

0.30%

0.40%

13 2014 2015 2016 2017 2018



5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.05%

6%

7%

8%

9%

10%

11%



Standard Deviation

Re

turn

s





0%

10%

20%

30%

40%

50%

60%

70%

80%


48.8

30.7

14.4

1.84.3


54.6

30.7

2.98.1

1.0 0.5 0.9 1.3



0%

10%

20%

30%

40%

50%

60%


40.3

8.5

25.2

5.5

14.4

1.7 0.14.3


42.9

11.6

23.6

6.8

1.3 1.76.1

0.3 0.5 1.3 0.3 0.1 1.9 1.7




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%


(81)(55)

(45)(42)

(5)

(37) (99)(47)

(37) (13) (8) (18)(41)




Callan TgtDt Idx 2050 54.55 30.74 2.95 8.06 0.98 0.55 0.91 1.25







0%

5%

10%

15%

Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 8-1/2Year Years

(53)(60)

(48)(49)

(56)(62)

(68)(78)

(72)(82)

(37)




LifePathIndex 2055 CB 3.54 9.65 12.46 8.58 11.83 -


Rela

tive

Re

turn

s

(0.30%)

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

0.30%

0.40%

13 2014 2015 2016 2017 2018



5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.06.5%

7.0%

7.5%

8.0%

8.5%

9.0%

9.5%

10.0%

10.5%

11.0%

11.5%



Standard Deviation

Re

turn

s





0%

10%

20%

30%

40%

50%

60%

70%

80%


49.1

31.0

14.7

1.04.3


55.1

31.2

3.07.2

0.9 0.5 0.9 1.3



0%

10%

20%

30%

40%

50%

60%


40.5

8.6

25.4

5.6

14.7

1.04.3


43.3

11.7

23.9

7.0

1.3 1.75.4

0.5 1.3 0.3 0.1 1.8 1.8

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond Cash Equiv



% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%


(84)(58)

(47)(41)

(5)

(39) (100)(51)

(37) (13) (7) (17)(39)




Callan TgtDt Idx 2055 55.07 31.18 2.97 7.18 0.89 0.54 0.91 1.26







0%

5%

10%

15%

Last Quarter Last Year Last 3 Years Last 3-3/4 Years

(60)(66)

(53)(56)

(65)(70)

(78)(83)

10th Percentile 4.51 11.19 13.65 9.4725th Percentile 4.08 10.43 13.28 9.04

Median 3.72 9.82 12.91 8.7075th Percentile 3.35 8.84 12.34 8.2190th Percentile 3.05 8.20 11.35 7.24

LifePath Index2060 Fund L 3.60 9.74 12.60 8.15

LifePathIndex 2060 CB 3.54 9.65 12.46 7.98


Rela

tive

Re

turn

s

(0.40%)

(0.30%)

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

0.30%

0.40%

2015 2016 2017 2018


Callan Target Date 2060 (Institutional Net)Annualized Three and Three-Quarter Year Risk vs Return

6.4 6.6 6.8 7.0 7.2 7.4 7.66.5%

7.0%

7.5%

8.0%

8.5%

9.0%

9.5%

10.0%

10.5%



Standard Deviation

Re

turn

s


Short-Term Fixed Income OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsShort-Term Fixed Income Option’s portfolio posted a 0.48% return for the quarter placing it in the 6 percentile of theCallan Money Market Instrument Funds group for the quarter and in the 5 percentile for the last year.

Short-Term Fixed Income Option’s portfolio underperformed the 3-month Treasury Bill by 0.01% for the quarter andunderperformed the 3-month Treasury Bill for the year by 0.07%.


0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%


(6)(5)

(5)(4)

(2)(2)

(2)(2)

(3)(2)

(6)(4)



Short-Term FixedIncome Option 0.48 1.52 0.80 0.49 0.36 0.32

3-monthTreasury Bill 0.49 1.59 0.84 0.52 0.39 0.34

Relative Return vs 3-month Treasury Bill

Rela

tive

Re

turn

s

(0.03%)

(0.02%)

(0.01%)

0.00%

0.01%

0.02%

0.03%

0.04%

13 2014 2015 2016 2017 2018


Callan Money Market Instrument Funds (Institutional Net)Annualized Five Year Risk vs Return

0.00 0.10 0.20 0.30 0.40 0.50 0.600.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

0.90%

1.00%



Standard Deviation

Re

turn

s


Short-Term Fixed Income OptionReturn Analysis Summary

Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark.

Risk Adjusted Return Measures vs 3-month Treasury BillFive Years Ended September 30, 2018

Tracking Standard Sharpe Excess DownsideAlpha Beta Error Deviation Ratio Return Risk

Short-Term Fixed Income Option (0.03%) 0.00 0.02 0.30% (0.09 ) (0.03 ) 0.02%


0.0%

0.5%

1.0%

1.5%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(5)(4)

(5)(4)

(4)(3)

(12)(9) (19)(7) (9)(2) (8)(3)



Short-Term FixedIncome Option 1.25 0.84 0.30 0.04 0.02 0.03 0.07

3-month Treasury Bill 1.30 0.86 0.33 0.05 0.03 0.07 0.11

Cumulative and Quarterly Relative Return vs 3-month Treasury Bill

Re

lative

Re

turn

s

(1.2%)

(1.0%)

(0.8%)

(0.6%)

(0.4%)

(0.2%)

0.0%

0.2%

2013 2014 2015 2016 2017 2018

Short-Term Fixed Income Option Callan Money Market Funds


Stable Value OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsStable Value Option’s portfolio posted a 0.57% return for the quarter placing it in the 13 percentile of the Callan StableValue CT group for the quarter and in the 11 percentile for the last year.

Stable Value Option’s portfolio outperformed the 3-month Treasury Bill by 0.08% for the quarter and outperformed the3-month Treasury Bill for the year by 0.55%.


0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%


(13)(41)

(11)

(74)

(20)

(99)

(26)

(99)

(32)

(99)

(46)

(100)



StableValue Option 0.57 2.14 1.90 1.75 1.75 1.91

3-monthTreasury Bill 0.49 1.59 0.84 0.52 0.39 0.34

Relative Return vs 3-month Treasury Bill

Rela

tive

Re

turn

s

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

0.40%

0.45%

0.50%

13 2014 2015 2016 2017 2018

Stable Value Option

Callan Stable Value CT (Institutional Net)Annualized Five Year Risk vs Return

0.00 0.05 0.10 0.15 0.20 0.25 0.30 0.350.0%

0.5%

1.0%

1.5%

2.0%

2.5%

Stable Value Option


Standard Deviation

Re

turn

s


Stable Value OptionReturn Analysis Summary

Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark.

Risk Adjusted Return Measures vs 3-month Treasury BillFive Years Ended September 30, 2018

Tracking Standard Sharpe Excess DownsideAlpha Beta Error Deviation Ratio Return Risk

Stable Value Option 1.23% 0.00 0.20 0.13% 9.59 1.23 0.00%


0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(11)

(48)

(12)

(100)

(12)

(98)

(16)

(94)

(28)

(94)

(30)

(96)

(54)

(98)



Stable Value Option 1.63 1.89 1.77 1.65 1.44 1.65 1.74

3-month Treasury Bill 1.30 0.86 0.33 0.05 0.03 0.07 0.11

Cumulative and Quarterly Relative Return vs 3-month Treasury Bill

Re

lative

Re

turn

s

0%

1%

2%

3%

4%

5%

6%

7%

8%

2013 2014 2015 2016 2017 2018

Stable Value Option Callan Stable Value CT


Stable Value OptionStable Value Characteristics Analysis Summary

Portfolio CharacteristicsThis graph compares the stable value fund’s portfolio characteristics with the range of characteristics for the portfolios whichmake up the fund’s style group. This analysis illustrates whether the fund’s current structure is consistent with other fundsemploying the same style.

Portfolio Characteristics Percentile RankingsRankings Against Callan Stable Value CTas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Market/Book Crediting Yield on Wrap Sub-AdvisoryDuration Ratio Rate Underlying Assets Fees Fees

(40)

(100)

(24)(31)

(74)

(99)

(19)




3-month Treasury Bill 0.16 - - - - -

Wrap Structure and DiversificationThe graph below represents the stable value fund’s wrap contract structure as of the most recent reporting period. The fund’soverall wrap structure may include exposure to constant duration or maturing synthetic GIC contracts, traditional GICcontracts, cash, or other exposures. These contracts allow stable value portfolios to maintain book value accountingpractices and a stable net asset value.

Portfolio Wrap ExposureSeptember 30, 2018

Const Dur Synthetic83.01%

Separate Account GIC10.13%

Cash4.94%

Stable Value Pooled1.90%

Traditional GIC/BIC0.02%

Wrap Contract DiversificationSeptember 30, 2018

2

4

6

8

10

12

14

16

Number ofWrap Providers

(2)



Stable Value Option 13.0


Stable Value OptionStable Value Portfolio Characteristics SummaryAs of September 30, 2018

Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from two perspectives that have the greatestinfluence on return. The first chart compares the portfolio’s duration distribution versus the benchmark, and the second chartcompares the distributions across quality ratings.

Duration Distribution

0%

20%

40%

60%

80%

100%

120%

<1

22.8

100.0

1-3

35.6

3-5

26.5

5-7

10.4

7-10

4.2

>10

0.5

Years Duration

Pe

rce

nt o

f P

ort

folio

Weighted Average: Duration

Stable Value Option:3-month Treasury Bill:

2.83

0.16

Quality Distribution

0%

20%

40%

60%

80%

100%

120%

AAA

65.8

100.0

AA

7.2

A

15.9

BBB

11.0

<BBB

0.1

Quality Rating

Pe

rce

nt

of

Po

rtfo

lio

Weighted Average: Quality

Stable Value Option:3-month Treasury Bill:

AA

AAA

Market-to-Book Ratio and Crediting Rates Over TimeThe market-to-book ratio chart below depicts the historical movement of the stable value portfolio’s market-to-book ratio overtime. This statistic measures the overall health of the underlying portfolio. Portfolios with market-to-book ratios closer to100% will be better positioned to absorb flows and should offer greater return stability over time. The crediting rate chartbelow depicts the historical movement of the stable value portfolio’s crediting rate over time. As a backdrop the range (from10th to 90th percentile) is shown along with a white median line for the Callan Stable Value CT Universe.

Market-to-Book Ratio

Pe

rce

nt

96%

97%

98%

99%

100%

101%

102%

103%

104%

2014 2015 2016 2017 2018

98.17%98.36%

Stable Value Option

Crediting Rate

Perc

en

t

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

2014 2015 2016 2017 2018

2.26%2.42%

Stable Value Option


Active Fixed Income OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsActive Fixed Income Option’s portfolio posted a 0.21% return for the quarter placing it in the 65 percentile of the CallanCore Plus Mutual Funds group for the quarter and in the 13 percentile for the last year.

Active Fixed Income Option’s portfolio outperformed the Bloomberg Aggregate Index by 0.19% for the quarter andoutperformed the Bloomberg Aggregate Index for the year by 1.01%.


(4%)

(2%)

0%

2%

4%

6%

8%


(65)(79)

(13)

(61)

(51)

(86)

(46)

(84)

(66)

(96)

(51)

(91)



Active FixedIncome Option 0.21 (0.20) 2.18 2.87 2.88 4.91

BloombergAggregate Index 0.02 (1.22) 1.31 2.16 2.02 3.77

Relative Returns vsBloomberg Aggregate Index

Rela

tive

Re

turn

s

(0.6%)

(0.4%)

(0.2%)

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

13 2014 2015 2016 2017 2018


Callan Core Plus Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

2.0 2.5 3.0 3.5 4.0 4.5 5.01.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%



Standard Deviation

Re

turn

s


Active Fixed Income OptionReturn Analysis Summary

Return AnalysisThe graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates themanager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterlyand cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s rankingrelative to their style using various risk-adjusted return measures.


(6%)(4%)(2%)

0%2%4%6%8%

10%12%14%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(10)(66)

(56)(78) (58)(90)(9)(14)

(33)(43)

(82)(87)

(81)(100)

10th Percentile (0.73) 6.88 8.11 0.73 7.18 0.49 10.7525th Percentile (1.22) 5.32 4.68 0.38 6.35 (0.12) 10.19

Median (1.35) 4.73 3.70 0.02 5.88 (0.99) 8.0775th Percentile (1.76) 3.83 3.14 (0.79) 5.44 (1.35) 7.0690th Percentile (2.25) 3.14 2.62 (2.62) 4.64 (2.04) 6.07

Active FixedIncome Option (0.72) 4.47 3.48 0.82 6.13 (1.55) 6.55

BloombergAggregate Index (1.60) 3.54 2.65 0.55 5.97 (2.02) 4.21

Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index

Re

lative

Re

turn

s

(2%)

(1%)

0%

1%

2%

3%

4%

5%

2013 2014 2015 2016 2017 2018

Active Fixed Income Option Callan Core Plus MFs

Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(0.5)

0.0

0.5

1.0

1.5

2.0

Alpha Sharpe Excess ReturnRatio Ratio

(30) (16)

(6)

10th Percentile 1.68 0.98 1.2125th Percentile 1.03 0.83 0.95

Median 0.67 0.71 0.4775th Percentile 0.35 0.64 0.1990th Percentile (0.18) 0.48 (0.11)

Active Fixed Income Option 0.90 0.91 1.30


Active Fixed Income OptionRisk Analysis Summary

Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’srisk statistics versus the peer group.

Risk Analysis vs Callan Core Plus Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5(1.0 )

(0.5 )

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5


Tracking Error

Exce

ss R

etu

rn

Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index

Tra

ckin

g E

rro

r

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

2014 2015 2016 2017 2018

Active Fixed Income OptionCallan Core Plus MFs

Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

Standard Downside TrackingDeviation Risk Error

(95)

(99)(95)


Median 2.92 0.60 1.0175th Percentile 2.75 0.40 0.6990th Percentile 2.64 0.30 0.61

Active FixedIncome Option 2.58 0.20 0.54

0.60

0.70

0.80

0.90

1.00

1.10

Beta R-Squared

(68)

(3)

10th Percentile 1.04 0.9625th Percentile 1.01 0.95

Median 0.94 0.9075th Percentile 0.85 0.8090th Percentile 0.84 0.67

Active FixedIncome Option 0.87 0.98


Active Fixed Income OptionBond Characteristics Analysis Summary

Portfolio CharacteristicsThis graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make upthe manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with othermanagers employing the same style.

Fixed Income Portfolio CharacteristicsRankings Against Callan Core Plus Mutual Fundsas of September 30, 2018

(2)

0

2

4

6

8

10

Average Effective Coupon OADuration Life Yield Rate Convexity

(72)(37)

(1)(1)

(52)(76) (47)(62)

(82)(52)


Median 5.84 7.77 3.90 3.38 0.4075th Percentile 5.30 6.80 3.53 2.85 0.1190th Percentile 4.65 5.25 2.37 2.50 (0.36)

Active FixedIncome Option 5.40 8.31 3.87 3.42 (0.12)

BloombergAggregate Index 6.03 8.42 3.46 3.16 0.36

Sector Allocation and Quality RatingsThe first graph compares the manager’s sector allocation with the average allocation across all the members of themanager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratingsfor the style.

Sector AllocationSeptember 30, 2018

(20%) (10%) 0% 10% 20% 30% 40% 50%

RMBS

36.922.7

28.1

Corp (incl 144A)

18.9

50

%M

gr

MV

50

%M

gr

MV

28.925.1

US Trsy

16.739.4

38.0

Non-Agency RMBS

14.24.4

ABS

6.33.0

0.5

CMBS

4.93.9

1.9

Gov Related

2.90.9

6.3

CMOs

1.0

Bk Ln

0.60.1

Prfd

0.3

Tax-Exempt US Muni

0.30.2

Other (1.1 )

Cash

(3.1 )(2.3 )

Active Fixed Income Option Callan Core Plus Mutual Funds


Quality Ratingsvs Callan Core Plus Mutual Funds

A-

A

A+

AA-

AA

AA+

AAA

Trsy

Weighted AverageQuality Rating

(63)

(14)

10th Percentile AA+25th Percentile AA-

Median AA-75th Percentile A+90th Percentile A

Active FixedIncome Option AA-

BloombergAggregate Index AA+


BlackRock US Debt Index FundPeriod Ended September 30, 2018

Investment PhilosophyThe U.S. Debt Index Fund is constructed to ensure that the risk and return profile of the Bloomberg Barclays AggregateBond index is replicated and tracking error is minimized.

Quarterly Summary and HighlightsBlackRock US Debt Index Fund’s portfolio posted a 0.06% return for the quarter placing it in the 81 percentile of theCallan Core Bond Fixed Income group for the quarter and in the 84 percentile for the last year.

BlackRock US Debt Index Fund’s portfolio outperformed the Bloomberg Aggregate Index by 0.04% for the quarter andoutperformed the Bloomberg Aggregate Index for the year by 0.07%.

Performance vs Callan Core Bond Fixed Income (Gross)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

7%


(81)(83)

(84)(87)

(88)(93)

(87)(92) (95)(98)

(96)(99)



BlackRock USDebt Index Fund 0.06 (1.14) 1.39 2.27 2.13 3.87



Rela

tive

Re

turn

s

(0.04%)

(0.02%)

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

13 2014 2015 2016 2017 2018

BlackRock US Debt Index Fund

Callan Core Bond Fixed Income (Gross)Annualized Five Year Risk vs Return

2.0 2.2 2.4 2.6 2.8 3.0 3.2 3.41.5%

2.0%

2.5%

3.0%

3.5%

4.0%



Standard Deviation

Re

turn

s


BlackRock US Debt Index FundReturn Analysis Summary


Performance vs Callan Core Bond Fixed Income (Gross)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(80)(85)

(75)(87)(84)(86)

(69)(71)

(48)(70)

(80)(84)

(99)(99)

10th Percentile (1.00) 4.72 4.36 1.51 7.21 (0.66) 8.1825th Percentile (1.13) 4.32 3.78 1.13 6.61 (1.08) 7.28

Median (1.29) 3.96 3.14 0.84 6.19 (1.47) 6.1675th Percentile (1.48) 3.68 2.83 0.50 5.90 (1.81) 5.4590th Percentile (1.71) 3.34 2.59 (0.04) 5.39 (2.33) 4.76

BlackRock USDebt Index Fund (1.54) 3.66 2.73 0.61 6.22 (1.94) 4.27



Re

lative

Re

turn

s

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

2013 2014 2015 2016 2017 2018

BlackRock US Debt Index Fund Callan Core Bond FI

Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2018

0.0

0.5

1.0

1.5

2.0

2.5


(90)

(89)

(10)



BlackRock US Debt Index Fund 0.10 0.59 2.19


BlackRock US Debt Index FundRisk Analysis Summary


Risk Analysis vs Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2018

0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8(1.0 )

(0.5 )

0.0

0.5

1.0

1.5

2.0


Tracking Error

Exce

ss R

etu

rn


Tra

ckin

g E

rro

r

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

0.90%

1.00%

2014 2015 2016 2017 2018

BlackRock US Debt Index FundCallan Core Bond FI

Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Bond Fixed Income (Gross)Five Years Ended September 30, 2018

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%


(40)

(98) (99)



BlackRock USDebt Index Fund 2.97 0.01 0.05

0.86

0.88

0.90

0.92

0.94

0.96

0.98

1.00

1.02

1.04

1.06

Beta R-Squared

(26)(1)



BlackRock USDebt Index Fund 1.01 1.00


BlackRock US Debt Index FundBond Characteristics Analysis Summary


Fixed Income Portfolio CharacteristicsRankings Against Callan Core Bond Fixed Incomeas of September 30, 2018

(2)

0

2

4

6

8

10

12


(29)(29)

(39)(39)

(72)(72) (68)(68)

(43)(43)



BlackRock USDebt Index Fund 6.03 8.42 3.46 3.16 0.36




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

US Trsy38.0

26.138.0

RMBS28.1

50

%M

gr

MV

50

%M

gr

MV

26.528.1

Corp (incl 144A)25.1

35.825.1

Gov Related6.3

2.86.3

CMBS1.9

3.81.9

ABS0.5

4.60.5

Other

Cash 0.3

BlackRock US Debt Index Fund Callan Core Bond Fixed Income


Quality Ratingsvs Callan Core Bond Fixed Income

A

A+

AA-

AA

AA+

AAA

Trsy


(12)(12)

10th Percentile AA+25th Percentile AA

Median AA75th Percentile AA-90th Percentile A+

BlackRock USDebt Index Fund AA+



DoubleLine Total Return Bond FundPeriod Ended September 30, 2018

Investment PhilosophyDoubleLine believes that the most reliable way to enhance returns is to exploit inefficiencies within the subsectors of theMBS market, while maintaining active risk management constraints. DoubleLine’s objective is to invest in securities that willoutperform through the interest rate cycle, i.e., not only in today’s environment but also when rates are higher and lower.DoubleLine does not believe that an investor can meaningfully outperform the market through interest rate predictions, butrather, through security selection.

Quarterly Summary and HighlightsDoubleLine Total Return Bond Fund’s portfolio posted a 0.29% return for the quarter placing it in the 67 percentile ofthe Callan Core Plus Fixed Income group for the quarter and in the 2 percentile for the last year.

DoubleLine Total Return Bond Fund’s portfolio outperformed the Bloomberg Aggregate Index by 0.27% for the quarterand outperformed the Bloomberg Aggregate Index for the year by 2.11%.

Performance vs Callan Core Plus Fixed Income (Gross)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

7%


A(67)B(95)(95)

A(2)

B(77)(88)

A(71)

B(100)(99)

A(26)

B(100)(100)

A(20)

B(99)(99)

A(1)

B(100)(100)

10th Percentile 0.68 0.30 3.39 3.77 4.33 5.0425th Percentile 0.53 (0.13) 3.04 3.50 3.94 4.36

Median 0.39 (0.49) 2.64 3.10 3.46 4.0075th Percentile 0.26 (0.85) 2.11 2.74 3.18 3.6590th Percentile 0.12 (1.42) 1.81 2.57 2.80 3.40

DoubleLine TotalReturn Bond Fund A 0.29 0.90 2.33 3.44 4.01 5.50

BloombergMortgage Index B (0.12) (0.92) 0.98 2.02 1.79 2.26



Rela

tive

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

13 2014 2015 2016 2017 2018

DoubleLine Total Return Bond Fund

Callan Core Plus Fixed Income (Gross)Annualized Five Year Risk vs Return

2.0 2.5 3.0 3.5 4.01.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%



Bloomberg Mortgage Index

Standard Deviation

Re

turn

s


DoubleLine Total Return Bond FundReturn Analysis Summary



(4%)(2%)

0%2%4%6%8%

10%12%14%

12/17- 9/18 2017 2016 2015 2014 2013 2012

A(1)B(47)(86)

A(80)B(100)

(95) A(100)B(100)

(100) A(1)B(1)(38)

A(13)B(55)(61)

A(14)B(82)(96)

A(25)

B(100)(100)



DoubleLine TotalReturn Bond Fund A 0.46 4.36 2.58 2.79 7.24 0.50 9.76

BloombergMortgage Index B (1.07) 2.47 1.67 1.51 6.08 (1.41) 2.59



Re

lative

Re

turn

s

(4%)

(2%)

0%

2%

4%

6%

8%

2013 2014 2015 2016 2017 2018

DoubleLine Total Return Bond Fund Bloomberg Mortgage Index Callan Core Plus FI

Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended September 30, 2018

(0.5)

0.0

0.5

1.0

1.5

2.0


A(9)

B(94)

A(1)

B(93)

A(37)

B(100)



DoubleLine Total Return Bond Fund A 1.76 1.38 1.08Bloomberg Mortgage Index B 0.31 0.69 (0.13)


DoubleLine Total Return Bond FundRisk Analysis Summary


Risk Analysis vs Callan Core Plus Fixed Income (Gross)Five Years Ended September 30, 2018

0.0 0.5 1.0 1.5 2.0 2.5 3.0(0.5 )

0.0

0.5

1.0

1.5

2.0

2.5

3.0


Bloomberg Mortgage Index

Tracking Error

Exce

ss R

etu

rn


Tra

ckin

g E

rro

r

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

2.0%

2.2%

2.4%

2014 2015 2016 2017 2018

DoubleLine Total Return Bond FundBloomberg Mortgage IndexCallan Core Plus FI

Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended September 30, 2018

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%


B(99)A(99)

B(25)A(38)

A(38)B(40)



DoubleLine TotalReturn Bond Fund A 2.12 0.61 1.19

BloombergMortgage Index B 2.19 0.81 1.10

0.65

0.70

0.75

0.80

0.85

0.90

0.95

1.00

1.05

1.10

Beta R-Squared

B(96)A(97)

B(48)A(54)



DoubleLine TotalReturn Bond Fund A 0.69 0.89

BloombergMortgage Index B 0.72 0.90


DoubleLine Total Return Bond FundBond Characteristics Analysis Summary


Fixed Income Portfolio CharacteristicsRankings Against Callan Core Plus Fixed Incomeas of September 30, 2018

(2)

0

2

4

6

8

10

12


(98)

(24) (91)

(45)

(85)(93) (33)(87)

(95)(37)



DoubleLine TotalReturn Bond Fund 4.25 5.78 3.74 3.86 (0.53)




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

RMBS46.5

21.928.1

Non-Agency RMBS32.4

50

%M

gr

MV

50

%M

gr

MV

1.1

CMBS8.0

6.21.9

US Trsy4.8

20.638.0

Cash4.4

0.9

ABS4.0

6.90.5

Corp (incl 144A) 38.625.1

Gov Related 3.66.3

Other 0.1

DoubleLine Total Return Bond Fund Callan Core Plus Fixed Income


Quality Ratingsvs Callan Core Plus Fixed Income

A-

A

A+

AA-

AA

AA+

AAA

Trsy


(88)

(5)

10th Percentile AA-25th Percentile AA-

Median A+75th Percentile A90th Percentile A

DoubleLine TotalReturn Bond Fund A



Wellington Trust Core Bond Plus FundPeriod Ended September 30, 2018

Investment PhilosophyWellington’s fixed income process focuses on fundamental research, diversification and risk control. The firm’s orientationis toward intensive, bottom-up research.

Quarterly Summary and HighlightsWellington Trust Core Bond Plus Fund’s portfolio posted a 0.48% return for the quarter placing it in the 33 percentile ofthe Callan Core Plus Fixed Income group for the quarter and in the 23 percentile for the last year.

Wellington Trust Core Bond Plus Fund’s portfolio outperformed the Bloomberg Aggregate Index by 0.46% for thequarter and outperformed the Bloomberg Aggregate Index for the year by 1.10%.


(4%)

(2%)

0%

2%

4%

6%

8%


(33)(95) (23)

(88)

(32)

(99)

(42)

(100)

(68)

(99)

(52)

(99)

10th Percentile 0.68 0.30 3.39 3.77 4.33 6.4525th Percentile 0.53 (0.13) 3.04 3.50 3.94 5.95

Median 0.39 (0.49) 2.64 3.10 3.46 5.6575th Percentile 0.26 (0.85) 2.11 2.74 3.18 5.0990th Percentile 0.12 (1.42) 1.81 2.57 2.80 4.74

Wellington TrustCore Bond Plus Fund 0.48 (0.11) 2.92 3.17 3.31 5.61



Rela

tive

Re

turn

s

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

13 2014 2015 2016 2017 2018

Wellington Trust Core Bond Plus Fund

Callan Core Plus Fixed Income (Gross)Annualized Five Year Risk vs Return

2.0 2.5 3.0 3.5 4.01.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%



Standard Deviation

Re

turn

s


Wellington Trust Core Bond Plus FundReturn Analysis Summary



(4%)(2%)

0%2%4%6%8%

10%12%14%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(19)(86)

(30)(95)

(45)(100)

(65)(38)

(77)(61)

(82)(96)

(50)

(100)



Wellington TrustCore Bond Plus Fund (0.70) 5.37 4.81 (0.03) 5.64 (1.42) 8.61



Re

lative

Re

turn

s

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

2013 2014 2015 2016 2017 2018

Wellington Trust Core Bond Plus Fund Callan Core Plus FI

Risk Adjusted Return Measures vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended September 30, 2018

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

2.0


(42)(33)

(35)



Wellington TrustCore Bond Plus Fund 1.12 0.93 1.12


Wellington Trust Core Bond Plus FundRisk Analysis Summary


Risk Analysis vs Callan Core Plus Fixed Income (Gross)Five Years Ended September 30, 2018

0.0 0.5 1.0 1.5 2.0 2.5 3.00.0

0.5

1.0

1.5

2.0

2.5

3.0


Tracking Error

Exce

ss R

etu

rn


Tra

ckin

g E

rro

r

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

2.0%

2.2%

2014 2015 2016 2017 2018

Wellington Trust Core Bond Plus FundCallan Core Plus FI

Risk Statistics Rankings vs Bloomberg Aggregate IndexRankings Against Callan Core Plus Fixed Income (Gross)Five Years Ended September 30, 2018

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%


(71)

(56)

(58)



Wellington TrustCore Bond Plus Fund 2.85 0.43 0.90

0.65

0.70

0.75

0.80

0.85

0.90

0.95

1.00

1.05

Beta R-Squared

(55) (46)



Wellington TrustCore Bond Plus Fund 0.92 0.91


Wellington Trust Core Bond Plus FundBond Characteristics Analysis Summary


Fixed Income Portfolio CharacteristicsRankings Against Callan Core Plus Fixed Incomeas of September 30, 2018

(2)

0

2

4

6

8

10

12

14


(44)(24)

(5)

(45)

(18)(93) (82)(87)

(92)(37)



Wellington TrustCore Bond Plus Fund 5.85 10.72 4.47 3.27 (0.24)




(30%) (20%) (10%) 0% 10% 20% 30% 40% 50%

RMBS

37.021.9

28.1

Corp (incl 144A)

31.0

50

%M

gr

MV

50

%M

gr

MV

38.625.1

ABS

15.06.9

0.5

Non-Agency RMBS

12.01.1

CMBS

5.06.2

1.9

US Trsy

5.020.6

38.0

CMOs

3.0

Bk Ln

2.0

Gov Related

2.03.6

6.3

Prfd

1.0

Tax-Exempt US Muni

1.0

Other 0.1

Cash

(14.0 )0.9

Wellington Trust Core Bond Plus Fund Callan Core Plus Fixed Income


Quality Ratingsvs Callan Core Plus Fixed Income

A-

A

A+

AA-

AA

AA+

AAA

Trsy


(60)

(5)

10th Percentile AA-25th Percentile AA-

Median A+75th Percentile A90th Percentile A

Wellington TrustCore Bond Plus Fund A+



Stock Index OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsStock Index Option’s portfolio posted a 7.12% return for the quarter placing it in the 24 percentile of the Callan All CapCore Mutual Funds group for the quarter and in the 20 percentile for the last year.

Stock Index Option’s portfolio underperformed the Russell 3000 Index by 0.00% for the quarter and outperformed theRussell 3000 Index for the year by 0.04%.


0%

5%

10%

15%

20%

25%


(24)(24)

(20)(21)(13)(14)

(12)(14)

(15)(17)

(18)(19)



StockIndex Option 7.12 17.62 17.16 13.54 16.94 12.07

Russell3000 Index 7.12 17.58 17.07 13.46 16.86 12.01

Relative Return vs Russell 3000 Index

Rela

tive

Re

turn

s

(0.02%)

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

13 2014 2015 2016 2017 2018

Stock Index Option

Callan All Cap Core Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

0 5 10 15 20 25 30(10%)

(5%)

0%

5%

10%

15%

20%

Stock Index Option

Russell 3000 Index

Standard Deviation

Re

turn

s


Stock Index OptionReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

50%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(23)(24)

(36)(36)

(29)(30)

(22)(24)

(25)(25)

(46)(46)

(34)(34)


Median 7.44 19.49 10.12 (2.12) 10.09 33.31 14.8675th Percentile 5.31 15.89 7.45 (4.62) 6.85 29.47 12.4390th Percentile 3.17 12.97 5.86 (8.17) 4.09 23.98 10.38

Stock Index Option 10.60 21.23 12.83 0.61 12.61 33.58 16.43

Russell 3000 Index 10.57 21.13 12.74 0.48 12.56 33.55 16.42

Cumulative and Quarterly Relative Return vs Russell 3000 Index

Re

lative

Re

turn

s

(16%)

(14%)

(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

2013 2014 2015 2016 2017 2018

Stock Index Option Callan All Cap Core MFs

Risk Adjusted Return Measures vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(8)

(6)

(4)

(2)

0

2

4


(17)

(8) (1)

10th Percentile 1.26 1.75 0.0925th Percentile (0.58) 1.53 (0.24)

Median (1.93) 1.34 (0.63)75th Percentile (3.50) 1.06 (0.97)90th Percentile (5.98) 0.72 (1.50)

Stock Index Option 0.09 1.79 2.10


Stock Index OptionRisk Analysis Summary

Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondchart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus thepeer group.

Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0 5 10 15 20 25 30(20 )

(15 )

(10 )

(5 )

0

5

Stock Index Option

Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

40%60%80%

100%120%140%160%180%

Up Market DownCapture Market Capture

(12) (64)



Stock Index Option 100.66 99.57

Risk Statistics Rankings vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%


(78)

(100) (100)



StockIndex Option 7.29 0.00 0.04

0.500.600.700.800.901.001.101.201.30

Beta R-Squared

(53) (1)



Stock Index Option 1.00 1.00


Stock Index OptionEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan All Cap Core Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCIMarket Cap casted Earnings Earnings Growth Yield Combined Z-Score

(17)(17)

(26)(26)

(40)(40) (40)(40) (39)(39) (36)(36)


Median 42.62 16.10 2.87 15.35 1.68 (0.11)75th Percentile 20.24 14.45 2.46 13.48 1.42 (0.33)90th Percentile 11.96 13.09 2.12 10.93 1.16 (0.55)

Stock Index Option 74.01 17.60 3.10 15.90 1.78 (0.01)

Russell 3000 Index 74.01 17.60 3.10 15.90 1.78 (0.01)

Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmarkand peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings thataccount for half of the portfolio’s market value.


0% 5% 10% 15% 20% 25%

Information Technology

20.720.7

19.6

Health Care

14.614.6

15.5

Financials

13.713.7

14.7

Consumer Discretionary

10.5

50

%M

gr

MV

50

%M

gr

MV

10.512.2

Industrials

10.410.4

12.5

Communication Services

8.98.9

6.9

Consumer Staples

6.06.05.8

Energy

5.85.85.6

Real Estate

3.63.6

1.8

Materials

2.92.9

3.7

Utilities

2.82.8

1.6

Stock Index Option Russell 3000 Index

Callan All Cap Core MFs

Sector Diversification

Manager 3.08 sectorsIndex 3.08 sectors

DiversificationSeptember 30, 2018

0

500

1000

1500

2000

2500

3000

3500

Number of IssueSecurities Diversification

(1)

(6)

10th Percentile 403 6125th Percentile 158 39

Median 80 2275th Percentile 43 1390th Percentile 30 10

Stock Index Option 3019 78

Russell 3000 Index 3019 78

Diversification Ratio

Manager 3%Index 3%Style Median 28%


Current Holdings Based Style AnalysisStock Index OptionAs of September 30, 2018

This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the current market capitalization and style score of theportfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and indexweights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates thetotal exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combinedZ" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.

Style Map vs Callan All Cap Core MFsHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Stock Index OptionRussell 3000 Index


Large

Mid

Small

Micro

Total


24.7% (97) 20.4% (107) 30.0% (95) 75.1% (299)

5.1% (186) 5.8% (201) 5.9% (211) 16.8% (598)

2.1% (328) 2.8% (489) 2.3% (379) 7.1% (1196)

0.3% (294) 0.4% (382) 0.2% (220) 0.9% (896)

32.2% (905) 29.4% (1179) 38.4% (905) 100.0% (2989)

24.7% (97) 20.4% (107) 30.0% (95) 75.1% (299)

5.1% (186) 5.8% (201) 5.9% (211) 16.8% (598)

2.1% (328) 2.8% (489) 2.3% (379) 7.1% (1196)

0.3% (294) 0.4% (382) 0.2% (220) 0.9% (896)

32.2% (905) 29.4% (1179) 38.4% (905) 100.0% (2989)

Combined Z-Score Style DistributionHoldings as of September 30, 2018

0%

10%

20%

30%

40%

50%

60%

Value Core Growth

32.2%(905)

32.2%(905)

29.4%(1179)

29.4%(1179)

38.4%(905)

38.4%(905)

Bar #1=Stock Index Option (Combined Z: -0.01 Growth Z: -0.00 Value Z: 0.01)

Bar #2=Russell 3000 Index (Combined Z: -0.01 Growth Z: -0.00 Value Z: 0.01)

Large

Mid

Small

Micro

Sector Weights DistributionHoldings as of September 30, 2018

0%

5%

10%

15%

20%

25%

30%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

9.0 9.010.5 10.5

6.0 6.0 5.7 5.7

13.7 13.7 14.7 14.7

10.4 10.4

2.8 2.8 2.9 2.9 3.6 3.6

20.7 20.7

Bar #1=Stock Index Option

Bar #2=Russell 3000 Index

Value

Core

Growth


Historical Holdings Based Style AnalysisStock Index OptionFor Three Years Ended September 30, 2018

This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various market capitalization and style segments of the domestic equity market. The market issegmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints.The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCIstock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score ofthe portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolioand index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two styleexposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.

Average Style Map vs Callan All Cap Core MFsHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Average Style Exposure MatrixHoldings for Three Years Ended September 30, 2018

Large

Mid

Small

Micro

Total


26.8% (103) 22.9% (96) 24.7% (97) 74.4% (296)

5.1% (174) 6.4% (219) 5.8% (202) 17.3% (595)

2.2% (338) 2.9% (476) 2.2% (379) 7.3% (1193)

0.3% (282) 0.4% (376) 0.3% (218) 1.0% (876)

34.5% (897) 32.5% (1167) 33.0% (896) 100.0% (2960)

26.8% (103) 22.9% (96) 24.7% (97) 74.4% (296)

5.1% (174) 6.4% (219) 5.8% (202) 17.3% (595)

2.2% (338) 2.9% (476) 2.2% (379) 7.3% (1193)

0.3% (282) 0.4% (376) 0.3% (218) 1.0% (876)

34.5% (897) 32.5% (1167) 33.0% (896) 100.0% (2960)

Stock Index Option Historical Cap/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Micro-Growth

Micro-Core

Micro-Value

Small-Growth

Small-Core

Small-Value

Mid-Growth

Mid-Core

Mid-Value

Large-Growth

Large-Core

Large-Value

Stock Index Option Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


Large Company Value Stock OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsLarge Company Value Stock Option’s portfolio posted a 5.76% return for the quarter placing it in the 57 percentile of theCallan Large Cap Value Mutual Funds group for the quarter and in the 76 percentile for the last year.

Large Company Value Stock Option’s portfolio outperformed the Russell 1000 Value Index by 0.06% for the quarterand outperformed the Russell 1000 Value Index for the year by 0.15%.


2%

4%

6%

8%

10%

12%

14%

16%

18%

20%


(57)(57)

(76)(76)

(63)(64)

(59)(59)

(36)(46)

(40)(55)



Large CompanyValue Stock Option 5.76 9.61 13.61 10.70 15.55 10.16

Russell 1000Value Index 5.70 9.45 13.55 10.72 15.02 9.79

Relative Return vs Russell 1000 Value Index

Rela

tive

Re

turn

s

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

13 2014 2015 2016 2017 2018


Callan Large Cap Value Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

6 7 8 9 10 116%

7%

8%

9%

10%

11%

12%

13%

14%



Standard Deviation

Re

turn

s


Large Company Value Stock OptionReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

50%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(76)(77)

(87)(88)(19)(18)

(52)(54)

(29)(22)

(10)(51)

(15)(24)

10th Percentile 9.80 21.85 20.06 (0.27) 14.56 37.09 19.7425th Percentile 7.80 20.36 15.37 (1.52) 13.02 35.61 17.42


Large CompanyValue Stock Option 4.03 13.81 17.21 (3.77) 12.18 36.87 18.94

Russell 1000Value Index 3.92 13.66 17.34 (3.83) 13.45 32.53 17.51

Cumulative and Quarterly Relative Return vs Russell 1000 Value Index

Re

lative

Re

turn

s

(7%)

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

2013 2014 2015 2016 2017 2018

Large Company Value Stock Option Callan Lg Cap Value MF

Risk Adjusted Return Measures vs Russell 1000 Value IndexRankings Against Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(2)

(1)

0

1

2

3

4


(63)

(51)

(63)


Median 0.64 1.28 0.0975th Percentile (0.29) 1.17 (0.20)90th Percentile (1.33) 1.01 (0.51)

Large CompanyValue Stock Option (0.12) 1.27 (0.03)


Large Company Value Stock OptionRisk Analysis Summary


Risk Analysis vs Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5(4 )

(3 )

(2 )

(1 )

0

1

2

3


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 1000 Value IndexRankings Against Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

40%50%60%70%80%90%

100%110%120%130%


(38) (31)



Large CompanyValue Stock Option 99.46 98.76

Risk Statistics Rankings vs Russell 1000 Value IndexRankings Against Callan Large Cap Value Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%


(62)

(100) (99)



Large CompanyValue Stock Option 7.99 0.38 0.60

0.700.750.800.850.900.951.001.051.101.15

Beta R-Squared

(32) (1)



Large CompanyValue Stock Option 1.01 0.99


Large Company Value Stock OptionEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Large Cap Value Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(50)(50)

(31)(31)

(71)(71)(79)(79)

(20)(20)

(90)(90)

10th Percentile 107.33 16.16 2.76 19.17 2.62 (0.38)25th Percentile 90.09 14.46 2.51 17.66 2.42 (0.50)


Large CompanyValue Stock Option 66.78 14.38 2.08 13.66 2.49 (0.91)

Russell 1000 Value Index 66.78 14.38 2.08 13.66 2.49 (0.91)



0% 5% 10% 15% 20% 25% 30%

Financials

22.822.823.0

Health Care

15.215.2

16.3

Energy

10.910.9

11.8


9.8

50

%M

gr

MV

50

%M

gr

MV

9.812.1

Industrials

8.18.1

9.5

Consumer Staples

7.27.2

5.9


6.76.7

6.0

Utilities

5.65.6

3.9


5.25.2

6.2

Real Estate

4.64.6

1.9

Materials

3.93.9

3.4

Large Company Value Stock Option Russell 1000 Value Index

Callan Lg Cap Value MF




0

100

200

300

400

500

600

700

800

900


(2)

(3)



Large CompanyValue Stock Option 724 49

Russell 1000Value Index 724 49




Current Holdings Based Style AnalysisLarge Company Value Stock OptionAs of September 30, 2018


Style Map vs Callan Lg Cap Value MFHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Large Company Value Stock OptionLarge Company Value Stock OptionRussell 1000 Value Index


Large

Mid

Small

Micro

Total


48.6% (96) 24.9% (86) 3.4% (21) 76.9% (203)

10.6% (181) 8.1% (159) 2.5% (72) 21.2% (412)

1.0% (50) 0.7% (40) 0.2% (14) 1.9% (104)

0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)

60.2% (327) 33.7% (286) 6.1% (107) 100.0% (720)

48.6% (96) 24.9% (86) 3.4% (21) 76.9% (203)

10.6% (181) 8.1% (159) 2.5% (72) 21.2% (412)

1.0% (50) 0.7% (40) 0.2% (14) 1.9% (104)

0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)

60.2% (327) 33.7% (286) 6.1% (107) 100.0% (720)


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Value Core Growth

60.2%(327)

60.2%(327)

33.7%(286)

33.7%(286)

6.1%(107)

6.1%(107)

Bar #1=Large Company Value Stock Option (Combined Z: -0.91 Growth Z: -0.36 Value Z: 0.5

Bar #2=Russell 1000 Value Index (Combined Z: -0.91 Growth Z: -0.36 Value Z: 0.55)

Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

30%

35%


6.8 6.85.3 5.3

7.2 7.2

10.8 10.8

22.8 22.8

15.2 15.2

8.1 8.15.6 5.6

3.9 3.9 4.6 4.6

9.8 9.8

Bar #1=Large Company Value Stock Option

Bar #2=Russell 1000 Value Index

Value

Core

Growth


Historical Holdings Based Style AnalysisLarge Company Value Stock OptionFor Three Years Ended September 30, 2018


Average Style Map vs Callan Lg Cap Value MFHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro




Large

Mid

Small

Micro

Total


51.8% (100) 23.0% (71) 3.5% (26) 78.2% (197)

9.9% (160) 7.3% (156) 2.4% (66) 19.5% (382)

1.3% (60) 0.7% (39) 0.2% (18) 2.2% (117)

0.0% (0) 0.0% (1) 0.0% (1) 0.0% (2)

62.9% (320) 31.0% (267) 6.1% (111) 100.0% (698)

51.8% (100) 23.0% (71) 3.5% (26) 78.2% (197)

9.9% (160) 7.3% (156) 2.4% (66) 19.5% (382)

1.3% (60) 0.7% (39) 0.2% (18) 2.2% (117)

0.0% (0) 0.0% (1) 0.0% (1) 0.0% (2)

62.9% (320) 31.0% (267) 6.1% (111) 100.0% (698)

Large Company Value Stock Option Historical Cap/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Micro-Growth

Micro-Core

Micro-Value

Small-Growth

Small-Core

Small-Value

Mid-Growth

Mid-Core

Mid-Value

Large-Growth

Large-Core

Large-Value

Large Company Value Stock Option Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


Large Company Growth Stock OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsLarge Company Growth Stock Option’s portfolio posted a 9.12% return for the quarter placing it in the 8 percentile ofthe Callan Large Cap Growth Mutual Funds group for the quarter and in the 51 percentile for the last year.

Large Company Growth Stock Option’s portfolio underperformed the Russell 1000 Growth Index by 0.05% for thequarter and underperformed the Russell 1000 Growth Index for the year by 0.17%.


0%

5%

10%

15%

20%

25%

30%

35%


(8)(8)

(51)(49)

(16)(16)

(32)(26)

(32)(30)

(31)(30)



Large CompanyGrowth Stock Option 9.12 26.12 20.53 16.21 18.64 14.09

Russell 1000Growth Index 9.17 26.30 20.55 16.58 18.69 14.31

Relative Return vs Russell 1000 Growth Index

Rela

tive

Re

turn

s

(1.2%)

(1.0%)

(0.8%)

(0.6%)

(0.4%)

(0.2%)

0.0%

0.2%

0.4%

13 2014 2015 2016 2017 2018


Callan Large Cap Growth Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

6 7 8 9 10 11 12 13 146%

8%

10%

12%

14%

16%

18%

20%



Standard Deviation

Re

turn

s


Large Company Growth Stock OptionReturn Analysis Summary



(10%)

0%

10%

20%

30%

40%

50%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(61)(61)

(57)(57)

(10)(10) (59)(56)(35)(20)

(59)(67)

(39)(56)


Median 18.32 31.46 1.20 6.52 10.82 35.57 15.7875th Percentile 15.37 27.98 (1.18) 3.59 8.96 32.82 13.5690th Percentile 13.32 24.73 (4.43) 0.20 7.91 29.44 12.18

Large CompanyGrowth Stock Option 16.94 30.21 7.11 5.25 11.63 34.48 16.36

Russell 1000Growth Index 17.09 30.21 7.08 5.67 13.05 33.48 15.26

Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index

Re

lative

Re

turn

s

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

2013 2014 2015 2016 2017 2018

Large Company Growth Stock Option Callan Large Cap Grwth MF

Risk Adjusted Return Measures vs Russell 1000 Growth IndexRankings Against Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(6)

(5)

(4)

(3)

(2)

(1)

0

1

2

3


(12)

(7)

(78)

10th Percentile (0.19) 1.85 0.2225th Percentile (1.16) 1.77 0.04


Large CompanyGrowth Stock Option (0.60) 2.00 (0.68)


Large Company Growth Stock OptionRisk Analysis Summary


Risk Analysis vs Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0 1 2 3 4 5 6 7 8 9 10(10 )

(8 )

(6 )

(4 )

(2 )

0

2

4


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 1000 Growth IndexRankings Against Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

60%80%

100%120%140%160%180%


(33) (72)



Large CompanyGrowth Stock Option 97.19 100.00

Risk Statistics Rankings vs Russell 1000 Growth IndexRankings Against Callan Large Cap Growth Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%


(92)

(99) (100)



Large CompanyGrowth Stock Option 7.85 0.54 0.54

0.60

0.70

0.80

0.90

1.00

1.10

1.20

1.30

Beta R-Squared

(79) (1)



Large CompanyGrowth Stock Option 1.02 1.00


Large Company Growth Stock OptionEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Large Cap Growth Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(48)(48)

(80)(80)

(18)(18)

(82)(82)

(9)(9)

(84)(84)



Large CompanyGrowth Stock Option 115.00 21.43 7.27 18.43 1.17 0.89




0% 5% 10% 15% 20% 25% 30% 35% 40%


32.632.632.5


15.415.4

17.0

Health Care

13.8

50

%M

gr

MV

50

%M

gr

MV

13.815.5


12.112.112.5

Industrials

12.012.0

9.8

Consumer Staples

5.45.4

3.5

Financials

4.24.2

5.8

Real Estate

2.02.0

0.8

Materials

1.71.71.5

Energy

0.90.91.2

Utilities

Large Company Growth Stock Option Russell 1000 Growth Index

Callan Large Cap Grwth MF




0

100

200

300

400

500

600

700


(1)

(1)



Large CompanyGrowth Stock Option 538 26

Russell 1000Growth Index 538 26




Current Holdings Based Style AnalysisLarge Company Growth Stock OptionAs of September 30, 2018


Style Map vs Callan Large Cap Grwth MFHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro



Large Company Growth Stock OptionRussell 1000 Growth Index


Large

Mid

Small

Micro

Total


5.3% (24) 19.1% (72) 61.1% (95) 85.6% (191)

0.4% (26) 4.3% (109) 9.1% (163) 13.8% (298)

0.0% (8) 0.2% (16) 0.4% (23) 0.7% (47)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

5.7% (58) 23.6% (197) 70.7% (281) 100.0% (536)

5.3% (24) 19.1% (72) 61.1% (95) 85.6% (191)

0.4% (26) 4.3% (109) 9.1% (163) 13.8% (298)

0.0% (8) 0.2% (16) 0.4% (23) 0.7% (47)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

5.7% (58) 23.6% (197) 70.7% (281) 100.0% (536)


0%

20%

40%

60%

80%

100%

120%

Value Core Growth

5.7%(58)

5.7%(58)

23.6%(197)

23.6%(197)

70.7%(281)

70.7%(281)

Bar #1=Large Company Growth Stock Option (Combined Z: 0.89 Growth Z: 0.36 Value Z: -0.5

Bar #2=Russell 1000 Growth Index (Combined Z: 0.89 Growth Z: 0.36 Value Z: -0.53)

Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH

12.1 12.115.4 15.4

5.4 5.4

0.9 0.94.2 4.2

13.8 13.812.0 12.0

1.7 1.7 2.0 2.0

32.6 32.6

Bar #1=Large Company Growth Stock Option

Bar #2=Russell 1000 Growth Index

Value

Core

Growth


Historical Holdings Based Style AnalysisLarge Company Growth Stock OptionFor Three Years Ended September 30, 2018


Average Style Map vs Callan Large Cap Grwth MFHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro




Large

Mid

Small

Micro

Total


6.4% (26) 26.6% (72) 49.7% (92) 82.7% (190)

1.0% (31) 5.9% (128) 9.4% (159) 16.3% (318)

0.1% (13) 0.3% (25) 0.5% (28) 0.9% (66)

0.0% (0) 0.0% (1) 0.0% (1) 0.0% (2)

7.5% (70) 32.9% (226) 59.6% (280) 100.0% (576)

6.4% (26) 26.6% (72) 49.7% (92) 82.7% (190)

1.0% (31) 5.9% (128) 9.4% (159) 16.3% (318)

0.1% (13) 0.3% (25) 0.5% (28) 0.9% (66)

0.0% (0) 0.0% (1) 0.0% (1) 0.0% (2)

7.5% (70) 32.9% (226) 59.6% (280) 100.0% (576)

Large Company Growth Stock Option Historical Cap/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Micro-Growth

Micro-Core

Micro-Value

Small-Growth

Small-Core

Small-Value

Mid-Growth

Mid-Core

Mid-Value

Large-Growth

Large-Core

Large-Value

Large Company Growth Stock Option Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


International Stock OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsInternational Stock Option’s portfolio posted a 0.32% return for the quarter placing it in the 58 percentile of the CallanNon US Equity Mutual Funds group for the quarter and in the 65 percentile for the last year.

International Stock Option’s portfolio underperformed the MSCI ACWI ex US Index by 0.39% for the quarter andunderperformed the MSCI ACWI ex US Index for the year by 0.89%.


(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

14%


(58)(43) (65)

(54)

(38)(32)

(54)(58)

(48)

(89)

(54)(59)



InternationalStock Option 0.32 0.87 9.41 4.33 8.58 5.43

MSCI ACWIex US Index 0.71 1.76 9.97 4.12 7.25 5.18

Relative Return vs MSCI ACWI ex US Index

Rela

tive

Re

turn

s

(2.0%)

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

13 2014 2015 2016 2017 2018


Callan Non US Equity Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

6 7 8 9 10 11 12 13 140%

2%

4%

6%

8%

10%

12%

14%



Standard Deviation

Re

turn

s


International Stock OptionReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(73)(67)

(43)(47)

(20)(15)(80)

(93) (43)(32)

(66)(87)

(34)(73)

10th Percentile 1.51 32.71 5.78 4.89 0.25 27.89 23.2725th Percentile (0.49) 30.00 2.66 2.35 (2.78) 24.61 21.49

Median (2.18) 26.90 0.23 0.02 (5.33) 21.05 18.9875th Percentile (4.20) 23.95 (2.25) (1.86) (6.75) 18.50 16.2090th Percentile (5.72) 22.13 (5.47) (3.96) (9.16) 14.36 14.42

InternationalStock Option (3.80) 27.70 3.46 (2.59) (5.06) 19.45 20.72

MSCI ACWIex US Index (3.09) 27.19 4.50 (5.66) (3.87) 15.29 16.83

Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index

Re

lative

Re

turn

s

(4%)

(2%)

0%

2%

4%

6%

8%

2013 2014 2015 2016 2017 2018

International Stock Option Callan Non US Equity MFs

Risk Adjusted Return Measures vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(2)

(1)

0

1

2

3

4

5


(57) (56) (51)



International Stock Option 0.33 0.40 0.13


International Stock OptionRisk Analysis Summary


Risk Analysis vs Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

1 2 3 4 5 6 7 8(4 )

(2 )

0

2

4

6

8

10


Tracking Error

Exce

ss R

etu

rn

Market Capture vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

60%70%80%90%

100%110%120%130%140%


(66) (60)



International Stock Option 99.09 95.86

Risk Statistics Rankings vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%

14%


(68)

(98) (98)



InternationalStock Option 9.51 1.03 1.57

0.650.700.750.800.850.900.951.001.051.101.15

Beta R-Squared

(38) (4)



InternationalStock Option 0.96 0.97


International Stock OptionEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Non US Equity Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(76)

(50)

(70)(71)(63)

(70)

(54)(53)

(35)(27)

(66)(67)


Median 32.54 14.71 2.02 11.63 2.58 0.2575th Percentile 22.71 12.38 1.56 9.83 2.01 (0.14)90th Percentile 17.72 10.91 1.33 8.80 1.59 (0.42)

InternationalStock Option 22.46 12.82 1.72 11.18 2.77 (0.00)

MSCI ACWI ex US Index 31.82 12.71 1.65 11.41 2.98 (0.02)



0% 5% 10% 15% 20% 25% 30%

Financials18.9

22.819.9

Industrials13.5

12.015.1


10.212.0


50

%M

gr

MV

50

%M

gr

MV

8.310.2

Energy8.8

7.36.4

Materials8.5

7.97.7

Health Care8.48.2

10.9

Consumer Staples8.1

9.510.6


7.56.1

Real Estate2.83.2

0.8

Utilities2.53.0

0.3

Miscellaneous1.0

Pooled Vehicles






0

2000

4000

6000

8000

10000

12000


(1)

(2)



InternationalStock Option 10442 139

MSCI ACWIex US Index 2156 201




Country AllocationInternational Stock Option VS MSCI ACWI ex US Index

Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of September 30, 2018. This chart isuseful because large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.

Country Weights as of September 30, 2018

0% 5% 10% 15% 20%

Argentina

Australia3.1

4.6

Austria0.10.2

Belgium1.0

0.7

Brazil1.7

1.5

Cambodia

Canada6.0

6.6

Chile0.30.3

China5.5

7.6

Colombia0.10.1

Cyprus

Czech Republic

Denmark1.4

1.2

Egypt

Finland1.2

0.7

France7.67.7

Germany5.9

6.5

Greece 0.1

Hong Kong1.7

2.4

Hungary0.10.1

India2.5

2.1

Indonesia0.6

0.5

Ireland0.5

0.4

Israel0.40.4

Italy1.61.6

Japan16.5

16.9

Luxembourg

Malaysia0.7

0.6

Mexico0.70.8

Netherlands2.5

2.3

New Zealand0.10.1

Norway1.0

0.5

Pakistan

Peru0.10.1

Philippines0.20.2

Poland0.30.3

Portugal0.10.1

Qatar0.10.2

Russia0.6

0.9

Singapore1.1

0.9

South Africa1.41.5

South Korea3.73.7

Spain1.6

2.0

Sweden2.5

1.9

Switzerland5.75.7

Taiwan3.5

3.0

Thailand0.50.6

Turkey0.20.2

Ukraine

United Arab Emirates0.10.2

United Kingdom13.8

12.0

United States1.6

Percent of Portfolio


Index Rtns

(9.08%)

(0.94%)

0.23%

(5.20%)

6.07%

-

0.80%

(1.99%)

(7.51%)

(2.46%)

-

3.99%

2.31%

(6.81%)

3.17%

2.82%

(0.57%)

(17.59%)

(0.95%)

4.65%

(2.25%)

1.95%

(5.42%)

5.11%

(4.45%)

3.68%

-

3.81%

6.90%

(1.52%)

2.42%

6.65%

(4.89%)

(2.13%)

0.96%

10.64%

(0.55%)

12.83%

6.15%

2.17%

(7.40%)

0.69%

(2.37%)

6.98%

7.26%

6.54%

13.64%

(20.54%)

-

3.11%

(1.66%)

4.38%

Manager Total Return: 0.72%

Index Total Return: 0.71%


Current Holdings Based Style AnalysisInternational Stock OptionAs of September 30, 2018

This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.

Style Map vs Callan Non US Equity MFsHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro




11.1% (618) 15.4% (670) 18.7% (574) 45.2% (1862)

2.1% (151) 3.3% (162) 2.2% (100) 7.6% (413)

7.5% (1263) 6.2% (938) 9.7% (866) 23.5% (3067)

7.2% (1935) 8.2% (1604) 8.4% (1304) 23.8% (4843)

27.8% (3967) 33.2% (3374) 39.0% (2844) 100.0% (10185)

12.1% (132) 12.5% (130) 16.3% (190) 41.0% (452)

2.0% (34) 2.7% (26) 1.8% (31) 6.5% (91)

8.2% (145) 6.6% (146) 9.1% (177) 23.8% (468)

8.2% (409) 9.7% (371) 10.8% (368) 28.7% (1148)

30.5% (720) 31.5% (673) 38.0% (766) 100.0% (2159)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total



0%

10%

20%

30%

40%

50%

60%

Value Core Growth

27.8%(3967)

30.5%(720)

33.2%(3374)

31.5%(673) 39.0%

(2844)

38.0%(766)

Bar #1=International Stock Option (Combined Z: -0.00 Growth Z: 0.01 Value Z: 0.01)Bar #2=MSCI ACWI ex US Index (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)

Europe/Mid East

N. America

Pacific

Emerging/FM


0%

5%

10%

15%

20%

25%

30%

35%

COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH

0.0 0.0

6.4 7.6

10.810.47.8

9.6 9.17.3

18.9

22.5

0.0 0.0

8.7 8.3

14.112.1

0.0 0.02.1 3.0

8.6 7.8

2.9 3.2

10.68.3

Bar #1=International Stock OptionBar #2=MSCI ACWI ex US Index

Value

Core

Growth


Active Share Structure AnalysisFor One Quarter Ended September 30, 2018

This analysis compares multiple portfolios and composites in an active share context, illustrating the varying degrees ofactive risk taken by individual portfolios, and how they combine into active risk profiles for composites and the equitystructure. Two sources of active share (active risk) are shown: 1) Total Holdings-Based Active Share based on individualposition comparisons to the index (and the subcomponent from holding non-index securities), and 2) Sector Exposure ActiveShare that quantifies the more macro-level sector differences from the index.

Active Share AnalysisEnded September 30, 2018

0% 2% 4% 6% 8% 10% 12% 14% 16% 18%0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Lazard Intl Equity

DFA Intl Core Equity

DFA Emerging Markets Core

BlackRock MSCI ACWI

AQR ACWI ex-US Fund


Sector Exposure Active Share

Ho

ldin

gs-B

ase

d T

ota

l A

ctive

Sh

are

Weight Total Non-Idx Sector Number Security% Index Act Share Act Share Act Share Securities Diverse

International Stock Option 100.00% MSCI ACWI ex US 40.91% 6.79% 7.52% 10442 139.19Lazard Intl Equity 24.78% MSCI EAFE 87.32% 12.18% 10.35% 64 21.30DFA Intl Core Equity 14.79% MSCI World ex US 50.05% 18.92% 12.80% 5225 420.36DFA Emerging Markets Core 9.63% MSCI EM 45.51% 15.06% 13.22% 4927 247.28BlackRock MSCI ACWI 26.14% MSCI ACWI ex US 9.36% 1.57% 1.52% 1970 178.84AQR ACWI ex-US Fund 24.65% MSCI ACWI ex US 62.70% 1.17% 16.33% 543 68.07


Lazard International Equity FundPeriod Ended September 30, 2018

Investment PhilosophyThe Lazard International Equity strategy seeks to generate strong relative returns over a full market cycle by investing incompanies with strong and/or improving financial productivity at attractive valuations. The strategy typically invests innon-US companies, including those from emerging markets, with a market capitalization generally of $3 billion or greater.EAFE and ACWI ex-US benchmarked versions are available, resulting in different emerging markets exposure. A versionthat excludes emerging markets is also available.

Quarterly Summary and HighlightsLazard International Equity Fund’s portfolio posted a 0.91% return for the quarter placing it in the 54 percentile of theCallan Non-US Developed Core Equity group for the quarter and in the 36 percentile for the last year.

Lazard International Equity Fund’s portfolio underperformed the MSCI EAFE Index by 0.44% for the quarter andoutperformed the MSCI EAFE Index for the year by 0.82%.

Performance vs Callan Non-US Developed Core Equity (Gross)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

14%


(54)(37)

(36)(45)

(95)

(65)

(67)(82)

(69)

(93)

(58)

(91)


Median 1.01 2.37 9.58 5.66 9.81 6.9075th Percentile 0.33 0.44 8.44 4.70 9.03 6.2690th Percentile (0.73) (1.16) 7.38 4.03 8.54 5.56

Lazard InternationalEquity Fund 0.91 3.56 6.99 4.85 9.31 6.78

MSCI EAFE Index 1.35 2.74 9.23 4.42 8.30 5.38

Relative Return vs MSCI EAFE Index

Rela

tive

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

13 2014 2015 2016 2017 2018

Lazard International Equity Fund

Callan Non-US Developed Core Equity (Gross)Annualized Five Year Risk vs Return

8.0 8.5 9.0 9.5 10.0 10.5 11.0 11.53%

4%

5%

6%

7%

8%

9%

10%

11%

MSCI EAFE Index


Standard Deviation

Re

turn

s


Lazard International Equity FundReturn Analysis Summary


Performance vs Callan Non-US Developed Core Equity (Gross)

(20%)

(10%)

0%

10%

20%

30%

40%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(55)(55)

(80)(62)

(96)(49) (35)

(76) (26)(57)

(58)(66) (24)(68)

10th Percentile 1.22 30.76 4.85 4.96 (1.58) 29.74 23.4125th Percentile (0.25) 28.87 2.96 2.84 (2.44) 27.80 21.76

Median (1.05) 26.32 0.94 1.15 (4.45) 24.76 18.7075th Percentile (3.41) 24.06 (0.44) (0.68) (5.73) 21.69 16.8590th Percentile (5.03) 23.17 (2.25) (4.33) (8.54) 18.73 14.90

Lazard InternationalEquity Fund (1.39) 23.86 (3.79) 2.39 (2.62) 23.87 21.85

MSCI EAFE Index (1.43) 25.03 1.00 (0.81) (4.90) 22.78 17.32

Cumulative and Quarterly Relative Return vs MSCI EAFE Index

Re

lative

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

2013 2014 2015 2016 2017 2018

Lazard International Equity Fund Callan NonUS Dev Core Eq

Risk Adjusted Return Measures vs MSCI EAFE IndexRankings Against Callan Non-US Developed Core Equity (Gross)Five Years Ended September 30, 2018

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0

2.5

3.0


(68)(65)

(67)



Lazard International Equity Fund 0.81 0.49 0.15


Lazard International Equity FundRisk Analysis Summary


Risk Analysis vs Callan Non-US Developed Core Equity (Gross)Five Years Ended September 30, 2018

0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5(2 )

(1 )

0

1

2

3

4

5

6


Tracking Error

Exce

ss R

etu

rn

Market Capture vs MSCI EAFE IndexRankings Against Callan Non-US Developed Core Equity (Gross)Five Years Ended September 30, 2018

70%80%90%

100%110%120%130%140%


(81)(50)



Lazard International Equity Fund 99.78 93.38

Risk Statistics Rankings vs MSCI EAFE IndexRankings Against Callan Non-US Developed Core Equity (Gross)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%


(88)

(14)(32)



Lazard InternationalEquity Fund 8.86 2.19 2.99

0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15

Beta R-Squared

(88) (72)



Lazard InternationalEquity Fund 0.90 0.90


Lazard International Equity FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Non-US Developed Core Equityas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(32)(31)

(16)

(43)

(8)

(63) (62)(61)

(92)

(14) (17)

(58)



Lazard InternationalEquity Fund 34.50 14.58 2.19 9.05 2.39 0.24

MSCI EAFE Index 35.61 13.54 1.67 9.26 3.12 (0.01)



0% 5% 10% 15% 20% 25% 30%

Financials

19.819.5

21.2

Industrials

17.114.814.7


12.110.911.4

Consumer Staples

9.4

50

%M

gr

MV

50

%M

gr

MV

11.110.9

Health Care

9.311.011.5

Energy

7.96.16.6


7.45.8

4.9


6.66.1

7.2

Materials

4.08.07.8

Miscellaneous

2.7

0.3

Real Estate

2.23.4

1.9

Utilities

1.53.2

1.5

Lazard International Equity Fund MSCI EAFE Index

Callan NonUS Dev Core Eq




0

50

100

150

200

250

300

350

400


(70)

(69)



Lazard InternationalEquity Fund 64 21

MSCI EAFE Index 924 117




Country AllocationLazard International Equity Fund VS MSCI EAFE Index



0% 5% 10% 15% 20% 25% 30%

Australia 6.8

Austria 0.2

Belgium1.4

1.0

Brazil0.8

Canada6.2

Denmark1.41.7

Finland1.5

1.1

France10.1

11.2

Germany5.2

9.4

Hong Kong0.5

3.5

India1.0

Ireland1.3

0.5

Israel0.70.5

Italy0.9

2.3

Japan17.8

24.6

Netherlands3.13.3

New Zealand 0.2

Norway2.9

0.8

Portugal 0.2

Singapore2.2

1.3

Spain1.5

3.0

Sweden4.6

2.7

Switzerland7.4

8.3

Taiwan1.2

United Kingdom23.1

17.5

United States5.1


Lazard International Equity Fund MSCI EAFE Index

Index Rtns

(0.94%)

0.23%

(5.20%)

6.17%

0.98%

2.31%

3.17%

2.82%

(0.57%)

(0.95%)

(2.25%)

(5.42%)

5.11%

(4.45%)

3.68%

(1.52%)

2.42%

6.65%

(0.55%)

2.17%

(2.37%)

6.98%

7.26%

7.15%

(1.66%)

4.38%




Oregon Savings Growth PlanHistory of Ending Regional WeightsPeriod Ended September 30, 2018

0

5

10

15

2015 2016 2017 2018

2.79

11.77

Pacific Basin

0

5

10

15

20

2015 2016 2017 2018

11.33

0.00

North America

0

10

20

30

2015 2016 2017 2018

17.79

24.56

Japan

0

2

4

6

8

2015 2016 2017 2018

2.94

0.00

Emerging Markets

0

20

40

60

80

2015 2016 2017 2018

65.1563.67

Dev Europe/Mid East

Lazard International Equity FundMSCI EAFE Index


Current Holdings Based Style AnalysisLazard International Equity FundAs of September 30, 2018


Style Map vs Callan NonUS Dev Core EqHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


MSCI EAFE Index


10.0% (7) 24.2% (12) 27.1% (16) 61.2% (35)

2.9% (1) 7.0% (3) 2.7% (2) 12.6% (6)

4.5% (2) 2.4% (2) 16.0% (10) 22.9% (14)

0.9% (1) 0.0% (0) 2.4% (2) 3.3% (3)

18.2% (11) 33.6% (17) 48.2% (30) 100.0% (58)

18.7% (132) 19.3% (130) 25.2% (190) 63.2% (452)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

12.6% (145) 10.1% (146) 14.0% (177) 36.8% (468)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

31.3% (277) 29.5% (276) 39.2% (367) 100.0% (920)

Europe/Mid East

N. America

Pacific

Emerging

Total



0%

10%

20%

30%

40%

50%

60%

70%

80%

Value Core Growth

18.2%(11)

31.3%(277)

33.6%(17)

29.5%(276)

48.2%(30)

39.2%(367)

Bar #1=Lazard International Equity Fund (Combined Z: 0.24 Growth Z: 0.04 Value Z: -0.20Bar #2=MSCI EAFE Index (Combined Z: -0.01 Growth Z: -0.02 Value Z: -0.00)

Europe/Mid East

N. America

Pacific

Emerging


0%

5%

10%

15%

20%

25%

30%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH PUBUTL

8.35.8

10.1 11.08.9

11.28.8

6.1

20.3 19.4

10.3 11.1

19.1

14.9

4.5

7.8

2.5 3.4

7.36.1

0.0

3.2

Bar #1=Lazard International Equity FundBar #2=MSCI EAFE Index

Value

Core

Growth


Historical Holdings Based Style AnalysisLazard International Equity FundFor Three Years Ended September 30, 2018

This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determineaverage actual exposures to various region and style segments of the international/global equity market. The market issegmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on theeight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the averagehistorical market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposurematrix displays the average historical portfolio and index weights and stock counts (in parentheses) in each region/stylesegment of the market. The next two style exposure charts illustrate the actual quarterly region/style and style only segmentexposures of the portfolio through history.

Average Style Map vs Callan NonUS Dev Core EqHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


MSCI EAFE Index


12.1% (8) 19.4% (10) 32.0% (17) 63.5% (35)

2.1% (1) 3.7% (2) 2.8% (2) 8.6% (5)

2.3% (1) 7.1% (5) 13.9% (8) 23.3% (14)

1.2% (1) 1.2% (1) 2.2% (1) 4.6% (3)

17.6% (11) 31.4% (18) 51.0% (28) 100.0% (57)

19.8% (129) 18.5% (133) 25.2% (194) 63.5% (456)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

12.6% (141) 10.8% (150) 13.1% (179) 36.5% (470)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

32.4% (270) 29.3% (283) 38.3% (373) 100.0% (926)

Europe/Mid East

N. America

Pacific

Emerging

Total


Lazard International Equity Fund Historical Region/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Emerging-Growth

Emerging-Core

Emerging-Value

Pacific-Growth

Pacific-Core

Pacific-Value

N. America-Growth

N. America-Core

N. America-Value

Europe/Mid East-Growth

Europe/Mid East-Core

Europe/Mid East-Value

Lazard International Equity Fund Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


DFA International Core EquityPeriod Ended September 30, 2018

Investment PhilosophyDFA takes a highly structured approach in all investment strategies, and relies on very careful, long-term focused portfolioengineering and trading expertise to achieve performance. They believe this systematic approach produces a more reliableand consistent investment rather than sector rotation, market forecasts and other speculative tools of traditional activemanagers.

Quarterly Summary and HighlightsDFA International Core Equity’s portfolio posted a 0.25% return for the quarter placing it in the 53 percentile of theCallan Intl Eq Developed Mkts MFs group for the quarter and in the 44 percentile for the last year.

DFA International Core Equity’s portfolio underperformed the MSCI World ex US Index by 1.06% for the quarter andunderperformed the MSCI World ex US Index for the year by 0.80%.

Performance vs Callan Intl Eq Developed Mkts MFs (Institutional Net)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

14%


(53)

(19)(44)

(23)

(10)

(38)

(27)

(52)

(26)

(79)

(30)

(69)



DFA InternationalCore Equity 0.25 1.87 10.92 5.50 9.28 6.57

MSCI Worldex US Index 1.31 2.67 9.32 4.24 7.88 5.18

Relative Return vs MSCI World ex US Index

Rela

tive

Re

turn

s

(2.0%)

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

13 2014 2015 2016 2017 2018

DFA International Core Equity

Callan Intl Eq Developed Mkts MFs (Institutional Net)Annualized Five Year Risk vs Return

8 9 10 11 12 13 140%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%


MSCI World ex US Index

Standard Deviation

Re

turn

s


DFA International Core EquityReturn Analysis Summary


Performance vs Callan Intl Eq Developed Mkts MFs (Institutional Net)

(20%)

(10%)

0%

10%

20%

30%

40%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(49)(26)

(36)(81)

(4)(15) (39)(81) (60)(37)

(20)(41) (62)(71)


Median (2.72) 26.64 0.39 (0.73) (5.41) 20.64 19.2875th Percentile (4.93) 24.76 (1.47) (2.86) (6.48) 18.33 15.6690th Percentile (6.06) 22.83 (4.05) (4.93) (8.23) 12.38 14.42

DFA InternationalCore Equity (2.70) 28.05 5.34 (0.21) (5.98) 23.43 18.74

MSCI Worldex US Index (1.50) 24.21 2.75 (3.04) (4.32) 21.02 16.41

Cumulative and Quarterly Relative Return vs MSCI World ex US Index

Re

lative

Re

turn

s

(4%)

(2%)

0%

2%

4%

6%

8%

10%

2013 2014 2015 2016 2017 2018

DFA International Core Equity Callan Intl Eq Dev Mkt MF

Risk Adjusted Return Measures vs MSCI World ex US IndexRankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended September 30, 2018

(3)

(2)

(1)

0

1

2

3

4


(32)(31) (8)



DFA International Core Equity 1.02 0.51 0.64


DFA International Core EquityRisk Analysis Summary


Risk Analysis vs Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended September 30, 2018

0 1 2 3 4 5 6 7 8(4 )

(3 )

(2 )

(1 )

0

1

2

3

4

5

6


Tracking Error

Exce

ss R

etu

rn

Market Capture vs MSCI World ex US IndexRankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended September 30, 2018

80%

90%

100%

110%

120%

130%

140%


(20)

(41)



DFA International Core Equity 118.73 102.87

Risk Statistics Rankings vs MSCI World ex US IndexRankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%

14%


(49)

(93)(88)



DFA InternationalCore Equity 9.86 1.10 1.96

0.70

0.80

0.90

1.00

1.10

1.20

Beta R-Squared

(23)

(8)



DFA InternationalCore Equity 1.07 0.96


DFA International Core EquityEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Intl Eq Developed Mkts MFsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(99)

(61)

(74)

(63)

(94)

(70)(64)

(77)

(27)

(14)

(88)

(66)



DFA InternationalCore Equity 8.87 13.04 1.47 10.03 2.95 (0.24)

MSCI World ex US Index 35.61 13.54 1.68 9.41 3.12 (0.02)



0% 5% 10% 15% 20% 25% 30%

Industrials17.9

14.214.3

Financials17.3

21.420.5


10.311.5

Materials13.1

50

%M

gr

MV

50%

Mg

r M

V

8.17.5

Energy7.7

7.45.6

Consumer Staples6.9

10.411.3

Information Technology6.15.9

9.3

Health Care5.8

10.110.7

Communication Services5.85.8

7.7

Utilities2.93.1

0.7

Real Estate2.5

3.20.9

Miscellaneous0.1

Pooled Vehicles

DFA International Core Equity MSCI World ex US Index

Callan Intl Eq Dev Mkt MF




0

1000

2000

3000

4000

5000

6000


(1)

(1)



DFA InternationalCore Equity 5225 420

MSCI Worldex US Index 1015 128




Country AllocationDFA International Core Equity VS MSCI World ex US Index



0% 5% 10% 15% 20% 25% 30%

Argentina

Australia6.4

6.2

Austria0.6

0.2

Belgium1.1

0.9

Cambodia

Canada8.78.8

China

Denmark1.8

1.5

Finland2.0

1.0

France7.9

10.2

Germany7.7

8.6

Hong Kong3.13.2

Ireland0.50.5

Israel0.7

0.5

Italy2.9

2.1

Japan25.3

22.4

Malaysia

Netherlands2.5

3.0

New Zealand0.5

0.2

Norway1.1

0.7

Portugal0.20.1

Singapore1.11.2

South Africa0.1

Spain2.42.7

Sweden2.52.5

Switzerland5.3

7.5

Taiwan

United Kingdom15.2

16.0

United States0.3


DFA International Core Equity MSCI World ex US Index

Index Rtns

(9.08%)

(0.94%)

0.23%

(5.20%)

-

0.80%

(7.42%)

2.31%

3.17%

2.82%

(0.57%)

(0.95%)

(5.42%)

5.11%

(4.45%)

3.68%

3.81%

(1.52%)

2.42%

6.65%

(0.55%)

2.17%

(7.21%)

(2.37%)

6.98%

7.26%

7.15%

(1.66%)

4.38%





0

5

10

15

2015 2016 2017 2018

11.0110.73

Pacific Basin

0

5

10

15

2015 2016 2017 2018

9.048.82

North America

0

10

20

30

2015 2016 2017 2018

25.2622.39

Japan

0.0

0.1

0.2

0.3

2015 2016 2017 2018

0.15

0.00

Emerging Markets

0

20

40

60

80

2015 2016 2017 2018

54.5358.05

Dev Europe/Mid East

DFA International Core EquityMSCI World ex US Index


Current Holdings Based Style AnalysisDFA International Core EquityAs of September 30, 2018


Style Map vs Callan Intl Eq Dev Mkt MFHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro




18.5% (608) 18.9% (658) 17.3% (557) 54.7% (1823)

2.9% (142) 4.1% (152) 1.8% (98) 8.8% (392)

14.5% (1227) 11.6% (904) 10.3% (842) 36.4% (2973)

0.1% (5) 0.0% (4) 0.0% (4) 0.2% (13)

36.0% (1982) 34.6% (1718) 29.4% (1501) 100.0% (5201)

17.0% (132) 17.6% (130) 22.9% (190) 57.5% (452)

2.8% (34) 3.8% (26) 2.5% (31) 9.1% (91)

11.4% (145) 9.2% (146) 12.8% (177) 33.4% (468)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

31.3% (311) 30.6% (302) 38.1% (398) 100.0% (1011)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total



0%

10%

20%

30%

40%

50%

60%

Value Core Growth

36.0%(1982)

31.3%(311)

34.6%(1718)

30.6%(302)

29.4%(1501)

38.1%(398)

Bar #1=DFA International Core Equity (Combined Z: -0.24 Growth Z: -0.05 Value Z: 0.18)Bar #2=MSCI World ex US Index (Combined Z: -0.02 Growth Z: -0.02 Value Z: 0.00)

Europe/Mid East

N. America

Pacific

Emerging/FM


0%

5%

10%

15%

20%

25%

30%


0.0 0.0

5.7 5.8

13.9

10.4

7.0

10.5

7.7 7.4

17.4

21.3

0.0 0.0

5.9

10.2

18.0

14.3

0.0 0.0

2.9 3.2

13.1

7.9

2.5 3.2

6.0 6.0

Bar #1=DFA International Core EquityBar #2=MSCI World ex US Index

Value

Core

Growth


Historical Holdings Based Style AnalysisDFA International Core EquityFor Three Years Ended September 30, 2018


Average Style Map vs Callan Intl Eq Dev Mkt MFHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro




18.8% (600) 18.9% (648) 18.2% (570) 55.8% (1818)

2.7% (126) 3.4% (165) 2.2% (103) 8.4% (394)

13.7% (1100) 11.9% (904) 10.1% (794) 35.7% (2798)

0.0% (4) 0.0% (5) 0.0% (5) 0.1% (14)

35.2% (1830) 34.3% (1722) 30.5% (1472) 100.0% (5024)

18.0% (129) 16.9% (133) 23.0% (194) 57.9% (456)

2.8% (30) 3.7% (32) 2.4% (31) 8.9% (93)

11.4% (141) 9.8% (150) 11.9% (179) 33.2% (470)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

32.3% (300) 30.4% (315) 37.3% (404) 100.0% (1019)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total


DFA International Core Equity Historical Region/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Emerging/FM-Growth

Emerging/FM-Core

Emerging/FM-Value

Pacific-Growth

Pacific-Core

Pacific-Value

N. America-Growth

N. America-Core

N. America-Value




DFA International Core Equity Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


DFA Emerging Markets Core Equity FundPeriod Ended September 30, 2018

Investment PhilosophyDimensional’s core philosophical principles are: 1) Public capital markets work: Prices in liquid and competitive marketsreflect the aggregate expectations of all market participant; 2) Diversification is essential as it helps reduce uncertainty,manage risk, increase the reliability of outcomes, and provide flexibility in implementation; 3) Managing tradeoffs addsvalue by targeting market premiums efficiently and continuously, reducing the costs associated with turnover, andimplementing a flexible trading strategy.

Quarterly Summary and HighlightsDFA Emerging Markets Core Equity Fund’s portfolio posted a (1.21)% return for the quarter placing it in the 31percentile of the Callan Emerging Markets Equity Mut Funds group for the quarter and in the 23 percentile for the lastyear.

DFA Emerging Markets Core Equity Fund’s portfolio underperformed the MSCI Emerging Markets Index by 0.11% forthe quarter and underperformed the MSCI Emerging Markets Index for the year by 1.67%.

Performance vs Callan Emerging Markets Equity Mut Funds (Institutional Net)

(15%)

(10%)

(5%)

0%

5%

10%

15%

20%


(31)(29)(23)

(17)

(64)(33)

(46)(46)(45)(49)

(21)(48)

10th Percentile 0.94 0.16 13.45 5.69 7.27 6.9925th Percentile (0.95) (2.83) 13.03 4.58 6.72 6.05

Median (3.01) (5.38) 11.95 3.25 5.00 5.2975th Percentile (3.97) (6.67) 10.16 2.63 4.21 4.1290th Percentile (5.41) (7.81) 8.09 1.29 3.71 3.75

DFA Emerging MarketsCore Equity Fund (1.21) (2.48) 11.50 3.57 5.31 6.17

MSCI EmergingMarkets Index (1.09) (0.81) 12.36 3.61 5.03 5.40

Relative Returns vsMSCI Emerging Markets Index

Rela

tive

Re

turn

s

(3%)

(2%)

(1%)

0%

1%

2%

3%

13 2014 2015 2016 2017 2018

DFA Emerging Markets Core Equity Fund

Callan Emerging Markets Equity Mut Funds (Institutional Net)Annualized Five Year Risk vs Return

11 12 13 14 15 16 17 18 190%

1%

2%

3%

4%

5%

6%

7%

MSCI Emerging Markets Index


Standard Deviation

Re

turn

s


DFA Emerging Markets Core Equity FundReturn Analysis Summary


Performance vs Callan Emerging Markets Equity Mut Funds (Institutional Net)

(40%)(30%)(20%)(10%)

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

12/17- 9/18 2017 2016 2015 2014 2013 2012

(34)(21)

(54)(53)

(45)(59)

(59)(59)

(21)(35) (59)(58)

(24)(48)

10th Percentile (5.79) 46.33 20.35 (8.62) 1.53 4.16 23.8625th Percentile (8.53) 42.62 17.34 (12.22) (1.61) 0.40 20.42

Median (10.33) 37.69 11.97 (13.88) (4.02) (2.19) 17.7875th Percentile (11.63) 32.52 8.60 (16.57) (6.61) (5.26) 13.8890th Percentile (12.63) 28.19 4.78 (25.74) (10.09) (7.85) 10.81

DFA Emerging MarketsCore Equity Fund (9.46) 36.55 12.35 (14.86) (0.91) (2.64) 20.49

MSCI EmergingMarkets Index (7.68) 37.28 11.19 (14.92) (2.19) (2.60) 18.23

Cumulative and Quarterly Relative Return vs MSCI Emerging Markets Index

Re

lative

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

2013 2014 2015 2016 2017 2018

DFA Emerging Markets Core Equity Fund Callan Emerging Equity MF

Risk Adjusted Return Measures vs MSCI Emerging Markets IndexRankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended September 30, 2018

(3)

(2)

(1)

0

1

2

3


(49)(45) (47)



DFA Emerging MarketsCore Equity Fund (0.04) 0.22 (0.02)


DFA Emerging Markets Core Equity FundRisk Analysis Summary


Risk Analysis vs Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended September 30, 2018

1 2 3 4 5 6 7 8 9(4 )

(3 )

(2 )

(1 )

0

1

2

3

4


Tracking Error

Exce

ss R

etu

rn

Market Capture vs MSCI Emerging Markets IndexRankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended September 30, 2018

70%80%90%

100%110%120%130%140%150%


(67) (73)



DFA Emerging MarketsCore Equity Fund 100.59 100.93

Risk Statistics Rankings vs MSCI Emerging Markets IndexRankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net)Five Years Ended September 30, 2018

0%2%4%6%8%

10%12%14%16%18%


(66)

(99) (99)



DFA Emerging MarketsCore Equity Fund 13.74 1.48 2.24

0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15

Beta R-Squared

(56)(1)



DFA Emerging MarketsCore Equity Fund 1.00 0.97


DFA Emerging Markets Core Equity FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Emerging Markets Equity Mut Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(96)

(49)

(61)

(75)(83)

(78)

(55)(46)

(25)(27)

(77)(72)



DFA Emerging MarketsCore Equity Fund 6.82 11.44 1.46 16.06 2.76 (0.18)

MSCI EmergingMarkets Index 21.15 11.00 1.58 16.49 2.64 (0.04)



0% 5% 10% 15% 20% 25% 30% 35%


14.217.1

Financials17.9

26.225.8

Materials11.6

7.56.7


50

%M

gr

MV

50%

Mg

r M

V

10.113.3

Industrials9.2

6.63.9


11.712.2


8.1

Energy6.2

7.18.9

Health Care3.63.5

1.5

Real Estate3.33.3

1.5

Utilities3.0

2.51.0

Miscellaneous

Pooled Vehicles


MSCI Emerging Markets Index Callan Emerging Equity MF




0

1000

2000

3000

4000

5000

6000


(1)

(3)



DFA Emerging MarketsCore Equity Fund 4927 247

MSCI EmergingMarkets Index 1141 101




Country AllocationDFA Emerging Markets Core Equity Fund VS MSCI Emerging Markets Index



0% 5% 10% 15% 20% 25% 30% 35% 40%

Brazil7.4

6.2

Chile1.4

1.1

China17.1

31.0

Colombia0.50.5

Cyprus

Czech Republic0.20.2

Egypt0.10.1

Greece0.20.3

Hong Kong0.2

Hungary0.40.3

India12.3

8.5

Indonesia2.6

2.0

Japan

Luxembourg

Malaysia3.4

2.4

Mexico3.7

3.2

Netherlands

Pakistan 0.1

Peru0.10.4

Philippines1.11.0

Poland1.5

1.2

Qatar 0.9

Russia1.1

3.7

Singapore

South Africa7.1

6.1

South Korea18.3

14.9

Taiwan17.4

12.3

Thailand2.42.5

Turkey1.1

0.6

Ukraine

United Arab Emirates 0.7

United Kingdom

United States0.3


DFA Emerging Markets Core Equity Fund MSCI Emerging Markets Ind

Index Rtns

6.07%

(1.99%)

(7.51%)

(2.46%)

-

3.99%

(6.81%)

(17.59%)

(0.95%)

4.65%

(2.25%)

1.95%

3.81%

-

3.81%

6.90%

(1.42%)

(4.89%)

(2.13%)

0.96%

10.64%

12.83%

6.15%

2.19%

(7.40%)

0.69%

6.54%

13.64%

(20.54%)

-

3.11%

(1.65%)

4.38%

Manager Total Return: (1.21%)

Index Total Return: (1.09%)



0

10

20

30

2015 2016 2017 2018

19.4716.40

Mid East / Africa / Other

0 5

10 15 20

2015 2016 2017 2018

13.1011.33

Latin America

0.00 0.02 0.04 0.06 0.08

2015 2016 2017 2018

0.03

0.00

Frontier Markets

0 2 4 6 8

2015 2016 2017 2018

4.556.29

Emerging Europe

0 20 40 60 80

2015 2016 2017 2018

62.3065.97

Developing Asia

0.0

0.5

1.0

1.5

2015 2016 2017 2018

0.55

0.00

Developed Markets

DFA Emerging Markets Core Equity FundMSCI Emerging Markets Ind


Current Holdings Based Style AnalysisDFA Emerging Markets Core Equity FundAs of September 30, 2018


Style Map vs Callan Emerging Equity MFHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


MSCI Emerging Markets Ind


0.0% (0) 0.0% (1) 0.0% (1) 0.0% (2)

0.2% (4) 0.0% (8) 0.0% (0) 0.3% (12)

0.0% (22) 0.1% (26) 0.1% (19) 0.2% (67)

30.6% (1865) 37.4% (1557) 31.5% (1254) 99.5% (4676)

30.8% (1891) 37.5% (1592) 31.7% (1274) 100.0% (4757)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

28.6% (409) 33.8% (371) 37.5% (368) 100.0% (1148)

28.6% (409) 33.8% (371) 37.5% (368) 100.0% (1148)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total



0%

10%

20%

30%

40%

50%

60%

Value Core Growth

30.8%(1891)

28.6%(409)

37.5%(1592)

33.8%(371)

31.7%(1274) 37.5%

(368)

Bar #1=DFA Emerging Markets Core Equity Fund (Combined Z: -0.18 Growth Z: -0.05 Value ZBar #2=MSCI Emerging Markets Ind (Combined Z: -0.04 Growth Z: 0.00 Value Z: 0.04)

Europe/Mid East

N. America

Pacific

Emerging/FM


0%

5%

10%

15%

20%

25%

30%

35%


0.0 0.0

7.9

12.010.610.5

7.7 7.35.8

7.1

17.7

25.7

0.0 0.0

3.5 3.5

9.26.5

0.0 0.03.0 2.5

11.7

7.5

3.3 3.3

19.4

14.1

Bar #1=DFA Emerging Markets Core Equity FundBar #2=MSCI Emerging Markets Ind

Value

Core

Growth


Historical Holdings Based Style AnalysisDFA Emerging Markets Core Equity FundFor Three Years Ended September 30, 2018


Average Style Map vs Callan Emerging Equity MFHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


MSCI Emerging Markets Ind


0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1)

0.1% (2) 0.1% (5) 0.0% (1) 0.1% (8)

0.0% (16) 0.0% (21) 0.1% (10) 0.1% (47)

34.0% (1601) 34.5% (1387) 31.2% (988) 99.7% (3976)

34.1% (1619) 34.6% (1414) 31.3% (999) 100.0% (4032)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

32.4% (319) 31.0% (279) 36.6% (282) 100.0% (880)

32.4% (319) 31.0% (279) 36.6% (282) 100.0% (880)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total


DFA Emerging Markets Core Equity Fund Historical Region/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Emerging/FM-Growth

Emerging/FM-Core

Emerging/FM-Value

Pacific-Growth

Pacific-Core

Pacific-Value

N. America-Growth

N. America-Core

N. America-Value




DFA Emerging Markets Core Equity Fund Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


BlackRock MSCI ACWI ex-US Index FundPeriod Ended September 30, 2018

Investment PhilosophyThe objective of the ACWI ex-US Fund is to track the performance of its benchmark, the MSCI ACWI ex-US Index.BlackRock’s objective in managing the fund is to deliver a high quality and cost-effective index-based portfolio available toinstitutional investors.

Quarterly Summary and HighlightsBlackRock MSCI ACWI ex-US Index Fund’s portfolio posted a 0.74% return for the quarter placing it in the 48 percentileof the Callan Non-US All Country Broad Equity group for the quarter and in the 52 percentile for the last year.

BlackRock MSCI ACWI ex-US Index Fund’s portfolio outperformed the MSCI ACWI ex US Index by 0.04% for thequarter and outperformed the MSCI ACWI ex US Index for the year by 0.33%.

Performance vs Callan Non-US All Country Broad Equity (Gross)

(5%)

0%

5%

10%

15%

20%


(48)(49)

(52)(55)

(54)(61)

(85)(89)

(86)(87)

(84)(86)


Median 0.67 2.18 10.58 5.79 9.63 7.2275th Percentile 0.16 0.62 9.01 4.93 8.46 5.9790th Percentile (1.77) (0.90) 8.16 3.34 6.97 5.06

BlackRock MSCI ACWIex-US Index Fund 0.74 2.09 10.31 4.43 7.71 5.31

MSCI ACWIex US Index 0.71 1.76 9.97 4.12 7.25 5.18


Rela

tive

Re

turn

s

(0.8%)

(0.6%)

(0.4%)

(0.2%)

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

13 2014 2015 2016 2017 2018

BlackRock MSCI ACWI ex-US Index Fund

Callan Non-US All Country Broad Equity (Gross)Annualized Five Year Risk vs Return

8 9 10 11 12 13 14 15 160%

2%

4%

6%

8%

10%

12%

14%



Standard Deviation

Re

turn

s


BlackRock MSCI ACWI ex-US Index FundReturn Analysis Summary


Performance vs Callan Non-US All Country Broad Equity (Gross)

(20%)

(10%)

0%

10%

20%

30%

40%

50%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(56)(61)

(67)(70)

(22)(26)

(88)(89) (65)(59)

(86)(83) (64)(76)


Median (2.51) 29.09 2.12 (0.95) (3.23) 20.31 19.6175th Percentile (3.79) 26.54 (0.34) (3.28) (5.18) 16.34 16.9790th Percentile (5.19) 23.38 (3.93) (6.16) (7.81) 14.08 15.04

BlackRock MSCI ACWIex-US Index Fund (2.79) 27.65 5.38 (5.43) (4.24) 14.68 17.92

MSCI ACWIex US Index (3.09) 27.19 4.50 (5.66) (3.87) 15.29 16.83


Re

lative

Re

turn

s

(2%)

0%

2%

4%

6%

8%

10%

2013 2014 2015 2016 2017 2018

BlackRock MSCI ACWI ex-US Index Fund Callan NonUS AC Broad Eq

Risk Adjusted Return Measures vs MSCI ACWI ex US IndexRankings Against Callan Non-US All Country Broad Equity (Gross)Five Years Ended September 30, 2018

(2)

(1)

0

1

2

3

4

5


(89) (86) (51)



BlackRock MSCI ACWIex-US Index Fund 0.27 0.40 0.47


BlackRock MSCI ACWI ex-US Index FundRisk Analysis Summary


Risk Analysis vs Callan Non-US All Country Broad Equity (Gross)Five Years Ended September 30, 2018

0 1 2 3 4 5 6 7 8 9(5 )

0

5

10


Tracking Error

Exce

ss R

etu

rn

Market Capture vs MSCI ACWI ex US IndexRankings Against Callan Non-US All Country Broad Equity (Gross)Five Years Ended September 30, 2018

60%70%80%90%

100%110%120%130%140%150%160%


(78) (36)



BlackRock MSCI ACWIex-US Index Fund 102.29 98.21

Risk Statistics Rankings vs MSCI ACWI ex US IndexRankings Against Callan Non-US All Country Broad Equity (Gross)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%

14%


(66)

(99) (100)



BlackRock MSCI ACWIex-US Index Fund 9.88 0.37 0.64

0.70

0.80

0.90

1.00

1.10

1.20

Beta R-Squared

(42) (1)



BlackRock MSCI ACWIex-US Index Fund 1.01 1.00


BlackRock MSCI ACWI ex-US Index FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Non-US All Country Broad Equityas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(41)(39)

(62)(63)(67)(70)

(64)(64)

(28)(26)

(70)(70)



BlackRock MSCI ACWIex-US Index Fund 31.37 12.89 1.68 11.37 2.92 (0.01)




0% 5% 10% 15% 20% 25% 30%

Financials

22.222.8

21.1

Industrials

11.712.0

14.2


10.410.2

11.4

Consumer Staples

9.5

50

%M

gr

MV

50

%M

gr

MV

9.59.0


8.48.3

10.7

Health Care

8.48.2

9.8

Materials

8.17.9

7.4

Energy

7.77.3

6.8


7.37.57.4

Utilities

2.93.0

1.0

Real Estate

2.83.2

0.7

Miscellaneous

0.5

0.4


MSCI ACWI ex US Index Callan NonUS AC Broad Eq




0

500

1000

1500

2000

2500


(1)

(1)



BlackRock MSCI ACWIex-US Index Fund 1970 179





Country AllocationBlackRock MSCI ACWI ex-US Index Fund VS MSCI ACWI ex US Index



0% 5% 10% 15% 20% 25%

Australia4.74.6

Austria0.20.2

Belgium0.70.7

Brazil1.51.5

Canada6.66.6

Chile0.30.3

China7.4

7.6

Colombia0.10.1

Czech Republic

Denmark1.21.2

Egypt

Finland0.70.7

France7.67.7

Germany6.56.5

Greece0.10.1

Hong Kong2.32.4

Hungary0.10.1

India2.12.1

Indonesia0.50.5

Ireland0.30.4

Israel0.40.4

Italy1.61.6

Japan17.016.9

Malaysia0.60.6

Mexico0.80.8

Netherlands2.32.3

New Zealand0.10.1

Norway0.50.5

Pakistan

Peru0.10.1

Philippines0.20.2

Poland0.30.3

Portugal0.10.1

Qatar0.20.2

Russia0.90.9

Singapore0.90.9

South Africa1.51.5

South Korea3.8

3.7

Spain2.02.0

Sweden1.81.9

Switzerland5.75.7

Taiwan3.13.0

Thailand0.4

0.6

Turkey0.10.2


United Kingdom11.912.0

United States0.4


BlackRock MSCI ACWI ex-US Index Fund MSCI ACWI ex US Index

Index Rtns

(0.94%)

0.23%

(5.20%)

6.07%

0.80%

(1.99%)

(7.51%)

(2.46%)

3.99%

2.31%

(6.81%)

3.17%

2.82%

(0.57%)

(17.59%)

(0.95%)

4.65%

(2.25%)

1.95%

(5.42%)

5.11%

(4.45%)

3.68%

3.81%

6.90%

(1.52%)

2.42%

6.65%

(4.89%)

(2.13%)

0.96%

10.64%

(0.55%)

12.83%

6.15%

2.17%

(7.40%)

0.69%

(2.37%)

6.98%

7.26%

6.54%

13.64%

(20.54%)

3.11%

(1.66%)

4.38%





0

5

10

2015 2016 2017 2018

8.038.09

Pacific Basin

0

5

10

2015 2016 2017 2018

7.006.65

North America

0

5

10

15

20

2015 2016 2017 2018

16.9616.87

Japan

0

10

20

30

2015 2016 2017 2018

24.3324.65

Emerging Markets

0

20

40

60

2015 2016 2017 2018

43.6843.74

Dev Europe/Mid East

BlackRock MSCI ACWI ex-US Index FundMSCI ACWI ex US Index


Current Holdings Based Style AnalysisBlackRock MSCI ACWI ex-US Index FundAs of September 30, 2018


Style Map vs Callan NonUS AC Broad EqHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro




12.3% (121) 13.1% (125) 17.2% (179) 42.6% (425)

1.9% (32) 2.9% (26) 2.0% (31) 6.8% (89)

8.6% (142) 7.1% (146) 10.0% (177) 25.8% (465)

7.1% (346) 8.5% (288) 9.2% (297) 24.8% (931)

30.0% (641) 31.6% (585) 38.4% (684) 100.0% (1910)

12.1% (132) 12.5% (130) 16.3% (190) 41.0% (452)

2.0% (34) 2.7% (26) 1.8% (31) 6.5% (91)

8.2% (145) 6.6% (146) 9.1% (177) 23.8% (468)

8.2% (409) 9.7% (371) 10.8% (368) 28.7% (1148)

30.5% (720) 31.5% (673) 38.0% (766) 100.0% (2159)

Europe/Mid East

N. America

Pacific

Emerging

Total



0%

10%

20%

30%

40%

50%

60%

Value Core Growth

30.0%(641)

30.5%(720)

31.6%(585)

31.5%(673) 38.4%

(684)

38.0%(766)

Bar #1=BlackRock MSCI ACWI ex-US Index Fund (Combined Z: -0.01 Growth Z: -0.01 Value Z:Bar #2=MSCI ACWI ex US Index (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)

Europe/Mid East

N. America

Pacific

Emerging


0%

5%

10%

15%

20%

25%

30%

35%


7.7 7.610.5 10.4 9.3 9.6

7.7 7.3

21.9 22.5

8.6 8.3

12.0 12.1

2.8 3.0

7.9 7.8

2.8 3.2

8.7 8.3

Bar #1=BlackRock MSCI ACWI ex-US Index FundBar #2=MSCI ACWI ex US Index

Value

Core

Growth


Historical Holdings Based Style AnalysisBlackRock MSCI ACWI ex-US Index FundFor Three Years Ended September 30, 2018


Average Style Map vs Callan NonUS AC Broad EqHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro




13.8% (125) 13.0% (130) 17.4% (188) 44.2% (443)

2.2% (30) 2.7% (32) 1.9% (30) 6.8% (92)

8.8% (140) 7.6% (149) 9.3% (179) 25.8% (468)

7.5% (296) 7.2% (259) 8.7% (258) 23.3% (813)

32.2% (591) 30.4% (570) 37.3% (655) 100.0% (1816)

13.6% (129) 12.7% (133) 17.4% (194) 43.7% (456)

2.1% (30) 2.8% (32) 1.8% (31) 6.7% (93)

8.6% (141) 7.4% (150) 9.0% (179) 25.1% (470)

7.9% (319) 7.6% (279) 9.0% (282) 24.5% (880)

32.3% (619) 30.5% (594) 37.2% (686) 100.0% (1899)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total


BlackRock MSCI ACWI ex-US Index Fund Historical Region/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Emerging/FM-Growth

Emerging/FM-Core

Emerging/FM-Value

Pacific-Growth

Pacific-Core

Pacific-Value

N. America-Growth

N. America-Core

N. America-Value




BlackRock MSCI ACWI ex-US Index Fund Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


AQR ACWI ex-US FundPeriod Ended September 30, 2018

Investment PhilosophyAQR Capital Management considers themselves fundamental investors who employ quantitative tools to maintain adiversified portfolio that is overweight cheap securities with good momentum and underweight expensive securities withpoor momentum. They believe value and momentum make a powerful combination, as the two strategies are significantlynegatively correlated and therefore produce an investment that may preserve the expected return of both strategies butwith dramatically lower volatility.

Quarterly Summary and HighlightsAQR ACWI ex-US Fund’s portfolio posted a (0.09)% return for the quarter placing it in the 71 percentile of the CallanNon US Equity Mutual Funds group for the quarter and in the 90 percentile for the last year.

AQR ACWI ex-US Fund’s portfolio underperformed the MSCI ACWI ex US Index by 0.80% for the quarter andunderperformed the MSCI ACWI ex US Index for the year by 3.99%.


(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

14%


(71)(43)

(90)

(54)

(51)

(32)

(59)(66)


Median 0.51 2.03 8.89 5.8875th Percentile (0.37) (0.53) 7.61 4.8890th Percentile (1.11) (2.18) 6.89 3.74

AQR ACWIex-US Fund (0.09) (2.23) 8.86 5.63

MSCI ACWIex US Index 0.71 1.76 9.97 5.33


Rela

tive

Re

turn

s

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2015 2016 2017 2018

AQR ACWI ex-US Fund

Callan Non US Equity Mutual Funds (Institutional Net)Annualized Three and Three-Quarter Year Risk vs Return

6 8 10 12 14 162%

4%

6%

8%

10%

12%

14%

AQR ACWI ex-US Fund


Standard Deviation

Re

turn

s


AQR ACWI ex-US FundReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

12/17- 9/18 2017 2016 2015

(87)(67)

(46)(47)

(17)(15)(76)

(93)

10th Percentile 1.51 32.71 5.78 4.8925th Percentile (0.49) 30.00 2.66 2.35

Median (2.18) 26.90 0.23 0.0275th Percentile (4.20) 23.95 (2.25) (1.86)90th Percentile (5.72) 22.13 (5.47) (3.96)

AQR ACWIex-US Fund (5.51) 27.43 4.08 (2.00)

MSCI ACWIex US Index (3.09) 27.19 4.50 (5.66)


Re

lative

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

2015 2016 2017 2018

AQR ACWI ex-US Fund Callan Non US Equity MFs

Risk Adjusted Return Measures vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Three and Three-Quarter Years Ended September 30, 2018

(2)

(1)

0

1

2

3

4

5


(62) (61)(56)



AQR ACWI ex-US Fund 0.49 0.50 0.11


AQR ACWI ex-US FundRisk Analysis Summary


Risk Analysis vs Callan Non US Equity Mutual Funds (Institutional Net)Three and Three-Quarter Years Ended September 30, 2018

0 1 2 3 4 5 6 7 8 9(3 )

(2 )

(1 )

0

1

2

3

4

5

6

7

AQR ACWI ex-US Fund

Tracking Error

Exce

ss R

etu

rn

Market Capture vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Three and Three-Quarter Years Ended September 30, 2018

50%60%70%80%90%

100%110%120%130%140%


(63) (63)



AQR ACWI ex-US Fund 100.99 96.42

Risk Statistics Rankings vs MSCI ACWI ex US IndexRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Three and Three-Quarter Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%

14%


(53)

(77)(87)



AQR ACWIex-US Fund 9.98 1.84 2.72

0.700.750.800.850.900.951.001.051.101.15

Beta R-Squared

(39)(15)



AQR ACWIex-US Fund 0.96 0.93


AQR ACWI ex-US FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Non US Equity Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(74)

(50)

(78)(71)

(63)(70)

(48)(53)

(33)(27)

(66)(67)



AQR ACWI ex-US Fund 23.17 11.91 1.71 11.78 2.88 (0.00)




0% 5% 10% 15% 20% 25% 30%

Financials

16.022.8

19.9


14.48.3

10.2

Energy

12.57.3

6.4

Health Care

11.0

50

%M

gr

MV

50

%M

gr

MV

8.210.9

Industrials

10.912.0

15.1


9.810.2

12.0

Materials

9.37.9

7.7

Consumer Staples

6.29.5

10.6

Real Estate

3.43.2

0.8


3.27.5

6.1

Utilities

2.53.0

0.3

Miscellaneous

0.7

AQR ACWI ex-US Fund MSCI ACWI ex US Index





0

100

200

300

400

500

600

700


(9)

(6)



AQR ACWIex-US Fund 543 68





Country AllocationAQR ACWI ex-US Fund VS MSCI ACWI ex US Index



0% 5% 10% 15% 20%

Australia3.9

4.6

Austria 0.2

Belgium1.3

0.7

Brazil1.6

1.5

Canada5.8

6.6

Chile0.5

0.3

China7.9

7.6

Colombia 0.1

Czech Republic

Denmark1.9

1.2

Egypt

Finland1.4

0.7

France7.9

7.7

Germany7.0

6.5

Greece 0.1

Hong Kong2.1

2.4

Hungary 0.1

India2.02.1

Indonesia0.7

0.5

Ireland 0.4

Israel 0.4

Italy2.1

1.6

Japan16.0

16.9

Malaysia0.9

0.6

Mexico0.70.8

Netherlands3.0

2.3

New Zealand 0.1

Norway 0.5

Pakistan

Peru0.10.1

Philippines0.10.2

Poland0.20.3

Portugal 0.1

Qatar0.10.2

Russia0.90.9

Singapore0.4

0.9

South Africa1.41.5

South Korea3.8

3.7

Spain1.6

2.0

Sweden2.1

1.9

Switzerland6.4

5.7

Taiwan3.1

3.0

Thailand0.9

0.6

Turkey0.10.2


United Kingdom11.0

12.0

United States0.8


AQR ACWI ex-US Fund MSCI ACWI ex US Index

Index Rtns

(0.94%)

0.23%

(5.20%)

6.07%

0.80%

(1.99%)

(7.51%)

(2.46%)

3.99%

2.31%

(6.81%)

3.17%

2.82%

(0.57%)

(17.59%)

(0.95%)

4.65%

(2.25%)

1.95%

(5.42%)

5.11%

(4.45%)

3.68%

3.81%

6.90%

(1.52%)

2.42%

6.65%

(4.89%)

(2.13%)

0.96%

10.64%

(0.55%)

12.83%

6.15%

2.17%

(7.40%)

0.69%

(2.37%)

6.98%

7.26%

6.54%

13.64%

(20.54%)

3.11%

(1.66%)

4.38%



0

5

10

2015 2016 2017 2018

6.43

8.09

Pacific Basin

0

5

10

2015 2016 2017 2018

6.576.65

North America

0

5

10

15

20

2015 2016 2017 2018

15.9616.87

Japan

0

10

20

30

2015 2016 2017 2018

25.1724.65

Emerging Markets

0

20

40

60

2015 2016 2017 2018

45.8743.74

Dev Europe/Mid East

AQR ACWI ex-US FundMSCI ACWI ex US Index


Current Holdings Based Style AnalysisAQR ACWI ex-US FundAs of September 30, 2018


Style Map vs Callan Non US Equity MFsHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro

AQR ACWI ex-US Fund



10.5% (44) 13.8% (35) 20.9% (55) 45.2% (134)

1.6% (11) 1.4% (6) 3.0% (9) 6.0% (26)

7.8% (51) 7.9% (46) 7.2% (47) 22.9% (144)

8.1% (78) 8.8% (71) 9.1% (82) 25.9% (231)

28.1% (184) 31.8% (158) 40.1% (193) 100.0% (535)

12.1% (132) 12.5% (130) 16.3% (190) 41.0% (452)

2.0% (34) 2.7% (26) 1.8% (31) 6.5% (91)

8.2% (145) 6.6% (146) 9.1% (177) 23.8% (468)

8.2% (409) 9.7% (371) 10.8% (368) 28.7% (1148)

30.5% (720) 31.5% (673) 38.0% (766) 100.0% (2159)

Europe/Mid East

N. America

Pacific

Emerging

Total



0%

10%

20%

30%

40%

50%

60%

70%

Value Core Growth

28.1%(184)

30.5%(720)

31.8%(158)

31.5%(673) 40.1%

(193)

38.0%(766)

Bar #1=AQR ACWI ex-US Fund (Combined Z: -0.00 Growth Z: 0.06 Value Z: 0.06)Bar #2=MSCI ACWI ex US Index (Combined Z: -0.02 Growth Z: -0.01 Value Z: 0.01)

Europe/Mid East

N. America

Pacific

Emerging


0%

5%

10%

15%

20%

25%

30%

35%


1.1

7.69.4 10.4

5.6

9.6

12.8

7.3

15.9

22.5

11.18.3

11.2 12.1

2.6 3.0

9.17.8

3.5 3.2

17.7

8.3

Bar #1=AQR ACWI ex-US FundBar #2=MSCI ACWI ex US Index

Value

Core

Growth


Historical Holdings Based Style AnalysisAQR ACWI ex-US FundFor Three Years Ended September 30, 2018


Average Style Map vs Callan Non US Equity MFsHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro

AQR ACWI ex-US Fund



15.1% (50) 13.6% (41) 17.2% (57) 45.8% (148)

2.0% (13) 2.2% (12) 2.1% (11) 6.4% (36)

8.2% (50) 8.1% (53) 7.8% (49) 24.2% (152)

8.9% (107) 7.6% (82) 7.2% (72) 23.6% (261)

34.2% (220) 31.4% (188) 34.3% (189) 100.0% (597)

13.6% (129) 12.7% (133) 17.4% (194) 43.7% (456)

2.1% (30) 2.8% (32) 1.8% (31) 6.7% (93)

8.6% (141) 7.4% (150) 9.0% (179) 25.1% (470)

7.9% (319) 7.6% (279) 9.0% (282) 24.5% (880)

32.3% (619) 30.5% (594) 37.2% (686) 100.0% (1899)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total


AQR ACWI ex-US Fund Historical Region/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Emerging/FM-Growth

Emerging/FM-Core

Emerging/FM-Value

Pacific-Growth

Pacific-Core

Pacific-Value

N. America-Growth

N. America-Core

N. America-Value




AQR ACWI ex-US Fund Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


Small Company Stock OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsSmall Company Stock Option’s portfolio posted a 4.27% return for the quarter placing it in the 52 percentile of theCallan Small Cap Mutual Funds group for the quarter and in the 48 percentile for the last year.

Small Company Stock Option’s portfolio outperformed the Russell 2000 Index by 0.69% for the quarter andoutperformed the Russell 2000 Index for the year by 0.60%.


(5%)

0%

5%

10%

15%

20%

25%

30%

35%

40%


(52)(56)

(48)(50)(44)(43)

(45)(45)

(46)(45)

(50)(60)



Small CompanyStock Option 4.27 15.83 16.92 11.10 16.24 12.04

Russell2000 Index 3.58 15.24 17.12 11.07 16.43 11.11


Rela

tive

Re

turn

s

(3.0%)

(2.5%)

(2.0%)

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

13 2014 2015 2016 2017 2018


Callan Small Cap Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

5 10 15 20 250%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Russell 2000 Index


Standard Deviation

Re

turn

s


Small Company Stock OptionReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

50%

60%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(47)(47) (57)(57)(33)(33)

(54)(59)

(37)(36)

(59)(53)

(35)(37)

10th Percentile 27.22 28.61 29.16 1.04 8.47 48.65 19.3425th Percentile 21.28 24.09 24.48 (1.76) 6.23 45.62 17.50

Median 10.56 16.39 15.80 (3.72) 3.48 40.58 14.6175th Percentile 5.69 10.84 8.41 (6.63) 0.16 35.20 12.3290th Percentile 2.56 7.64 5.37 (10.13) (3.23) 32.14 9.69

Small CompanyStock Option 11.32 14.74 21.43 (4.17) 4.71 38.06 16.66

Russell 2000 Index 11.51 14.65 21.31 (4.41) 4.89 38.82 16.35


Re

lative

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

2013 2014 2015 2016 2017 2018

Small Company Stock Option Callan Small Cap MFs

Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(4)

(3)

(2)

(1)

0

1

2

3

4

5

6


(51) (29)

(45)


Median 0.97 0.91 (0.04)75th Percentile (1.08) 0.75 (0.38)90th Percentile (2.59) 0.53 (0.67)

Small Company Stock Option 0.81 1.05 0.01


Small Company Stock OptionRisk Analysis Summary


Risk Analysis vs Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0 5 10 15(15 )

(10 )

(5 )

0

5

10


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

40%50%60%70%80%90%

100%110%120%130%140%


(44) (49)



Small Company Stock Option 95.24 89.12

Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0%2%4%6%8%

10%12%14%16%


(81)

(100) (100)



Small CompanyStock Option 10.04 1.33 1.74

0.400.500.600.700.800.901.001.101.20

Beta R-Squared

(41)(1)



Small CompanyStock Option 0.92 0.98


Small Company Stock OptionEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Small Cap Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(62)(65)

(35)(30)

(41)(42)

(52)(52)(56)

(48)(42)(42)



Small CompanyStock Option 2.30 20.15 2.25 13.65 1.08 (0.00)

Russell 2000 Index 2.18 23.71 2.22 13.62 1.27 (0.01)



0% 5% 10% 15% 20% 25%

Industrials18.2

15.119.0

Financials16.9

17.413.3


14.020.1


50

%M

gr

MV

50

%M

gr

MV

12.213.4

Health Care13.6

16.417.6

Energy5.8

4.83.9

Materials4.8

4.24.5


3.22.3

Consumer Staples3.3

2.72.9

Real Estate3.1

6.92.9

Utilities2.3

3.1

Pooled Vehicles

Miscellaneous

Small Company Stock Option Russell 2000 Index





0

500

1000

1500

2000

2500

3000

3500


(1)

(1)



Small CompanyStock Option 2776 431





Current Holdings Based Style AnalysisSmall Company Stock OptionAs of September 30, 2018


Style Map vs Callan Small Cap MFsHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 2000 Index

Small Company Stock OptionRussell 2000 Index


Large

Mid

Small

Micro

Total


0.0% (0) 0.4% (5) 0.4% (7) 0.8% (12)

2.1% (45) 4.0% (70) 9.9% (124) 15.9% (239)

17.4% (324) 28.4% (487) 22.6% (379) 68.5% (1190)

5.5% (486) 5.7% (546) 3.6% (265) 14.8% (1297)

25.0% (855) 38.4% (1108) 36.5% (775) 100.0% (2738)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.8% (4) 2.1% (13) 6.3% (30) 9.2% (47)

21.1% (276) 31.5% (445) 26.3% (351) 78.8% (1072)

4.1% (294) 4.9% (381) 3.0% (220) 12.0% (895)

26.0% (574) 38.5% (839) 35.5% (601) 100.0% (2014)


0%

10%

20%

30%

40%

50%

60%

Value Core Growth

25.0%(855)

26.0%(574)

38.4%(1108)

38.5%(839)

36.5%(775)

35.5%(601)

Bar #1=Small Company Stock Option (Combined Z: -0.00 Growth Z: 0.00 Value Z: 0.01)

Bar #2=Russell 2000 Index (Combined Z: -0.01 Growth Z: -0.02 Value Z: -0.01)

Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU PUBUTL RAWMAT REALES TECH

3.5 3.2

14.212.2

3.3 2.7

5.84.7

16.8 17.3

0.0 0.0

13.6

16.418.3

15.2

2.33.1

4.8 4.23.1

6.9

14.3 14.0

Bar #1=Small Company Stock Option


Value

Core

Growth


Active Share Structure AnalysisFor One Quarter Ended September 30, 2018

This analysis compares multiple portfolios and composites in an active share context, illustrating the varying degrees ofactive risk taken by individual portfolios, and how they combine into active risk profiles for composites and the equitystructure. Two sources of active share (active risk) are shown: 1) Total Holdings-Based Active Share based on individualposition comparisons to the index (and the subcomponent from holding non-index securities), and 2) Sector Exposure ActiveShare that quantifies the more macro-level sector differences from the index.

Active Share AnalysisEnded September 30, 2018

0% 2% 4% 6% 8% 10% 12% 14% 16%0%

10%

20%

30%

40%

50%

60%

70%

80%

Small Company Stock

Callan Small Equity Fund

BlackRock Russell 2000

DFA US Small Cap Portfolio

Sector Exposure Active Share

Ho

ldin

gs-B

ase

d T

ota

l A

ctive

Sh

are

Weight Total Non-Idx Sector Number Security% Index Act Share Act Share Act Share Securities Diverse

Small Company Stock 100.00% Russell 2000 29.89% 9.18% 8.00% 2776 430.81BlackRock Russell 2000 29.39% Russell 2000 0.00% 0.00% 0.00% 2038 374.74Callan Small Equity Fund 35.41% Russell 2000 69.87% 20.01% 11.42% 921 212.57DFA US Small Cap Portfolio 35.20% Russell 2000 33.14% 6.34% 14.42% 2023 306.32


BlackRock Russell 2000 Index FundPeriod Ended September 30, 2018

Investment PhilosophyAs with all indexing strategies, the objective of the Russell 2000 Index Fund is to track the performance of its benchmark,the Russell 2000 Index. To manage the fund effectively, BGI focuses on three objectives: minimizing transaction costs,minimizing tracking error and minimizing risk. Due to the illiquid nature and high transaction costs involved in trading thesmallest securities in the Index, the Fund is managed using an optimization technique. The optimization is based on a riskmodel, with a goal of creating a fund that statistically reflects the respective index’s characteristics. This approach allowsBGI to decrease transaction costs, and minimize negative tracking error. BGI’s broad and diverse asset and client baseproduces significant economies of scale for further minimizing transaction costs to clients, as we have the ability to "cross"a majority of trades among funds tracking related US equity security universes.

Quarterly Summary and HighlightsBlackRock Russell 2000 Index Fund’s portfolio posted a 3.63% return for the quarter placing it in the 56 percentile ofthe Callan Small Capitalization group for the quarter and in the 49 percentile for the last year.

BlackRock Russell 2000 Index Fund’s portfolio outperformed the Russell 2000 Index by 0.05% for the quarter andoutperformed the Russell 2000 Index for the year by 0.23%.

Performance vs Callan Small Capitalization (Gross)

0%

5%

10%

15%

20%

25%

30%

35%

40%


(56)(57)

(49)(50)(46)(49)

(66)(69)

(68)(75)

(86)(89)



BlackRock Russell2000 Index Fund 3.63 15.47 17.41 11.34 16.70 11.36

Russell 2000 Index 3.58 15.24 17.12 11.07 16.43 11.11


Rela

tive

Re

turn

s

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

0.12%

0.14%

13 2014 2015 2016 2017 2018

BlackRock Russell 2000 Index Fund

Callan Small Capitalization (Gross)Annualized Five Year Risk vs Return

6 8 10 12 14 16 182%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%


Russell 2000 Index

Standard Deviation

Re

turn

s


BlackRock Russell 2000 Index FundReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

50%

60%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(48)(49) (52)(53)(40)(42)

(68)(70)

(55)(58)

(68)(69)

(50)(51)



BlackRock Russell2000 Index Fund 11.68 14.93 21.63 (4.16) 5.15 39.16 16.61

Russell 2000 Index 11.51 14.65 21.31 (4.41) 4.89 38.82 16.35


Re

lative

Re

turn

s

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

2013 2014 2015 2016 2017 2018

BlackRock Russell 2000 Index Fund Callan Small Cap

Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

(2)(1)

012345678


(81)(61)

(1)


Median 1.98 1.07 0.2275th Percentile 0.67 0.93 (0.06)90th Percentile (0.48) 0.80 (0.33)

BlackRock Russell2000 Index Fund 0.26 1.01 6.70


BlackRock Russell 2000 Index FundRisk Analysis Summary


Risk Analysis vs Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

0 5 10 15(10 )

(8 )

(6 )

(4 )

(2 )

0

2

4

6

8

10


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

40%50%60%70%80%90%

100%110%120%130%140%


(43) (18)



BlackRock Russell2000 Index Fund 101.68 98.63

Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

(2%)0%2%4%6%8%

10%12%14%16%


(51)

(100) (100)



BlackRock Russell2000 Index Fund 10.77 0.00 0.04

0.50

0.60

0.70

0.80

0.90

1.00

1.10

Beta R-Squared

(14) (1)



BlackRock Russell2000 Index Fund 1.00 1.00


BlackRock Russell 2000 Index FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Small Capitalizationas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(62)(62)

(24)(24)

(51)(51) (54)(54)

(42)(42) (45)(45)



BlackRock Russell2000 Index Fund 2.18 23.71 2.22 13.62 1.27 (0.01)

Russell 2000 Index 2.18 23.71 2.22 13.62 1.27 (0.01)



0% 5% 10% 15% 20% 25%

Financials

17.417.4

17.1

Health Care

16.416.4

17.0

Industrials

15.115.1

17.5


14.0

50

%M

gr

MV

50

%M

gr

MV

14.016.9


12.212.2

13.0

Real Estate

6.96.9

4.4

Energy

4.84.8

4.4

Materials

4.24.24.4


3.23.2

2.0

Utilities

3.13.1

0.9

Consumer Staples

2.72.7

2.4

BlackRock Russell 2000 Index Fund Russell 2000 Index

Callan Small Cap




0

500

1000

1500

2000

2500


(1)

(1)



BlackRock Russell2000 Index Fund 2038 375





Current Holdings Based Style AnalysisBlackRock Russell 2000 Index FundAs of September 30, 2018


Style Map vs Callan Small CapHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 2000 Index

BlackRock Russell 2000 Index FundRussell 2000 Index


Large

Mid

Small

Micro

Total


0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.8% (4) 2.1% (13) 6.3% (30) 9.2% (47)

21.1% (276) 31.5% (445) 26.3% (351) 78.8% (1072)

4.1% (294) 4.9% (381) 3.0% (220) 12.0% (895)

26.0% (574) 38.5% (839) 35.5% (601) 100.0% (2014)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.8% (4) 2.1% (13) 6.3% (30) 9.2% (47)

21.1% (276) 31.5% (445) 26.3% (351) 78.8% (1072)

4.1% (294) 4.9% (381) 3.0% (220) 12.0% (895)

26.0% (574) 38.5% (839) 35.5% (601) 100.0% (2014)


0%

10%

20%

30%

40%

50%

60%

Value Core Growth

26.0%(574)

26.0%(574)

38.5%(839)

38.5%(839)

35.5%(601)

35.5%(601)

Bar #1=BlackRock Russell 2000 Index Fund (Combined Z: -0.01 Growth Z: -0.02 Value Z: -0


Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%


3.2 3.2

12.2 12.2

2.7 2.7

4.7 4.7

17.3 17.316.4 16.4

15.2 15.2

3.1 3.14.2 4.2

6.9 6.9

14.0 14.0

Bar #1=BlackRock Russell 2000 Index Fund


Value

Core

Growth


Historical Holdings Based Style AnalysisBlackRock Russell 2000 Index FundFor Three Years Ended September 30, 2018


Average Style Map vs Callan Small CapHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 2000 Index


Large

Mid

Small

Micro

Total


0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

1.8% (9) 3.4% (17) 5.3% (26) 10.5% (52)

20.3% (275) 31.7% (428) 25.1% (344) 77.2% (1047)

4.0% (282) 5.0% (374) 3.3% (217) 12.3% (873)

26.2% (566) 40.2% (819) 33.6% (587) 100.0% (1972)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

1.8% (9) 3.4% (17) 5.3% (26) 10.5% (52)

20.3% (275) 31.7% (428) 25.1% (344) 77.2% (1047)

4.0% (282) 5.0% (374) 3.3% (217) 12.3% (873)

26.2% (566) 40.2% (819) 33.6% (587) 100.0% (1972)

BlackRock Russell 2000 Index Fund Historical Cap/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Micro-Growth

Micro-Core

Micro-Value

Small-Growth

Small-Core

Small-Value

Mid-Growth

Mid-Core

Mid-Value

BlackRock Russell 2000 Index Fund Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


Callan Small Equity FundPeriod Ended September 30, 2018

Quarterly Summary and HighlightsCallan Small Equity Fund’s portfolio posted a 6.06% return for the quarter placing it in the 31 percentile of the CallanSmall Capitalization group for the quarter and in the 35 percentile for the last year.

Callan Small Equity Fund’s portfolio outperformed the Russell 2000 Index by 2.49% for the quarter and outperformedthe Russell 2000 Index for the year by 4.84%.


0%

5%

10%

15%

20%

25%

30%

35%

40%


(31)

(57)

(35)

(50)

(28)

(49)

(60)(69)

(51)(75)

(56)

(89)



Callan SmallEquity Fund 6.06 20.08 19.02 11.58 17.52 12.66

Russell2000 Index 3.58 15.24 17.12 11.07 16.43 11.11


Rela

tive

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

13 2014 2015 2016 2017 2018


Callan Small Capitalization (Gross)Annualized Five Year Risk vs Return

6 8 10 12 14 16 182%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%


Russell 2000 Index

Standard Deviation

Re

turn

s


Callan Small Equity FundReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

50%

60%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(37)(49)(35)

(53)(50)(42)

(76)(70)(78)(58)

(29)(69)

(40)(51)



Callan SmallEquity Fund 14.22 19.06 20.34 (5.36) 1.78 45.22 17.35

Russell 2000 Index 11.51 14.65 21.31 (4.41) 4.89 38.82 16.35


Re

lative

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

2013 2014 2015 2016 2017 2018

Callan Small Equity Fund Callan Small Cap

Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

(2)

(1)

0

1

2

3

4

5

6


(73) (57)

(51)


Median 1.98 1.07 0.2275th Percentile 0.67 0.93 (0.06)90th Percentile (0.48) 0.80 (0.33)

Callan Small Equity Fund 0.80 1.03 0.20


Callan Small Equity FundRisk Analysis Summary


Risk Analysis vs Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

0 5 10 15(10 )

(8 )

(6 )

(4 )

(2 )

0

2

4

6

8

10


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

40%50%60%70%80%90%

100%110%120%130%140%


(38) (17)



Callan Small Equity Fund 104.06 99.27

Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Capitalization (Gross)Five Years Ended September 30, 2018

0%

5%

10%

15%


(51)

(91) (96)



Callan SmallEquity Fund 10.79 1.72 2.50

0.50

0.60

0.70

0.80

0.90

1.00

1.10

Beta R-Squared

(21) (5)



Callan SmallEquity Fund 0.97 0.95


Callan Small Equity FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Small Capitalizationas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(44)

(62)

(29)(24)

(34)

(51)

(42)

(54)

(70)

(42)

(32)

(45)



Callan Small Equity Fund 2.55 20.69 2.52 14.94 0.87 0.11

Russell 2000 Index 2.18 23.71 2.22 13.62 1.27 (0.01)



0% 5% 10% 15% 20% 25%

Industrials19.2

15.117.5


14.016.9

Health Care15.5

50

%M

gr

MV

50

%M

gr

MV

16.417.0


12.213.0

Financials14.1

17.417.1

Energy5.7

4.84.4

Materials4.6

4.24.4


3.22.0


2.4

Real Estate2.2

6.94.4

Utilities0.7

3.10.9

Pooled Vehicles

Miscellaneous

Callan Small Equity Fund Russell 2000 Index

Callan Small Cap




0

200

400

600

800

1000

1200


(4)

(2)



Callan SmallEquity Fund 921 213





Current Holdings Based Style AnalysisCallan Small Equity FundAs of September 30, 2018



Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 2000 Index

Callan Small Equity FundRussell 2000 Index


Large

Mid

Small

Micro

Total


0.0% (0) 1.1% (5) 1.2% (7) 2.2% (12)

3.9% (36) 7.3% (58) 18.7% (114) 29.9% (208)

10.6% (91) 17.4% (152) 19.2% (162) 47.2% (405)

8.2% (109) 7.2% (107) 5.1% (68) 20.6% (284)

22.8% (236) 33.0% (322) 44.2% (351) 100.0% (909)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.8% (4) 2.1% (13) 6.3% (30) 9.2% (47)

21.1% (276) 31.5% (445) 26.3% (351) 78.8% (1072)

4.1% (294) 4.9% (381) 3.0% (220) 12.0% (895)

26.0% (574) 38.5% (839) 35.5% (601) 100.0% (2014)


0%

10%

20%

30%

40%

50%

60%

70%

Value Core Growth

22.8%(236)

26.0%(574) 33.0%

(322) 38.5%(839) 44.2%

(351)

35.5%(601)

Bar #1=Callan Small Equity Fund (Combined Z: 0.11 Growth Z: 0.03 Value Z: -0.08)


Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

30%

COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU PUBUTL RAWMAT REALES TECH

3.7 3.2

15.1

12.2

2.9 2.7

5.74.7

14.2

17.3

0.0 0.0

15.416.4

19.3

15.2

0.7

3.14.6 4.2

2.2

6.9

16.114.0

Bar #1=Callan Small Equity Fund


Value

Core

Growth


Historical Holdings Based Style AnalysisCallan Small Equity FundFor Three Years Ended September 30, 2018


Average Style Map vs Callan Small CapHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 2000 Index


Large

Mid

Small

Micro

Total


0.1% (1) 0.5% (3) 0.8% (5) 1.5% (9)

4.8% (36) 8.8% (67) 13.8% (91) 27.5% (194)

10.3% (89) 19.4% (160) 19.5% (165) 49.1% (414)

6.9% (82) 9.4% (125) 5.6% (67) 21.9% (274)

22.1% (208) 38.2% (355) 39.7% (328) 100.0% (891)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

1.8% (9) 3.4% (17) 5.3% (26) 10.5% (52)

20.3% (275) 31.7% (428) 25.1% (344) 77.2% (1047)

4.0% (282) 5.0% (374) 3.3% (217) 12.3% (873)

26.2% (566) 40.2% (819) 33.6% (587) 100.0% (1972)

Callan Small Equity Fund Historical Cap/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Micro-Growth

Micro-Core

Micro-Value

Small-Growth

Small-Core

Small-Value

Mid-Growth

Mid-Core

Mid-Value

Large-Growth

Large-Core

Large-Value

Callan Small Equity Fund Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


DFA US Small Cap PortfolioPeriod Ended September 30, 2018

Investment PhilosophyDimensional’s core philosophical principles are: public capital markets work (Dimensional uses information in market pricesto identify reliable dimensions of expected market returns: size, relative price, and profitability and to design and implementstrategies along those dimensions); diversification is essential (helps reduce uncertainty, manage risk, increase thereliability of outcomes, and provide flexibility); and managing tradeoffs adds value (Dimensional seeks to add value bytargeting market premiums efficiently and continuously, reducing the costs associated with turnover, and implementing aflexible trading strategy).

Quarterly Summary and HighlightsDFA US Small Cap Portfolio’s portfolio posted a 3.25% return for the quarter placing it in the 59 percentile of the CallanSmall Cap Mutual Funds group for the quarter and in the 56 percentile for the last year.

DFA US Small Cap Portfolio’s portfolio underperformed the Russell 2000 Index by 0.33% for the quarter andunderperformed the Russell 2000 Index for the year by 2.31%.


(5%)

0%

5%

10%

15%

20%

25%

30%

35%

40%


(59)(56)

(56)(50) (57)

(43)

(50)(45)

(40)(45)

(40)(60)



DFA US SmallCap Portfolio 3.25 12.93 15.47 10.80 16.69 12.40

Russell 2000 Index 3.58 15.24 17.12 11.07 16.43 11.11


Rela

tive

Re

turn

s

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

13 2014 2015 2016 2017 2018


Callan Small Cap Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

5 10 15 20 250%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Russell 2000 Index


Standard Deviation

Re

turn

s


DFA US Small Cap PortfolioReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

50%

60%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(55)(47) (71)(57)(28)(33)

(45)(59)(40)(36)

(45)(53)

(18)(37)



DFA US SmallCap Portfolio 8.80 11.52 23.53 (3.29) 4.44 42.21 18.39

Russell 2000 Index 11.51 14.65 21.31 (4.41) 4.89 38.82 16.35


Re

lative

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

2013 2014 2015 2016 2017 2018

DFA US Small Cap Portfolio Callan Small Cap MFs

Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(4)

(3)

(2)

(1)

0

1

2

3

4

5

6


(53)(36)

(53)


Median 0.97 0.91 (0.04)75th Percentile (1.08) 0.75 (0.38)90th Percentile (2.59) 0.53 (0.67)

DFA US Small Cap Portfolio 0.59 1.00 (0.09)


DFA US Small Cap PortfolioRisk Analysis Summary


Risk Analysis vs Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0 5 10 15(15 )

(10 )

(5 )

0

5

10


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

40%50%60%70%80%90%

100%110%120%130%140%


(57)(64)



DFA US Small Cap Portfolio 88.82 79.84

Risk Statistics Rankings vs Russell 2000 IndexRankings Against Callan Small Cap Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0%

5%

10%

15%


(77)

(97)(94)



DFA US SmallCap Portfolio 10.27 1.89 3.03

0.400.500.600.700.800.901.001.101.20

Beta R-Squared

(42) (6)



DFA US SmallCap Portfolio 0.92 0.92


DFA US Small Cap PortfolioEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Small Cap Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(62)(65)

(47)

(30)

(51)

(42)

(58)(52) (53)

(48)(44)(42)



DFA US SmallCap Portfolio 2.31 17.51 2.06 12.51 1.12 (0.11)

Russell 2000 Index 2.18 23.71 2.22 13.62 1.27 (0.01)



0% 5% 10% 15% 20% 25%

Industrials19.9

15.119.0

Financials19.1

17.413.3


50

%M

gr

MV

50

%M

gr

MV

12.213.4


14.020.1

Health Care9.3

16.417.6

Energy6.7

4.83.9

Materials5.4

4.24.5

Consumer Staples4.3

2.72.9


3.22.3

Utilities3.23.1

Real Estate0.7

6.92.9

Miscellaneous

Pooled Vehicles

DFA US Small Cap Portfolio Russell 2000 Index





0

500

1000

1500

2000

2500


(1)

(1)



DFA US SmallCap Portfolio 2023 306





Current Holdings Based Style AnalysisDFA US Small Cap PortfolioAs of September 30, 2018



Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 2000 Index

DFA US Small Cap PortfolioRussell 2000 Index


Large

Mid

Small

Micro

Total


0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

1.3% (14) 2.4% (19) 4.3% (30) 7.9% (63)

21.0% (246) 36.4% (416) 23.0% (284) 80.4% (946)

4.1% (411) 4.8% (401) 2.7% (194) 11.7% (1006)

26.5% (671) 43.6% (836) 30.0% (508) 100.0% (2015)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

0.8% (4) 2.1% (13) 6.3% (30) 9.2% (47)

21.1% (276) 31.5% (445) 26.3% (351) 78.8% (1072)

4.1% (294) 4.9% (381) 3.0% (220) 12.0% (895)

26.0% (574) 38.5% (839) 35.5% (601) 100.0% (2014)


0%

10%

20%

30%

40%

50%

60%

70%

Value Core Growth

26.5%(671)

26.0%(574)

43.6%(836)

38.5%(839)

30.0%(508) 35.5%

(601)

Bar #1=DFA US Small Cap Portfolio (Combined Z: -0.11 Growth Z: -0.00 Value Z: 0.11)


Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

30%


3.6 3.2

15.0

12.2

4.32.7

6.74.7

19.117.3

9.4

16.4

19.9

15.2

3.2 3.15.4

4.2

0.7

6.9

12.914.0

Bar #1=DFA US Small Cap Portfolio


Value

Core

Growth


Historical Holdings Based Style AnalysisDFA US Small Cap PortfolioFor Three Years Ended September 30, 2018


Average Style Map vs Callan Small Cap MFsHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 2000 Index


Large

Mid

Small

Micro

Total


0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

2.0% (17) 3.3% (26) 4.7% (31) 10.1% (74)

21.1% (249) 36.7% (396) 22.0% (251) 79.9% (896)

3.6% (386) 4.1% (417) 2.4% (178) 10.1% (981)

26.8% (652) 44.2% (839) 29.0% (460) 100.0% (1951)

0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0)

1.8% (9) 3.4% (17) 5.3% (26) 10.5% (52)

20.3% (275) 31.7% (428) 25.1% (344) 77.2% (1047)

4.0% (282) 5.0% (374) 3.3% (217) 12.3% (873)

26.2% (566) 40.2% (819) 33.6% (587) 100.0% (1972)

DFA US Small Cap Portfolio Historical Cap/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Micro-Growth

Micro-Core

Micro-Value

Small-Growth

Small-Core

Small-Value

Mid-Growth

Mid-Core

Mid-Value

Large-Value

DFA US Small Cap Portfolio Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


Socially Responsible OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsSocially Responsible Option’s portfolio posted a 6.86% return for the quarter placing it in the 31 percentile of the CallanAll Cap Core Mutual Funds group for the quarter and in the 32 percentile for the last year.

Socially Responsible Option’s portfolio underperformed the Russell 3000 Index by 0.26% for the quarter andunderperformed the Russell 3000 Index for the year by 1.38%.


0%

5%

10%

15%

20%

25%


(31)(24)

(32)

(21)

(18)(14)

(22)(11)


Median 5.87 13.90 14.18 9.6075th Percentile 4.62 10.71 11.92 7.3090th Percentile 3.18 7.52 10.37 5.18

SociallyResponsible Option 6.86 16.20 16.56 11.25

Russell3000 Index 7.12 17.58 17.07 12.08


Re

lative

Re

turn

s

(2.0%)

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2015 2016 2017 2018


Callan All Cap Core Mutual Funds (Institutional Net)Annualized Three and One-Half Year Risk vs Return

0 5 10 15 20 25 30 35(15%)

(10%)

(5%)

0%

5%

10%

15%

20%

Russell 3000 Index


Standard Deviation

Re

turn

s


Socially Responsible OptionReturn Analysis Summary



0%

5%

10%

15%

20%

25%

30%

12/17- 9/18 2017 2016

(31)(24)

(41)(36)

(26)(30)



SociallyResponsible Option 9.49 20.71 13.39

Russell 3000 Index 10.57 21.13 12.74


Re

lative

Re

turn

s

(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

2015 2016 2017 2018

Socially Responsible Option Callan All Cap Core MFs

Risk Adjusted Return Measures vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Three and One-Half Years Ended September 30, 2018

(8)

(6)

(4)

(2)

0

2

4


(22)

(12)

(46)



Socially Responsible Option (0.35) 1.43 (0.65)


Socially Responsible OptionRisk Analysis Summary


Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net)Three and One-Half Years Ended September 30, 2018

0 5 10 15 20 25 30 35(30 )

(25 )

(20 )

(15 )

(10 )

(5 )

0

5


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Three and One-Half Years Ended September 30, 2018

40%60%80%

100%120%140%160%180%


(26) (67)



Socially Responsible Option 92.29 95.16

Risk Statistics Rankings vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Three and One-Half Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%


(77)

(97) (98)



SociallyResponsible Option 7.35 1.10 1.27

0.400.500.600.700.800.901.001.101.201.30

Beta R-Squared

(58) (3)



SociallyResponsible Option 0.96 0.97


TIAA-CREF Social Choice Equity FundPeriod Ended September 30, 2018

Investment PhilosophyThe Social Choice Equity fund uses the MSCI USA IMI ESG index as it’s starting universe, but rebalances stock weightingsto match the risk factors of the Russell 3000. The goal is to neutralize, to the extent possible, the inherent biasesintroduced by using a screened universe of securities and minimize tracking error versus the Russell 3000.

Quarterly Summary and HighlightsTIAA-CREF Social Choice Equity Fund’s portfolio posted a 6.82% return for the quarter placing it in the 32 percentile ofthe Callan All Cap Core Mutual Funds group for the quarter and in the 31 percentile for the last year.

TIAA-CREF Social Choice Equity Fund’s portfolio underperformed the Russell 3000 Index by 0.31% for the quarter andunderperformed the Russell 3000 Index for the year by 1.31%.


0%

5%

10%

15%

20%

25%


(32)(24)

(31)

(21)(17)(14)

(30)(14)

(34)(17)

(29)(19)



TIAA-CREF SocialChoice Equity Fund 6.82 16.27 16.67 12.30 15.83 11.32

Russell 3000 Index 7.12 17.58 17.07 13.46 16.86 12.01


Rela

tive

Re

turn

s

(2.0%)

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

13 2014 2015 2016 2017 2018

TIAA-CREF Social Choice Equity Fund

Callan All Cap Core Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

0 5 10 15 20 25 30(10%)

(5%)

0%

5%

10%

15%

20%

Russell 3000 Index


Standard Deviation

Re

turn

s


TIAA-CREF Social Choice Equity FundReturn Analysis Summary



(20%)

(10%)

0%

10%

20%

30%

40%

50%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(31)(24)

(38)(36)(25)(30)

(53)(24)

(37)(25)

(41)(46)

(60)(34)



TIAA-CREF SocialChoice Equity Fund 9.49 20.93 13.51 (2.39) 11.25 34.32 14.05

Russell 3000 Index 10.57 21.13 12.74 0.48 12.56 33.55 16.42


Re

lative

Re

turn

s

(16%)

(14%)

(12%)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

2013 2014 2015 2016 2017 2018

TIAA-CREF Social Choice Equity Fund Callan All Cap Core MFs

Risk Adjusted Return Measures vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(7)(6)(5)(4)(3)(2)(1)

0123


(26)

(16)

(71)



TIAA-CREF SocialChoice Equity Fund (0.61) 1.65 (0.94)


TIAA-CREF Social Choice Equity FundRisk Analysis Summary


Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0 5 10 15 20 25 30(20 )

(15 )

(10 )

(5 )

0

5


Tracking Error

Exce

ss R

etu

rn

Market Capture vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

40%60%80%

100%120%140%160%180%


(34) (69)



TIAA-CREF SocialChoice Equity Fund 89.38 94.74

Risk Statistics Rankings vs Russell 3000 IndexRankings Against Callan All Cap Core Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

0%

2%

4%

6%

8%

10%

12%


(83)

(96) (98)



TIAA-CREF SocialChoice Equity Fund 7.14 1.19 1.23

0.500.600.700.800.901.001.101.201.30

Beta R-Squared

(63) (3)



TIAA-CREF SocialChoice Equity Fund 0.96 0.97


TIAA-CREF Social Choice Equity FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan All Cap Core Mutual Fundsas of September 30, 2018

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(38)

(17)(25)(26)

(32)(40) (40)(40)

(32)(39) (42)

(36)



TIAA-CREF SocialChoice Equity Fund 47.30 17.72 3.24 15.86 1.83 (0.06)

Russell 3000 Index 74.01 17.60 3.10 15.90 1.78 (0.01)



0% 5% 10% 15% 20% 25% 30%


23.420.7

19.6

Health Care

15.214.6

15.5

Financials

14.9

50

%M

gr

MV

50

%M

gr

MV

13.714.7

Industrials

11.010.4

12.5


10.110.5

12.2

Consumer Staples

6.16.05.8

Energy

5.65.85.6

Real Estate

3.63.6

1.8


3.68.9

6.9

Materials

3.32.9

3.7

Utilities

3.22.8

1.6

TIAA-CREF Social Choice Equity Fund Russell 3000 Index

Callan All Cap Core MFs




0

100

200

300

400

500

600

700

800


(8)

(12)



TIAA-CREF SocialChoice Equity Fund 702 56





Current Holdings Based Style AnalysisTIAA-CREF Social Choice Equity FundAs of September 30, 2018


Style Map vs Callan All Cap Core MFsHoldings as of September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 3000 Index

TIAA-CREF Social Choice Equity FundRussell 3000 Index


Large

Mid

Small

Micro

Total


23.9% (56) 25.9% (58) 28.1% (43) 77.9% (157)

4.0% (59) 5.0% (71) 7.3% (87) 16.2% (217)

0.8% (60) 1.9% (100) 2.3% (85) 5.1% (245)

0.3% (27) 0.3% (33) 0.3% (21) 0.8% (81)

29.0% (202) 33.0% (262) 38.0% (236) 100.0% (700)

24.7% (97) 20.4% (107) 30.0% (95) 75.1% (299)

5.1% (186) 5.8% (201) 5.9% (211) 16.8% (598)

2.1% (328) 2.8% (489) 2.3% (379) 7.1% (1196)

0.3% (294) 0.4% (382) 0.2% (220) 0.9% (896)

32.2% (905) 29.4% (1179) 38.4% (905) 100.0% (2989)


0%

10%

20%

30%

40%

50%

60%

Value Core Growth

29.0%(202) 32.2%

(905)33.0%(262)

29.4%(1179)

38.0%(236)

38.4%(905)

Bar #1=TIAA-CREF Social Choice Equity Fund (Combined Z: -0.06 Growth Z: -0.04 Value Z:

Bar #2=Russell 3000 Index (Combined Z: -0.01 Growth Z: -0.00 Value Z: 0.01)

Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

30%

35%


3.6

9.010.1 10.5

6.1 6.0 5.5 5.7

14.913.7

15.2 14.7

11.0 10.4

3.2 2.8 3.3 2.9 3.6 3.6

23.420.7

Bar #1=TIAA-CREF Social Choice Equity Fund


Value

Core

Growth


Historical Holdings Based Style AnalysisTIAA-CREF Social Choice Equity FundFor Three Years Ended September 30, 2018


Average Style Map vs Callan All Cap Core MFsHoldings for Three Years Ended September 30, 2018

Value Core Growth

Mega

Large

Mid

Small

Micro


Russell 3000 Index


Large

Mid

Small

Micro

Total


28.7% (62) 25.9% (54) 24.9% (52) 79.5% (168)

4.6% (60) 5.2% (84) 4.5% (67) 14.3% (211)

1.1% (93) 2.1% (118) 2.1% (85) 5.3% (296)

0.2% (34) 0.3% (40) 0.3% (29) 0.8% (103)

34.7% (249) 33.4% (296) 31.8% (233) 100.0% (778)

26.8% (103) 22.9% (96) 24.7% (97) 74.4% (296)

5.1% (174) 6.4% (219) 5.8% (202) 17.3% (595)

2.2% (338) 2.9% (476) 2.2% (379) 7.3% (1193)

0.3% (282) 0.4% (376) 0.3% (218) 1.0% (876)

34.5% (897) 32.5% (1167) 33.0% (896) 100.0% (2960)

TIAA-CREF Social Choice Equity Fund Historical Cap/Style Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Micro-Growth

Micro-Core

Micro-Value

Small-Growth

Small-Core

Small-Value

Mid-Growth

Mid-Core

Mid-Value

Large-Growth

Large-Core

Large-Value

TIAA-CREF Social Choice Equity Fund Historical Style Only Exposures

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2016 2017 2018

Growth

Core

Value


Real Return OptionPeriod Ended September 30, 2018

Quarterly Summary and HighlightsReal Return Option’s portfolio posted a (0.20)% return for the quarter placing it in the 76 percentile of the Callan AltGlobal Macro Mutual Funds group for the quarter and in the 67 percentile for the last year.

Real Return Option’s portfolio underperformed the Consumer Price Index + 3% by 1.09% for the quarter andunderperformed the Consumer Price Index + 3% for the year by 3.95%.

(2%)

0%

2%

4%

6%

8%

Last Quarter

(0.20 )

0.89

Last Year

1.39

5.34

Last 3 Years

3.57

4.95

Last 3-1/2 Years

0.34

4.87

Re

turn

s

Real Return Option Consumer Price Index + 3%

Relative Return vs Consumer Price Index + 3%

Re

lative

Re

turn

s

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

2015 2016 2017 2018

Real Return Option

Cumulative Returns vsConsumer Price Index + 3%

Cum

ula

tive

Re

lative

Re

turn

s

(15%)

(10%)

(5%)

0%

5%

10%

2015 2016 2017 2018

Real Return OptionCallan Alt Glbl Macro MF


GMO Benchmark-Free Allocation FundPeriod Ended September 30, 2018

Investment PhilosophyThe philosophy that underlies all of GMO’s Asset Allocation investment strategies is that the pricing of asset classes, andindividual securities, may deviate from true intrinsic value. Investors who are able to embrace the embedded advantages oftheir long horizon, be unconventional in their portfolio exposures, and avoid the instinct to follow the herd are bestpositioned to capitalize on long term value opportunities.

Quarterly Summary and HighlightsGMO Benchmark-Free Allocation Fund’s portfolio posted a 0.45% return for the quarter placing it in the 58 percentile ofthe Callan Alt Global Macro Mutual Funds group for the quarter and in the 64 percentile for the last year.

GMO Benchmark-Free Allocation Fund’s portfolio underperformed the Consumer Price Index - U + 3% by 0.47% for thequarter and underperformed the Consumer Price Index - U + 3% for the year by 3.76%.

Performance vs Callan Alt Global Macro Mutual Funds (Institutional Net)

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

Last Quarter Last Year Last 3 Years Last 5 Years Last 5-1/2 Years

(58)(44)

(64)

(27) (53)(54)

(55)

(28)

(44)

(23)


Median 0.55 2.46 5.49 3.17 2.7575th Percentile (0.13) 0.72 2.22 1.96 1.5790th Percentile (1.18) (3.17) (0.11) (1.22) (0.42)

GMO Benchmark-FreeAllocation Fund 0.45 1.51 5.34 2.87 3.15

Consumer PriceIndex - U + 3% 0.92 5.28 4.99 4.52 4.49

Relative Returns vsConsumer Price Index - U + 3%

Rela

tive

Re

turn

s

(10%)

(5%)

0%

5%

13 2014 2015 2016 2017 2018

GMO Benchmark-Free Allocation Fund

Callan Alt Global Macro Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

0 2 4 6 8 10 12 14(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

14%

16%

Consumer Price Index - U + 3%


Standard Deviation

Re

turn

s


GMO Benchmark-Free Allocation FundReturn Analysis Summary


Performance vs Callan Alt Global Macro Mutual Funds (Institutional Net)

(20%)(15%)(10%)

(5%)0%5%

10%15%20%25%

12/17- 9/18 2017 2016 2015

(64)

(10)

(39)

(77) (63)(42)

(40)

(5)

10th Percentile 4.70 20.05 12.65 2.2525th Percentile 1.71 15.96 8.34 (1.46)

Median (0.48) 10.21 4.44 (5.16)75th Percentile (1.59) 5.47 0.17 (8.54)90th Percentile (4.04) (1.38) (3.48) (12.14)

GMO Benchmark-FreeAllocation Fund (1.16) 12.89 3.18 (4.26)

CPI - U + 3% 4.62 5.11 5.08 3.73

Cumulative and Quarterly Relative Return vs CPI - U + 3%

Re

lative

Re

turn

s

(20%)

(15%)

(10%)

(5%)

0%

5%

10%

2013 2014 2015 2016 2017 2018

GMO Benchmark-Free Allocation Fund Callan Alt Glbl Macro MF

Risk Adjusted Return Measures vs CPI - U + 3%Rankings Against Callan Alt Global Macro Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

(10)(8)(6)(4)(2)

02468

10


(72)(72) (74)


Median 1.64 0.71 0.0175th Percentile (2.24) 0.34 (0.32)90th Percentile (6.70) (0.05) (0.51)

GMO Benchmark-FreeAllocation Fund (0.72) 0.45 (0.32)


GMO Benchmark-Free Allocation FundRisk Analysis Summary


Risk Analysis vs Callan Alt Global Macro Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

1 2 3 4 5 6 7 8 9 10 11 12 13(8 )

(6 )

(4 )

(2 )

0

2

4

6

8

10

12


Tracking Error

Exce

ss R

etu

rn

Rolling 4 Quarter Tracking Error vs CPI - U + 3%

Tra

ckin

g E

rro

r

1%

2%

3%

4%

5%

6%

7%

8%

9%

2014 2015 2016 2017 2018

GMO Benchmark-Free Allocation FundCallan Alt Glbl Macro MF

Risk Statistics Rankings vs CPI - U + 3%Rankings Against Callan Alt Global Macro Mutual Funds (Institutional Net)Five Years Ended September 30, 2018

2%

3%

4%

5%

6%

7%

8%

9%

10%


(69)

(49)

(71)



GMO Benchmark-FreeAllocation Fund 5.25 4.25 5.13

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

Beta R-Squared

(43)

(47)


Median 0.72 0.0475th Percentile (0.20) 0.0290th Percentile (0.87) 0.00

GMO Benchmark-FreeAllocation Fund 0.81 0.05


State Street Real Asset StrategyPeriod Ended September 30, 2018

Investment PhilosophySSGA Custom Blended Benchmark comprised of: 15% Dow Jones US Select REIT Index, 25% Bloomberg Roll SelectCommodity Index, 25% S&P Global LargeMidCap Commodity and Resources Index, 25% Bloomberg Barclays USTreasury Inflation Protected Securities Index, and 10% S&P Global Infrastructure Index.

Quarterly Summary and HighlightsState Street Real Asset Strategy’s portfolio posted a (0.65)% return for the quarter placing it in the 65 percentile of theCallan Real Assets Database group for the quarter and in the 34 percentile for the last year.

State Street Real Asset Strategy’s portfolio underperformed the Consumer Price Index - U + 3% by 1.57% for thequarter and underperformed the Consumer Price Index - U + 3% for the year by 1.45%.

Performance vs Callan Real Assets Database (Institutional Net)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%


B(65)A(65)

(18)

B(34)A(34)

(27)

B(27)A(27)

(52)

B(50)A(51)

(12)

B(49)A(57)

(12)

B(66)A(70)

(3)


Median (0.31) 3.15 5.16 1.23 2.09 2.9875th Percentile (0.82) 1.93 3.41 0.20 1.40 1.4690th Percentile (1.15) 1.27 0.39 (1.38) 0.10 0.83

State Street RealAsset Strategy A (0.65) 3.83 6.75 1.16 2.07 2.00SSGA Custom

Blended Benchmark B (0.64) 3.83 6.80 1.24 2.13 2.38

Consumer PriceIndex - U + 3% 0.92 5.28 4.99 4.52 4.54 4.76


Rela

tive

Re

turn

s

(15%)

(10%)

(5%)

0%

5%

10%

13 2014 2015 2016 2017 2018

State Street Real Asset Strategy

Callan Real Assets Database (Institutional Net)Annualized Five Year Risk vs Return

0 2 4 6 8 10 12 14(4%)

(2%)

0%

2%

4%

6%

8%

SSGA Custom Blended Benchmark


State Street Real Asset Strategy

Standard Deviation

Re

turn

s


State Street Real Asset StrategyReturn Analysis Summary


Performance vs Callan Real Assets Database (Institutional Net)

(25%)(20%)(15%)(10%)

(5%)0%5%

10%15%20%25%

12/17- 9/18 2017 2016 2015 2014 2013 2012

B(58)A(58)

(3)A(47)B(48)(63)

B(16)A(17)

(67)

B(84)A(84)

(1) B(53)A(53)

(14)B(81)A(81)

(19)B(43)A(46)(63)


Median 0.41 8.52 6.98 (7.32) (0.62) (1.38) 7.5275th Percentile (0.95) 3.64 4.19 (12.24) (4.22) (3.26) 4.0790th Percentile (1.59) 1.50 2.99 (16.04) (8.50) (8.00) 2.51

State Street RealAsset Strategy A 0.01 8.66 14.15 (14.11) (1.05) (4.65) 7.60SSGA Custom

Blended Benchmark B 0.04 8.61 14.28 (14.05) (0.85) (4.57) 7.72

CPI - U + 3% 4.62 5.11 5.08 3.73 3.76 4.50 4.74


Re

lative

Re

turn

s

(25%)

(20%)

(15%)

(10%)

(5%)

0%

5%

10%

2013 2014 2015 2016 2017 2018

State Street Real Asset Strategy SSGA Custom Blended Benchmark Callan Real Assets

Risk Adjusted Return Measures vs CPI - U + 3%Rankings Against Callan Real Assets Database (Institutional Net)Five Years Ended September 30, 2018

(25)

(20)

(15)

(10)

(5)

0

5

10


B(76)A(76)

B(69)A(71)

B(58)A(61)


Median (7.53) 0.17 (0.41)75th Percentile (10.33) 0.01 (0.51)90th Percentile (17.63) (0.13) (1.05)

State Street Real Asset Strategy A (10.72) 0.08 (0.43)SSGA Custom Blended Benchmark B (10.58) 0.09 (0.43)


State Street Real Asset StrategyRisk Analysis Summary


Risk Analysis vs Callan Real Assets Database (Institutional Net)Five Years Ended September 30, 2018

2 3 4 5 6 7 8 9 10 11 12 13(6 )

(4 )

(2 )

0

2

4

6

State Street Real Asset Strategy SSGA Custom Blended Benchmark

Tracking Error

Exce

ss R

etu

rn


Tra

ckin

g E

rro

r

4%

5%

6%

7%

8%

9%

10%

11%

12%

13%

14%

2013 2014 2015 2016 2017 2018

State Street Real Asset StrategySSGA Custom Blended BenchmarkCallan Real Assets

Risk Statistics Rankings vs CPI - U + 3%Rankings Against Callan Real Assets Database (Institutional Net)Five Years Ended September 30, 2018

2%

4%

6%

8%

10%

12%

14%


A(32)B(32)

A(32)B(32)

B(34)A(35)



State Street RealAsset Strategy A 8.38 6.57 7.71SSGA Custom

Blended Benchmark B 8.38 6.56 7.72

0

1

2

3

4

5

6

Beta R-Squared

A(24)B(24)

A(43)B(44)



State Street RealAsset Strategy A 3.09 0.26SSGA Custom

Blended Benchmark B 3.07 0.26


Wellington Real Total ReturnPeriod Ended September 30, 2018

Investment PhilosophyWellington believes that by combining the dynamic management of market exposures, the selection of active strategies,and a robust risk management process, they can create a portfolio with a compelling return that is diversifying for manyinvestors while offering moderate volatility and limited correlation to equities. The portfolio’s investment philosophy is thefoundation for the selection of market exposures, active managers and risk management, and reflects these core beliefs:Assets with an attractive trend and valuation should produce attractive risk adjusted returns. Displaced markets create atailwind for managers to create sustainable alpha. Balancing risk across the portfolio and hedging significant factorexposures against tail events minimizes the potential for significant drawdowns.

Quarterly Summary and HighlightsWellington Real Total Return’s portfolio posted a (0.61)% return for the quarter placing it in the 86 percentile of theCallan Multi-Asset Absolute Return group for the quarter and in the 93 percentile for the last year.

Wellington Real Total Return’s portfolio underperformed the Consumer Price Index - U + 3% by 1.53% for the quarterand underperformed the Consumer Price Index - U + 3% for the year by 5.85%.

Performance vs Callan Multi-Asset Absolute Return (Gross)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

7%

Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years

(86)

(33)

(93)

(9)

(93)

(6)

(97)

(12)

(99)

(36)


Median 0.24 1.39 2.93 3.78 4.4675th Percentile (0.09) 0.28 1.54 2.99 3.8690th Percentile (0.84) (0.35) 0.37 2.20 3.74

Wellington RealTotal Return (0.61) (0.57) (0.16) (1.12) 0.28

Consumer PriceIndex - U + 3% 0.92 5.28 4.99 4.52 4.54


Rela

tive

Re

turn

s

(10%)

(5%)

0%

5%

13 2014 2015 2016 2017 2018

Wellington Real Total Return

Callan Multi-Asset Absolute Return (Gross)Annualized Five Year Risk vs Return

1 2 3 4 5 6 7(2%)

(1%)

0%

1%

2%

3%

4%

5%



Standard Deviation

Re

turn

s


Wellington Real Total ReturnReturn Analysis Summary


Performance vs Callan Multi-Asset Absolute Return (Gross)

(15%)

(10%)

(5%)

0%

5%

10%

15%

20%

25%

12/17- 9/18 2017 2016 2015 2014 2013 2012

(71)

(3)(79)

(42)

(69)

(16)

(77)

(14)

(92)

(69)(91)

(84)(45)

(73)


Median 0.77 4.97 2.39 0.84 4.84 7.26 7.9075th Percentile (2.08) 2.70 (0.40) (3.69) 2.59 6.34 4.0990th Percentile (2.63) 0.05 (1.75) (8.52) (1.61) 0.69 (0.22)

Wellington RealTotal Return (1.40) 2.52 (0.09) (4.68) (2.45) 0.15 7.94

CPI - U + 3% 4.62 5.11 5.08 3.73 3.76 4.50 4.74


Re

lative

Re

turn

s

(30%)

(25%)

(20%)

(15%)

(10%)

(5%)

0%

5%

10%

2013 2014 2015 2016 2017 2018

Wellington Real Total Return Callan MAC Absolute Rtn

Risk Adjusted Return Measures vs CPI - U + 3%Rankings Against Callan Multi-Asset Absolute Return (Gross)Five Years Ended September 30, 2018

(10)

(8)

(6)

(4)

(2)

0

2

4

6

8

10


(98)

(96) (96)

10th Percentile 7.47 1.19 0.0025th Percentile 6.17 0.95 (0.07)

Median 5.03 0.79 (0.18)75th Percentile 1.11 0.65 (0.33)90th Percentile 0.36 0.42 (0.48)

Wellington Real Total Return (7.46) (0.27) (0.99)


Wellington Real Total ReturnRisk Analysis Summary


Risk Analysis vs Callan Multi-Asset Absolute Return (Gross)Five Years Ended September 30, 2018

3.8 4.0 4.2 4.4 4.6 4.8 5.0 5.2 5.4 5.6 5.8 6.0(7 )

(6 )

(5 )

(4 )

(3 )

(2 )

(1 )

0

1


Tracking Error

Exce

ss R

etu

rn


Tra

ckin

g E

rro

r

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%

7.0%

7.5%

8.0%

2014 2015 2016 2017 2018

Wellington Real Total ReturnCallan MAC Absolute Rtn

Risk Statistics Rankings vs CPI - U + 3%Rankings Against Callan Multi-Asset Absolute Return (Gross)Five Years Ended September 30, 2018

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%


(1)(3) (5)



Wellington RealTotal Return 6.08 5.77 5.71

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0

Beta R-Squared

(2)

(22)


Median (0.27) 0.0575th Percentile (0.89) 0.0290th Percentile (1.41) 0.00

Wellington RealTotal Return 1.58 0.13


Equity Market Indicators

The market indicators included in this report are regarded as measures of equity or fixed income performance results. The

returns shown reflect both income and capital appreciation.

Russell 1000 Growth measures the performance of those Russell 1000 companies with higher price-to-book ratios and

higher forecasted growth values.

Russell 1000 Value measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower

forecasted growth values.

Russell 2000 Index is composed of the 2000 smallest stocks in the Russell 3000 Index, representing approximately 11% of

the U.S. equity market capitalization.

Standard & Poor’s 500 Index is designed to measure performance of the broad domestic economy through changes in the

aggregate market value of 500 stocks representing all major industries. The index is capitalization-weighted, with each stock

weighted by its proportion of the total market value of all 500 issues. Thus, larger companies have a greater effect on the

index.

Fixed Income Market Indicators

90-Day U.S. Treasury Bills provide a measure of riskless return. The rate of return is the average interest rate available on

the beginning of each month for a Treasury Bill maturing in ninety days.

Bloomberg Barclays Aggregate Bond Index is a combination of the Mortgage Backed Securities Index and the

intermediate and long-term components of the Government/Credit Bond Index.

International Equity Market Indicators

Morgan Stanley Capital International (MSCI) EAFE Index is composed of approximately 1000 equity securities

representing the stock exchanges of Europe, Australia, New Zealand and the Far East. The index is capitalization-weighted

and is expressed in terms of U.S. dollars.

184

Definitions

Core Bond - Managers who construct portfolios to approximate the investment results of the Bloomberg Barclays Capital

Government/Credit Bond Index or the Bloomberg Barclays Capital Aggregate Bond Index with a modest amount of variability

in duration around the index. The objective is to achieve value added from sector and/or issue selection.

Core Equity - Managers whose portfolio holdings and characteristics are similar to that of the broader market as

represented by the Standard & Poor’s 500 Index, with the objective of adding value over and above the index, typically from

sector or issue selection. The core portfolio exhibits similar risk characteristics to the broad market as measured by low

residual risk with Beta and R-Squared values close to 1.00 and combined growth and value z-score values close to 0.00.

Core Plus Broad International Equity Style This is a hybrid group incorporating the Core Plus, Growth Plus and Value

Plus style groups. It incorporates managers that typically add value from increased tactical or strategic exposure to

emerging markets and smaller capitalization stocks. Portfolios may undertake concentrated bets.

Intermediate Fixed-Income Style Mutual Funds - mutual funds whose objective is to lower interest rate risk by investing

only in intermediate-term securities. The average portfolio maturity is typically five to seven years.

Large Cap Growth - Managers who invest mainly in large companies that are expected to have above average prospects

for long-term growth in earnings and profitability. Future growth prospects take precedence over valuation levels in the stock

selection process. Invests in companies with P/E ratios, Price-to-Book values, Return-on-Assets values, Growth-in-Earnings

values above the broader market. The companies typically have zero dividends or dividend yields below the broader market.

Invests in securities which exhibit greater volatility than the broader market as measured by the securities’ Beta and

Standard Deviation. Portfolios have high growth z-scores and low value z-scores.

Large Cap Value - Managers who invest primarily in large companies believed to be currently undervalued in the general

market and whose shares are priced below the market compared to their peers. Valuation issues take precedence over near

term earnings prospects in the stock selection process. The Large Cap Value Style invests in companies with P/E ratios,

Return-on-Equity values, and Price-to-Book values below the broader market and the middle capitalization segment. This

style invests in securities with risk/reward profiles in the lower risk range of the medium capitalization market. Portfolios have

low growth z-scores and high value z-scores.

Non-U.S. Equity Style Mutual Funds - Mutual funds that invest their assets only in non-U.S. equity securities but exclude

regional and index funds.

Small Capitalization - Mututal funds that invest in companies with relatively small capitalization. The average market

capitalization is approximately $1.4 billion. The companies typically have zero dividends or dividend yields below the

broader market. The securities exhibit greater volatility than the broader market as measured by the risk statistics Beta and

Standard Deviation. The Small Capitalization Style Group consists of the Small Capitalization (Growth) Style Group and the

Small Capitalization (Value) Style Group.

Small Capitalization - Managers who invest in companies with relatively small capitalization. The average market

capitalization is approximately $1.4 billion. The companies typically have zero dividends or dividend yields below the

broader market. The securities exhibit greater volatility than the broader market as measured by the risk statistics Beta and

Standard Deviation. The Small Capitalization Style Group consists of the Small Capitalization (Growth) Style Group and the

Small Capitalization (Value) Style Group.

185

Risk/Reward Statistics

The risk statistics used in this report examine performance characteristics of a manager or a portfolio relative to a benchmark

(market indicator) which assumes to represent overall movements in the asset class being considered. The main unit of

analysis is the excess return, which is the portfolio return minus the return on a risk free asset (3 month T-Bill).

Alpha measures a portfolio’s return in excess of the market return adjusted for risk. It is a measure of the manager’s

contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively

rewarded for the residual risk which was taken for that level of market exposure.

Beta measures the sensitivity of rates of portfolio returns to movements in the market index. A portfolio’s beta measures the

expected change in return per 1% change in the return on the market. If a beta of a portfolio is 1.5, a 1 percent increase in

the return on the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would

also be true.

Downside Risk stems from the desire to differentiate between "good risk" (upside volatility) and "bad risk" (downside

volatility). Whereas standard deviation punishes both upside and downside volatility, downside risk measures only the

standard deviation of returns below the target. Returns above the target are assigned a deviation of zero. Both the frequency

and magnitude of underperformance affect the amount of downside risk.

Excess Return Ratio is a measure of risk adjusted relative return. This ratio captures the amount of active management

performance (value added relative to an index) per unit of active management risk (tracking error against the index.) It is

calculated by dividing the manager’s annualized cumulative excess return relative to the index by the standard deviation of

the individual quarterly excess returns. The Excess Return Ratio can be interpreted as the manager’s active risk/reward

tradeoff for diverging from the index when the index is mandated to be the "riskless" market position.

Information Ratio measures the manager’s market risk-adjusted excess return per unit of residual risk relative to a

benchmark. It is computed by dividing alpha by the residual risk over a given time period. Assuming all other factors being

equal, managers with lower residual risk achieve higher values in the information ratio. Managers with higher information

ratios will add value relative to the benchmark more reliably and consistently.

R-Squared indicates the extent to which the variability of the portfolio returns are explained by market action. It can also be

thought of as measuring the diversification relative to the appropriate benchmark. An r-squared value of .75 indicates that

75% of the fluctuation in a portfolio return is explained by market action. An r-squared of 1.0 indicates that a portfolio’s

returns are entirely related to the market and it is not influenced by other factors. An r-squared of zero indicates that no

relationship exists between the portfolio’s return and the market.

Relative Standard Deviation is a simple measure of a manager’s risk (volatility) relative to a benchmark. It is calculated by

dividing the manager’s standard deviation of returns by the benchmark’s standard deviation of returns. A relative standard

deviation of 1.20, for example, means the manager has exhibited 20% more risk than the benchmark over that time period.

A ratio of .80 would imply 20% less risk. This ratio is especially useful when analyzing the risk of investment grade

fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling

time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark.

Residual Portfolio Risk is the unsystematic risk of a fund, the portion of the total risk unique to the fund (manager) itself and

not related to the overall market. This reflects the "bets" which the manager places in that particular asset market. These

bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager

considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that

portfolio.

186

Risk/Reward Statistics

Rising Declining Periods refer to the sub-asset class cycles vis-a-vis the broader asset class. This is determined by

evaluating the cumulative relative sub-asset class index performance to that of the broader asset class index. For example,

to determine the Growth Style cycle, the S&P 500 Growth Index (sub-asset class) performance is compared to that of the

S&P 500 Index (broader asset class).

Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the "risk-free" return

(usually 3 Month Treasury Bill) from the portfolio return and dividing the resulting "excess return" by the portfolio’s risk level

(standard deviation). The result is a measure of return gained per unit of risk taken.

Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by

downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation,

however, lies in these two areas: (1) the statistical significance of the denominator, and (2) its reliance on the persistence of

skewness in return distributions.

Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their

sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is.

The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns

are normally distributed (ie. has a bell shaped curve distribution) then approximately 2/3 of the returns would occur within

plus or minus one standard deviation from the sample mean.

Total Portfolio Risk is a measure of the volatility of the quarterly excess returns of an asset. Total risk is composed of two

measures of risk: market (non-diversifiable or systematic) risk and residual (diversifiable or unsystematic) risk. The purpose

of portfolio diversification is to reduce the residual risk of the portfolio.

Tracking Error is a statistical measure of a portfolio’s risk relative to an index. It reflects the standard deviation of a

portfolio’s individual quarterly or monthly returns from the index’s returns. Typically, the lower the Tracking Error, the more

"index-like" the portfolio.

Treynor Ratio represents the portfolio’s average excess return over a specified period divided by the beta relative to its

benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk

assumed.

Note: Alpha, Total Risk, and Residual Risk are annualized.

187

Research and Educational Programs

The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs

to enhance the knowledge of industry professionals. Visit www.callan.com/library to see all of our publications, and www.callan.com/blog

to view our blog “Perspectives.” For more information contact Corry Walsh at 312.346.3536 / [email protected].

New Research from Callan’s Experts

An Investor Framework for Addressing

Climate Change | Callan’s Anna West lays

out the top issues for investors about this

issue. We also identify solutions and areas

of progress for those seeking to address

climate-related risks as well as beneit from emerging opportunities.

Promoting Gender Diversity in the Investment Industry | Callan

Executive Chairman Ron Peyton offers his observations on what

has worked for gender inclusion at the irm over the last 45 years and what we have learned in the hope that it will inform others on

how to progress toward equality in senior roles industry-wide.

Helping DC Plan Participants in the

“Distribution” Phase | Callan’s Tom Shingler

and James Veneruso discuss our research on the

“distribution phase” of deined contribution plans, when participants are drawing down assets, and

the issues that plan sponsors should address.

Picking Through the Alpha Graveyard: Correcting for

Survivorship Bias in Investment Product Universes | In this

paper from the Journal of Investment Management, Callan’s Greg

Allen, Ivan Cliff, and Wally Meerschaert propose a technique to cor-

rect for survivorship bias in investment product universes. It uses

all available data for survivors and non-survivors, corrects for bias

across the full distribution (from 1st to 99th percentile), and can be

applied to other return-based statistics such as the Sharpe ratio.

Infrastructure: No Longer a Niche Option | Callan’s Jan Mende

discusses investing in infrastructure. Institutional investors are in-

creasing allocations, managers are creating more investment op-

tions, and benchmarks are being reined.

The Shape of Risk: Making Cents of the Irrational With Options

| In the third quarter’s Hedge Fund Monitor, Jim McKee discusses

the use of options as insurance for institutional portfolios.

2018 ESG Survey | Callan’s sixth annual survey on the status of

environmental, social, and governance (ESG) investing in the U.S.

institutional investment market reveals more than 40% of investors

are incorporating ESG factors into investment decisions.

Your Plan Will Face a Cyberattack; Here’s How to Prepare | The

third quarter’s edition of the DC Observer is designed to assist plan

sponsors with formulating and executing their cybersecurity strat-

egy to protect their information and their assets.

Quarterly Periodicals

Private Equity Trends | This newsletter offers the latest data on

private equity fundraising, buyouts, venture capital, and returns.

Market Pulse Flipbook | A quarterly market reference guide cover-

ing investment and fund sponsor trends in the U.S. economy, U.S.

and non-U.S. equities and ixed income, alternatives, and deined contribution.

Capital Market Review | This quarterly publication provides analy-

sis and a broad overview of the economy and public and private

market activity across a wide range of asset classes.

Real Estate Indicators: Too Hot to Touch or Cool Enough

to Handle? | Callan’s Real Assets Consulting group identi-

ies seven indicators—based on spreads in real estate and ixed income markets—that, combined with an understanding of prevail-ing market dynamics, have helped signal when the institutional real

estate market is overheated or cooled.

Education

3rd Quarter 2018

at Oxford University. In the context

8

These 17 goals were set in 2015 and target broad intergovernmental agree

ment around social and economic issues. Several of the 17 directly relate to

climate change; others indirectly touch on it. While the SDGs speciically relate

help to achieve the 17 goals. Likewise, index providers and asset managers are

investor market, as some expect more carbon pricing to occur in the next decade and want to avoid own

Research

August 2018

DC Plans Have Helped Participants Save. Now They Need to Help Them Spend.New Focus on the ‘Distribution Phase’

K E Y E L E M E N T S

Sponsorsaredevotingmoreattentiontothe“distributionphase”ofdeinedcontribution (DC) plans; that is, the period in which participants are drawing

down assets.

One key issue: whether to retain retiree assets in the plan. Sponsors should

address that question, and if the answer is yes, they need to make sure the

plan’s design and the recordkeeper’s capabilities support this choice.

The investing industry is also responding to the growing interest in the dis-

tribution phase with new retirement income products, but they can be quite

complex. Plan sponsors should evaluate the breadth of choices they wish to

offer retirees, as well as the level of fees and complexity.

Once operational considerations have been addressed, plans must focus

on the fund lineup and the overall communication efforts, which differ from

those needed for the “accumulation phase” when participants are building up

their wealth for retirement.

Knowledge. Experience. Integrity.

“Callan believes that plan sponsors should document their

philosophy on whether they wish to retain the assets of retired

and terminated participants. The issue of asset retention will

become increasingly important as demographics shift.”

James Veneruso and Tom Shingler

Fund Sponsor Consulting Group

INSTITUTE

INSTITUTE

https://www.callan.com/blog

https://www.callan.com/wp-content/uploads/2018/09/Callan-Climate-Change-Paper.pdf

https://www.callan.com/wp-content/uploads/2018/09/Callan-Gender-Diversity.pdf

https://www.callan.com/wp-content/uploads/2018/08/Callan-Distribution-Phase-White-Paper.pdf

https://www.callan.com/wp-content/uploads/2018/08/Callan-Picking-Through-the-Alpha-Graveyard-JOIM-Reprint.pdf

https://www.callan.com/wp-content/uploads/2018/07/Callan-Infrastructure-Paper.pdf

https://www.callan.com/wp-content/uploads/2018/07/Callan-2Q18-Hedge-Fund-Monitor.pdf

https://www.callan.com/wp-content/uploads/2018/07/Callans-2018-ESG-Survey.pdf

https://www.callan.com/wp-content/uploads/2018/07/Callan-2Q2018-DC-Observer.pdf

https://www.callan.com/wp-content/uploads/2018/10/Callan-Private-Equity-Trends-2Q18.pdf

https://www.callan.com/wp-content/uploads/2018/08/Market-Pulse.pdf

https://www.callan.com/wp-content/uploads/2018/08/Callan-2nd-Quarter-2018-CMR.pdf

https://www.callan.com/wp-content/uploads/2018/09/Callan-RE-Indicators-2Q18.pdf

Events

Miss out on a Callan conference or workshop? Event summa-

ries and speakers’ presentations are available on our website:

www.callan.com/library/

Callan’s 2019 National Conference will be held January 28-30,

2019. Mark your calendars for this upcoming event! And please

visit the Events page on our website (www.callan.com/events/) for

additional information as it becomes available.

For more information about events, please contact Barb

Gerraty: 415.274.3093 / [email protected]

The Center for Investment Training Educational Sessions

The Center for Investment Training, better known as the “Callan

College,” provides a foundation of knowledge for industry profes-

sionals who are involved in the investment decision-making pro-

cess. It was founded in 1994 to provide clients and non-clients alike

with basic- to intermediate-level instruction. Our next sessions are:

Introduction to Investments

San Francisco, April 16-17, 2019

San Francisco, July 16-17, 2019

Chicago, October 22-23, 2019

This program familiarizes fund sponsor trustees, staff, and asset

management advisers with basic investment theory, terminology,

and practices. It lasts one-and-a-half days and is designed for in-

dividuals who have less than two years of experience with asset-

management oversight and/or support responsibilities. Tuition for

the Introductory “Callan College” session is $2,350 per person.

Tuition includes instruction, all materials, breakfast and lunch on

each day, and dinner on the irst evening with the instructors.

Customized Sessions

The “Callan College” is equipped to customize a curriculum to

meet the training and educational needs of a speciic organization. These tailored sessions range from basic to advanced and can

take place anywhere—even at your ofice.

Learn more at www.callan.com/events/callan-college-intro or

contact Kathleen Cunnie: 415.274.3029 / [email protected]

Unique pieces of research the

Institute generates each year50+

Total attendees of the “Callan

College” since 19943,700 Year the Callan Institute

was founded1980

Attendees (on average) of the

Institute’s annual National Conference525

Education: By the Numbers

@CallanLLC Callan

“Research is the foundation of all we do at Callan, and sharing our

best thinking with the investment community is our way of helping

to foster dialog to raise the bar across the industry.”

Greg Allen, Chief Executive Oficer and Chief Research Oficer

https://www.callan.com/library

https://www.callan.com/events/callan-college-intro

List of Callan’s Investment Manager Clients

Confidential – For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Please note that if an investment manager receives a product or service on a complimentary basis (e.g. attending and educational event), they are not included in the list below. Callan is committed to ensuring that we do not consider an investment manager’s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan’s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list. Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan’s Compliance Department.

Quarterly List as of September 30, 2018

Knowledge. Experience. Integrity. Page 1 of 2

Manager Name Acadian Asset Management LLC AEGON USA Investment Management Aether Investment Partners AEW Capital Management Affiliated Managers Group, Inc. Alcentra AllianceBernstein Allianz Global Investors Allianz Life Insurance Company of North America American Century Investments Amundi Pioneer Asset Management Apollo Global Management AQR Capital Management Ares Management LLC Ariel Investments, LLC Atlanta Capital Management Co., LLC Aviva Investors Americas AXA Investment Managers Baillie Gifford International, LLC Baird Advisors Baron Capital Management, Inc. Barrow, Hanley, Mewhinney & Strauss, LLC Black Creek Investment Management, Inc. BlackRock BMO Global Asset Management BNP Paribas Asset Management BNY Mellon Asset Management Boston Partners Brandes Investment Partners, L.P. Brandywine Global Investment Management, LLC Breckinridge Capital Advisors, Inc. BrightSphere Investment Group (FKA Old Mutual Asset) Brown Brothers Harriman & Company Cambiar Investors, LLC

Manager Name Capital Group Carillon Tower Advisers CastleArk Management, LLC Causeway Capital Management CenterSquare Investment Management Chartwell Investment Partners Christian Brothers Investment Services CIM Group ClearBridge Investments, LLC Cohen & Steers Capital Management, Inc. Columbia Threadneedle Investments Columbus Circle Investors Credit Suisse Asset Management CS McKee, L.P. DePrince, Race & Zollo, Inc. D.E. Shaw Investment Management, L.L.C. Diamond Hill Capital Management, Inc. Dimensional Fund Advisors LP Doubleline Duff & Phelps Investment Management Co. DWS (Formerly Deutsche Asset Management) EARNEST Partners, LLC Eaton Vance Management Epoch Investment Partners, Inc. Fayez Sarofim & Company Federated Investors Fidelity Institutional Asset Management Fiera Capital Corporation First Eagle Investment Management, LLC First Hawaiian Bank Wealth Management Division Fisher Investments Franklin Templeton Fred Alger Management, Inc. GAM (USA) Inc.

Knowledge. Experience. Integrity. September 30, 2018 Page 2 of 2

Manager Name Gerding Edlen GlobeFlex Capital, L.P. GMO LLC Goldman Sachs Asset Management Green Square Capital LLC Greenwich Investment Management, Inc. Guggenheim Investments GW&K Investment Management Harbor Capital Group Trust Harding Loevner L.P. Hartford Funds Hartford Investment Management Co. Heitman LLC Hotchkis & Wiley Capital Management, LLC HSBC Global Asset Management Income Research + Management, Inc. Insight Investment Management Limited Intech Investment Management, LLC Invesco Investec Asset Management Ivy Investments J.P. Morgan Janus Jennison Associates LLC Jensen Investment Management Jobs Peak Advisors KeyCorp Lazard Asset Management Legal & General Investment Management America Lincoln National Corporation LMCG Investments, LLC Longview Partners Loomis, Sayles & Company, L.P. Lord Abbett & Company Los Angeles Capital Management LSV Asset Management MacKay Shields LLC Macquarie Investment Management (MIM) Manulife Asset Management McKinley Capital Management, LLC MFS Investment Management MidFirst Bank Mondrian Investment Partners Limited Montag & Caldwell, LLC Morgan Stanley Investment Management Mountain Lake Investment Management LLC MUFG Union Bank, N.A. Natixis Investment Managers Neuberger Berman Newton Investment Management Nikko Asset Management Co., Ltd. Northern Trust Asset Management Nuveen Investments, Inc. OFI Global Asset Management O’Shaughnessy Asset Management, LLC P/E Investments

Manager Name Pacific Investment Management Company Pathway Capital Management Peregrine Capital Management, Inc. Perkins Investment Management PGIM PGIM Fixed Income PineBridge Investments Pictet Asset Management Ltd.

PNC Capital Advisors, LLC

Principal Global Investors Private Advisors, LLC Putnam Investments, LLC QMA RBC Global Asset Management Reaves Asset Management Regions Financial Corporation Riverbridge Partners LLC Robeco Institutional Asset Management, US Inc. Rockefeller & Co., Inc. Rothschild Asset Management Inc. Russell Investments Santander Global Facilities Schroder Investment Management North America Inc. Smith Graham & Co. Investment Advisors, L.P. Smith Group Asset Management South Texas Money Management, Ltd. Sprucegrove Investment Management Ltd. Standard Life Investments Limited State Street Global Advisors Stone Harbor Investment Partners, L.P. Sun Life Investment Management T. Rowe Price Associates, Inc. The Boston Company Asset Management, LLC The London Company The TCW Group, Inc. Thompson, Siegel & Walmsley LLC Thornburg Investment Management, Inc. Tri-Star Trust Bank UBS Asset Management VanEck Velanne Asset Management Ltd. Versus Capital Group Victory Capital Management Inc. Virtus Investment Partners, Inc. Vontobel Asset Management, Inc. Voya WCM Investment Management WEDGE Capital Management Wedgewood Partners, Inc. Wellington Management Company, LLP Wells Capital Management Western Asset Management Company LLC Westfield Capital Management Company, LP William Blair & Company LLC

CLIENT: Oregon Savings Growth Plan REPORT TYPE: IMS

ORGID: 12318 REPORT ID: 766 REPORT DATE: Sep 30, 2018

CONSULTANT OFFICE MAILING DUE DATE

Uvan Tseng CA Nov 5 2018

BINDING: GBC Binding PRINT PAGE: DOUBLE

TOTAL COPIES CLIENT COPIES CONSULT COPIES

23 20 3

DATE MAILED:

TAB POS#: 1 PAGE NUMBER: 4
















END COPY INSERT PAGE NUMBER: 194

CLIENT: Oregon Savings Growth Plan

Mr. Jim Callahan

President

Callan

600 Montgomery Street 8th Floor

San Francisco, CA 94111

Number of Reports

1

D8

Ms. Anne Heaphy

Senior Vice President

Callan

111 SW 5th Avenue, Suite 3150

Portland, OR 97204

Number of Reports

1

D8


Dee Monday

Oregon Investment Council

800 Summer St. NE, Suite 200

Salem, OR 97301

Number of Reports

20

D8

Mr. Uvan Tseng


Callan

600 Montgomery Street, Suite 800


Number of Reports

1

D8

CLIENT: Oregon Savings Growth Plan REPORT TYPE: IMS

ORGID: 12318 REPORT ID: 766 REPORT DATE: Sep 30, 2018

CONSULTANT OFFICE MAILING DUE DATE

Uvan Tseng CA Nov 5 2018

BINDING: GBC Binding PRINT PAGE: DOUBLE

TOTAL COPIES CLIENT COPIES CONSULT COPIES

23 20 3

DATE MAILED:

















END COPY INSERT PAGE NUMBER: 194


Mr. Jim Callahan

President

Callan

600 Montgomery Street 8th Floor


Number of Reports

1

D8

Ms. Anne Heaphy


Callan

111 SW 5th Avenue, Suite 3150

Portland, OR 97204

Number of Reports

1

D8


Dee Monday

Oregon Investment Council

800 Summer St. NE, Suite 200

Salem, OR 97301

Number of Reports

20

D8

Mr. Uvan Tseng


Callan

600 Montgomery Street, Suite 800


Number of Reports

1

D8

1

TOBIAS READ STATE TREASURER

PHONE 503-378-4329 FAX 503-373-7051

STATE OF OREGON OREGON STATE TREASURY

159 STATE CAPITOL, 900 COURT ST NE SALEM, OREGON 97301-4043

Date: November 20, 2018

To: Oregon Savings Growth Plan Advisory Committee From: Wil Hiles, Investment Analyst Michael Viteri, Senior Investment Officer Re: Deferred Compensation Program, 3rd Quarter 2018 Report Background The Oregon Savings Growth Plan (the “Plan” or “OSGP”) is the State of Oregon’s 457 Deferred Compensation plan. OSGP is a voluntary supplemental retirement plan that provides eligible state and local government employees the opportunity to defer a portion of their current salary on a pre-tax or after-tax (Roth) basis. These deferrals are invested in various investment options until participants draw funds at retirement. The Plan offers an array of equity and fixed income investment options, a suite of target-date retirement funds, which in aggregate constitute a single investment option, and a self-directed brokerage option. The plan has over 30,000 participants and assets totaling $2.28 billion, as of September 30, 2018. With support and assistance from the Oregon State Treasury (OST) Investment Division, the Oregon Investment Council (OIC) is responsible for oversight of the Plan’s investment program. Oversight of Plan administration is the responsibility of the Oregon Public Employees Retirement System Board (“PERS Board”), with support from OSGP staff. Additional oversight is provided by a seven-member Deferred Compensation Advisory Committee (the “Advisory Committee”) established under ORS 243.505.

2

OSGP Performance

Oregon Savings Growth Plan As of September 30, 2018

Short-Term Fixed Option 0.45 1.16 1.39 0.64 0.32 0.14

91 Day T-Bill 0.49 1.30 1.59 0.84 0.52 0.34


91 Day T-Bill 0.49 1.30 1.59 0.84 0.52 0.34

Rolling Average 5 Year CMT* 0.42 1.22 1.59 1.39 1.39 2.12

Active Fixed Income Option 0.16 -0.83 -0.36 1.99 2.71 4.72Barclays US Aggregate Bond Index 0.02 -1.60 -1.22 1.31 2.16 3.77

Large Company Value Stock Option 5.70 3.90 9.42 13.44 10.48 10.00

Russell 1000 Value Index 5.70 3.92 9.45 13.55 10.72 9.79

Stock Index Option 7.09 10.47 17.42 16.95 13.33 11.87

Russell 3000 Index 7.12 10.57 17.58 17.07 13.46 12.01

Large Company Growth Stock Option 9.12 16.93 26.05 20.37 16.09 14.04


International Stock Option 0.23 -4.00 0.58 9.09 4.13 5.39

MSCI ACWI ex-US (net) Index 0.71 -3.09 1.76 9.97 4.22 5.28

Small Company Stock Option 4.24 11.23 15.71 16.83 11.03 12.02

Russell 2000 Index 3.58 11.51 15.24 17.12 11.79 12.23

Socially Responsible Stock Option 6.78 9.39 16.12 16.49 N/A N/A

Russell 3000 Index 7.12 10.57 17.58 17.07 N/A N/A

Real Return Option -0.29 -1.09 1.19 3.48 N/A N/A

CPI + 3% 0.86 4.63 5.28 5.02 N/A N/A

BlackRock LifePath Retirement 1.53 1.19 3.74 5.99 4.62 5.74

BlackRock LifePath 2020 1.75 1.46 4.41 7.01 5.31 6.23







BlackRock LifePath 2055 3.57 3.90 9.61 12.45 8.53 N/A

BlackRock LifePath 2060 3.57 3.90 9.59 12.43 N/A N/A

*CMT is the Constant Maturi ty Treasury Yield.

Performance shown is net of fees and annual ized for periods longer than one year.

OSGP has two types of fees : investment management and adminis trative fees .

Adminis trative fees are comprised of State of Oregon adminis tration, recordingkeeping, custody, trust, and communications fees .

Fund Option

Benchmarks

Performance (%)

3 Months YTD 1 Year 3 Years 5 Years 10 Years

3

Additional OSGP Data

The plan’s Self-Directed Brokerage Option, executed through Charles Schwab, finished the quarter with $15.4 million in assets, or 0.7% of total OSGP assets. Investment Structure Evaluation On September 19, 2018, the Oregon Investment Council (OIC) approved staff’s recommendations surrounding changes to the Short-Term Fixed Income Option, International Stock Option, and Real Return Option. Staff is currently coordinating the changes outlined below and is targeting an implementation date of March 22, 2019 for the stated investment option enhancements. 1) Consolidate Capital Preservation Options – remove Short-Term Fixed Income Option

OSGP currently offers two options serving the purpose of capital preservation, the Short-Term Fixed Income Option and the Stable Value Option. Given the redundancy of these options, staff recommended streamlining the capital preservations options by eliminating the Short-Term Fixed Income Option and transferring associated assets to the Stable Value Option. This change will reduce participant confusion of having multiple investment options serving the same purpose, while capturing some attractive features offered by the Stable Value Option, including enhanced diversification, a stable crediting rating, and a reduced fee schedule.

% of Plan IM Fees Admin Fees Total Fees

Total Participants (bps) (bps) (bps)

Short-Term Fixed Option 50,339,969 2.2% 3,246 11.0 11.9 22.9

Stable Value Option 217,867,544 9.6% 7,386 38.0 11.9 49.9

Active Fixed Income Option 116,491,309 5.1% 6,628 17.2 11.9 29.1

Large Company Value Stock Option 202,357,427 8.9% 10,378 3.0 11.9 14.9

Stock Index Option 271,068,737 11.9% 9,829 3.9 11.9 15.8

Large Company Growth Stock Option 277,329,128 12.2% 11,728 3.0 11.9 14.9

International Stock Option 117,725,597 5.2% 9,690 37.4 11.9 49.3

Small Company Stock Option 288,827,599 12.7% 11,507 39.7 11.9 51.6

Real Return Option 4,399,928 0.2% 635 53.4 11.9 65.3

Socially Responsible Investment Option 14,840,421 0.7% 1,486 18.0 11.9 29.9

BlackRock LifePath Retirement Fund 195,818,561 8.6% 3,748 9.0 11.9 20.9

BlackRock LifePath 2020 Fund 143,419,034 6.3% 3,230 9.0 11.9 20.9








BlackRock LifePath 2060 Fund 5,195,890 0.2% 692 9.0 11.9 20.9

Self-Directed Brokerage Option 15,426,841 0.7% 215 0.0 11.9 11.9

Total 2,277,351,092 100%

Source: Market Value & Plan Participants data, OSGP recordkeeper, Voya Financial. Fee estimation, OST.

OSGP has two types of fees: investment management (IM) and administrative (admin) fees.

Administrative fees are comprised of State of Oregon administration, recordingkeeping, custody, trust, and communications fees.

Fund Name Market Value ($)

4

2) Add Arrowstreet ACWI ex-US to and remove BlackRock ACWI ex-US from International Stock Option

The Plan’s International Stock Option is currently comprised of five underlying funds: AQR ACWI ex-US; BlackRock MSCI ACWI ex-US Index; DFA International Core Equity; Lazard International Equity; and DFA Emerging Markets Core Equity. In an attempt to more closely align the investment managers with those in the Oregon Public Employees Retirement Fund (OPERF), staff recommended the inclusion of Arrowstreet ACWI ex-US, as a replacement to the BlackRock MSCI ACWI ex-US Index Fund. Previously, Arrowstreet did not offer a suitable investment vehicle for inclusion within a qualified, governmental defined contribution plan. Although this change is expected to moderately increase the expense ratio for the International Stock Option, staff and Callan remain comfortable with the addition given the high level of conviction in Arrowstreet.

3) Simplify Real Return Option – remove GMO Benchmark Free Allocation and Wellington Real Total Return

The Plan’s Real Return Option is currently comprised of three underlying funds: GMO Benchmark Free Allocation Fund, Wellington Real Return Fund, and SSgA Real Assets Fund. Although the current structure is reasonable, it contains sizable equity beta, as both the GMO and Wellington funds have exposure to traditional equities, as well as absolute return and style premia strategies. Accordingly, staff recommended simplifying the Real Return Option by eliminating GMO and Wellington from the fund structure, while retaining SSgA, making it more of a pure-play inflation sensitive option. The SSgA Real Assets Fund is well diversified across several inflation-sensitive asset classes such as commodities, REITs, TIPS, and global infrastructure. Furthermore, the SSgA Real Assets fund is passively implemented so, this change is expected to significantly reduce fees for the Real Return Option.

STATE OF OREGON STABLE VALUE FUNDTHIRD QUARTER 2018

INVESTMENT OBJECTIVE The State of Oregon Stable Value Fund (the "Fund") is an investment option that seeks to provide safety of principal and a stable credited rate of interest, while generating competitive returns over time compared to other comparable investments.

INVESTMENT STRATEGY The State of Oregon Stable Value Fund, managed by Galliard Capital Management, is primarily comprised of investment contracts issued by financial institutions and other eligible stable value investments. All contract issuers and securities utilized in the portfolio are rated investment grade by one of the Nationally Recognized Statistical Rating Organizations at time of purchase. The types of investment contracts in which the Fund invests include Separate Account GICs and Security Backed Investment Contracts. These types of contracts seek to provide participants with safety of principal and accrued interest as well as a stable crediting rate.

SEPARATE ACCOUNT GICs are GICs issued by an insurance company and are maintained within a separate account. Separate Account GICs are typically backed by segregated portfolios of fixed income securities.

SECURITY BACKED INVESTMENT CONTRACTS are comprised of two components: 1) investment contracts issued by a financial institution and 2) underlying portfoliosof fixed income securities (i.e. bonds) whose market prices fluctuate. The investmentcontract is designed to allow participants to transact at book value (principal plusaccrued interest) without reference to the price fluctuations of the underlying fixedincome securities.

INVESTMENT RISK

The Fund's investment contracts are designed to allow for participant transactions at book value. A principal risk of the Fund is investment contract risk. This includes the risk that the issuer will default on its obligation under the contract or that another event of default may occur under the contract rendering it invalid; that the contract will lapse before a replacement contract with favorable terms can be secured; or that the occurrence of certain other events including employer-initiated events, could cause the contract to lose its book value withdrawal features. These risks may result in a loss to a contract holder. Other primary risks include default risk, which is the possibility that instruments the Fund holds will not meet scheduled interest and/or principal payments; interest rate risk, which includes the risk of reinvesting cash flows at lower interest rates; and liquidity risk, which includes the effect of very large unexpected withdrawals on the Fund's total value. The occurrence of any of these events could cause the Fund to lose value.

FUND OVERVIEW AS OF 9/30/18

ANNUALIZED PERFORMANCE1 Periods Ending 9/30/18 Fund (%) Benchmark (%)

ICE BofAML 3Mo. T-Bill (%)

3Q'18 0.51 0.68 0.49 YTD 1.44 1.91 1.30 1 Year 1.86 2.37 1.59 3 Year 1.60 1.59 0.84 5 Year 1.44 1.31 0.52 10 Year 1.59 1.10 0.34

FUND FACTS Fund Category Stable Value

Fund Assets $217,898,864 Fund Advisor Galliard Capital Management Expense Ratio 0.50% Participant Withdrawals/Transfers Daily

FUND CHARACTERISTICS

Blended Yield (after fees) 2.08% Effective Duration 2.65 Yrs

Annualized Turnover2 (as of 12/31/17) 79.07%

INVESTMENT CONTRACT ISSUERS

IssuerMoody's Rating

S&P Rating

Transamerica Premier Life Ins. Co. A1 AA- Voya Ret. Ins. and Annuity Co. A2 A

Prudential Ins. Co. of America A1 AA- Massachusetts Mutual Life Ins. Co. Aa2 AA+ New York Life Ins. Co. Aaa AA+

FUND ALLOCATION Fund (%)

Security Backed Investment Contracts 80.2 Separate Account GICs 11.8 Cash/Equivalents 8.0

SECTOR ALLOCATION OF THE UNDERLYING FIXED INCOME PORTFOLIO

Fund (%) U.S. Treasury/Agency 19.2 Other U.S. Government Corporate/Taxable Muni/Not for Profit Mortgage Backed Securities (MBS) Asset Backed Securities (ABS) International Gov't/Agency Securities 0.2 Cash/Equivalents 15.9

11.8 21.4 28.8 2.8

1: These are fees paid to create and maintain the investments used by a stable value fund. 2: These are fees borne indirectly by the Fund when it acquires an interest in another fund which pays its own separate fees. 3: Includes audit fees for the cost of producing a report by a qualified auditor. 4: Total Annual Fund Operating Expenses are reflected daily in the Fund's net asset value (NAV).

STATE OF OREGON STABLE VALUE FUND

THIRD QUARTER 2018

FUND ADVISOR Galliard Capital Management is the Fund's Advisor. Galliard specializes in stable value management and currently manages $90.0 billion in assets for institutional investors.

FEES AND EXPENSES The following table shows Galliard's fees and expense information for this investment option. Total Annual Operating Expenses are expenses that reduce the rate of return of the investment option. The cumulative effect of fees and expenses will reduce the growth of your retirement savings. Visit the Department of Labor's website for an example showing the long-term effect of fees and expenses. Fees and expenses are only one of many factors to consider when you decide to invest in this Fund. You may also want to think about whether an investment in this Fund, along with your other investments, will help you achieve your financial goals.

TOTAL ANNUAL FUND OPERATING EXPENSES Total Annual Fund Operating Expenses are deducted directly from the Fund's net asset value and reduce the investment option's rate of return.

Expenses Expense Ratio (as of 9/30/18) Per $1,000

Investment Management Fees paid to Galliard 0.136% $1.36

Investment Management Fees paid to Non-Affiliated Investment Advisors 0.009% $0.09

Investment Contract Fees 1 0.172% $1.72

Acquired Fund Fees 2 0.063% $0.63

Investment Contract Fees None None

Other Acquired Fund Fees and Non-Affiliated Investment Management Fees paid to Non-Affiliated Investment Advisors 3 0.063% $0.63

12b-1 Distribution Fee None None

Other Expenses 0.120% $1.20

Total Annual Fund Operating Expenses 4 0.500% $5.00

Please contact your plan administrator for additional information about this investment option.


THIRD QUARTER 2018 PORTFOLIO REVIEW

STABLE VALUE PORTFOLIO REVIEW - STATE OF OREGON STABLE VALUE FUND

Third Quarter 2018

GALLIARD CONTACTS

Client Portfolio Management

Matt Kline Senior Director 612.667.0856 [email protected]

Carrie Callahan

Managing Partner 612.667.1793 [email protected]

Galliard Client Service

612.667.3220 [email protected]

Stable Value Audit Support

Galliard Stable Value Audit Team [email protected]

TABLE OF CONTENTS

Stable Value Portfolio Review - State of Oregon Stable Value Fund ................................................................ 3

Investment Performance ............................................................................................................................ 4

Portfolio Characteristics ............................................................................................................................. 5

Holdings ..................................................................................................................................................... 10

Market Review ..................................................................................................................................................... 11

Appendix .............................................................................................................................................................. 14

Calendar Year Performance & Guideline Compliance ........................................................................... 15

Total Annual Fund Operating Expenses ................................................................................................. 16

The information contained in this report is for informational purposes only. It is intended to provide a summary of portfolio performance and characteristics, and an accounting based view of transactions and holdings. This is a standardized report and is not intended to be used for compliance purposes. Individual portfolio compliance requirements may not be captured in this report.


Third Quarter 2018

1: Returns for periods of less than one year are not annualized. 2: Returns are net of book value contract, Galliard investment management fees, and, if applicable, external manager fees and Wells Fargo collective fund administrative fees. 3: Returns are net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement. 4: Galliard assumed management of this portfolio on September 1, 2012. Performance for periods referenced prior to this date include historical performance of another investment advisor. 5: Performance inception: September 1, 2012. 6: May not add due to rounding.

ANNUALIZED INVESTMENT PERFORMANCE AS OF 9/30/181

0.0

0.5

1.0

1.5

2.0

2.5

3 MO YTD 1 YR 3 YR 5 YR 10 YR Since Inception

3 Mo.

YTD

1 Yr.

3 Yr.

5 Yr.

10 Yr. Since

Inception5 Portfolio (net of inv. mgmt. fees)2,4 0.54 1.53 2.00 1.76 1.61 - 1.61

Portfolio (net of all fees - NAV level)3,4 0.51 1.44 1.86 1.60 1.44 1.59 1.44

3 Year Constant Maturity Treasury 0.68 1.91 2.37 1.59 1.31 1.10 1.16

Value Added (net of all fees - NAV level)6 (0.17) (0.47) (0.51) 0.01 0.12 0.49 0.28


Third Quarter 2018

1: Average holdings quality of the contracts and other book value assets in the portfolio. The Weighted Average Quality of the portfolio has NOT been assessed by a nationally recognized statistical rating organization. The Weighted Average Quality shown represents an average quality of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. 2: Average holdings quality of the underlying assets of the portfolio. The Weighted Average Quality of the portfolio has NOT been assessed by a nationally recognized statistical rating organization. The Weighted Average Quality shown represents an average quality of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. 3: Blended Yield is net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement. 4: Includes Receivables and Payables. 5: Total % of portfolio may not add to 100% due to rounding.


ACCOUNT SUMMARY

Benchmark 3 Year Constant Maturity Treasury

Galliard Inception Date September 4, 2012

Net Asset Value $217,898,864

HISTORICAL FUND ASSETS

$

$50

$100

$150

$200

$250

4Q'12 4Q'13 4Q'14 4Q'15 4Q'16 4Q'17 3Q'18

Mill

ions

PORTFOLIO CHARACTERISTICS

Portfolio 6/30/18

Portfolio 9/30/18

Average Quality - Book Value1 AA- AA- Average Quality - Market Value2 AA AA Number of Contract Issuers 5 5 Blended Yield (after all fees)3 1.98% 2.08% Yield to Maturity 3.10% 3.16% Effective Duration 2.84 years 2.65 years Market/Book Value Ratio 98.29% 98.06%

PORTFOLIO DISTRIBUTION

% Portfolio

6/30/18 % Portfolio

9/30/18

Liquidity Buffer: Cash & Equivalents4 6.7 8.0 Short Portfolio 37.5 37.1 Short / Intermediate Portfolio 9.7 9.5 Intermediate Portfolio 46.1 45.5 Total 100.0%5 100.0%5


Third Quarter 2018

1: Contributions, Withdrawals and Investment Transfers 2: Cashflows may not net to final assets due to rounding.

2014 2015 2016 2017 1Q'18 2Q'18 3Q'18 2018 YTD Beginning Assets $195.7 $188.7 $194.6 $212.4 $209.1 $213.0 $213.7 $209.1 Net Cash Flow ($)1 -$9.8 $2.9 $14.2 -$7.1 $2.8 -$0.4 $3.0 $5.5 Net Cash Flow (%) -5.02% 1.52% 7.29% -3.35% 1.36% -0.19% 1.45% 2.62% Estimated Investment Earnings $2.7 $3.1 $3.6 $3.9 $1.0 $1.1 $1.2 $3.3 Ending Assets2 $188.7 $194.6 $212.4 $209.1 $213.0 $213.7 $217.9 $217.9

HISTORICAL CASHFLOWS

-$4.0

-$2.0

$0.0

$2.0

$4.0

$6.0

$8.0


Third Quarter 2018

1: Blended Yield is net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, Wells Fargo collective fund administrative fees, and plan administrative reimbursement.

HISTORICAL BLENDED YIELD1

1.51 1.51 1.44 1.57 1.67 1.73 1.83

1.98 2.08

0

1

2

3

4

3Q'16 4Q'16 1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18

Ble

nded

Yie

ld (

%)

HISTORICAL DURATION

2.70 2.80 2.85 2.83 2.78 2.81 2.82 2.84 2.65

0

1

2

3

4

5

3Q'16 4Q'16 1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18

Dur

atio

n (Y

ears

)

HISTORICAL MARKET VALUE TO BOOK VALUE RATIO

101.61

99.85 100.00 100.23 100.28

99.74

98.65 98.29

98.06

96

98

100

102

104

3Q'16 4Q'16 1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18

MV

/BV

Rat

io (

%)

HISTORICAL UNDERLYING YIELD TO MATURITY

1.46

1.96 2.07 2.10 2.11

2.39

2.86 3.10 3.16

0

1

2

3

4

3Q'16 4Q'16 1Q'17 2Q'17 3Q'17 4Q'17 1Q'18 2Q'18 3Q'18

Und

erly

ing

Yie

ld to

Mat

urity

(%

)


Third Quarter 2018

1: The quality rating shown represents the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. Ratings shown as NR/NA are not rated or not available security ratings.

CONTRACT ISSUER DISTRIBUTION & RATING SUMMARY1

% Portfolio

6/30/18 % Portfolio

9/30/18 Rating 6/30/18

Rating 9/30/18

Massachusetts Mutual Life Ins. Co. 11.9 11.8 AA+ AA+ New York Life Ins. Co. 9.7 9.5 AAA AAA Prudential Ins. Co. of America 21.6 21.3 AA- AA- Transamerica Premier Life Ins. Co. 25.9 25.5 A+ A+ Voya Ret. Ins. and Annuity Co. 24.2 23.9 A A


Third Quarter 2018

1: Market Value. Total % of portfolio may not add to 100% due to rounding. The external managers provide holdings and the securities are classified using Galliard's analytics methodology for maximum comparability across managers. The quality distribution shown represents the distribution of the individual holdings' Composite Ratings, as rated by S&P, Moody's and Fitch. Ratings shown as NR/NA are not rated or not available security ratings. Distributions represent the portfolio positions for reporting purposes only. Investment guideline compliance is reported in your quarterly portfolio commentary or separately through your Galliard relationship manager.

UNDERLYING FIXED INCOME ASSET ALLOCATION1

Portfolio 6/30/18 Portfolio 9/30/18

15.9%

0.2%

11.8%

4.3%

0.9%

16.2%

2.0%

26.8%

2.8%

19.2%

8.7%

0.2%

12.4%

4.6%

0.9%

18.2%

2.4%

30.5%

3.1%

0.0%

19.0%

0.0% 10.0% 20.0% 30.0% 40.0%

Cash & Equivalents

Sovereign / Supranationals

Asset Backed

CMBS

Non-Agency MBS

Agency MBS

Taxable Muni/Not for Profit

Corporates

Other U.S. Government

U.S. Agency

U.S. Treasury

UNDERLYING QUALITY DISTRIBUTION1


UNDERLYING DURATION DISTRIBUTION


0.1%

9.5%

12.9%

5.6%

72.0%

0.2%

0.1%

10.3%

15.2%

6.9%

67.4%

0.0% 20.0% 40.0% 60.0% 80.0% 100.0%

NR/NA

<BBB

BBB

A

AA

AAA

14.0%

24.4%

33.1%

28.5%

14.0%

31.9%

30.9%

23.2%

0.0% 20.0% 40.0% 60.0% 80.0% 100.0%

5+

3-5

1-3

0-1

STATE OF OREGON STABLE VALUE FUND PORTFOLIO HOLDINGS

September 30, 2018

1: SAGIC = Separate Account GIC. SBIC = Security Backed Investment Contract. 2: Crediting rates are net of wrap fees and any other fees being netted out of the rates.

Asset ID Security Description Contract1

Type Manager Contract Value ($)

Market Value ($)

Market/Book Value

Ratio (%) % of

Portfolio

Crediting Rate (%)2

UCA Yield (%)

Effective Duration

(yrs)

Galliard Composite

Rating

Wrap Fees (bps)

LIQUIDITY BUFFER

Cash Receivable / (Payable) 0 0 0.0 0.0 2.05 2.05 0.10 AAA 3839909B6 State Street Government STIF 10 17,347,524 17,347,524 100.0 8.0 2.05 2.05 0.10 AAA TOTAL LIQUIDITY BUFFER 17,347,524 17,347,524 100.0 8.0 2.05 2.05 0.10 AAA

SHORT PORTFOLIO

575997ZT1 Massachusetts Mutual Life Ins. Co. SAGIC Galliard 6,102,416 5,929,271 97.2 2.8 2.68 2.67 1.50 AA+ 20.0 744999SP9 Prudential Ins. Co. of America SBIC Galliard 22,878,219 22,568,469 98.6 10.5 2.49 3.18 1.87 AA- 18.0 600996DU3 Transamerica Premier Life Ins. Co. SBIC Galliard 30,813,181 30,166,415 97.9 14.1 2.18 3.18 1.87 A+ 18.0 75999UTZ1 Voya Ret. Ins. and Annuity Co. SBIC Galliard 20,943,809 20,506,837 97.9 9.6 2.51 3.18 1.87 A 18.0 TOTAL SHORT PORTFOLIO 80,737,625 79,170,992 98.1 37.1 2.39 3.14 1.84 A+

SHORT / INTERMEDIATE PORTFOLIO

64999DNB2 New York Life Ins. Co. SBIC NYL Investors LLC 20,774,142 20,157,725 97.0 9.5 1.79 3.07 2.44 AAA 22.0 TOTAL SHORT / INTERMEDIATE PORTFOLIO 20,774,142 20,157,725 97.0 9.5 1.79 3.07 2.44 AAA

INTERMEDIATE PORTFOLIO

575997ZT1 Massachusetts Mutual Life Ins. Co. SAGIC Barings LLC 19,592,724 19,036,817 97.2 9.0 2.68 3.80 4.27 AA+ 20.0 744999SP9 Prudential Ins. Co. of America SBIC Jennison Assoc. 23,501,109 23,182,925 98.6 10.8 2.49 3.08 3.57 AA- 18.0 600996DU3 Transamerica Premier Life Ins. Co. SBIC Dodge & Cox 22,778,276 22,300,162 97.9 10.5 2.18 3.20 3.03 A+ 18.0 600996DU3 Transamerica Premier Life Ins. Co. SBIC Galliard 2,047,123 2,004,154 97.9 0.9 2.18 3.50 4.28 A+ 18.0 75999UTZ1 Voya Ret. Ins. and Annuity Co. SBIC Galliard 31,120,341 30,471,045 97.9 14.3 2.51 3.50 4.28 A 18.0 TOTAL INTERMEDIATE PORTFOLIO 99,039,572 96,995,103 97.9 45.5 2.46 3.39 3.82 AA-

TOTAL PORTFOLIO 217,898,864 213,671,343 98.1 100.0 2.34 3.16 2.65 AA-

MARKET REVIEW

Strong Momentum for Growth in Q3

• After muted first quarter growth of 2.2%, the U.S. economy grew at an accelerated pace of 4.2% in 2Q18. Growth during the quarter was marked by a strong rebound in personal consumption growth.

• Consumer driven momentum continued during the quarter. Control Group Retail Sales rose 0.8% and 0.1% m/m in July and August respectively, and confidence surveys remain at or near historic highs.

• Business activity also continues to expand, with the ISM Economy Weighted Index increasing from 56.0 in July to 61.4 in September, marking a multi-decade high point.

• The Atlanta Fed’s GDPNow forecast for GDP growth in the third quarter stands at 4.1% (as of 10/1/18).

Trade Tensions Continue as Mid-Term Elections Near

• As the Trump administration escalated the trade war with China throughout the quarter, developed and emerging market economies continued to lag the U.S., as evidenced by year-to-date equity and currency returns.

• In September, the U.S. initiated a 10% tariff on $200 billion of Chinese goods that will increase to 25% by year-end, and indicated that it could implement tariffs on another $267 billion of goods in the event China continues to retaliate.

• On a positive note, the U.S., Canada, and Mexico have announced a new trade agreement, the United States-Mexico-Canada Agreement (USMCA), which primarily impacts issues in the auto, labor, intellectual property, and agriculture markets.

MARKET REVIEWTHIRD QUARTER 2018

Real GDP Growth

ISM Manufacturing, Non-Manufacturing, and Weighted Indices

The information contained herein reflects the views of Galliard Capital Management, Inc. & sources believed to be reliable by Galliard as of the date of publication. The views expressed here may change atany time subsequent to the date of publication. This publication is for informational purposes only. For institutional investor use only.

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

2009 2010 2011 2012 2013 2014 2015 2016 2017

Rea

l GD

P G

row

th Q

oQ (

%)

45.0

50.0

55.0

60.0

65.0

Sur

vey

Res

pons

e A

vera

ge

ISM Manufacturing ISM Non-Manufacturing Weighted ISM Index

Source: Bloomberg

Source: Bloomberg

Fed Raises in September and Stays on Course for 4th Hike in 2018

• The Fed raised its policy rate during the quarter via a single 25 bps hike at its September meeting. The policy rate now stands at a range of 2.00% to 2.25%.

• Policymakers continue to react to the strong incoming data, signaling their intent to stay the course with an additional rate increase in the fourth quarter. The Fed’s official statement removed the phrase “policy remains accommodative,” indicating policy is moving to a more neutral stance.

• Looking ahead, the market is pricing in two rate hikes in 2019, while the median of FOMC members’ official projections still calls for a high-water mark for the Fed Funds rate of 3.4% by the end of 2020.

Continued Strong Labor Market and Near Target Inflation

• Headline inflation readings have measured in the 2.7% to 2.9% range since early this spring; more importantly, core inflation measures (ex food and energy) have remained between 2.2% and 2.4% during the same timeframe.

• Notably, the Fed’s preferred inflation gauge, the Personal Consumption Expenditures Core Price Index (Core PCE) has struggled to reach/remain at the Fed’s target level of 2.0%.

• Job creation remained robust during the quarter, adding 165k, 270k, and 134k jobs in July, August, and September respectively. The September unemployment rate reached a near-50 year low at 3.7%.

• Average hourly earnings rose 2.8% y/y in September, a slight decrease from the 2.9% y/y post-crisis high in August, largely due to base effects.

MARKET REVIEWTHIRD QUARTER 2018

FOMC Median Funds Rate Projections (%)

The information contained herein reflects the views of Galliard Capital Management, Inc. & sources believed to be reliable by Galliard as of the date of publication. The views expressed here may change atany time subsequent to the date of publication. This publication is for informational purposes only. For institutional investor use only.

Average Hourly Earnings (% YoY)

Source: Bloomberg

Source: Bloomberg

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

2018 2019 2020 2021 Long Term

9/20/2017 12/13/2017 3/21/2018 6/13/2018 9/26/2018

1.50

1.75

2.00

2.25

2.50

2.75

3.00

May-15 Nov-15 May-16 Nov-16 May-17 Nov-17 May-18

Avg

Hou

rly

Ear

ning

s (%

YoY

)

APPENDIX


Third Quarter 2018

1: Returns are net of book value contract, Galliard investment management fees, and, if applicable, external manager fees and Wells Fargo collective fund administrative fees. 2: Returns are net of all fees, including book value contract fees, Galliard investment management fees, and, if applicable, external manager fees, and plan administrative reimbursement. 3: May not add due to rounding.

CALENDAR YEAR INVESTMENT PERFORMANCE

2013 2014 2015 2016 2017 Portfolio (net of inv. mgmt. fees)1 1.52 1.28 1.50 1.63 1.75

Portfolio (net of all fees - NAV level)2 1.34 1.10 1.33 1.46 1.58

3 Year Constant Maturity Treasury 0.54 0.90 1.03 1.01 1.58

Value Added (net of all fees – NAV level)3 0.80 0.21 0.30 0.45 0.00

MARKET INDICES ICE BofAML U.S. 3 Month Treasury Bill 0.07 0.03 0.05 0.33 0.86

Consumer Price Index 1.51 0.76 0.73 2.07 2.11

GUIDELINE COMPLIANCE

We have not become aware of any investment guideline compliance issues occurring in the portfolio during the quarter.

APPENDIX - STATE OF OREGON STABLE VALUE FUND

Third Quarter 2018

TOTAL ANNUAL FUND OPERATING EXPENSES

Total Annual Operating Expenses are deducted directly from the Fund’s net asset value and reduce the investment option’s rate of return.

Expense Expense Ratio 9/30/18 Per $1000

Investment Management Fees paid to Galliard 0.136% $1.36

Investment Management fees paid to Non-Affiliated Investment Advisors 0.009% $0.09

Investment Contract Fees*1 0.172% $1.72

Acquired Fund Fees2 0.063% $0.63

-Investment Contract Fees None None

-Other Acquired Fund Fees and Non-Affiliated Investment

Management Fees paid to Non-Affiliated Investment Advisors3 0.063% $0.63

12b-1 Distribution Fee None None

Other Expenses 0.120% $1.20

Total Annual Fund Operating Expenses4 0.500% $5.00

1: These are fees paid to create and maintain the investments used by a stable value fund.

2: These are fees borne indirectly by the Fund when it acquires an interest in another fund which pays its own separate fees.

3: Includes audit fees for the cost of producing a report by a qualified auditor.

4: Total Annual Fund Operating Expenses are reflected daily in the Fund's net asset value (NAV).

Excluding STIF or money market allocations, non-affiliated investment advisors include Barings LLC, Dodge & Cox , Jennison Assoc., NYL Investors LLC.


Schwab Personal ChoiceRetirement Account (PCRA)Quarterly Report

As of 9/30/2018

©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved.

For Institutional Use OnlyCompliance number: 0517-ZGX6

The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report

OREGON SAVINGS GROWTH PLAN as of 9/30/2018

10

Plan Profile Information

Total Advisor Managed PCRA Assets

Total Funded Roth Accounts

Total Funded PCRA Accounts

Total PCRA Assets

Total Advisor Managed Funded PCRA Accounts

PCRA Participant Profile Information

Average PCRA Account Balance

PCRA Assets In and Out This Quarter*

PCRA Accounts Opened This Quarter

$15,442,672

224

Plan Type 457B

Total Roth Assets

$5,198,308

60

17

$803,274

Average Positions Per Account

Average Trades Per Account

Cash Investments

Equities

ETFs

Fixed Income

Mutual Funds

Other

Total

1.0

1.6

1.1

0.0

2.6

0.0

6.3

$68,941

Total

Other

Mutual Funds

Fixed Income

ETFs

Equities 2.8

0.8

0.0

2.5

0.0

6.1

$1,313,949Cash Investments

Average Participant Age

Percent Male Participants

Percent Female Participants

54

73%

27%

* Assets In and Out includes contributions and distributions.

Equities

ETFs

Fixed Income

Mutual Funds

Other

Total Assets by Category

$3,055,411

$2,856,942

$151,312

$8,065,057

$0

$123,840

Assets and Accounts (Trailing 4 Quarters)

0M

2M

4M

6M

8M

10M

12M

14M

16M

9/30

/201

8

6/30

/201

8

3/31

/201

8

12/31/

2017

Total Assets

Total Advisor Managed

Assets

0.00K

0.04K

0.08K

0.12K

0.16K

0.20K

0.24K

9/30

/201

8

6/30

/201

8

3/31

/201

8

12/31/

2017

Total Funded Accounts

Total Advisor Managed

Funded Accounts





Top 10 Mutual Fund Holdings**

Name Symbol OS* $MF Assets %MF AssetsCategory

RISKPRO PFG AGGRESSIVE 30 PLUS FD CL R PFSUX Y $643,816 8.02%International

RISKPRO PFG EQUITY 30 PLUS FD CL R PFDEX Y $588,370 7.33%Large Capitalization Stock Funds

RISKPRO DYNAMIC 15 TO 25 FD CL R PFDPX Y $509,576 6.35%Hybrid Funds

RISKPRO DYNAMIC 20 TO 30 FD CL R PFJDX Y $421,504 5.25%Hybrid Funds

RISKPRO AGGRESSIVE 30 PLUS FD CL R PFLWX Y $416,372 5.18%International

RISKPRO PFG BALANCED 20 TO 30 FD CL R PFDBX Y $413,422 5.15%Hybrid Funds

RISKPRO PFG GLOBAL 30 PLUS FD CL R PFDGX Y $399,973 4.98%International

RISKPRO TACTICAL 0 TO 30 FD CL R PFTEX Y $331,534 4.13%Hybrid Funds

RISKPRO PFG 30 PLUS FD CL R PFSMX Y $316,102 3.94%International

RISKPRO DYNAMIC 0 TO 10 FD CL R PFDOX Y $277,163 3.45%Taxable Bond Funds

Top 10 Fund Families

$MF Assets %MF AssetsName

VANGUARD $652,578 8.13%

COLUMBIA $374,447 4.66%

SCHWAB $248,251 3.09%

T ROWE PRICE $223,043 2.78%

PRIMECAP $206,133 2.57%

FIDELITY $153,554 1.91%

PIMCO FUNDS $87,283 1.09%

WASATCH $74,621 0.93%

OPPENHEIMER $74,245 0.92%

MATTHEWS $66,004 0.82%

**Top 10 Mutual Funds does not include Money Market Funds.

*OS = OneSource, no-load, no transaction fee.





Top 10 ETF Holdings

Name Symbol $ETF Assets %ETF AssetsOS*Category

SCHWAB US DIVIDEND EQUITY ETF SCHD $219,518 7.68%YUS Equity

SPDR BLMBRG BRCLY SHT TRM HGH ETF SJNK $193,130 6.76%NUS FI

SCHWAB US LARGE CAP VALUE ETF SCHV $128,703 4.50%YUS Equity

VANGUARD FTSE PACIFIC ETF VPL $123,224 4.31%NInternational Equity

VANGUARD FTSE EUROPE ETF VGK $111,899 3.92%NInternational Equity

INVESCO EMERGING MARKETSSOVEREIGN DEBT ETF PCY $111,850 3.92%YInternational FI

SCHWAB US BROAD MARKET ETF SCHB $86,061 3.01%YUS Equity

VANGUARD SMALL CAP VALUEETF VBR $84,261 2.95%NUS Equity

SPDR MFS SYSTEMATIC VALUE EQUITY ETF SYV $68,542 2.40%YUS Equity

SCHWAB US LARGE CAP ETF SCHX $59,361 2.08%YUS Equity

Top 10 Equity Holdings

Name Symbol $EQ Assets %EQ AssetsCategory

AMAZON.COM INC AMZN $522,783 17.11%Consumer Discretionary

TEEKAY CORP F TK $141,540 4.63%Energy

NVIDIA CORP NVDA $108,783 3.56%Information Technology

TESLA INC TSLA $101,142 3.31%Consumer Discretionary

APPLE INC AAPL $87,579 2.87%Information Technology

CALAMOS CONVERTIBLE OPPO CHI $73,730 2.41%Other

BANK OF AMERICA CORP BAC $73,650 2.41%Financials

FACEBOOK INC CLASS A FB $72,362 2.37%Communication Services

ALIBABA GROUP HOLDING FSPONSORED ADR BABA $67,222 2.20%Consumer Discretionary

SQUARE INC CLASS A SQ $66,040 2.16%Information Technology

*OS = OneSource, no transaction fee.





Market Value Allocation - All Assets (Quarter over Quarter)

6/30/2018

6.70%

Mutual Funds

(Transaction Fee)

0.74%

Mutual Funds

(Other)

10.47%

Cash

20.52%

Equities

17.26%

ETFs

0.55%

Fixed Income

43.75%

Mutual Funds

(OneSource)

9/30/2018

6.34%

Mutual Funds

(Transaction Fee)

0.70%

Mutual Funds

(Other)

8.51%

Cash

19.79%

Equities

18.50%

ETFs

0.98%

Fixed Income

45.18%

Mutual Funds

(OneSource)

The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds.

Net Flow - All Non-Cash Assets (3-Month Period Ending 9/30/2018)

-0.1M

0.0M

0.1M

0.2M

0.3M

0.4M

0.5M

0.6M

Equities ETFs Fixed IncomeMutual Funds

(OneSource)

Mutual Funds

(Transaction Fee)Mutual Funds (Other)

Net Flow is the net of all cash inflows and outflows in and out of financial assets; the performance of an asset or fund is not taken into account, only share redemptions, or outflows, and share purchases, or inflows.





Market Value Allocation - Mutual Funds (Quarter over Quarter)

9/30/2018

0.42%

Money Market

Fund

6.18%

Small

Capitalization

Stock Funds

4.70%

Specialized Funds

9.41%

Taxable Bond

Funds

31.22%

Hybrid Funds

30.70%

International

17.37%

Large

Capitalization

Stock Funds

6/30/2018

0.42%

Money Market

Fund

6.70%

Small

Capitalization

Stock Funds

5.03%

Specialized Funds

9.01%

Taxable Bond

Funds

29.82%

Hybrid Funds

30.81%

International

18.22%

Large

Capitalization

Stock Funds


Net Flow by Sector - Mutual Funds (3-Month Period Ending 9/30/2018)

-0.04M

0.00M

0.04M

0.08M

0.12M

0.16M

0.20M

0.24M

0.28M

0.32M

Hybrid Funds InternationalLarge Capital ization

Stock FundsMoney Market Fund

Smal l Capi tal ization

Stock FundsSpecial ized Funds

Taxable Bond Funds






9/30/2018

23.42%

Information

Technology

1.91%

Materials

3.79%

Other

3.09%

Real Estate

0.77%

Utilities

6.75%

Communication

Serv ices

32.02%

Consumer

Discretionary

2.50%

Consumer Staples

10.66%

Energy

5.64%

Financials

4.97%

Health Care

4.50%

Industrials

Market Value Allocation - Equities (Quarter over Quarter)

6/30/2018

26.85%

Information

Technology

2.26%

Materials

3.56%

Other

2.19%

Real Estate

2.04%

Telecommunication

Serv ices

0.91%

Utilities

22.78%

Consumer

Discretionary

3.80%

Consumer Staples

11.13%

Energy

6.13%

Financials

4.72%

Health Care

13.64%

Industrials


Net Flow by Sector - Equities (3-Month Period Ending 9/30/2018)

-0.3M

-0.2M

-0.1M

0.0M

0.1M

0.2M

Communication Services Consumer Discretionary Consumer Staples Energy Financials

Health Care Industrials Information Technology Materials Other

Real Estate Uti l i ties






9/30/2018

10.60%

US FI

2.19%

Commodity

21.44%

International

Equity

3.92%

International FI

2.38%

Leveraged/Inverse

3.13%

Other

18.79%

Sector

37.56%

US Equity

Market Value Allocation - ETF (Quarter over Quarter)

6/30/2018

37.52%

US Equity

4.11%

US FI

4.49%

Commodity

25.42%

International

Equity

1.22%

International FI

2.75%

Leveraged/Inverse

1.64%

Other

22.86%

Sector


Net Flow by Sector - ETF (3-Month Period Ending 9/30/2018)

-0.08M

-0.04M

0.00M

0.04M

0.08M

0.12M

0.16M

0.20M

0.24M

Commodity International Equi ty International FI Leveraged/Inverse Other Sector US Equity

US FI






Average Monthly Trades Per Account (3-Month Period Ending 9/30/2018)

0.00

0.20

0.40

0.60

0.80

1.00

1.20

7/1/2018 8/1/2018 9/1/2018

Equities ETFs Fixed Income Mutual Funds

Trading Channel Mix (Month over Month)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

7/1/2018 8/1/2018 9/1/2018

34%42% 41%

33%28%

21%

2%

33% 28%39%

Investment Manager Live Representative Mobile Web





Important Disclosures

Schwab Personal Choice Retirement Account (PCRA) is offered through Charles Schwab & Co., Inc. (Member SIPC), the registered broker/dealer, which also provides other brokerage and custody services to its customers.

For participants who utilize the Personal Choice Retirement Account (PCRA), the following fees and conditions may apply: Schwab's shortterm redemption fee of $49.95 will be charged on redemption of funds purchased through Schwab's Mutual Fund OneSource® service (and certain other funds with no transaction fee) and held for 90 days or less. Schwab reserves the right to exempt certain funds from this fee, including Schwab Funds®, which may charge a separate redemption fee, and funds that accommodate short-term trading.

Trades in no-load mutual funds available through Mutual Funds OneSource service (including Schwab Funds) as well as certain other funds, are available without transaction fees when placed through schwab.com or our automated phone channels. Schwab reserves the right to change the funds we make available without transaction fees and to reinstate fees on any funds. Funds are also subject to management fees and expenses.

Charles Schwab & Co., Inc., member SIPC, receives remuneration from fund companies for record keeping, shareholder services and other administrative services for shares purchased through its Mutual Fund OneSource service. Schwab also may receive remuneration from transaction fee fund companies for certain administrative services.

This material is for institutional use only.

The information contained herein is obtained from third-party sources and believed to be reliable, but its accuracy or completeness is not guaranteed. This report is for informational purposes only and is not a solicitation, or a recommendation that any particular investor should purchase or sell any particular security.



INVESTMENT OPTION PERFORMANCE RESULTS

Investment Option Returnsfor the Period Ending

CORE INVESTMENT OPTIONS

OPTION 1 Month 3 Months Year to Date From Inception Since 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison) 10/31/96 10/31/01Short-Term Fixed Option 0.15% 0.42% 0.86% 1.98% 1.13% 1.22% 0.80% 0.54% 0.26% 0.14%

91-Day T-Bill 0.16% 0.48% 0.97% 2.24% 1.34% 1.43% 0.99% 0.73% 0.45% 0.35%

Stable Value Option 0.17% 0.49% 1.09% 3.34% 2.68% 1.80% 1.65% 1.56% 1.41% 1.63%

91-Day T-Bill 0.16% 0.48% 0.97% 2.24% 1.34% 1.43% 0.99% 0.73% 0.45% 0.35%

Rolling Average 5 Year CMT** 0.14% 0.41% 0.93% 3.73% 3.03% 1.55% 1.42% 1.37% 1.39% 2.16%

Active Fixed Income Option 0.09% 0.70% -0.90% 4.97% 4.48% 0.15% 0.53% 2.12% 2.79% 4.55%

BC Aggregate 0.02% 0.61% -1.59% 4.98% 4.09% -0.80% -0.66% 1.49% 2.25% 3.73%

Large Company Value Stock Option 3.95% 4.83% 2.18% 8.22% 8.11% 9.47% 11.52% 9.38% 10.00% 8.98%

Russell 1000 Value 3.96% 4.83% 2.20% 8.66% 8.08% 9.54% 11.63% 9.51% 10.04% 8.95%

Stock Index Option 3.31% 6.90% 6.57% 8.53% 8.37% 16.23% 16.13% 12.07% 12.70% 10.55%

Russell 3000 3.32% 6.93% 6.64% 8.75% 8.55% 16.39% 16.26% 12.18% 12.83% 10.68%

Large Company Growth Stock Option 2.94% 8.45% 10.31% 7.94% 8.43% 22.61% 20.24% 14.64% 15.57% 11.99%

Russell 1000 Growth 2.94% 8.48% 10.40% 8.36% 8.63% 22.84% 20.42% 14.81% 15.83% 12.37%

International Stock Option 2.20% -2.54% -2.11% 6.07% 6.95% 4.86% 11.28% 5.80% 5.62% 3.88%

MSCI ACWI EX-US BLENDED 2.39% -1.85% -1.46% 4.99% 6.35% 5.94% 12.28% 6.00% 5.78% 3.39%

Small Company Stock Option 1.89% 8.76% 8.72% 10.84% 10.78% 18.91% 18.21% 11.78% 11.22% 10.98%

RUSSELL SMALL CAP BLENDED 1.74% 8.69% 9.54% 10.26% 10.70% 18.73% 18.59% 12.04% 11.91% 11.18%

Real Return Option 0.12% -0.02% -0.68% 2.54% 3.54% 1.45%

CPI + 3% 0.41% 1.48% 4.15% 6.19% 5.48% 4.93%

Environmental Social Governance Option 3.40% 5.96% 5.92% 15.03% 15.76% 11.80%

Russell 3000 3.32% 6.93% 6.64% 16.39% 16.26% 12.18%

OPTION 1 Month 3 Months Year to Date 1 Year 2 Years 3 Years 5 Years 10 YearsBENCHMARKS (for comparison)

LifePath® Retirement 0.91% 1.69% 0.58% 4.37% 4.83% 4.50% 4.68%

LifePath® 2020 1.07% 1.81% 0.79% 5.11% 5.87% 5.07% 5.43%

LifePath® 2025 1.39% 2.13% 1.26% 6.41% 7.34% 5.95% 6.19%

LifePath® 2030 1.66% 2.40% 1.77% 7.66% 8.76% 6.83% 6.98%

LifePath® 2035 1.92% 2.66% 2.07% 8.65% 9.91% 7.46% 7.52%

LifePath® 2040 2.15% 2.88% 2.41% 9.61% 11.03% 8.09% 8.06%

LifePath® 2045 2.30% 3.03% 2.63% 10.26% 11.73% 8.50% 8.45%

LifePath® 2050 2.37% 3.07% 2.71% 10.48% 11.96% 8.65% 8.65%

LifePath® 2055 2.37% 3.08% 2.71% 10.48% 11.95% 8.64% 8.72%

LifePath® 2060 2.38% 3.08% 2.71% 10.45% 11.94% 8.65%

**5 Year Rolling Average of the 5 Year Constant Maturing Treasury Yield.

Performance figures are net all fees including management, recordkeeping and other administrative fees. The results shown represent past performance and should not be considered a representation ofperformance of the options in the future. Investment returns and principal are not guaranteed.

To access current account information 24 hours a day call our customer service center at 1-800-365-8494 or visit our web site at growyourtomorrow.com

July 31, 2018

Annualized

TARGET DATE FUNDS ( LIFEPATH PORTFOLIOS)Annualized

Updated on 8/7/2018

Monthly performance results are published on growyourtomorrow.com





91-Day T-Bill 0.18% 0.51% 1.15% 2.23% 1.34% 1.52% 1.07% 0.79% 0.49% 0.36%


91-Day T-Bill 0.18% 0.51% 1.15% 2.23% 1.34% 1.52% 1.07% 0.79% 0.49% 0.36%


Active Fixed Income Option 0.55% 0.60% -0.36% 4.98% 4.49% -0.27% 0.79% 2.34% 3.02% 4.54%

BC Aggregate 0.64% 0.54% -0.96% 4.99% 4.10% -1.05% -0.28% 1.76% 2.49% 3.70%


Russell 1000 Value 1.48% 5.76% 3.71% 8.70% 8.13% 12.47% 12.02% 12.32% 11.22% 8.93%


Russell 3000 3.51% 7.65% 10.39% 8.89% 8.73% 20.25% 18.14% 15.86% 14.25% 10.89%


Russell 1000 Growth 5.47% 9.61% 16.44% 8.59% 8.93% 27.23% 23.98% 19.33% 17.47% 12.84%

International Stock Option -2.33% -2.76% -4.39% 5.93% 6.76% 1.79% 9.85% 7.50% 5.54% 3.96%

MSCI ACWI EX-US BLENDED -2.09% -1.64% -3.53% 4.87% 6.18% 3.18% 10.75% 8.08% 5.62% 3.60%

Small Company Stock Option 4.66% 7.54% 13.79% 11.03% 11.03% 26.16% 19.96% 15.76% 12.84% 11.20%

RUSSELL SMALL CAP BLENDED 4.31% 6.89% 14.26% 10.43% 10.92% 25.45% 20.07% 16.11% 13.59% 11.34%

Real Return Option -0.57% -1.45% -1.25% 0.79% 3.42% 2.52%

CPI + 3% 0.25% 0.92% 4.26% 5.72% 5.36% 4.93%


Russell 3000 3.51% 7.65% 10.39% 20.25% 18.14% 15.86%


LifePath® Retirement 0.98% 1.68% 1.56% 4.73% 5.38% 5.74% 5.14%

LifePath® 2020 0.99% 1.82% 1.78% 5.53% 6.44% 6.60% 5.93%

LifePath® 2025 1.04% 2.21% 2.31% 6.94% 7.95% 7.77% 6.75%

LifePath® 2030 1.09% 2.54% 2.89% 8.30% 9.42% 8.94% 7.59%

LifePath® 2035 1.14% 2.86% 3.23% 9.40% 10.61% 9.83% 8.15%

LifePath® 2040 1.18% 3.14% 3.62% 10.46% 11.78% 10.70% 8.74%

LifePath® 2045 1.19% 3.29% 3.85% 11.15% 12.49% 11.24% 9.16%

LifePath® 2050 1.19% 3.35% 3.93% 11.39% 12.73% 11.41% 9.38%

LifePath® 2055 1.19% 3.36% 3.93% 11.38% 12.72% 11.39% 9.48%

LifePath® 2060 1.19% 3.36% 3.93% 11.35% 12.70% 11.37%




August 31, 2018

Annualized


Updated on 9/7/2018






91-Day T-Bill 0.15% 0.49% 1.30% 2.23% 1.34% 1.59% 1.12% 0.84% 0.52% 0.34%


91-Day T-Bill 0.15% 0.49% 1.30% 2.23% 1.34% 1.59% 1.12% 0.84% 0.52% 0.34%


Active Fixed Income Option -0.47% 0.16% -0.83% 4.93% 4.43% -0.36% 0.55% 1.99% 2.71% 4.72%

BC Aggregate -0.64% 0.02% -1.60% 4.94% 4.04% -1.22% -0.57% 1.31% 2.16% 3.77%


Russell 1000 Value 0.20% 5.70% 3.92% 8.68% 8.11% 9.45% 12.25% 13.55% 10.72% 9.79%


Russell 3000 0.17% 7.12% 10.57% 8.86% 8.69% 17.58% 18.14% 17.07% 13.46% 12.01%


Russell 1000 Growth 0.56% 9.17% 17.09% 8.58% 8.92% 26.30% 24.10% 20.55% 16.58% 14.31%

International Stock Option 0.41% 0.23% -4.00% 5.93% 6.76% 0.58% 9.17% 9.09% 4.13% 5.39%

MSCI ACWI EX-US BLENDED 0.46% 0.71% -3.09% 4.87% 6.18% 1.76% 10.33% 9.97% 4.22% 5.28%

Small Company Stock Option -2.25% 4.24% 11.23% 10.87% 10.82% 15.71% 18.09% 16.83% 11.03% 12.02%

RUSSELL SMALL CAP BLENDED -2.41% 3.58% 11.51% 10.26% 10.71% 15.24% 17.96% 17.12% 11.79% 12.23%

Real Return Option 0.16% -0.29% -1.09% 1.19% 2.89% 3.48%

CPI + 3% 0.30% 0.86% 4.63% 5.28% 5.29% 5.02%


Russell 3000 0.17% 7.12% 10.57% 17.58% 18.14% 17.07%


LifePath® Retirement -0.36% 1.53% 1.19% 3.74% 5.02% 5.99% 4.62%

LifePath® 2020 -0.32% 1.75% 1.46% 4.41% 6.09% 7.01% 5.31%

LifePath® 2025 -0.24% 2.20% 2.07% 5.68% 7.62% 8.33% 6.07%

LifePath® 2030 -0.18% 2.59% 2.71% 6.90% 9.09% 9.64% 6.86%

LifePath® 2035 -0.12% 2.96% 3.11% 7.86% 10.30% 10.68% 7.37%

LifePath® 2040 -0.06% 3.29% 3.55% 8.80% 11.47% 11.67% 7.93%

LifePath® 2045 -0.04% 3.48% 3.81% 9.40% 12.19% 12.27% 8.30%

LifePath® 2050 -0.03% 3.56% 3.90% 9.61% 12.43% 12.46% 8.47%

LifePath® 2055 -0.03% 3.57% 3.90% 9.61% 12.42% 12.45% 8.53%

LifePath® 2060 -0.02% 3.57% 3.90% 9.59% 12.40% 12.43%




September 30, 2018

Annualized


Updated on 10/4/2018


oregon savings growth plan advisory committeenov 27, 2018 · retirement plans. the workers, who...

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