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WILSHIRE ASSOCIATESW i l s h i r e C o n s u l t i n g

K e n t u c k y R e t i r e m e n t S y s t e m s I n s u r a n c eExecutive Summary of Investment Performance

December 31, 2018

MARKET ENVIRONMENT

©2019 Wilshire Associates.

W i l s h i r e C o n s u l t i n g

ASSET CLASS PERFORMANCE

Data sources: Wilshire Compass Note: Developed asset class is developed equity markets ex-U.S., ex-Canada

ANNUALIZED

5-YEAR

2013 2014 2015 2016 2017 2018 YTD AS OF 12/2018

U.S. Equity REITs REITs MLPs Emrg Mrkts T-Bills U.S. Equity

33.1% 31.8% 4.2% 18.3% 37.7% 1.9% 8.1%

MLPs U.S. Equity U.S. Equity High Yield Developed Core Bond REITs

27.6% 12.7% 0.7% 17.1% 25.6% 0.0% 7.9%

Developed Core Bond Core Bond U.S. Equity U.S. Equity U.S. TIPS High Yield

23.3% 6.0% 0.6% 13.4% 21.0% -1.3% 3.8%

High Yield MLPs T-Bills Commodities High Yield High Yield Core Bond

7.4% 4.8% 0.1% 11.8% 7.5% -2.1% 2.5%

REITs U.S. TIPS Developed Emrg Mrkts REITs REITs Emrg Mrkts

1.9% 3.6% -0.4% 11.6% 4.2% -4.8% 2.0%

T-Bills High Yield U.S. TIPS REITs Core Bond U.S. Equity U.S. TIPS

0.1% 2.5% -1.4% 7.2% 3.6% -5.3% 1.7%

Core Bond T-Bills High Yield U.S. TIPS U.S. TIPS Commodities Developed

-2.0% 0.0% -4.5% 4.7% 3.0% -11.2% 1.0%

Emrg Mrkts Emrg Mrkts Emrg Mrkts Core Bond Commodities MLPs T-Bills

-2.3% -1.8% -14.6% 2.6% 1.7% -12.4% 0.6%

U.S. TIPS Developed Commodities Developed T-Bills Developed MLPs

-8.6% -4.5% -24.7% 1.5% 0.8% -13.4% -7.3%

Commodities Commodities MLPs T-Bills MLPs Emrg Mrkts Commodities

-9.5% -17.0% -32.6% 0.3% -6.5% -14.2% -8.8%

ASSET CLASS RETURNS - BEST TO WORST

3

U.S. Equity

The U.S. stock market was down -14.3% for the

fourth quarter of 2018. This marks the worst

quarter for U.S. equities since 2011 and the first

down year since the credit crisis sell-off of 2008.

Concerns of an economic slowdown weighed on

stock prices as did fears that additional rate

increases by the Federal Reserve could weaken

future prospects for economic growth.

The yield curve ended 2018 with a very unusual

shape – which will likely be a source of debate if

it persists, largely focusing on the Fed’s

December rate hike. Some fear that it could be

enough to slow the economy and are therefore

selling shorter-term bonds, pushing rates higher.

Others highlight the fact that the Fed’s mandate

focuses on both growth and inflation and that a

0.25% increase is not likely to stop the U.S.

economy cold. Ultimately, the Fed makes their

final decisions based on all available data and

can decide to adjust their course of action.



MARKET COMMENTARY

Non-U.S. Equity

Equity markets outside of the U.S. suffered

during the quarter, although they generally

outperformed U.S. equity. While the EU began

the year in sound economic condition, growth

declined steadily while gains in unemployment

stalled and industrial production reversed

course. While there were some positive signals

on U.S.-China trade, investors will likely wait until

a scheduled meeting in January before fully

evaluating the current global trade environment.

Fixed Income

The U.S. Treasury yield curve fell across most

maturities with the 10-year Treasury yield at

2.69%, down 37 basis points. The Federal Open

Market Committee increased its overnight rate

by 25 basis points but adjusted downward their

forecast for future rates. Credit spreads widened

during the quarter within both the investment

grade and high yield markets.

4



DECEMBER 2018 ASSET CLASS

ASSUMPTIONS

DEV EMG GLOBAL LT NON-US

US EX-US MRKT EX-US GLOBAL PRIVATE CORE CORE US HIGH BOND US GLOBAL PRIVATE REAL US

STOCK STOCK STOCK STOCK STOCK EQUITY CASH BOND BOND TIPS YIELD (HDG) RES RES RE CMDTY ASSETS CPI

EXPECTED COMPOUND RETURN (%) 7.00 7.50 7.50 7.75 7.45 10.05 2.65 3.85 4.25 3.00 5.90 1.25 5.65 5.85 6.65 4.35 6.40 1.70

EXPECTED ARITHMETIC RETURN (%) 8.30 8.95 10.45 9.35 8.75 13.35 2.65 4.00 4.70 3.15 6.35 1.30 7.00 7.00 7.55 5.40 6.75 1.70

EXPECTED RISK (%) 17.00 18.00 26.00 18.80 17.05 28.00 1.25 5.15 9.85 6.00 10.00 3.50 17.00 15.80 14.00 15.00 8.75 1.75

CASH YIELD (%) 2.15 3.50 2.50 3.25 2.65 0.00 2.65 4.05 5.00 3.55 8.95 1.80 4.40 4.40 2.70 2.65 3.00 0.00

CORRELATIONS

US STOCK 1.00

DEV EX-US STOCK (USD) 0.81 1.00

EMERGING MARKET STOCK 0.74 0.74 1.00

GLOBAL EX-US STOCK 0.83 0.96 0.86 1.00

GLOBAL STOCK 0.94 0.92 0.82 0.94 1.00

PRIVATE EQUITY 0.74 0.64 0.62 0.67 0.74 1.00

CASH EQUIVALENTS -0.05 -0.09 -0.05 -0.08 -0.07 0.00 1.00

CORE BOND 0.28 0.13 0.00 0.09 0.20 0.31 0.19 1.00

LT CORE BOND 0.31 0.16 0.01 0.12 0.23 0.32 0.11 0.93 1.00

US TIPS -0.05 0.00 0.15 0.05 0.00 -0.03 0.20 0.60 0.47 1.00

HIGH YIELD BOND 0.54 0.39 0.49 0.45 0.51 0.34 -0.10 0.25 0.32 0.05 1.00

NON-US BOND (HDG) 0.16 0.25 -0.01 0.18 0.18 0.26 0.10 0.67 0.66 0.39 0.26 1.00

US RE SECURITIES 0.59 0.47 0.44 0.49 0.56 0.50 -0.05 0.17 0.23 0.10 0.56 0.05 1.00

GLOBAL RE SECURITIES 0.65 0.59 0.56 0.62 0.66 0.58 -0.05 0.17 0.22 0.11 0.62 0.03 0.94 1.00

PRIVATE REAL ESTATE 0.54 0.44 0.44 0.47 0.52 0.51 -0.05 0.19 0.25 0.09 0.57 0.05 0.77 0.76 1.00

COMMODITIES 0.25 0.34 0.39 0.38 0.32 0.27 0.00 -0.02 -0.02 0.25 0.29 -0.10 0.25 0.28 0.25 1.00

REAL ASSET BASKET 0.42 0.43 0.50 0.48 0.47 0.43 0.01 0.24 0.25 0.41 0.53 0.06 0.65 0.69 0.69 0.59 1.00

INFLATION (CPI) -0.10 -0.15 -0.13 -0.15 -0.13 -0.10 0.10 -0.12 -0.12 0.15 -0.08 -0.08 0.05 0.03 0.05 0.44 0.26 1.00

REAL ESTATE

EQUITY FIXED INCOME REAL ASSETS

5



ECONOMIC REVIEW

Data sources: Bureau of Labor Statistics, U.S. Treasury, University of Michigan, Institute for Supply Management, Bureau of Economic Analysis

AS OF DEC. 31, 2018

CPI (ALL ITEMS)

SEASONALLY ADJUSTED Dec-18 -0.1 3-Mo. 0.3

Nov-18 0.0 12-Mo. 1.9

Oct-18 0.3 10-Yr. (Annual) 1.8

BREAKEVEN INFLATION 10-Yr. 1.7

CONSUMER SENTIMENT Dec-18 98.3

U. OF MICHIGAN SURVEY Nov-18 97.5

1-Yr. Ago 95.9 10-Yr. Avg 82.5

MANUFACTURING Dec-18 54.1

INST. FOR SUPPLY MGMT Nov-18 59.3 >50 Expansion

PURCHASING MNGRS' IDX 1-Yr. Avg. 58.8 <50 Contraction

Note: Seasonally adjusted CPI data is utilized to better reflect short-term pricing activity.

September/2018 CPI is based on Federal Reserve of Philadelphia Survey of Professional Forecasters

MONTHLY CHANGE CUMULATIVE CHANGE

KEY ECONOMIC INDICATORS

CHANGE IN SECTOR

Real GDP

Consumer Spending

$(15,000)

$(10,000)

$(5,000)

$-

$5,000

$10,000

$15,000

$20,000

-7.5%

-5.0%

-2.5%

0.0%

2.5%

5.0%

7.5%

10.0%

Quart

erly G

DP (

$bil)

Annualized G

row

th

CHANGES IN REAL GDP (2012 BASE YEAR)

Annualized Change in Real GDP Private Investment Series9 Government Spending

(5.0)

-

5.0

10.0

15.0

(200)

(100)

-

100

200

300

400

Unem

plo

ym

ent

Rate

(%

)

Job G

row

th/L

oss (

thou)

UNEMPLOYMENT RATE AND JOB GROWTH/LOSS

Job Growth (Loss) Unemployment Rate

6



U.S. EQUITY MARKET

Data sources: Wilshire Compass, Wilshire Atlas

AS OF DECEMBER 31, 2018 QTR YTD 1 YR 3 YR 5 YR 10 YR

WILSHIRE 5000 INDEX -14.3 -5.3 -5.3 9.1 8.1 13.2

WILSHIRE U.S. LARGE CAP -13.7 -4.6 -4.6 9.3 8.5 13.1

WILSHIRE U.S. SMALL CAP -19.7 -10.8 -10.8 7.4 4.7 13.9

WILSHIRE U.S. LARGE GROWTH -16.8 -3.6 -3.6 10.3 9.6 14.6

WILSHIRE U.S. LARGE VALUE -10.8 -5.9 -5.9 8.1 7.2 11.6

WILSHIRE U.S. SMALL GROWTH -20.6 -9.7 -9.7 8.1 4.5 14.7

WILSHIRE U.S. SMALL VALUE -18.7 -12.0 -12.0 6.5 4.7 12.9

WILSHIRE REIT INDEX -6.9 -4.8 -4.8 2.1 7.9 12.2

MSCI USA MIN. VOL. INDEX -7.7 0.9 0.9 9.5 9.8 12.6

FTSE RAFI U.S. 1000 INDEX -13.8 -8.3 -8.3 7.9 6.6 14.1-5.3

-16.6

4.3

-4.4

-19.4

-8.3

-13.9

-14.3

-1.6

-13.0

5.4

0.7

-14.3

-14.5

0.8

-6.2

-25.6

-5.5

-13.3

-18.2

-16.5

-13.7

-10.8

-17.5

Wilshire 5000

Materials

Utilities

Real Estate

Energy

Consumer Staples

Communication Services

Industrials

Consumer Discretionary

Financials

Health Care

Information Technology

2.6%

3.4%

4.2%

4.9%

7.0%

9.2%

9.9%

10.4%

14.3%

14.4%

19.8%

WILSHIRE 5000 SECTOR WEIGHT & RETURN (%)

4th Quarter 1-Year

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Larg

e C

ap in e

xcess o

f Sm

all C

ap

LARGE CAP VS SMALL CAP

QTD Excess Return Rolling 3-Year Excess Return

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

Gro

wth

in e

xcess o

f Valu

e

GROWTH VS VALUE

QTD Excess Return Rolling 3-Year Excess Return

7


Highest quality names produced a positive return for the year but are among the lowest weight

within the broad market


RETURNS BY QUALITY SEGMENT

Data sources: Wilshire Atlas

(25.00)

(20.00)

(15.00)

(10.00)

(5.00)

-

5.00

4Q 18 YTD 2018

Tota

l Retu

rn (

%)

RETURN BY S&P QUALITY RATING

A+ A A- B+ B B- C / D

A+ 6%

A 8%

A- 13%

B+ 31%

B 15%

B- 9%

C / D 4%

N.A. 14%

Segment Weights

as of September 30

8



NON-U.S. EQUITY MARKET

Data sources: Wilshire Compass


MSCI ACWI EX-US ($G) -11.4 -13.8 -13.8 5.0 1.1 7.1

MSCI EAFE ($G) -12.5 -13.4 -13.4 3.4 1.0 6.8

MSCI EMERGING MARKETS ($G) -7.4 -14.2 -14.2 9.6 2.0 8.4

MSCI FRONTIER MARKETS ($G) -4.3 -16.2 -16.2 4.6 1.1 5.4

MSCI ACWI EX-US GROWTH ($G) -12.2 -14.1 -14.1 4.6 2.1 7.5

MSCI ACWI EX-US VALUE ($G) -10.6 -13.4 -13.4 5.4 0.2 6.6

MSCI ACWI EX-US SMALL ($G) -14.4 -17.9 -17.9 4.4 2.4 10.5

MSCI ACWI MINIMUM VOLATILITY -6.5 -1.0 -1.0 8.3 7.9 10.5

MSCI EAFE MINIMUM VOLATILITY -7.3 -5.2 -5.2 4.5 5.4 8.1

FTSE RAFI DEVELOPED EX-US -12.8 -14.5 -14.5 4.9 0.9 7.3

MSCI EAFE LC (G) -12.2 -10.5 -10.5 3.1 4.3 8.0

-13.4

-10.4

-8.2

-21.8

-11.9

-14.0

-12.6

-12.5

-9.6

-8.9

-15.6

-15.0

-11.7

-14.2

MSCI EAFE

Australia

Switzerland

Germany

France

United Kingdom

Japan

6.9%

8.7%

8.8%

11.1%

16.9%

24.6%

MSCI EAFE: LARGEST COUNTRIES & RETURN (USD)

4th Quarter 1-Year

-14.2

-24.0

-0.6

-7.3

-8.2

-20.7

-18.7

-7.4

-3.6

13.6

2.5

-13.8

-12.9

-10.7

MSCI Emrg Mrkts

South Africa

Brazil

India

Taiwan

South Korea

China

6.2%

7.5%

9.4%

11.4%

13.8%

30.4%

MSCI EM: LARGEST COUNTRIES & RETURN (USD)

4th Quarter 1-Year

9



U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, U.S. Treasury

0

200

400

600

800

1,000

1,200

1,400

1,600

1,800

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

Securitized IG Corporate Aa Corporate High Yield

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

0 5 10 15 20 25 30

Yie

ld (

%)

Maturity (yrs)

TREASURY YIELD CURVE

Current Quarter Previous Quarter One Year Ago

AS OF DECEMBER 31, 2018 YTM DURATION QTR YTD 1 YR 3 YR 5 YR 10 YR

BLOOMBERG BARCLAYS AGGREGATE 3.3 5.9 1.6 0.0 0.0 2.1 2.5 3.5

BLOOMBERG BARCLAYS TREASURY 2.6 6.1 2.6 0.9 0.9 1.4 2.0 2.1

BLOOMBERG BARCLAYS GOV'T-REL. 3.4 5.3 1.2 0.3 0.3 2.4 2.6 2.9

BLOOMBERG BARCLAYS SECURITIZED 3.4 4.7 2.0 1.0 1.0 1.8 2.5 3.4

BLOOMBERG BARCLAYS CORPORATE 4.2 7.1 -0.2 -2.5 -2.5 3.3 3.3 5.9

BLOOMBERG BARCLAYS LT G/C 4.1 15.0 0.8 -4.7 -4.7 4.0 5.4 5.9

BLOOMBERG BARCLAYS LT TREASURY 3.0 17.4 4.2 -1.8 -1.8 2.6 5.9 4.1

BLOOMBERG BARCLAYS LT GOV't-REL. 4.6 11.8 0.0 -3.2 -3.2 4.7 5.6 5.7

BLOOMBERG BARCLAYS LT CORP. 4.9 13.5 -1.8 -7.2 -7.2 4.9 5.0 7.6

BLOOMBERG BARCLAYS U.S. TIPS * 2.7 7.6 -0.4 -1.3 -1.3 2.1 1.7 3.6

BLOOMBERG BARCLAYS HIGH YIELD 8.0 4.0 -4.5 -2.1 -2.1 7.2 3.8 11.1

TREASURY BILLS 2.5 0.25 0.6 1.9 1.9 1.0 0.6 0.4

* Yield and Duration statistics are for a proxy index based on similar maturity, the Bloomberg Barclays U.S. Treasury 7-10 Year Index

10


• Federal Reserve began their balance sheet normalization program during October 2017;

targeting $10B in reductions per month while increasing to $50B per month in Q4 2018

• Generally on pace with their initial plan, the Federal Reserve has reduced their total assets by

$406 billion through mid-January 2019


FEDERAL RESERVE

Data sources: Federal Reserve

$-

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$5.0

FEDERAL RESERVE: BALANCE SHEET FORECAST ($T)

U.S. Treasuries Mortgage-backed Securities Other Original Forecast

January 2019

11



NON-U.S. FIXED INCOME

Data sources: Wilshire Compass, Bloomberg Barclays, Federal Reserve Bank of St. Louis


DEVELOPED MARKETS

BLMBRG BRCLYS GLBL AGGREGATE xUS 0.9 -2.1 -2.1 3.2 0.0 1.7

BLMBRG BRCLYS GLBL AGGREGATE xUS * 1.9 3.2 3.2 3.5 4.1 4.0

BLMBRG BRCLYS GLOBAL INF LNKD xUS -1.1 -5.9 -5.9 3.1 1.0 3.8

BLMBRG BRCLYS GLOBAL INF LNKD xUS * 1.4 1.3 1.3 6.2 6.3 5.8

EMERGING MARKETS (HARD CURRENCY)

BLMBRG BRCLYS EM USD AGGREGATE -0.2 -2.5 -2.5 5.0 4.2 8.5

EMERGING MARKETS (FOREIGN CURRENCY)

BLMBRG BRCLYS EM LOCAL CURR. GOV'T 2.5 -3.4 -3.4 5.3 0.5 4.1

BLMBRG BRCLYS EM LOCAL CURR. GOV'T * 2.6 2.7 2.7 3.2 2.9 3.2

EURO vs. DOLLAR -1.6 -4.8 -4.8 1.7 -3.7 -2.0

YEN vs. DOLLAR 3.5 2.7 2.7 3.1 -0.9 -1.9

POUND vs. DOLLAR -2.3 -5.9 -5.9 -4.7 -5.1 -1.2

* Returns are reported in terms of local market investors, w hich removes currency effects.

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Yie

ld t

o W

ors

t (%

)

BLOOMBERG BARCLAYS FIXED INCOME INDEXES

U.S. Treasury Global xUS Gov't EM USD Sovereign EM Foreign Gov't

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

0

10

20

30

40

50

60

70

80

90

100

Rollin

g 1

-Year

Retu

rn

Index L

evel

U.S. DOLLAR INDEX: MAJOR CURRENCIES

Index Level Rolling 1-Year Return

12



GLOBAL INTEREST RATES

Data sources: Organization for Economic Co-operation and Development

Negative short-term rates remain in Europe; Long rates jumped in Italy during the quarter

Germany

Japan

France

United Kingdom

Canada

Australia

Italy

Spain

South Korea

Portugal

U.S.

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

-1.00 -0.50 0.00 0.50 1.00 1.50 2.00 2.50 3.00

Long-T

erm

/ 1

0-Y

ear

Yie

lds (

%)

Short-Term / 3-Month Yields (%)

GOVERNMENT BOND YIELDS

13



HIGH YIELD BOND MARKET

Data sources: Wilshire Compass, Bloomberg Barclays


BLOOMBERG BARCLAYS HIGH YIELD -4.5 -2.1 -2.1 7.2 3.8 11.1

CREDIT SUISSE LEVERAGED LOAN -3.1 1.1 1.1 5.0 3.3 8.3

HIGH YIELD QUALITY DISTRIBUTION WEIGHT

Ba U.S. HIGH YIELD 46.1% -2.9 -2.4 -2.4 5.7 4.3 10.2

B U.S. HIGH YIELD 39.7% -4.4 -1.3 -1.3 6.8 3.3 9.7

Caa U.S. HIGH YIELD 13.3% -9.3 -3.8 -3.8 11.7 3.9 13.9

Ca to D U.S. HIGH YIELD 0.6% -24.1 -1.3 -1.3 27.2 -11.2 7.4

Non-Rated U.S. HIGH YIELD 0.2% -1.7 1.2 1.2 5.3 -0.5 6.9

0

500

1,000

1,500

2,000

2,500

3,000

Option A

dju

ste

d S

pre

ad (

bps)

BLOOMBERG BARCLAYS HIGH YIELD INDEXES

HY Index Ba B Caa

14



REAL ASSETS

Data sources: Wilshire Compass, National Council of Real Estate Investment Fiduciaries


BLOOMBERG BARCLAYS U.S. TIPS -0.4 -1.3 -1.3 2.1 1.7 3.6

BLOOMBERG COMMODITY INDEX -9.4 -11.2 -11.2 0.3 -8.8 -3.8

WILSHIRE GLOBAL RESI INDEX -6.1 -5.4 -5.4 3.3 6.1 11.6

NCREIF ODCE FUND INDEX 1.8 8.3 8.3 8.2 10.4 7.0

NCREIF TIMBERLAND INDEX 1.0 3.4 3.4 3.2 5.0 3.8

ALERIAN MLP INDEX (OIL & GAS) -17.3 -12.4 -12.4 -1.1 -7.3 9.6

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

Curr

ent

Yie

ld

Curr

ent

Cap R

ate

REAL ESTATE VALUATION

NPI Current Value Cap Rate Wilshire RESI Current Yield 10-Year Treasury Yield

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

Retu

rn (

%)

NCREIF ODCE FUND INDEX RETURN

Appreciation Income Total Return

15

TOTAL FUND TOTAL FUND

© 2019 Wilshire Associates Inc.

Total Fund Policy Index


ACTUAL ALLOCATION VS POLICY ALLOCATIONKRS Insurance Plan CompositeAsset Class BucketingAs of December 31, 2018

$4,968,619,034

17


ACTUAL ALLOCATION VS POLICY ALLOCATIONKRS Insurance Plan CompositeAsset Cass BucketingAs of December 31, 2018


18


ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS Insurance Plan CompositeAs of December 31, 2018


Short Term42,098,410 5.13%

Real Estate38,346,888 4.67%

Other Absolute Return20,576,326 2.51%

Special Investments47,496,492 5.79%

Other Real Return69,259,088 8.44%

Intl Equity175,257,856 21.36%

Domestic Equity156,965,555 19.13%

Fixed Income270,415,600 32.96%

Total Fund

Short Term1.00%

Intl Equity18.75%

Other Real Return15.00%

Special Inv.10.00%

Other Absolute Return3.00%

Real Estate5.00%

Domestic Equity18.75%

Fixed Income28.50%

Policy Index

$820,416,216

19


ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS (H) Insurance Plan CompositeAs of December 31, 2018


Short Term13,737,791 2.81%

Intl Equity97,197,343 19.88%

Real Estate28,879,118 5.91%





Fixed Income157,578,346 32.23%

Total Fund

Short Term1.00%

Intl Equity18.75%


Special Inv.10.00%


Real Estate5.00%


Fixed Income28.50%

Policy Index

$488,921,119

20


ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS Insurance Plan CompositeAs of December 31, 2018


Short Term75,169,523 3.33%

Intl Equity442,041,254 19.56%




Real Estate125,182,253 5.54%


Fixed Income695,297,745 30.77%

Total Fund

Short Term1.00%

Intl Equity18.75%


Special Inv.10.00%


Real Estate5.00%


Fixed Income28.50%

Policy Index

$2,259,879,488

21


ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS (H) Insurance Plan CompositeAs of December 31, 2018


Short Term32,258,418 2.65%

Intl Equity239,561,287 19.69%




Real Estate68,679,105 5.64%


Fixed Income374,079,495 30.74%

Total Fund

Short Term1.00%

Intl Equity18.75%


Special Inv.10.00%


Real Estate5.00%


Fixed Income28.50%

Policy Index

$1,216,791,311

22


ACTUAL ALLOCATION VS POLICY ALLOCATIONSPRS Insurance Plan CompositeAs of December 31, 2018


Short Term2,959,254 1.62%

Intl Equity36,155,537 19.80%




Real Estate11,004,412 6.03%


Fixed Income57,371,564 31.42%

Total Fund

Short Term1.00%

Intl Equity18.75%


Special Inv.10.00%


Real Estate5.00%


Fixed Income28.50%

Policy Index

$182,610,895

23


PERFORMANCE COMPARISONKRS Insurance Plan CompositePeriods Ended December 31, 2018


-12%

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

Ω1 2

Ω1

2

Ω1

2Ω

12

Ω1

Ω1

Ω 1

Ω 1

Med

75th

95th

25th

5th

Ω KRS Insurance Plan1 KRS Allocation I2 KRS IPS Benchmar

5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds

1 Quarter 2 Quarters 3 Quarters 1 Year 2 Years 3 Years 5 Years 10 Years

-5.16 (19)-5.89 (25)-5.60 (21)

-2.43-5.89-7.51-8.97

-10.33150

-2.87 (18)-3.77 (30)-3.33 (23)

-0.18-3.38-4.85-5.71-7.38

149

-1.77 (17)-2.86 (36)-2.15 (23)

1.03-2.22-3.67-4.47-6.16

149

-1.06 (13)-2.99 (34)-2.13 (22)

1.66-2.22-4.05-5.07-6.70

147

7.49 (10)6.35 (24)

8.516.285.024.192.22142

8.03 ( 6)6.94 (24)

8.386.916.175.493.67137

5.85 (22)5.63 (30)

6.645.795.114.502.90131

8.88 (45)9.33 (22)

9.919.288.818.276.09119

*TUCS Total Ret of Master Trusts - Public Universe - Gross of Fees 24


RISK / RETURN ANALYSISKRS Insurance PlanFive Years Ending December 31, 2018


Annualiz

ed R

ate

of T

ota

l R

etu

rn

1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.00.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

Ω 1

Media

n

Ris

k

Median

Return

Historical Standard Deviation of Total Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

KRS Insurance Plan

KRS Allocation Index

Median

Ω1

5.85

5.63

5.11

22

30

5.31

5.53

5.87

68

59

*TUCS Total Returns of Master Trusts - Public Universe - Gross of Fees 25


CUMULATIVE SKILL ANALYSISKRS Insurance Plan CompositeFive Years Ending December 31, 2018


12/14 12/15 12/16 12/17 12/18-3.00

-2.50

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

Quarterly NOF Value Added vs. KRS Allocation Index 80% Confidence Band

Excess Return:

Excess Risk:

-0.44

0.80

Information Ratio:

T-Stat:

-0.54

-1.21

26


PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2018


Quarter 2 Quarters 3 Quarters 1 Year 3 Years 5 Years 10 Years Incept Date Incept Ret

KRS Insurance Plan

Net of Fee Return


Value Added

KRS IPS Benchmark

KERS Insurance Plan

Net of Fee Return

KERS Allocation Index

Value Added

KERS IPS Benchmark

Assumed Rate 6.25%

KERS (H) Insurance Plan

Net of Fee Return

KERS (H) Allocation Index

Value Added

KERS (H) IPS Benchmark

Assumed Rate 6.25%

CERS Insurance Plan

Net of Fee Return

CERS Allocation Index

Value Added

CERS IPS Benchmark

Assumed Rate 6.25%

-5.43

-5.89

0.46

-5.60

-6.15

-6.41

0.26

-5.58

1.53

-5.40

-5.76

0.36

-5.60

1.53

-5.29

-5.76

0.47

-5.60

1.53

-3.32

-3.77

0.45

-3.33

-4.14

-4.34

0.20

-3.33

3.08

-3.33

-3.63

0.30

-3.33

3.08

-3.17

-3.63

0.47

-3.33

3.08

-2.41

-2.86

0.45

-2.15

-3.52

-3.65

0.12

-2.31

4.65

-2.47

-2.70

0.23

-2.17

4.65

-2.21

-2.68

0.46

-2.14

4.65

-1.94

-2.99

1.04

-2.13

-3.41

-3.91

0.50

-2.44

6.25

-2.05

-2.86

0.80

-2.18

6.25

-1.69

-2.80

1.11

-2.12

6.25

7.25

6.94

0.30

6.54

6.59

-0.05

7.17

6.99

0.18

7.35

7.02

0.33

5.18

5.63

-0.45

4.60

5.25

-0.65

5.11

5.49

-0.38

5.27

5.51

-0.24

8.48

9.33

-0.85

8.15

9.17

-1.02

8.47

9.29

-0.82

8.54

9.30

-0.76

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

7.23

7.61

-0.38

7.13

7.56

-0.43

7.23

7.60

-0.37

7.25

7.60

-0.35

27





CERS (H) Insurance Plan

Net of Fee Return

CERS (H) Allocation Index

Value Added

CERS (H) IPS Benchmark

Assumed Rate 6.25%

SPRS Insurance Plan

Net of Fee Return

SPRS Allocation Index

Value Added

SPRS IPS Benchmark

Assumed Rate 6.25%

-5.28

-5.76

0.49

-5.60

1.53

-5.31

-5.76

0.45

-5.60

1.53

-3.13

-3.63

0.49

-3.32

3.08

-3.15

-3.63

0.48

-3.33

3.08

-2.15

-2.67

0.52

-2.13

4.65

-2.19

-2.71

0.52

-2.18

4.65

-1.59

-2.78

1.19

-2.10

6.25

-1.61

-2.83

1.22

-2.15

6.25

7.43

7.02

0.41

7.41

7.00

0.40

5.33

5.51

-0.18

5.31

5.50

-0.20

8.57

9.30

-0.73

8.56

9.30

-0.74

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

7.26

7.60

-0.34

7.25

7.60

-0.35

28





US Equity Composite

Net of Fee Return

Russell 3000

Value Added

Non-US Equity Composite

Net of Fee Return

Policy Index

Value Added

Core Fixed Composite

Net of Fee Return

Bloomberg Universal

Value Added

Opportunistic Fixed Composite

Net of Fee Return

Bloomberg High Yield

Value Added

Fixed Income Composite

Net of Fee Return

Policy Index

Value Added

Bloomberg Global Aggregate

Real Return Composite

Net of Fee Return

Real Return Index (I)

Value Added

-14.71

-14.30

-0.41

-12.49

-11.88

-0.61

0.93

1.17

-0.24

-0.99

-4.53

3.54

-0.23

-1.70

1.48

1.20

-3.60

-2.76

-0.84

-9.50

-8.20

-1.30

-11.92

-11.53

-0.38

1.01

-0.39

1.40

0.26

-3.14

-2.42

-0.71

-5.73

-4.63

-1.11

-13.60

-13.84

0.24

0.85

-0.02

0.87

-2.53

-3.06

-1.07

-1.99

-6.38

-5.24

-1.14

-13.53

-14.76

1.23

0.57

-1.14

1.71

-1.20

-3.38

-2.66

-0.73

8.58

8.97

-0.39

5.12

4.69

0.44

4.40

4.90

-0.51

2.70

4.40

2.56

1.84

7.10

7.91

-0.82

1.43

0.98

0.45

3.49

4.12

-0.63

1.08

2.08

1.42

0.66

12.36

13.18

-0.82

4.82

6.54

-1.72

5.06

5.20

-0.13

2.49

6/30/92

6/30/92

6/30/92

3/31/00

3/31/00

3/31/00

9/30/18

9/30/18

9/30/18

9/30/18

9/30/18

9/30/18

6/30/92

6/30/92

6/30/92

6/30/92

6/30/11

6/30/11

6/30/11

9.14

9.34

-0.20

1.67

1.95

-0.27

0.93

1.17

-0.24

-0.99

-4.53

3.54

6.22

6.16

0.06

4.94

2.75

2.10

0.65

29





Real Estate Composite

Net of Fee Return

NCREIF ODCE NOF 1 Quarter Lag

Value Added

Absolute Return Composite

Net of Fee Return

HFRI FOF Div (1 Month Lag)

Value Added

Private Equity Composite

Net of Fee Return

KRS Short Term PE Index

Value Added

Russell 3000 +3% Qtr Lag

Cash Composite

Net of Fee Return

91-Day Treasury Bill

Value Added

1.83

1.87

-0.04

-1.12

-3.16

2.03

3.63

3.63

0.00

7.91

0.60

0.57

0.03

4.55

3.71

0.84

-0.97

-2.81

1.84

8.17

8.17

0.00

12.94

1.10

1.06

0.04

6.66

5.76

0.90

-0.41

-2.39

1.97

13.15

13.15

-0.00

13.05

1.60

1.52

0.08

9.08

7.71

1.36

1.16

-0.97

2.12

18.19

18.19

-0.00

21.10

2.10

1.88

0.22

9.79

7.83

1.96

2.05

1.53

0.52

14.90

14.90

-0.00

21.33

1.32

1.02

0.30

9.16

9.71

-0.56

2.54

2.01

0.54

15.62

15.62

-0.00

17.61

0.87

0.63

0.24

13.89

13.89

-0.00

18.39

0.58

0.37

0.21

6/30/09

6/30/09

6/30/09

3/31/10

3/31/10

3/31/10

6/30/02

6/30/02

6/30/02

6/30/02

6/30/92

6/30/92

6/30/92

9.22

7.85

1.36

3.73

2.54

1.19

10.47

10.47

-0.00

11.42

2.65

2.62

0.04

30


CUSTOM BENCHMARK SPECIFICATIONKRS Insurance PlanDecember 31, 2018


Quarter Start Quarter End Percent Description


KRS IPS Benchmark

6/87

9/17

12/17

6/18

9/17

6/17

9/17

3/18

12/18

9/17

100.00

10.00

2.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

10.00

8.00

8.00

2.00

8.00

24.50

5.00

10.00

24.50

17.90

21.90

10.00

10.00

11.00

13.00

5.00

9.20

2.00

2.00


HFRI Diversified Index


KRS Short Term PE Benchmark




Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI Index ($G)



Bloomberg Universal



MSCI ACWI Ex USA IMI ($N)



Russell 3000

Russell 3000





Bloomberg Universal





31


CUSTOM BENCHMARK SPECIFICATIONKRS Insurance PlanDecember 31, 2018



KRS IPS Benchmark (cont.)

12/17

9/18

6/18

12/18

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

1.00

10.00

15.00

3.00

5.00

15.00

13.50

18.75

18.75





Bloomberg Universal



Russell 3000






Bloomberg Universal



Russell 3000







Bloomberg Universal


Russell 3000

32


CUSTOM BENCHMARK SPECIFICATIONKERS Insurance PlanDecember 31, 2018




KERS IPS Benchmark

6/87

9/17

12/17

6/18

9/17

6/17

9/17

3/18

12/18

9/17

100.00

10.00

26.50

26.50

6.00

6.00

8.00

5.00

10.00

2.00

10.00

8.00

8.00

2.00

8.00

24.50

5.00

10.00

24.50

19.50

23.50

10.00

10.00

11.00

13.00

5.00

6.00

2.00

2.00




Russell 3000

Bloomberg Universal




KERS Short Term PE Benchmark




Bloomberg Universal






Russell 3000

Russell 3000





Bloomberg Universal





33


CUSTOM BENCHMARK SPECIFICATIONKERS Insurance PlanDecember 31, 2018



KERS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/18

9/17

6/18

12/18

12/18

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

18.75

18.75

13.50

15.00

5.00

3.00

15.00

10.00

1.00

100.00





Bloomberg Universal



Russell 3000






Bloomberg Universal



Russell 3000

Russell 3000


Bloomberg Universal







Assumed Rate 6.25%

34


CUSTOM BENCHMARK SPECIFICATIONKERS (H) Insurance PlanDecember 31, 2018




KERS (H) IPS Benchmark

6/87

9/17

12/17

6/18

9/17

6/17

9/17

3/18

12/18

9/17

100.00

10.00

2.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

10.00

24.50

10.00

5.00

24.50

8.00

2.00

8.00

8.00

2.00

10.00

5.00

13.00

11.00

10.00

10.00

21.50

17.50

17.50




KERS (H) Short Term PE Benchmark




Bloomberg Universal

Russell 3000



Russell 3000






Bloomberg Universal





Bloomberg Universal





Russell 3000

Russell 3000

35


CUSTOM BENCHMARK SPECIFICATIONKERS (H) Insurance PlanDecember 31, 2018



KERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/18

9/17

6/18

12/18

12/18

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

18.75

18.75

15.00

5.00

3.00

15.00

10.00

1.00

13.50

100.00



Bloomberg Universal






Russell 3000



Bloomberg Universal






Russell 3000








Bloomberg Universal

Assumed Rate 6.25%

36


CUSTOM BENCHMARK SPECIFICATIONCERS Insurance PlanDecember 31, 2018




CERS IPS Benchmark

6/87

9/17

12/17

6/18

9/17

6/17

9/17

3/18

12/18

9/17

100.00

10.00

2.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

10.00

8.00

8.00

2.00

8.00

24.50

5.00

10.00

24.50

2.00

10.00

5.00

13.00

11.00

10.00

10.00

21.50

17.50

17.50




CERS Short Term PE Benchmark




Bloomberg Universal

Russell 3000




Bloomberg Universal






Russell 3000




Bloomberg Universal





Russell 3000

Russell 3000

37


CUSTOM BENCHMARK SPECIFICATIONCERS Insurance PlanDecember 31, 2018



CERS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/18

9/17

6/18

12/18

12/18

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

18.75

18.75

13.50

15.00

5.00

3.00

15.00

10.00

1.00

100.00



Bloomberg Universal











Bloomberg Universal



Russell 3000

Russell 3000


Bloomberg Universal







Assumed Rate 6.25%

38


CUSTOM BENCHMARK SPECIFICATIONCERS (H) Insurance PlanDecember 31, 2018




CERS (H) IPS Benchmark

6/87

9/17

12/17

6/18

9/17

6/17

9/17

3/18

12/18

9/17

100.00

10.00

2.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

10.00

24.50

10.00

5.00

24.50

8.00

2.00

8.00

8.00

2.00

10.00

5.00

13.00

11.00

10.00

10.00

21.50

17.50

17.50




CERS (H) Short Term PE Benchmark




Bloomberg Universal

Russell 3000



Russell 3000






Bloomberg Universal





Bloomberg Universal





Russell 3000

Russell 3000

39


CUSTOM BENCHMARK SPECIFICATIONCERS (H) Insurance PlanDecember 31, 2018



CERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/18

9/17

6/18

12/18

12/18

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

18.75

18.75

13.50

15.00

5.00

3.00

15.00

10.00

1.00

100.00



Bloomberg Universal






Russell 3000



Bloomberg Universal






Russell 3000


Bloomberg Universal







Assumed Rate 6.25%

40


CUSTOM BENCHMARK SPECIFICATIONSPRS Insurance PlanDecember 31, 2018




SPRS IPS Benchmark

6/87

9/17

12/17

6/18

9/17

6/17

9/17

3/18

12/18

9/17

100.00

10.00

26.50

6.00

6.00

8.00

5.00

10.00

2.00

26.50

10.00

24.50

10.00

5.00

24.50

8.00

2.00

8.00

8.00

2.00

10.00

5.00

13.00

11.00

10.00

10.00

21.50

17.50

17.50



Russell 3000

Bloomberg Universal




SPRS Short Term PE Benchmark




Russell 3000






Bloomberg Universal





Bloomberg Universal





Russell 3000

Russell 3000

41


CUSTOM BENCHMARK SPECIFICATIONSPRS Insurance PlanDecember 31, 2018



SPRS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/18

9/17

6/18

12/18

12/18

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

17.50

17.50

24.00

4.00

10.00

5.00

10.00

10.00

2.00

18.75

18.75

13.50

15.00

5.00

3.00

15.00

10.00

1.00

100.00



Bloomberg Universal






Russell 3000



Bloomberg Universal






Russell 3000


Bloomberg Universal







Assumed Rate 6.25%

42

US EQUITY US EQUITY


MANAGER ALLOCATIONUS Equity CompositeAs of December 31, 2018


Internal US Mid Cap$58,672,698 6.79%

NTGI Structured$70,721,781 8.18%

Systematic$89,290,329 10.33%

Transition Account$6,761 0.00%

Scientific Beta$114,190,217 13.21%

S&P 500 Index$417,328,093 48.30%

Westfield Capital$54,347,140 6.29%

River Road FAV$51,878,069 6.00%

River Road$7,671,861 0.89%

44


PERFORMANCE COMPARISONUS Equity CompositePeriods Ended December 31, 2018


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

1

1 1

1

11

1

Med75th

95th

25th 5th

US Equity Composite1 Russell 3000



-14.68 (52)-14.30 (39)

-12.30-13.80-14.64-15.91-19.44

142

-9.45 (54)-8.20 (27)

-6.07-8.14-9.25

-10.89-15.71

141

-5.66 (50)-4.63 (27)

-2.96-4.59-5.66-8.04

-11.14138

-6.28 (52)-5.24 (32)

-1.25-5.07-6.26-8.68

-12.73134

5.77 (68)7.14 (31)

8.857.396.335.030.89121

8.69 (40)8.97 (25)

9.609.008.407.274.13117

7.21 (47)7.91 (23)

8.887.856.926.333.70108

12.46 (75)13.18 (43)

14.7313.3613.0912.4610.68

80

*TUCS Total Ret of US Equity Investment Pools Universe - Gross of Fees 45


CUMULATIVE SKILL ANALYSISUS Equity CompositeFive Years Ending December 31, 2018


12/14 12/15 12/16 12/17 12/18-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

Quarterly NOF Value Added vs. Russell 3000 80% Confidence Band

Excess Return:

Excess Risk:

-0.76

1.07

Information Ratio:

T-Stat:

-0.71

-1.59

46





S&P 500 Index

Net of Fee Return

Standard & Poor’s 500

Value Added

Scientific Beta

Net of Fee Return

Standard & Poor’s 500

Value Added

River Road

Net of Fee Return

Russell 3000 Value

Value Added

River Road FAV

Net of Fee Return

Russell 3000 Value

Value Added

Westfield Capital

Net of Fee Return

Russell 3000 Growth

Value Added

Systematic

Net of Fee Return

Russell Mid Cap Value

Value Added

-13.38

-13.52

0.14

-12.69

-13.52

0.83

-12.56

-12.24

-0.32

-16.67

-16.33

-0.34

-18.93

-14.95

-3.98

-6.87

-6.85

-0.02

-7.96

-6.85

-1.11

-6.90

-7.51

0.61

-9.98

-8.90

-1.08

-16.48

-12.15

-4.33

-3.40

-3.65

0.25

-5.86

-3.65

-2.21

-2.95

-5.92

2.98

-5.95

-3.55

-2.40

-13.75

-10.04

-3.71

-4.10

-4.38

0.28

-5.61

-4.38

-1.23

-2.85

-8.58

5.72

-3.33

-2.12

-1.21

-16.57

-12.29

-4.28

9.35

9.26

0.09

8.14

10.85

-2.72

5.05

6.06

-1.01

8.55

8.50

0.06

7.06

9.99

-2.93

2.93

5.44

-2.51

13.29

13.12

0.18

6/30/01

6/30/01

6/30/01

6/30/16

6/30/16

6/30/16

6/30/11

6/30/11

6/30/11

6/30/16

6/30/16

6/30/16

6/30/11

6/30/11

6/30/11

6/30/12

6/30/12

6/30/12

6.75

6.29

0.46

6.47

9.55

-3.08

10.51

5.85

4.66

10.64

12.24

-1.60

8.46

10.49

-2.03

47





Internal US Mid Cap

Net of Fee Return

S&P 400 Mid Cap

Value Added

NTGI Structured

Net of Fee Return

Russell 2000

Value Added

US Equity Composite

Net of Fee Return

Russell 3000

Value Added

-16.99

-17.28

0.29

-18.35

-20.20

1.85

-14.71

-14.30

-0.41

-13.65

-14.08

0.43

-15.20

-17.35

2.14

-9.50

-8.20

-1.30

-9.24

-10.39

1.16

-8.67

-10.94

2.27

-5.73

-4.63

-1.11

-9.78

-11.08

1.31

-8.78

-11.01

2.23

-6.38

-5.24

-1.14

8.37

7.66

0.71

8.19

7.36

0.83

8.58

8.97

-0.39

5.33

4.41

0.92

7.10

7.91

-0.82

12.36

13.18

-0.82

9/30/14

9/30/14

9/30/14

6/30/11

6/30/11

6/30/11

6/30/92

6/30/92

6/30/92

6.76

6.34

0.42

9.34

8.22

1.12

9.14

9.34

-0.20

48


INVESTMENT MANAGER ANALYSISS&P 500 IndexDecember 31, 2018


Cumulative Skill Analysis vs Benchmark

12/14 12/15 12/16 12/17 12/18

-0.70

-0.60

-0.50

-0.40

-0.30

-0.20

-0.10

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

Quarterly NOF Value Added vs. Standard & Poor’s 500 80% Confidence Band

Excess Return:

Excess Risk:

0.05

0.20

Information Ratio:

T-Stat:

0.27

0.61

Value-Added Analysis vs Benchmark

6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

0.4%

-0.04-0.02-0.01

0.020.01

-0.01

0.040.04

-0.08-0.08-0.04

-0.08

0.17

0.05

-0.01

0.030.03

0.29

-0.2

0.14

Cumulative Value Added

Quarterly NOF Value Added vs. Standard & Poor’s 500

Performance Comparison vs Peer Universe*

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

⊕ 1

⊕ 1

⊕ 1 ⊕ 1

⊕ 1⊕ 1 ⊕ 1

⊕ 1

Med75th95th

25th

5th

⊕ S&P 500 Index 1 Standard & Poo

MedianNumber of Funds


-13.38 (33)-13.52 (37)

-14.18119

-6.87 (38)-6.85 (38)

-7.99119

-3.40 (27)-3.65 (28)

-5.30119

-4.10 (31)-4.38 (36)

-5.49119

8.21 (31)7.93 (36)

7.23118

9.35 (22)9.26 (24)

8.25117

8.56 (19)8.50 (21)

7.79114

13.30 (33)13.12 (37)

12.8299

*Compass Total Returns of Active Large Core Equity Portfolios Universe - Gross of Fees 49


INVESTMENT MANAGER ANALYSISScientific BetaDecember 31, 2018



12/16 6/17 12/17 6/18 12/18

-9.0%

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

-2.77

-1.08-0.67

0.42

-1.45

-0.52

1.03

-1.16

-2.28

0.83


Quarterly NOF Value Added vs. Standard & Poor’s 500


-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

1

1 1

11 1

1

Med75th95th

25th

5th

Scientific Bet 1 Standard & Poo



-12.69 (25)-13.52 (37)

-14.18119

-7.96 (49)-6.85 (38)

-7.99119

-5.86 (58)-3.65 (28)

-5.30119

-5.61 (52)-4.38 (36)

-5.49119

6.12 (71)7.93 (36)

7.23118

9.26 (24)

8.25117

8.50 (21)

7.79114

13.12 (37)

12.8299

*Compass Total Returns of Active Large Core Equity Portfolios Universe - Gross of Fees 50


INVESTMENT MANAGER ANALYSISRiver Road FAVDecember 31, 2018



12/16 6/17 12/17 6/18 12/18

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

4.66

1.86

-0.32

2.47

0.30

-3.93

2.912.53

1.09

-0.32


Quarterly NOF Value Added vs. Russell 3000 Value


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

11

1

1

Med75th

95th

25th

5th

River Road FAV 1 Russell 3000 V



-12.35 (33)-12.24 (33)

-15.2962

-6.80 (29)-7.51 (32)

-10.0362

-2.73 (24)-5.92 (40)

-8.1862

-2.52 ( 9)-8.58 (43)

-10.0562

4.41 (32)1.73 (53)

2.1162

6.5262

4.9857

12.1050

*Compass Total Returns of Active Combination Value Equity Portfolios Universe - Gross of Fees 51


INVESTMENT MANAGER ANALYSISWestfield CapitalDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

Quarterly NOF Value Added vs. Russell 3000 Growth 80% Confidence Band

Excess Return:

Excess Risk:

-2.66

3.29

Information Ratio:

T-Stat:

-0.81

-1.81


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-14.0%

-12.0%

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

0.63

-0.24

-1.73

1.79

0.32

-2.04

-3.34

-1.1

-3.54

-2.37

1.66

-1.52

1.840.77

-0.36

-2.5

1.30

-1.4-0.85

-0.34


Quarterly NOF Value Added vs. Russell 3000 Growth


-30%

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

30%

∞1

∞1∞1 ∞1

∞1

∞1∞1

Med75th

95th

25th 5th

∞ Westfield Capi 1 Russell 3000 G



-16.54 (52)-16.33 (45)

-16.5248

-9.72 (45)-8.90 (33)

-10.2848

-5.54 (56)-3.55 (39)

-4.9848

-2.75 (52)-2.12 (49)

-2.5348

12.40 (35)12.62 (35)

9.9248

8.74 (46)10.85 (25)

8.5547

7.66 (43)9.99 (17)

6.9746

14.7140

*Compass Total Returns of Active Combination Growth Equity Portfolios Universe - Gross of Fees 52


INVESTMENT MANAGER ANALYSISSystematicDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

Quarterly NOF Value Added vs. Russell Mid Cap Value 80% Confidence Band

Excess Return:

Excess Risk:

-2.38

5.14

Information Ratio:

T-Stat:

-0.46

-1.04


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-16.0%

-14.0%

-12.0%

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

-2.68

-1.13-1.81

-3.4

0.670.16

-3.35

2.63

-3.15-2.79

1.39

4.92

-2.44-1.61

3.682.62

-0.76

0.86

-0.27

-3.98


Quarterly NOF Value Added vs. Russell Mid Cap Value


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

⊗1 ⊗

1 ⊗1

⊗1

⊗ 1

⊗ 1⊗ 1

Med75th

95th

25th

5th

⊗ Systematic 1 Russell Mid Ca



-18.83 (81)-14.95 (36)

-16.3372

-16.30 (73)-12.15 (34)

-13.4472

-13.46 (72)-10.04 (36)

-11.8272

-16.22 (79)-12.29 (43)

-13.2972

-1.38 (72)-0.29 (54)

0.0772

5.45 (66)6.06 (58)

6.4172

3.33 (80)5.44 (47)

5.4171

13.1666

*Compass Total Returns of Active Midcap Value Equity Portfolios Universe - Gross of Fees 53


INVESTMENT MANAGER ANALYSISInternal US Mid CapDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

Quarterly NOF Value Added vs. S&P 400 Mid Cap 80% Confidence Band

Excess Return:

Excess Risk:

0.66

0.53

Information Ratio:

T-Stat:

1.25

2.16


12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

2.0%

-0.06-0.07-0.01

-0.07-0.07

0.50

0.03

-0.11-0.12

0.08

-0.01

0.010.140.18

0.82

0.150.29


Quarterly NOF Value Added vs. S&P 400 Mid Cap


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

1

1 1

1

1

Med75th95th

25th

5th

Internal US Mi 1 S&P 400 Mid Ca



-16.99 (62)-17.28 (66)

-16.3745

-13.65 (62)-14.08 (66)

-12.8845

-9.24 (44)-10.39 (59)

-9.5145

-9.78 (37)-11.08 (46)

-11.2845

2.52 (51)1.67 (59)

2.5545

8.37 (28)7.66 (33)

6.6945

5.5044

14.4136

*Compass Total Returns of Active Midcap Core Equity Portfolios Universe - Gross of Fees 54


INVESTMENT MANAGER ANALYSISNTGI StructuredDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

Quarterly NOF Value Added vs. Russell 2000 80% Confidence Band

Excess Return:

Excess Risk:

0.88

1.71

Information Ratio:

T-Stat:

0.51

1.15


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

0.08

-0.04

1.06

-0.34

0.15

-0.06

0.90

0.09

1.82

-0.43

-1.95

0.22

-0.02

0.09

-0.25

0.19

-0.04-0.05

0.28

1.85


Quarterly NOF Value Added vs. Russell 2000


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1

1

1 1

1

1

1

Med75th95th

25th

5th

NTGI Structure 1 Russell 2000



-18.36 (27)-20.20 (58)

-19.72104

-15.16 (36)-17.35 (59)

-16.64104

-8.64 (34)-10.94 (50)

-10.91104

-8.71 (31)-11.01 (52)

-10.73104

2.39 (38)1.00 (55)

1.38103

8.32 (32)7.36 (49)

7.31102

5.45 (46)4.41 (67)

5.3099

13.6188

*Compass Total Returns of Active Small Cap Core Equity Portfolios Universe - Gross of Fees 55


CUSTOM BENCHMARK SPECIFICATIONUS Equity CompositeDecember 31, 2018



Russell 3000 6/84 12/18 100.00 Russell 3000

56

NON-US EQUITYNON-US EQUITY


MANAGER ALLOCATIONNon-US Equity CompositeAs of December 31, 2018


American Century$129,091,225 13.04%

Blackrock ACWI Ex-US Small Cap$31,187,526 3.15%

Non-US Equity Transition$332,591 0.03%

Lazard Asset Mgmt$181,252,542 18.30%

LSV Asset Mgmt$157,280,877 15.88%

Pyramis Intl$742,513 0.07%

BlackRock ACWI Ex US$398,239,064 40.22%

Franklin Templeton$91,950,235 9.29%

Boston Company$136,708 0.01%

58


PERFORMANCE COMPARISONNon-US Equity CompositePeriods Ended December 31, 2018


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

1 1

11

1 1

1

1

Med75th95th

25th

5th

Non-US Equity Composite 1 Policy Index



-12.47 (67)-11.88 (37)

-6.40-11.21-12.40-12.71-14.75

87

-11.83 (50)-11.53 (42)

-0.97-10.72-11.83-13.31-15.03

86

-13.45 (33)-13.84 (36)

-1.60-13.09-14.26-15.50-19.09

84

-13.31 (21)-14.76 (56)

-5.36-13.68-14.65-15.85-19.78

81

5.95 (22)4.58 (53)

8.625.824.713.442.28

76

5.38 (28)4.69 (39)

7.185.524.453.242.09

75

1.67 (36)0.98 (57)

3.162.041.120.00

-1.1270

6.70 (66)6.54 (77)

10.187.807.026.574.91

49

*TUCS Total Ret of Non-US Equity Investment Pools Universe - Gross of Fees 59


CUMULATIVE SKILL ANALYSISNon-US Equity CompositeFive Years Ending December 31, 2018


12/14 12/15 12/16 12/17 12/18-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

Quarterly NOF Value Added vs. Policy Index 80% Confidence Band

Excess Return:

Excess Risk:

0.45

1.27

Information Ratio:

T-Stat:

0.35

0.79

60





BlackRock ACWI Ex US

Net of Fee Return

MSCI ACWI X US (N)

Value Added

American Century

Net of Fee Return

Policy Index

Value Added

Franklin Templeton

Net of Fee Return

Policy Index

Value Added

Lazard Asset Mgmt

Net of Fee Return

Policy Index

Value Added

LSV Asset Mgmt

Net of Fee Return

Policy Index

Value Added

Blackrock ACWI Ex-US Small Cap

Net of Fee Return

MSCI ACWI X US Small Cap (N)

Value Added

-11.46

-11.46

0.01

-15.52

-11.88

-3.64

-17.65

-11.88

-5.78

-10.69

-11.88

1.19

-11.09

-11.88

0.79

-14.47

-14.43

-0.05

-10.84

-10.84

0.00

-15.88

-11.53

-4.35

-19.46

-11.53

-7.93

-10.08

-11.53

1.46

-7.81

-11.53

3.73

-15.46

-15.72

0.26

-12.98

-13.17

0.19

-15.20

-13.84

-1.36

-16.44

-13.84

-2.60

-13.31

-13.84

0.53

-12.10

-13.84

1.75

-17.67

-17.91

0.24

-14.16

-14.20

0.03

-12.55

-14.76

2.21

-14.47

-14.76

0.29

-11.92

-14.76

2.84

-13.14

-14.76

1.62

-18.16

-18.20

0.04

4.84

4.48

0.37

4.03

4.63

-0.60

6.14

4.63

1.51

4.18

4.63

-0.46

5.23

4.63

0.60

3.85

3.82

0.03

0.89

0.68

0.22

2.05

1.96

0.10

6/30/12

6/30/12

6/30/12

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/14

6/30/13

6/30/13

6/30/13

4.88

4.79

0.09

1.05

-0.23

1.28

2.47

-0.23

2.70

1.06

-0.23

1.29

0.12

-0.23

0.35

5.33

4.82

0.51

61





Non-US Equity Composite

Net of Fee Return

Policy Index

Value Added

-12.49

-11.88

-0.61

-11.92

-11.53

-0.38

-13.60

-13.84

0.24

-13.53

-14.76

1.23

5.12

4.69

0.44

1.43

0.98

0.45

4.82

6.54

-1.72

3/31/00

3/31/00

3/31/00

1.67

1.95

-0.27

62


INVESTMENT MANAGER ANALYSISBlackRock ACWI Ex USDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

Quarterly NOF Value Added vs. MSCI ACWI X US (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.22

0.43

Information Ratio:

T-Stat:

0.51

1.14


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

1.0%

1.1%

1.2%

-0.02

0.000.000.00

-0.03

0.020.05

-0.02

0.90

0.04

-0.02-0.02

0.050.02

-0.01

0.06

-0.18

0.21

0.000.01


Quarterly NOF Value Added vs. MSCI ACWI X US (N)


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

1 11

1

1 1

1

Med

75th

95th

25th

5th

BlackRock ACWI 1 MSCI ACWI X US



-11.46 (46)-11.46 (46)

-11.752532

-10.84 (33)-10.84 (33)

-12.212485

-12.98 (18)-13.17 (20)

-16.572447

-14.16 (27)-14.20 (28)

-16.302408

4.55 (44)4.47 (45)

4.092220

4.84 (40)4.48 (44)

3.792050

0.89 (43)0.68 (48)

0.601588

6.85957

Five Year Risk/Return Analysis vs Peer Universe*

4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0

-5.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

1

Media

n

Ris

k

Median

Return

Description Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

BlackRock ACWI Ex US

MSCI ACWI X US (N)

Median

1

0.89

0.68

0.60

43

48

11.09

11.10

12.83

82

82

*Lipper Total Returns of International Equity Mutual Funds Universe - Net of Fees 63


INVESTMENT MANAGER ANALYSISAmerican CenturyDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00


Excess Return:

Excess Risk:

-0.57

6.22

Information Ratio:

T-Stat:

-0.09

-0.16


12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

1.950.870.51

-1.85

2.443.27

-2.78-2.69

0.56

-4.22

-1.4

2.22

4.64

0.10

4.193.42

-0.82

-3.64


Quarterly NOF Value Added vs. Policy Index


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1 11 1

1 1

Med75th

95th

25th

5th

American Centu 1 Policy Index



-15.42 (79)-11.88 (45)

-12.391188

-15.69 (83)-11.53 (51)

-11.391182

-14.92 (62)-13.84 (54)

-13.261180

-12.19 (39)-14.76 (61)

-13.571177

8.98 (19)4.44 (60)

5.311156

4.46 (64)4.63 (62)

5.671131

3.011010

9.65685

*Compass Total Returns of International Equity Portfolios Universe - Gross of Fees 64


INVESTMENT MANAGER ANALYSISFranklin TempletonDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

30.00


Excess Return:

Excess Risk:

1.44

7.25

Information Ratio:

T-Stat:

0.20

0.35


12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

-1.55

3.31

0.360.842.002.67

0.57

-1.82

0.86

-3.22

3.78

-0.13

4.06

0.71

3.43

6.36

-2.59

-5.78




-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1 11 1

1 1

Med75th

95th

25th

5th

Franklin Templ 1 Policy Index



-17.56 (92)-11.88 (45)

-12.391188

-19.28 (94)-11.53 (51)

-11.391182

-16.16 (71)-13.84 (54)

-13.261180

-14.09 (54)-14.76 (61)

-13.571177

9.18 (17)4.44 (60)

5.311156

6.59 (39)4.63 (62)

5.671131

3.011010

9.65685



INVESTMENT MANAGER ANALYSISLazard Asset MgmtDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00


Excess Return:

Excess Risk:

-0.44

3.16

Information Ratio:

T-Stat:

-0.14

-0.24


12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

-0.15

2.41

0.56

1.901.37

0.870.18

-0.07

-2.36-2.51

-1.72

1.20

-0.74

1.36

2.67

-0.99

0.30

1.19




-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

1 11 1

1 1

Med75th

95th

25th

5th

Lazard Asset M 1 Policy Index



-10.69 (35)-11.88 (45)

-12.391188

-9.97 (34)-11.53 (51)

-11.391182

-13.12 (49)-13.84 (54)

-13.261180

-11.66 (36)-14.76 (61)

-13.571177

6.50 (37)4.44 (60)

5.311156

4.44 (64)4.63 (62)

5.671131

3.011010

9.65685



INVESTMENT MANAGER ANALYSISLSV Asset MgmtDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-14.00

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00


Excess Return:

Excess Risk:

0.57

4.05

Information Ratio:

T-Stat:

0.14

0.24


12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

-0.92

1.54

0.100.31

1.29

-2.68

-0.36

-3.19

1.92

3.51

0.25

-0.56

-1.77

0.16

-0.12

-2.04

3.31

0.79




-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

⊕ 1

⊕1 ⊕

1 ⊕1

⊕ 1⊕

1

Med75th

95th

25th

5th

⊕ LSV Asset Mgmt 1 Policy Index



-11.08 (37)-11.88 (45)

-12.391188

-7.68 (20)-11.53 (51)

-11.391182

-11.82 (40)-13.84 (54)

-13.261180

-12.73 (43)-14.76 (61)

-13.571177

5.03 (53)4.44 (60)

5.311156

5.79 (48)4.63 (62)

5.671131

3.011010

9.65685



INVESTMENT MANAGER ANALYSISBlackrock ACWI Ex-US Small CapDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-1.20

-1.00

-0.80

-0.60

-0.40

-0.20

-0.00

0.20

0.40

0.60

0.80

1.00

1.20

Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.09

0.31

Information Ratio:

T-Stat:

0.30

0.68


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

-0.1

0.07

-0.02

0.18

0.050.04

-0.07

0.24

-0.31

0.090.14

-0.06

0.17

0.00

-0.01

0.05

-0.24

-0.02

0.36

-0.05


Quarterly NOF Value Added vs. MSCI ACWI X US Small Cap (N)


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

11

1 1

1 11

Med75th95th

25th 5th

Blackrock ACWI 1 MSCI ACWI X US



-14.47 (37)-14.43 (35)

-14.8565

-15.46 (39)-15.72 (39)

-16.9864

-17.67 (40)-17.91 (45)

-18.1163

-18.16 (39)-18.20 (39)

-18.8463

3.89 (28)3.77 (28)

2.5660

3.85 (28)3.82 (28)

2.4352

2.05 (25)1.96 (27)

1.0444

9.3227

Five Year Risk/Return Analysis vs Peer Universe*

10.0 11.0 12.0 13.0 14.0 15.0

-4.0

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

1

Media

n

Ris

k

Median

Return

Description Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

Blackrock ACWI Ex-US Small Cap

MSCI ACWI X US Small Cap (N)

Median

1

2.05

1.96

1.04

25

27

12.56

12.48

12.94

54

56

*Lipper Total Returns of Intl Equity Small/Mid Core Mutual Funds Universe - Net of Fees 68


CUSTOM BENCHMARK SPECIFICATIONNon-US Equity CompositeDecember 31, 2018



Policy Index 6/00

9/17

12/17

6/17

9/17

12/18

100.00

100.00

100.00

Blended Non-US Benchmark



69

FIXED INCOME FIXED INCOME


MANAGER ALLOCATIONFixed Income CompositeAs of December 31, 2018


Core Fixed Composite$804,291,091 51.73%

Opportunistic Fixed Composite$750,451,660 48.27%

71


MANAGER ALLOCATIONCore Fixed CompositeAs of December 31, 2018


Lord Abbett$210,210,197 26.14%

NISA$233,548,591 29.04%

BlackRock IG Credit$6,328 0.00%

BNY IG Credit$360,525,976 44.83%

72


MANAGER ALLOCATIONOpportunistic Fixed CompositeAs of December 31, 2018


Arrowmark$48,898,446 6.52%

BSP Private Credit$24,861,342 3.31%

Marathon Bluegrass$132,496,874 17.66%

Waterfall$83,979,138 11.19%

White Oak Yield Spectrum$36,378,371 4.85%

Loomis$41,491 0.01%

Shenkman Capital$113,501,771 15.12%

Manulife Asset Mgmt$187,792,817 25.02%

Columbia$85,014,771 11.33%

Cerberus Capital Mgmt$37,486,638 5.00%

73


PERFORMANCE COMPARISONFixed Income CompositePeriods Ended December 31, 2018


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

1

11

1

1

1

1

1

Med

75th

95th

25th

5th

Fixed Income Composite 1 Policy Index



-0.13 (57)-1.68 (89)

2.561.340.44

-0.69-3.41

137

1.24 (44)-0.37 (83)

4.571.640.90

-0.16-1.57

135

1.16 (45)0.01 (62)

5.381.700.86

-0.92-2.55

132

1.12 (21)-1.12 (71)

9.100.99

-0.01-1.55-5.56

126

3.10 (20)2.27 (47)

4.022.932.242.031.54100

5.11 (11)4.91 (14)

6.814.133.222.471.41

95

4.06 (15)4.13 (13)

5.773.852.982.421.88

89

5.46 (31)5.20 (35)

7.885.634.744.153.13

59

*TUCS Total Ret of Fixed Income Investment Pools Universe - Gross of Fees 74


CUMULATIVE SKILL ANALYSISFixed Income CompositeFive Years Ending December 31, 2018


12/14 12/15 12/16 12/17 12/18-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00


Excess Return:

Excess Risk:

-0.61

1.49

Information Ratio:

T-Stat:

-0.41

-0.91

75





BNY IG Credit

Net of Fee Return

Bloomberg Int Credit

Value Added

Lord Abbett

Net of Fee Return

10Bloomberg Aggregate

Value Added

NISA

Net of Fee Return

Bloomberg Aggregate

Value Added

Core Fixed Composite

Net of Fee Return

Bloomberg Universal

Value Added

Arrowmark

Net of Fee Return

S&P LSTA Leverage Loan Index

Value Added

BSP Private Credit

Net of Fee Return


Value Added

0.75

0.75

-0.00

0.54

1.64

-1.10

1.57

1.64

-0.06

0.93

1.17

-0.24

2.17

-3.45

5.63

2.42

-3.45

5.87

1.49

1.48

0.01

1.54

1.66

-0.12

4.81

-1.68

6.49

2.79

-1.68

4.47

1.48

1.40

0.08

1.34

1.49

-0.16

2.49

-0.99

3.48

0.04

0.01

0.03

-0.09

0.01

-0.11

2.22

2.06

0.16

2.70

2.52

0.18

12/31/17

12/31/17

12/31/17

9/30/18

9/30/18

9/30/18

6/30/11

6/30/11

6/30/11

9/30/18

9/30/18

9/30/18

6/30/18

6/30/18

6/30/18

3/31/18

3/31/18

3/31/18

0.04

0.01

0.03

0.54

1.64

-1.10

2.76

2.62

0.14

0.93

1.17

-0.24

4.81

-1.68

6.49

2.49

-0.99

3.48

76





Cerberus Capital Mgmt

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Columbia

Net of Fee Return


Value Added

Manulife Asset Mgmt

Net of Fee Return

Policy Index

Value Added

Marathon Bluegrass

Net of Fee Return


Value Added

Shenkman Capital

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Waterfall

Net of Fee Return

Policy Index

Value Added

2.74

-3.45

6.20

-4.65

-4.53

-0.12

-1.27

1.17

-2.44

0.09

-4.53

4.62

-3.09

-3.45

0.37

0.84

-2.67

3.51

5.50

-1.68

7.18

-1.82

-2.24

0.42

-0.45

1.44

-1.89

3.41

-2.24

5.65

-1.15

-1.68

0.53

2.62

-0.97

3.59

7.23

-0.99

8.22

-1.50

-1.24

-0.27

-2.06

1.17

-3.23

3.60

-1.24

4.84

-0.90

-0.99

0.09

4.14

-0.07

4.21

9.79

0.44

9.35

-3.07

-2.08

-0.98

-2.48

-0.25

-2.22

5.01

-2.08

7.09

0.58

0.44

0.14

7.32

-0.31

7.63

8.62

4.83

3.78

5.21

7.23

-2.02

2.06

2.56

-0.50

7.40

7.23

0.17

4.13

4.83

-0.70

9.29

5.54

3.75

3.96

3.83

0.13

1.96

0.95

1.02

2.11

3.33

-1.22

7.89

3.16

4.73

9/30/14

9/30/14

9/30/14

12/31/11

12/31/11

12/31/11

12/31/11

12/31/11

12/31/11

12/31/15

12/31/15

12/31/15

6/30/11

6/30/11

6/30/11

6/30/11

6/30/11

6/30/11

8.54

3.10

5.45

5.90

5.98

-0.08

3.38

1.04

2.34

7.40

7.23

0.17

3.54

4.66

-1.11

9.93

4.05

5.88

77





White Oak Yield Spectrum

Net of Fee Return


Value Added

Opportunistic Fixed Composite

Net of Fee Return


Value Added

Fixed Income Composite

Net of Fee Return

Policy Index

Value Added


1.17

-3.45

4.62

-0.99

-4.53

3.54

-0.23

-1.70

1.48

1.20

2.41

-1.68

4.09

1.01

-0.39

1.40

0.26

2.76

-0.99

3.75

0.85

-0.02

0.87

-2.53

0.57

-1.14

1.71

-1.20

4.40

4.90

-0.51

2.70

3.49

4.12

-0.63

1.08

5.06

5.20

-0.13

2.49

3/31/18

3/31/18

3/31/18

9/30/18

9/30/18

9/30/18

6/30/92

6/30/92

6/30/92

6/30/92

2.76

-0.99

3.75

-0.99

-4.53

3.54

6.22

6.16

0.06

4.94

78


INVESTMENT MANAGER ANALYSISNISADecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-0.60

-0.50

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

0.50

0.60

Quarterly NOF Value Added vs. Bloomberg Aggregate 80% Confidence Band

Excess Return:

Excess Risk:

0.18

0.16

Information Ratio:

T-Stat:

1.10

2.46


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.2%

-0.1%

0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

1.0%

1.1%

1.2%

0.080.010.03

0.070.030.03

0.070.09

0.30

0.050.04

-0.08

0.020.06

0.100.090.05

-0.04-0.05-0.06


Quarterly NOF Value Added vs. Bloomberg Aggregate


-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

∞1 ∞1 ∞1

∞1

∞1∞1

∞1

Med75th95th

25th 5th

∞ NISA 1 Bloomberg Aggr



1.61 (17)1.64 (14)

1.23335

1.61 (42)1.65 (37)

1.56334

1.43 (66)1.49 (61)

1.64331

0.03 (68)0.01 (69)

0.53331

1.99 (40)1.76 (63)

1.91329

2.41 (41)2.06 (62)

2.26325

2.87 (35)2.52 (55)

2.64313

4.01271

*Compass Total Returns of Active Core Fixed Income Portfolios Universe - Gross of Fees 79


INVESTMENT MANAGER ANALYSISBNY IG CreditDecember 31, 2018



6/18 12/18

-0.2%

-0.1%

0.0%

0.1%

0.2%

-0.05

0.07

0.010.00


Quarterly NOF Value Added vs. Bloomberg Int Credit


-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

11 1

1

Med

75th

95th

25th 5th

BNY IG Credit 1 Bloomberg Int



0.76 (57)0.75 (57)

1.06353

1.50 (50)1.48 (50)

1.50353

1.49 (57)1.40 (59)

1.75350

0.05 (65)0.01 (65)

0.79350

2.14348

2.37346

2.73329

4.62288

*Compass Total Returns of Active Intermediate Fixed Income Portfolios Universe - Gross of Fees 80


INVESTMENT MANAGER ANALYSISManulife Asset MgmtDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00


Excess Return:

Excess Risk:

1.01

2.68

Information Ratio:

T-Stat:

0.38

0.84


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-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%

-0.61-0.79

2.35

1.62

3.54

-0.22-0.53

1.02

-0.38-0.61

0.03

1.35

0.340.16

-0.02-0.13

0.98

-1.35

0.56

-2.44




-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

⊕

1

⊕1

⊕

1

⊕1

⊕ 1 ⊕ 1 ⊕1

Med

75th

95th

25th 5th

⊕ Manulife Asset 1 Policy Index



-1.23 (62)1.17 (18)

-0.64193

-0.33 (51)1.44 ( 9)

-0.26191

-1.90 (47)1.17 (12)

-2.27191

-2.24 (58)-0.25 (24)

-1.76190

1.19 (94)1.89 (81)

2.88187

2.33 (88)2.56 (83)

3.72181

2.24 (58)0.95 (91)

2.78172

4.9192

*Compass Total Returns of Active Global Intl Fixed Portfolios Universe - Gross of Fees 81


INVESTMENT MANAGER ANALYSISColumbiaDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

Quarterly NOF Value Added vs. Bloomberg High Yield 80% Confidence Band

Excess Return:

Excess Risk:

0.13

2.09

Information Ratio:

T-Stat:

0.06

0.13


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

0.21

-0.13

0.08

1.78

0.46

-0.1

1.812.14

-0.12

-2.45

-0.94-0.96-0.53

0.180.17

-0.21-0.73-0.7

0.56

-0.12


Quarterly NOF Value Added vs. Bloomberg High Yield


-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

1

11

1

1

1

1

Med75th95th

25th

5th

Columbia 1 Bloomberg High



-4.49 (69)-4.53 (70)

-3.94182

-1.70 (46)-2.24 (70)

-1.79182

-1.29 (66)-1.24 (63)

-1.02182

-2.78 (87)-2.08 (71)

-0.77182

2.22 (78)2.60 (56)

2.70179

5.57 (61)7.23 (24)

6.21176

4.32 (21)3.83 (36)

3.67165

9.89108

*Compass Total Returns of Active High Yield Fixed Income Portfolios Universe - Gross of Fees 82


INVESTMENT MANAGER ANALYSISMarathon BluegrassDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

Quarterly NOF Value Added vs. Bloomberg High Yield 80% Confidence Band

Excess Return:

Excess Risk:

0.15

5.29

Information Ratio:

T-Stat:

0.03

0.05


6/16 12/16 6/17 12/17 6/18 12/18

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

-3.35

-1.04-0.41

4.64

-2.08-1.7

-2.85

0.24

2.21

-0.84

0.91

4.62


Quarterly NOF Value Added vs. Bloomberg High Yield


-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

⊗

1

⊗

1

⊗

1

⊗

1

⊗1

⊗1

Med75th95th

25th

5th

⊗ Marathon Blueg 1 Bloomberg High



0.32 ( 5)-4.53 (70)

-3.94182

4.47 ( 1)-2.24 (70)

-1.79182

4.92 ( 1)-1.24 (63)

-1.02182

7.12 ( 1)-2.08 (71)

-0.77182

4.42 ( 8)2.60 (56)

2.70179

9.61 ( 5)7.23 (24)

6.21176

3.67165

9.89108



INVESTMENT MANAGER ANALYSISWaterfallDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-14.00

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00


Excess Return:

Excess Risk:

4.58

3.84

Information Ratio:

T-Stat:

1.19

2.67


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

0.040.86

3.721.83

-0.19

0.94

3.96

0.79

-3.24

1.83

-3.01

1.082.571.891.59

0.59

3.29

0.570.02

3.49




-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

χ

1

χ

1

χ

1

χ

1

χ

1

χ

1

χ

1

Med75th95th

25th

5th

χ Waterfall 1 Policy Index



0.93 ( 2)-2.65 (22)

-3.94182

2.83 ( 1)-0.95 (24)

-1.79182

4.47 ( 1)-0.05 (23)

-1.02182

9.30 ( 1)-0.29 (46)

-0.77182

11.44 ( 1)2.82 (44)

2.70179

10.32 ( 3)5.55 (61)

6.21176

9.07 ( 1)3.16 (73)

3.67165

9.89108



INVESTMENT MANAGER ANALYSISCerberus Capital MgmtDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-14.00

-12.00

-10.00

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

5.28

3.81

Information Ratio:

T-Stat:

1.38

2.77


12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

22.0%

24.0%

26.0%

1.680.04

2.223.553.81

0.84

-0.77-1.52

0.021.261.77

0.21

-0.06

0.940.940.85

6.20


Quarterly NOF Value Added vs. S&P LSTA Leverage Loan

85


INVESTMENT MANAGER ANALYSISLord AbbettDecember 31, 2018



12/18

-1.3%

-1.2%

-1.1%

-1.0%

-0.9%

-0.8%

-0.7%

-0.6%

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

0.0%

0.1%

-1.1


Quarterly NOF Value Added vs. 10Bloomberg Aggregate


-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

Ω1 Med

75th

95th

25th 5th

Ω Lord Abbett 1 10Bloomberg Ag



0.55 (85)1.64 (14)

1.23335

1.56334

1.64331

0.53331

1.91329

2.26325

2.64313

4.01271

*Compass Total Returns of Active Core Fixed Income Portfolios Universe - Gross of Fees 86


INVESTMENT MANAGER ANALYSISArrowmarkDecember 31, 2018



12/18

-0.5%

0.0%

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%

7.0%

0.74

5.63


Quarterly NOF Value Added vs. S&P LSTA Leverage Loan Index

87


INVESTMENT MANAGER ANALYSISBSP Private CreditDecember 31, 2018



6/18 12/18

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

-0.99-1.48

5.87



88


INVESTMENT MANAGER ANALYSISShenkman CapitalDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-8.00

-6.00

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

Quarterly NOF Value Added vs. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

-1.18

1.51

Information Ratio:

T-Stat:

-0.79

-1.76


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

-0.54

-3.15

-0.16-0.43

0.480.18

-0.36

0.040.11

-1.05

-0.08

-0.56-0.15-0.28

0.26

-0.42

0.04

-0.45

0.160.37


Quarterly NOF Value Added vs. S&P LSTA Leverage Loan

89


INVESTMENT MANAGER ANALYSISWhite Oak Yield SpectrumDecember 31, 2018



6/18 12/18

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

-0.36-0.61

4.62



90


CUSTOM BENCHMARK SPECIFICATIONFixed Income CompositeDecember 31, 2018



Policy Index


9/92

9/17

9/92

6/17

12/18

12/18

100.00

50.00

50.00

100.00

Blended Fixed Benchmark

Bloomberg Universal



91

REAL RETURN REAL RETURN


MANAGER ALLOCATIONReal Return CompositeAs of December 31, 2018


Nuveen Real Asset$80,698,140 19.03%

PIMCO All Asset$131,714,645 31.06%

Tortoise Capital$40,801,301 9.62%

BTG Pactual$8,267,477 1.95%

Magnetar MTP EOF II$6,469,908 1.53%

TPF II$75,511 0.02%

Taurus Mine Finance$8,848,231 2.09%

Amerra AGRI Holdings$22,766,742 5.37%

Amerra AGRI Fund II$9,694,013 2.29%

Oberland Capital$531,207 0.13%

Internal TIPS$114,177,921 26.93%

93





Internal TIPS

Net of Fee Return

Bloomberg 1-10 Yrs TIPS

Value Added

PIMCO All Asset

Net of Fee Return

Bloomberg 1-10 Yrs TIPS

Value Added

Tortoise Capital

Net of Fee Return

Alerian MLP

Value Added

Nuveen Real Asset

Net of Fee Return

Policy Index

Value Added

Amerra AGRI Fund II

Net of Fee Return

Amerra AGRI Holdings

Net of Fee Return

BTG Pactual

Net of Fee Return

-0.03

-0.05

0.02

-3.30

-0.05

-3.25

-16.21

-17.30

1.08

-5.19

-5.27

0.08

1.44

-0.52

4.97

-0.20

-0.47

0.27

-2.97

-0.47

-2.51

-13.78

-11.86

-1.92

-3.88

-5.47

1.59

0.01

-2.33

-2.37

0.35

0.15

0.20

-5.27

0.15

-5.41

-4.42

-1.46

-2.96

-2.11

-2.50

0.39

-2.30

-2.86

-2.66

0.01

-0.25

0.27

-2.97

-0.25

-2.72

-13.77

-12.42

-1.35

-4.92

-6.22

1.30

-3.07

-3.98

-6.76

1.96

1.87

0.09

7.70

1.87

5.83

-1.12

-1.06

-0.06

5.59

4.73

0.87

0.04

-1.79

-6.20

1.83

1.54

0.29

2.94

1.20

1.75

-4.09

-7.31

3.21

4.46

3.68

3.56

0.12

9/30/03

9/30/03

9/30/03

12/31/11

12/31/11

12/31/11

9/30/09

9/30/09

9/30/09

3/31/15

3/31/15

3/31/15

12/31/12

9/30/15

12/31/14

4.08

3.79

0.30

4.53

0.73

3.79

9.25

5.57

3.68

3.09

2.73

0.36

3.71

-1.76

-9.14

94





Magnetar MTP EOF II

Net of Fee Return

Oberland Capital

Net of Fee Return

Taurus Mine Finance

Net of Fee Return

TPF II

Net of Fee Return

Real Return Composite

Net of Fee Return


Value Added

2.83

23.41

2.21

-0.29

-3.60

-2.76

-0.84

6.26

9.51

-0.62

-3.14

-2.42

-0.71

5.92

9.86

-0.91

-3.06

-1.07

-1.99

9.58

14.24

-1.19

-3.38

-2.66

-0.73

3.61

17.72

-7.83

4.40

2.56

1.84

-1.93

2.08

1.42

0.66

-2.33

9/30/15

9/30/18

3/31/15

9/30/08

6/30/11

6/30/11

6/30/11

3.33

23.41

14.09

-3.50

2.75

2.10

0.65

95


INVESTMENT MANAGER ANALYSISInternal TIPSDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-1.00

-0.80

-0.60

-0.40

-0.20

-0.00

0.20

0.40

0.60

0.80

1.00

Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS 80% Confidence Band

Excess Return:

Excess Risk:

0.29

0.25

Information Ratio:

T-Stat:

1.15

2.58


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

0.00

-0.06

0.230.210.28

0.180.210.11

0.03

-0.04

0.100.030.00

0.050.02

-0.2

0.06

-0.06

0.24

0.02


Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS


-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

11

11

1

11

1

Med75th95th

25th 5th

Internal TIPS 1 Bloomberg 1-10



-0.03 ( 6)-0.05 ( 9)

-0.4332

-0.20 ( 6)-0.47 (28)

-1.2432

0.35 (12)0.14 (31)

-0.4532

0.01 ( 9)-0.25 (24)

-1.1532

0.89 (67)0.82 (83)

0.9531

1.96 (73)1.87 (96)

2.2130

1.84 (33)1.54 (63)

1.7230

3.70 (47)3.56 (59)

3.6725

*Compass Total Returns of Active TIPS Portfolios Universe - Gross of Fees 96


INVESTMENT MANAGER ANALYSISPIMCO All AssetDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS 80% Confidence Band

Excess Return:

Excess Risk:

1.73

6.35

Information Ratio:

T-Stat:

0.27

0.61


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

3.85

1.55

-0.89-1.9

-1.1-0.09

-7.7

-1.22

3.662.743.28

-1.15

6.47

2.262.40

0.47

2.82

-2.98

0.76

-3.25


Quarterly NOF Value Added vs. Bloomberg 1-10 Yrs TIPS

97


INVESTMENT MANAGER ANALYSISTortoise CapitalDecember 31, 2018



12/14 12/15 12/16 12/17 12/18

-30.00

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

30.00

Quarterly NOF Value Added vs. Alerian MLP 80% Confidence Band

Excess Return:

Excess Risk:

3.47

5.42

Information Ratio:

T-Stat:

0.64

1.43


6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

22.0%

24.0%

6.17

2.28

-3.0

3.853.032.98

-2.45

4.94

-1.77-2.71

1.340.841.130.831.100.28

1.34

-0.95

-3.67

1.08


Quarterly NOF Value Added vs. Alerian MLP

98


INVESTMENT MANAGER ANALYSISNuveen Real AssetDecember 31, 2018



3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17 3/18 6/18 9/18 12/18

-25.00

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00


Excess Return:

Excess Risk:

-0.28

6.33

Information Ratio:

T-Stat:

-0.04

-0.08


12/15 6/16 12/16 6/17 12/17 6/18 12/18

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

-1.91

0.38

-0.46

0.651.43

-0.26-0.48-0.68

0.65

5.28

-6.0

2.07

6.74

-5.19



99


CUSTOM BENCHMARK SPECIFICATIONReal Return CompositeDecember 31, 2018



Real Return Index (I) 9/11 12/18 100.00 Real Return Index (I)

100

REAL ESTATE REAL ESTATE


MANAGER ALLOCATIONReal Estate CompositeAs of December 31, 2018


Baring$14,933,141 5.49%

Divcowest IV$1,853,051 0.68%

Lubert Adler VII$12,660,889 4.65%

Mesa West Core Lend$36,494,881 13.41%

Stockbridge Sm/Mkts$38,855,417 14.28%

Walton St RE VI$1,679,203 0.62%

Lubert Adler VII B$6,698,741 2.46%

Mesa West IV$4,440,805 1.63%

Patron Capital$6,134,576 2.25%

Fundamental Partners III$16,862,262 6.20%

Walton St RE VII$8,745,487 3.21%

Rubenstein PF II$7,348,077 2.70%

Prologis Targeted US$31,464,760 11.56%

Harrison Street$36,504,792 13.42%

H/2 Credit Partner$33,341,918 12.25%

Greenfield Acq VII$11,624,193 4.27%

Greenfield Acq VI$2,449,584 0.90%

102





Divcowest IV

Net of Fee Return

Greenfield Acq VI

Net of Fee Return

Greenfield Acq VII

Net of Fee Return

H/2 Credit Partner

Net of Fee Return

Harrison Street

Net of Fee Return

Lubert Adler VII

Net of Fee Return

Mesa West Core Lend

Net of Fee Return

Prologis Targeted US

Net of Fee Return

Rubenstein PF II

Net of Fee Return

Stockbridge Sm/Mkts

Net of Fee Return

2.68

-0.39

0.45

-0.70

1.78

0.23

1.88

3.36

3.91

3.47

10.29

-11.51

5.68

0.47

5.32

3.19

5.19

8.59

8.96

5.14

15.69

-8.49

6.40

1.38

7.36

6.72

6.90

14.13

12.61

6.93

28.88

-19.88

12.94

1.44

9.92

8.28

8.73

18.48

16.11

8.94

27.42

-3.61

13.54

6.11

10.26

7.20

7.80

17.79

10.15

8.98

4.40

5.39

9.95

7.07

16.51

3/31/14

12/31/12

6/30/14

6/30/11

6/30/12

6/30/14

6/30/13

9/30/14

6/30/13

6/30/14

24.08

5.52

11.77

5.76

8.75

-1.35

6.93

15.66

14.16

9.72

103





Walton St RE VI

Net of Fee Return

Walton St RE VII

Net of Fee Return

Fundamental Partners III

Net of Fee Return

Lubert Adler VII B

Net of Fee Return

Mesa West IV

Net of Fee Return

Patron Capital

Net of Fee Return

Real Estate Composite

Net of Fee Return


Value Added

2.20

-0.08

3.34

0.37

2.61

2.80

1.83

1.87

-0.04

4.48

0.18

5.11

2.50

5.05

5.15

4.55

3.71

0.84

6.90

1.97

5.12

4.11

6.67

4.48

6.66

5.76

0.90

9.40

4.52

6.76

3.54

9.04

25.91

9.08

7.71

1.36

4.05

9.42

9.79

7.83

1.96

8.18

11.99

9.16

9.71

-0.56

6/30/09

6/30/13

6/30/17

6/30/17

3/31/17

9/30/16

6/30/09

6/30/09

6/30/09

-17.24

11.96

5.75

-0.47

5.35

1.42

9.22

7.85

1.36

104


CUSTOM BENCHMARK SPECIFICATIONReal Estate CompositeDecember 31, 2018



NCREIF ODCE NOF 1 Quarter Lag 9/84 12/18 100.00 NCREIF ODCE NOF 1 Quarter Lag

105

ABSOLUTE RETURNABSOLUTE RETURN


MANAGER ALLOCATIONAbsolute Return CompositeAs of December 31, 2018


Anchorage Capital$564,100 0.43%

Blackstone Strat Opp$2,421,220 1.86%

Governors Lane Onshore$8,675,053 6.65%

Knighthead$117,913 0.09%

Myriad Opportunities$18,311,198 14.03%

PAAMCO$34,559 0.03%

SRS Partners US$3,160,329 2.42%

Senator LP$1,710,158 1.31%

Tourbillon Global Equity$122,915 0.09%

Tricadia Select$1,768,539 1.36%

PRISMA Capital$67,940,332 52.06%

Pine River$150,931 0.12%

Luxor Capital$744,927 0.57%

Liquidalts H20 Force$7,079,908 5.43%

Gotham Neutral Strategies$5,528,017 4.24%

Davidson Kempner LP$1,944,001 1.49%

Credit Suisse$9,999,609 7.66%

Coatue Qualified Partners$226,047 0.17%

107





Anchorage Capital

Net of Fee Return

Blackstone Strat Opp

Net of Fee Return

Coatue Qualified Partners

Net of Fee Return

Credit Suisse

Net of Fee Return

Davidson Kempner LP

Net of Fee Return

Gotham Neutral Strategies

Net of Fee Return

Governors Lane Onshore

Net of Fee Return

Knighthead

Net of Fee Return

Liquidalts H20 Force

Net of Fee Return

Luxor Capital

Net of Fee Return

0.48

0.35

0.00

1.98

0.00

0.25

-5.31

0.00

3.08

9.47

2.39

1.88

0.00

3.55

0.76

-0.92

-3.53

-0.08

4.84

9.75

3.04

4.25

2.63

5.50

0.28

-1.22

-4.92

0.17

1.65

10.70

3.69

6.64

8.58

7.11

2.33

1.39

-5.05

1.63

4.93

18.27

12.46

5.26

14.35

2.03

9/30/16

9/30/17

6/30/15

6/30/17

3/31/16

3/31/17

3/31/17

12/31/13

9/30/16

3/31/14

5.66

6.39

12.43

7.14

5.83

-1.90

-1.57

2.03

6.47

3.42

108





Myriad Opportunities

Net of Fee Return

PAAMCO

Net of Fee Return

Pine River

Net of Fee Return

PRISMA Capital

Net of Fee Return

Senator LP

Net of Fee Return

SRS Partners US

Net of Fee Return

Tourbillon Global Equity

Net of Fee Return

Tricadia Select

Net of Fee Return

Absolute Return Composite

Net of Fee Return


Value Added

-2.24

-1.17

-8.63

7.64

-4.13

-3.19

-1.12

-3.16

2.03

-6.04

-0.34

-7.82

-0.98

-5.24

-8.63

-0.97

-2.81

1.84

-6.54

0.45

-6.27

2.05

0.02

-21.58

-0.41

-2.39

1.97

-5.31

2.83

-8.87

2.47

-5.65

-20.87

1.16

-0.97

2.12

2.05

-9.36

2.05

1.53

0.52

2.37

2.54

2.01

0.54

6/30/16

9/30/11

6/30/14

9/30/11

9/30/16

9/30/17

12/31/15

9/30/17

3/31/10

3/31/10

3/31/10

4.88

3.63

1.51

4.41

-9.36

-19.75

3.73

2.54

1.19

109


CUSTOM BENCHMARK SPECIFICATIONAbsolute Return CompositeDecember 31, 2018



HFRI FOF Div (1 Month Lag) 6/10 12/18 100.00 HFRI FOF Div (1 Month Lag)

110

wilshire associates · future prospects for economic growth. the yield curve ended 2018 with a very...

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