Pennsylvania State Employees’ Defined Benefit Plan

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September 24, 2019Pennsylvania State Employees’Retirement System – DefinedBenefit PlanSecond Quarter 2019Executive SummaryThomas H. ShinglerSenior Vice PresidentBud PellecchiaSenior Vice PresidentBritton M. MurdochVice President

Market Environment

Does Strong First Half Spell Problems for Second Half of 2019 and 2020?Central bank policy front and center– Fed adopted dovish tone in January, a sharpreversal in stance. Rates held constantthrough Q2; rate cuts now expected in Q3 orQ4 2019.However, U.S. economy remains strong,labor market very tight, reaching the limitsof full employment– Solid Q1 GDP growth (3.2%) moderated inQ2 (2.1%), will soften further in face ofslowing global economy, trade uncertainty.– Policy reversal simultaneously stoked fearsof coming slowdown and fed a rally in bonds.The slowdown in Europe and Chinaweighing on global growth– China suffering dramatic slowdown in growth:industrial output, retail sales, implied GDP.Inflation remains stuck below 2% in U.S.,weaker overseasReturns for Periods ended June 30, 2019U.S. EquityRussell 3000S&P 500Russell 2000Non-U.S. EquityMSCI World ex USAMSCI Emerging MarketsMSCI ACWI ex USA Small CapFixed IncomeBloomberg Barclays Aggregate3-Month T-BillBloomberg Barclays Long Gov/CreditBloomberg Barclays Global Agg ex-USReal EstateNCREIF PropertyFTSE NAREIT EquityAlternativesCS Hedge FundCambridge Private Equity*Bloomberg CommodityGold Spot PriceInflation - CPI-U1 Quarter1 Year5 Years10 Years25 321.695.322.22– Wage pressures building in U.S. have yet totranslate into headline inflation.*Cambridge PE data are available through December 31, 2018.Source: CallanKnowledge. Experience. Integrity.2

Fed Pauses in 2019 After 9 Interest Rate HikesFed projections now more in line with market expectationsMedian of 2019 projections (2.4%) signals no morerate hikes this year– June median is the same as March, and down from2.9% projected in December.Federal Reserve Dot Plot— June 2019FOMC participants’ assessments of appropriate monetary policy:Midpoint of target range or target level for the federal funds rate– Longer term, median expectation is settled around2.6%.Fed called rate hikes into question at January 2019FOMC meeting, and articulated the pause in Marchand June– 8 out of 10 board members suggested a rate cutbefore end of 2019; bond market priced in a 100%probability of at least one cut this year.The Fed proceeded with a widely anticipated (andclearly signaled) interest rate cut in July,describing it as “a mid-cycle adjustment to policy.”– Rate pause and cut represents a shift from traditionalFed policy of price stabilization and employment; Fedhas now fully articulated market growth and stabilityas a goal.– Fed stated further rate hikes will be “data driven,” butstrong economic results have been used to justify thepause: “ a downturn must be coming ”Source: Federal ReserveKnowledge. Experience. Integrity.3

Trade War With ChinaSubstantial impact on trade, but small impact on U.S. GDPU.S. Bilateral Trade With China (3 month average, % change y/y)Exports to China have fallen by 20%,imports are down by more than 10% (topchart)– However, decline in exports subtracted lessthan 0.1% from U.S. GDP in Q1 2019.Threatened tariffs could reduce GDP by0.2% in second half of 2019 and another0.2% in first half of 2020U.S. Tariffs on China ( B and % of GDP)– Analysis assumes 10% tariff in 2019, rising to25% in 2020.– Chart depicts cumulative impact on GDPgrowth through Q2 2020 is less than 1%.– Larger impact is on business confidence andinvestor sentiment.Sources: Capital Economics; IHS MarkitKnowledge. Experience. Integrity.4

Broad-Based Inflation Measures Still Benign in the U.S.Expectations have fallen again and are low relative to long-term history10-Year Breakeven Inflation RateU.S. Average Hourly Earnings, %Year over YearU.S. breakeven rate recovered somewhat in Q1 2019, onlyto plunge again in Q2Wage growth topped 3% annually in the second half of2018, continued into Q1 and Q2 2019– Breakeven rate (TIPS vs nominal Treasury yields) hadrecovered with oil prices, but expectations weakened as theFed changed its policy stance.– Steady rise of 2017 has been shrugged off.– Tight labor markets finally pushing up wages; good news forworkers and consumer spendingHowever, wage pressure yet to show as headline inflationSources: Federal Reserve, U.S. Department of LaborKnowledge. Experience. Integrity.5

Long Period of Zero Interest Rate Policy Skews Memories of ‘Normal Markets’Yields on 2- and 10-year Treasury notes now back at level of the S&P dividend10-Year Treasury2-Year TreasuryS&P 500 Dividend Yield16.014.012.0Yield %10.08.06.04.02.00.083 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19– Long-term historical relationship between bond yields and dividends has been distorted by 10 years of extreme policy intervention– After Fed rate hikes starting in 2017, 2-year Treasury yields rose above dividends. Both 2- and 10-year Treasury yields fell back tothe level of stock dividends in Q2 2019Source: CallanKnowledge. Experience. Integrity.6

Global Equity Valuations—Historical DataPrice/Earnings Ratio (exc neg) for 15 Years ended June 30, 201935.030.025.020.020.5 - S&P 50015.017.7 - S&P 500 Average15.4 - MSCI EAFE Average14.9 - MSCI EAFE13.4 - MSCI Emerging Markets13.4 - MSCI Emerging Markets Average10.05.02004 172018 2019U.S. equity valuations plummeted in Q4 to their historical average, but popped back up in Q1 and Q2 2019– U.S. remains higher than non-U.S. developed and emerging market equity valuations relative to the 15-year average for each index.– Despite reasonable relative valuations, both political and economic risks remain in non-U.S. markets.Forward valuations dropped during 2018, but June 2019 reading of 17.1 for S&P 500 is back above the 25-year averageSources: MSCI, Standard & Poor’s, CallanKnowledge. Experience. Integrity.7

Fixed Income Valuations Back Below Historical Median LevelsSource: Eaton VanceSpreads widened during 2018 relative to Treasuries on a 15-year basisHowever, spreads narrowed again in Q1 2019, and held steady through Q2 2019. Spreads are below median for all sectorsexcept EMD– Below-investment grade sectors such as high yield and bank loans still maintain a yield advantage over other spread sectors.Source: Factset as of 06/30/19. Spread history measures past 15 years. Data provided is for informational use only. Past performance is no guarantee of future results. All fixed-income spreads are inbasis points and measure option-adjusted yield spread relative to comparable maturity U.S. Treasuries using daily data. Loan Index spread represents the three-year discounted spread over LIBOR.Aggregate represented by Bloomberg Barclays US Aggregate Index. Agency represented by Bloomberg Barclays US Agency Index. MBS represented by Bloomberg Barclays US Mortgage BackedSecurities (MBS) Index. ABS represented by Bloomberg Barclays US Asset Backed Securities (ABS) Index. CMBS represented by Bloomberg Barclays US CMBS Investment Grade Index. Corporaterepresented by Bloomberg Barclays US Corporate Investment Grade Index. Preferred represented by ICE BofAML Fixed Rate Preferred Securities Index. Floating-Rate Loans represented by S&P/LSTALeveraged Loan Index. Emerging Markets(USD) represented by JPMorgan Emerging Markets Bond Index (EMBI) Global Diversified. High Yield represented by ICE BofAML US High Yield Index.Knowledge. Experience. Integrity.8

Negative Yielding Debt – How Low Can You Go?Negative-yielding bonds rose to 12.9– Beating the former high water mark set in2016– Japanese and German 10-year yieldsdeclined to -0.16% and -0.33% in the secondquarter, respectively, the lowest since 2016.Central banks’ monetary policy tools haveevolved in order to stimulate inflationRise in Negative Yielding DebtMarket Value (trillions)trillion globally as of June 30, 20196050403020100Dec-14– Interest rate cutting has produced limitedsuccess in lifting inflation.– Quantitative-easing measures such as bondpurchasing programs have become morecommonplace, but may continue to depressbond yields in the near future.The new normal?– Global bond market has entered its 3rd yearwith more than 7 trillion in negative-yieldingbonds.– With economic growth and inflation remainingbenign in developed markets, negativeyielding debt may remain n-18Dec-18Jun-19Bloomberg Barclays Global Agg IndexBloomberg Barclays Global Agg Negative Yielding Debt IndexCountry Breakdown of Negative Yielding Debt100%Rest of World80%Euro ex Germanyex -16Dec-17Dec-18Source: (Top, Bottom) Barclays LiveKnowledge. Experience. Integrity.9

Callan Periodic Table of Investment ReturnsReturns Ranked in Order of Performance (as of June 30, .S.FixedIncome11.63%High Yield5.28%CashCashEquivalent Equivalent6.18%4.42%20022003Non-U.S. 39.38%U.S.FixedIncome5.24%37.96%Small Cap .38%14.47%25.71%LargeCapEquity4.91%Small CapEquity1.78%39.42%18.33%Non-U.S. Emerging High Yield High Yield Non-U.S. Small 2.61%-1.37%28.97%12.54%4.55%High Yield Non-U.S. all CapEquityNon-U.S.Equity-21.40%42.12%Emerging all Cap Small CapCashNon-U.S. Small CapEquityEquity Equivalent 8.68%High U.S.EquityLargeCashCashNon-U.S.CapEquivalent RealEstate37.13%RealEstate19.63%High Yield Non-U.S. High y5.49%Small Cap Small CapEquityEquity11.85%5.00%-26.16%CashSmall CapEquivalent FixedIncome7.84%RealEstateSmall y1.38%Small Cap EmergingCashEquityMarket 39%LargeCapEquity13.69%U.S.FixedIncome0.55%High Yield valent16.41%21.02%U.S.FixedIncome5.97%High Yield EmergingMarketEquity4.98%18.23%Emerging dIncome6.97%High Yield Non-U.S. High Yield .FixedIncome2.43%2010Emerging Small CapMarketEquityEquity78.51%26.85%Non-U.S. High lentIncome11.03%2.06%CashHigh 0%Small Cap High Yield Small gh Yield et Equivalent Equivalent Market -18.42%0.11%-3.08%-4.41%Emerging High YieldMarketEquity-2.19%-4.47%Non-U.S. Emerging 60%-3.09%U.S.FixedIncome4.33%Knowledge. Experience. ixedIncome2.65%Non-U.S.FixedIncome1.49%2 Qtrs.2019LargeCapEquity18.54%Small CapEquity16.98%High Yield Non-U.S.Equity-2.08%Emerging Small Cap 2.15%Non-U.S. Small Cap High YieldCashCashSmall Cap Non-U.S.EquityEquityEquivalent Equivalent High Yield10.36%-5.63%9.94%High Yield Small e4.99%Non-U.S. EmergingCashCashEmergingCashEquityMarket Equivalent Equivalent Market 7%1.24%10

PA SERS Defined Benefit PlanPerformance Review

Total FundActual Asset Allocation versus Target as of June 30, 2019Actual Asset AllocationPrivate Equity14%Asset Class Weights vs Callan Public Fund Spons- V Lg DB ( 10B)Legacy Hedge Funds0%Real 0%(75)(22)Fixed Income14%(94)(78)0%(10%)Global Public Equity55%Multi-Strategy6%10th Percentile25th PercentileMedian75th Percentile90th PercentileFundTarget Asset Allocation% Group ityAlternativ eGlobalEquity MandatesPriv 84.62%96.15%76.92%23.08%30.77%Private Equity16%Real Estate12%Cash3%Fixed Income11%Global Public Equity48%Asset ClassPriv ate EquityGlobal Public EquityMulti-StrategyFixed IncomeCashReal EstateLegacy Hedge FundsTotal %11.0%3.0%12.0%0.0%100.0%PercentDif f erence(2.4%)7.0%(4.4%)3.5%1.8%(5.6%)0.1% 000sDif f 5(1,641,568)37,978Multi-Strategy10%* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.12

Total FundAttribution Analysis versus Target – Net of Fees as of June 30, 2019Relative Attribution Effects for Quarter ended June 30, 2019Ef f ectiv eActualAsset ClassWeightFixed Income14%Real Estate6%Multi-Strategy7%Global Public Equity54%Legacy Hedge Funds0%Priv ate Equity13%Cash5%Ef f ectiv 89%1.68%3.37%1.48%4.99%0.64%3.45% 3.38% Total What helped relative attribution? Outperformance relative to target from MultiStrategy, Global Public Equity and FixedIncome managers 5%)(0.03%)TotalRelativ %)0.14% (0.08%)0.07%ManagerEf f ect0.02%(0.04%)0.12%0.06%(0.01%)0.00%(0.00%)What hurt relative attribution? An underweight to Private Equity (attributionbased on target return) An overweight to Global Public Equity, Cash,and Fixed Income (attribution based on targetreturn) Underperformance relative to target from RealEstate ManagersAn underweight to Multi-Strategy (attributionbased on target return)* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.13

Total FundGross of Fee Performance versus Peers and Benchmark (As of June 30, 2019)Callan Public Fund Spons- V Lg DB ( )(23)2%0%LastQuarterLastYearLast3 YearsLast5 9.959.619.108.657.236.966.556.165.89Total Fund3.526.179.346.27Policy Target3.386.888.936.5710th Percentile25th PercentileMedian75th Percentile90th Percentile* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.14

Total FundAsset Allocation-Adjusted Gross of Fee Peer Performance Comparison as of June 30, 2019 For this comparison, each fund in the Database is adjusted to have the same asset allocation as PennsylvaniaSERS. This removes large asset allocation variances among plans and allows for a greater focus on managerperformance.Asset Allocation Adjusted )3%2%10th Percentile25th PercentileMedian75th Percentile90th PercentileTotal FundLastQuarterLastYearLast3 YearsLast5 27* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.15

Total FundRolling 3-year Gross of Fee Performance versus Peers and Benchmark (As of June 30, 2019)Rolling 12 Quarter Gross of Fee Returnsfor 15 Years Ended June 30, 20192520Returns151050(5)(10)20042005200620072008PA SERS-Total Fund2009201020112012201360% MSCI ACWI IMI / 40% Blmbg U.S. Aggregate201420152016201720182019SERS Total Fund Custom Benchmark Target* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.16

Total FundRolling 5-year Gross of Fee Performance versus Peers and Benchmark (As of June 30, 2019)Rolling 20 Quarter Gross of Fee Returnsfor 15 Years Ended June 30, 5)20042005200620072008PA SERS-Total Fund2009201020112012SERS Total Fund Custom Benchmark Target201320142015201620172018201960% MSCI ACWI IMI / 40% Blmbg U.S. Aggregate* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.17

Total FundPerformance versus Total Fund Target as of June 30, 2019Cumulative Returns Actual vs Target45%40%T otal FundT otal Fund T argetCumulative 0182019Five Year Annualized Risk vs Return8.0%7.5%Returns7.0%Total Fund Target6.5%Total 0%8.5%9.0%Standard Dev iationSquares represent membership of the Callan Public Fund Spons- V Lg DB ( 10B)* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.18

Total FundRisk Statistics versus Peers as of June 30, 2019Rolling 12 Quarter Tracking Error vs Targets Compared to Callan Public Fund Spons- V Lg DB ( 10B)4.00Total FundGroup Median3.50Tracking 0182019Risk Statistics Rankings vs Total Fund TargetRankings Against Very Large Public Funds ( 10B)Five 1.23)1.26B(1.90)(2.25)1.6610th Percentile25th PercentileMedian75th Percentile90th PercentileT otal Fund60% MSCI ACWIMI/40% U.S. Agg (2.0)10th Percentile25th PercentileMedian75th Percentile90th PercentileT otal Fund60% MSCI ACWIMI/40% U.S. Agg BondA(14)B(19)A(14)B(21)A(97)B(99)B(89)A(90)Rel. Std.Dev iationBetaExcessRtn. )A 1.191.18(0.24)(1.41)B 1.131.08(1.14)(1.37)* Current Target 48.0% MSCI ACWI IMI, 16.0% Private Equity, 12.0% Real Estate Custom Benchmark, 11.0% Blmbg Aggregate, 10.0% S&P/LSTA, Leveraged Loan, 3.0% 3-month Treasury Bill and0.0% Hedge Fund Custom Benchmark.Knowledge. Experience. Integrity.19

Asset Class ReturnsAs of June 30, 2019MarketValue (mm)EndingWeightTotal FundT otal Fund Custom Benchmark(1)Public Market Equiv Benchmark(2)60/40 Index(3) 66%6.08%6.68%4.68%Global Public EquityMSCI ACWI IMI 6%11.42%6.31%6.03%Fixed IncomeBlmbg Aggregate 31%2.65%2.95%Multi-StrategyS&P/LST A Leveraged LoanRussell 3000 Index .97%8.98%5.24%14.02%3.68%10.19%Real EstateReal Estate Custom BenchmarkCPI 3% (Qtr lag) 0%4.86%2.13%6.83%5.20%4.92%8.94%4.47%Priv ate EquityBurgiss Private Equity Custom IndexRussell 3000 3% (Qtr lag) ash3-month T reasury Bill sLast5YearsNet Performance(1) Total Fund Custom Benchmark returns provided by RVK. Benchmark consists of: 16% SERS Private Equity Composite, 48% MSCI ACW IM Index, 12% Real Estate Custom Benchmark, 10%S&P/LSTA Leveraged Loan Index, 11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index(2) Public Market Equivalent Benchmark returns provided by RVK. Benchmark consists of: 16% Russell 3000 3% (Qtr Lag), 48% MSCI ACW IM Index, 12% CPI 3% (Qtr Lag), 10% S&P/LSTALeveraged Loan Index, 11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index(3) Benchmark consists of 60% MSCI ACWI IMI Index, 40% Bloomberg U.S. Aggregate Index.Knowledge. Experience. Integrity.20

Asset Class ReturnsAs of June 30, nceInceptionNet PerformanceTotal FundT otal Fund Custom Benchmark(1)Public Market Equiv Benchmark(2)60/40 Global Public EquityMSCI ACWI )Fixed IncomeBlmbg 85%2.88%2.52%3.65%3.28%(1/87)Multi-StrategyS&P/LST A Leveraged LoanRussell 3000 IndexReal EstateReal Estate Custom BenchmarkCPI 3% (Qtr lag)Priv ate EquityBurgiss Private Equity Custom IndexRussell 3000 3% (Qtr lag)Cash3-month T reasury ) Total Fund Custom Benchmark returns provided by RVK. Benchmark consists of: 16% SERS Private Equity Composite, 48% MSCI ACW IM Index, 12% Real Estate Custom Benchmark, 10%S&P/LSTA Leveraged Loan Index, 11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index(2) Public Market Equivalent Benchmark returns provided by RVK. Benchmark consists of: 16% Russell 3000 3% (Qtr Lag), 48% MSCI ACW IM Index, 12% CPI 3% (Qtr Lag), 10% S&P/LSTALeveraged Loan Index, 11% Bloomberg US Agg Bond Index, 3% ICE BofAML 3 Mo US T-Bill Index(3) Benchmark consists of 60% MSCI ACWI IMI Index, 40% Bloomberg U.S. Aggregate Index.Knowledge. Experience. Integrity.21

Global Equity as of June 30, 2019Performance vs Callan Global Equity (Gross)30%Style Map vs Callan Global EquityHoldings as of June 30, 55)(65)5%(58)*Global Public EquityMid(60)(62)(65)MSCI ACWI IMI(56)(56)0%(5%)Last QuarterLast 1/2 YearLastYearLast 2 YearsLast 3 YearsLast 5 YearsLast 7 12.5711.269.928.65MicroGlobal Public Equity3.5216.884.467.8311.946.5210.55MSCI ACWI IMI3.3716.084.567.8011.426.039.9010th Percentile25th PercentileMedian75th Percentile90th PercentileValueCoreGrowthActive Share vs. Pub Pln- Glbl Equity100%90%80%70%60%50%40%30%20%10%0%10th Percentile25th PercentileMedian75th Percentile90th PercentileGlobalPublic Equity(8)(93)(87)(78)Non-IndexActiv e ShareIndexActiv e owledge. Experience. Integrity.Passiv eShare(90)SectorActiv e ShareTotalActiv e Share22

Global EquityAs of June 30, 2019Portfolio Characteristics Percentile RankingsRankings Against Callan Global Equityas of June 30, 20190%20%Information 17.4Financials(43)(49)(46)(65)(54)70%Consumer Discretionary(65)(73)7.67.87.87.08.18.5Consumer Staples80%Communication Services90%100%5.35.65.05.15.34.3EnergyWeighted MedianPrice/ForeMarket Capcasted Earnings10th Percentile25th PercentileMedian75th Percentile90th 13.1311.05Price/BookForecastedEarnings ividendYield3.322.732.061.531.06MSCICombined 611.011.3Industrials(58)(63)11.911.3Health Care(41)50%Mgr MV10%50%Mgr MVSector AllocationJune 30, 2019MaterialsReal Estate1.5Utilities0.90.33.24.2Sector Div ersificationManager3.39 sectorsIndex3.57 sectors2.83.2Miscellaneous0.2Pooled Vehicles*Global Public Equity34.6915.502.1012.482.250.02MSCI ACWI IMIIndex (USD Net Div)42.6315.412.1112.642.43(0.02)0%5%*Global Public Equity10%15%20%25%MSCI ACWI IMI Index (USD Net Div)Callan Global EquityRisk Adjusted Return Measures vs MSCI ACWI IMIRankings Against Public Fund - Global Equity (Gross)Five Years Ended June 30, 2019321(15)(25)(25)0(1)(2)(3)(4)(5)10th Percentile25th PercentileMedian75th Percentile90th PercentileGlobal Public EquityAlphaSharpeRatioExcess . Experience. Integrity.23

Fixed IncomeAs of June 30, 2019Performance vs Public Fund - Domestic Fixed (Gross)10%(26)(28)39.521.9(14)7%45.518.0US TrsyCorp (incl 144A)78.225.013.1RMBS(54)6%27.29.71.95.87.4Gov Related5%CMBS(39)4%(64)2.02.42.0Cash(34)(14)3% (21)(30)(68)0.5Bk Ln(69)(73)(77)50%Mgr MV8%50%Mgr MVSector AllocationJune 30, 20199%0.4ABS0.50.32%Tax-Exempt US Muni1%0.1Last Quarter Last 1/2 Year10th Percentile25th PercentileMedian75th Percentile90th PercentileLastYearLast 2 Years Last 3 Years Last 5 Years Last 7 42.054.423.593.202.702.444.493.653.132.442.05Fixed Income3.267.087.773.983.632.923.54Blmbg gency RMBS(1.3 )Other(20%)Fixed Income0%20%40%60%Total Domestic Fixed-Inc Database80%100%Blmbg AggregateRisk Adjusted Return Measures vs Blmbg AggregateRankings Against Public Fund - Domestic Fixed (Gross)Five Years Ended June 30, 20192.52.01.51.00.50.0(0.5)(1.0)10th Percentile25th PercentileMedian75th Percentile90th PercentileFixed Income(89)(64)(68)AlphaSharpeRatioExcess . Experience. Integrity.24

Fixed IncomeAs of June 30, 2019Duration DistributionWeighted Average:Percent of Portfolio40%35%32.5DurationFixed Income:Blmbg 515.915%11.610%5%7.13.11.40% 11-33-55-77-10 10Y ears DurationQuality DistributionWeighted Average:Percent of Portfolio100%Fixed Income:Blmbg Aggregate:80%60%QualityAAAA72.261.840%20%3.0 3.48.6 10.715.0 13.75.84.50.60%AAAAAABBBBBBCCC0.6CCCDN/RQuality RatingKnowledge. Experience. Integrity.25

Multi-StrategyAs of June 30, 2019Performance vs Callan Multi-Asset Database )5%B(14)A(17)(45)(55)(72)0%(5%)(10%)10th Percentile25th PercentileMedian75th Percentile90th PercentileMulti-StrategyRussell 3000 IndexS&P/LST ALeveraged LoanABLast QuarterLast 1/2 YearLast YearLast 1-3/4 edge. Experience. Integrity.26

Appendix I – Investment Manager Returns

Investment Manager ReturnsAs of June 30, 2019MarketValue (mm)EndingWeightLastQuarterYeartoDate 76%11.42%6.31%6.03%Global MandatesWalter Scott & Prtnrs Glbl Gr EqMSCI World 1%6.60%U.S. EquityRussell 3000 Index(1) %14.02%9.01%10.19%U.S. Mid/Large Cap EquityMCM Russell 1000 IndexRussell 1000 IndexIridian Asset Mgmt MCVRussell MidCap IndexRussell MidCap Value Idx S. Small Cap EquityRussell 2000 Index(1)S&P 600 Small

Callan Periodic Table of Investment Returns Returns Ranked in Order of Performance (as of June 30, 2019) Equity Cap Large-9.11% Equity Cap Large-11.89% Equity Cap Large-22.10% Equity Cap Large 28.68% Equity Cap Large 10.88% Equity Cap Large 4.91% Equity Cap Large 15.79% Equity Cap Large

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