WILSHIRE ASSOCIATES - Kentucky Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5...

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, 2017

MARKET ENVIRONMENT

©2017 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

2012 2013 2014 2015 2016 2017 AS OF 12/2017

Emrg Mrkts U.S. Equity REITs REITs MLPs Emrg Mrkts U.S. Equity

18.6% 33.1% 31.8% 4.2% 18.3% 37.7% 15.7%

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

17.9% 27.6% 12.7% 0.7% 17.1% 25.6% 9.3%

REITs Developed Core Bond Core Bond U.S. Equity U.S. Equity Developed

17.6% 23.3% 6.0% 0.6% 13.4% 21.0% 8.4%

U.S. Equity High Yield MLPs T-Bills Commodities High Yield High Yield

16.1% 7.4% 4.8% 0.1% 11.8% 7.5% 5.8%

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

15.8% 1.9% 3.6% -0.4% 11.6% 4.2% 4.7%

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

7.0% 0.1% 2.5% -1.4% 7.2% 3.6% 2.1%

MLPs Core Bond T-Bills High Yield U.S. TIPS U.S. TIPS T-Bills

4.8% -2.0% 0.0% -4.5% 4.7% 3.0% 0.3%

Core Bond Emrg Mrkts Emrg Mrkts Emrg Mrkts Core Bond Commodities U.S. TIPS

4.2% -2.3% -1.8% -14.6% 2.6% 1.7% 0.1%

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

0.1% -8.6% -4.5% -24.7% 1.5% 0.8% -0.1%

Commodities Commodities Commodities MLPs T-Bills MLPs Commodities

-1.0% -9.5% -17.0% -32.6% 0.3% -6.5% -8.5%

ASSET CLASS RETURNS - BEST TO WORST

3


U.S. Equity

The U.S. stock market was up 6.4% for the

fourth quarter of 2017. There was a relative lack

of volatility during the year. The largest

drawdown for the year was -2.75% and there

were only 4 trading days where the market was

down 1% or more. Several factors contributed to

this success including a rebound in global

economic growth and continued strength

domestically.

The third quarter of 2017 was the second

consecutive quarter of real GDP growth in

excess of 3%, annualized. Businesses seem to

be gaining confidence in the global economy and

have been increasing spending on equipment

while growing inventories during the quarter,

contributing more than three-quarters of a

percent to real GDP growth. Strong retail sales

during the fourth quarter have helped raise

expectations for economic growth during the

final quarter of 2017.


MARKET COMMENTARY

Non-U.S. Equity

Equity markets outside of the U.S. produced

strong returns during the fourth quarter of 2017,

in both developed and emerging markets. Japan

was one of the strongest developed markets

during the quarter due to stimulative policies by

both the Bank of Japan and the national

government. Emerging Markets led all global

equities during 2017 and produced their second

consecutive positive annual gain.

Fixed Income

The U.S. Treasury yield curve continued to

flatten during the quarter with short to

intermediate term rates rising and long-term

yields falling. The bellwether 10-year Treasury

yield ended the quarter at 2.40%. The Federal

Open Market Committee decided to increase its

overnight rate by 25 basis points in December.

Credit spreads continued to tighten during the

quarter.

4



DECEMBER 2017 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 (%) 6.25 6.25 6.25 6.45 6.45 8.75 1.75 3.55 3.60 2.95 4.95 1.30 5.40 5.60 6.90 3.70 6.60 1.95

EXPECTED ARITHMETIC RETURN (%) 7.55 7.70 9.20 8.05 7.80 12.10 1.75 3.70 4.05 3.10 5.40 1.35 6.75 6.75 7.80 4.75 6.95 1.95

EXPECTED RISK (%) 17.00 18.00 26.00 18.75 17.15 28.00 1.25 5.15 9.85 6.00 10.00 3.50 17.00 15.80 14.00 15.00 8.40 1.75

CASH YIELD (%) 2.00 3.00 2.00 2.75 2.35 0.00 1.75 3.55 4.75 3.05 8.15 1.65 3.95 3.95 2.65 1.75 2.85 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 0.64 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 DECEMBER 31, 2017

CPI (ALL ITEMS)

SEASONALLY ADJUSTED Dec-17 0.1 3-Mo. 0.6

Nov-17 0.4 12-Mo. 2.1

Oct-17 0.1 10-Yr. (Annual) 1.6

BREAKEVEN INFLATION 10-Yr. 2.0

CONSUMER SENTIMENT Dec-17 95.9

U. OF MICHIGAN SURVEY Nov-17 98.5

1-Yr. Ago 98.2 10-Yr. Avg 79.1

MANUFACTURING Dec-17 59.7

INST. FOR SUPPLY MGMT Nov-17 58.2 >50 Expansion

PURCHASING MNGRS' IDX 1-Yr. Avg. 57.6 <50 Contraction

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

December/2017 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

$(18,000)

$(15,000)

$(12,000)

$(9,000)

$(6,000)

$(3,000)

$-

$3,000

$6,000

$9,000

$12,000

$15,000

$18,000

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

Quart

erly G

DP (

$bil)

Annualized G

row

th

CHANGES IN REAL GDP (2009 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


5


U.S. EQUITY MARKET

Data sources: Wilshire Compass, Wilshire Atlas

AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YR

WILSHIRE 5000 INDEX 6.4 21.0 21.0 11.4 15.7 8.6

WILSHIRE U.S. LARGE CAP 6.7 21.8 21.8 11.5 15.8 8.5

WILSHIRE U.S. SMALL CAP 3.6 13.5 13.5 9.7 14.4 9.9

WILSHIRE U.S. LARGE GROWTH 7.3 27.7 27.7 12.9 17.3 9.7

WILSHIRE U.S. LARGE VALUE 6.1 16.3 16.3 10.0 14.4 7.2

WILSHIRE U.S. SMALL GROWTH 4.2 19.6 19.6 9.8 14.9 9.9

WILSHIRE U.S. SMALL VALUE 3.0 7.4 7.4 9.5 13.9 9.8

WILSHIRE REIT INDEX 1.7 4.2 4.2 5.2 9.3 7.3

MSCI USA MIN. VOL. INDEX 5.2 18.4 18.4 10.9 14.5 8.8

FTSE RAFI U.S. 1000 INDEX 6.5 16.4 16.4 10.1 15.3 9.421.0

-0.3

12.6

23.4

8.8

-1.9

12.8

21.8

22.9

23.4

20.2

37.4

6.4

3.6

0.7

6.7

2.7

6.5

6.5

6.6

9.1

1.2

8.0

8.6

Wilshire 5000

Telecom

Utilities

Materials

Real Estate

Energy

Cnsmr Stpls

Industrials

Cnsmr Discr.

Healthcare

Financials

Info. Tech.

2.0%

3.0%

3.3%

4.2%

5.9%

7.7%

10.8%

12.4%

12.6%

15.6%

22.6%

WILSHIRE 5000 SECTOR WEIGHT & RETURN (%)

4th Quarter Year to Date

-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


6

• U.S. Equity has now produced 9 straight years of positive returns since 2008

• 2017 was one of the least volatile years in nearly four decades

– Largest drawdown for the year was -2.75%

– Only 4 trading days where the market was down 1% or more


ANNUAL EQUITY RETURNS

31

24 24

-11 -11

-21

32

13

6

16

6

-37

28

17

1

16

33

13

1

13

21

-10

-22

-12

-21

-29-32

-13

-8 -7 -8 -10

-49

-27

-16-20

-10

-6-7

-12 -11

-3

-60

-50

-40

-30

-20

-10

0

10

20

30

40

WILSHIRE 5000 INDEXWORST INTRA-PERIOD SELLOFF VS ANNUAL RETURN (%)

Annual Return Largest Selloff 8


7

Generally speaking, higher quality names led the market for both the fourth quarter and 2017


RETURNS BY QUALITY SEGMENT

Data sources: Wilshire Atlas

-

5.00

10.00

15.00

20.00

25.00

30.00

4Q 17 YTD 2017

Tota

l Retu

rn (

%)

RETURN BY S&P QUALITY RATING

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

A+ 5%

A 11%

A- 17%

B+ 23%

B 16%

B- 9%

C / D 4%

N.A. 15%

Segment Weights

as of September 30

9


8


NON-U.S. EQUITY MARKET

Data sources: Wilshire Compass


MSCI ACWI EX-US ($G) 5.1 27.8 27.8 8.3 7.3 2.3

MSCI EAFE ($G) 4.3 25.6 25.6 8.3 8.4 2.4

MSCI EMERGING MARKETS ($G) 7.5 37.7 37.7 9.5 4.7 2.0

MSCI FRONTIER MARKETS ($G) 5.6 32.3 32.3 5.5 9.7 -0.7

MSCI ACWI EX-US GROWTH ($G) 5.8 32.5 32.5 9.7 8.4 2.8

MSCI ACWI EX-US VALUE ($G) 4.3 23.4 23.4 6.9 6.2 1.8

MSCI ACWI EX-US SMALL ($G) 6.6 32.1 32.1 12.5 10.5 5.2

MSCI EAFE MINIMUM VOLATILITY 3.6 22.2 22.2 9.3 9.9 5.2

FTSE RAFI DEVELOPED EX-US 4.7 25.7 25.7 8.7 8.9 2.8

MSCI EAFE LC (G) 3.7 15.8 15.8 9.0 11.9 3.8

MSCI EMERGING MARKETS LC (G) 5.7 31.0 31.0 10.9 8.4 4.5

25.6

21.8

23.5

28.2

30.1

22.5

24.3

4.3

7.1

1.8

2.6

1.6

5.7

8.5

MSCI EAFE

Australia

Switzerland

Germany

France

United Kingdom

Japan

6.9%

8.0%

9.8%

10.7%

17.8%

24.0%

MSCI EAFE: LARGEST COUNTRIES & RETURN (USD)


37.7

24.7

36.9

38.7

28.5

47.3

54.3

7.5

-1.8

21.4

11.8

4.0

11.2

7.6

MSCI Emrg Mrkts

Brazil

South Africa

India

Taiwan

South Korea

China

6.8%

7.1%

8.8%

11.3%

15.4%

29.7%

MSCI EM: LARGEST COUNTRIES & RETURN (USD)


10


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

2,000

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, 2017 YTM DURATION QTR YTD 1 YR 3 YR 5 YR 10 YR

BLOOMBERG BARCLAYS AGGREGATE 2.7 6.0 0.4 3.6 3.6 2.2 2.1 4.0

BLOOMBERG BARCLAYS TREASURY 2.2 6.2 0.1 2.3 2.3 1.4 1.3 3.3

BLOOMBERG BARCLAYS GOV'T-REL. 2.7 5.5 0.3 4.2 4.2 2.2 1.9 3.7

BLOOMBERG BARCLAYS SECURITIZED 2.9 4.4 0.2 2.5 2.5 1.9 2.0 3.8

BLOOMBERG BARCLAYS CORPORATE 3.3 7.6 1.2 6.4 6.4 3.9 3.5 5.7

BLOOMBERG BARCLAYS LT G/C 3.5 15.4 2.8 10.7 10.7 4.5 4.4 7.3

BLOOMBERG BARCLAYS LT TREASURY 2.7 17.6 2.4 8.5 8.5 2.8 3.5 6.6

BLOOMBERG BARCLAYS LT GOV't-REL. 4.0 12.6 2.1 11.9 11.9 4.5 4.1 7.0

BLOOMBERG BARCLAYS LT CORP. 4.0 14.3 3.3 12.1 12.1 5.9 5.3 7.8

BLOOMBERG BARCLAYS U.S. TIPS * 2.4 7.7 1.3 3.0 3.0 2.0 0.1 3.5

BLOOMBERG BARCLAYS HIGH YIELD 6.2 3.9 0.5 7.5 7.5 6.3 5.8 8.0

TREASURY BILLS 1.4 0.25 0.3 0.8 0.8 0.4 0.3 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

11


10

• Federal Reserve began their balance sheet normalization program during Q4; targeting $10B in

reductions per month with the goal of reaching $50B per month in Q4 2018

• Total reductions have equaled only $17B through mid-January 2018


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

12


11

• Shape of the curve had been steep since the global financial crisis; has recently flattened

• Current spread between 10-year and 2-year Treasury is well below average (0.56% vs. 0.96%)

• Tight spread present in 10-year forward curve as well (0.39%)

• Continued strong economic growth will put upward pressure on the long end of the curve


U.S. YIELD CURVE

Data source: Federal Reserve

(3.00)

(2.00)

(1.00)

-

1.00

2.00

3.00

4.00

YIELD CURVE SLOPE: 10-YR MINUS 2-YR SPREAD (%)

10Yr - 2Yr 40 Year Average 10-Yr Fwd Curve Dec-17 13


12


NON-U.S. FIXED INCOME

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


DEVELOPED MARKETS

BLMBRG BRCLYS GLBL AGGREGATE xUS 1.6 10.5 10.5 1.8 -0.2 2.4

BLMBRG BRCLYS GLBL AGGREGATE xUS * 1.1 2.5 2.5 2.9 3.7 4.2

BLMBRG BRCLYS GLOBAL INF LNKD xUS 3.9 12.8 12.8 2.6 2.4 3.3

BLMBRG BRCLYS GLOBAL INF LNKD xUS * 3.4 3.3 3.3 5.7 5.8 5.8

EMERGING MARKETS (HARD CURRENCY)

BLMBRG BRCLYS EM USD AGGREGATE 0.6 8.2 8.2 6.4 3.9 7.0

EMERGING MARKETS (FOREIGN CURRENCY)

BLMBRG BRCLYS EM LOCAL CURR. GOV'T 2.2 14.3 14.3 2.7 0.3 n.a.

BLMBRG BRCLYS EM LOCAL CURR. GOV'T * 0.0 3.6 3.6 2.3 1.8 n.a.

EURO vs. DOLLAR 1.6 13.8 13.8 -0.3 -1.9 -2.0

YEN vs. DOLLAR -0.1 3.5 3.5 2.1 -5.2 -0.1

POUND vs. DOLLAR 0.8 9.5 9.5 -4.6 -3.6 -3.8

* 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

14


13

• Yields on Portugal’s debt are down in the

midst of a strong economic recovery and

rating upgrades during the fourth quarter

• Yields on government bonds remain low

globally


EUROPEAN DEBT

Data sources: Bloomberg Barclays, International Monetary Fund

0

500

1,000

1,500

2,000

2,500

Spre

ad o

n 5

-Yr

Bond (

bps)

GOVERNMENT BOND SPREADSVersus German Yield Curve

Ireland Portugal Spain Italy

Introduction ofthe Euro

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

12.00

14.00

16.00

Annual Yie

ld (

%)

EUROPEAN GOVERNMENT BOND YIELDS

Germany France Spain Italy

15


14


HIGH YIELD BOND MARKET

Data sources: Wilshire Compass, Bloomberg Barclays


BLOOMBERG BARCLAYS HIGH YIELD 0.5 7.5 7.5 6.3 5.8 8.0

CREDIT SUISSE LEVERAGED LOAN 1.2 4.2 4.2 4.5 4.3 4.6

HIGH YIELD QUALITY DISTRIBUTION WEIGHT

Ba U.S. HIGH YIELD 44.1% 0.4 7.3 7.3 6.2 5.8 8.4

B U.S. HIGH YIELD 40.3% 0.4 6.5 6.5 5.5 5.1 6.5

Caa U.S. HIGH YIELD 14.4% 1.0 10.4 10.4 8.4 7.5 7.8

Ca to D U.S. HIGH YIELD 1.1% 0.8 13.8 13.8 -3.0 -10.1 -0.4

Non-Rated U.S. HIGH YIELD 0.2% -2.0 9.2 9.2 -2.5 0.9 1.3

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

16


15


REAL ASSETS

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


BLOOMBERG BARCLAYS U.S. TIPS 1.3 3.0 3.0 2.0 0.1 3.5

BLOOMBERG COMMODITY INDEX 4.7 1.7 1.7 -5.0 -8.5 -6.8

WILSHIRE GLOBAL RESI INDEX 3.2 10.0 10.0 5.8 8.0 5.4

NCREIF ODCE FUND INDEX 2.1 7.6 7.6 10.4 11.5 5.0

NCREIF TIMBERLAND INDEX 1.5 3.6 3.6 3.7 6.2 4.4

ALERIAN MLP INDEX (OIL & GAS) -1.0 -6.5 -6.5 -9.3 -0.1 6.0

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

17

TOTAL FUND TOTAL FUND


MANAGER ALLOCATIONKRS Insurance Plan CompositeAs of December 31, 2017

© 2018 Wilshire Associates Inc.

US Equity Composite$1,258,512,079 24.74%

Fixed Income Composite$922,733,060 18.14%

Real Estate Composite$239,181,707 4.70%

Absolute Return Composite$328,682,652 6.46%

Cash Composite$102,713,547 2.02%

Private Equity Composite$486,341,420 9.56%

Real Return Composite$443,867,676 8.73%

Non-US Equity Composite$1,304,681,798 25.65%

$5,086,713,941

19


ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS Insurance Plan CompositeAs of December 31, 2017


Fixed Income191,901,134 23.21%

Real Estate33,686,489 4.07%

Other Absolute Return51,838,268 6.27%

Special Investments41,490,318 5.02%

Other Real Return71,843,301 8.69%

Intl Equity211,594,646 25.59%

Domestic Equity204,076,414 24.68%

Short Term20,529,480 2.48%

Total Fund

Fixed Income12.00%

Domestic Equity26.50%

Intl Equity26.50%

Other Absolute Return10.00%

Other Real Return8.00%

Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$826,960,050

20


ACTUAL ALLOCATION VS POLICY ALLOCATIONKERS (H) Insurance Plan CompositeAs of December 31, 2017


Fixed Income96,101,907 18.74%


Intl Equity132,397,218 25.82%




Real Estate25,385,353 4.95%

Short Term8,311,632 1.62%

Total Fund

Fixed Income12.00%


Intl Equity26.50%



Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$512,852,745

21


ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS Insurance Plan CompositeAs of December 31, 2017


Fixed Income397,198,163 17.24%


Intl Equity589,792,493 25.61%




Real Estate110,074,466 4.78%

Short Term41,014,110 1.78%

Total Fund

Fixed Income12.00%


Intl Equity26.50%



Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$2,303,344,256

22


ACTUAL ALLOCATION VS POLICY ALLOCATIONCERS (H) Insurance Plan CompositeAs of December 31, 2017


Fixed Income207,044,049 16.50%


Intl Equity322,349,669 25.69%




Real Estate60,368,488 4.81%

Short Term28,288,914 2.25%

Total Fund

Fixed Income12.00%


Intl Equity26.50%



Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$1,254,947,593

23


ACTUAL ALLOCATION VS POLICY ALLOCATIONSPRS Insurance Plan CompositeAs of December 31, 2017


Fixed Income30,487,807 16.16%


Intl Equity48,547,771 25.74%




Real Estate9,666,912 5.13%

Short Term4,569,412 2.42%

Total Fund

Fixed Income12.00%


Intl Equity26.50%



Special Inv.10.00%

Real Estate5.00%

Short Term2.00%

Policy Index

$186,609,297

24


PERFORMANCE COMPARISONKRS Insurance Plan CompositePeriods Ended December 31, 2017


0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

Ω 1

2

Ω 1

2

Ω 1

Ω 1

Ω1

Ω 1 Ω 1

Ω 1

Med75th

95th

25th 5th

Ω KRS Insurance Plan 1 KRS Target Alloc 2 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

3.68 (55)3.75 (47)2.79 (91)

4.474.053.733.361.93154

7.90 (25)7.74 (31)6.10 (86)

8.507.907.266.733.97154

11.63 (19)11.49 (24)

12.3311.4710.479.585.89154

16.77 (15)16.69 (18)

18.3316.3015.1713.938.56154

12.89 ( 9)12.34 (22)

13.4912.2811.6710.707.05149

8.64 (14)8.56 (14)

8.958.277.736.754.44145

8.62 (65)8.97 (53)

10.709.949.088.024.88144

4.73 (93)5.18 (86)

7.136.446.115.624.56119

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


RISK / RETURN ANALYSISKRS Insurance PlanFive Years Ending December 31, 2017


Annualiz

ed R

ate

of T

ota

l R

etu

rn

2.0 3.0 4.0 5.0 6.0 7.0 8.03.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

Ω1

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 Target Allocation Index

Median

Ω1

8.62

8.97

9.08

65

53

4.79

5.00

4.84

55

45

*TUCS Total Returns of Master Trusts - Public Universe - Gross of Fees 26


PERFORMANCE COMPARISONTrailing ReturnsPeriods Ended December 31, 2017


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 Target Allocation Index

Value Added

KERS IPS Benchmark

Assumed Rate 6.25%

KERS (H) Insurance Plan

Net of Fee Return

KERS (H) Target Allocation Index

Value Added

KERS (H) IPS Benchmark

Assumed Rate 6.25%

CERS Insurance Plan

Net of Fee Return

CERS Target Allocation Index

Value Added

CERS IPS Benchmark

Assumed Rate 6.25%

3.53

3.75

-0.22

2.79

3.33

3.69

-0.36

2.74

1.53

3.50

3.74

-0.23

2.78

1.53

3.56

3.75

-0.19

2.80

1.53

7.50

7.74

-0.24

6.10

7.12

7.69

-0.58

6.05

3.08

7.44

7.73

-0.30

6.09

3.08

7.57

7.75

-0.19

6.11

3.08

11.02

11.49

-0.46

10.51

11.44

-0.93

10.94

11.48

-0.54

11.10

11.50

-0.40

16.10

16.69

-0.60

15.49

16.64

-1.16

16.03

16.69

-0.66

16.18

16.71

-0.52

7.91

8.56

-0.66

7.54

8.40

-0.86

7.83

8.41

-0.58

7.96

8.41

-0.46

8.07

8.97

-0.90

7.72

8.84

-1.12

8.07

8.85

-0.79

8.13

8.86

-0.73

4.44

5.18

-0.75

4.27

5.12

-0.85

4.44

5.13

-0.69

4.47

5.13

-0.66

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

7.54

7.98

-0.44

7.49

7.96

-0.47

7.54

7.96

-0.42

7.55

7.96

-0.41

27





CERS (H) Insurance Plan

Net of Fee Return

CERS (H) Target Allocation Index

Value Added

CERS (H) IPS Benchmark

Assumed Rate 6.25%

SPRS Insurance Plan

Net of Fee Return

SPRS Target Allocation Index

Value Added

SPRS IPS Benchmark

Assumed Rate 6.25%

3.58

3.75

-0.17

2.80

1.53

3.58

3.74

-0.16

2.79

1.53

7.59

7.75

-0.16

6.10

3.08

7.61

7.75

-0.14

6.10

3.08

11.16

11.49

-0.34

11.19

11.49

-0.31

16.25

16.70

-0.45

16.28

16.70

-0.43

8.03

8.41

-0.38

7.99

8.41

-0.42

8.16

8.86

-0.70

8.14

8.86

-0.72

4.48

5.13

-0.65

4.47

5.13

-0.66

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

3/31/87

7.56

7.96

-0.40

7.56

7.96

-0.41

28





US Equity Composite

Net of Fee Return

Russell 3000

Value Added

Non-US Equity Composite

Net of Fee Return

Policy Index

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

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

6.00

6.34

-0.33

5.55

5.23

0.33

0.39

0.44

-0.05

1.08

0.73

0.72

0.01

2.27

1.64

0.63

1.31

1.41

-0.11

10.59

11.20

-0.61

12.77

11.91

0.86

1.37

1.94

-0.57

2.86

2.15

1.21

0.94

4.85

3.13

1.72

3.35

3.27

0.08

13.60

14.55

-0.95

19.81

18.69

1.13

2.92

3.82

-0.90

5.54

2.83

1.30

1.53

7.17

4.72

2.45

3.79

4.20

-0.41

19.26

21.13

-1.87

29.30

28.30

1.00

4.54

5.79

-1.25

7.39

7.38

3.86

3.52

10.54

6.69

3.84

5.35

7.07

-1.72

10.82

11.12

-0.30

9.08

8.44

0.64

4.38

5.45

-1.07

2.02

3.40

2.29

1.11

9.76

9.84

-0.08

2.27

2.11

0.16

14.98

15.58

-0.60

7.95

7.35

0.59

3.31

4.08

-0.77

0.79

1.76

2.46

-0.71

9.11

10.57

-1.46

4.65

3.90

0.75

8.24

8.60

-0.36

0.73

2.13

-1.40

4.95

5.07

-0.12

3.09

6/30/92

6/30/92

6/30/92

3/31/00

3/31/00

3/31/00

6/30/92

6/30/92

6/30/92

6/30/92

6/30/11

6/30/11

6/30/11

6/30/09

6/30/09

6/30/09

3/31/10

3/31/10

3/31/10

9.80

9.95

-0.16

2.61

2.98

-0.37

6.45

6.46

-0.00

5.19

3.73

2.87

0.86

9.23

7.87

1.36

4.07

3.00

1.07

29





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

3.50

3.50

-0.00

5.35

0.63

0.28

0.35

8.46

8.46

-0.00

9.54

1.01

0.55

0.47

14.79

14.79

-0.00

16.77

1.25

0.75

0.50

18.06

18.06

-0.00

25.02

1.42

0.85

0.56

14.17

14.17

-0.00

15.14

0.69

0.41

0.28

15.26

15.26

-0.00

18.48

0.50

0.27

0.24

9.75

9.75

-0.00

11.30

0.60

0.39

0.21

6/30/02

6/30/02

6/30/02

6/30/02

6/30/92

6/30/92

6/30/92

9.99

9.99

-0.00

10.83

2.67

2.64

0.03

30


CUSTOM BENCHMARK SPECIFICATIONKRS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


KRS IPS Benchmark

6/87

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50



KRS Short Term PE Benchmark




Bloomberg High Yield

Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI Index ($G)







Bloomberg Universal

Russell 3000

MSCI ACWI Ex USA IMI ($N)






Bloomberg Universal



Russell 3000

31


CUSTOM BENCHMARK SPECIFICATIONKRS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

KRS IPS Benchmark (cont.)

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50






Bloomberg Universal



Russell 3000

32


CUSTOM BENCHMARK SPECIFICATIONKERS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


KERS IPS Benchmark

6/87

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

26.50

26.50

6.00

6.00

8.00

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



KERS Short Term PE Benchmark





Bloomberg Universal

Russell 3000



Russell 3000

Bloomberg Universal







Russell 3000



Bloomberg Universal






33


CUSTOM BENCHMARK SPECIFICATIONKERS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

KERS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00






Bloomberg Universal



Russell 3000

Assumed Rate 6.25%

34


CUSTOM BENCHMARK SPECIFICATIONKERS (H) Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


KERS (H) IPS Benchmark

6/87

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

26.50

26.50

6.00

6.00

8.00

5.00

10.00

10.00

2.00

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50



Russell 3000

Bloomberg Universal





KERS (H) Short Term PE Benchmark








Bloomberg Universal

Russell 3000







Bloomberg Universal



Russell 3000

35


CUSTOM BENCHMARK SPECIFICATIONKERS (H) Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

KERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00






Bloomberg Universal



Russell 3000

Assumed Rate 6.25%

36


CUSTOM BENCHMARK SPECIFICATIONCERS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


CERS IPS Benchmark

6/87

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

26.50

26.50

6.00

6.00

8.00

5.00

10.00

10.00

2.00

26.50

26.50

6.00

6.00

8.00

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



Russell 3000

Bloomberg Universal





CERS Short Term PE Benchmark



Russell 3000

Bloomberg Universal












Bloomberg Universal



Russell 3000

37


CUSTOM BENCHMARK SPECIFICATIONCERS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

CERS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00






Bloomberg Universal



Russell 3000

Assumed Rate 6.25%

38


CUSTOM BENCHMARK SPECIFICATIONCERS (H) Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


CERS (H) IPS Benchmark

6/87

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

26.50

26.50

6.00

6.00

8.00

5.00

10.00

10.00

2.00

26.50

26.50

6.00

6.00

8.00

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



Russell 3000

Bloomberg Universal





CERS (H) Short Term PE Benchmark



Russell 3000

Bloomberg Universal












Bloomberg Universal



Russell 3000

39


CUSTOM BENCHMARK SPECIFICATIONCERS (H) Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

CERS (H) IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00






Bloomberg Universal



Russell 3000

Assumed Rate 6.25%

40


CUSTOM BENCHMARK SPECIFICATIONSPRS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


SPRS IPS Benchmark

6/87

9/17

12/17

9/17

6/17

9/17

12/17

9/17

100.00

26.50

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

2.00

10.00

10.00

5.00

8.00

6.00

6.00

26.50

26.50

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50




SPRS Short Term PE Benchmark





Bloomberg Universal

Russell 3000







Bloomberg Universal

Russell 3000







Bloomberg Universal



Russell 3000

41


CUSTOM BENCHMARK SPECIFICATIONSPRS Insurance PlanDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

SPRS IPS Benchmark (cont.)

Assumed Rate 6.25%

12/17

9/17

12/17

12/17

2.00

10.00

10.00

5.00

10.00

4.00

24.00

17.50

17.50

100.00






Bloomberg Universal



Russell 3000

Assumed Rate 6.25%

42

US EQUITY US EQUITY


MANAGER ALLOCATIONUS Equity CompositeAs of December 31, 2017


Internal US Mid Cap$134,044,012 10.65%

NTGI Structured$104,386,829 8.29%

Systematic$127,282,986 10.11%

Transition Account$5,877 0.00%

Scientific Beta$140,961,613 11.20%

S&P 500 Index$606,718,915 48.21%

Westfield Capital$70,202,230 5.58%

River Road Fav$59,226,799 4.71%

River Road$15,682,819 1.25%

44


PERFORMANCE COMPARISONUS Equity CompositePeriods Ended December 31, 2017


2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

1

1

1

1

1

1

1

1

Med75th

95th

25th 5th

US Equity Composite 1 Russell 3000 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds


6.02 (56)6.34 (33)

7.206.556.095.412.80128

10.63 (71)11.20 (39)

12.4911.4311.0910.476.60125

13.68 (69)14.55 (43)

16.5114.8514.4513.218.35122

19.37 (69)21.13 (43)

24.3921.7720.8918.6413.55

117

17.04 (23)16.86 (29)

18.5016.9616.6515.5111.84

115

10.91 (46)11.12 (31)

12.2211.2510.8210.096.96107

15.11 (56)15.58 (29)

16.5615.6515.2114.4011.73

103

8.31 (58)8.60 (39)

10.068.738.487.926.07

83

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





S&P 500 Index

Net of Fee Return

Standard & Poor’s 500

Value Added

Scientific Beta

Net of Fee Return


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

6.60

6.64

-0.05

5.90

6.64

-0.74

4.12

5.08

-0.96

1.15

5.08

-3.93

5.10

7.61

-2.50

8.13

5.50

2.62

11.37

11.42

-0.06

9.12

11.42

-2.31

6.44

8.51

-2.06

4.76

8.51

-3.75

10.95

13.98

-3.03

14.42

7.76

6.66

14.86

14.86

-0.01

12.95

14.86

-1.91

6.62

9.91

-3.29

8.70

9.91

-1.21

16.97

19.29

-2.32

14.14

9.24

4.90

22.02

21.83

0.19

19.05

21.83

-2.78

10.00

13.19

-3.19

11.61

13.19

-1.59

29.22

29.59

-0.37

15.65

13.34

2.31

11.40

11.41

-0.02

8.47

8.71

-0.24

8.85

13.51

-4.66

9.64

9.00

0.64

15.75

15.79

-0.05

13.21

13.95

-0.74

15.14

17.16

-2.02

13.28

14.68

-1.39

8.86

8.49

0.37

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

7.44

6.97

0.47

15.20

19.95

-4.74

11.65

12.37

-0.72

20.43

16.72

3.71

12.97

14.63

-1.67

13.76

15.23

-1.46

46





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

6.39

6.25

0.14

3.53

3.34

0.19

6.00

6.34

-0.33

9.83

9.68

0.15

9.14

9.20

-0.06

10.59

11.20

-0.61

11.98

11.84

0.14

11.92

11.89

0.03

13.60

14.55

-0.95

16.48

16.24

0.24

14.66

14.65

0.01

19.26

21.13

-1.87

11.25

11.14

0.11

10.33

9.96

0.38

10.82

11.12

-0.30

14.62

14.12

0.50

14.98

15.58

-0.60

8.24

8.60

-0.36

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

12.43

12.35

0.08

12.43

11.53

0.90

9.80

9.95

-0.16

47


INVESTMENT MANAGER ANALYSISS&P 500 IndexDecember 31, 2017


Cumulative Skill Analysis vs Benchmark

12/13 12/14 12/15 12/16 12/17

-0.40

-0.30

-0.20

-0.10

-0.00

0.10

0.20

0.30

0.40

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

Excess Return:

Excess Risk:

-0.04

0.11

Information Ratio:

T-Stat:

-0.36

-0.81

Value-Added Analysis vs Benchmark

6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-0.5%

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

-0.03-0.03-0.03-0.02-0.04

-0.02-0.01

0.020.01

-0.01

0.040.04

-0.08-0.08-0.04

-0.08

0.17

0.05

-0.01-0.05

Cumulative Value Added

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

Performance Comparison vs Peer Universe*

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1 Med75th95th

25th 5th

⊕ S&P 500 Index 1 Standard & Poo MedianNumber of Funds


6.60 (55)6.64 (47)

6.62162

11.37 (58)11.42 (46)

11.40

161

14.86 (48)14.86 (48)

14.84

161

22.02 (32)21.83 (42)

21.79

160

16.72 (68)16.79 (59)

16.83

159

11.40 (36)11.41 (34)

11.28

156

15.75 (59)15.79 (51)

15.81

138

8.87 (35)8.49 (68)

8.58

75

Five Year Risk/Return Analysis vs Peer Universe*

5.0 6.0 7.0 8.0 9.0 10.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

20.0

⊕1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

S&P 500 Index


Median

⊕1

15.75

15.79

15.81

59

51

7.49

7.49

7.64

64

64

*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 48


INVESTMENT MANAGER ANALYSISScientific BetaDecember 31, 2017



12/16 6/17 12/17

-6.5%

-6.0%

-5.5%

-5.0%

-4.5%

-4.0%

-3.5%

-3.0%

-2.5%

-2.0%

-1.5%

-1.0%

-0.5%

0.0%

0.5%

1.0%

-2.77

-1.08-0.67

0.42

-1.45

-0.74


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


4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

1

1

1

1

1

1

1

1

Med75th95th

25th 5th

Scientific Bet 1 Standard & Poo MedianNumber of Funds


5.90 (77)6.64 (47)

6.62162

9.12 (86)11.42 (46)

11.40

161

12.95 (88)14.86 (48)

14.84

161

19.05 (85)21.83 (42)

21.79

160

16.79 (59)

16.83

159

11.41 (34)

11.28

156

15.79 (51)

15.81

138

8.49 (68)

8.58

75

*TUCS Total Returns of Large Neutral Equity Portfolios Universe - Gross of Fees 49


INVESTMENT MANAGER ANALYSISRiver RoadDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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. Russell 3000 Value 80% Confidence Band

Excess Return:

Excess Risk:

-0.65

3.95

Information Ratio:

T-Stat:

-0.16

-0.37


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-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%

1.57

-0.13

0.05

-1.48

-2.39

-0.45

0.51

-0.29

1.23

-2.74

2.38

-0.89

6.10

-3.12

-0.37-0.46

0.18

-1.12-1.03-0.96


Quarterly NOF Value Added vs. Russell 3000 Value


2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

1

1

1

1

1

1

1

Med

75th

95th

25th 5th

River Road 1 Russell 3000 V MedianNumber of Funds


4.26 (82)5.08 (73)

6.64147

6.80 (90)8.51 (78)

10.93

147

7.36 (95)9.91 (88)

12.79

147

10.88 (94)13.19 (92)

16.94

147

15.97 (56)15.77 (58)

16.35

141

9.09 (59)8.71 (70)

9.63136

13.89 (59)13.95 (56)

14.13

122

8.2966


-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

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

20.0

22.0

24.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

River Road

Russell 3000 Value

Median

1

13.89

13.95

14.13

59

56

8.53

8.56

8.73

52

52

*TUCS Total Returns of Large Value Equity Portfolios Universe - Gross of Fees 50


INVESTMENT MANAGER ANALYSISRiver Road FavDecember 31, 2017



12/16 6/17 12/17

-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%

9.0%

10.0%

4.66

1.86

-0.32

2.47

0.30

-3.93


Quarterly NOF Value Added vs. Russell 3000 Value


0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

1

1

1

1

Med

75th

95th

25th 5th

River Road Fav 1 Russell 3000 V MedianNumber of Funds


0.92 (95)5.08 (73)

6.64147

4.65 (95)8.51 (78)

10.93

147

8.75 (93)9.91 (88)

12.79

147

11.83 (94)13.19 (92)

16.94

147

16.35141

9.63136

14.13122

8.2966

*TUCS Total Returns of Large Value Equity Portfolios Universe - Gross of Fees 51


INVESTMENT MANAGER ANALYSISSystematicDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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:

-1.21

5.10

Information Ratio:

T-Stat:

-0.24

-0.53


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-16.0%

-14.0%

-12.0%

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

-0.7-1.77

3.80

-0.24

-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


Quarterly NOF Value Added vs. Russell Mid Cap Value


-10%

-5%

0%

5%

10%

15%

20%

25%

⊗1

⊗

1

⊗

1

⊗1

⊗1

⊗1

⊗ 1

Med75th

95th

25th 5th

⊗ Systematic 1 Russell Mid Ca MedianNumber of Funds


8.22 ( 8)5.50 (35)

5.04

42

14.65 ( 5)7.76 (57)

7.99

42

14.48 ( 5)9.24 (35)

8.76

42

16.08 (25)13.34 (45)

13.18

41

18.30 (32)16.62 (55)

17.00

41

9.97 (32)9.00 (58)

9.14

39

13.72 (54)14.68 (29)

13.75

24

10.3212


4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

⊗1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Systematic

Russell Mid Cap Value

Median

⊗1

13.72

14.68

13.75

54

29

11.30

8.97

9.70

10

66

*TUCS Total Returns of Mid Cap Value Equity Portfolios Universe - Gross of Fees 52


INVESTMENT MANAGER ANALYSISWestfield CapitalDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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. Russell 3000 Growth 80% Confidence Band

Excess Return:

Excess Risk:

-1.73

3.54

Information Ratio:

T-Stat:

-0.49

-1.09


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-9.0%

-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%

1.38

-0.83

1.841.57

0.63

-0.24

-1.73

1.79

0.32

-2.04

-3.34

-1.1

-3.54

-2.37

1.66

-1.52

1.84

0.77

-0.36

-2.5


Quarterly NOF Value Added vs. Russell 3000 Growth


0%

5%

10%

15%

20%

25%

30%

35%

40%

∞1

∞1

∞1

∞1

∞1

∞1

∞1

Med75th95th

25th 5th

∞ Westfield Capi 1 Russell 3000 G MedianNumber of Funds


5.24 (81)7.61 (25)

6.58172

11.24 (72)13.98 (17)

12.22

172

17.44 (57)19.29 (37)

18.25

171

29.90 (47)29.59 (48)

28.59

170

14.98 (68)17.97 (25)

16.41

168

9.40 (81)13.51 (24)

11.92

163

15.79 (68)17.16 (35)

16.71

119

9.2861


0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

20.0

21.0

22.0

∞

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Westfield Capital

Russell 3000 Growth

Median

∞1

15.79

17.16

16.71

68

35

10.94

8.07

9.37

21

82

*TUCS Total Returns of Large Growth Equity Portfolios Universe - Gross of Fees 53


INVESTMENT MANAGER ANALYSISInternal US Mid CapDecember 31, 2017



3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-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. S&P 400 Mid Cap 80% Confidence Band

Excess Return:

Excess Risk:

0.09

0.32

Information Ratio:

T-Stat:

0.29

0.50


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

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

-0.06-0.07-0.01

-0.07-0.07

0.50

0.03

-0.11-0.12

0.08

-0.01

0.01

0.14


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


2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

1

1

1

1

1

1

Med75th95th

25th 5th

Internal US Mi 1 S&P 400 Mid Ca MedianNumber of Funds


6.39 (20)6.25 (23)

5.61449

9.83 (31)9.68 (34)

9.28446

11.98 (30)11.84 (31)

10.60

440

16.48 (35)16.24 (36)

15.51

431

18.77 ( 8)18.47 ( 9)

15.53

378

11.25 ( 8)11.14 ( 8)

8.58344

13.47297

7.98206

Three Year Risk/Return Analysis vs Peer Universe*

4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0

4.0

5.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Net Fee Ret

Value Rank

Standard Deviation

Value Rank

Internal US Mid Cap

S&P 400 Mid Cap

Median

1

11.25

11.14

8.58

8

8

8.33

8.28

8.33

50

52

*Lipper Total Returns of Mid Cap Core Mutual Funds Universe - Net of Fees 54


INVESTMENT MANAGER ANALYSISNTGI StructuredDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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. Russell 2000 80% Confidence Band

Excess Return:

Excess Risk:

0.44

1.40

Information Ratio:

T-Stat:

0.31

0.70


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-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%

4.5%

-0.01-0.13

0.180.300.08

-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


Quarterly NOF Value Added vs. Russell 2000


0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

22%

24%

26%

1

1

1

1

1

1

1

Med75th95th

25th

5th

NTGI Structure 1 Russell 2000 MedianNumber of Funds


3.56 (60)3.34 (65)

3.80

79

9.22 (48)9.20 (50)

9.20

79

12.04 (25)11.89 (31)

10.60

79

14.85 (23)14.65 (28)

12.64

79

17.99 (55)17.93 (56)

18.39

77

10.48 (45)9.96 (72)

10.17

72

14.77 (38)14.12 (61)

14.63

60

10.1629


8.0 9.0 10.0 11.0 12.0 13.0 14.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

16.0

17.0

18.0

19.0

20.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

NTGI Structured

Russell 2000

Median

1

14.77

14.12

14.63

38

61

11.01

11.74

10.95

41

18

*TUCS Total Returns of Small Neutral Equity Portfolios Universe - Gross of Fees 55


CUSTOM BENCHMARK SPECIFICATIONUS Equity CompositeDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

Russell 3000

6/84

12/17

100.00

Russell 3000

56

NON-US EQUITYNON-US EQUITY


MANAGER ALLOCATIONNon-US Equity CompositeAs of December 31, 2017


American Century$154,385,254 11.83%

Blackrock ACWI Ex-US Small Cap$73,252,651 5.61%

Non-US Equity Transition$714,862 0.05%

Lazard Asset Mgmt$219,328,414 16.81%

LSV Asset Mgmt$206,260,691 15.81%

Pyramis Intl$758,142 0.06%

BlackRock ACWI Ex US$533,022,192 40.85%

Franklin Templeton$116,820,048 8.95%

Boston Company$139,545 0.01%

58


PERFORMANCE COMPARISONNon-US Equity CompositePeriods Ended December 31, 2017


0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

11

1

Med75th95th

25th 5th

Non-US Equity Composite 1 Policy Index 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds


5.60 (22)5.23 (35)

7.875.495.034.103.29115

12.92 (17)11.91 (39)

14.5312.4911.5610.268.28114

20.10 (25)18.69 (48)

23.9720.1018.6516.9414.63

112

29.61 (37)28.30 (53)

36.1331.0528.6425.8421.21

111

16.24 (38)16.02 (41)

20.3517.3715.6613.8710.53

109

9.33 (52)8.44 (69)

12.0310.649.358.336.36100

8.20 (53)7.35 (73)

14.398.988.267.304.85

95

2.51 (62)2.13 (77)

6.123.712.752.311.22

74

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





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

5.07

5.00

0.06

5.32

5.23

0.10

5.94

5.23

0.71

6.58

5.23

1.36

5.39

5.23

0.16

6.61

6.56

0.05

11.53

11.47

0.05

16.79

11.80

4.98

16.86

11.80

5.06

12.46

11.80

0.66

10.11

11.80

-1.69

13.96

13.91

0.05

18.00

17.92

0.08

26.38

18.50

7.88

23.71

18.50

5.21

20.55

18.50

2.04

16.09

18.50

-2.42

21.07

21.02

0.05

27.34

27.19

0.15

34.70

27.96

6.74

38.26

27.96

10.30

28.10

27.96

0.14

25.64

27.96

-2.32

31.89

31.64

0.26

8.21

7.83

0.38

8.46

8.38

0.08

12.04

8.38

3.65

8.46

8.38

0.07

8.05

8.38

-0.34

12.07

11.96

0.11

6.91

6.80

0.11

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

8.77

8.67

0.10

5.31

4.36

0.95

7.90

4.36

3.54

5.11

4.36

0.75

4.27

4.36

-0.09

11.40

10.76

0.64

60





Non-US Equity Composite

Net of Fee Return

Policy Index

Value Added

5.55

5.23

0.33

12.77

11.91

0.86

19.81

18.69

1.13

29.30

28.30

1.00

9.08

8.44

0.64

7.95

7.35

0.59

0.73

2.13

-1.40

3/31/00

3/31/00

3/31/00

2.61

2.98

-0.37

61


INVESTMENT MANAGER ANALYSISBlackRock ACWI Ex USDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-2.00

-1.50

-1.00

-0.50

0.00

0.50

1.00

1.50

2.00

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

Excess Return:

Excess Risk:

0.10

0.48

Information Ratio:

T-Stat:

0.21

0.47


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-0.8%

-0.6%

-0.4%

-0.2%

-0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

-0.02

-0.47

-0.17

0.13

-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


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


-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

1

1

1

1

1

1 1 Med75th95th

25th 5th

BlackRock ACWI 1 MSCI ACWI X US

MedianNumber of Funds


5.07 (47)5.00 (48)

4.912496

11.53 (50)11.47 (51)

11.592455

18.00 (53)17.92 (54)

18.492401

27.34 (59)27.19 (59)

29.092354

15.87 (45)15.29 (50)

15.362165

8.21 (53)7.83 (60)

8.401888

6.91 (52)6.80 (54)

7.001512

2.12885


2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

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

6.91

6.80

7.00

52

54

10.53

10.54

11.79

73

73

*Lipper Total Returns of International Equity Mutual Funds Universe - Net of Fees 62


INVESTMENT MANAGER ANALYSISAmerican CenturyDecember 31, 2017



3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

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

Excess Return:

Excess Risk:

0.07

5.39

Information Ratio:

T-Stat:

0.01

0.02


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

-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%

1.95

0.870.51

-1.85

2.44

3.27

-2.78-2.69

0.56

-4.22

-1.4

2.22

4.64

0.10


Quarterly NOF Value Added vs. Policy Index


-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

1 Med75th95th

25th 5th

American Centu 1 Policy Index MedianNumber of Funds


5.43 (33)5.23 (37)

4.76414

17.03 ( 6)11.80 (36)

10.95

408

26.72 ( 5)18.50 (39)

17.54

400

35.25 (11)27.96 (38)

27.01

393

13.94 (59)15.92 (39)

15.06

376

8.89 (49)8.38 (61)

8.86355

8.99309

3.62161


0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

American Century

Policy Index

Median

1

8.89

8.38

8.86

49

61

12.89

10.96

10.37

15

37

*TUCS Total Returns of Intl Equity Portfolios - Non-US Equity Universe - Gross of Fees 63


INVESTMENT MANAGER ANALYSISFranklin TempletonDecember 31, 2017



3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00


Excess Return:

Excess Risk:

3.37

4.10

Information Ratio:

T-Stat:

0.82

1.42


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

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

-1.55

3.31

0.360.842.00

2.67

0.57

-1.82

0.86

-3.22

3.78

-0.13

4.06

0.71




-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

1 Med75th95th

25th 5th

Franklin Templ 1 Policy Index MedianNumber of Funds


6.04 (20)5.23 (37)

4.76414

17.10 ( 5)11.80 (36)

10.95

408

24.40 ( 8)18.50 (39)

17.54

400

38.75 ( 5)27.96 (38)

27.01

393

18.72 (19)15.92 (39)

15.06

376

12.47 (11)8.38 (61)

8.86355

8.99309

3.62161


0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Franklin Templeton

Policy Index

Median

1

12.47

8.38

8.86

11

61

12.64

10.96

10.37

18

37



INVESTMENT MANAGER ANALYSISLazard Asset MgmtDecember 31, 2017



3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-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:

0.07

2.97

Information Ratio:

T-Stat:

0.02

0.04


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

-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




-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

1 Med75th95th

25th 5th

Lazard Asset M 1 Policy Index MedianNumber of Funds


6.65 (14)5.23 (37)

4.76414

12.60 (28)11.80 (36)

10.95

408

20.77 (23)18.50 (39)

17.54

400

28.41 (36)27.96 (38)

27.01

393

13.57 (65)15.92 (39)

15.06

376

8.70 (56)8.38 (61)

8.86355

8.99309

3.62161


0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Lazard Asset Mgmt

Policy Index

Median

1

8.70

8.38

8.86

56

61

10.44

10.96

10.37

47

37



INVESTMENT MANAGER ANALYSISLSV Asset MgmtDecember 31, 2017



3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-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:

-0.31

3.73

Information Ratio:

T-Stat:

-0.08

-0.14


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

-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




-5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1

⊕ 1 Med75th95th

25th 5th

⊕ LSV Asset Mgmt 1 Policy Index MedianNumber of Funds


5.53 (30)5.23 (37)

4.76414

10.45 (56)11.80 (36)

10.95

408

16.74 (61)18.50 (39)

17.54

400

26.40 (53)27.96 (38)

27.01

393

16.47 (34)15.92 (39)

15.06

376

8.63 (57)8.38 (61)

8.86355

8.99309

3.62161


0.0 4.0 8.0 12.0 16.0 20.0

-10.0

-5.0

0.0

5.0

10.0

15.0

20.0

25.0

⊕1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

LSV Asset Mgmt

Policy Index

Median

⊕1

8.63

8.38

8.86

57

61

10.86

10.96

10.37

39

37



INVESTMENT MANAGER ANALYSISBlackrock ACWI Ex-US Small CapDecember 31, 2017



3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-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. MSCI ACWI X US Small Cap (N) 80% Confidence Band

Excess Return:

Excess Risk:

0.09

0.27

Information Ratio:

T-Stat:

0.34

0.59


12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

2.45

0.03

-0.1

0.07

-0.02

0.180.050.04

-0.07

0.24

-0.31

0.090.14

-0.06

0.170.00

-0.01

0.05


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


0%

5%

10%

15%

20%

25%

30%

35%

40%

1

1

1

1

1

1

Med75th95th

25th 5th

Blackrock ACWI 1 MSCI ACWI X US



6.61 ( 8)6.56 ( 8)

5.3790

13.96 (19)13.91 (20)

12.5189

21.07 (52)21.02 (52)

21.1789

31.89 (52)31.64 (55)

32.1588

16.98 (31)16.96 (31)

16.1478

12.07 (29)11.96 (29)

10.6666

9.6357

4.3435


5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0

6.0

7.0

8.0

9.0

10.0

11.0

12.0

13.0

14.0

15.0

16.0

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

12.07

11.96

10.66

29

29

11.19

11.05

10.89

48

48

*Lipper Total Returns of Intl Equity Small/Mid Core Mutual Funds Universe - Net of Fees 67


CUSTOM BENCHMARK SPECIFICATIONNon-US Equity CompositeDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

Policy Index

6/00

9/17

12/17

6/17

9/17

12/17

100.00

100.00

100.00

Blended Non-US Benchmark



68

FIXED INCOME FIXED INCOME


MANAGER ALLOCATIONFixed Income CompositeAs of December 31, 2017


Manulife Asset Mgmt$156,781,236 16.99%

Loomis$42,232 0.00%

Marathon Bluegrass$121,514,393 13.17%

Waterfall$54,834,434 5.94%

BNY IG Credit$99,794,206 10.82%

PIMCO$73,655 0.01%

NISA$100,127,787 10.85%

BlackRock IG Credit$221,616,070 24.02%

Shenkman Capital$81,011,158 8.78%

Columbia$51,655,330 5.60%

Cerberus Capital Mgmt$35,282,560 3.82%

70


PERFORMANCE COMPARISONFixed Income CompositePeriods Ended December 31, 2017


-1%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

13%

1

1

1

1

1

1

1

1

Med75th95th

25th

5th

Fixed Income Composite 1 Policy Index 5th %tile25th %tileMedian75th %tile95th %tileNumber of Funds


0.44 (63)0.44 (63)

3.411.090.530.250.01137

1.54 (57)1.94 (45)

5.452.711.721.160.43127

3.24 (52)3.82 (43)

10.535.023.312.561.11124

5.12 (46)5.79 (38)

11.967.104.543.572.03115

7.16 (23)8.06 (15)

11.237.034.653.441.51111

5.02 (17)5.45 (10)

6.464.192.942.331.11106

3.85 (20)4.08 (19)

5.493.772.732.221.26

94

5.29 (36)5.07 (41)

8.545.534.914.083.02

61

*TUCS Total Ret of Fixed Income Investment Pools Universe - Gross of Fees 71





NISA

Net of Fee Return

Bloomberg Aggregate

Value Added

BlackRock IG Credit

Net of Fee Return

Bloomberg Int Credit

Value Added

Columbia

Net of Fee Return


Value Added

Marathon Bluegrass

Net of Fee Return


Value Added

0.48

0.39

0.09

0.11

0.11

0.00

0.26

0.47

-0.21

0.71

0.47

0.24

1.44

1.24

0.20

1.11

1.10

0.00

2.41

2.45

-0.04

-0.17

2.45

-2.62

2.97

2.70

0.26

2.29

2.50

-0.21

4.82

4.68

0.15

0.31

4.68

-4.37

3.83

3.54

0.28

7.10

7.50

-0.40

0.93

7.50

-6.58

2.51

2.24

0.27

6.25

6.35

-0.10

2.28

2.10

0.18

5.85

5.78

0.07

6/30/11

6/30/11

6/30/11

3/31/17

3/31/17

3/31/17

12/31/11

12/31/11

12/31/11

12/31/15

12/31/15

12/31/15

3.21

3.03

0.18

2.29

2.50

-0.21

7.47

7.39

0.08

8.61

12.21

-3.60

72

Manulife Asset Mgmt

Net of Fee Return

Policy Index

Value Added

0.28

0.41

-0.13

1.27

1.42

-0.15

2.97

2.96

0.00

4.44

4.09

0.35

3.08

1.51

1.57

3.04

0.55

2.49

12/31/11

12/31/11

12/31/11

4.39

1.26

3.14





Waterfall

Net of Fee Return

Policy Index

Value Added

Cerberus Capital Mgmt

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Shenkman Capital

Net of Fee Return

S&P LSTA Leverage Loan

Value Added

Fixed Income Composite

Net of Fee Return

Policy Index

Value Added


1.26

0.67

0.59

1.06

1.12

-0.06

0.70

1.12

-0.42

0.39

0.44

-0.05

1.08

4.40

2.19

2.20

2.33

2.17

0.16

2.01

2.17

-0.16

1.37

1.94

-0.57

2.86

8.07

3.85

4.22

4.92

2.95

1.97

2.50

2.95

-0.45

2.92

3.82

-0.90

5.54

13.12

6.03

7.09

7.44

4.12

3.32

3.51

4.12

-0.61

4.54

5.79

-1.25

7.39

7.74

4.67

3.06

8.45

4.44

4.01

3.80

4.44

-0.63

4.38

5.45

-1.07

2.02

8.87

4.24

4.63

3.11

4.54

-1.42

3.31

4.08

-0.77

0.79

4.95

5.07

-0.12

3.09

6/30/11

6/30/11

6/30/11

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

6/30/92

10.34

4.74

5.60

8.16

3.93

4.24

4.01

5.32

-1.31

6.45

6.46

-0.00

5.19

73


INVESTMENT MANAGER ANALYSISNISADecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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:

1.13

2.52


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-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%

0.00

-0.08

0.02

-0.03

0.080.010.03

0.070.030.03

0.070.09

0.30

0.050.04

-0.08

0.020.06

0.100.09


Quarterly NOF Value Added vs. Bloomberg Aggregate


0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

∞1

∞1

∞1

∞1 ∞

1 ∞1 ∞

1

Med75th95th

25th

5th

∞ NISA 1 Bloomberg Aggr



0.52 (55)0.39 (79)

0.5474

1.51 (55)1.24 (83)

1.5873

3.09 (55)2.70 (82)

3.1670

3.99 (57)3.54 (86)

4.2970

3.63 (61)3.09 (82)

3.9369

2.69 (55)2.24 (84)

2.8168

2.46 (55)2.10 (79)

2.5953

4.6131


-6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

∞1

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

NISA

Bloomberg Aggregate

Median

∞1

2.46

2.10

2.59

55

79

3.22

3.08

3.32

55

71

*TUCS Total Returns of Fixed Income Portfolios - Core Universe - Gross of Fees 74


INVESTMENT MANAGER ANALYSISManulife Asset MgmtDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

20.00


Excess Return:

Excess Risk:

2.47

2.87

Information Ratio:

T-Stat:

0.86

1.93


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

3.73

0.57

-1.35

1.98

-0.61-0.79

2.351.62

3.54

-0.22-0.53

1.02

-0.38-0.61

0.03

1.350.340.16

-0.02-0.13




-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

⊕ 1⊕ 1

⊕ 1

⊕1

⊕1 ⊕

1

⊕

1 Med75th95th

25th 5th

⊕ Manulife Asset 1 Policy Index



0.35 (80)0.41 (78)

0.8755

1.40 (95)1.42 (95)

3.0355

3.21 (93)2.96 (95)

6.1755

4.75 (95)4.09 (95)

9.1355

4.69 (80)4.00 (93)

6.6255

3.35 (30)1.51 (91)

2.9655

3.34 (21)0.55 (80)

1.6254

4.1429


-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0

-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

Media

n

Ris

k

Median

Return

Description Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Manulife Asset Mgmt

Policy Index

Median

⊕1

3.34

0.55

1.62

21

80

2.62

4.01

6.07

99

89

*TUCS Total Returns of Global Fixed Portfolios - Unhedged Universe - Gross of Fees 75


INVESTMENT MANAGER ANALYSISBlackRock IG CreditDecember 31, 2017



6/17 12/17

-0.4%

-0.3%

-0.2%

-0.1%

-0.0%

0.1%

-0.21

0.00 0.00


Quarterly NOF Value Added vs. Bloomberg Int Credit


-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%

1

1

1

Med75th95th

25th

5th

BlackRock IG C 1 Bloomberg Int



0.12 (42)0.11 (42)

0.05157

1.12 (36)1.10 (37)

0.77157

2.30 (39)2.50 (36)

1.83155

2.63154

2.44149

2.17142

1.97117

4.1159

*TUCS Total Returns of Fixed Income Portfolios - Intermediate Universe - Gross of Fees 76


INVESTMENT MANAGER ANALYSISColumbiaDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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:

0.07

2.05

Information Ratio:

T-Stat:

0.03

0.07


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

-0.43-0.12-0.23

-0.56

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


Quarterly NOF Value Added vs. Bloomberg High Yield


-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

1

1

1

1

1

11

Med75th95th

25th

5th

Columbia 1 Bloomberg High MedianNumber of Funds


0.36 (63)0.47 (59)

0.66116

2.48 (40)2.45 (41)

2.32116

5.07 (32)4.68 (50)

4.69116

7.48 (56)7.50 (55)

7.89115

10.01 (45)12.21 (17)

9.36112

6.62 (34)6.35 (41)

5.86103

6.26 (30)5.78 (38)

5.62

79

8.3031


0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0

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

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Columbia


Median

1

6.26

5.78

5.62

30

38

3.94

5.27

5.18

78

46

*TUCS Total Returns of Fixed Income Portfolios - High Yield Universe - Gross of Fees 77


INVESTMENT MANAGER ANALYSISMarathon BluegrassDecember 31, 2017



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

-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


Quarterly NOF Value Added vs. Bloomberg High Yield


-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

⊗ 1 ⊗

1

⊗

1

⊗

1

⊗1

Med75th95th

25th

5th

⊗ Marathon Blueg 1 Bloomberg High MedianNumber of Funds


0.39 (60)0.47 (59)

0.66116

-0.23 (98)2.45 (41)

2.32116

0.49 (99)4.68 (50)

4.69116

1.80 (99)7.50 (55)

7.89115

10.89 (35)12.21 (17)

9.36112

5.86103

5.6279

8.3031



INVESTMENT MANAGER ANALYSISWaterfallDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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:

4.44

3.77

Information Ratio:

T-Stat:

1.18

2.63


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

-0.22

3.91

1.501.600.040.86

3.721.83

-0.19

0.94

3.96

0.79

-3.24

1.83

-3.01

1.082.571.891.59

0.59




-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

χ1

χ

1

χ

1

χ

1

χ

1 χ

1

χ

1

Med75th95th

25th

5th

χ Waterfall 1 Policy Index MedianNumber of Funds


1.39 (22)0.67 (49)

0.66116

4.60 (11)2.19 (55)

2.32116

8.41 (10)3.85 (77)

4.69116

13.63 ( 3)6.03 (78)

7.89115

10.83 (36)8.59 (58)

9.36112

8.45 ( 7)4.67 (81)

5.86103

10.17 ( 6)4.24 (91)

5.62

79

8.3031


0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0

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

χ

1

Media

n

Ris

k

Median

Return

Description

Legend

Gross Fee Ret

Value Rank

Standard Deviation

Value Rank

Waterfall

Policy Index

Median

χ1

10.17

4.24

5.62

6

91

3.43

3.40

5.18

86

87



INVESTMENT MANAGER ANALYSISCerberus Capital MgmtDecember 31, 2017



12/14 3/15 6/15 9/15 12/15 3/16 6/16 9/16 12/16 3/17 6/17 9/17 12/17

-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. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

4.07

3.19

Information Ratio:

T-Stat:

1.28

2.22


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

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

1.68

0.04

2.22

3.553.81

0.84

-0.77-1.52

0.02

1.261.77

0.21

-0.06


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

80


INVESTMENT MANAGER ANALYSISShenkman CapitalDecember 31, 2017



12/13 12/14 12/15 12/16 12/17

-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. S&P LSTA Leverage Loan 80% Confidence Band

Excess Return:

Excess Risk:

-1.36

1.48

Information Ratio:

T-Stat:

-0.92

-2.07


6/13 12/13 6/14 12/14 6/15 12/15 6/16 12/16 6/17 12/17

-8.0%

-7.0%

-6.0%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

-0.66

0.13

-0.19-0.07-0.54

-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


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

81


CUSTOM BENCHMARK SPECIFICATIONFixed Income CompositeDecember 31, 2017


Quarter Start

Quarter End

Percent

Description

Policy Index


9/92

9/17

9/92

6/17

12/17

12/17

100.00

50.00

50.00

100.00

Blended Fixed Benchmark

Bloomberg Universal



82

REAL RETURN REAL RETURN


MANAGER ALLOCATIONReal Return CompositeAs of December 31, 2017


Nuveen Real Asset$90,628,028 20.42%

Amerra AGRI Fund II$10,001,698 2.25%

Amerra AGRI Holdings$25,736,024 5.80%

Magnetar MTP EOF II$7,856,139 1.77%

Oberland Capital$1,583,248 0.36%

TPF II$76,425 0.02%

Taurus Mine Finance$6,730,082 1.52%

Magnetar MTP$9,950,461 2.24%

BTG Pactual$8,150,593 1.84%

Tortoise Capital$22,786,817 5.13%

PIMCO All Asset$146,149,126 32.93%

Internal TIPS$114,219,035 25.73%

84





Internal TIPS

Net of Fee Return

Bloomberg U.S. 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

0.33

1.26

-0.93

1.00

0.53

0.47

-0.66

-0.95

0.29

1.39

1.04

0.35

-2.02

-1.23

2.94

1.06

2.14

-1.08

4.14

1.24

2.90

-2.60

-3.97

1.37

4.02

3.03

0.99

-1.67

-2.73

0.38

0.71

1.73

-1.02

6.08

0.83

5.25

-7.98

-10.07

2.09

7.25

6.93

0.32

-0.60

-4.48

4.60

1.77

2.80

-1.03

14.06

1.90

12.16

-3.31

-6.52

3.21

12.42

12.59

-0.18

-0.18

-2.07

5.60

2.04

2.08

-0.04

4.86

1.78

3.08

-6.44

-9.33

2.89

5.71

-9.92

0.19

-0.05

0.24

3.22

0.09

3.13

5.11

-0.06

5.17

5.13

3.58

3.44

0.15

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

4.37

4.14

0.23

5.83

0.90

4.93

12.42

7.98

4.44

6.16

6.18

-0.02

5.13

-0.76

-9.92

85





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

5.03

8.17

-1.53

-0.22

0.73

0.72

0.01

0.86

38.40

0.24

0.19

2.15

1.21

0.94

4.68

45.35

2.55

3.30

2.83

1.30

1.53

5.45

50.60

8.88

3.30

7.38

3.86

3.52

18.82

-2.53

3.40

2.29

1.11

-5.19

1.76

2.46

-0.71

9/30/15

9/30/14

3/31/15

9/30/08

6/30/11

6/30/11

6/30/11

0.66

16.09

14.04

-3.74

3.73

2.87

0.86

86


CUSTOM BENCHMARK SPECIFICATIONReal Return CompositeDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


9/11

12/17

100.00


87

REAL ESTATE REAL ESTATE


MANAGER ALLOCATIONReal Estate CompositeAs of December 31, 2017


Divcowest IV$2,541,391 1.06%

Greenfield Acq VI$4,166,734 1.74%

Lubert Adler VII$15,321,435 6.41%

Mesa West Core Lend$33,564,404 14.03%

Stockbridge Sm/Mkts$35,661,845 14.91%

Walton St RE VI$1,638,321 0.68%

Lubert Adler VII B$3,989,387 1.67%

Mesa West IV$4,329,928 1.81%

Patron Capital$3,668,410 1.53%

Fundamental Partners III$12,538,529 5.24%

Walton St RE VII$10,591,286 4.43%

Rubenstein PF II$6,996,213 2.93%

Prologis Targeted US$27,384,791 11.45%

Harrison Street$33,214,224 13.89%

H/2 Credit Partner$32,870,786 13.74%

Greenfield Acq VII$10,704,023 4.48%

89





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

0.20

1.26

0.81

0.14

2.82

4.31

1.56

6.23

5.44

1.66

-0.62

5.64

8.46

2.74

5.26

6.07

3.03

9.85

8.34

3.78

9.36

5.58

9.06

4.82

7.84

7.38

4.85

14.27

12.33

5.58

16.06

10.73

14.91

7.89

10.78

9.19

6.76

21.71

13.59

8.27

27.39

9.90

14.32

6.34

9.28

4.28

7.32

16.13

8.57

9.76

11.50

6.02

9.32

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

22.83

11.50

11.45

6.44

8.53

-3.94

6.54

14.80

13.74

9.94

90





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

2.57

2.12

1.91

-4.11

1.27

-0.90

2.27

1.64

0.63

4.62

6.14

1.87

-4.11

3.10

7.01

4.85

3.13

1.72

6.11

8.65

0.47

12.09

7.17

4.72

2.45

7.02

11.58

15.77

10.54

6.69

3.84

5.17

13.54

9.76

9.84

-0.08

9.31

9.11

10.57

-1.46

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

-19.92

13.68

1.87

-4.11

0.47

-14.70

9.23

7.87

1.36

91


CUSTOM BENCHMARK SPECIFICATIONReal Return CompositeDecember 31, 2017


Quarter Start

Quarter End

Percent

Description


9/11

12/17

100.00


92

ABSOLUTE RETURNABSOLUTE RETURN


MANAGER ALLOCATIONAbsolute Return CompositeAs of December 31, 2017


Anchorage Capital$11,000,236 3.35%

BAAM$50,554 0.02%

Davidson Kempner LP$19,013,928 5.78%

DSAM Fund LP$221,460 0.07%

Governors Lane Onshore$9,136,065 2.78%

HBK II$18,089,456 5.50%

Karya Fund LLC$7,242,051 2.20%

Liquidalts H20 Force$6,747,859 2.05%

Myriad Opportunities$19,343,036 5.89%

Pershing Square$622,274 0.19%

PRISMA Capital$154,560,322 47.02%

Scopia$200,254 0.06%

Senator LP$6,598,537 2.01%

Tide Point Partners$7,167,855 2.18%

Tricadia Select$1,894,828 0.58%

Tourbillon Global Equity$5,254,489 1.60%

Systematica Blue Matrix$5,169,960 1.57%

SRS Partners US$3,084,482 0.94%

Prudential Fund I$6,637,499 2.02%

Pine River$466,416 0.14%

PAAMCO$237,686 0.07%

Luxor Capital$4,960,421 1.51%

Libremax Capital$66,461 0.02%

Knighthead$2,334,903 0.71%

Gotham Neutral Strategies$5,452,928 1.66%

Glenview Institution$154,288 0.05%

Credit Suisse$12,455,121 3.79%

Coatue Qualified Partners$6,939,077 2.11%

Blackstone Strat Opp$2,272,419 0.69%

BlackRock GAO$11,307,787 3.44%

94





Anchorage Capital

Net of Fee Return

BAAM

Net of Fee Return

BlackRock GAO

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

DSAM Fund LP

Net of Fee Return

Glenview Institution

Net of Fee Return

Gotham Neutral Strategies

Net of Fee Return

3.15

0.00

-0.67

1.32

0.63

1.54

0.79

0.00

0.00

-0.10

4.75

0.08

1.42

7.08

3.54

2.25

0.00

0.00

-0.58

4.00

1.06

1.95

15.12

4.31

0.45

-0.02

-4.62

7.50

1.17

5.59

25.75

6.44

4.47

9.74

2.64 5.40

9/30/16

9/30/11

9/30/16

9/30/17

6/30/15

6/30/17

3/31/16

6/30/16

12/31/15

3/31/17

7.26

5.64

-0.18

1.32

14.01

3.54

7.88

1.76

3.02

-4.62

95





Governors Lane Onshore

Net of Fee Return

HBK II

Net of Fee Return

Karya Fund LLC

Net of Fee Return

Knighthead

Net of Fee Return

Libremax Capital

Net of Fee Return

Liquidalts H20 Force

Net of Fee Return

Luxor Capital

Net of Fee Return

Myriad Opportunities

Net of Fee Return

PAAMCO

Net of Fee Return

Pershing Square

Net of Fee Return

-1.70

2.09

9.45

1.06

0.00

-1.80

3.34

3.52

-14.50

1.37

-0.29

2.54

12.10

2.45

0.00

0.50

10.17

8.67

-14.50

2.44

3.65

11.94

3.22

-0.04

3.53

13.27

13.75

-14.50

5.27

5.76

1.16

2.67

25.35

14.87

-14.50

3.00

1.00

1.18

1.74

-6.32 -0.39

3/31/17

12/31/13

3/31/17

12/31/13

9/30/14

9/30/16

3/31/14

6/30/16

9/30/11

9/30/17

2.44

3.24

11.94

2.13

1.42

7.71

-0.21

12.29

0.54

1.37

96





Pine River

Net of Fee Return

PRISMA Capital

Net of Fee Return

Prudential Fund I

Net of Fee Return

Scopia

Net of Fee Return

Senator LP

Net of Fee Return

SRS Partners US

Net of Fee Return

Systematica Blue Matrix

Net of Fee Return

Tide Point Partners

Net of Fee Return

Tourbillon Global Equity

Net of Fee Return

Tricadia Select

Net of Fee Return

-0.51

1.20

-0.03

0.02

2.62

3.00

0.76

7.67

-9.11

-4.00

0.84

2.95

0.99

5.58

6.39

6.46

10.14

-10.20

0.11

3.15

4.27

3.60

9.93

5.28

1.15

-11.73

-0.36

4.21

2.71

13.62

-12.54

0.12

1.96

-0.36

3.72

6/30/14

9/30/11

3/31/17

12/31/14

9/30/16

9/30/17

3/31/17

3/31/17

12/31/15

9/30/17

0.58

3.76

4.27

-0.36

10.65

3.00

5.28

1.15

-11.16

-4.00

97





Absolute Return Composite

Net of Fee Return


Value Added

1.31

1.41

-0.11

3.35

3.27

0.08

3.79

4.20

-0.41

5.35

7.07

-1.72

2.27

2.11

0.16

4.65

3.90

0.75

3/31/10

3/31/10

3/31/10

4.07

3.00

1.07

98


CUSTOM BENCHMARK SPECIFICATIONAbsolute Return CompositeDecember 31, 2017


Quarter Start Quarter End Percent Description

HFRI FOF Div (1 Month Lag) 6/10 12/17 100.00 HFRI FOF Div (1 Month Lag)

99

WILSHIRE ASSOCIATES - Kentucky Performance... · 2019. 7. 2. · ©2017 Wilshire Associates. 5...

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