March 31, 2016 LFUCG Policemen’s and Firefighters ... · March 31, 2016 Capital Market Review 1...

March 31, 2016

LFUCG Policemen’s and Firefighters’

Retirement Fund

Investment Measurement Service

Quarterly Review

The following report was prepared by Callan Associates Inc. ("CAI") using information from sources that include the following: fund trustee(s); fund

custodian(s); investment manager(s); CAI computer software; CAI investment manager and fund sponsor database; third party data vendors; and other outside

sources as directed by the client. CAI assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by

any information providers external to CAI. Reasonable care has been taken to assure the accuracy of the CAI database and computer software. Callan does

not provide advice regarding, nor shall Callan be responsible for, the purchase, sale, hedge or holding of individual securities, including, without limitation

securities of the client (i.e., company stock) or derivatives in the client’s accounts. In preparing the following report, CAI has not reviewed the risks of individual

security holdings or the conformity of individual security holdings with the client’s investment policies and guidelines, nor has it assumed any responsibility to do

so. Advice pertaining to the merits of individual securities and derivatives should be discussed with a third party securities expert. Copyright 2016 by Callan

Associates Inc.

Table of ContentsMarch 31, 2016

Capital Market Review 1

Active Management Overview

Market Overview 8

Domestic Equity 9

Domestic Fixed Income 10

International Equity 11

International Fixed-Income 12

Bond Market Environment 13

Asset Allocation and Performance

Foreward 15

Actual vs. Target Asset Allocation 16

Asset Allocation Across Investment Managers 17

Investment Manager Returns 18

Investment Manager Returns 22

Total Fund Attribution 24

Total Fund Ranking 28

Total Fund Projected Risk Analysis 30

Domestic Equity

Fidelity Spartan 500 Fund 34

Dodge & Cox Stock Fund 39

Neuberger Berman 44

Jennison Growth Equity 51

International Equity

Acadian International All Cap Fund 57

Capital International Emerging Markets Fund 63

Baillie Gifford 69

Domestic Fixed Income

Segall, Bryant & Hamill 74

Hillswick Asset 78

MacKay Shields 82

Real Estate

JPMorgan Strategic Property Fund 87

Real Assets

PIMCO Diversified Real Asset Fund 91

Manager Stop Light Pages 92

Table of ContentsMarch 31, 2016

Callan Research/Education 95

Disclosures 98

Ca

pita

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Capital Market Review

Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ.

Φιρστ Θυαρτερ 2016

ΧΑΛΛΑΝ

ΙΝςΕΣΤΜΕΝΤΣ

ΙΝΣΤΙΤΥΤΕ

ΧΜΡΠρεϖιεω

Βροαδ Μαρκετ Θυαρτερλψ Ρετυρνσ

Cash (90-Day T-Bills)

U.S. Equity (Russell 3000)

Non-U.S. Equity (MSCI ACWI ex USA)

U.S. Fixed (Barclays Aggregate)

Non-U.S. Fixed (Citi Non-U.S.)

Sources: Barclays, Citigroup, Merrill Lynch, MSCI, Russell Investment Group

3.03%

9.10%

0.07%

0.97%

-0.26%

Ταλε οφ Τωο Ηαλϖεσ

Υ.Σ. ΕΘΥΙΤΨ | Λαυρεν Ματηιασ, ΧΦΑ

The irst quarter of 2016 was a tale of two halves: the Σ&Π 500

Ινδεξ declined in the irst half only to reverse course and post a positive quarterly return (+1.34%). Large cap companies held their lead over small cap, but in the trend of reversals value over−took growth in all capitalizations. (Ρυσσελλ 1000 Ινδεξ: +1.18% ανδ Ρυσσελλ 2000 Ινδεξ: -1.52%; Ρυσσελλ 1000 ςαλυε Ινδεξ:

+1.64% and Ρυσσελλ 1000 Γροωτη Ινδεξ: +0.74%).

Μορε Τ−Βιλλσ, Πλεασε

Υ.Σ. ΦΙΞΕD ΙΝΧΟΜΕ | Ιρινα Συσηχη

Yields plummeted during a volatile irst quarter. A dovish Fed fostered uncertainty over global economic growth. Τηε

Βαρχλαψσ Αγγρεγατε Ινδεξ gained 3.03% and the Βαρχλαψσ

Χορπορατε Ηιγη Ψιελδ Ινδεξ was up 3.35%.

Μρ. Dραγηι�σ Wιλδ Ριδε

ΝΟΝ−Υ.Σ. ΕΘΥΙΤΨ | Kevin Nagy

Non-U.S. equity markets endured a rocky January and February but rallied in March to inish at a modest loss (ΜΣΧΙ

ΑΧWΙ εξ ΥΣΑ Ινδεξ: -0.26%). Emerging markets (ΜΣΧΙ

Εmεργινγ Μαρκετσ Ινδεξ: +5.75%) did better than their devel−oped counterparts (ΜΣΧΙ Wορλδ εξ ΥΣΑ: -1.95%).

Α Dολε οφ Dοϖεσ

ΝΟΝ−Υ.Σ. ΦΙΞΕD ΙΝΧΟΜΕ | Kyle Fekete

Sovereign debt rallied in the irst quarter, driven by risk-on sen−

timent and the impact of the U.S. dollar’s relative weakness. Τηε Χιτι Νον−Υ.Σ. Wορλδ Γοϖερνmεντ Βονδ Ινδεξ jumped 9.10% (+4.16% on a hedged basis). The hard currency ϑΠΜ

EMBI Global Diversiied Index rose 5.04% while the local currency JPM GBI-EM Global Diversiied soared 11.02%.

This “Preview” contains excerpts from the upcoming Χαπιταλ

Μαρκετ Ρεϖιεω (CMR) newsletter, which will be published at the end of the month.

Χοντινυεδ ον πγ. 2

Χοντινυεδ ον πγ. 4

Χοντινυεδ ον πγ. 3 Χοντινυεδ ον πγ. 5

2

Υ.Σ. Εθυιτψ: Ταλε οφ Τωο Ηαλϖεσ Χοντινυεδ φροm πγ. 1

Though the S&P 500 Index ended in positive territory, dur−ing the quarter performance dipped 10%. This is the irst time since the Great Depression that the S&P fell to this depth only to rebound and end in the black. January was a disappoint−ing month as economic concerns lingered from 2015. But in February and March, U.S. manufacturing activity grew, U.S. fourth-quarter 2015 GDP was revised to 1.4% from 1.0%, the labor force participation rate expanded to 63% (from 62.4%), and the U.S. economy added 215,000 jobs in March alone. Global concerns around the price of oil abated as the crude oil spot price ended the quarter at $38/barrel after bottoming at $26/barrel in mid-February. Investor sentiment rose in tandem to these positive developments. Despite some improvement, the U.S. Federal Reserve stated global economic and inancial developments continued to pose risks, and thus maintained the target range for the federal funds rate at 0.25%–0.50%.

Growth lost its lead over Value. The difference was most sig−

niicant within small cap (Ρυσσελλ 2000 Γροωτη Ινδεξ: -4.68% ανδ Ρυσσελλ 2000 ςαλυε Ινδεξ: +1.70). Micro and small cap companies declined while mid and large cap advanced (Ρυσσελλ Μιχροχαπ Ινδεξ: -5.43%, Ρυσσελλ 2000 Ινδεξ: -1.52%, and Ρυσσελλ Μιδχαπ Ινδεξ: +2.24%, Ρυσσελλ 1000

Ινδεξ: +1.18%).

Sector performance over the quarter also revealed reversals. Cyclical areas like Energy, Industrials, and Materials added value, and the interest rate-sensitive Utilities sector expanded, but typically defensive Health Care trailed. Not only did sectors turnabout, so did factors—valuation metrics such as price/book and yield outpaced growth metrics such as projected-EPS growth and price momentum. Volatility of stocks, as measured by the daily VIX, increased during February’s pullback, end−

ing the quarter near average levels. Correlations remained well above long-term averages and spreads between stock returns were below average (both based on the S&P 500 universe)—a dificult environment for stock-picking strategies.

The U.S. equity market had a tumultuous start to the year, but found itself in positive territory by quarter end. This tale of two halves made it challenging for active management, with just 19% of large cap funds outperforming the S&P 500 Index dur−ing the quarter.

15.72%

8.83%

5.65% 6.09%

-3.71%

0.30%

-6.14%

-16.81%

M��

P��

U�� H�� F��

S��

R�� R��

02 0396 97 98 99 00 01-30%

-20%

-10%

0%

10%

20%

30%

04 05 06 07 08 09 10 11 12 13 14 15

Russell 1000 Growth Russell 1000Russell 1000 Value

Source: Russell Investment Group

16

Ρολλινγ Ονε−Ψεαρ Ρελατιϖε Ρετυρνσ (vs. Russell 1000)

Θυαρτερλψ Περφορmανχε οφ Σελεχτ Σεχτορσ

Source: Russell Investment Group

3Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ.

Νον−Υ.Σ. Εθυιτψ: Μρ. Dραγηι�σ Wιλδ Ριδε Χοντινυεδ φροm πγ. 1

Non-U.S. equity markets fought through a horrible January to post a modest loss for the quarter (ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ

Ινδεξ: -0.26%). Falling oil prices, concerns about global eco−

nomic growth, and declining corporate proits prompted the January sell-off as many investors switched to a “risk-off” foot−ing. Announcements of further European Central Bank (ECB) monetary stimulus and a modest rebound in commodities prices helped kick start a comeback in February and March, but were not enough to drive the broader non-U.S. indices into the black.

Emerging markets outperformed developed markets with the ΜΣΧΙ Εmεργινγ Μαρκετσ Ινδεξ (+5.75%) handily surpassing τηε ΜΣΧΙ Wορλδ εξ ΥΣΑ Ινδεξ (-1.95%). Small cap stocks rode the rally further than large cap and posted a slight posi−tive return, due to strong performance in the Utilities sector (ΜΣΧΙ ΑΧWΙ εξ ΥΣΑ Σmαλλ Χαπ Ινδεξ: +0.68%). Sector results were mixed: Energy (+9.97%) and Materials (+7.26%) were strongest while Health Care and Financials retreated (-7.17% and -4.85%, respectively).

European stocks were unable to complete their rebound despite further rate cuts and bond purchases by the ECB (ΜΣΧΙ Ευροπε Ινδεξ: -2.51%). The banking sector was hurt by slashed interest rates. Health Care also struggled, dropping 7.45% amid renewed political tension over rising drug prices. The Netherlands (+3.35%) was the top performer in Europe due to strong domestic performance from Energy (+15.73%) and Consumer Discretionary (+12.32%). Italy (-11.66%) was the

worst performer; its Financial sector lost 25.84% due to Italian banks carrying massive amounts of non-performing loans on their balance sheets.

Southeast Asia and the Paciic (MSCI Paciic Index: -3.79%) underperformed Europe and other broad benchmarks. Japan (-6.52%) battled with tepid economic growth and large losses in the banking sector. The Financial sector was hit especially hard, losing 13.58%. Exporters also struggled due to the strengthen−

ing yen. Things were less gloomy in the rest of the region with New Zealand (+11.60%), Singapore (+5.05%), and Australia (+2.10%) beneitting from a commodities rally.

China (-4.80%) continued to struggle due to concerns over slow−

ing growth and ineffective monetary policy. In an effort to sus−

tain the economy’s growth, Chinese authorities implemented selective capital controls to slow asset withdrawals and cut the required reserve ratio. Consumer Discretionary (-10.75%), Financials (-9.68%), and Health Care (-6.65%) were three sig−

niicant detractors. In keeping with the rest of the world, surg−

ing commodity prices buoyed Energy (6.75%) and Materials (7.26%). Latin America was the big winner of the irst quarter as Brazil, Colombia, Chile, and Peru (+28.58%, +22.49%, +13.25%, and +27.02%) made the ΜΣΧΙ Λατιν Αmεριχα Ινδεξ

the top-performing regional index at +19.23%. The recovery in commodity prices and the prospect of political change boosted the Brazilian real to appreciate 12% against the dollar.

5.75%

-2.51%

1.81%

-0.26%

-1.95%

-6.52%

Source: MSCI

MSCI Japan

MSCI Europe

MSCI World ex USA

MSCI ACWI ex USA

MSCI Pacific ex Japan

MSCI Emerging Markets

Ρεγιοναλ Θυαρτερλψ Περφορmανχε (U.S. Dollar)

Ρολλινγ Ονε−Ψεαρ Ρελατιϖε Ρετυρνσ

(vs. MSCI World ex USA, USD hedged)

02 0396 97 98 99 00 01

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

04 05 06 07 08 09 10 11 12 13 14 15

MSCI Pacific MSCI World ex USAMSCI Europe

Source: MSCI

16

4

Υ.Σ. Φιξεδ Ινχοmε: Μορε Τ−Βιλλσ, Πλεασε

Χοντινυεδ φροm πγ. 1

Yields fell nearly 50 bps from year end during a volatile irst quarter. The yield curve lattened further in markets abundant with uncertainty over global economic growth. Investment grade credit, mortgage-backed (MBS), commercial mortgage-backed (CMBS), and high yield spreads all tightened, while asset-backed spreads widened. The Βαρχλαψσ Αγγρεγατε Ινδεξ

gained 3.03%.

Following December’s federal funds rate hike, the Federal Reserve took on a neutral outlook. The Fed stated that inancial and economic conditions are less favorable than they had been in December. The U.S. economy experienced modest growth despite improving employment and housing numbers. Fed chair Janet Yellen stated that the U.S. economy would have to get much worse before the Fed would consider the use of negative interest rates (six other central banks have implemented nega−

tive interest rates). The 10-year U.S. Treasury yield tumbled to 1.77%. The breakeven inlation rate (the difference between nominal and real yields) on 10-year Treasuries ticked up 1.63% as TIPS fell 55 bps, in line with their nominal counterparts.

Sectors in the Barclays Aggregate posted positive returns across the board. CMBS outperformed like-duration Treasuries by 0.58% and rose 3.61% for the quarter. Credit was the highest returning sector (+3.92%), but only beat like-duration Treasuries by 0.18%. MBS was the only sector to trail like-duration Treasuries (down by 0.38%), yet still rose 1.98%. Investment grade Financials, hurt by worries over persistent low or negative

interest rates, underperformed like-duration Treasuries by nearly 100 bps; Industrials, buoyed by a rebound in commodity prices, outperformed by 70 bps.

High yield corporate bonds rebounded from severe underper−formance in January and early February (down 5% through February 11) to inish in the black. The Βαρχλαψσ Χορπορατε

Ηιγη Ψιελδ Ινδεξ was up 3.35%, outpacing Treasuries by 77 bps. Including an upsurge in issuance in the last few weeks of the quarter, new high yield issuance was $35.9 billion—60% lower than one year ago.

Φιξεδ Ινχοmε Ινδεξ Θυαρτερλψ Ρετυρνσ

Absolute Return

3.20%

3.03%

2.04%

3.61%

1.36%

1.98%

3.92%

3.35%

Barclays Treasury

Barclays Aggregate

Barclays Agencies

Barclays MBS

Barclays CMBS

Barclays ABS

Barclays Credit

Barclays Corp. High Yield

Source: Barclays

-1%

0%

1%

2%

3%

4%

5%

6%

U.S. 10-Year Treasury Yield 10-Year TIPS Yield Breakeven Inflation Rate

07 08 09 10 11 12 13 14 1506

Source: Bloomberg

16

Ηιστοριχαλ 10−Ψεαρ Ψιελδσ

Υ.Σ. Τρεασυρψ Ψιελδ Χυρϖεσ

0%

1%

2%

3%

4%

5%

Maturity (Years)

Source: Bloomberg

March 31, 2016 December 31, 2015 March 31, 2015

302520151050

5Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ.

Νον−Υ.Σ. Φιξεδ Ινχοmε: Α Dολε οφ Dοϖεσ Χοντινυεδ φροm πγ. 1

The U.S. dollar weakened versus most currencies during the quarter, providing a tailwind to unhedged foreign bond returns. The yen gained 7% versus the dollar as investors sought its safe-haven status amid market turbulence in China and con−

cerns over the health of the European banking sector. The euro was also stronger versus the dollar (+5%). In March, the ECB continued its accomodative stance, slashing interest rates and increasing asset purchases. For the irst time, the ECB included non-bank investment grade corporate bonds in its asset pur−chase program. Interest rates fell across developed markets, fur−ther bolstering returns. The Χιτι Νον−Υ.Σ. Wορλδ Γοϖερνmεντ

Βονδ Ινδεξ was up 9.10% (+4.16% hedged) while the Βαρχλαψσ

Γλοβαλ Αγγρεγατε rose 5.90% (+3.28% hedged).

On an unhedged basis, returns approached 10% for many countries, including Japan which was up almost 12% on the back of falling rates combined with yen strength. Yield on the Japanese 10-year bond reached negative territory after a sur−prise move by the Bank of Japan (BoJ) in January to adopt a negative interest rate policy, indicating bond investors would have to pay-to-own before adjusting for inlation. The BoJ owns approximately a third of outstanding Japanese bonds as a result of its quantitative easing program. Regulations require the nation’s banks, insurers, and pension funds to carry Japanese bonds on their balance sheets.

The unhedged U.K. gilt advanced 2.66%, hampered by the pound’s 3% fall. Worries over a potential Brexit put pressure on the currency. Yield on the 10-year U.K. gilt declined more than 50 bps, hitting an all-time low early in the quarter. The Bank of England elected to maintain its relaxed monetary pol−icy for the seventh straight year, citing weak growth and global market turmoil.

Emerging market bonds rebounded. In late February and March, commodity prices stabilized, risk appetite returned, and conidence in the Chinese renminbi stabilized. The hard cur−rency JPM EMBI Global Diversiied Index rose 5.04% while

-1%

0%

1%

2%

3%

4%

5%

6%

GermanyU.S. Treasury U.K. Canada Japan

07 08 09 10 11 12 13 14 1506

Change in 10-Year Yields from 4Q15 to 1Q16

-0.50%

-0.48%

-0.55%

-0.17%

-0.29%

Source: Bloomberg

Germany

U.S. Treasury

U.K.

Canada

Japan

16

10−Ψεαρ Γλοβαλ Γοϖερνmεντ Βονδ Ψιελδσ

Εmεργινγ Σπρεαδσ Οϖερ Dεϖελοπεδ (By Region)

0%

2%

4%

6%

8%

11 12 13 15 16

Emerging Americas Emerging EMEA (Europe, Middle East, Africa)

Source: Barclays

Emerging Asia

14

the local currency JPM GBI-EM Global Diversiied soared 11.02%, bolstered by the dollar’s relative weakness. Brazil led both indices as investors cheered the prospect of an impeach−

ment of President Dilma Rousseff, hoping a new government could bring better days for the beleaguered country.

Activ

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Active Management

Ove

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Overview

Market OverviewActive Management vs Index Returns

Market OverviewThe charts below illustrate the range of returns across managers in Callan’s Separate Account database over the mostrecent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference inreturns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As anexample, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter.The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in theLarge Cap Equity manager database.

Range of Separate Account Manager Returns by Asset ClassOne Quarter Ended March 31, 2016

Retu

rns

(10%)

(5%)

0%

5%

10%

15%

Large Cap Small Cap Non-US Domestic Non-US RealEquity Equity Equity Fixed Income Fixed Income Estate

vs vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Barclays Aggr Bd Citi Non-US Govt NCREIF Index

(17)

(56)(67)

(47)

(32)

(62)

10th Percentile 1.85 3.75 0.64 3.40 9.74 3.7225th Percentile 0.95 1.90 (0.70) 3.20 9.29 3.18

Median (0.19) (0.63) (2.46) 3.01 8.71 2.4275th Percentile (1.45) (4.04) (3.32) 2.84 7.50 1.7490th Percentile (3.39) (7.14) (3.97) 2.61 0.39 (0.11)

Index 1.35 (1.52) (3.01) 3.03 9.10 2.21

Range of Separate Account Manager Returns by Asset ClassOne Year Ended March 31, 2016

Re

turn

s

(30%)

(20%)

(10%)

0%

10%

20%

30%

Large Cap Small Cap Non-US Domestic Non-US RealEquity Equity Equity Fixed Income Fixed Income Estate

vs vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Barclays Aggr Bd Citi Non-US Govt NCREIF Index

(18)

(68) (71)

(63)

(1)

(58)

10th Percentile 3.08 (1.78) (2.27) 2.66 7.00 21.5425th Percentile 0.92 (4.47) (4.29) 2.48 6.53 16.75

Median (0.96) (7.22) (6.23) 2.11 5.38 13.4075th Percentile (2.94) (11.91) (8.51) 1.76 1.16 7.6990th Percentile (5.28) (17.15) (10.63) 1.30 (1.52) 1.75

Index 1.78 (9.76) (8.27) 1.96 7.74 11.84

8LFUCG Policemen’s and Firefighters’ Retirement Fund

Domestic EquityActive Management Overview

US Equities commenced the quarter on very weak footing with many indices down more than 5% in the month of January.The weakness continued through mid-February at which point the S&P 500 staged a strong rally through quarter-end; theS&P 500 finished the 1st quarter up 1.3%. Mid caps gained 2% and small caps were down 1.5%. Value outperformedgrowth across the market capitalization spectrum. Foreign equities followed a similar path as their domestic counterparts;however, most broad indices failed to fully recover and posted declines for the quarter. A weaker dollar helped to mitigate theunderperformance of developed markets (MSCI EAFE Local: -6.4%; US$: -3.0%). Emerging markets was the notableexception and rallied about 20% from its January nadir to finish the quarter with a nearly 6% gain (MSCI EM US$: +5.8%).

Separate Account Style Group Median Returnsfor Quarter Ended March 31, 2016

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

(5.18 )

Small CapGrowth

2.41

Small CapValue

(0.63 )

Small CapBroad

(2.14 )

Mid CapGrowth

2.03

Mid CapValue

0.39

Mid CapBroad

(1.87 )

Large CapGrowth

0.52

Large CapValue

(0.12 )

Large CapCore

Re

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s

S&P 500: 1.35%

S&P 500 Growth: 0.53%

S&P 500 Value: 2.20%

S&P Mid Cap: 3.79%

S&P 600: 2.66%

S&P 600 Growth: 0.38%

S&P 600 Value: 5.19%

Separate Account Style Group Median Returnsfor One Year Ended March 31, 2016

(20%)

(15%)

(10%)

(5%)

0%

5%

(13.12 )

Small CapGrowth

(4.93 )

Small CapValue

(7.22 )

Small CapBroad

(7.69 )

Mid CapGrowth

(4.34 )

Mid CapValue

(5.53 )

Mid CapBroad

0.44

Large CapGrowth

(2.37 )

Large CapValue

(0.84 )

Large CapCore

Re

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S&P 500: 1.78%

S&P 500 Growth: 3.53%

S&P 500 Value: (0.32%)

S&P Mid Cap: (3.60%)

S&P 600: (3.20%)

S&P 600 Growth: (3.22%)

S&P 600 Value: (3.08%)


Domestic Fixed IncomeActive Management Overview

Given the drop in rates, long duration strategies outperformed intermediate and short duration strategies in the first quarter.The median Extended Maturity manager returned 7.08% while the median Core Bond manager posted a 3.01% return andthe median Defensive manager returned 1.01%.


0%

2%

4%

6%

8%

10%

0.40

ActiveCash

1.01

Defensive

2.34

Intermed

3.01

CoreBond

2.90

CorePlus

7.08

ExtendedMaturity

1.79

BankLoans

1.90

MortgageBacked

2.65

HighYield

Re

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s

Barclays Universal: 3.07%

Barclays Aggregate: 3.03%

Barclays Govt/Credit: 3.47%

Barclays Mortgage: 1.98%

Barclays High Yield: 3.35%

Barclays US TIPS: 4.46%


(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

0.71

ActiveCash

1.26

Defensive

2.11

Intermed

2.11

CoreBond

1.35

CorePlus

0.36

ExtendedMaturity

0.05

BankLoans

2.40

MortgageBacked

(2.87 )

HighYield

Re

turn

s

Barclays Universal: 1.75%

Barclays Aggregate: 1.96%

Barclays Govt/Credit: 1.75%

Barclays Mortgage: 2.43%

Barclays High Yield: (3.69%)

Barclays US TIPS: 1.51%


International EquityActive Management Overview

Foreign equities followed a similar path as their domestic counterparts; however, most broad indices failed to fully recoverand posted declines for the quarter. A weaker dollar helped to mitigate the underperformance of developed markets (MSCIEAFE Local: -6.4%; US$: -3.0%).


(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

(0.89 )

Small Cap

(2.83 )

Core Int’l

(1.75 )

Core Plus

4.53

EmergingMarkets

(0.83 )

Global Equity

Re

turn

s

MSCI AC World Index 0.38%

MSCI ACW ex US Free: (0.26%)

MSCI EAFE: (3.01%)

MSCI Europe: (2.51%)

MSCI Pacific: (3.79%)

MSCI Emerging Markets: 5.75%


(15%)

(10%)

(5%)

0%

5%

10%

2.36

Small Cap

(6.33 )

Core Int’l

(6.22 )

Core Plus

(10.27 )

EmergingMarkets

(3.45 )

Global Equity

Re

turn

s

MSCI AC World Index (3.81%)

MSCI ACW ex US Free: (8.78%)

MSCI EAFE: (8.27%)

MSCI Europe: (8.44%)

MSCI Pacific: (7.95%)

MSCI Emerging Markets: (11.70%)


International Fixed IncomeActive Management Overview

The US dollar weakened versus most currencies during the quarter, providing a tailwind to unhedged foreign bond returns.The yen gained 7% versus the dollar as investors sought its safe haven status. The euro was also stronger versus the dollar(+5%) on the back of Draghi’s comments that rates were unlikely to fall further. The notable exception was the pound (-3%),where worries over a potential Brexit put pressure on the currency. Interest rates also fell across developed markets, furtherbolstering returns. The Citi Non-US GBI was up 9.1% for the quarter (+4.3% on a hedged basis) while the Barclays GlobalAggregate returned 5.9% (+3.3% hedged). On an unhedged basis, returns approached 10% for many countries, includingJapan which was up nearly 12% on the back of falling rates combined with yen strength.


0%

2%

4%

6%

8%

10%

12%

14%

8.71

Non-US FixedIncome

5.73

Global FixedIncome

5.01

US$ EM Debt

10.24

Local Curr EMDebt

3.01

Domestic CoreBond

Re

turn

s

Citi World Govt: 7.09%

Citi Non-US Govt: 9.10%

Citi Non-US Hedged: 4.16%

JPM EMBI GI Div: 5.04%

JPM GBI EM Gl Div: 11.02%

Barclays Global Agg: 5.90%


(4%)

(2%)

0%

2%

4%

6%

8%

5.38

Non-US FixedIncome

3.39

Global FixedIncome

2.72

US$ EM Debt

(2.13 )

Local Curr EMDebt

2.11

Domestic CoreBond

Re

turn

s

Citi World Govt: 5.92%

Citi Non-US Govt: 7.74%

Citi Non-US Hedged: 3.45%

JPM EMBI GI Div: 4.19%

JPM GBI EM Gl Div: (1.65%)

Barclays Global Agg: 4.57%


Bond Market Environment

Factors Influencing Bond ReturnsThe charts below are designed to give you an overview of the factors that influenced bond market returns for the quarter.The first chart shows the shift in the Treasury yield curve and the resulting returns by duration. The second chart shows theaverage return premium (relative to Treasuries) for bonds with different quality ratings. The final chart shows the averagereturn premium of the different sectors relative to Treasuries. These sector premiums are calculated after differences inquality and term structure have been accounted for across the sectors. They are typically explained by differences inconvexity, sector specific supply and demand considerations, or other factors that influence the perceived risk of the sector.

Yield Curve Change and Rate of ReturnOne Quarter Ended March 31, 2016

Duration

Yie

ld t

o M

atu

rity R

ate

of R

etu

rn

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

0%

2%

4%

6%

8%

10%

12%

14%

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20

December Yield Curve

March Yield Curve

Return

Duration AdjustedReturn Premium to Quality

One Quarter Ended March 31, 2016

(4%) (3%) (2%) (1%) 0% 1% 2% 3%

Trsy

AAA (0.36 )

AA+ (1.02 )

AA (0.35 )

AA- (0.70 )

A+ (0.77 )

A (0.61 )

A- (0.83 )

BBB+ (0.10 )

BBB 0.52

BBB- 0.87

BB+ 1.33

BB 1.19

BB- 1.76

B+ 0.14

B (2.52 )

B- (0.31 )

CCC 1.44

Return Advantage vs Treasuries

Qu

alit

y R

atin

g

Quality and Duration AdjustedReturn Premium by Sector

One Quarter Ended March 31, 2016

(3%) (2%) (1%) 0% 1% 2%

Agencies (0.08 )

Asset Backed 0.01

CMBSs 1.22

Credit (0.07 )

Eurobonds (0.02 )

Mortgages/CMOs (1.63 )

Treasuries

Return Advantage vs Treasuries


Asse

t Allo

ca

tion

Asset Allocation

an

d P

erfo

rma

nce

and Performance

ASSET ALLOCATION AND PERFORMANCE

Asset Allocation and PerformanceThis section begins with an overview of the fund’s asset allocation at the broad asset class level. This is followed by a topdown performance attribution analysis which analyzes the fund’s performance relative to the performance of the fund’s policytarget asset allocation. The fund’s historical performance is then examined relative to funds with similar objectives.Performance of each asset class is then shown relative to the asset class performance of other funds. Finally, a summary ispresented of the holdings of the fund’s investment managers, and the returns of those managers over various recent periods.


Actual vs Target Asset AllocationAs of March 31, 2016

The top left chart shows the Fund’s asset allocation as of March 31, 2016. The top right chart shows the Fund’s target assetallocation as outlined in the investment policy statement. The bottom chart ranks the fund’s asset allocation and the targetallocation versus the Public Fund Sponsor Database.

Actual Asset Allocation

Domestic Equity40%

International Equity22%

Domestic Fixed Income24%

Real Estate10%

Real Assets4%

Cash0%

Target Asset Allocation

Domestic Equity40%

International Equity23%

Domestic Fixed Income23%

Real Estate9%

Real Assets5%

$000s Weight Percent $000sAsset Class Actual Actual Target Difference DifferenceDomestic Equity 244,326 39.8% 40.0% (0.2%) (990)International Equity 132,677 21.6% 23.0% (1.4%) (8,379)Domestic Fixed Income 146,056 23.8% 23.0% 0.8% 5,000Real Estate 62,899 10.3% 9.0% 1.3% 7,703Real Assets 27,071 4.4% 5.0% (0.6%) (3,594)Cash 260 0.0% 0.0% 0.0% 260Total 613,290 100.0% 100.0%

Asset Class Weights vs Public Fund Sponsor Database

We

igh

ts

(10%)

0%

10%

20%

30%

40%

50%

60%

Domestic Domestic Cash Real International Intl Alternative Global Global RealEquity Fixed Income Estate Equity Fixed-Inc Balanced Equity Broad Assets

3838

6466

93100

4859

2417

5047

10th Percentile 51.06 40.54 4.14 18.07 24.35 13.70 26.55 22.33 28.80 16.4325th Percentile 44.86 34.37 2.55 12.37 21.33 6.52 18.83 10.74 18.77 8.50

Median 36.04 27.17 1.25 10.05 18.50 4.32 12.84 7.19 15.53 4.4175th Percentile 29.20 20.50 0.36 7.06 14.67 2.18 6.69 4.55 10.22 3.2690th Percentile 22.22 14.61 0.10 5.06 10.71 0.65 3.89 2.53 6.56 2.74

Fund 39.84 23.82 0.04 10.26 21.63 - - - - 4.41

Target 40.00 23.00 0.00 9.00 23.00 - - - - 5.00

% Group Invested 98.97% 96.92% 70.26% 61.03% 97.95% 19.49% 50.00% 18.46% 23.08% 5.64%

* Current Quarter Target = 25.0% Russell 1000 Index, 23.0% Barclays Aggregate Index, 23.0% MSCI ACWI ex US IMI, 15.0% Russell 2000 Index, 9.0%

NFI-ODCE Eq Wgt Gross and 5.0% CPI-W.


Investment Manager Asset Allocation

The table below contrasts the distribution of assets across the Fund’s investment managers as of March 31, 2016, with thedistribution as of December 31, 2015. The change in asset distribution is broken down into the dollar change due to Net NewInvestment and the dollar change due to Investment Return.

Asset Distribution Across Investment Managers

March 31, 2016 December 31, 2015

Market Value Weight Net New Inv. Inv. Return Market Value WeightDomestic Equity $244,326,182 39.84% $(75,379) $(614,207) $245,015,768 40.00%

Fidelity Spartan 500 Fund 61,053,737 9.96% (3,638) 862,621 60,194,754 9.83%Dodge & Cox Stock Fund 43,529,951 7.10% 0 (434,888) 43,964,839 7.18%Neuberger Berman 91,699,432 14.95% (5,427) 1,566,884 90,137,975 14.72%Jennison Growth Equity 48,043,061 7.83% (66,313) (2,608,824) 50,718,199 8.28%

International Equity $132,677,424 21.63% $(92,800) $904,244 $131,865,980 21.53%Acadian Intl All Cap Fund 55,868,944 9.11% (91,861) (346,128) 56,306,934 9.19%Capital Intl Emg Mrkts Growth 24,578,703 4.01% 0 972,995 23,605,707 3.85%Ballie Gifford 52,229,776 8.52% (940) 277,378 51,953,338 8.48%

Domestic Fixed Income $146,056,326 23.82% $(8,842) $3,881,972 $142,183,196 23.21%Segall, Bryant & Hamill 74,005,144 12.07% (4,517) 2,073,975 71,935,686 11.74%Hillswick Asset 26,402,054 4.30% (1,610) 954,869 25,448,795 4.16%MacKay Shields 45,649,127 7.44% (2,716) 853,128 44,798,715 7.31%

Real Estate $62,898,629 10.26% $(5,156,306) $1,161,832 $66,893,103 10.92%JPMorgan Strategic Property Fund 62,898,629 10.26% (5,156,306) 1,161,832 66,893,103 10.92%

Real Assets $27,070,890 4.41% $0 $802,413 $26,268,476 4.29%PIMCO Diversified Real Asset Fund 27,070,890 4.41% 0 802,413 26,268,476 4.29%

Cash $260,199 0.04% $6,563 $() $253,637 0.04%Cash Account 260,199 0.04% 6,563 () 253,637 0.04%

Total Fund $613,289,649 100.0% $(5,326,764) $6,136,254 $612,480,159 100.0%


Investment Manager Returns

The table below details the rates of return for the Fund’s investment managers over various time periods ended March 31,2016. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The firstset of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.

Returns for Periods Ended March 31, 2016

Last Last LastLast Last 2 3 5

Quarter Year Years Years Years

Domestic Equity (0.25%) (1.11%) 3.89% 10.66% 10.34%Domestic Equity Target Benchmark 0.16% (3.42%) 3.61% 9.75% 9.59%

1) Fidelity Spartan 500 Fund ** 1.43% 1.77% 7.08% 11.39% 11.06% S&P 500 Index 1.35% 1.78% 7.12% 11.82% 11.58%Dodge & Cox Stock Fund (0.99%) (4.29%) 0.96% 9.51% 10.14% Russell 1000 Value Index 1.64% (1.54%) 3.75% 9.38% 10.25%Neuberger Berman 1.74% (2.22%) 1.89% 8.67% 8.86% Russell 2000 Index (1.52%) (9.76%) (1.18%) 6.84% 7.20%Jennison Growth Equity (5.15%) 0.50% 8.36% 14.95% - Russell 1000 Growth Index 0.74% 2.52% 9.09% 13.61% 12.38%

International Equity 0.69% (4.80%) (3.90%) 1.58% 1.30%International Equity Target Benchmark (0.23%) (8.08%) (4.77%) 1.62% 1.84%

Acadian Intl All Cap Fund (0.61%) (1.63%) (2.68%) 5.61% 5.11% EAFE IMI Index (2.68%) (6.83%) (4.04%) 2.88% 2.71%Capital Intl Emg Mrkts Growth 4.12% (13.23%) (8.50%) (6.16%) - EM IMI Index 5.04% (11.66%) (5.76%) (4.27%) (3.93%)Baillie Gifford 0.53% (3.67%) - - - MSCI EAFE Index (3.01%) (8.27%) (4.67%) 2.23% 2.29%

Domestic Fixed Income 2.73% 1.40% 3.42% 3.10% 4.94%Fixed Income Target Benchmark 3.03% 1.96% 3.82% 2.61% 4.37%

Segall, Bryant & Hamill 2.88% 2.58% 4.80% 3.36% 4.35% Barclays Aggregate Index 3.03% 1.96% 3.82% 2.50% 3.78%Hillswick Asset 3.75% 3.74% 5.62% 3.37% 4.99% Barclays Aggregate Index 3.03% 1.96% 3.82% 2.50% 3.78%MacKay Shields 1.90% (1.64%) 0.23% 2.53% 5.72% CSFB High Yield Index 3.11% (4.45%) (1.58%) 1.42% 4.32%

* Current Quarter Target = 25.0% Russell 1000 Index, 23.0% Barclays Aggregate Index, 23.0% MSCI ACWI ex US IMI,15.0% Russell 2000 Index, 9.0% NFI-ODCE Eq Wgt Gross and 5.0% CPI-W.**Comnwlth Trust Sptn 500 Idx Fd merged with Sptn 500 Idx Fd 1/22/10. Switched from investor to advantage shares 2/12/101) Mutual fund account returns include cash held at the custodian accounts.





Last Last LastLast Last 2 3 5

Quarter Year Years Years Years

Real Estate 1.81% 12.83% 12.85% 13.48% 13.67%Real Estate Target(1) 2.44% 14.10% 13.72% 13.57% 13.07%

JPM Strategic Property Fund 1.81% 12.83% 12.85% 13.48% 13.67% NFI-ODCE Eq Wgt Gross 2.44% 14.10% 13.72% 13.57% 13.21%JP Morgan Strategic Property - Net 1.56% 11.71% 11.74% 12.38% 12.58% NFI-ODCE Equal Weight Net 2.22% 13.12% 12.75% 12.60% 12.22%

Real Assets 3.05% (6.15%) (4.17%) - -PIMCO Div Real Asset Fund 3.05% (6.15%) (4.17%) - - CPI-W 0.61% 0.50% (0.08%) 0.42% 1.08%

Cash 0.00% (0.00%) (0.00%) (0.00%) 0.00%Cash Account 0.00% (0.00%) (0.00%) (0.00%) 0.00% 3-month Treasury Bill 0.07% 0.12% 0.07% 0.07% 0.08%

Total Fund* 1.03% (0.17%) 2.50% 6.55% 7.11%Total Fund Benchmark 0.96% (1.43%) 2.52% 6.02% 6.84%

* Current Quarter Target = 25.0% Russell 1000 Index, 23.0% Barclays Aggregate Index, 23.0% MSCI ACWI ex US IMI,15.0% Russell 2000 Index, 9.0% NFI-ODCE Eq Wgt Gross and 5.0% CPI-W.(1) NFI-ODCE Equal Weight Net from March 2007 through Decemeber 2011, and NFI-ODCE Equal Weight Gross thereafter.



The table below details the rates of return for the Fund’s investment managers over various time periods. Negative returnsare shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for eachasset class represents the composite returns for all the fund’s accounts for that asset class.

12/2015-3/2016 2015 2014 2013 2012

Domestic Equity (0.25%) 1.83% 6.68% 38.16% 15.51% Domestic Equity Target Benchmark 0.16% (1.06%) 10.16% 34.51% 15.70%

1) Fidelity Spartan 500 Fund ** 1.43% 1.29% 13.49% 30.31% 15.36% S&P 500 Index 1.35% 1.38% 13.69% 32.39% 16.00%Dodge & Cox Stock Fund (0.99%) (4.49%) 10.40% 40.55% 22.01% Russell 1000 Value Index 1.64% (3.83%) 13.45% 32.53% 17.51%Neuberger Berman 1.74% 0.31% 0.37% 39.81% 11.15% Russell 2000 Index (1.52%) (4.41%) 4.89% 38.82% 16.35%Jennison Growth Equity (5.15%) 11.97% 10.65% 38.29% - Russell 1000 Growth Index 0.74% 5.67% 13.05% 33.48% 15.26%

International Equity 0.69% (1.09%) (7.00%) 17.33% 12.89% International Equity Target Benchmark (0.23%) (4.60%) (3.89%) 22.65% 14.85%

Acadian Intl All Cap Fund (0.61%) 3.08% (3.28%) 27.24% 18.47% EAFE IMI (2.68%) 0.49% (4.90%) 23.54% 17.64%Capital Intl Emg Mrkts Growth 4.12% (15.19%) (7.52%) 0.43% - EM IMI Index 5.04% (13.86%) (1.79%) (2.20%) 18.69%Baillie Gifford 0.53% 2.27% - - - MSCI EAFE (3.01%) (0.81%) (4.90%) 22.78% 17.32%

Domestic Fixed Income 2.73% 0.75% 5.82% 1.25% 7.24%Fixed Income Target Benchmark 3.03% 0.55% 5.97% (0.71%) 7.65%

Segall, Bryant & Hamill 2.88% 1.40% 7.48% (1.47%) 3.78% Barclays Aggregate Index 3.03% 0.55% 5.97% (2.02%) 4.21%Hillswick Asset 3.75% 2.29% 7.19% (3.18%) 4.08% Barclays Aggregate Index 3.03% 0.55% 5.97% (2.02%) 4.21%MacKay Shields 1.90% (1.04%) 2.71% 7.82% 14.23% CSFB High Yield Index 3.11% (4.93%) 1.86% 7.53% 13.19%

* Current Quarter Target = 25.0% Russell 1000 Index, 23.0% Barclays Aggregate Index, 23.0% MSCI ACWI ex US IMI,15.0% Russell 2000 Index, 9.0% NFI-ODCE Eq Wgt Gross and 5.0% CPI-W.**Comnwlth Trust Sptn 500 Idx Fd merged with Sptn 500 Idx Fd 1/22/10. Switched from investor to advantage shares 2/12/101) Mutual fund account returns include cash held at the custodian accounts.



The table below details the rates of return for the Fund’s investment managers over various time periods. Negative returnsare shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for eachasset class represents the composite returns for all the fund’s accounts for that asset class.

12/2015-3/2016 2015 2014 2013 2012

Real Estate 1.81% 15.22% 11.14% 15.89% 12.11%JPM Strategic Property Fund 1.81% 15.22% 11.14% 15.89% 12.11% NFI-ODCE Eq Wgt Gross 2.44% 15.17% 12.38% 13.34% 11.03%JP Morgan Strategic Property - Net 1.56% 14.08% 10.06% 14.79% 11.03% NFI-ODCE Equal Weight Net 2.22% 14.18% 11.42% 12.36% 9.93%

Real Assets 3.05% (8.86%) 4.44% - -PIMCO Div Real Asset Fund 3.05% (8.86%) 4.44% - - CPI-W 0.61% 0.38% 0.32% 1.45% 1.68%

Cash 0.00% (0.00%) 0.00% 0.00% 0.00%Cash Account 0.00% (0.00%) 0.00% 0.00% 0.00% 3-month Treasury Bill 0.07% 0.05% 0.03% 0.07% 0.11%

Total Fund* 1.03% 1.74% 3.52% 20.09% 12.29%Total Fund Benchmark 0.96% 0.13% 5.64% 18.11% 13.53%

* Current Quarter Target = 25.0% Russell 1000 Index, 23.0% Barclays Aggregate Index, 23.0% MSCI ACWI ex US IMI,15.0% Russell 2000 Index, 9.0% NFI-ODCE Eq Wgt Gross and 5.0% CPI-W.





LastLast 3/4

Quarter Year

Net of Fees

Domestic Equity (0.37%) (2.57%)Domestic Equity Target Benchmark 0.16% (3.64%)

1) Fidelity Spartan 500 Fund ** 1.43% 1.51% S&P 500 Index 1.35% 1.50%Dodge & Cox Stock Fund (0.99%) (6.68%) Russell 1000 Value Index 1.64% (1.65%)Neuberger Berman 1.49% (2.99%) Russell 2000 Index (1.52%) (10.14%)Jennison Growth Equity (5.27%) (2.78%) Russell 1000 Growth Index 0.74% 2.39%

International Equity 0.58% (6.17%)International Equity Target Benchmark (0.23%) (8.99%)

Acadian Intl All Cap Fund (0.78%) (3.57%) EAFE IMI Index (2.68%) (7.83%)Capital Intl Emg Mrkts Growth 4.12% (13.73%) EM IMI Index 5.04% (12.70%)Baillie Gifford 0.45% (4.93%) MSCI EAFE Index (3.01%) (8.83%)

Domestic Fixed Income 2.65% 1.56%Fixed Income Target Benchmark 3.03% 3.71%

Segall, Bryant & Hamill 2.82% 3.63% Barclays Aggregate Index 3.03% 3.71%Hillswick Asset 3.69% 4.79% Barclays Aggregate Index 3.03% 3.71%MacKay Shields 1.78% (3.19%) CSFB High Yield Index 3.11% (4.74%)

* Current Quarter Target = 25.0% Russell 1000 Index, 23.0% Barclays Aggregate Index, 23.0% MSCI ACWI ex US IMI,15.0% Russell 2000 Index, 9.0% NFI-ODCE Eq Wgt Gross and 5.0% CPI-W.**Net of fee performance calculated beginning 06/30/15.***Comnwlth Trust Sptn 500 Idx Fd merged with Sptn 500 Idx Fd 1/22/10. Changed from investor to advantage shares 2/12/101) Mutual fund account returns include cash held at the custodian accounts.





LastLast 3/4

Quarter Year

Net of Fees

Real Estate 1.56% 7.98%Real Estate Target 2.44% 9.79%

JP Morgan Strategic Property - Net 1.56% 7.98% NFI-ODCE Equal Weight Net 2.22% 9.09%

Real Assets 3.05% (3.97%)PIMCO Div Real Asset Fund 3.05% (3.97%) CPI-W 0.61% (0.68%)

Cash 0.00% 0.00%Cash Account 0.00% 0.00% 3-month Treasury Bill 0.07% 0.12%

Total Fund* 0.92% (1.39%)Total Fund Benchmark 0.96% (1.77%)

* Current Quarter Target = 25.0% Russell 1000 Index, 23.0% Barclays Aggregate Index, 23.0% MSCI ACWI ex US IMI,15.0% Russell 2000 Index, 9.0% NFI-ODCE Eq Wgt Gross and 5.0% CPI-W.**Net of fee performance calculated beginning 06/30/15.


Quarterly Total Fund Relative Attribution - March 31, 2016

The following analysis approaches Total Fund Attribution from the perspective of relative return. Relative return attributionseparates and quantifies the sources of total fund excess return relative to its target. This excess return is separated into tworelative attribution effects: Asset Allocation Effect and Manager Selection Effect. The Asset Allocation Effect represents theexcess return due to the actual total fund asset allocation differing from the target asset allocation. Manager Selection Effectrepresents the total fund impact of the individual managers excess returns relative to their benchmarks.

Asset Class Under or Overweighting

(2%) (1%) 0% 1% 2% 3%

Domestic Broad Eq 0.17

Domestic Fixed 0.31

Real Estate 1.55

Intl Equity (1.38 )

Real Assets (0.69 )

Cash Equiv 0.04

Domestic Broad Eq

Domestic Fixed

Real Estate

Intl Equity

Real Assets

Cash Equiv

Total

Actual vs Target Returns

(1%) 0% 1% 2% 3% 4%

(0.25 )

0.16

2.73

3.03

1.81

2.44

0.69

(0.23 )

3.05

0.61

1.03

0.96

Actual Target

Relative Attribution by Asset Class

(0.30%) (0.20%) (0.10%) 0.00% 0.10% 0.20% 0.30%

(0.17 )(0.00 )

(0.17 )

(0.07 )0.01

(0.06 )

(0.07 )0.03

(0.03 )

0.200.02

0.22

0.110.00

0.11

(0.00 )(0.00 )

0.000.070.07

Manager Effect Asset Allocation Total

Relative Attribution Effects for Quarter ended March 31, 2016

Effective Effective TotalActual Target Actual Target Manager Asset Relative

Asset Class Weight Weight Return Return Effect Allocation ReturnDomestic Broad Eq 40% 40% (0.25%) 0.16% (0.17%) (0.00%) (0.17%)Domestic Fixed 23% 23% 2.73% 3.03% (0.07%) 0.01% (0.06%)Real Estate 11% 9% 1.81% 2.44% (0.07%) 0.03% (0.03%)Intl Equity 22% 23% 0.69% (0.23%) 0.20% 0.02% 0.22%Real Assets 4% 5% 3.05% 0.61% 0.11% 0.00% 0.11%Cash Equiv 0% 0% 0.00% 0.00% 0.00% (0.00%) (0.00%)

Total = + +1.03% 0.96% 0.00% 0.07% 0.07%




Cumulative Total Fund Relative Attribution - March 31, 2016

The charts below accumulate the Total Fund Attribution Analysis (shown earlier) over multiple periods to examine thecumulative sources of excess total fund performance relative to target. These cumulative results quantify the longer-termsources of total fund excess return relative to target by asset class. These relative attribution effects separate the cumulativesources of total fund excess return into Asset Allocation Effect and Manager Selection Effect.

One Year Relative Attribution Effects

(1%) 0% 1% 2%

Domestic Equity


Real Estate


Real Assets

Cash Composite

Total


Cumulative Relative Attribution Effects

0.0%

0.5%

1.0%

1.5%

2015 2016

Manager Effect

Asset Allocation

Total

One Year Relative Attribution Effects


Asset Class Weight Weight Return Return Effect Allocation ReturnDomestic Equity 40% 40% (1.11%) (3.42%) 0.93% (0.03%) 0.90%Domestic Fixed Income 23% 23% 1.40% 1.96% (0.15%) (0.04%) (0.19%)Real Estate 10% 9% 12.83% 14.10% (0.12%) 0.19% 0.07%International Equity 22% 23% (4.80%) (8.08%) 0.73% 0.07% 0.80%Real Assets 4% 5% (6.15%) 0.50% (0.31%) (0.01%) (0.32%)Cash Composite 0% 0% (0.00%) (0.00%) 0.00% 0.00% 0.00%

Total = + +(0.17%) (1.43%) 1.09% 0.18% 1.26%






Three Year Annualized Relative Attribution Effects

(0.2%) 0.0% 0.2% 0.4% 0.6% 0.8%

Domestic Equity


Real Estate


Real Assets

Cash Composite

Total



(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

2013 2014 2015 2016

Manager Effect

Asset Allocation

Total

Three Year Annualized Relative Attribution Effects


Asset Class Weight Weight Return Return Effect Allocation ReturnDomestic Equity 41% 39% 10.66% 9.75% 0.35% 0.13% 0.48%Domestic Fixed Income 23% 24% 3.10% 2.61% 0.10% (0.03%) 0.07%Real Estate 10% 9% 13.48% 13.57% (0.01%) 0.06% 0.04%International Equity 22% 24% 1.58% 1.62% (0.02%) 0.03% 0.01%Real Assets 4% 5% (1.12%) 0.32% (0.07%) 0.00% (0.07%)Cash Composite 0% 0% (0.00%) (0.00%) 0.00% (0.00%) (0.00%)

Total = + +6.55% 6.02% 0.34% 0.19% 0.53%






Five Year Annualized Relative Attribution Effects

(0.4%) (0.2%) 0.0% 0.2% 0.4% 0.6% 0.8%

Domestic Equity


Real Estate


Real Assets

Cash Composite

Total



(2%)

(1%)

0%

1%

2%

3%

4%

2011 2012 2013 2014 2015 2016

Manager Effect

Asset Allocation

Total

Five Year Annualized Relative Attribution Effects


Asset Class Weight Weight Return Return Effect Allocation ReturnDomestic Equity 41% 38% 10.34% 9.59% 0.27% 0.14% 0.41%Domestic Fixed Income 26% 26% 4.94% 4.37% 0.16% (0.07%) 0.08%Real Estate 10% 9% 13.67% 13.07% 0.05% (0.02%) 0.03%International Equity 21% 24% 1.30% 1.84% (0.13%) (0.08%) (0.21%)Real Assets 3% 3% - - (0.04%) 0.00% (0.04%)Cash Composite 0% 0% 0.00% 0.00% 0.00% (0.00%) (0.00%)

Total = + +7.11% 6.84% 0.30% (0.03%) 0.27%




Total Fund Ranking

The first two charts show the ranking of the Total Fund’s performance relative to that of the Public Fund Sponsor Databasefor periods ended March 31, 2016. The first chart is a standard unadjusted ranking. In the second chart each fund in thedatabase is adjusted to have the same historical asset allocation as that of the Total Fund.

Public Fund Sponsor DatabaseR

etu

rns

(5%)

0%

5%

10%

Last Last Last Last LastQuarter Year 2 Years 3 Years 5 Years

(55)(57)

(28)

(60)

(59)(58)

(33)(50)

(21)(30)

10th Percentile 1.91 0.61 4.17 7.33 7.6525th Percentile 1.54 (0.08) 3.56 6.76 7.01

Median 1.17 (1.03) 2.83 6.02 6.4175th Percentile 0.67 (2.05) 1.99 4.92 5.6990th Percentile 0.10 (3.35) 1.05 3.69 4.94

Total Fund 1.03 (0.17) 2.50 6.55 7.11

Policy Target 0.96 (1.43) 2.52 6.02 6.84

Asset Allocation Adjusted Ranking

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

Last Last Last Last LastQuarter Year 2 Years 3 Years 5 Years

(83)(84)

(8)

(66)

(59)(56)

(36)(71)

(33)(63)

10th Percentile 2.52 (0.21) 3.55 7.75 8.5525th Percentile 1.61 (0.44) 3.49 6.83 7.36


Total Fund 1.03 (0.17) 2.50 6.55 7.11

Policy Target 0.96 (1.43) 2.52 6.02 6.84




Total Fund Ranking

The first two charts show the ranking of the Total Fund’s performance relative to that of the Public Fund Sponsor Databasefor calendar years. The first chart is a standard unadjusted ranking. In the second chart each fund in the database isadjusted to have the same historical asset allocation as that of the Total Fund.

Public Fund Sponsor DatabaseR

etu

rns

(5%)

0%

5%

10%

15%

20%

25%

12/2015- 2015 2014 2013 20123/2016

(55)(57)(8)

(48)

(93)

(59)

(13)

(27)

(58)(30)

10th Percentile 1.91 1.54 7.89 20.41 14.4925th Percentile 1.54 0.86 7.14 18.40 13.73

Median 1.17 0.08 6.04 15.73 12.6675th Percentile 0.67 (0.81) 4.93 13.14 10.9290th Percentile 0.10 (1.95) 4.06 9.64 9.34

Total Fund 1.03 1.74 3.52 20.09 12.29

Policy Target 0.96 0.13 5.64 18.11 13.53

Asset Allocation Adjusted Ranking

Re

turn

s

(5%)

0%

5%

10%

15%

20%

25%

12/2015- 2015 2014 2013 20123/2016

(83)(84)(6)

(54)

(98)

(71)

(10)

(51)

(79)(44)



Total Fund 1.03 1.74 3.52 20.09 12.29

Policy Target 0.96 0.13 5.64 18.11 13.53




LFUCG Policemen’s and Firefighters’ Retirement FundTotal Fund Projected Risk Analysisas of March 31, 2016

The following is forward-looking analysis of the projected long-term total fund risk, return, and diversification benefits(improvement in risk and Sharpe ratio) using long-term capital market assumptions. The top table displays the projectedresults and diversification benefits for the total fund using both the actual and target asset allocations. The middle and bottomexhibits give a detailed attribution by asset class of the sources of projected total fund risk and return. This analysisjuxtaposes dollar weights with projected risk weights and examines the projected risk and return contribution by asset class.

Capital Market Assumptions: Callan 2016Total Fund Projected Risk Profile

Projected Projected Projected Risk w/o Risk SharpeReturn Risk Sharpe Diversification Diversification Diversification

Current Asset Allocation 6.41% 12.89% 0.32 14.81% 1.92% 0.04%

Target Asset Allocation 6.45% 13.05% 0.32 14.93% 1.88% 0.04%

Projected Risk and Return Sources

0%

20%

40%

60%

80%

100%

120%

140%

Current $ Weights Current Risk Weights0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Current Return Contrib Current Risk Contrib

Domestic Broad Eq Intl Equity Real Estate Real Assets Cash Equiv Domestic Fixed

Detailed Risk and Return Sources by Asset Class

Current Target Current Target Projected Projected ProjectedDollar Dollar Projected Projected Risk Risk Return Risk Rtn/RiskWeight Weight Return Risk Weight Weight Contrib Contrib Contrib

Domestic Broad Eq 39.84% 40.00% 7.37% 18.70% 56.54% 56.02% 3.10% 7.29% 0.43x

Intl Equity 21.63% 23.00% 7.26% 20.05% 31.18% 32.86% 1.66% 4.02% 0.41x

Real Estate 10.26% 9.00% 6.03% 16.45% 10.40% 8.96% 0.65% 1.34% 0.49x

Real Assets 4.41% 5.00% 5.05% 9.90% 2.35% 2.62% 0.24% 0.30% 0.78x

Cash Equiv 0.04% - 2.27% 0.90% (0.00%) - 0.00% (0.00%) (93.31x)

Domestic Fixed 23.82% 23.00% 3.02% 3.75% (0.46%) (0.46%) 0.76% (0.06%) (12.73x)


LFUCG Police & Firefighters Total FundReturn Analysis Summary

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

Performance vs Public Fund Sponsor Database (Gross)

(5%)

0%

5%

10%

15%

20%

25%

12/15- 3/16 2015 2014 2013 2012

(55)(57) (8)(48)

(93)(59)

(13)(27)

(58)(30)



LFUCG Police &Firefighters Total Fund 1.03 1.74 3.52 20.09 12.29

Total FundTarget Benchmark 0.96 0.13 5.64 18.11 13.53

Cumulative and Quarterly Relative Return vs Total Fund Target Benchmark

Re

lative

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

2011 2012 2013 2014 2015 2016

LFUCG Police & Firefighters Total Fund Pub PlnSponsor DB

Risk Adjusted Return Measures vs Total Fund Target BenchmarkRankings Against Public Fund Sponsor Database (Gross)Five Years Ended March 31, 2016

(4)

(2)

0

2

4

6

8

10

12

Alpha TreynorRatio

(36)

(36)

10th Percentile 1.87 9.4225th Percentile 1.13 8.02

Median 0.34 7.1275th Percentile (0.35) 6.3390th Percentile (1.22) 5.29

LFUCG Police &Firefighters Total Fund 0.67 7.53

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0

Information Sharpe Excess ReturnRatio Ratio Ratio

(32)(37)

(18)

10th Percentile 1.29 1.07 0.4525th Percentile 0.86 0.92 0.08

Median 0.30 0.81 (0.20)75th Percentile (0.29) 0.72 (0.49)90th Percentile (0.90) 0.62 (0.80)

LFUCG Police &Firefighters Total Fund 0.64 0.86 0.21


Total FundTotal Fund vs Target Risk Analysis

Risk AnalysisThe graphs below analyze the performance and risk of the fund relative to the appropriate target mix. This relativeperformance is compared to a peer group of funds wherein each member fund is measured against its own target mix. Thefirst scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative tothe target. The second scatter chart displays the relationship, sometimes called Information Ratio, between alpha(market-risk or "beta" adjusted return) and residual risk (non-market or "unsystematic" risk). The third chart shows trackingerror patterns over time compared to the range of tracking error patterns for the peer group. The last two charts show theranking of the fund’s risk statistics versus the peer group.

Risk Analysis vs Public Fund Sponsor DatabaseFive Years Ended March 31, 2016

0.0 0.5 1.0 1.5 2.0 2.5 3.0(1.5 )

(1.0 )

(0.5 )

0.0

0.5

1.0

1.5

Total Fund

Tracking Error

Exce

ss R

etu

rn

0.0 0.5 1.0 1.5 2.0 2.5(2.0 )

(1.5 )

(1.0 )

(0.5 )

0.0

0.5

1.0

1.5

Total Fund

Residual Risk

Alp

ha

Rolling 4 Quarter Tracking Error vs Targets Compared to Public Fund Sponsor Database

Tra

ckin

g E

rro

r

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

4.50

2011 2012 2013 2014 2015 2016

Total Fund

Group Median

Risk Statistics Rankings vs TargetsRankings Against Public Fund Sponsor DatabaseFive Years Ended March 31, 2016

(2.0%)(1.5%)(1.0%)(0.5%)

0.0%0.5%1.0%1.5%2.0%2.5%3.0%

Excess Alpha TrackingReturn Error

(41)(12)

(59)


Median 0.08 0.15 1.2775th Percentile (0.18) (0.32) 0.8090th Percentile (1.31) (0.99) 0.33

Total Fund 0.25 0.67 1.17

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0

Rel. Std. Beta Excess Info.Deviation Rtn. Ratio Ratio

(79) (78)

(40)

(19)

10th Percentile 1.26 1.17 1.02 0.9525th Percentile 1.07 1.06 0.46 0.44

Median 1.01 1.01 0.14 0.2375th Percentile 0.97 0.96 (0.34) (0.34)90th Percentile 0.84 0.82 (0.56) (0.79)

Total Fund 0.94 0.93 0.21 0.64


Do

me

stic

Eq

uity

Domestic Equity

Fidelity Spartan 500 FundPeriod Ended March 31, 2016

Investment PhilosophyThe Spartan US Equity Index Fund attempts to replicate the S&P 500 index by investing in index securities and futures.The investment strategy is geared toward aiming to minimize trading costs, while simultaneously seeking to minimizetracking error to the underlying benchmark. *The initial investment into the fund occurred on December 17, 2009. **TheFidelity Commonwealth Trust Spartan 500 Index Fund merged with the Fidelity Spartan 500 Index Fund on Jan. 22, 2010.***The fund switched from investor shares to advantage shares on Feb. 12, 2010. Returns include cash held at thecustodian accounts.

Quarterly Summary and HighlightsFidelity Spartan 500 Fund’s portfolio posted a 1.43% returnfor the quarter placing it in the 20 percentile of the CAI MF -Core Equity Style group for the quarter and in the 19percentile for the last year.

Fidelity Spartan 500 Fund’s portfolio outperformed the S&P500 Index by 0.09% for the quarter and underperformed theS&P 500 Index for the year by 0.01%.

Quarterly Asset Growth

Beginning Market Value $60,194,754

Net New Investment $-3,638

Investment Gains/(Losses) $862,621

Ending Market Value $61,053,737

Performance vs CAI MF - Core Equity Style (Net)

(10%)

(5%)

0%

5%

10%

15%

20%

Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 6-1/4Year Years

(20)(22) (19)(19)

(13)(13)

(27)(18) (30)(15) (25)(18)

10th Percentile 1.97 2.42 7.54 12.39 11.95 12.9725th Percentile 1.28 1.04 6.26 11.55 11.26 12.21

Median 0.00 (1.40) 4.68 10.19 10.25 11.3275th Percentile (0.94) (3.03) 3.72 9.37 9.25 10.4990th Percentile (2.17) (4.64) 2.71 8.71 7.99 9.47

FidelitySpartan 500 Fund 1.43 1.77 7.08 11.39 11.06 12.21

S&P 500 Index 1.35 1.78 7.12 11.82 11.58 12.67

Relative Return vs S&P 500 Index

Rela

tive

Re

turn

s

(0.8%)

(0.6%)

(0.4%)

(0.2%)

0.0%

0.2%

0.4%

0.6%

2011 2012 2013 2014 2015 16

Fidelity Spartan 500 Fund

CAI MF - Core Equity Style (Net)Annualized Five Year Risk vs Return

10 11 12 13 14 15 162%

4%

6%

8%

10%

12%

14%

S&P 500 Index


Standard Deviation

Re

turn

s


Fidelity Spartan 500 FundReturn Analysis Summary


Performance vs CAI MF - Core Equity Style (Net)

(10%)

0%

10%

20%

30%

40%

50%

12/15- 3/16 2015 2014 2013 2012

(20)(22) (35)(34)

(21)(20)

(77)(57)

(61)(52)


Median 0.00 0.59 10.99 32.79 16.1875th Percentile (0.94) (1.48) 10.06 30.56 13.8490th Percentile (2.17) (2.95) 8.92 28.64 10.44

FidelitySpartan 500 Fund 1.43 1.29 13.49 30.31 15.36

S&P 500 Index 1.35 1.38 13.69 32.39 16.00

Cumulative and Quarterly Relative Return vs S&P 500 Index

Re

lative

Re

turn

s

(8%)

(7%)

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

2011 2012 2013 2014 2015 2016

Fidelity Spartan 500 Fund CAI Core Equity Mut Fds

Risk Adjusted Return Measures vs S&P 500 IndexRankings Against CAI MF - Core Equity Style (Net)Five Years Ended March 31, 2016

(10)

(5)

0

5

10

15

Alpha TreynorRatio

(20)

(20)

10th Percentile 0.25 11.7625th Percentile (0.48) 10.97

Median (1.49) 9.8475th Percentile (2.84) 8.5890th Percentile (4.12) 7.29

FidelitySpartan 500 Fund (0.13) 11.37

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(38)

(11)

(86)

10th Percentile 0.14 0.91 0.1325th Percentile (0.23) 0.85 (0.12)

Median (0.73) 0.76 (0.50)75th Percentile (1.03) 0.66 (0.72)90th Percentile (1.30) 0.56 (1.03)

FidelitySpartan 500 Fund (0.49) 0.89 (0.92)


Fidelity Spartan 500 FundRisk Analysis Summary

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

Risk Analysis vs CAI MF - Core Equity Style (Net)Five Years Ended March 31, 2016

0 2 4 6 8 10(10 )

(8 )

(6 )

(4 )

(2 )

0

2

4


Tracking Error

Exce

ss R

etu

rn

10 11 12 13 14 15 162

4

6

8

10

12

14


S&P 500 Index

Standard Deviation

Re

turn

s

Rolling 12 Quarter Tracking Error vs S&P 500 Index

Tra

ckin

g E

rro

r

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

2013 2014 2015 2016


CAI Core Equity Mut Fds

Risk Statistics Rankings vs S&P 500 IndexRankings Against CAI MF - Core Equity Style (Net)Five Years Ended March 31, 2016

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

Standard Downside Residual TrackingDeviation Risk Risk Error

(87)

(94) (99) (98)


Median 13.62 2.12 2.47 2.5275th Percentile 12.90 1.57 1.86 1.9590th Percentile 11.74 1.27 1.16 1.40

FidelitySpartan 500 Fund 12.32 0.53 0.27 0.50

0.85

0.90

0.95

1.00

1.05

1.10

1.15

1.20

Beta R-Squared Rel. Std.Deviation

(84)

(1)

(87)


Median 1.05 0.97 1.0775th Percentile 1.00 0.94 1.0190th Percentile 0.90 0.92 0.92

FidelitySpartan 500 Fund 0.97 1.00 0.97


Fidelity Spartan 500 FundEquity Characteristics Analysis Summary

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

Portfolio Characteristics Percentile RankingsRankings Against CAI MF - Core Equity Styleas of March 31, 2016

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

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

(27)(27)(34)(33)

(42)(42)

(59)(58)

(33)(32)

(66)(64)


Median 65.54 16.34 2.65 10.59 2.03 (0.00)75th Percentile 52.53 15.50 2.29 9.35 1.77 (0.11)90th Percentile 39.17 14.89 2.14 8.75 1.54 (0.31)

*FidelitySpartan 500 Fund 77.66 16.71 2.70 10.28 2.16 (0.05)

S&P 500 Index 76.98 16.80 2.70 10.32 2.17 (0.04)

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

Sector AllocationMarch 31, 2016

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

Information Technology21.020.8

21.7

Financials15.315.6

16.4

Health Care14.0

50

%M

gr

MV

50

%M

gr

MV

14.314.9

Consumer Discretionary13.012.9

14.0

Industrials10.6

10.110.8

Consumer Staples10.410.410.2

Energy6.66.8

6.3

Utilities3.43.4

1.2

Materials3.02.83.2

Telecommunications2.82.8

1.3

*Fidelity Spartan 500 Fund S&P 500 Index

CAI Core Equity Mut Fds

Sector DiversificationManager 2.98 sectors

Index 2.95 sectors

DiversificationMarch 31, 2016

0

100

200

300

400

500

600

Number of IssueSecurities Diversification

(4)

(3)

10th Percentile 296 4425th Percentile 175 29

Median 76 2175th Percentile 56 1690th Percentile 45 15

*FidelitySpartan 500 Fund 505 54

S&P 500 Index 504 54

Diversification RatioManager 11%

Index 11%

Style Median 26%

*3/31/16 portfolio characteristics generated using most recently available holdings (12/31/15) modified based on a "buy-and-hold" assumption (repriced and

adjusted for corporate actions). Analysis is then done using current market and company financial data.


Current Holdings Based Style AnalysisFidelity Spartan 500 FundAs of March 31, 2016

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

Style Map vs CAI Core Equity Mut FdsHoldings as of March 31, 2016

Value Core Growth

Mega

Large

Mid

Small

Micro

*Fidelity Spartan 500 Fund

S&P 500 Index

*Fidelity Spartan 500 Fund

S&P 500 Index

Style Exposure MatrixHoldings as of March 31, 2016

Large

Mid

Small

Micro

Total

Value Core Growth Total

32.4% (101) 30.4% (100) 26.8% (82) 89.6% (283)

4.2% (86) 3.6% (71) 2.5% (44) 10.3% (201)

0.1% (7) 0.0% (3) 0.0% (1) 0.1% (11)

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

36.6% (194) 34.0% (174) 29.4% (127) 100.0% (495)

32.2% (103) 30.1% (100) 26.9% (84) 89.2% (287)

4.2% (88) 3.8% (75) 2.6% (47) 10.7% (210)

0.0% (3) 0.0% (3) 0.0% (1) 0.1% (7)

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

36.5% (194) 33.9% (178) 29.6% (132) 100.0% (504)

Combined Z-Score Style DistributionHoldings as of March 31, 2016

0%

10%

20%

30%

40%

50%

60%

Value Core Growth

36.6%

(194)

36.5%

(194)

34.0%

(174)

33.9%

(178)

29.4%

(127)

29.6%

(132)

Bar #1=*Fidelity Spartan 500 Fund (Combined Z: -0.05 Growth Z: -0.01 Value Z: 0.03)

Bar #2=S&P 500 Index (Combined Z: -0.04 Growth Z: -0.01 Value Z: 0.03)

Large

Mid

Small

Micro

Sector Weights DistributionHoldings as of March 31, 2016

0%

5%

10%

15%

20%

25%

30%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT TECH

2.8 2.8

13.0 12.9

10.4 10.4

6.7 6.8

15.2 15.614.2 14.3

10.5 10.1

3.4 3.4 2.9 2.8

20.9 20.8

Bar #1=*Fidelity Spartan 500 Fund

Bar #2=S&P 500 Index

Value

Core

Growth




Dodge & Cox Stock FundPeriod Ended March 31, 2016

Investment PhilosophyDodge & Cox seeks to build a portfolio of individual companies where the current market valuation does not adequatelyreflect the company’s long-term profit opportunities. The firm maintains a long-term focus, conducts their own research,and employs a rigorous price discipline. *The initial investment into the fund occurred on September, 2003.

Quarterly Summary and HighlightsDodge & Cox Stock Fund’s portfolio posted a (0.99)% returnfor the quarter placing it in the 76 percentile of the CAI MF -Large Cap Value Style group for the quarter and in the 58percentile for the last year.

Dodge & Cox Stock Fund’s portfolio underperformed theRussell 1000 Value Index by 2.63% for the quarter andunderperformed the Russell 1000 Value Index for the yearby 2.75%.



Net New Investment $0

Investment Gains/(Losses) $-434,888


Performance vs CAI MF - Large Cap Value Style (Net)

(10%)

(5%)

0%

5%

10%

15%


(76)

(18)

(58)

(21)

(69)

(22)

(29)(29)(20)(19)

(31)(33)

10th Percentile 1.94 (0.03) 5.37 10.67 11.30 8.1925th Percentile 1.16 (2.28) 3.41 9.95 9.92 7.34

Median 0.02 (3.69) 2.24 8.76 8.98 6.6975th Percentile (0.95) (5.37) 0.78 7.79 8.23 5.9290th Percentile (2.03) (7.26) (0.17) 6.37 7.48 4.69

Dodge & CoxStock Fund (0.99) (4.29) 0.96 9.51 10.14 7.11

Russell 1000Value Index 1.64 (1.54) 3.75 9.38 10.25 7.05

Relative Return vs Russell 1000 Value Index

Rela

tive

Re

turn

s

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2011 2012 2013 2014 2015 16

Dodge & Cox Stock Fund

CAI MF - Large Cap Value Style (Net)Annualized Five Year Risk vs Return

8 10 12 14 16 182%

4%

6%

8%

10%

12%

14%

Russell 1000 Value Index


Standard Deviation

Re

turn

s


Dodge & Cox Stock FundReturn Analysis Summary


Performance vs CAI MF - Large Cap Value Style (Net)

(20%)

(10%)

0%

10%

20%

30%

40%

50%

12/15- 3/16 2015 2014 2013 2012

(76)(18)(61)(48)

(73)(21)

(2)(51)

(2)(23)


Median 0.02 (3.86) 10.91 33.06 15.7075th Percentile (0.95) (5.63) 10.17 30.70 14.2090th Percentile (2.03) (7.50) 8.66 29.35 10.00

Dodge & CoxStock Fund (0.99) (4.49) 10.40 40.55 22.01

Russell 1000Value Index 1.64 (3.83) 13.45 32.53 17.51

Cumulative and Quarterly Relative Return vs Russell 1000 Value Index

Re

lative

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

2011 2012 2013 2014 2015 2016

Dodge & Cox Stock Fund CAI Lg Cap Value Mut Fds

Risk Adjusted Return Measures vs Russell 1000 Value IndexRankings Against CAI MF - Large Cap Value Style (Net)Five Years Ended March 31, 2016

(6)(4)(2)

02468

101214

Alpha TreynorRatio

(36)

(36)

10th Percentile 0.93 11.2525th Percentile (0.17) 9.89


Dodge & CoxStock Fund (0.66) 9.38

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(31)

(42)

(20)

10th Percentile 0.36 0.80 0.2825th Percentile (0.06) 0.71 (0.10)


Dodge & CoxStock Fund (0.18) 0.66 (0.03)


Dodge & Cox Stock FundRisk Analysis Summary

Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondscatter chart displays the relationship, sometimes called Information Ratio, between alpha (market-risk or "beta" adjustedreturn) and residual risk (non-market or "unsystematic" risk). The third chart shows tracking error patterns versus thebenchmark over time. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs CAI MF - Large Cap Value Style (Net)Five Years Ended March 31, 2016

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

(5 )

(4 )

(3 )

(2 )

(1 )

0

1

2

3


Tracking Error

Excess R

etu

rn

0 1 2 3 4 5 6(8 )

(6 )

(4 )

(2 )

0

2

4

6

8


Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs Russell 1000 Value Index

Tra

ckin

g E

rro

r

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

6.5%

2011 2012 2013 2014 2015 2016


CAI Lg Cap Value Mut Fds

Risk Statistics Rankings vs Russell 1000 Value IndexRankings Against CAI MF - Large Cap Value Style (Net)Five Years Ended March 31, 2016

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%


(16)

(38)(24) (27)



Dodge & CoxStock Fund 15.22 2.47 3.61 3.65

0.85

0.90

0.95

1.00

1.05

1.10

1.15


(13)

(76)

(16)



Dodge & CoxStock Fund 1.07 0.95 1.10


Dodge & Cox Stock FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against CAI MF - Large Cap Value Styleas of March 31, 2016

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(33)

(47)

(68)

(21)

(76)

(67)

(75)(72)

(87)

(16)(22)

(84)

10th Percentile 80.52 16.75 2.29 10.31 2.74 (0.32)25th Percentile 61.89 15.69 2.07 9.37 2.56 (0.47)


Dodge & Cox Stock Fund 57.62 13.82 1.67 7.18 2.12 (0.45)

Russell 1000 Value Index 53.25 16.07 1.74 7.43 2.63 (0.78)



0% 5% 10% 15% 20% 25% 30% 35%

Financials25.7

28.225.8

Information Technology23.9

11.412.8

Consumer Discretionary16.7

50

%M

gr

MV

50

%M

gr

MV

5.310.0

Health Care16.1

11.713.7

Energy8.0

12.79.6

Industrials5.7

10.411.2

Consumer Staples2.4

7.47.6

Materials0.9

2.83.0

Telecommunications0.7

3.22.4

Utilities 6.93.9

Dodge & Cox Stock Fund Russell 1000 Value Index

CAI Lg Cap Value Mut Fds


Index 2.78 sectors


0

20

40

60

80

100

120

140

160

180

200


(55)

(71)



Dodge & CoxStock Fund 63 17

Russell 1000Value Index 679 42


Index 6%

Style Median 30%


Current Holdings Based Style AnalysisDodge & Cox Stock FundAs of March 31, 2016


Style Map vs CAI Lg Cap Value Mut FdsHoldings as of March 31, 2016

Value Core Growth

Mega

Large

Mid

Small

Micro






Large

Mid

Small

Micro

Total


41.6% (19) 24.6% (14) 20.9% (12) 87.1% (45)

8.1% (10) 4.8% (8) 0.0% (0) 12.9% (18)

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

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

49.7% (29) 29.4% (22) 20.9% (12) 100.0% (63)

53.8% (99) 21.8% (70) 3.2% (22) 78.8% (191)

10.3% (157) 6.6% (136) 1.6% (47) 18.6% (340)

1.6% (76) 0.8% (47) 0.3% (19) 2.6% (142)

0.0% (1) 0.0% (4) 0.0% (0) 0.0% (5)

65.7% (333) 29.2% (257) 5.1% (88) 100.0% (678)


0%

20%

40%

60%

80%

100%

120%

Value Core Growth

49.7%

(29)65.7%

(333)

29.4%

(22)

29.2%

(257)

20.9%

(12)

5.1%

(88)

Bar #1=Dodge & Cox Stock Fund (Combined Z: -0.45 Growth Z: -0.17 Value Z: 0.28)

Bar #2=Russell 1000 Value Index (Combined Z: -0.78 Growth Z: -0.36 Value Z: 0.42)

Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

30%

35%

40%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT TECH PUBUTL

0.73.2

16.7

5.32.4

7.4 8.0

12.6

25.728.2

16.1

11.7

5.7

10.4

0.92.8

23.9

11.4

0.0

7.0

Bar #1=Dodge & Cox Stock Fund

Bar #2=Russell 1000 Value Index

Value

Core

Growth


Neuberger BermanPeriod Ended March 31, 2016

Investment PhilosophyNeuberger Berman use a bottom up, value style to build low price/earnings, price/book and intrinsic value portfolios. Theintial investment into the fund occured on September 30 1998.

Quarterly Summary and HighlightsNeuberger Berman’s portfolio posted a 1.74% return for thequarter placing it in the 66 percentile of the CAI Small CapValue Style group for the quarter and in the 21 percentile forthe last year.

Neuberger Berman’s portfolio outperformed the Russell2000 Index by 3.26% for the quarter and outperformed theRussell 2000 Index for the year by 7.54%.




Investment Gains/(Losses) $1,566,884


Performance vs CAI Small Cap Value Style (Gross)

(15%)

(10%)

(5%)

0%

5%

10%

15%

20%


(66)

(96) (21)

(94)

(38)

(83)

(54)

(81)

(53)(82)

(8)

(99)

10th Percentile 4.62 0.29 5.33 11.53 12.01 13.4225th Percentile 3.74 (2.67) 2.47 9.66 10.28 12.53

Median 2.41 (4.93) 1.40 8.92 9.09 11.4475th Percentile 1.42 (6.87) (0.37) 7.33 7.81 10.4990th Percentile (0.63) (8.36) (2.95) 5.28 6.54 9.63

Neuberger Berman 1.74 (2.22) 1.89 8.67 8.86 13.87

Russell 2000 Index (1.52) (9.76) (1.18) 6.84 7.20 8.03

Relative Return vs Russell 2000 Index

Rela

tive

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

2011 2012 2013 2014 2015 16

Neuberger Berman

CAI Small Cap Value Style (Gross)Annualized Five Year Risk vs Return

13 14 15 16 17 18 19 20 210%

2%

4%

6%

8%

10%

12%

14%

Neuberger Berman

Russell 2000 Index

Standard Deviation

Re

turn

s


Neuberger BermanReturn Analysis Summary


Performance vs CAI Small Cap Value Style (Gross)

(20%)

(10%)

0%

10%

20%

30%

40%

50%

60%

12/15- 3/16 2015 2014 2013 2012

(66)(96) (7)

(57)(96)

(72)

(42)(50)

(88)(70)


Median 2.41 (3.73) 5.93 38.72 18.1275th Percentile 1.42 (5.95) 4.84 35.78 14.9390th Percentile (0.63) (11.23) 2.31 33.27 10.98

Neuberger Berman 1.74 0.31 0.37 39.81 11.15

Russell 2000 Index (1.52) (4.41) 4.89 38.82 16.35

Cumulative and Quarterly Relative Return vs Russell 2000 Index

Re

lative

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

2011 2012 2013 2014 2015 2016

Neuberger Berman CAI Small Cap Value Style

Risk Adjusted Return Measures vs Russell 2000 IndexRankings Against CAI Small Cap Value Style (Gross)Five Years Ended March 31, 2016

(4)

(2)

0

2

4

6

8

10

12

14

Alpha TreynorRatio

(36)

(17)


Median 2.02 9.3675th Percentile 0.99 8.0490th Percentile (0.51) 6.50

NeubergerBerman 2.84 11.19

(0.4)

(0.2)

0.0

0.2

0.4

0.6

0.8

1.0

1.2


(26)

(17)

(65)


Median 0.56 0.51 0.4575th Percentile 0.25 0.44 0.1490th Percentile (0.10) 0.35 (0.13)

Neuberger Berman 0.84 0.61 0.31


Neuberger BermanRisk Analysis Summary


Risk Analysis vs CAI Small Cap Value Style (Gross)Five Years Ended March 31, 2016

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

(4 )

(2 )

0

2

4

6

8

Neuberger Berman

Tracking Error

Excess R

etu

rn

2 3 4 5 6 7(6 )

(4 )

(2 )

0

2

4

6

8

Neuberger Berman

Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs Russell 2000 Index

Tra

ckin

g E

rro

r

2%

3%

4%

5%

6%

7%

8%

9%

10%

2011 2012 2013 2014 2015 2016

Neuberger Berman

CAI Small Cap Value Style

Risk Statistics Rankings vs Russell 2000 IndexRankings Against CAI Small Cap Value Style (Gross)Five Years Ended March 31, 2016

0%

5%

10%

15%

20%

25%


(96)

(30) (77)(26)



NeubergerBerman 14.31 2.75 3.38 5.05

0.70

0.75

0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15


(94)

(52)

(96)



Neuberger Berman 0.78 0.95 0.81


Neuberger BermanEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against CAI Small Cap Value Styleas of March 31, 2016

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(3)

(48)

(5)(1) (1)

(5)

(30)

(12)

(98)

(74)

(1)(1)

10th Percentile 2.36 17.86 1.79 13.28 2.76 (0.17)25th Percentile 2.02 16.73 1.68 11.54 2.19 (0.24)


Neuberger Berman 2.99 20.24 3.52 11.42 1.22 0.39

Russell 2000 Index 1.69 22.81 1.91 13.08 1.62 0.04



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

Industrials21.0

13.117.7


17.913.9

Health Care16.0

50

%M

gr

MV

50

%M

gr

MV

13.75.4


14.111.6

Financials12.6

26.035.4

Materials9.1

3.94.9

Consumer Staples6.4

3.62.8

Energy2.12.5

3.9

Telecommunications 0.9

Utilities 4.44.6

Neuberger Berman Russell 2000 Index

CAI Small Cap Value Style


Index 2.44 sectors


0

50

100

150

200

250

300

350

400


(30)

(53)



Neuberger Berman 138 35

Russell 2000 Index 1957 340


Index 17%

Style Median 33%


Current Holdings Based Style AnalysisNeuberger BermanAs of March 31, 2016


Style Map vs CAI Small Cap Value StyleHoldings as of March 31, 2016

Value Core Growth

Mega

Large

Mid

Small

Micro

Neuberger Berman

Russell 2000 Index

Neuberger Berman

Russell 2000 Index


Large

Mid

Small

Micro

Total


0.0% (0) 0.0% (0) 1.4% (1) 1.4% (1)

1.3% (2) 18.9% (20) 23.0% (19) 43.2% (41)

4.8% (11) 28.4% (45) 21.4% (36) 54.5% (92)

0.0% (0) 0.4% (3) 0.5% (1) 0.9% (4)

6.1% (13) 47.7% (68) 46.3% (57) 100.0% (138)

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

1.8% (9) 5.7% (26) 5.5% (24) 13.0% (59)

20.0% (264) 30.1% (398) 24.7% (331) 74.7% (993)

3.8% (251) 5.0% (399) 3.4% (226) 12.2% (876)

25.6% (524) 40.8% (823) 33.7% (581) 100.0% (1928)


0%

10%

20%

30%

40%

50%

60%

70%

80%

Value Core Growth

6.1%

(13)

25.6%

(524)

47.7%

(68)

40.8%

(823) 46.3%

(57)

33.7%

(581)

Bar #1=Neuberger Berman (Combined Z: 0.39 Growth Z: 0.13 Value Z: -0.26)

Bar #2=Russell 2000 Index (Combined Z: 0.04 Growth Z: 0.03 Value Z: -0.02)

Large

Mid

Small

Micro


0%

5%

10%

15%

20%

25%

30%

35%

CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT TECH COMMUN PUBUTL

13.014.1

6.4

3.72.1 2.5

12.3

26.1

16.113.6

21.1

13.2

9.1

3.8

19.917.8

0.0 0.9 0.0

4.4

Bar #1=Neuberger Berman

Bar #2=Russell 2000 Index

Value

Core

Growth


Neuberger Berman vs Russell 2000 IndexDomestic Equity Daily Performance AttributionOne Quarter Ended March 31, 2016

Sector Exposures and PerformanceDifferences in sector exposures and sector returns between a manager and index are important factors in understandingrelative performance. The first two charts below show detailed sector exposures through time for both the manager andindex. The third chart summarizes these exposures. The fourth chart compares the perfomance between the manager andindex within individual sectors.

Manager Historical Sector Allocation

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

201601 201602 201603

Consumer Discretionary

Consumer Staples

Energy

Financials

Health Care

Industrials

Information Technology

Materials

Non Equity

Benchmark Historical Sector Allocation

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

201601 201602 201603

Consumer Discretionary

Consumer Staples

Energy

Financials

Health Care

Industrials

Information Technology

Materials

Telecommunications

Utilities

Effective Sector Weights

0% 5% 10% 15% 20% 25% 30% 35%


13.9

Consumer Staples6.5

3.6

Energy2.02.5

Financials12.7

26.0

Health Care16.2

14.9

Industrials20.1

12.4


18.0

Materials9.0

3.7


Utilities 4.2

Non Equity3.0


Sector Returns

(30%) (20%) (10%) 0% 10% 20%

Consumer Discretionary2.62.3

Consumer Staples2.83.2

Energy(2.0 )

(8.3 )

Financials(2.6 )

0.3

Health Care0.8

(16.9 )

Industrials9.1

4.5

Information Technology(2.5 )(1.4 )

Materials3.1

5.0


Utilities 11.8

Total1.7

(1.5 )



Neuberger Berman vs Russell 2000 IndexDomestic Equity Daily Performance AttributionOne Quarter Ended March 31, 2016

Return Sources and TimingThe charts below illustrate the timing and cumulative paths of the manager’s performance, as well as attributing relativeperformance to three sources: Sector Concentration, Security Selection, and Asset Allocation. The first chart shows thecumulative absolute return paths for the manager and index. The second chart shows the cumulative relative return path ofthe manager and the attributed sources of that value-added. The bottom table breaks the annualized attribution factors downto the sector level for more insight into sources of return.

Cumulative Manager and Benchmark Returns

(20%)

(10%)

0%

10%

201601 201602 201603

1.74%

(1.52%)

3.26%

Neuberger Berman

Russell 2000 Index

Relative Return

Cumulative Attribution Effects vs. Russell 2000 Index

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

7%

201601 201602 201603

0.01%

3.30%

(0.05%)

3.26%

Sector Concentration

Security Selection

Asset Allocation Effect

Value Added

Attribution Effects by Sector vs. Russell 2000 IndexOne Quarter Ended March 31, 2016

Sector

Manager

Eff Weight

Index

Eff Weight

Manager

Return

Index

Return

Sector

Concentration

Security

Selection

Asset

Allocation

Consumer Discretionary 12.99% 13.90% 2.58% 2.32% (0.03)% 0.02% -

Consumer Staples 6.47% 3.57% 2.82% 3.23% 0.15% (0.04)% -

Energy 2.02% 2.53% (2.05)% (8.32)% 0.05% 0.12% -

Financials 12.71% 26.00% (2.62)% 0.32% (0.23)% (0.38)% -

Health Care 16.23% 14.86% 0.80% (16.89)% (0.20)% 3.17% -

Industrials 20.09% 12.37% 9.13% 4.54% 0.47% 0.84% -

Information Technology 20.46% 18.00% (2.46)% (1.42)% 0.00% (0.22)% -

Materials 9.03% 3.66% 3.15% 5.04% 0.36% (0.22)% -

Telecommunications 0.00% 0.90% 0.00% 5.91% (0.06)% 0.00% -

Utilities 0.00% 4.22% 0.00% 11.80% (0.51)% 0.00% -

Non Equity 3.05% 0.00% - - - - (0.05)%

Total - - 1.74% (1.52)% 0.01% 3.30% (0.05)%

Manager Return

1.74%=

Index Return

(1.52%)

Sector Concentration

0.01%

Security Selection

3.30%

Asset Allocation

(0.05%)


Jennison Growth EquityPeriod Ended March 31, 2016

Investment PhilosophyThe Jennison Large Cap Growth team believes that a stock’s value over time is driven by above-average growth in units,revenues, earnings, and cash flow. The strategy seeks to capture the inflection point in a company’s growth rate before it isfully appreciated by the market or reflected in the stock price. The intial investment into the fund occured on September 30,2012. Excludes Cash as security litigation income is included from inactive accounts.

Quarterly Summary and HighlightsJennison Growth Equity’s portfolio posted a (5.15)% returnfor the quarter placing it in the 88 percentile of the CAI LargeCap Growth Style group for the quarter and in the 49percentile for the last year.

Jennison Growth Equity’s portfolio underperformed theRussell 1000 Growth Index by 5.89% for the quarter andunderperformed the Russell 1000 Growth Index for the yearby 2.02%.




Investment Gains/(Losses) $-2,609,124


Performance vs CAI Large Cap Growth Style (Gross)

(10%)

(5%)

0%

5%

10%

15%

20%

Last Quarter Last Year Last 2 Years Last 3 Years Last 3-1/2 Years

(88)

(15) (49)

(21)

(41)(28)

(14)(38)

(32)(38)

10th Percentile 1.32 4.40 10.61 15.24 15.6125th Percentile (0.08) 2.37 9.41 14.32 14.72

Median (1.87) 0.44 8.01 13.05 13.4475th Percentile (3.43) (1.45) 6.37 11.76 12.3190th Percentile (5.42) (3.42) 5.03 11.09 11.49

JennisonGrowth Equity (5.15) 0.50 8.36 14.95 14.44

Russell 1000Growth Index 0.74 2.52 9.09 13.61 14.07

Relative Return vs Russell 1000 Growth Index

Rela

tive

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

12 2013 2014 2015 16

Jennison Growth Equity

CAI Large Cap Growth Style (Gross)Annualized Three and One-Half Year Risk vs Return

6 8 10 12 14 16 189%

10%

11%

12%

13%

14%

15%

16%

17%

18%

19%


Russell 1000 Growth Index

Standard Deviation

Re

turn

s


Jennison Growth EquityReturn Analysis Summary


Performance vs CAI Large Cap Growth Style (Gross)

(20%)

(10%)

0%

10%

20%

30%

40%

50%

12/15- 3/16 2015 2014 2013

(88)(15)

(5)(60)

(67)(29)

(17)(74)

10th Percentile 1.32 10.89 15.27 41.2825th Percentile (0.08) 8.58 13.65 37.52

Median (1.87) 6.43 11.83 35.6075th Percentile (3.43) 3.77 10.23 33.1590th Percentile (5.42) 2.18 8.44 30.57

JennisonGrowth Equity (5.15) 11.97 10.65 38.29

Russell 1000Growth Index 0.74 5.67 13.05 33.48

Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index

Re

lative

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

2012 2013 2014 2015 2016

Jennison Growth Equity CAI Lrg Cap Growth Style

Risk Adjusted Return Measures vs Russell 1000 Growth IndexRankings Against CAI Large Cap Growth Style (Gross)Three and One-Half Years Ended March 31, 2016

(10)

(5)

0

5

10

15

20

Alpha TreynorRatio

(42)

(42)



JennisonGrowth Equity (0.84) 13.06

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0


(32)

(57)

(34)



JennisonGrowth Equity (0.17) 1.32 0.07


Jennison Growth EquityRisk Analysis Summary


Risk Analysis vs CAI Large Cap Growth Style (Gross)Three and One-Half Years Ended March 31, 2016

0 2 4 6 8 10 12(4 )

(3 )

(2 )

(1 )

0

1

2

3

4


Tracking Error

Excess R

etu

rn

0 2 4 6 8 10 12(8 )

(6 )

(4 )

(2 )

0

2

4

6


Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs Russell 1000 Growth Index

Tra

ckin

g E

rro

r

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

2015 2016


CAI Lrg Cap Growth Style

Risk Statistics Rankings vs Russell 1000 Growth IndexRankings Against CAI Large Cap Growth Style (Gross)Three and One-Half Years Ended March 31, 2016

0%

2%

4%

6%

8%

10%

12%

14%


(16)

(16)

(12) (14)



JennisonGrowth Equity 10.88 3.56 5.02 4.91

0.70

0.80

0.90

1.00

1.10

1.20

1.30

1.40


(34)

(88)

(16)



JennisonGrowth Equity 1.10 0.80 1.23


Jennison Growth EquityEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against CAI Large Cap Growth Styleas of March 31, 2016

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(22)

(44)

(7)

(68)

(14)

(23)

(7)

(71)

(84)

(8) (9)

(74)


Median 67.41 19.42 4.59 15.07 1.16 0.9375th Percentile 54.93 17.90 4.09 12.64 0.90 0.6990th Percentile 38.21 16.83 3.72 11.78 0.66 0.50

*Jennison Growth Equity 84.03 24.24 5.69 20.25 0.80 1.57

Russell 1000 Growth Index 70.69 18.09 5.27 13.30 1.63 0.70



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


28.133.5


50

%M

gr

MV

50

%M

gr

MV

21.521.5

Health Care15.415.6

17.0

Consumer Staples4.3

11.89.3

Financials4.0

5.65.0

Industrials1.8

11.19.7

Energy1.4

0.51.1

Materials1.4

3.52.8


Utilities 0.1

*Jennison Growth Equity Russell 1000 Growth Index

CAI Lrg Cap Growth Style


Index 2.02 sectors


0

20

40

60

80

100

120


(42)

(50)



*JennisonGrowth Equity 61 17

Russell 1000Growth Index 633 38


Index 6%

Style Median 31%




Current Holdings Based Style AnalysisJennison Growth EquityAs of March 31, 2016


Style Map vs CAI Lrg Cap Growth StyleHoldings as of March 31, 2016

Value Core Growth

Mega

Large

Mid

Small

Micro


*Jennison Growth Equity

*Jennison Growth Equity



Large

Mid

Small

Micro

Total


2.1% (3) 13.8% (9) 76.3% (40) 92.2% (52)

0.9% (1) 0.6% (1) 6.3% (7) 7.8% (9)

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

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

3.0% (4) 14.4% (10) 82.6% (47) 100.0% (61)

5.4% (29) 32.2% (87) 43.7% (80) 81.3% (196)

1.6% (45) 6.4% (139) 9.6% (155) 17.5% (339)

0.1% (18) 0.5% (44) 0.5% (31) 1.2% (93)

0.0% (1) 0.0% (3) 0.0% (0) 0.0% (4)

7.1% (93) 39.1% (273) 53.7% (266) 100.0% (632)


0%

20%

40%

60%

80%

100%

120%

140%

Value Core Growth

3.0%

(4)7.1%

(93)14.4%

(10)

39.1%

(273)

82.6%

(47)

53.7%

(266)

Bar #1=*Jennison Growth Equity (Combined Z: 1.57 Growth Z: 0.76 Value Z: -0.81)

Bar #2=Russell 1000 Growth Index (Combined Z: 0.70 Growth Z: 0.34 Value Z: -0.36)

Large

Mid

Small

Micro


0%

10%

20%

30%

40%

50%

60%


31.2

21.5

4.3

11.8

1.4 0.54.0 5.6

15.3 15.7

1.8

11.2

1.43.5

40.6

28.1

0.02.1

0.0 0.1

Bar #1=*Jennison Growth Equity

Bar #2=Russell 1000 Growth Index

Value

Core

Growth




Inte

rna

tion

al E

quity


Acadian International All Cap FundPeriod Ended March 31, 2016

Investment PhilosophyAcadian’s International All-Cap Strategy uses a disciplined, multi-factor approach to uncover attractively valued stocks withstrong earnings prospects in non-US markets. *The initial investment into the fund occurred in April, 2007.

Quarterly Summary and HighlightsAcadian International All Cap Fund’s portfolio posted a(0.61)% return for the quarter placing it in the 8 percentile ofthe CAI Core International Equity Style group for the quarterand in the 6 percentile for the last year.

Acadian International All Cap Fund’s portfolio outperformedthe MSCI EAFE IMI by 2.07% for the quarter andoutperformed the MSCI EAFE IMI for the year by 5.20%.




Investment Gains/(Losses) $-346,128


Performance vs CAI Core International Equity Style (Gross)

(15%)

(10%)

(5%)

0%

5%

10%


(8)

(39)(6)

(56)

(43)

(68)

(23)

(67)

(19)

(75)

(99)(83)

10th Percentile (0.80) (2.31) (0.36) 6.22 5.95 2.7925th Percentile (2.08) (4.90) (1.71) 5.46 4.78 1.44

Median (3.10) (6.33) (3.35) 4.14 3.75 0.3175th Percentile (3.64) (8.78) (4.54) 2.50 2.69 (0.13)90th Percentile (4.43) (10.12) (6.09) 1.63 2.02 (0.62)

Acadian InternationalAll Cap Fund (0.61) (1.63) (2.68) 5.61 5.11 (1.60)

MSCI EAFE IMI (2.68) (6.83) (4.04) 2.88 2.71 (0.41)

Relative Return vs MSCI EAFE IMI

Rela

tive

Re

turn

s

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

2011 2012 2013 2014 2015 16

Acadian International All Cap Fund

CAI Core International Equity Style (Gross)Annualized Five Year Risk vs Return

11 12 13 14 15 16 17 18 190%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%


MSCI EAFE IMI

Standard Deviation

Re

turn

s


Acadian International All Cap FundReturn Analysis Summary


Performance vs CAI Core International Equity Style (Gross)

(15%)(10%)

(5%)0%5%

10%15%20%25%30%35%

12/15- 3/16 2015 2014 2013 2012

(8)(39)

(21)(63)

(37)(62)

(24)(61)

(59)(70)

10th Percentile (0.80) 4.48 (1.10) 29.68 22.8725th Percentile (2.08) 2.80 (2.36) 27.19 20.98

Median (3.10) 1.23 (4.45) 24.29 18.8675th Percentile (3.64) (0.66) (5.73) 22.20 16.8590th Percentile (4.43) (3.48) (7.77) 19.82 15.06

Acadian InternationalAll Cap Fund (0.61) 3.08 (3.28) 27.24 18.47

MSCI EAFE IMI (2.68) 0.49 (4.90) 23.54 17.64

Cumulative and Quarterly Relative Return vs MSCI EAFE IMI

Re

lative

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

14%

2011 2012 2013 2014 2015 2016

Acadian International All Cap Fund CAI Core Int’l Equity

Risk Adjusted Return Measures vs MSCI EAFE IMIRankings Against CAI Core International Equity Style (Gross)Five Years Ended March 31, 2016

(2)

(1)

0

1

2

3

4

5

6

7

Alpha TreynorRatio

(20)

(19)


Median 1.12 3.7575th Percentile (0.06) 2.5590th Percentile (0.79) 1.78

Acadian InternationalAll Cap Fund 2.41 5.11

(0.5)

0.0

0.5

1.0

1.5

2.0


(29)

(20)

(29)


Median 0.35 0.24 0.3275th Percentile (0.01) 0.17 (0.02)90th Percentile (0.29) 0.12 (0.27)

Acadian InternationalAll Cap Fund 0.82 0.34 0.82


Acadian International All Cap FundRisk Analysis Summary


Risk Analysis vs CAI Core International Equity Style (Gross)Five Years Ended March 31, 2016

0 1 2 3 4 5 6(2 )

(1 )

0

1

2

3

4

5

6

7


Tracking Error

Excess R

etu

rn

0 1 2 3 4 5 6(3 )

(2 )

(1 )

0

1

2

3

4

5

6

7


Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs MSCI EAFE IMI Index (USD Net Div)

Tra

ckin

g E

rro

r

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

2010 2011 2012 2013 2014 2015 2016


CAI Core Int’l Equity

Risk Statistics Rankings vs MSCI EAFE IMI Index (USD Net Div)Rankings Against CAI Core International Equity Style (Gross)Five Years Ended March 31, 2016

0%2%4%6%8%

10%12%14%16%18%20%


(62)

(70)(30) (36)



Acadian InternationalAll Cap Fund 14.96 1.23 2.94 2.86

0.85

0.90

0.95

1.00

1.05

1.10

1.15


(61)(76)

(62)



Acadian InternationalAll Cap Fund 0.99 0.96 1.00


Acadian International All Cap FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against CAI Core International Equity Styleas of March 31, 2016

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(99)

(70)(61)

(28)(33)

(61)

(11)

(63)

(79)

(29)

(50)

(61)


Median 29.38 13.58 1.55 9.65 3.04 0.1375th Percentile 20.85 12.70 1.37 8.27 2.77 (0.09)90th Percentile 16.14 11.97 1.20 7.53 2.54 (0.33)

Acadian InternationalAll Cap Fund 8.45 12.85 1.66 12.47 2.70 0.12

MSCI EAFE IMIIndex (USD Net Div) 24.12 14.41 1.50 8.99 3.32 (0.00)

Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. The regional allocation chart compares the manager’s geographical region weights with thoseof the benchmark as well as the median region weights of the peer group.


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

Industrials18.3

14.913.4

Health Care16.6

10.812.5

Financials16.1

50

%M

gr

MV

50

%M

gr

MV

23.422.3


13.514.4


6.07.2

Energy8.9

4.34.8

Materials6.66.9

6.1

Consumer Staples5.1

11.812.0

Utilities2.5

3.52.1


5.05.3

Miscellaneous0.2


MSCI EAFE IMI Index (USD Net Div) CAI Core Int’l Equity


Index 2.87 sectors

Regional AllocationMarch 31, 2016

0% 10% 20% 30% 40% 50% 60% 70% 80%

Dev Europe/Mid East

58.7

50

%M

gr

MV

50

%M

gr

MV

64.5

64.7

Japan

21.9

23.5

19.2

Emerging Markets

7.3

5.6

Pacific Basin

6.5

11.9

7.1

North America

5.6

3.4


MSCI EAFE IMI Index (USD Net Div) CAI Core Int’l Equity

Country DiversificationManager 3.82 countries

Index 2.80 countries


Country AllocationAcadian International All Cap Fund VS MSCI EAFE IMI Index (USD Net Div)

Country AllocationThe chart below contrasts the portfolio’s country allocation with that of the index as of March 31, 2016. This chart is usefulbecause large deviations in country allocation relative to the index are often good predictors of tracking error in thesubsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more"index-like" performance. In order to illustrate the performance effect on the portfolio and index of these country allocations,the individual index country returns are also shown.

Country Weights as of March 31, 2016

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

Australia4.2

7.0

Austria0.7

0.3

Belgium1.21.5

Brazil1.1

Canada5.6

Chile0.0

China1.0

Denmark1.71.9

Finland4.6

1.1

France4.5

9.2

Germany10.3

8.8

Hong Kong0.0

3.2

India0.0

Indonesia0.1

Ireland1.4

0.6

Israel0.70.8

Italy2.52.4

Japan21.9

23.5

Malaysia0.1

Mexico0.4

Netherlands2.5

2.9

New Zealand0.30.3

Norway0.9

0.7

Peru0.3

Poland0.2

Portugal0.20.2

Qatar0.5

Singapore1.9

1.5

South Africa0.2

South Korea1.0

Spain3.7

3.1

Sweden5.1

3.3

Switzerland5.4

8.5

Taiwan2.3

Thailand0.1

United Kingdom13.3

19.3

United States0.1

Percent of Portfolio

Acadian International All Cap Fund MSCI EAFE IMI

Index Rtns

2.79%

(0.16%)

(2.21%)

28.58%

11.49%

13.25%

(4.80%)

(0.80%)

(3.61%)

0.09%

(2.18%)

(1.41%)

(2.50%)

11.30%

(1.15%)

(7.85%)

(10.74%)

(5.68%)

13.24%

8.50%

3.26%

9.29%

2.53%

27.02%

13.88%

1.29%

3.78%

5.71%

13.94%

5.21%

(3.66%)

0.23%

(4.85%)

7.72%

17.04%

(2.63%)

0.38%

Manager Total Return: (0.61%)

Index Total Return: (2.68%)


Current Holdings Based Style AnalysisAcadian International All Cap FundAs of March 31, 2016

This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determineactual exposures to various regional and style segments of the international/global equity market. The market is segmentedquarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eightfundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current marketcapitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displaysthe current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. Themiddle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the totalgrowth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the styleweights within each sector.

Style Map vs CAI Core Int’l EquityHoldings as of March 31, 2016

Value Core Growth

Mega

Large

Mid

Small

Micro


MSCI EAFE IMI


14.7% (46) 20.6% (88) 23.8% (80) 59.1% (214)

2.8% (9) 1.6% (8) 1.3% (5) 5.6% (22)

4.0% (46) 11.8% (66) 12.7% (46) 28.6% (158)

2.8% (12) 2.6% (14) 1.3% (6) 6.7% (32)

24.3% (113) 36.6% (176) 39.1% (137) 100.0% (426)

20.4% (440) 17.2% (491) 26.6% (491) 64.2% (1422)

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

11.7% (569) 11.3% (579) 12.7% (517) 35.8% (1665)

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

32.2% (1009) 28.5% (1070) 39.3% (1008) 100.0% (3087)

Europe/

Mid East

N. America

Pacific

Emerging

Total



0%

10%

20%

30%

40%

50%

60%

Value Core Growth

24.3%

(113) 32.2%

(1009) 36.6%

(176)

28.5%

(1070)39.1%

(137)

39.3%

(1008)

Bar #1=Acadian International All Cap Fund (Combined Z: 0.12 Growth Z: 0.11 Value Z: -0.

Bar #2=MSCI EAFE IMI (Combined Z: 0.00 Growth Z: 0.00 Value Z: 0.00)

Europe/Mid East

N. America

Pacific

Emerging


0%

5%

10%

15%

20%

25%

30%

35%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT TECH

0.0 0.02.4

5.0

12.6 13.5

5.1

11.88.9

4.3

15.7

23.3

16.8

10.8

18.5

14.9

2.5 3.5

6.7 6.9

10.8

6.0

Bar #1=Acadian International All Cap Fund

Bar #2=MSCI EAFE IMI

Value

Core

Growth


Capital Intl Emg Mrkts GrowthPeriod Ended March 31, 2016

Investment PhilosophyCapital utilizes a multiple portfolio manager system, which enables several key decision-makers to work on each accountby dividing the portfolio into smaller segments. Each manager is free to make his or her own decisions as to individualsecurity, country, and industry selection, timing and percentage to be invested for that portion of the assets. Individualmanagers create their sleeves as if it were a complete solution. The aggregate represents a balanced diversified portfoliofavoring quality growth stock with attractive valuations. *The initial investment into the fund occurred on April 30, 2012.

Quarterly Summary and HighlightsCapital Intl Emg Mrkts Growth’s portfolio posted a 4.12%return for the quarter placing it in the 68 percentile of the CAIMF - Emerging Markets Style group for the quarter and inthe 79 percentile for the last year.

Capital Intl Emg Mrkts Growth’s portfolio underperformedthe MSCI EM IMI by 0.91% for the quarter andunderperformed the MSCI EM IMI for the year by 1.56%.






Performance vs CAI MF - Emerging Markets Style (Net)

(20%)

(15%)

(10%)

(5%)

0%

5%

10%

15%

Last Quarter Last Year Last 2 Years Last 3 Years Last 3-3/4 Years

(68)(52)

(79)(62)

(79)

(36) (72)(35)

(58)(36)

10th Percentile 9.57 (8.43) (2.27) (1.68) 2.1525th Percentile 6.82 (9.08) (5.10) (3.01) 0.91

Median 5.20 (10.33) (6.37) (5.15) (1.09)75th Percentile 3.34 (12.64) (8.12) (6.57) (2.37)90th Percentile 1.93 (15.15) (12.16) (11.37) (6.58)

Capital IntlEmg Mrkts Growth 4.12 (13.23) (8.50) (6.16) (1.84)

MSCI EM IMI 5.04 (11.66) (5.76) (4.27) (0.30)

Relative Return vs MSCI EM IMI

Rela

tive

Re

turn

s

(3%)

(2%)

(1%)

0%

1%

2%

2012 2013 2014 2015 16

Capital Intl Emg Mrkts Growth

CAI MF - Emerging Markets Style (Net)Annualized Three and Three-Quarter Year Risk vs Return

5 10 15 20 25(20%)

(10%)

0%

10%

MSCI EM IMI


Standard Deviation

Re

turn

s


Capital Intl Emg Mrkts GrowthReturn Analysis Summary


Performance vs CAI MF - Emerging Markets Style (Net)

(30%)

(25%)

(20%)

(15%)

(10%)

(5%)

0%

5%

10%

15%

12/15- 3/16 2015 2014 2013

(68)(52)

(58)(44)

(80)

(32)(23)

(50)

10th Percentile 9.57 (8.74) 1.36 4.0925th Percentile 6.82 (12.52) (1.57) 0.29

Median 5.20 (14.20) (4.22) (2.20)75th Percentile 3.34 (16.70) (6.65) (5.37)90th Percentile 1.93 (25.09) (10.10) (7.80)

Capital IntlEmg Mrkts Growth 4.12 (15.19) (7.52) 0.43

MSCI EM IMI 5.04 (13.86) (1.79) (2.20)

Cumulative and Quarterly Relative Return vs MSCI EM IMI

Re

lative

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

2012 2013 2014 2015 2016

Capital Intl Emg Mrkts Growth CAI Emerging Mkts MFs

Risk Adjusted Return Measures vs MSCI EM IMIRankings Against CAI MF - Emerging Markets Style (Net)Three and Three-Quarter Years Ended March 31, 2016

(8)

(6)

(4)

(2)

0

2

4

Alpha TreynorRatio

(58) (58)


Median (0.84) (1.27)75th Percentile (1.99) (2.39)90th Percentile (5.37) (5.08)

Capital IntlEmg Mrkts Growth (1.53) (1.93)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0


(87)

(58)

(87)


Median (0.31) (0.09) (0.32)75th Percentile (0.53) (0.18) (0.57)90th Percentile (0.90) (0.34) (0.94)

Capital IntlEmg Mrkts Growth (0.74) (0.14) (0.78)


Capital Intl Emg Mrkts GrowthRisk Analysis Summary


Risk Analysis vs CAI MF - Emerging Markets Style (Net)Three and Three-Quarter Years Ended March 31, 2016

0 2 4 6 8 10 12 14(20 )

(10 )

0

10


Tracking Error

Excess R

etu

rn

0 2 4 6 8 10 12(20 )

(10 )

0

10


Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs MSCI EM IMI Index (USD Net Div)

Tra

ckin

g E

rro

r

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

2015 2016


CAI Emerging Mkts MFs

Risk Statistics Rankings vs MSCI EM IMI Index (USD Net Div)Rankings Against CAI MF - Emerging Markets Style (Net)Three and Three-Quarter Years Ended March 31, 2016

0%

5%

10%

15%

20%

25%


(52)

(82) (96) (97)



Capital IntlEmg Mrkts Growth 13.35 1.85 2.07 1.99

0.60

0.70

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50


(45) (4) (52)



Capital IntlEmg Mrkts Growth 1.00 0.98 1.01


Capital Intl Emg Mrkts GrowthEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against CAI MF - Emerging Markets Styleas of March 31, 2016

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(94)

(78)

(29)

(65)(59)(62)

(82)

(43)

(72)

(52)

(31)

(61)


Median 13.00 13.21 1.55 12.82 2.61 0.1275th Percentile 11.37 11.17 1.36 11.66 2.19 (0.14)90th Percentile 9.85 9.81 1.02 9.75 1.86 (0.40)

Capital IntlEmg Mrkts Growth 7.92 15.17 1.46 11.28 2.24 0.31

MSCI EM IMIIndex (USD Net Div) 10.92 12.31 1.42 13.09 2.57 (0.04)



0% 5% 10% 15% 20% 25% 30% 35%

Financials25.3

26.427.6


10.712.3


50

%M

gr

MV

50

%M

gr

MV

20.522.6

Materials9.4

7.34.9

Industrials8.9

7.95.6

Consumer Staples8.9

8.010.5

Health Care7.2

3.42.2


6.15.8

Utilities3.8

3.22.2

Energy3.1

6.56.2

Miscellaneous0.4

Capital Intl Emg Mrkts Growth MSCI EM IMI Index (USD Net Div)



Index 2.28 sectors


0% 10% 20% 30% 40% 50% 60% 70% 80%

Developing Asia

43.1

63.0

56.5

Developed Markets

17.8

50

%M

gr

MV

50

%M

gr

MV

3.9

Mid East / Africa / Other

17.4

17.5

16.7

Latin America

15.3

12.5

16.1

Emerging Europe

5.2

7.1

6.9

Frontier Markets

1.2

Capital Intl Emg Mrkts Growth MSCI EM IMI Index (USD Net Div)





Country AllocationCapital Intl Emg Mrkts Growth VS MSCI EM IMI Index (USD Net Div)



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

Argentina1.0

Australia1.0

Austria0.2

Brazil8.0

6.0

Canada0.9

Chile1.5

1.2

China23.8

23.6

Colombia 0.5

Cyprus0.0

Czech Republic 0.2

Denmark0.4

Egypt 0.2

Greece 0.4

Hong Kong9.9

Hungary 0.3

India11.4

8.4

Indonesia3.8

2.7

Malaysia1.6

3.5

Mexico5.3

4.4

Netherlands0.1

Oman0.2

Peru0.50.3

Philippines0.4

1.4

Poland 1.3

Qatar 0.9

Russia3.13.3

Singapore1.5

South Africa4.7

7.0

South Korea5.7

16.1

Switzerland0.4

Taiwan7.6

13.1

Thailand0.3

2.4

Turkey2.0

1.5

United Arab Emirates1.2

0.9

United Kingdom1.5

United States2.0


Capital Intl Emg Mrkts Growth MSCI EM IMI

Index Rtns

8.38%

2.14%

(0.52%)

27.87%

11.49%

13.34%

(5.36%)

22.88%

-

5.24%

(0.56%)

(5.01%)

(10.16%)

(0.55%)

17.40%

(3.73%)

11.26%

12.56%

8.30%

3.37%

(0.76%)

27.02%

7.32%

12.74%

4.15%

15.90%

5.06%

14.85%

4.43%

(5.12%)

7.09%

14.56%

20.88%

8.20%

(2.32%)

0.38%

Manager Total Return: 4.12%

Index Total Return: 5.04%


Current Holdings Based Style AnalysisCapital Intl Emg Mrkts GrowthAs of March 31, 2016


Style Map vs CAI Emerging Mkts MFsHoldings as of March 31, 2016

Value Core Growth

Mega

Large

Mid

Small

Micro


MSCI EM IMI


0.8% (2) 1.2% (2) 0.7% (3) 2.7% (7)

1.3% (3) 0.2% (1) 1.0% (2) 2.5% (6)

0.8% (4) 2.7% (7) 9.2% (7) 12.6% (18)

14.7% (39) 37.1% (60) 30.4% (50) 82.2% (149)

17.6% (48) 41.1% (70) 41.3% (62) 100.0% (180)

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

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

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

31.2% (865) 33.5% (897) 35.3% (867) 100.0% (2629)

31.2% (865) 33.5% (897) 35.3% (867) 100.0% (2629)

Europe/

Mid East

N. America

Pacific

Emerging/

FM

Total



0%

10%

20%

30%

40%

50%

60%

70%

Value Core Growth

17.6%

(48)

31.2%

(865)41.1%

(70)

33.5%

(897) 41.3%

(62)

35.3%

(867)

Bar #1=Capital Intl Emg Mrkts Growth (Combined Z: 0.31 Growth Z: 0.11 Value Z: -0.20)

Bar #2=MSCI EM IMI (Combined Z: -0.04 Growth Z: -0.02 Value Z: 0.02)

Europe/Mid East

N. America

Pacific

Emerging/FM


0%

5%

10%

15%

20%

25%

30%

35%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU MISC PUBUTL RAWMAT TECH

0.1 0.0

4.86.1

16.4

11.38.9 7.9

3.0

6.6

25.5 25.0

7.3

3.5

8.4 7.9

0.2 0.0

3.9 3.2

9.17.2

12.6

21.4

Bar #1=Capital Intl Emg Mrkts Growth

Bar #2=MSCI EM IMI

Value

Core

Growth


Baillie GiffordPeriod Ended March 31, 2016

Investment PhilosophyBaillie Gifford’s investment philosophy aims to add value through active management by making long-term investments inwell-researched and well-managed, quality businesses that enjoy sustainable competitive advantages in their marketplace.They aim to add value through the use of proprietary, fundamental research to identify individual companies who canexhibit some combination of sustained, above average growth with attractive financial characteristics, such as superiorprofit margins or returns on invested capital. They consider these traits over a minimum 3-5 year time horizon.

Quarterly Summary and HighlightsBaillie Gifford’s portfolio posted a 0.53% return for thequarter placing it in the 12 percentile of the CAI BroadGrowth Intl Equity Style group for the quarter and in the 29percentile for the last year.

Baillie Gifford’s portfolio outperformed the MSCI EAFE by3.54% for the quarter and outperformed the MSCI EAFE forthe year by 4.60%.



Net New Investment $-940



Performance vs CAI Broad Growth Intl Equity Style (Gross)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

Last Quarter Last Year Last 1-3/4 Years

(12)

(67)(29)

(89)

(38)

(96)

10th Percentile 0.91 (2.13) (1.94)25th Percentile (1.34) (3.21) (2.83)

Median (2.58) (5.72) (4.00)75th Percentile (3.15) (7.33) (5.36)90th Percentile (3.84) (8.40) (6.77)

Baillie Gifford 0.53 (3.67) (3.56)

MSCI EAFE (3.01) (8.27) (7.46)

Relative Return vs MSCI EAFE

Rela

tive

Re

turn

s

(2%)

(1%)

0%

1%

2%

3%

4%

5%

2014 2015 2016

Baillie Gifford

CAI Broad Growth Intl Equity Style (Gross)Annualized One and Three-Quarter Year Risk vs Return

5 10 15(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

MSCI EAFE

Baillie Gifford

Standard Deviation

Re

turn

s


Baillie GiffordEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against CAI Broad Growth Intl Equity Styleas of March 31, 2016

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(92)

(40)

(8)

(84)

(33)

(100)

(46)

(91)(83)

(1)

(17)

(100)



Baillie Gifford 12.86 19.96 2.55 11.67 1.94 0.98

MSCI EAFE Index(USD Net Div) 30.48 14.26 1.51 8.42 3.46 (0.00)



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

Consumer Staples18.5

12.512.8


13.016.0

Financials17.5

50

%M

gr

MV

50

%M

gr

MV

23.518.0

Industrials17.4

13.613.6


5.314.3

Health Care10.7

11.314.5

Materials3.4

6.64.5

Energy1.1

4.63.4

Telecommunications 5.62.8

Utilities 3.8

Baillie Gifford MSCI EAFE Index (USD Net Div)

CAI Broad Gr Intl Eq Sty


Index 2.99 sectors


0% 10% 20% 30% 40% 50% 60% 70% 80%

Dev Europe/Mid East

51.7

50

%M

gr

MV

50

%M

gr

MV

65.5

58.4

Japan

21.4

22.5

12.0

Emerging Markets

13.7

10.9

Pacific Basin

11.2

12.0

5.4

North America

1.9

13.4

Baillie Gifford MSCI EAFE Index (USD Net Div)

CAI Broad Gr Intl Eq Sty




Country AllocationBallie Gifford VS MSCI EAFE Index (USD Net Div)



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

Australia6.6

7.2

Austria 0.2

Belgium 1.4

Brazil0.6

China3.8

Denmark5.7

2.0

Finland1.6

1.0

France1.3

10.0

Germany3.0

9.2

Hong Kong3.03.3

India1.3

Ireland 0.5

Israel 0.7

Italy 2.2

Japan21.4

22.5

Netherlands 3.1

New Zealand 0.2

Norway 0.6

Portugal1.4

0.2

Singapore1.6

1.4

South Africa2.5

South Korea2.5

Spain2.4

3.1

Sweden7.4

2.9

Switzerland7.2

9.1

Taiwan3.0

United Kingdom21.8

19.3

United States1.9


Ballie Gifford MSCI EAFE

Index Rtns

2.10%

(0.52%)

(2.43%)

28.58%

(4.80%)

(0.96%)

(5.19%)

0.12%

(2.50%)

(0.55%)

(2.50%)

(4.15%)

(10.16%)

(11.66%)

(6.52%)

3.35%

11.60%

1.72%

3.24%

5.05%

13.94%

5.21%

(4.09%)

(0.22%)

(5.51%)

7.72%

(2.34%)

0.38%

Manager Total Return: 0.53%

Index Total Return: (3.01%)


Current Holdings Based Style AnalysisBallie GiffordAs of March 31, 2016


Style Map vs CAI Broad Gr Intl Eq StyHoldings as of March 31, 2016

Value Core Growth

Mega

Large

Mid

Small

Micro

Ballie Gifford

MSCI EAFE


3.2% (3) 13.9% (10) 34.8% (22) 51.9% (35)

0.0% (0) 0.1% (1) 1.9% (1) 2.0% (2)

2.1% (2) 9.7% (8) 21.9% (14) 33.7% (24)

0.0% (0) 4.6% (5) 7.8% (6) 12.4% (11)

5.2% (5) 28.3% (24) 66.4% (43) 100.0% (72)

21.3% (125) 16.3% (132) 27.6% (200) 65.2% (457)

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

11.5% (139) 10.7% (148) 12.5% (182) 34.8% (469)

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

32.9% (264) 27.0% (280) 40.1% (382) 100.0% (926)

Europe/

Mid East

N. America

Pacific

Emerging

Total



0%

20%

40%

60%

80%

100%

120%

Value Core Growth

5.2%

(5)

32.9%

(264)

28.3%

(24)

27.0%

(280)

66.4%

(43)

40.1%

(382)

Bar #1=Ballie Gifford (Combined Z: 0.98 Growth Z: 0.36 Value Z: -0.62)

Bar #2=MSCI EAFE (Combined Z: 0.00 Growth Z: 0.00 Value Z: 0.00)

Europe/Mid East

N. America

Pacific

Emerging


0%

5%

10%

15%

20%

25%

30%

35%


17.4

13.0

19.1

12.5

1.2

4.6

18.1

23.5

11.0 11.3

16.413.7

3.5

6.6

13.3

5.4

0.0

5.6

0.0

3.8

Bar #1=Ballie Gifford

Bar #2=MSCI EAFE

Value

Core

Growth


Do

me

stic

Fix

ed

Inco

me


Segall, Bryant & HamillPeriod Ended March 31, 2016

Investment PhilosophySegall Bryant focuses exclusively on managing investment grade fixed income portfolios. They believe that superiorrisk-adjusted returns can be achieved by employing a disciplined investment process that incorporates both top-down andbottom-up analysis and focuses on long-term relative value. *Bond characteristics on page 58 reflect the liquid portion ofthe portfolio and do not include legacy issues. *The initial investment into the fund occurred on September 30, 2009.

Quarterly Summary and HighlightsSegall, Bryant & Hamill’s portfolio posted a 2.88% return forthe quarter placing it in the 72 percentile of the CAI CoreBond Fixed-Inc Style group for the quarter and in the 13percentile for the last year.

Segall, Bryant & Hamill’s portfolio underperformed theBarclays Aggregate Index by 0.15% for the quarter andoutperformed the Barclays Aggregate Index for the year by0.62%.






Performance vs CAI Core Bond Fixed-Inc Style (Gross)

0%

1%

2%

3%

4%

5%

6%


(72)(47)

(13)

(63)

(3)

(66)

(4)

(77)

(33)

(93)

(60)

(94)



Segall,Bryant & Hamill 2.88 2.58 4.80 3.36 4.35 4.51

BarclaysAggregate Index 3.03 1.96 3.82 2.50 3.78 4.00

Relative Return vs Barclays Aggregate Index

Rela

tive

Re

turn

s

(0.8%)

(0.6%)

(0.4%)

(0.2%)

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

2011 2012 2013 2014 2015 16

Segall, Bryant & Hamill

CAI Core Bond Fixed-Inc Style (Gross)Annualized Five Year Risk vs Return

2.0 2.5 3.0 3.5 4.0 4.5 5.03.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%


Barclays Aggregate Index

Standard Deviation

Re

turn

s


Segall, Bryant & HamillReturn Analysis Summary



(4%)

(2%)

0%

2%

4%

6%

8%

10%

12/15- 3/16 2015 2014 2013 2012

(72)(47)(13)

(73)

(5)(70)

(50)(83)

(99)(97)

10th Percentile 3.40 1.51 7.21 (0.66) 8.1125th Percentile 3.20 1.13 6.66 (1.12) 7.37

Median 3.01 0.85 6.22 (1.47) 6.1575th Percentile 2.84 0.53 5.88 (1.90) 5.4090th Percentile 2.61 (0.03) 5.35 (2.33) 4.74

Segall,Bryant & Hamill 2.88 1.40 7.48 (1.47) 3.78

BarclaysAggregate Index 3.03 0.55 5.97 (2.02) 4.21

Cumulative and Quarterly Relative Return vs Barclays Aggregate Index

Re

lative

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

2011 2012 2013 2014 2015 2016

Segall, Bryant & Hamill CAI Core Bond Style

Risk Adjusted Return Measures vs Barclays Aggregate IndexRankings Against CAI Core Bond Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

(1)

0

1

2

3

4

5

6

Alpha TreynorRatio

(44)

(44)



Segall,Bryant & Hamill 0.71 4.47

(0.5)

0.0

0.5

1.0

1.5

2.0


(26)(41)

(21)


Median 0.97 1.42 0.6375th Percentile 0.62 1.33 0.3290th Percentile (0.02) 1.21 0.01

Segall,Bryant & Hamill 1.32 1.46 1.00


Segall, Bryant & HamillRisk Analysis Summary


Risk Analysis vs CAI Core Bond Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

0.0 0.5 1.0 1.5 2.0 2.5(0.5 )

0.0

0.5

1.0

1.5

2.0


Tracking Error

Excess R

etu

rn

0.0 0.5 1.0 1.5 2.0 2.5(1.0 )

(0.5 )

0.0

0.5

1.0

1.5

2.0

2.5


Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs Barclays Aggregate Index

Tra

ckin

g E

rro

r

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

0.90%

2013 2014 2015 2016


CAI Core Bond Style

Risk Statistics Rankings vs Barclays Aggregate IndexRankings Against CAI Core Bond Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%


(50)

(69)(69) (74)



Segall,Bryant & Hamill 2.93 0.25 0.54 0.55

0.75

0.80

0.85

0.90

0.95

1.00

1.05

1.10

1.15


(41) (32) (50)



Segall,Bryant & Hamill 0.96 0.97 0.97


Segall, Bryant & HamillBond Characteristics Analysis Summary


Fixed Income Portfolio CharacteristicsRankings Against CAI Core Bond Fixed-Inc Styleas of March 31, 2016

(2)

0

2

4

6

8

10

Average Effective Coupon OADuration Life Yield Rate Convexity

(45)(37)

(72)(29)

(79)(78)

(42)(63)

(63)(80)


Median 5.37 7.47 2.50 3.43 0.1075th Percentile 5.11 7.02 2.21 3.02 (0.03)90th Percentile 4.87 6.49 1.91 2.87 (0.14)

Segall, Bryant & Hamill 5.40 7.20 2.15 3.52 0.04

Barclays Aggregate Index 5.47 7.79 2.16 3.16 (0.05)

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


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

Corp (incl 144A)43.2

39.124.7

RMBS28.6

50

%M

gr

MV

50

%M

gr

MV

24.328.2

US Trsy12.1

23.836.6

Gov Related6.6

2.58.1

Other4.2

0.50.1

ABS2.53.5

0.5

CMOs2.0

0.7

Cash0.81.2

CMBS 4.51.8

Segall, Bryant & Hamill CAI Core Bond Fixed-Inc Style


Quality Ratingsvs CAI Core Bond Fixed-Inc Style

A

A+

AA-

AA

AA+

AAA

Trsy

Weighted AverageQuality Rating

(76)

(10)

10th Percentile AA+25th Percentile AA

Median AA75th Percentile AA-90th Percentile A+

Segall,Bryant & Hamill AA-

BarclaysAggregate Index AA+


Hillswick AssetPeriod Ended March 31, 2016

Investment PhilosophyHillswick is macro-driven and therefore a top-down manager of fixed income portfolios. They seek to add value byopportunistically adopting portfolio postures that from time to time differ from the benchmark index (within the parametersdefined in the investment guidelines.) For instance, they will differ from the benchmark index in terms of yield curveposture, overall portfolio duration, sector weightings and exposure to credit risk. The desired portfolio posture in theseterms will reflect their analysis of the attractiveness of current risk premiums and their expectations of changes in such riskpremiums over the next twelve month period. *The initial investment into the fund occurred on August 30, 2009

Quarterly Summary and HighlightsHillswick Asset’s portfolio posted a 3.75% return for thequarter placing it in the 1 percentile of the CAI Core BondFixed-Inc Style group for the quarter and in the 1 percentilefor the last year.

Hillswick Asset’s portfolio outperformed the BarclaysAggregate Index by 0.72% for the quarter and outperformedthe Barclays Aggregate Index for the year by 1.78%.







0%

1%

2%

3%

4%

5%

6%

7%


(1)

(47)

(1)

(63)

(1)

(66)(4)

(77)

(3)

(93)

(23)

(94)



Hillswick Asset 3.75 3.74 5.62 3.37 4.99 4.97

BarclaysAggregate Index 3.03 1.96 3.82 2.50 3.78 4.00

Relative Return vs Barclays Aggregate Index

Rela

tive

Re

turn

s

(2%)

(1%)

0%

1%

2%

3%

4%

2011 2012 2013 2014 2015 16

Hillswick Asset

CAI Core Bond Fixed-Inc Style (Gross)Annualized Five Year Risk vs Return

2.0 2.5 3.0 3.5 4.0 4.5 5.03.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

Hillswick Asset


Standard Deviation

Re

turn

s


Hillswick AssetReturn Analysis Summary



(5%)

0%

5%

10%

12/15- 3/16 2015 2014 2013 2012

(1)(47)

(1)

(73)

(12)(70)

(99)(83)

(98)(97)

10th Percentile 3.40 1.51 7.21 (0.66) 8.1125th Percentile 3.20 1.13 6.66 (1.12) 7.37

Median 3.01 0.85 6.22 (1.47) 6.1575th Percentile 2.84 0.53 5.88 (1.90) 5.4090th Percentile 2.61 (0.03) 5.35 (2.33) 4.74

Hillswick Asset 3.75 2.29 7.19 (3.18) 4.08

BarclaysAggregate Index 3.03 0.55 5.97 (2.02) 4.21

Cumulative and Quarterly Relative Return vs Barclays Aggregate Index

Re

lative

Re

turn

s

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

7%

2011 2012 2013 2014 2015 2016

Hillswick Asset CAI Core Bond Style

Risk Adjusted Return Measures vs Barclays Aggregate IndexRankings Against CAI Core Bond Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

(1)

0

1

2

3

4

5

6

Alpha TreynorRatio

(91)

(91)



Hillswick Asset (0.06) 3.65

(0.5)

0.0

0.5

1.0

1.5

2.0


(90)

(96)

(48)


Median 0.97 1.42 0.6375th Percentile 0.62 1.33 0.3290th Percentile (0.02) 1.21 0.01

Hillswick Asset (0.04) 1.14 0.66


Hillswick AssetRisk Analysis Summary

Risk AnalysisThe graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates therelationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The secondscatter chart displays the relationship, sometimes called Information Ratio, between alpha (market-risk or "beta" adjustedreturn) and residual risk (non-market or "unsystematic" risk). The third chart shows the manager’s relative standard deviationversus a benchmark. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs CAI Core Bond Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

0.0 0.5 1.0 1.5 2.0 2.5(0.5 )

0.0

0.5

1.0

1.5

2.0

Hillswick Asset

Tracking Error

Excess R

etu

rn

0.0 0.5 1.0 1.5 2.0 2.5(1.0 )

(0.5 )

0.0

0.5

1.0

1.5

2.0

2.5

Hillswick Asset

Residual Risk

Alp

ha

Rolling 12 Quarter Relative Standard Deviation vs Barclays Aggregate Index

Re

l. S

tan

da

rd D

evia

tio

n

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%

2013 2014 2015 2016

Hillswick Asset

CAI Core Bond Style


Risk Statistics Rankings vs Barclays Aggregate IndexRankings Against CAI Core Bond Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%


(2)

(36)

(7)(5)



Hillswick Asset 4.31 0.54 1.48 1.78

0.70

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50

1.60


(2)

(75)

(2)



Hillswick Asset 1.35 0.89 1.43


Hillswick AssetBond Characteristics Analysis Summary


Fixed Income Portfolio CharacteristicsRankings Against CAI Core Bond Fixed-Inc Styleas of March 31, 2016

(2)

0

2

4

6

8

10


(1)(37)

(56)(29)

(96)(78)

(93)(63)

(27)(80)


Median 5.37 7.47 2.50 3.43 0.1075th Percentile 5.11 7.02 2.21 3.02 (0.03)90th Percentile 4.87 6.49 1.91 2.87 (0.14)

Hillswick Asset 6.13 7.42 1.72 2.82 0.27

Barclays Aggregate Index 5.47 7.79 2.16 3.16 (0.05)



0% 10% 20% 30% 40% 50% 60% 70% 80%

US Trsy59.7

50

%M

gr

MV

50

%M

gr

MV

23.836.6

ABS14.2

3.50.5

Corp (incl 144A)13.0

39.124.7

Gov Related12.9

2.58.1

Cash0.21.2

RMBS 24.328.2

CMBS 4.51.8

CMOs 0.7

Other 0.50.1

Hillswick Asset CAI Core Bond Fixed-Inc Style


Quality Ratingsvs CAI Core Bond Fixed-Inc Style

A

A+

AA-

AA

AA+

AAA

Trsy


(51)

(10)

10th Percentile AA+25th Percentile AA

Median AA75th Percentile AA-90th Percentile A+

Hillswick Asset AA

BarclaysAggregate Index AA+


MacKay ShieldsPeriod Ended March 31, 2016

Investment PhilosophyMacKay Shields manages high yield bonds on the premise that their risk/reward profile is similar to that of equities. Theirfocus is on fundamental research and security selection. It is the investment team’s belief and experience that, by limitingdefaults through superior credit selection, out-performance will be achieved over a full market cycle. *The initial investmentinto the fund occurred on September 30, 1998.

Quarterly Summary and HighlightsMacKay Shields’s portfolio posted a 1.90% return for thequarter placing it in the 83 percentile of the CAI High YieldFixed-Inc Style group for the quarter and in the 26 percentilefor the last year.

MacKay Shields’s portfolio underperformed the CS HighYield Index by 1.20% for the quarter and outperformed theCS High Yield Index for the year by 2.82%.






Performance vs CAI High Yield Fixed-Inc Style (Gross)

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%


(83)

(23)

(26)

(79)

(33)

(78)

(42)(79)

(26)

(83)

(9)

(81)

10th Percentile 3.51 (0.65) 1.43 3.70 5.98 8.1525th Percentile 3.06 (1.52) 0.61 2.91 5.76 7.61

Median 2.65 (2.87) (0.36) 2.37 5.17 6.9575th Percentile 2.22 (4.22) (1.41) 1.57 4.63 6.6490th Percentile 1.49 (6.60) (2.85) 0.29 3.88 6.02

MacKay Shields 1.90 (1.64) 0.23 2.53 5.72 8.19

CS High Yield Index 3.11 (4.45) (1.58) 1.42 4.32 6.44

Relative Return vs CS High Yield Index

Rela

tive

Re

turn

s

(2.0%)

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

2011 2012 2013 2014 2015 16

MacKay Shields

CAI High Yield Fixed-Inc Style (Gross)Annualized Five Year Risk vs Return

4 5 6 7 8 9 10 11 122%

3%

4%

5%

6%

7%

8%

MacKay Shields

CS High Yield Index

Standard Deviation

Re

turn

s


MacKay ShieldsReturn Analysis Summary


Performance vs CAI High Yield Fixed-Inc Style (Gross)

(10%)

(5%)

0%

5%

10%

15%

20%

25%

12/15- 3/16 2015 2014 2013 2012

(83)(23)

(18)

(82)

(56)(76)

(42)(49)

(76)(93)



MacKay Shields 1.90 (1.04) 2.71 7.82 14.23

CS High Yield Idx -II 3.11 (4.93) 1.86 7.53 13.19

Cumulative and Quarterly Relative Return vs CS High Yield Idx -II

Re

lative

Re

turn

s

(4%)

(2%)

0%

2%

4%

6%

8%

10%

2011 2012 2013 2014 2015 2016

MacKay Shields CAI High Yield F-I Style

Risk Adjusted Return Measures vs CS High Yield Idx -IIRankings Against CAI High Yield Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

(2)

0

2

4

6

8

10

Alpha TreynorRatio

(14)

(12)



MacKay Shields 2.27 7.25

(1.0)

(0.5)

0.0

0.5

1.0

1.5

2.0

2.5


(4)

(11)

(33)


Median 0.73 0.82 0.5575th Percentile 0.07 0.67 0.1990th Percentile (0.38) 0.55 (0.23)

MacKay Shields 2.05 1.11 0.76


MacKay ShieldsRisk Analysis Summary


Risk Analysis vs CAI High Yield Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

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

(1 )

0

1

2

3

4

MacKay Shields

Tracking Error

Excess R

etu

rn

0 1 2 3 4 5 6 7(4 )

(3 )

(2 )

(1 )

0

1

2

3

4

MacKay Shields

Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs CS High Yield Index - II

Tra

ckin

g E

rro

r

0%

1%

2%

3%

4%

5%

6%

2011 2012 2013 2014 2015 2016

MacKay Shields

CAI High Yield F-I Style

Risk Statistics Rankings vs CS High Yield Index - IIRankings Against CAI High Yield Fixed-Inc Style (Gross)Five Years Ended March 31, 2016

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%


(92)

(64)(91)

(32)



MacKayShields 5.06 0.69 1.10 1.77

0.70

0.80

0.90

1.00

1.10

1.20

1.30


(91)

(37)

(92)



MacKay Shields 0.78 0.95 0.80


MacKay ShieldsBond Characteristics Analysis Summary


Fixed Income Portfolio CharacteristicsRankings Against CAI High Yield Fixed-Inc Styleas of March 31, 2016

(2)

0

2

4

6

8

10

12


(79)(43)

(66)(31)

(22)(23)

(38)(39)

(41)


Median 3.91 5.80 7.47 6.40 (0.04)75th Percentile 3.58 5.16 6.62 6.13 (0.12)90th Percentile 3.18 4.48 6.10 5.60 (0.23)

MacKay Shields 3.54 5.29 8.36 6.58 -

Hi Yld II Index 4.02 6.20 8.30 6.55 0.06



0% 20% 40% 60% 80% 100% 120%

Corp (incl 144A)

95.4

50

%M

gr

MV

50

%M

gr

MV

95.1

100.0

Cash

2.8

3.6

Cnvt

0.9

Equity

0.5

Bk Ln

0.4

Other 1.2

MacKay Shields CAI High Yield Fixed-Inc Style Hi Yld II Index

Quality Ratingsvs CAI High Yield Fixed-Inc Style

B-

B

B+

BB-

BB

BB+

BBB-

BBB

BBB+

A-

A

A+

AA-

AA

AA+

AAA

Trsy


(39)(48)

10th Percentile BB25th Percentile BB

Median B+75th Percentile B+90th Percentile B

MacKay Shields BB-

Hi Yld II Index B+


Re

al E

sta

te

Real Estate

JPMorgan Strategic Property FundPeriod Ended March 31, 2016

Investment PhilosophyJ.P. Morgan’s real estate securities investment philosophy is based on the firm’s belief that consistently excellentinvestment results can be achieved through superior stock selection and risk managed portfolio construction. *The initialinvestment in the fund was made in October, 2007. Returns include cash held at the custodian accounts.

Quarterly Summary and HighlightsJPMorgan Strategic Property Fund’s portfolio posted a1.81% return for the quarter placing it in the 82 percentile ofthe CAI Open-End Real Estate Funds group for the quarterand in the 70 percentile for the last year.

JPMorgan Strategic Property Fund’s portfoliounderperformed the NFI-ODCE Equal Weight Net by 0.41%for the quarter and underperformed the NFI-ODCE EqualWeight Net for the year by 0.29%.



Net New Investment $-5,156,306



Performance vs CAI Open-End Real Estate Funds (Net)

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%


A(82)B(91)

(66)

A(70)B(81)

(67) A(54)B(82)

(59)A(33)B(67)(64)

A(20)B(64)(68)

A(26)B(36)

(73)



JPMorgan StrategicProperty Fund A 1.81 12.83 12.85 13.48 13.67 5.01

JP Morgan StrategicProperty - Net B 1.56 11.71 11.74 12.38 12.58 4.14

NFI-ODCEEqual Weight Net 2.22 13.12 12.75 12.60 12.22 3.22

Relative Returns vsNFI-ODCE Equal Weight Net

Rela

tive

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2011 2012 2013 2014 2015 16

JPMorgan Strategic Property Fund

CAI Open-End Real Estate Funds (Net)Annualized Five Year Risk vs Return

0.5 1.0 1.5 2.0 2.5 3.09%

10%

11%

12%

13%

14%

15%

16%

JP Morgan Strategic Property - Net


NFI-ODCE Equal Weight Net

Standard Deviation

Re

turn

s


JPMorgan Strategic Property FundReturn Analysis Summary


Performance vs CAI Open-End Real Estate Funds (Net)

0%2%4%6%8%

10%12%14%16%18%20%

12/15- 3/16 2015 2014 2013 2012

A(82)B(91)

(66)

A(31)B(56)(53)

A(68)B(86)

(64)

A(11)B(14)

(55) A(15)B(46)(65)


Median 2.43 14.35 11.99 12.67 10.8075th Percentile 2.03 12.19 10.52 10.02 8.9590th Percentile 1.64 10.22 9.38 8.65 5.49

JPMorgan StrategicProperty Fund A 1.81 15.22 11.14 15.89 12.11

JP Morgan StrategicProperty - Net B 1.56 14.08 10.06 14.79 11.03

NFI-ODCEEqual Weight Net 2.22 14.18 11.42 12.36 9.93

Cumulative and Quarterly Relative Return vs NFI-ODCE Equal Weight Net

Re

lative

Re

turn

s

(2%)

0%

2%

4%

6%

8%

10%

2011 2012 2013 2014 2015 2016

JPMorgan Strategic Property Fund JP Morgan Strategic Property - Net Open-End Real Estate

Risk Adjusted Return Measures vs NFI-ODCE Equal Weight NetRankings Against CAI Open-End Real Estate Funds (Net)Five Years Ended March 31, 2016

(10)

0

10

20

30

40

50

Alpha TreynorRatio

A(86)B(87)

A(86)B(87)



JPMorgan StrategicProperty Fund A 1.33 13.58

JP Morgan StrategicProperty - Net B 0.30 12.46

(4)

(2)

0

2

4

6

8

10

12


A(78)B(87)

A(25)B(37)

A(16)B(66)


Median 2.00 7.61 0.5275th Percentile 1.29 6.74 (0.20)90th Percentile (1.40) 5.16 (1.57)

JPMorgan StrategicProperty Fund A 1.22 8.71 1.22

JP Morgan StrategicProperty - Net B 0.28 7.99 0.30


JPMorgan Strategic Property FundRisk Analysis Summary


Risk Analysis vs CAI Open-End Real Estate Funds (Net)Five Years Ended March 31, 2016

0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0(2.0 )

(1.5 )

(1.0 )

(0.5 )

0.0

0.5

1.0

1.5

2.0

2.5

3.0



Tracking Error

Excess R

etu

rn

0.5 1.0 1.5 2.0 2.5(8 )

(6 )

(4 )

(2 )

0

2

4

6

8

10



Residual Risk

Alp

ha

Rolling 12 Quarter Tracking Error vs NFI-ODCE Equal Weight Net

Tra

ckin

g E

rro

r

0%

1%

2%

3%

4%

5%

6%

2011 2012 2013 2014 2015 2016



Open-End Real Estate

Risk Statistics Rankings vs NFI-ODCE Equal Weight NetRankings Against CAI Open-End Real Estate Funds (Net)Five Years Ended March 31, 2016

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%


B(70)A(70)

B(49)A(85)

B(76)A(76)

B(83)A(83)



JPMorgan StrategicProperty Fund A 1.56 0.44 1.09 1.06

JP Morgan StrategicProperty - Net B 1.56 0.66 1.09 1.06

0.0

0.5

1.0

1.5

2.0

2.5


B(13)A(13)

A(29)B(29)

B(30)A(30)



JPMorgan StrategicProperty Fund A 1.00 0.54 1.36

JP Morgan StrategicProperty - Net B 1.00 0.54 1.37


Re

al A

sse

ts

Real Assets

PIMCO Div Real Asset FundPeriod Ended March 31, 2016

Investment PhilosophyThe investment philosophy of the PIMCO Diversified Real Asset Collective Trust (the Trust) is to provide investors with thefollowing: Strategic Diversification: A strategic allocation to the three core real assets may provide important diversificationbenefits versus stock and bond allocations; Enhanced Inflation Protection: A strategic allocation to the three core realassets may provide complimentary inflation hedging dynamics to investors’ portfolios; Tactical Relative Value: The ability totilt the mix of real assets around a strategic benchmark may provide for enhanced real return potential and downside riskmanagement; Simplicity for Investors: A one-stop investment vehicle that seamlessly integrates these benefits can beeasily understood and appreciated by investors. Custom benchmark consists of: 33% Barclays U.S. TIPS Index, 33%Bloomberg Commodity Index and 33% Dow Jones U.S. Real Estate Investment.

Quarterly Summary and HighlightsPIMCO Div Real Asset Fund’s portfolio posted a 3.05%return for the quarter placing it in the 41 percentile of the CAIMF - Real Assets group for the quarter and in the 59percentile for the last year.

PIMCO Div Real Asset Fund’s portfolio outperformed theCPI-W by 2.44% for the quarter and underperformed theCPI-W for the year by 6.65%.






Performance vs CAI MF - Real Assets (Net)

(20%)

(10%)

0%

10%

Last Quarter Last Year Last 2-1/2 Years

B(37)A(41)

(85)

B(42)A(59)

(9) B(30)A(39)

(28)

10th Percentile 5.07 0.22 2.3525th Percentile 3.60 (2.98) 0.74

Median 2.91 (4.86) (1.48)75th Percentile 1.25 (9.35) (4.49)90th Percentile 0.47 (13.34) (8.45)

PIMCO DivReal Asset Fund A 3.05 (6.15) (1.28)

Custom Benchmark B 3.31 (4.30) (0.28)

CPI-W 0.61 0.50 0.29

Relative Return vs CPI-W

Rela

tive

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

2013 2014 2015 2016

PIMCO Div Real Asset Fund

Cumulative Returns vs CPI-W

Cum

ula

tive

Re

lative

Re

turn

s

(15%)

(10%)

(5%)

0%

5%

10%

2013 2014 2015 2016

PIMCO Div Real Asset Fund

CAI MF - Real Assets


Ma

na

ge

r Sto

p

Manager Stop

Lig

ht P

ag

es

Light Pages

LFUCG Policemen’s and Firefighters’ Retirement FundInvestment Manager Performance Monitoring Summary ReportMarch 31, 2016

Last Last 3 5 5 Year 5 5 Year 5 YearQuarter Year Year Year Return Year Sharpe Tracking Expense

Investment Manager Return Return Return Return Consistency Risk Ratio Error Ratio

Fidelity Spartan 500 Fund (i)CAI Core Equity Mut Fds

S&P 500 Index

1.4 20

1.3 22

1.8 19

1.8 19

11.4 27

11.8 18

11.1 30

11.6 15

12.3 87

12.7 82

0.9 11

0.9 10

0.5 98 0.05 100

Dodge & Cox StockCAI Lg Cap Value Mut Fds


-1.0 76

1.6 18

-4.3 58

-1.5 21

9.5 29

9.4 29

10.1 20

10.2 19

15.2 16

13.8 53

0.7 42

0.7 18

3.7 27 0.52 96

Neuberger BermanCAI Small Cap Value Style

Russell 2000 Index

1.7 66

-1.5 96

-2.2 21

-9.8 94

8.7 54

6.8 81

8.9 53

7.2 82

14.3 96

17.8 45

0.6 17

0.4 87

5.1 26

Jennison Growth EquityCAI Lrg Cap Growth Style


-5.1 88

0.7 15

0.5 49

2.5 21

15.0 14

13.6 38 12.4 33 12.8 80 1.0 18

Acadian Intl All Cap FundCAI Core Int’l Equity

EAFE IMI

-0.6 8

-2.7 39

-1.6 6

-6.8 56

5.6 23

2.9 67

5.1 19

2.7 75

15.0 62

14.9 63

0.3 20

0.2 72

2.9 36

Capital Inl Emg Mrkts GrowthCAI Emerging Mkts MFs

EM IMI Index

4.1 68

5.0 52

-13.2 79

-11.7 62

-6.2 72

-4.3 35 -3.9 48 17.3 57 -0.2 48

Baillie GiffordCAI Broad Gr Intl Eq Sty

MSCI EAFE Index

0.5 12

-3.0 67

-3.7 29

-8.3 89 2.2 84 2.3 86 14.8 57 0.1 83

Segall, Bryant & HamillCAI Core Bond Style


2.9 72

3.0 47

2.6 13

2.0 63

3.4 4

2.5 77

4.3 33

3.8 93

2.9 50

3.0 37

1.5 41

1.2 86

0.5 74

Hillswick AssetCAI Core Bond Style


3.8 1

3.0 47

3.7 1

2.0 63

3.4 4

2.5 77

5.0 3

3.8 93

4.3 2

3.0 37

1.1 96

1.2 86

1.8 5

MacKay ShieldsCAI High Yield F-I Style

CSFB High Yield Index

1.9 83

3.1 23

-1.6 26

-4.5 79

2.5 42

1.4 79

5.7 26

4.3 83

5.1 92

6.4 48

1.1 11

0.7 75

1.8 32

Returns:above medianthird quartilefourth quartile

Return Consistency:above medianthird quartilefourth quartile

Risk:below mediansecond quartilefirst quartile

Sharpe Ratio:above medianthird quartilefourth quartile

Tracking Error:below mediansecond quartilefirst quartile

93

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

LFUCG Policemen’s and Firefighters’ Retirement FundInvestment Manager Performance Monitoring Summary ReportMarch 31, 2016

Last Last 3 5 5 Year 5 5 Year 5 YearQuarter Year Year Year Return Year Sharpe Tracking Expense

Investment Manager Return Return Return Return Consistency Risk Ratio Error Ratio

JPMorgan Strategic Property FundOpen-End Real Estate

NFI-ODCE Equal Weight Net

1.8 82

2.2 66

12.8 70

13.1 67

13.5 33

12.6 64

13.7 20

12.2 68

1.6 70

1.1 85

8.7 25

10.6 1

1.1 83

PIMCO Diversified Real Asset FundCAI MF - Real Assets

CPI-W

3.1 41

0.6 85

-6.1 59

0.5 9 0.4 15 1.1 32 1.9 95 0.5 15

Returns:above medianthird quartilefourth quartile

Return Consistency:above medianthird quartilefourth quartile

Risk:below mediansecond quartilefirst quartile

Sharpe Ratio:above medianthird quartilefourth quartile

Tracking Error:below mediansecond quartilefirst quartile

94

Ca

llan

Re

se

arc

h/E

du

ca

tion

Callan Research/Education

Ρεσεαρχη ανδ Εδυχατιοναλ Προγραmσ

Τηε Χαλλαν Ινϖεστmεντσ Ινστιτυτε προϖιδεσ ρεσεαρχη τηατ υπδατεσ χλιεντσ ον τηε λατεστ ινδυστρψ τρενδσ ωηιλε ηελπινγ τηεm λεαρν τηρουγη

χαρεφυλλψ στρυχτυρεδ εδυχατιοναλ προγραmσ. ςισιτ ωωω.χαλλαν.χοm/ρεσεαρχη το σεε αλλ οφ ουρ πυβλιχατιονσ, ορ φορ mορε ινφορmατιον χον−

ταχτ Αννα Wεστ ατ 415.974.5060 / ινστιτυτε≅χαλλαν.χοm.

Ρεχεντ Ρεσεαρχη

2016 DΧ Συρϖεψ & Κεψ Φινδινγσ Χαλλαν�σ

2016 DΧ Τρενδσ Συρϖεψ ηιγηλιγητσ πλαν

σπονσορσ� κεψ τηεmεσ φροm 2015 ανδ εξ−

πεχτατιονσ φορ 2016; τηε Κεψ Φινδινγσ συm−

mαριζε τηε Συρϖεψ.

Περιοδιχ Ταβλε & Περιοδιχ Ταβλε Χολλεχτιον Dεπιχτσ αννυαλ ιν−

ϖεστmεντ ρετυρνσ φορ 10 mαϕορ ασσετ χλασσεσ, ρανκεδ φροm βεστ το

ωορστ. Τηε Χολλεχτιον ινχλυδεσ 10 αδδιτιοναλ ϖαριατιονσ.

Σποτλιγητ: Σιξ Κεψ Τηεmεσ Callan relects on some of the ongo−

ινγ τρενδσ ωιτηιν ινστιτυτιοναλ ινϖεστινγ ανδ χονσιδερσ ηοω τηεψ mαψ

δεϖελοπ ιν τηε χοmινγ ψεαρ.

Ινσιδε Χαλλαν�σ Dαταβασε, 4τη Θυαρτερ 2015 Τηισ ρεπορτ γραπησ

περφορmανχε ανδ ρισκ δατα φροm Χαλλαν�σ προπριεταρψ δαταβασε

αλονγσιδε ρελεϖαντ mαρκετ ινδιχεσ.

Χαπιταλ Μαρκετ Ρεϖιεω, 4τη Θυαρτερ 2015 Ινσιγητσ ον τηε εχονο−

my and recent performance in equities, ixed income, alternatives,

ρεαλ εστατε, ανδ mορε.

Μαρκετ Πυλσε Φλιπβοοκ, 4τη Θυαρτερ 2015 Α θυαρτερλψ ρεφερενχε

γυιδε χοϖερινγ ινϖεστmεντ ανδ φυνδ σπονσορ τρενδσ ιν τηε Υ.Σ.

economy, the capital markets, and deined contribution.

Οχτοβερ Ρεγιοναλ Wορκσηοπ Συmmαρψ Wε ρεϖιεωεδ ρεαλ

ασσετσ ανδ τηε ιmπλεmεντατιον ιmπλιχατιονσ οφ βυιλδινγ ουτ α

ροβυστ ρεαλ ασσετσ αλλοχατιον ιν πορτφολιοσ.

Χαπιταλ Μαρκετ Προϕεχτιονσ This charticle summarizes key ig−

υρεσ φροm Χαλλαν�σ 2016 χαπιταλ mαρκετ προϕεχτιονσ.

Γλοβαλ Εθυιτψ Βενχηmαρκ Ρεϖιεω Τηισ αννυαλ ρεπορτ εξαmινεσ

ΦΤΣΕ, ΜΣΧΙ, Ρυσσελλ, ανδ Σ&Π ινδιχεσ αλονγσιδε Χαλλαν Αχτιϖε

Μαναγερ Στψλε Γρουπσ.

Ηεδγε Φυνδ Μονιτορ, 4τη Θυαρτερ 2015 Ουρ χοϖερ στορψ, �Dαϖιδ

ϖερσυσ Γολιατη: Σιζινγ Υπ τηε Οδδσ,� χοmπαρεσ τηε ρεσπεχτιϖε αδ−

ϖανταγεσ ανδ χηαλλενγεσ οφ σmαλλερ ανδ λαργερ ηεδγε φυνδσ.

Τηε Ρεναισσανχε οφ Σταβλε ςαλυε Ιν τηισ παπερ, ωε σεεκ το

ανσωερ θυεστιονσ αβουτ σταβλε ϖαλυε φυνδσ, ανδ ηοω τηεψ ηαϖε

evolved since the inancial crisis.

Ρεαλ Ασσετσ Ρεπορτερ, Wιντερ/Σπρινγ 2016 Ιν

this issue, we look at implementing diversiied

ρεαλ ασσετ πορτφολιοσ, φοχυσινγ ον α προχεσσ τηατ

helps evaluate inancial and operational risks.

Υ.Σ. Εθυιτψ Βενχηmαρκ Ρεϖιεω Τηισ αννυαλ ρεπορτ χοmπαρεσ

ΧΡΣΠ, Ρυσσελλ, ανδ Σ&Π ινδεξ mετριχσ αλονγσιδε Χαλλαν Αχτιϖε

Μαναγερ Στψλε Γρουπσ.

DΧ Οβσερϖερ, 4τη Θυαρτερ 2015 Χοϖερ στορψ: Ιν−Πλαν Αννυιτιεσ:

Τηε Στυφφ Τηατ Dρεαmσ Αρε Μαδε Οφ?

Τηε Χοστσ οφ Χλοσινγ: Νυχλεαρ Dεχοmmισσιονινγ Τρυστσ Ιν

τηισ ϖιδεο, ϑυλια Μοριαρτψ δισχυσσεσ ηεδγινγ χοστσ, τηε ιmπαχτ οφ

λιχενσε εξτενσιον, ανδ mορε.

Πριϖατε Μαρκετσ Τρενδσ, Wιντερ 2016 Γαρψ Ροβερτσον συmmα−

ριζεσ τηε mαρκετ ενϖιρονmεντ, ρεχεντ εϖεντσ, περφορmανχε, ανδ

οτηερ ισσυεσ ινϖολϖινγ πριϖατε εθυιτψ.

ΧΑΛΛΑΝ ΙΝςΕΣΤΜΕΝΤΣ ΙΝΣΤΙΤΥΤΕ

Εδυχατιον

1στ Θυαρτερ 2016

Κνοωλεδγε. Εξπεριενχε. Ιντεγριτψ.

Εξεχυτιϖε Συmmαρψ

Callan ielded the 2016 Deined Contribution (DC) Trends Survey in the fall of 2015. Survey results incorporate responses from 144 plan sponsors, primarily large and mega 401(k) plans. We highlight key themes from 2015 and expectations for 2016 in this executive summary.

of DC plan sponsors took steps within the past 12 months to ensure χοmπλιανχε

83%

Σεε παγεσ 7 ανδ 11 φορ αδδιτιοναλ δεταιλσ

1 PARTICIPATION

2 CONTRIBUTION/SAVINGS

3 COST EFFECTIVENESS

3 most important factors in measuring the a plan’s success

Department of Labor’s 2011-2012

fee disclosure requirements

2006 Pension Protection Act

Tie for plan sponsors’ top ranking event inluencing the management of DC plans

1 ιν 5 plan sponsors

engaged in an asset re-enrollment

4/5plans with auto enroll

also auto escalate

6%increased company match contribution

Ηαππψ 10τη αννιϖερσαρψ το τηε ΠΠΑ

of plans with company stock took action to limit their liability

100% Πλαν σπονσορσ αρε τακινγ α

χλοσερ λοοκ ατ χοmπανψ στοχκ,

λικελψ α διρεχτ ρεσυλτ οφ τηε Υ.Σ.

Συπρεmε Χουρτ�σ 2014 δεχι−

σιον ιν Φιφτη Τηιρδ Βανχορπ ϖσ.

Dυδενηοεφφερ.Αϖεραγε νυmβερ

of actions taken :3

Τηε mοστ ιmπορταντ στεπ ιν

improving the iduciary position οφ τηε DΧ πλαν ισ:

Updating or reviewing the investment policy statement

of plan sponsors evaluated the suitability of their glide path in 2015

πλαν το εϖαλυατε

theirs in 2016

22%

30%

Exhibit 2: Real Assets-Risk/Return for 15 Years ended December 31, 2015

Allocations to the individual components vary (Εξηιβιτ 4), and

benchmarks are not consistent across real asset strategies

(Exhibit 5). There is no custom or widely accepted solu-

tion on how to implement or how to benchmark—some

approaches are highly tactical, others strategic. Finally, while

Exhibit 3: Real Asset Portfolios-Risk/Return for 5 Years ended December 31, 2015

Εξηιβιτ 4: Σαmπλε Οφφ−τηε−Σηελφ Ρεαλ Ασσετ Πορτφολιο Αλλοχατιονσ

0% 5% 10% 15% 20% 25% 30% 35%

-10%

-5%

0%

5%

10%

15%

20%

Standard deviation

U.S. Fixed

U.S. TIPS

Agriculture

Timberland

U.S. Treasury U.S. Equity

Private Real Estate

Bank Loans

MLPs

U.S. REITs

Natural Resources

Energy

Commodities

Inflation

Re

turn

s

Sources: Alerian, Barclays, Bloomberg, Bureau of Labor Statistics, Callan,

Credit Suisse, Dow Jones, NCREIF, The FTSE Group

5%

10%

Inflation

U.S. TIPSPortfolio F

0%

20%

40%

60%

80%

100%

0%

20%

40%

60%

80%

100%

0%

20%

40%

60%

80%

100%

Cash

Commodities

EM Inflation-Linked

U.S. TIPS

Inflation Opportunity

Enduring Assets

Precious Metals

Climate Change

Real Estate

Agriculture

Metals & Mining

Select Energy Opportunity

Energy20142013201220112010

20142013201220112010

20142013201220112010

Cash

Foreign Debt

High Yield

Loans

U.S. TIPS

REITs/Financials

Natural Resources

REITs

U.S. TIPS

Commodities

Natural Resources

Χονσερϖατιϖε

Αγγρεσσιϖε

Στρατεγιχ

�Wε τηινκ τηε βεστ ωαψ το λεαρν σοmετηινγ ισ το τεαχη ιτ.

Εντρυστινγ χλιεντ εδυχατιον το ουρ χονσυλταντσ ανδ σπεχιαλιστσ

ενσυρεσ τηατ τηεψ ηαϖε α τοταλ χοmmανδ οφ τηειρ συβϕεχτ

mαττερ. Τηισ ισ ονε ρεασον ωηψ εδυχατιον ανδ ρεσεαρχη ηαϖε

been cornerstones of our irm for more than 40 years.”

Ρον Πεψτον, Χηαιρmαν ανδ ΧΕΟ

Εϖεντσ

Μισσ ουτ ον α Χαλλαν χονφερενχε ορ ωορκσηοπ? Εϖεντ συmmα−

ριεσ ανδ σπεακερσ� πρεσεντατιονσ αρε αϖαιλαβλε ον ουρ ωεβσιτε:

ηττπσ://ωωω.χαλλαν.χοm/εδυχατιον/ΧΙΙ/

Ουρ νεξτ Ρεγιοναλ Wορκσηοπ, ϑυνε 28 ιν Ατλαντα ανδ ϑυνε 29

ιν Σαν Φρανχισχο, ωιλλ χονσιστ οφ τωο σεπαρατε ονε−ηουρ πρεσεν−

τατιονσ γιϖεν βψ ουρ σπεχιαλιστσ. Τηισ ψεαρ, ωε λοοκ ατ τηε ιmπαχτ

the Pension Protection Act has had on deined beneit and de−

ined contribution retirement plans a decade after its enactment, ανδ λοοκ αηεαδ το τηε νεξτ 10 ψεαρσ.

Σαϖε τηε δατε φορ ουρ φαλλ Ρεγιοναλ Wορκσηοπ, Οχτοβερ 25 ιν

Νεω Ψορκ ανδ Οχτοβερ 26 ιν Χηιχαγο, ανδ ουρ Νατιοναλ Χονφερ−

ενχε, ϑανυαρψ 23�25, 2017, ατ τηε Παλαχε Ηοτελ ιν Σαν Φρανχισχο.

Φορ mορε ινφορmατιον αβουτ εϖεντσ, πλεασε χονταχτ Βαρβ Γερ−

ρατψ: 415.974.5060 / ινστιτυτε≅χαλλαν.χοm

Τηε Χεντερ φορ Ινϖεστmεντ Τραινινγ

Εδυχατιοναλ Σεσσιονσ

Τηε Χεντερ φορ Ινϖεστmεντ Τραινινγ, βεττερ κνοων ασ τηε �Χαλλαν

Χολλεγε,� προϖιδεσ α φουνδατιον οφ κνοωλεδγε φορ ινδυστρψ προφεσ−

σιοναλσ ωηο αρε ινϖολϖεδ ιν τηε ινϖεστmεντ δεχισιον−mακινγ προ−

χεσσ. Ιτ ωασ φουνδεδ ιν 1994 το προϖιδε χλιεντσ ανδ νον−χλιεντσ αλικε

ωιτη βασιχ− το ιντερmεδιατε−λεϖελ ινστρυχτιον. Ουρ νεξτ σεσσιον ισ:

Ιντροδυχτιον το Ινϖεστmεντσ

Σαν Φρανχισχο, ΧΑ, ϑυλψ 19�20, 2016

Χηιχαγο, ΙΛ, Οχτοβερ 18�19, 2016

Τηισ σεσσιον φαmιλιαριζεσ φυνδ σπονσορ τρυστεεσ, σταφφ, ανδ ασσετ

mαναγεmεντ αδϖισορσ ωιτη βασιχ ινϖεστmεντ τηεορψ, τερmινολογψ,

ανδ πραχτιχεσ. Ιτ λαστσ ονε−ανδ−α−ηαλφ δαψσ ανδ ισ δεσιγνεδ φορ ιν−

διϖιδυαλσ ωηο ηαϖε λεσσ τηαν τωο ψεαρσ οφ εξπεριενχε ωιτη ασσετ−

mαναγεmεντ οϖερσιγητ ανδ/ορ συππορτ ρεσπονσιβιλιτιεσ. Τυιτιον φορ

τηε Ιντροδυχτορψ �Χαλλαν Χολλεγε� σεσσιον ισ ∃2,350 περ περσον.

Τυιτιον ινχλυδεσ ινστρυχτιον, αλλ mατεριαλσ, βρεακφαστ ανδ λυνχη ον

each day, and dinner on the irst evening with the instructors.

Χυστοmιζεδ Σεσσιονσ

Τηε �Χαλλαν Χολλεγε� ισ εθυιππεδ το χυστοmιζε α χυρριχυλυm το

meet the training and educational needs of a speciic organization.Τηεσε ταιλορεδ σεσσιονσ ρανγε φροm βασιχ το αδϖανχεδ ανδ χαν

take place anywhere—even at your ofice.

Λεαρν mορε ατ ηττπσ://ωωω.χαλλαν.χοm/εδυχατιον/χολλεγε/ ορ

χονταχτ Κατηλεεν Χυννιε: 415.274.3029 / χυννιε≅χαλλαν.χοm

Υνιθυε πιεχεσ οφ ρεσεαρχη τηε

Ινστιτυτε γενερατεσ εαχη ψεαρ50+

Τοταλ αττενδεεσ οφ τηε �Χαλλαν

Χολλεγε� σινχε 19943,300 Ψεαρ τηε Χαλλαν Ινϖεστmεντσ

Ινστιτυτε ωασ φουνδεδ1980

Αττενδεεσ (ον αϖεραγε) οφ τηε

Ινστιτυτε�σ αννυαλ Νατιοναλ Χονφερενχε500

Εδυχατιον: Βψ τηε Νυmβερσ

≅ΧαλλανΑσσοχ Χαλλαν Ασσοχιατεσ

Dis

clo

su

res

Disclosures

List of Callan’s Investment Manager Clients

Confidential – For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Please refer to Callan’s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list. Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan’s Compliance Department.

Quarterly List as of

March 31, 2016

Knowledge. Experience. Integrity. Page 1 of 2

Manager Name 13D Management 1607 Capital Partners, LLC Aberdeen Asset Management PLC Acadian Asset Management LLC AEGON USA Investment Management Affiliated Managers Group, Inc. AllianceBernstein Allianz Global Investors Allianz Life Insurance Company of North America AlphaOne Investment Services American Century Investment Management Amundi Smith Breeden LLC Analytic Investors Angelo, Gordon & Co. Apollo Global Management AQR Capital Management Ares Management LLC Ariel Investments, LLC Aristotle Capital Management, LLC Artisan Holdings Atlanta Capital Management Co., LLC Aviva Investors Americas AXA Investment Managers Babson Capital Management Baillie Gifford Overseas Limited Baird Advisors Bank of America Baring Asset Management Baron Capital Management, Inc. Barrow, Hanley, Mewhinney & Strauss, LLC BlackRock BMO Asset Management, Corp. BNP Paribas Investment Partners BNY Mellon Asset Management Boston Partners Brandes Investment Partners, L.P. Brandywine Global Investment Management, LLC

Manager Name Brown Brothers Harriman & Company Cambiar Investors, LLC Capital Group CastleArk Management, LLC Causeway Capital Management Charles Schwab Investment Management Chartwell Investment Partners ClearBridge Investments, LLC Cohen & Steers Capital Management, Inc. Columbia Management Investment Advisers, LLC Columbus Circle Investors Corbin Capital Partners, L.P. Cornerstone Capital Management Cramer Rosenthal McGlynn, LLC Crawford Investment Counsel, Inc. Credit Suisse Asset Management Crestline Investors, Inc. DE Shaw Investment Management, LLC Delaware Investments DePrince, Race & Zollo, Inc. Deutsche Asset Management Diamond Hill Investments Duff & Phelps Investment Mgmt. Co. Eagle Asset Management, Inc. EARNEST Partners, LLC Eaton Vance Management Epoch Investment Partners, Inc. Fayez Sarofim & Company Federated Investors Fidelity Institutional Asset Management Fiera Capital Global Asset Management First Eagle Investment Management, LLC First Hawaiian Bank Fisher Investments Fort Washington Investment Advisors, Inc. Franklin Templeton Institutional Fred Alger Management, Inc.

Knowledge. Experience. Integrity. Page 2 of 2

Manager Name

Fuller & Thaler Asset Management, Inc.

GAM (USA) Inc.

GE Asset Management

GMO

Goldman Sachs Asset Management

Grand-Jean Capital Management

Guggenheim Investments

Guggenheim Real Estate LLC

GW&K Investment Management

Harbor Capital Group Trust

Hartford Funds

Hartford Investment Management Co.

Henderson Global Investors

Hotchkis & Wiley Capital Management, LLC

HSBC Global Asset Management

Income Research + Management, Inc.

Insight Investment Management Limited

Institutional Capital LLC

INTECH Investment Management, LLC

Invesco

Investec Asset Management

Janus Capital Management, LLC

Jensen Investment Management

J.P. Morgan Asset Management

KeyCorp

Lazard Asset Management

Legal & General Investment Management America

Lincoln National Corporation

LMCG Investments, LLC

Longview Partners

Loomis, Sayles & Company, L.P.

Lord Abbett & Company

Los Angeles Capital Management

LSV Asset Management

MacKay Shields LLC

Man Investments Inc.

Manulife Asset Management

Martin Currie Inc.

Mellon Capital Management

MFS Investment Management

MidFirst Bank

Mondrian Investment Partners Limited

Montag & Caldwell, LLC

Morgan Stanley Investment Management

Mountain Lake Investment Management LLC

MUFG Union Bank, N.A.

Neuberger Berman

Newton Capital Management

Nicholas Investment Partners

Nikko Asset Management Co., Ltd.

Northern Trust Asset Management

Nuveen Investments, Inc.

OFI Global Asset Management

Old Mutual Asset Management

Manager Name

Opus Capital Management Inc.

Pacific Investment Management Company

Parametric Portfolio Associates

Peregrine Capital Management, Inc.

PGIM

PineBridge Investments

Pinnacle Asset Management L.P.

Pioneer Investments

PNC Capital Advisors, LLC

Polen Capital Management

Principal Global Investors

Private Advisors, LLC

Putnam Investments, LLC

QMA (Quantitative Management Associates)

RBC Global Asset Management

Regions Financial Corporation

RidgeWorth Capital Management, Inc.

Rockefeller & Co., Inc.

Rothschild Asset Management, Inc.

Russell Investments

Santander Global Facilities

Schroder Investment Management North America Inc.

Scout Investments

SEI Investments

Seminole Advisory Services, LLC

Smith, Graham & Co. Investment Advisors, L.P.

Smith Group Asset Management

Standard Life Investments Limited

Standish

State Street Global Advisors

Stone Harbor Investment Partners, L.P.

Systematic Financial Management

T. Rowe Price Associates, Inc.

Taplin, Canida & Habacht

The Boston Company Asset Management, LLC

The Hartford

The London Company

The TCW Group, Inc.

Tri-Star Trust Bank

UBS Asset Management

Van Eck Global

Versus Capital Group

Victory Capital Management Inc.

Vontobel Asset Management, Inc.

Voya Investment Management (fka ING)

Waddell & Reed Asset Management Group

WCM Investment Management

WEDGE Capital Management

Wellington Management Company, LLP

Wells Capital Management

Western Asset Management Company

William Blair & Company

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