Option1: - norwalkct.org

1

Potential Options to Raise Cash for Norwalk Pension Plan

Option1:

Keep 6 months of cash on hand. Board revisits cash needs semi-annually or as needed.

Option 2:

Increase the target allocation to cash from 1% to 2% (fixed income target allocation to be reduced by 1%). Board re-visits for typical plan rebalancing, as needed.

Option 3:

Delegate authority to Staff to raise cash, as needed, with the assistance of investment consultant. Outline parameters on amounts, limitations and eligible asset classes.

For example:

• The Board delegates Staff the authority to raise up to $5mm at one time, if needed, to pay capital calls and benefits payments.

• Staff is only allowed to raise cash from daily liquid asset classes specified by the Board (domestic equity, international equity, fixed income, liquid real assets). Asset classes that are overweight relative to target will be used for redemptions, when possible.

• Staff reviews the asset allocation and submits the proposed redemption request to the investment consultant for review.

• Investment consultant opines on the proposed request and either agrees or disagrees. If investment consultant disagrees, they will make a suggestion for alternative redemption proposal.

• CFO and/or Board Chair reviews request and signs off.

• Staff submits redemption request.

FOR INVESTMENT PROFESSIONAL USE ONLY

Fixed Income ReviewMetWest Total Return Mutual Fund

PRESENTATION TO:

City of NorwalkOCTOBER 13, 2021

Presented by:

Patrick Moore | Group Managing Director | Head of Client Services

Gino A. Nucci, CFA | Managing Director | Client Services – Fixed Income

DFIqr4124TIX 9/29/21 1


Core/Core Plus Fixed Income* ($161)

Securitized Products ($23)

Emerging Markets ($17)

Long Duration ($13)

Unconstrained/Strategic/Income ($13)

Investment Grade Credit ($7)

Low Duration** ($5)

High Yield/Bank Loans ($4)

Other Fixed Income*** ($3)

TCW Assets Under ManagementAS OF JUNE 30, 2021

Firm AUM: $266 Billion1

Fixed Income

Equities

AlternativeInvestments

$6$15

$245

Fixed Income Assets by Strategy: $246 Billion2

Source: TCWNote: Totals may not reconcile due to rounding.Comprises the assets under management, or committed to management, of The TCW Group, Inc. and its subsidiaries.1 Includes respective allocations for multi-asset products.2 Total invested assets by strategy includes cross-held positions and is not meant to reconcile to overall net fi rm AUM.* Includes Core, Core Plus, Intermediate, and Opportunistic Core Plus Fixed Income.** Includes Low Duration and Ultra Short/Cash Management.*** Includes U.S. Government, Government/Credit, Global, and Other Fixed Income.

DFIqr4124TIX 9/29/21 2


Fixed Income TeamSEPTEMBER 2021

Credit

GENERALIST PORTFOLIO MANAGERS

Tad Rivelle, CIO-Fixed Income Laird Landmann

Stephen Kane, CFA Bryan Whalen, CFAZack Venable

Portfolio Analytics

Credit Trading

Mike Carrion, CFABrian GelfandTammy Karp

Daniel Pace, CFADrew Sweeney

Evan Tich

Credit Research

Nick Bender, CFAAlex Bibi, CFAPedro Cardoso

Marie ChoiNikhil Chopra

Isabella FreemanMatt GmitroGriffi th Lee

Chet MalhotraTom Nguyen, CFANick Nilarp, CFATania Salomon

Joel ShpallIvy Thung

Kenneth ToshimaAlexis Wagener

Michael Williams

Securitized Products

Agency RMBS

Mitch FlackPat Ahn

Sean Jung Gordon Li, CFA

Jae Lim, CFANanlan Ye

Securitized Credit

Adam August, CFABrian Choi, CFA

Phillip Dominguez, CFAMalea FigginsMichael Hsu

Tony Lee, CFAJonathan MarcusSagar Parikh, CFA Palak Pathak, CFA

Madison PerryCarlos Prado

Brian Rosenlund, CFAZhao Zhao

Harrison ChoiElizabeth Crawford

Jerry Cudzil Steven Purdy

Government/Rates

Non-U.S. Sovereign/Currency

Marcela Meirelles, PhD, CFALawrence Rhee

Money Market

Michael Pak, CFA

Treasuries/Futures

Marcial CarrionJeannie Fong

Gannon Earhart

Bret Barker

Emerging Markets Debt

Portfolio Specialist

Anisha Goodly

Sovereign Research

Blaise AntinDavid Loevinger

Mauro Roca, PhDBrett RowleySarah Malott

Corporate Credit Research

Javier Segovia, CFAStephen Keck, CFAJeffrey Nuruki, CFA

Shant Thomasian, CFA

Strategy

Local Markets,Jae Lee

Corporates,Chris Hays

Quantitative,Yaner He

Trading

Jason ShamalyJustin BeckerSherwin Chan

Penny FoleyDave RobbinsAlex Stanojevic

Ruben Hovhannisyan, CFA – Assoc.

Marcos Gutierrez

Investment Risk Management

Ricardo Horowicz, PhDVanesa Lee

Vince MessinaMhair Orchanian, PhD

Melicia ShenAndrew Xu

Mabel Xu, CFA, CAIA

Patrick Moore

Product Specialists / Client Services

David Vick, CFAJeffrey Katz

Mark McNeill, CFAGino Nucci, CFA

Client Services

Tracy Gibson

Product Development

Scott A. Austin, CFA

Fixed Income ESG

Jamie Franco

DFIqr4124TIX 9/29/21 3


Executive SummaryBase Currency: US Dollar

Portfolio Characteristics**

Total Rate of Return (%)

Sector Allocation Highlights

-0.18

1.82

1.6

0

-0.26

1.06

6.27

3.76 4.

25

4.27

-0.1

9

1.8

3

1.6

3

-0.6

9

-0.0

8

5.4

3

3.1

1

3.1

8

3.29

August Prior Quarter 3 Months YTD 1 Year 3 Years 5 Years 10 Years Annualized S.I.

MWTSX Bloomberg Aggregate†

IndexPortfolio

1.12% n/a

8.38 yrs 8.51 yrs

6.11 yrs 6.65 yrs

30-Day SEC Yield

Average Maturity

Duration

Portfolio Index

Mortgage Backed 39.18% 29.32%

Agency MBS 31.30% 27.25%

Non-Agency MBS 5.86% 0.00%

CMBS 2.02% 2.07%

Credit 26.55% 30.45%

24.16% 25.97%Corporate Credit

Investment Grade 20.67% 25.97%

HY / Bank Loans 3.50% 0.00%

Non Corp Credit 0.63% 3.09%

Emerging Markets 1.76% 1.39%

Other 0.00% 0.00%

$$ 9911,,220033,,334455,,229933..0000

Ending Market Value

30.35% 39.93%

26.55% 30.45%

39.18% 29.32%

3.89% 0.30%

0.02%

Government / Cash

Credit

Mortgage Backed

Asset Backed

Other‡ 0.00%

Metropolitan West Funds

Total Return Mutual Fund (MWTSX)

Benchmark: Bloomberg Aggregate

As of 8/31/2021

Source: TCW*Portfolio characteristics and holdings are subject to change at any time.† Bloomberg U.S. Aggregate Bond Index – A market capitalization-weighted index of investment-grade, fixed-rate debt issues, including government, corporate, asset-backed and mortgage-backed securities, withmaturities of at least one year. The index is not available for direct investment; therefore its performance does not reflect a reduction for fees or expenses incurred in managing a portfolio. The securities in the indexmay be substantially different from those in the Fund‡Other can include Futures, Options or Swaps, if applicable.Returns are reflected net of fees.Past performance is no guarantee of future results. Inception Date: 07/29/2011

Metropolitan West FundsTOTAL RETURN MUTUAL FUND (MWTSX) / BENCHMARK: BLOOMBERG AGGREGATE INDEXAS OF AUGUST 31, 2021

DFIqr4124TIX 9/29/21 4


2Q 2021: Market Returns

2Q 2021 2Q 2021 YTD YTDFixed Income Total Return Excess Return* Total Return Excess Return* Yield-to-Maturity OAS (bps)

Treasury 1.7% 0.0% -2.6% 0.0% 1.0% -

3 mo T-Bills 0.0% 0.0% 0.0% 0.0% 0.0% -

1-3 Year 0.0% 0.0% -0.1% 0.0% 0.3% -

TIPS 3.2% 0.0% 1.7% 0.0% 1.1% -

Non U.S. DM Treasury 0.3% -0.1% -6.1% -0.1% 0.2% -

Corporate 3.5% 1.1% -1.3% 2.0% 2.1% 80

AA-Rated 3.6% 0.8% -2.0% 1.6% 1.8% 48

BBB-Rated 3.8% 1.4% -0.6% 2.7% 2.3% 100

High Yield 2.7% 2.0% 3.6% 4.6% 4.6% 268

Agency MBS 0.3% -0.6% -0.8% -0.5% 1.8% 27

Commercial MBS 1.9% 0.8% -0.5% 1.3% 1.5% 59

Asset Backed 0.3% 0.2% 0.2% 0.4% 0.5% 22

Emerging Markets (USD) 3.0% 1.2% -0.6% 1.9% 3.9% 271

Source: Bloomberg Barclays * Excess return represents each index’s return in excess of return of duration matched U.S. Treasury securities.

2Q 2021 YTD Equity Total Return Total Return Yield-to-Maturity OAS (bps)

S&P 500 Index 8.55% 15.24% - -

DJIA Index 5.08% 13.79% - -

NASDAQ Index 9.68% 12.92% - -

Source: Bloomberg For period ending 6/30/2021

DFIqr4124TIX 9/29/21 5


2Q 2021: Total Return Performance Attribution*

Positioning Market Action Results

Duration Duration positioning was trimmed in a disciplined fashion during the quarter as Treasury yields fell, ending approximately half a year shorter than the Index

While short rates were modestly higher, U.S. Treasury yields fell beyond 3-Year maturities, with the 10-Year and 30-Year down 27 and 33 bps, respectively

Slight Negative

Yield Curve Increased underweight to the intermediate part of the curve,

while long-end positioning was unchanged The yield curve flattened, led by the decline in longer yields Neutral

Sector

• Position in government securities in line with benchmark

• Corporate credit continued to represent a relative underweight given tight valuations, while the small allocation to high yield was maintained

• Overweight agency and non-agency RMBS with a smaller overweight in ABS

• Fixed income spread sectors generally outpaced Treasuries during the quarter with the overall Aggregate Index ahead of Treasuries by 16 bps on a duration-adjusted basis

• Investment grade credit yield premiums fell modestly and the sector outpaced Treasuries by 112 bps on a duration-adjusted basis, led by those sectors hardest hit by the pandemic, while high yield outpaced Treasuries by 200 bps and spreads compressed by over 40 bps

• Agency MBS was the only fixed income sector to lag Treasuries on a duration-adjusted basis, while other securitized sectors trailed corporate credit but outpaced Treasuries

Small Negative

Issue Selection

• Corporate credit allocation is focused on defensive sectors that offer more stability in times of volatility such as communications and non-cyclicals, and on idiosyncratic opportunities where wider spreads offer more compelling value

• Agency MBS position was trimmed somewhat, but emphasizes current (low) coupon TBAs with attractive financing rates given the Fed’s sizable footprint, while pools focus on low loan balance and geography stories

• Maintain position in senior seasoned non-agency MBS

• ABS focused on AAA-rated CLOs and select government guaranteed FFELP student loan collateral

• Industrials were top performers among corporate credit, led by energy, basic industry, and capital goods, which benefitted from a rebound in economic activity, with more modest, but solid performance among non-cyclical sectors, while finance companies were also top performers

• Heightened prepayment activity weighed on the agency MBS basis, particularly higher coupon mortgages, though TBAs continued to benefit from a higher running yield than pools

• Non-agency MBS fared well in 2Q as the combination of housing tailwinds and rebounding economic environment supported a decline in yield premiums across the sector

• ABS sectors continued to perform well, supported by policy that has helped keep the consumer afloat

Positive

*Attribution based on gross performance. Realized performance will be reduced by fees and expenses. Portfolio characteristics and holdings are subject to change at any time. Past performance is no guarantee of future results.

DFIqr4124TIX 9/29/21 6


1997 2000 2004 2007 2010 2014 2017 2021

0

50

100

150

200

250

300

350Economic Policy Volatility*

Monetary Policy Volatility** Quantitative Easing Era

2Q 2021: Fed’s Largesse Decouples Markets from the Economy

Our View: In seeking to achieve its dual mandate of full employment and stable inflation, the Federal Reserve has flooded the market with liquidity and pushed asset prices far beyond where a recovering economy would normally suggest. Capital markets look late-cycle given aggressive underwriting, tight spreads, and increased speculation. All the while, the economy, bolstered by stimulus, with high unemployment and rapid growth, looks early cycle. Regardless of which scenario prevails, history suggests that with equities at all-time highs and credit spreads at all-time tights, prospective returns in credit markets are not especially compensatory and elevated valuations provide little margin for error for any downside risks that may occur. Additionally, the risk of higher inflation and higher rates, combined with the prospective decline in the level of fiscal stimulus should create bouts of volatility and may increase the odds of slipping back into recession.

Source: Bloomberg* U.S. Economic Policy Uncertainty Composite Index. ** Yield curve weighted index of the normalized implied volatility on 3-month Swaptions, i.e., the weighted average of volatilities on 2-yr, 5-yr, 10-yr, and 30-yr maturity Swaps.

DFIqr4124TIX 9/29/21 7


2Q 2021: Market Review – Markets Mull “Transitory” Inflation Risks

Our View: For the moment, evidence (softening commodity prices and contained inflation expectations) suggests that the transitory narrative is correct. In our view, base effects will roll off and supply pressures will likely ease over the next few months as some disinflationary forces remain in play likely keeping inflation risks contained in the near to intermediate term. However, there remain potential drivers to upward price pressure, with a possibility for temporary inflation to become more permanent, particularly if the labor force is slow to normalize and inflation expectations become unanchored.

• Risk assets were undeterred by signs of inflation, with equity indices hitting new highs. The S&P 500 has gained over 14% so far this year. Across credit markets, demand continues to drive spreads to historically low levels, despite record levels of issuance and increased signs of late-cycle behaviors, such as share-buyback activity and weakening underwriting standards.

• Over the past several months, as vaccine deployment has ramped up and economic reopening expanded, concerns about inflation monopolized headlines. While this translated into sharply higher interest rates in the first quarter, over the last several months the reflation trade appeared to stall as markets seemingly bought into the Fed’s narrative that higher recent inflation is transitory. As such, this scenario along with the assumption of a rosy economic outlook is fully reflected in market pricing.

• Inflationary pressures did manifest in a significant surprise to the high side for the Consumer Price Index (CPI), which jumped in both April and May nearly 5.0% (year-over-year), the highest level since 2008. Despite this, the 10-Year Treasury rallied from a peak of 1.7% in March to as low as 1.4% and Treasury breakeven inflation rates continued to price prospects of near-term inflation at higher levels than longer-term inflation, evidence that the market is accepting of the transitory thesis.

Source: Bloomberg

Market Prices In Transitory Near-Term Inflation

1-Year 2-Year 5-Year 10-Year 20-Year 30-Year1.5%

1.7%

1.9%

2.1%

2.3%

2.5%

2.7%

2.9%

3.1%

3.3%

Treasury Breakeven Inflation Curve (6/30/2021)

• A narrowed trading range of Treasury rates resulted in settled levels of market volatility. The Cboe Volatility Index (VIX) dropped to 15.5, the lowest since February 2020, compared with a surge above 80 in March 2020. At the same time, the ICE Bank of America MOVE Index, which measures volatility in the Treasury market, has fallen nearly 20% since March’s peak in 2021 rate levels.

Source: Bloomberg

Volatility Measures Decline Across Markets

Mar-2020 Jun-2020 Sep-2020 Dec-2020 Mar-2021 Jun-202112

22

32

42

52

62

72

82VIX Index 50-Day Moving Average 200-Day Moving Average

22.418.115.8

DFIqr4124TIX 9/29/21 8


2Q 2021: Fed Policy Review – Improved Outlook with Long-Term Inflation on Target

Our View: While the Fed’s assessment of the economy is better, there remains tremendous uncertainty ahead, particularly as fiscal stimulus is set to expire this summer. Risk assets priced to perfection are vulnerable to a faster liftoff than expected by the Fed, while a patient Fed that stays on the sidelines too long risks higher inflation and more drastic rate hikes down the road. Both circumstances create challenges for markets. Having concluded they hiked too early during the last cycle, along with their confidence in being able to deal with higher inflation, the Fed will likely err on the side of being too late to hike rather than too early.

Fed Projects Better Outlook & Trend Long-Term Inflation

Source: Federal Reserve

Source: Bloomberg

Financial Conditions Continue to Ease

• At the June Federal Open Market Committee (FOMC) meeting, the Fed maintained an accommodative policy stance, leaving rates and the pace of bond buying unchanged. However, revised interest rate projections were more hawkish, i.e., higher, than markets anticipated. The median policy rate, or “dot plot,” forecast two rate hikes by end-2023, a faster than anticipated pace of tightening due to upgraded estimates for growth and inflation. However, the outlook for inflation in 2023 remains unchanged at 2.1%.

• Following the meeting, Chair Powell emphasized that the dots should be taken with “a big grain of salt” as they were highly uncertain individual projections, not an FOMC commitment. Market moves following the meeting saw a flattening of the Treasury curve, as short-term rates rose and longer maturities fell, unwinding the 5- and 30-Year Treasury curve steepening witnessed earlier this year. In addition, the dollar strengthened modestly, and equity markets were down on the day, though market moves largely retraced by quarter-end.

• Outside of the post-FOMC market moves, financial conditions remained remarkably, if not exceptionally, accommodative. According to the Goldman Sachs U.S. Financial Conditions Index (FCI), which factors in current interest rates, the dollar, credit spreads, and equity prices, current financial conditions are close to the easiest they have been on record.

2018 2019 2020 202197.0

97.5

98.0

98.5

99.0

99.5

100.0

100.5

101.0

101.5

102.0

Goldman Sachs U.S. Financial Conditions Index

Declining Index = Looser Conditions

• Despite the surprise on the Committee’s rate hike projections, hikes are typically preceded by a tapering of asset purchases. On this point, Federal Reserve Chair Powell did not suggest any pull-forward in the timeline for tapering, noting instead that in June the Fed “talked about talking about tapering” i.e., beginning the conversation among Committee members.

FOMC Projections 2021 2022 2023 Longer Run

Real GDP (% 4Q/4Q)June 7.0 3.3 2.4 1.8March 6.5 3.3 2.2 1.8

Unemployment Rate (4Q Avg)June 4.5 3.8 3.5 4.0March 4.5 3.9 3.5 4.0

Core PCE Inflation (% 4Q/4Q)June 3.0 2.1 2.1 –March 2.2 2.0 2.1 –

Fed Funds TargetJune 0.125 0.125 0.625 2.500March 0.125 0.125 0.125 2.500

DFIqr4124TIX 9/29/21 9


2Q 2021: U.S. Economic Review – Stimulus Driven Recovery Continues

Our View: The pandemic delivered an unprecedented shock to the U.S. economy and the recovery has proceeded in fits and starts, and with no historical precedent to draw upon, economic forecasting is particularly difficult. Nevertheless, the data suggest that the biggest price increases have been in those sectors most directly impacted by the shutdown, which have seen a snap back as the economy reopens. There is additional concern that demand for durable goods during the pandemic pulled forward consumption with an expected drop in demand as that impulse wanes. Finally, the impact of government stimulus efforts has been substantial, and the impact on consumer finances and overall demand is uncertain as that stimulus fades in the coming months. All of which implies that asset prices at all-time highs supported by relentlessly optimistic economic outlooks do not fully account for the myriad risks facing the economy today.

• As business restrictions lift and social activity increases, the U.S. economic recovery is gathering strength. The Fed raised its projections for economic growth, anticipating a 7% expansion this year, a number that is consistent with market forecasts, but is largely dependent on stimulus effects, which peaks this quarter. With stimulus money spent, fiscal policy is set to contract in the latter half of the year, with long-run growth declining to roughly 2%.

• Labor market conditions improved over the quarter, though the slow pace underscored the ongoing challenges. While recent non-farm payrolls increased by 559,000, this was below expectations, and a decline in the unemployment rate to 5.8% was overshadowed by a largely unchanged participation rate of 61%. Importantly, there remains a long recovery ahead; as 7.6 million jobs have been lost versus pre-pandemic levels and nearly 16 million people are still collecting unemployment benefits.

Long Recovery Ahead in the Labor Market

Jul-2020 Oct-2020 Dec-2020 Mar-2021 Jun-20210

5

10

15

20

25

30

35

Mill

ions

Initial Jobless Claims

Initial and Continuing Claims

Initial, Continuing, PEUC

Initial, Continuing, PEUC* and PUA*

15.1 mm

Source: Bloomberg, BLS *Pandemic Emergency Unemployment Compensation (PEUC) and Pandemic Unemployment Assistance (PUA)

• Retail sales declined in May by 1.3%. Core retail sales, which excludes automobiles, gas, building materials, and food services and corresponds most closely with the consumer spending component of GDP, dropped 1.5%. This decline suggests that as the economy re-opens, some of the pandemic-related spending on goods will begin to moderate.

U.S. Retail Sales Slips in May

May-2018 May-2019 May-2020 May-2021-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

-20

-15

-10

-5

0

5

10

15

20

Retail Sales Ex-Autos(MoM Change, SA)

Total Retail Sales(MoM Change, SA)

Source: Bloomberg, U.S. Commerce Department

• However, the retail sales numbers do not reflect broader measures of consumer spending on services, which saw a steady recovery as the economy opened further. The ISM Services PMI rose to a record high of 64 in May from 62.7 the month prior as demand for travel, hotel, and restaurants boosted the numbers. Despite elevated price pressures that were evident in the report, order backlogs continued to grow, and delivery times lengthened in a sign of pent-up demand.

DFIqr4124TIX 9/29/21 10


2Q 2021: Global Review – An Uneven Recovery Continues

Our View: The global economy continues to improve, yet unevenly, driven by progress in vaccination, control over outbreaks, and the extent of policy support. There is heightened uncertainty around the outlook, with mounting downside risks if growth slows in the U.S. or China later this year. Engineering a smooth exit from policy support or shifting to a more hawkish policy stance in the face of rising inflation poses a significant challenge for policy makers but may open opportunities for investors.

• Even with regional outbreaks of COVID-19 in parts of Asia, Latin America, and the surge of a new variant in the UK, the global recovery is continuing as most major economies have begun the process of reopening. As a result, forecasters expect the global economy to expand by 5.8% this year, with global activity measures and trade improving concurrently and rebounding nearly 25% from March 2020 lows.

• China’s economy remains central to the global recovery and data prints this quarter suggested that activity might be stalling. Export growth in May slowed more than expected, driven by a contraction in COVID-related goods exports. In addition, credit growth declined into negative territory, potentially sapping Chinese demand for commodities and further infrastructure development, most of which is financed.

Source: Bloomberg

Global Merchandise Trade Rebounds

Mar-2019 Aug-2019 Jan-2020 Jun-2020 Nov-2020 Apr-2021100

105

110

115

120

125

130

CPB World Trade Volume Index Up 25% Since March 2020 Lows

Source: BloombergNote: Credit Impulse measures the growth in new financing as a % of GDP

China’s Growth May Have Peaked

May-2014 May-2015 May-2016 May-2017 May-2018 May-2019 May-2020 May-202110%

15%

20%

25%

30%

35%

40%

45%

-$50

-$30

-$10

$10

$30

$50

$70

$90

$110

$130

$150

China Credit Impulse China Exports (USD, YoY%)

• Given the progress on recovery, some economies have started to roll back pandemic-related monetary support. While most major advanced economy central banks have kept a generally dovish stance, the Bank of England reduced bond purchases, as did the Bank of Canada. Several other countries, facing higher inflation, such as Brazil, Russia, South Korea, and Hungary, have either taken steps to hike rates or have turned more hawkish as a precursor to future hikes.

• Recent data suggests that despite the improving outlook, it will take a while for jobs and living standards to return to pre-crisis levels. According to the International Labor Organization, global labor income was 8% lower and nearly 144 million jobs were lost due to the pandemic. The global jobs shortfall in 2022 is still estimated at 23 million jobs, even with the pace of the current global recovery.

DFIqr4124TIX 9/29/21 11


2Q 2021: U.S. Corporate Credit Review – No Margin for Error

Our View: Current market spreads reflect a Goldilocks scenario of strong growth, contained inflation, and rising earnings. Yet debt has grown to record levels and the list of risks is mounting: faster-than-expected inflation, higher rates, lower growth, and a slower recovery. In the unlikely event the Goldilocks scenario plays out, the scope for further spread tightening is limited, reducing the potential upside to credit, while any of the numerous risks could lead to substantially wider spreads and poor performance. Given that range of outcomes, there tends to be a scarcity, though not an absence, of value in credit overall. Nevertheless, a recognition of strong technical factors and a reliance on solid credit underwriting and idiosyncratic opportunities will inform positioning in the space.

• Continued fiscal and monetary support coupled with confidence in the economic recovery drove credit spreads to a post-Global Financial Crisis record low of 77 basis points over Treasuries. At the same time, the Corporate Bond Index has become incrementally riskier over the years given deteriorating quality, a lower average yield, higher levels of leverage, and longer duration. Adjusting for those changes in the Index composition suggests that today’s credit spreads represent all-time lows in the level of compensation for credit risk.

• Stimulus measures helped propel a rebound in corporate earnings, as the S&P 500 constituents posted a weighted average earnings per share growth of 50% this quarter. Largely due to this improvement in earnings, investment grade corporate issuers saw a reduction in gross leverage to 2.5X, from a peak of 3.0X last year. Over 68% of investment grade companies saw an improvement in this metric, though leverage remains elevated compared to pre-pandemic levels.

Fundamental Deterioration in Corporate Bonds

Source: Morgan Stanley Research, Bloomberg, FTSE Fixed Income *Estimated YE2021 leverage returns to pre-COVID level **Shows T6M vol for current period

• While key credit measures have continued to recover from pandemic lows, debt growth remains conspicuously positive, a unique characteristic of this recession, as corporates typically actively delever their balance sheets during the early stages of a credit cycle. Instead, corporate debt outstanding recently topped $11 trillion (~1/2 of U.S. GDP), the highest on record, and companies have used proceeds to engage in M&A activity and share buybacks, which is more suggestive of emerging late cycle vulnerabilities.

Share Buyback Activity Surges

20002001

20022003

20042005

20062007

20082009

20102011

20122013

20142015

20162017

20182019

20202021

$0

$50

$100

$150

$200

$250

$300

$350

$400

122

42 3964

93

162

215

255

160

17

139

195

152

279252

337

214185

253254

177

YTD RepurchaseAuthorizations ($ bn)

2021:329

(+86%)

Source: GS Global Markets Division, Goldman Sachs Global Investment Research

• A full recovery is also reflected in the price of bonds in the high yield market. Spread levels fell through cycle lows to 278 basis points, and average yields fell to another all-time low of 3.7%. The search for yield has sustained an unprecedented pace of issuance of nearly $50 billion per month and has helped drive down the number of bonds trading at distressed levels, with just 14 CUSIPs trading below $70. Sustained investor demand has also forestalled any fallen angels from investment grade to high yield this year.

Cycle or Local Tights Feb-97 Feb-07 Jun-14 Feb-18 Jan-20 Jun-21

Index OAS (bp) 56 82 97 85 93 81

Index Yield (%) 7.11% 5.64% 2.97% 3.54% 2.71% 2.10%

Average Credit Quality A+/A A/A- A/A- A-/BBB+ A-/BBB+ A-/BBB+

% BBB 28% 35% 43% 48% 50% 52%

Index Duration 6.2 6.3 7.0 7.6 8.0 8.6

Index Avg. Dollar Price ($) 101.21 102.48 108.69 103.56 110.53 112.22

Median IG Gross Leverage 1.36x 1.60x 1.93x 2.30x 2.40x 2.39x*

T12M Excess Return Vol 0.4% 0.6% 2.2% 1.4% 3.2% 2.9%**

DFIqr4124TIX 9/29/21 12


2Q 2021: U.S. Securitized Review – A Broad-Based Recovery from Pandemic Lows

Our View: Across securitized products, technical factors have driven spreads tighter and opportunities for attractive value remain scarce. Despite recent improvements, we expect more delinquent CMBS loans to emerge as appraisals are revised lower. For the moment, TBA exposure in the agency MBS market still provides attractive carry given ongoing Fed support, as does legacy non-agency MBS given high quality cash flows and better relative value. Further, despite the run-up in home prices, mortgage underwriting has remained solid with none of the aggressive affordability products like negative amortization loans, ultra-low teaser rates, no documentation loans, etc. seen in 2006 and 2007. As a result, the overall leverage in the housing market is much lower than it was pre-financial crisis and the risk of a wholesale collapse in home prices akin to what was experienced in 2008 and 2009 is also much lower, making well-structured non-agency MBS more compelling.

• Rising disposable income from stimulus payments, a favorable rate environment, and a surge in pandemic-driven demand paved the way for the current boom in housing. Home prices in April increased by 13% year-over-year, the highest annual gain in 15 years. The combination of housing tailwinds and a rebounding economic environment supported mortgage credit spreads, which tightened across non-agency MBS.

• Notwithstanding the broader improvement in the macro environment and robust demand from banks and continued Fed purchases, agency MBS struggled this quarter as prepayment speeds rose unexpectedly by over 12% in April, with higher coupon mortgages bearing the brunt of prepayments. This contributed largely to the sector’s underperformance, as agency MBS trailed Treasuries by over 60 bps on a duration-adjusted basis.

Home Prices Have Soared as Rates Remain Low

Source: Bloomberg, CoreLogic

• CMBS continued improving with the 30+ day delinquency rate falling to 6.5%, as the hardest-hit sectors of retail and hotel benefited from reopening. With the worst-case scenario of the pandemic behind us in the U.S., default and loss assumptions are being revised lower. However, CMBS losses still vary meaningfully across bull, base, and bear scenarios, highlighting the idiosyncratic nature of CMBS credits.

Large Dispersion of CMBS Loss Scenarios

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 20210.00

0.02

0.04

0.06

0.08

0.10

0.12Base Bull Bear

Source: Trepp, Morgan Stanley Research

• Meanwhile, consumer ABS has benefitted from record low levels of delinquency as sizeable stimulus continues to support consumers. Credit card debt declined nearly 20% this year, as consumers used stimulus checks to pay down debt, while auto delinquencies fell to pre-pandemic levels, even after accounting for pandemic-related extensions.

Aug-1994 Apr-2001 Dec-2007 Aug-2014 Apr-2021-15

-10

-5

0

5

10

15

20Home Price Appreciation (YoY%)

DFIqr4124TIX 9/29/21 13


2Q 2021: Total Return Positioning Summary

Defensive positioning overall given historically tight spreads and abundant risks, while an ample level of liquidity is maintained to respond to potential volatility.

Characteristics Positioning Comments

Duration Ended the quarter approximately 0.5 years short versus the benchmark Remain shorter than the Index with yields still relatively low

Curve Underweight intermediate and longer maturities The curve is likely to steepen as the Fed anchors short-intermediate rates for the foreseeable future, while longer

rates drift higher on increased Treasury funding needs and potential longer term inflation risks

Governments Neutral with an emphasis on on-the-run securities • On-the-run Treasury securities provide much greater liquidity

• No exposure in TIPS given relatively wide breakeven inflation rates

MBS

• Agency MBS – overweight

• Non-Agency MBS – maintain allocation, with bias to add on pricing dislocations

• Preference for current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools

• Maintain emphasis on higher quality, shorter duration, currently amortizing non-agency MBS bonds

• Look to add exposure in heavily discounted senior legacy non-agency MBS bonds with solid fundamentals

ABS Small overweight • Prefer AAA CLOs given better liquidity, robust structures and reasonable spreads

• Maintain modest position in select FFELP student loan ABS

CMBS Neutral • Emphasis on non-agency CMBS holdings, in particular super senior single asset single borrower deals, but beginning to look down the capital structure for opportunities

Investment Grade Credit Underweight

• Remain underweight given historically low yield premiums

• Positioning remains concentrated in high conviction names, intermediate banks, and defensive sectors like communications and non-cyclicals, particularly healthcare

• Minimal exposure to cyclical credit sectors and non-corporate credit

High Yield Small allocation Emphasize defensive credits and select, high conviction idiosyncratic issuers

International Small allocation, with a bias to add high quality names on weakness An uneven pandemic recovery is likely to create more attractive entry points in the future for higher

quality issuerss

Portfolio characteristics and holdings are subject to change at any time. The views and forecasts expressed in this quarterly review are as of July 2021, are subject to change without notice and may not come to pass. TCW reserves the right to change its investment perspective and outlook without notice as market conditions dictate. Source: Bloomberg, TCW

DFIqr4124TIX 9/29/21 14


2Q 2021: Sector Highlight – Identifying Opportunities in CMBSUncertainty continues to be elevated in the commercial real estate market informing our cautious positioning within the CMBS sector. As such, we continue to focus on single asset single borrower (SASB) deals that tend to have more attractive underlying fundamentals and may offer opportunities among various parts of a bond’s capital structure. Below is an overview of a SASB deal where we have identified value in senior and subordinated parts of the capital structure.

Our View: We believe there will be on-going bifurcation in commercial real estate with increasing differentiation between the “haves” and the “have-nots.” As such, properties that exhibit strong fundamentals, like locked out lease rolls and low leverage ratios, offer value in the current environment given the defensive cash flow profile. Within the CMBS sector, we continue to emphasis the “haves” via senior tranches in SASB deals but have also identified select opportunities in subordinated tranches in certain deals where we believe strong underlying fundamentals create compelling opportunities. We will continue to look across capital structures to determine where the best risk-adjusted opportunities present themselves and rotate into them based on underlying fundamentals and valuation.

Key Deal Attributes:• The property is a recently constructed Class A office tower

located in New York City and is part of a large mixed use development consisting of specialty retail stores, hotel, and residence properties as well as entertainment options.

• The building is LEED certified with 1.4 million square feet of space encompassing 51 stories.

• As of the end of 2018, the building was 97% leased with only 23% of the tenants eligible to roll their leases during the term of the CMBS loan. The limited lease rollover rate results in stable and consistent cash flows during the tenor of the property’s loan, a key attribute given continued uncertainty in commercial real estate.

• The five largest tenants represent about 66% of the property’s cash flow and these all have lease terms of approximately 15 years.

• The property has strong, high quality sponsors that should have no issues refinancing the loan at maturity.

• The loan-to-value (LTV) on the property is approximately 52%, no additional debt exists and no further debt is permitted.

Bond StructureClass A

Rating: AAACredit Support: 53.6%Spread at Issue: 93 bps

Class BRating: AA-

Credit Support: 45.5%Spread at Issue: 110 bps

Class CRating: A


Class DRating: BBB

Credit Support: 25.2%Spread as Issue: 160 bps

Class ERating: BBB-


Class FRating: BB


Class RRating: N/R

Class LRRating: N/R

Source: Bloomberg

Investment Thesis:• Typically, when we are constructive on a SASB deal, we find

value across the CMBS capital structure. This provides more options to invest in the most attractive parts of the capital structure.

• In a SASB capital structure, the ‘AAA’ rated tranche tends to the cheapest part of the capital stack given the high demand for mezzanine and subordinate bonds. Given that, the Class A bond allows us to invest in an attractively valued bond backed by a high quality property.

• The ‘BB’ rated tranche is typically mis-priced due to rating agency’s penalizing SASB deals for the concentrated risk of a single asset and/or single loan. As such, investing in the Class F bond provides the opportunity to invest in a mis-priced bond, adding incremental yield in a high quality, high conviction credit without incurring significant levels of risk.

• To impair the ‘BB’ tranche, the debt would need to default and a 45% severity level would need to occur. Post the financial crisis, severity levels on CMBS conduit office properties has averaged 25.5%. Over the same time period, there have been no losses in SASB office properties.

DFIqr4124TIX 9/29/21 15


Biographies

Gino A. Nucci, CFAManaging DirectorClient Services – Fixed Income

Mr. Nucci is a Managing Director and Product Specialist with the Client Services group where he communicates investment strategies, performance, and outlook to clients. Previously, he served as a Portfolio Manager with the TCW Fixed Income group, where he managed the MetWest High Yield Bond Fund and the TCW High Yield Bond Fund. Prior to joining the fi rm in 2004, he was an Investment Banker focused on mergers and acquisitions. Mr. Nucci earned a BA in Economics from Yale University and an MBA from the UCLA Anderson School of Management. He is a CFA charterholder.

Patrick MooreGroup Managing DirectorHead of Client Services

Mr. Moore heads the client service team and works with the fi xed income portfolio management team to communicate investment strategies, performance and outlook to clients. Prior to joining TCW in 2009 on the acquisition of Metropolitan West Asset Management LLC (MetWest), he was a partner at MetWest and was responsible for building out the fi rm’s comprehensive client service and reporting capabilities after joining the team in 2000. His investment experience dates back 28 years, starting in 1987 at Wilshire Associates as an asset-liability analyst. Subsequent to that, he was a Senior Investment Consultant with Bankers Trust Company (Deutsche Bank), providing strategy planning and implementation services to ERISA, public fund, and endowment & foundation clients. Mr. Moore holds a BS in Mathematics and an MBA in Finance from the University of California, Irvine. He is a member of the CFA Institute.

DFIqr4124TIX 9/29/21 16


You should consider the investment objectives, risks, charges and expenses of a mutual fund carefully before investing. A Fund’s Prospectus and Summary Prospectus contain this and other information about the Fund. To receive a MetWest Funds Prospectus, please call 877-829-4768 or you may download the Prospectus from the Funds’ website at TCW.com. Please read it carefully.

MetWest Funds are distributed by TCW Funds Distributors LLC. The MetWest Funds are advised by Metropolitan West Asset Management, LLC, which is a wholly-owned subsidiary of The TCW Group, Inc.

FUND DISCLOSURESThe performance data presented represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month end is available on the Fund’s website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in the Fund, when redeemed, may be worth more or less than its original purchase cost.

For MWTSX the total expense ratio is 0.37%. Annual fund operating expenses as stated in the Prospectus dated July 29, 2020. For more information about fees and expenses, please read the Prospectus.

INVESTMENT RISKS It is important to note that the Fund is not guaranteed by the U.S. Government. Fixed income investments entail interest rate risk, the risk of issuer default, issuer credit risk, and price volatility risk. Funds investing in bonds can lose their value as interest rates rise and an investor can lose principal. Mortgage-backed and other asset-backed securities often involve risks that are different from or more acute than risks associated with other types of debt instruments. MBS related to floating rate loans may exhibit greater price volatility than a fixed rate obligation of similar credit quality. With respect to non-agency MBS, there are no direct or indirect government or agency guarantees of payments in pools created by non-governmental issuers. Non-agency MBS are also not subject to the same underwriting requirements for the underlying mortgages that are applicable to those mortgage-related securities that have a government or government-sponsored entity guarantee. Please see the Fund’s Prospectus for more information on these and other risks.

GENERAL DISCLOSURESThis material is for general information purposes only. There can be no assurance that the objectives and/or trends will come to pass or be maintained. This material may include estimates, projections and other “forward-looking” statements. Actual events may differ substantially from those presented. TCW assumes no duty to update any such statements. Projections are based on current asset prices and are subject to change. All information is as of the date of this presentation unless otherwise indicated.

The processes described herein are illustrative only and subject to adaptation in any particular context. This material reflects the current opinions of the author but not necessarily those of TCW and such opinions are subject to change without notice. TCW, its officers, directors, employees or clients may have positions in securities or investments mentioned in this publication, which positions may change at any time, without notice.

INDEX DISCLOSURES“Bloomberg®” and each of the Bloomberg fixed income indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by TCW. Bloomberg is not affiliated with TCW, and Bloomberg does not approve, endorse, review, or recommend any TCW product or portfolio. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to any TCW product or portfolio.

August 31, 2021

City of Norwalk

OPEB Monthly Report

Investment Measurement ServiceMonthly Review

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

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

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

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

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

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

particular situation. Past performance is no guarantee of future results. For further information, please see the Appendix section in your investment

measurement service quarterly review report for Important Information and Disclosures.

Table of ContentsCity of NorwalkAugust 31, 2021

Asset Distribution 1

Manager Performance 2

Investment Manager Asset Allocation

The table below contrasts the distribution of assets across the Fund’s investment managers as of August 31, 2021, with thedistribution as of July 31, 2021. 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

August 31, 2021 July 31, 2021

Market Value Weight Target Net New Inv. Inv. Return Market Value Weight Target

Total Equity $96,923,070 68.97% 68.00% $0 $2,305,673 $94,617,397 68.49% 68.00%

Domestic Equity $59,668,874 42.46% 41.00% $0 $1,666,082 $58,002,791 41.98% 41.00% Vanguard Total Stock Market 59,668,874 42.46% 0 1,666,082 58,002,791 41.98%

International Equity $37,254,197 26.51% 27.00% $0 $639,591 $36,614,606 26.50% 27.00% Vanguard Total Int’l. Stock 37,254,197 26.51% 0 639,591 36,614,606 26.50%

Fixed Income $27,011,019 19.22% 20.00% $(3,942) $(44,870) $27,059,831 19.59% 20.00%Metropolitan West Fund 9,868,537 7.02% 0 (17,488) 9,886,025 7.16% Prudential Cons Core Bond Fnd 17,142,483 12.20% (3,942) (27,382) 17,173,806 12.43%

Liquid Real Assets $16,566,374 11.79% 12.00% $0 $111,433 $16,454,941 11.91% 12.00%PIMCO All Assets 16,566,374 11.79% 0 111,433 16,454,941 11.91%

Cash $21,247 0.02% 0.00% $0 $0 $21,247 0.02% 0.00%Residual Cash 21,247 0.02% 0 0 21,247 0.02%

Total Fund $140,521,711 100.0% 100.0% $(3,942) $2,372,237 $138,153,416 100.0% 100.0%

1City of Norwalk

Investment Manager Returns

The table below details the rates of return for the fund’s investment managers over various time periods ended August 31,2021. 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 August 31, 2021

Last Last Last Last

Fiscal 12 36 60 84

YTD Months Months Months Months

Total Equity 2.98% 30.58% 14.73% 14.94% 11.09%

Domestic Equity 4.63% 33.37% 17.91% 17.99% 14.35% Vanguard Total Stock Market** 4.63% 33.37% 17.91% 17.99% 14.35% CRSP U.S. Total Market Index 4.63% 33.38% 17.91% 18.00% 14.35% Russell 3000 Index 4.59% 33.04% 17.85% 17.97% 14.34%

International Equity 0.44% 26.34% 9.71% 10.12% 5.82% Vanguard Total Int’l. Stock*** 0.44% 26.34% 9.71% 10.12% 5.82% Gl All Cap ex US Index 0.68% 26.76% 10.09% 10.54% 6.19%

Fixed Income 0.93% 0.50% 5.83% 3.39% 2.89% Metropolitan West Fund 0.89% 1.05% 6.27% 3.75% - Prudential Cons Core Bond Fnd 0.94% 0.19% 5.59% 3.20% 3.43% Blmbg Aggregate Index 0.93% (0.08%) 5.43% 3.11% 3.29%

Liquid Real Assets 1.13% 25.80% 10.49% 8.64% -PIMCO All Asset Fund 1.13% 25.80% 10.49% 8.64% 5.51% Blmbg US TIPS 1-10 2.11% 5.82% 6.31% 4.08% 3.09%

Cash 0.01% 0.08% 1.19% 1.14% 0.83%Residual Cash 0.01% 0.08% 1.19% 1.14% 0.83% 3-month Treasury Bill 0.01% 0.08% 1.23% 1.17% 0.87%

Total Fund 2.35% 24.42% 12.75% 11.75% 8.86% Total Fund Benchmark* 2.38% 20.46% 12.37% 11.15% 8.65%

Annual Discount Rate:6.5%

* Current Month Target = 41.0% Russell 3000 Index, 27.0% MSCI ACWI ex US, 20.0% Blmbg Aggregate and 12.0% BlmbgTIPS 1-10 Yr.**On October 27, 2014 switched from Signal Shares to Admiral Shares, On November 14th, 2014 switched to Institutional shares***On November 14, 2014 switched from Admiral Shares to Institutional Shares

2City of Norwalk

August 31, 2021

City of Norwalk

Monthly Report

Investment Measurement ServiceMonthly Review

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

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

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

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

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

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

particular situation. Past performance is no guarantee of future results. For further information, please see the Appendix section in your investment

measurement service quarterly review report for Important Information and Disclosures.

Table of ContentsCity of NorwalkAugust 31, 2021

Asset Distribution 1

Manager Performance Table 2


The table below contrasts the distribution of assets across the Fund’s investment managers as of August 31, 2021, with thedistribution as of July 31, 2021. The change in asset distribution is broken down into the dollar change due to Net NewInvestment and the dollar change due to Investment Return.


August 31, 2021 July 31, 2021

Market Value Weight Target Net New Inv. Inv. Return Market Value Weight Target

Total Equity $378,187,522 68.62% 69.00% $(77,494) $7,864,936 $370,400,080 68.39% 69.00%

U.S. Equity $188,417,776 34.19% 35.00% $(41,651) $5,387,302 $183,072,125 33.80% 35.00%BR Russell 1000 Index Non-Lend 137,587,794 24.97% 0 3,869,199 133,718,594 24.69%LSV 20,405,709 3.70% (40,216) 586,275 19,859,650 3.67%Columbus Circle Investors 30,424,273 5.52% (1,435) 931,828 29,493,880 5.45%

International Equity $123,121,797 22.34% 23.00% $(35,843) $2,232,135 $120,925,506 22.33% 23.00%

Developed Markets $99,234,921 18.01% - $(35,843) $1,961,835 $97,308,929 17.97% -Artisan Trust 45,447,725 8.25% 0 1,341,988 44,105,737 8.14% Silchester 53,787,196 9.76% (35,843) 619,847 53,203,192 9.82%

Emerging Markets $23,886,877 4.33% - $0 $270,300 $23,616,577 4.36% -BlackRock EM Alpha Tilts 23,886,877 4.33% 0 270,300 23,616,577 4.36%

Global Equity/Long Short $45,435,115 8.24% 8.00% $0 $245,499 $45,189,617 8.34% 8.00%ABS Global 21,350,934 3.87% 0 274,675 21,076,260 3.89%Blackstone Park Ave. NT 24,084,181 4.37% 0 (29,176) 24,113,357 4.45%

Private Equity* $21,212,833 3.85% 3.00% $0 $0 $21,212,833 3.92% 3.00%Pantheon USA IV 190,299 0.03% 0 0 190,299 0.04%Pantheon USA VI 443,622 0.08% 0 0 443,622 0.08%Pantheon USA VII 1,225,594 0.22% 0 0 1,225,594 0.23%Pantheon Europe Fund V A 647,267 0.12% 0 0 647,267 0.12%Pantheon Global Fund III 159,083 0.03% 0 0 159,083 0.03%Pantheon US Select 2014 18,546,968 3.37% 0 0 18,546,968 3.42%

Domestic Fixed-Income $99,903,092 18.13% 20.00% $(11,938) $(168,053) $100,083,083 18.48% 20.00%Prudential Cons Core Bond 42,528,610 7.72% (11,938) (66,359) 42,606,908 7.87%Metropolitan West Fund 57,374,481 10.41% 0 (101,693) 57,476,175 10.61%

Absolute Return $24,722,816 4.49% 4.00% $0 $205,546 $24,517,271 4.53% 4.00%UBS AIS 24,722,816 4.49% 0 205,546 24,517,271 4.53%

Real Assets $46,345,342 8.41% 6.00% $0 $311,648 $46,033,694 8.50% 6.00%PIMCO All Asset 46,331,596 8.41% 6.00% 0 311,648 46,019,948 8.50% 6.00%

Infrastructure* $13,746 0.00% 0.00% $0 $0 $13,746 0.00% 0.00%Macquarie Partners A 11,786 0.00% 0 0 11,786 0.00%Macquarie Partners B 1,960 0.00% 0 0 1,960 0.00%

Cash $1,959,946 0.36% 1.00% $1,355,861 $721 $603,365 0.11% 1.00%Cash Account 1,959,946 0.36% 1,355,861 721 603,365 0.11%

Total Fund $551,118,718 100.0% 100.0% $1,266,428 $8,214,797 $541,637,493 100.0% 100.0%

*Market values are preliminary and adjust for asset flows.

1City of Norwalk




Last Last Last Last

Fiscal 12 36 60 84


Total Equity 2.15% 27.54% 13.34% 13.38% 9.74%

U.S. Long Equity 3.95% 36.45% 17.45% 17.89% 14.18% Russell 3000 Index 4.59% 33.04% 17.85% 17.97% 14.34% BR Russell 1000 Index Non-Lendable 5.03% 32.26% 18.42% 18.24% - Russell 1000 Index 5.03% 32.25% 18.42% 18.24% 14.57% LSV 1.23% 62.64% 5.24% 8.58% 8.01% Russell 2000 Value Index (1.00%) 59.49% 8.41% 11.66% 9.41% Columbus Circle Investors 1.26% 43.61% 25.08% 27.53% 20.11% Russell 2500 Growth Index 0.28% 36.14% 16.94% 19.20% 14.83%

International Equity 0.51% 21.33% 8.98% 9.62% 5.82% MSCI ACWI ex US Index 0.27% 25.37% 9.87% 10.43% 5.91%

Developed Markets 2.23% 21.97% 8.76% 9.90% 6.32% MSCI EAFE Index 2.53% 26.12% 9.00% 9.72% 5.66% Artisan Trust 4.32% 16.12% 11.12% 11.03% 6.49% MSCI EAFE Gr w/ gr div 4.13% 25.33% 13.71% 13.04% 9.14% Silchester 0.52% 28.00% 6.75% 9.02% 6.33% MSCI EAFE Val Idx 0.89% 26.99% 4.39% 6.56% 2.40%

Emerging Markets (6.04%) 18.81% 9.80% 8.41% 3.65% BlackRock EM Alpha Tilts (6.04%) 18.81% - - - MSCI Emerging Mkts Idx (4.20%) 21.49% 10.25% 10.80% 5.44%

Global Equity/Long Short 0.51% 14.89% 9.09% 8.13% 5.90% HFRI FOF: Strategic Index 0.35% 16.78% 7.60% 7.05% 4.78% ABS Global 1.04% 16.54% 7.79% 7.82% 5.77% MSCI World Index 4.32% 29.76% 14.96% 14.83% 10.74% Blackstone Park Ave. NT (0.00%) 13.95% 9.89% 8.34% 6.01% S&P 500 Index 5.49% 31.17% 18.07% 18.02% 14.56%

Private Equity(1) 0.00% 28.77% 17.48% 15.65% 11.99%Pantheon USA IV 0.00% - - - -Pantheon USA VI 0.00% - - - -Pantheon USA VII 0.00% - - - -Pantheon Europe Fund V A 0.00% - - - -Pantheon Global Secondary Fund III 0.00% - - - -Pantheon US Select 2014 0.00% - - - - Private Equity Benchmark(2) 0.00% 28.77% 17.48% 15.65% 11.99%

(1) Private Equity has a 1 quarter lag in valuation.(2) Private Equity benchmark is a composite of Private Equity performance.

2City of Norwalk




Last Last Last Last

Fiscal 12 36 60 84


Domestic Fixed Income 0.91% 0.63% 5.90% 3.47% 3.48%Prudential Cons Core Bond 0.93% 0.13% 5.34% 3.09% 3.35%Metropolitan West Fund 0.89% 1.05% 6.27% 3.75% - Blmbg Aggregate Index 0.93% (0.08%) 5.43% 3.11% 3.29%

Absolute Return 1.28% 7.80% 5.80% 4.78% 4.47%UBS AIS 1.28% 7.80% 5.80% 4.78% 4.47% HFRI FOF: Conservative Index 0.26% 12.30% 5.25% 4.81% 3.49%

Real Assets 1.13% 25.80% 10.70% 10.42% 7.38%PIMCO All Asset Fund 1.13% 25.80% 10.49% 8.64% 5.51% Blmbg US TIPS 1-10 2.11% 5.82% 6.31% 4.08% 3.09%

Cash 0.04% 0.23% 1.40% 1.35% 1.02%Cash 0.04% 0.23% 1.40% 1.35% 1.02% 3-month Treasury Bill 0.01% 0.08% 1.23% 1.17% 0.87%

Total Fund 1.77% 20.89% 11.21% 10.60% 7.90% Total Fund Custom Benchmark (2) 2.01% 19.37% 11.54% 10.53% 7.75%

Annual Discount Rate:6.75%

(2) The Total Fund Custom Benchmark is 35.0% Russell 3000 Index, 23.0% MSCI ACWI ex-US, 20.0% Bloomberg Aggregrate Index3.0% Norwalk Private Equity, 8.0% HFRI FOF Strategic, 6.0% Bloomberg US TIPS 1-10 Year Index, 4.0% HFRI FOF Conservative, 1% 3-month Treasury Bill.

3City of Norwalk

June 30, 2021

City of Norwalk DC Plans

Investment Measurement ServiceQuarterly Review

Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein isto be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain informationherein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarilyverified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed andare not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision youmake on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to yourparticular situation. Past performance is no guarantee of future results. For further information, please see the Appendix section in your investmentmeasurement service quarterly review report for Important Information and Disclosures.

Table of ContentsJune 30, 2021

Market Overview 3

401(a) Asset Allocation

Asset Distribution Across Investment Managers 9

Asset Allocation 401(a) 10

457(b) Asset Allocation

Asset Allocation 457(b) 15

Performance 18

Target Date Funds

American Funds TDF 2010 31











Passive Funds

BlackRock S&P 500 Index Fund 64

BlackRock Russell 2500 Index Fund 66

BlackRock MSCI ACW ex US Index Fund 68

Fidelity US Bond Index Fund 70

Active Equity Funds

J.P. Morgan Equity Income Fund 73

MFS Large Cap Growth Fund 76

GW&K Small/Mid Cap Equity Fund 79

MFS International Diversification Fund 82

Fixed Income

Met West Total Return Fund 87

Stable Value

Invesco Stable Value Fund 92

Research & Disclosures 9595

Ma

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rvie

w

Market 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 June 30, 2021

Retu

rns

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 Blmbg Aggr Bd Citi Non-US Govt NCREIF Index

(46)

(60)(52)

(92)

(81)

(20)

10th Percentile 12.58 7.14 8.10 2.37 3.19 5.0325th Percentile 11.21 6.06 6.99 2.21 1.62 3.16

Median 8.18 4.70 5.31 2.05 1.03 2.2075th Percentile 5.91 3.41 4.21 1.93 0.53 1.9690th Percentile 5.07 2.43 3.56 1.85 0.22 1.67

Index 8.55 4.29 5.17 1.83 0.45 3.59

Range of Separate Account Manager Returns by Asset ClassOne Year Ended June 30, 2021

Re

turn

s

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

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 Blmbg Aggr Bd Citi Non-US Govt NCREIF Index

(65)

(46)

(80)

(94)(94)

(49)



Index 40.79 62.03 32.35 (0.33) 3.06 7.37

4City of Norwalk DC Plans

Domestic EquityActive Management Overview

The S&P 500 Index closed the quarter at a record high and registered an 8.5% gain in 2Q, bringing its YTD return to 15.3%.The Index is up 40.8% over the past year and the annualized return over the past 10 years is a healthy 14.8%. The S&P 500Index hit 34 record highs in the first half of the year. First quarter earnings were up over 50%, according to FactSet, andsecond quarter earnings are projected to grow more than 60% (YOY). Real Estate was the strongest-performing sector in theS&P 500 for the quarter (+13.1%) with Technology close behind (+11.6%). The Utilities sector was the only one to post anegative result (-0.4%). Growth stocks outperformed value (R1000 Growth: + 11.9%; R1000 Value: + 5.2%) but lag for theYTD period (+13.0% vs. +17.0%). Small cap lagged large (R2000: +4.3% vs. R1000: +8.5%) but is ahead by a modestamount YTD (17.5% vs 15.0%).

Separate Account Style Group Median Returnsfor Quarter Ended June 30, 2021

0%

2%

4%

6%

8%

10%

12%

14%

16%

5.22

Small CapGrowth

4.27

Small CapValue

4.70

Small CapBroad

8.28

Mid CapGrowth

4.90

Mid CapValue

6.11

Mid CapBroad

11.62

Large CapGrowth

5.65

Large CapValue

8.18

Large CapCore

Re

turn

s

S&P 500: 8.55%S&P 500 Growth: 11.93%S&P 500 Value: 4.99%S&P Mid Cap: 3.64%S&P 600: 4.51%S&P 600 Growth: 3.76%S&P 600 Value: 5.17%

Separate Account Style Group Median Returnsfor One Year Ended June 30, 2021

0%

20%

40%

60%

80%

100%

53.63

Small CapGrowth

70.16

Small CapValue

60.99

Small CapBroad

44.27

Mid CapGrowth

55.69

Mid CapValue

50.92

Mid CapBroad

40.60

Large CapGrowth

46.00

Large CapValue

42.40

Large CapCore

Re

turn

s

S&P 500: 40.79%S&P 500 Growth: 41.36%S&P 500 Value: 39.54%S&P Mid Cap: 53.24%S&P 600: 67.40%S&P 600 Growth: 57.49%S&P 600 Value: 77.26%


Domestic Fixed IncomeActive Management Overview

The 10-year U.S. Treasury yield declined steadily throughout the quarter, from 1.74% as of 3/31 to 1.45%. The BloombergBarclays US Aggregate Bond Index rose 1.8% but remains down 1.6% YTD. Strong equity performance and robusteconomic data fueled risk appetites, and lower-quality securities were the best performers again this quarter. Corporatesoutperformed Treasuries as investors continued to reach for yield in spite of the paltry yield advantage (the averageoption-adjusted spread on the Corporate Index was 80 bps as of quarter-end, the lowest since 1998). The BloombergBarclays High Yield Index was up 2.7%. The absolute yield-to-worst for the Index reached an all-time low of 3.75% and itsoption-adjusted spread hit 268 bps, the lowest since 2007.


0%

2%

4%

6%

8%

10%

0.29

Defensive

1.07

Intermed

2.05

CoreBond

2.21

Core Plus

6.67

ExtendedMaturity

1.56

BankLoans

2.77

High Yield

Re

turn

s

Blmbg Aggregate: 1.83%Blmbg High Yield: 2.74%Blmbg Long Gov/Cred: 6.44%


(5%)

0%

5%

10%

15%

20%

25%

1.18

Defensive

0.76

Intermed

1.13

CoreBond

3.30

Core Plus

(0.43 )

ExtendedMaturity

10.59

BankLoans

15.71

High Yield

Re

turn

s

Blmbg Aggregate: (0.33%)Blmbg High Yield: 15.37%Blmbg Long Gov/Cred: (1.86%)


International EquityActive Management Overview

Developed ex-U.S. stocks had a strong quarter with virtually all developed market countries posting positive returns. TheMSCI ACWI ex-USA Index rose 5.5% for the quarter and is up 9.2% YTD. As in the U.S., Utilities (-0.4%) was the lone sectorto produce a negative return. Health Care (+9.9%) and Energy (+8.2%) were the top-performing sectors. Canada (+10.0%)was a strong performer and Japan (-0.3%) was notable as one of the few countries to deliver a negative return. The U.S.dollar was mixed against developed market currencies and thus shifts were not a major contributor to relative results. TheMSCI EM Index performed in line with developed markets (MSCI EM USD: +5.0% and +7.4% YTD), but country returns weremixed. Brazil (+23%) and Russia (+14%) were top performers while Chile (-14%) was at the bottom of the pack. China wasup 2% and China A-shares (+9.2%) did especially well as softer economic data in May appeared to ease investors’ concernsover potential policy tightening.


0%

2%

4%

6%

8%

10%

6.23

Small Cap

5.25

Core Int’l

5.25

Core Plus

5.38

EmergingMarkets

7.35

Global Equity

Re

turn

s

MSCI AC World Index 7.53%MSCI ACW ex US Free: 5.48%MSCI EAFE: 5.17%MSCI Europe: 7.42%MSCI Pacific: 1.33%MSCI Emerging Markets: 5.05%


0%

10%

20%

30%

40%

50%

60%

43.99

Small Cap

34.86

Core Int’l

39.62

Core Plus

44.29

EmergingMarkets

40.22

Global Equity

Re

turn

s

MSCI AC World Index 39.87%MSCI ACW ex US Free: 35.72%MSCI EAFE: 32.35%MSCI Europe: 35.09%MSCI Pacific: 27.80%MSCI Emerging Markets: 40.90%


40

1(a

) Asse

t Allo

ca

tion

401(a) Asset Allocation


The table below contrasts the distribution of assets across the Fund’s investment managers as of June 30, 2021, with thedistribution as of March 31, 2021. The change in asset distribution is broken down into the dollar change due to Net NewInvestment and the dollar change due to Investment Return.


June 30, 2021 March 31, 2021

Market Value Weight Net New Inv. Inv. Return Market Value WeightCity of Norwalk 401(a) Plan

Target Date Funds $9,020,535 91.19% $454,501 $460,950 $8,105,085 91.18%American Funds TDF 2010 306,916 3.10% 6,885 9,634 290,397 3.27%American Funds TDF 2015 60,620 0.61% (9,704) 2,366 67,958 0.76%American Funds TDF 2020 502,366 5.08% 24,338 17,900 460,128 5.18%American Funds TDF 2025 1,067,830 10.79% 41,406 42,167 984,257 11.07%American Funds TDF 2030 1,345,796 13.60% 61,523 59,978 1,224,295 13.77%American Funds TDF 2035 815,889 8.25% 6,604 43,415 765,870 8.62%American Funds TDF 2040 1,239,032 12.53% 85,937 70,361 1,082,734 12.18%American Funds TDF 2045 1,081,657 10.93% 61,144 63,147 957,366 10.77%American Funds TDF 2050 1,133,388 11.46% 55,767 66,838 1,010,783 11.37%American Funds TDF 2055 1,216,520 12.30% 72,714 72,164 1,071,642 12.06%American Funds TDF 2060 250,521 2.53% 47,887 12,979 189,655 2.13%

Passive Funds $557,510 5.64% $26,900 $35,604 $495,006 5.57%BlackRock S&P 500 Idx Fund 355,712 3.60% 14,528 27,140 314,044 3.53%BlackRock Russell 2500 Idx Fund 89,668 0.91% 6,546 4,388 78,733 0.89%BlackRock MSCI ACWI ex US Idx 68,995 0.70% 3,876 3,325 61,793 0.70%Fidelity US Bond Idx Fund 43,135 0.44% 1,949 750 40,435 0.45%

Active Equity $222,688 2.25% $8,501 $13,817 $200,369 2.25%J.P. Morgan Equity Income Fund 131,910 1.33% 3,422 7,544 120,944 1.36%MFS US Large Cap Growth Equity 69,610 0.70% 2,081 5,420 62,110 0.70%GW&K Small/Mid Cap Core 10,009 0.10% 1,841 411 7,757 0.09%MFS Intl Diversification Fund 11,159 0.11% 1,158 443 9,558 0.11%

Fixed Income $27,152 0.27% $2,072 $433 $24,648 0.28%Met West Total Return Fund 27,152 0.27% 2,072 433 24,648 0.28%

Stable Value $64,445 0.65% $687 $175 $63,583 0.72%Invesco Stable Value Fund 64,445 0.65% 687 175 63,583 0.72%

Total Fund- 401(a) $9,892,331 100.0% $492,661 $510,979 $8,888,691 100.0%

9City of Norwalk 401(a)

Actual Asset AllocationAs of June 30, 2021

The below charts show the asset allocation of the City of Norwalk 401(a) plan.

Actual Asset Allocation

Target Date Funds91%

Passive Funds6%

Active Equity2%

Fixed Income0%

Stable Value1%

$000s PercentAsset Class Actual ActualTarget Date Funds 9,021 91.2%Passive Funds 558 5.6%Active Equity 223 2.3%Fixed Income 27 0.3%Stable Value 64 0.7%Total 9,892 100.0%


Changes in Investment Fund BalancesPeriod Ended June 30, 2021

Allocation Across Investment OptionsThe chart below illustrates the allocation of the aggregate fund assets across the various investment options for the quarterended June 30, 2021.

Target Date Funds$9,020,535

91%

Passive Funds$557,510

6%Active Equity$222,688

2%

Fixed Income$27,152

0%

Stable Value$64,445

1%

Changes in Fund ValuesThe chart below shows the net change in fund values across the various investment options for the quarter ended June 30,2021. The change in value for each fund is the result of a combination of 3 factors: 1) market movements; 2) contributions ordisbursements into or out of the funds by the participants (and any matching done by the company); and 3) transfersbetween funds by the participants.

0 200,000 400,000 600,000 800,000 1,000,000 1,200,000

915,451Target Date Funds

62,504Passive Funds

22,318Active Equity

2,505Fixed Income

862Stable Value

Dollars$


Asset Allocation

The charts below illustrate the historical asset allocation of the fund as well as the historical allocations of contributions to thefund. The pie charts on the top show the most recent allocations of both assets and contributions which include exchangesand transfers within the plan. The middle chart displays the historical allocation of fund assets. The bottom chart illustratesthe historical allocation of contributions.

Asset Allocation


Passive Funds6%Active Equity

2%Fixed Income

0%

Stable Value1%

Contributions


Passive Funds5%Active Equity

2%Fixed Income

0%

Stable Value0%

Historical Asset Allocation

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2020 2021

Stable Value

Fixed Income

Active Equity

Passive Funds

Target Date Funds

Historical Allocation of Contributions

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2020 2021

Stable Value

Fixed Income

Active Equity

Passive Funds

Target Date Funds


45

7(b

) Asse

t Allo

ca

tion

457(b) Asset Allocation


The table below contrasts the distribution of assets across the Fund’s investment managers as of June 30, 2021, with thedistribution as of March 31, 2021. The change in asset distribution is broken down into the dollar change due to Net NewInvestment and the dollar change due to Investment Return.


June 30, 2021 March 31, 2021

Market Value Weight Net New Inv. Inv. Return Market Value WeightCity of Norwalk 457(b) Plan

Target Date Funds $32,624,031 70.59% $(655,067) $1,614,940 $31,664,158 72.48%American Funds TDF 2010 851,912 1.84% (9,855) 27,473 834,294 1.91%American Funds TDF 2015 1,791,445 3.88% 2,600 63,017 1,725,828 3.95%American Funds TDF 2020 2,721,557 5.89% 29,748 100,824 2,590,986 5.93%American Funds TDF 2025 5,351,298 11.58% (829,956) 244,799 5,936,454 13.59%American Funds TDF 2030 8,865,501 19.18% (169,916) 413,727 8,621,691 19.74%American Funds TDF 2035 3,075,669 6.65% 79,718 165,436 2,830,514 6.48%American Funds TDF 2040 3,234,772 7.00% 84,713 189,971 2,960,089 6.78%American Funds TDF 2045 3,028,827 6.55% (4,089) 187,231 2,845,684 6.51%American Funds TDF 2050 2,721,702 5.89% 101,278 163,496 2,456,928 5.62%American Funds TDF 2055 800,969 1.73% 31,974 48,525 720,471 1.65%American Funds TDF 2060 180,379 0.39% 28,720 10,440 141,219 0.32%

Passive Funds $4,822,320 10.43% $363,802 $297,986 $4,160,532 9.52%BlackRock S&P 500 Idx Fund 3,066,067 6.63% 197,412 230,640 2,638,016 6.04%BlackRock Russell 2500 Idx Fund 849,195 1.84% 152,363 37,936 658,896 1.51%BlackRock MSCI ACWI ex US Idx 609,232 1.32% 244,270 20,528 344,434 0.79%Fidelity US Bond Index Fund 297,826 0.64% (230,243) 8,883 519,186 1.19%

Active Equity $4,890,044 10.58% $34,261 $317,081 $4,538,702 10.39%J.P. Morgan Equity Income Fund 1,743,398 3.77% 121,613 95,558 1,526,227 3.49%MFS US Large Cap Growth Fund 1,828,779 3.96% (151,064) 160,033 1,819,810 4.17%GW&K Small/Mid Cap Equity Fund 678,957 1.47% 85,289 30,243 563,424 1.29%MFS Intl Diversification Fund 638,909 1.38% (21,577) 31,247 629,240 1.44%

Fixed Income $1,070,583 2.32% $233,542 $15,723 $821,319 1.88%Met West Total Return Fund 1,070,583 2.32% 233,542 15,723 821,319 1.88%

Stable Value $2,811,306 6.08% $301,048 $7,691 $2,502,566 5.73%Invesco Stable Value Fund 2,811,306 6.08% 301,048 7,691 2,502,566 5.73%

Total 457(b) $46,218,284 100.0% $277,586 $2,253,421 $43,687,277 100.0%

14City of Norwalk 457(b)

Actual Asset AllocationAs of June 30, 2021

The below charts show the asset allocation for the City of Norwalk 457(b) plan.

Actual Asset Allocation


Passive Funds10%

Active Equity11%

Fixed Income2%

Stable Value6%

$000s PercentAsset Class Actual ActualTarget Date Funds 32,624 70.6%Passive Funds 4,822 10.4%Active Equity 4,890 10.6%Fixed Income 1,071 2.3%Stable Value 2,811 6.1%Total 46,218 100.0%


Changes in Investment Fund BalancesPeriod Ended June 30, 2021

Allocation Across Investment OptionsThe chart below illustrates the allocation of the aggregate fund assets across the various investment options for the quarterended June 30, 2021.

Target Date Funds$32,624,031

71%

Passive Funds$4,822,320

10%Active Equity$4,890,044

11%

Fixed Income$1,070,583

2%

Stable Value$2,811,306

6%

Changes in Fund ValuesThe chart below shows the net change in fund values across the various investment options for the quarter ended June 30,2021. The change in value for each fund is the result of a combination of 3 factors: 1) market movements; 2) contributions ordisbursements into or out of the funds by the participants (and any matching done by the company); and 3) transfersbetween funds by the participants.

0 200 400 600 800 1,000 1,200 1,400

960Target Date Funds

662Passive Funds

351Active Equity

249Fixed Income

309Stable Value

Thousands$


Asset Allocation

The charts below illustrate the historical asset allocation of the fund as well as the historical allocations of contributions to thefund. The pie charts on the top show the most recent allocations of both assets and contributions which include exchangesand transfers within the plan. The middle chart displays the historical allocation of fund assets. The bottom chart illustratesthe historical allocation of contributions.

Asset Allocation


Passive Funds10%

Active Equity11%

Fixed Income2%

Stable Value6%

Contributions


Passive Funds28%

Active Equity17%

Fixed Income9%

Stable Value15%

Historical Asset Allocation

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2020 2021

Stable Value

Fixed Income

Active Equity

Passive Funds

Target Date Funds

Historical Allocation of Contributions

0% 0%

10% 10%

20% 20%

30% 30%

40% 40%

50% 50%

60% 60%

70% 70%

80% 80%

90% 90%

100% 100%

2020 2021

Stable Value

Fixed Income

Active Equity

Passive Funds

Target Date Funds


Pe

rform

ance

Performance

Investment Fund Returns and Peer Group Rankings

The table below details the rates of return and peer group rankings for the Fund’s investment funds over various time periodsended June 30, 2021. Negative returns are shown in red, positive returns in black. Returns for one year or greater areannualized.

Returns and Rankings for Periods Ended June 30, 2021

Last Last LastLast Last 2 3 5

Quarter Year Years Years Years

Target Date Funds

American Funds TDF 2010 86 29 53 46 593.33% 15.38% 9.85% 8.74% 7.53% AF Target Date 2010 Idx 6 62 20 16 224.16% 14.32% 10.58% 9.76% 8.34%Callan Target Date 2010 3.61% 14.84% 9.88% 8.70% 7.65%











1) Funds were added to lineup in 1Q2020.


Investment Manager Returns and Peer Group Rankings

The table below details the rates of return and peer group rankings for the Fund’s investment managers over various timeperiods ended June 30, 2021. Negative returns are shown in red, positive returns in black. Returns for one year or greaterare annualized. The first set of returns for each asset class represents the composite returns for all the fund’s accounts forthat asset class.

Returns and Rankings for Periods Ended June 30, 2021

Last Last LastLast Last 2 3 5

Quarter Year Years Years Years

Passive Funds

BlackRock S&P 500 Idx Fund 32 60 35 29 318.53% 40.71% 23.01% 18.66% 17.62% S&P 500 Index 32 58 35 29 318.55% 40.79% 23.03% 18.67% 17.65%Callan Large Cap Core MFs 8.00% 41.24% 21.15% 16.86% 15.97%

BlackRock Russell 2500 Idx Fund 48 28 38 49 515.42% 57.58% 22.73% 15.19% 16.31% Russell 2500 Index 48 28 39 48 515.44% 57.79% 22.63% 15.24% 16.35%Callan SMID Broad MFs 5.33% 49.31% 21.58% 15.09% 16.64%

BlackRock MSCI ACW ex US Idx Fund 54 54 55 44 445.33% 35.23% 13.65% 9.41% 10.96% MSCI ACWI ex US 50 53 54 44 435.48% 35.72% 13.67% 9.38% 11.08%Callan Non US Equity MFs 5.50% 36.25% 13.90% 8.62% 10.57%

Fidelity US Bond Idx Fund 67 99 100 89 971.85% (0.53%) 4.13% 5.37% 2.97% Blmbg Aggregate 72 99 100 90 931.83% (0.33%) 4.10% 5.34% 3.03%Callan Core Bond MFs 1.99% 1.19% 4.98% 5.99% 3.61%

Active Equity

J.P. Morgan Equity Income Fund 25 70 48 20 316.24% 40.51% 15.03% 13.92% 13.43% Russell 1000 Value Index 61 45 54 36 635.21% 43.68% 14.45% 12.42% 11.87%Callan Lg Cap Value MF 5.31% 43.17% 14.95% 11.76% 12.52%

MFS Large Cap Growth Fund 90 56 90 69 818.76% 39.34% 24.95% 22.95% 20.98% Russell 1000 Growth Index 42 33 30 28 4111.93% 42.50% 32.54% 25.14% 23.66%Callan Large Cap Grwth MF 11.73% 40.28% 30.50% 24.11% 23.46%

GW&K Small/Mid Cap Equity Fund 52 42 33 39 455.24% 51.86% 24.36% 18.01% 17.42% Russell 2500 Index 48 28 39 48 515.44% 57.79% 22.63% 15.24% 16.35%Callan SMID Broad MFs 5.33% 49.31% 21.58% 15.09% 16.64%

MFS Intl Diversification Fund 56 82 38 345.01% 31.23% 15.52% 11.66% - MSCI ACWI ex US 50 53 54 44 435.48% 35.72% 13.67% 9.38% 11.08%Callan Non US Equity MFs 5.50% 36.25% 13.90% 8.62% 10.57%

Fixed Income

Met West Total Return Fund 94 88 51 50 701.82% 1.36% 5.20% 6.20% 3.72% Blmbg Aggregate 93 100 93 90 981.83% (0.33%) 4.10% 5.34% 3.03%Callan Core Plus MFs 2.19% 3.04% 5.21% 6.20% 4.09%

Stable Value

Invesco Stable Value Fund 29 7 4 1 80.38% 1.85% 2.13% 2.23% 2.09% 3-month Treasury Bill 99 99 99 96 97(0.00%) 0.09% 0.86% 1.34% 1.17%Callan Stable Value CT 0.31% 1.44% 1.72% 1.84% 1.74%



Investment Fund Returns

The table below details the rates of return for the Fund’s investment funds over various time periods. Negative returns areshown in red, positive returns in black. Returns for one year or greater are annualized.

12/2020-6/2021 2020 2019 2018 2017

American Funds TDF 2010 5.52% 9.25% 13.88% (2.49%) 10.41% AF Target Date 2010 Idx 4.22% 11.30% 16.64% (2.84%) 11.73% Callan Target Date 2010 4.26% 10.78% 14.43% (3.43%) 10.20%













Investment Manager Returns and Peer Group Rankings

The table below details the rates of return and peer group rankings for the Fund’s investment managers over various timeperiods. 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.

12/2020-6/2021 2020 2019 2018 2017

Passive FundsBlackRock S&P 500 Idx Fund 15.21% 18.43% 31.43% (4.38%) 21.77% S&P 500 Index 15.25% 18.40% 31.49% (4.38%) 21.83% Callan Large Cap Core MFs 16.18% 14.87% 29.58% (6.11%) 21.29%

BlackRock Russell 2500 Idx Fund 16.90% 20.26% 27.66% (10.14%) 16.75% Russell 2500 Index 16.97% 19.99% 27.77% (10.00%) 16.81% Callan SMID Broad MFs 14.55% 24.00% 29.40% (8.69%) 17.14%

BlackRock MSCI ACW ex US Idx Fund 9.22% 10.76% 21.22% (13.91%) 27.62% MSCI ACWI ex US 9.16% 10.65% 21.51% (14.20%) 27.19% Callan Non US Equity MFs 9.16% 11.12% 22.83% (15.04%) 26.90%

Fidelity US Bond Idx Fund (1.70%) 7.80% 8.48% 0.01% 3.50% Blmbg Aggregate (1.60%) 7.51% 8.72% 0.01% 3.54% Callan Core Bond MFs (1.13%) 8.65% 9.17% (0.35%) 3.71%

Active EquityJ.P. Morgan Equity Income Fund 16.40% 3.88% 26.60% (4.24%) 17.84% Russell 1000 Value Index 17.05% 2.80% 26.54% (8.27%) 13.66% Callan Lg Cap Value MF 16.88% 2.65% 26.01% (8.46%) 16.78%

MFS Large Cap Growth Fund 12.71% 22.84% 40.35% 1.10% 29.13% Russell 1000 Growth Index 12.99% 38.49% 36.39% (1.51%) 30.21% Callan Large Cap Grwth MF 12.75% 37.35% 33.54% (0.86%) 31.46%

GW&K Small/Mid Cap Equity Fund 15.82% 23.41% 31.28% (7.69%) 16.68% Russell 2500 Index 16.97% 19.99% 27.77% (10.00%) 16.81% Callan SMID Broad MFs 14.55% 24.00% 29.40% (8.69%) 17.14%

MFS Intl Diversification Fund 6.94% 15.43% 26.09% (10.92%) - MSCI ACWI ex US 9.16% 10.65% 21.51% (14.20%) 27.19% Callan Non US Equity MFs 9.16% 11.12% 22.83% (15.04%) 26.90%

Fixed IncomeMet West Total Return Fund (1.14%) 9.17% 9.23% 0.29% 3.49% Blmbg Aggregate (1.60%) 7.51% 8.72% 0.01% 3.54% Callan Core Plus MFs (0.65%) 8.94% 9.50% (0.68%) 4.70%

Stable ValueInvesco Stable Value Fund 0.82% 2.19% 2.48% 2.29% 1.83% 3-month Treasury Bill 0.02% 0.67% 2.28% 1.87% 0.86% Callan Stable Value CT 0.63% 1.76% 2.12% 1.79% 1.54%



City of Norwalk DC PlansInvestment Manager Performance Monitoring Summary ReportJune 30, 2021

Last Last 3 5 5 YearQuarter Year Year Year Sharpe Expense

Investment Manager Return Return Return Return Ratio Ratio

Target Date Funds

American Funds TDF 2010Callan Target Date 2010

AF Target Date 2010 Idx

3.3 86

4.2 6

15.4 29

14.3 62

8.7 46

9.8 16

7.5 59

8.3 22

0.9 20

1.0 13

0.30 82



3.7 76

4.3 19

17.2 51

15.9 65

9.4 45

10.3 13

8.1 49

8.8 29

0.9 24

1.0 7

0.30 89



3.9 76

4.5 28

18.0 61

16.7 69

9.8 45

10.4 27

8.9 50

9.3 33

1.0 6

1.0 6

0.31 87



4.3 74

5.0 27

20.7 61

20.1 68

11.1 33

11.2 30

10.4 32

10.4 32

1.0 3

0.9 5

0.33 88



4.9 71

5.5 26

24.9 63

23.9 76

12.2 28

12.1 29

12.0 20

11.7 27

0.9 4

0.9 6

0.35 85



5.8 45

6.2 17

30.4 43

29.3 67

13.9 10

13.1 26

13.8 7

12.9 22

0.9 4

0.8 9

0.37 83



6.4 32

6.7 16

33.7 49

32.3 69

14.7 8

13.8 27

14.6 6

13.5 25

0.9 3

0.8 10

0.38 84



6.5 46

6.8 24

34.5 74

33.0 88

15.0 9

14.1 37

14.9 7

13.7 35

0.9 3

0.8 6

0.39 82



6.6 48

6.8 24

35.0 85

33.8 90

15.2 7

14.3 33

15.1 5

13.9 42

0.9 2

0.8 5

0.39 82



6.7 43

6.8 29

35.1 87

33.8 93

15.2 7

14.3 36

15.1 6

13.9 46

0.9 2

0.8 6

0.39 82

Returns:above medianthird quartilefourth quartile

Sharpe Ratio:above medianthird quartilefourth quartile

23






6.7 41

6.8 30

35.1 89

33.8 94

15.2 10

14.3 40

15.1 6

13.9 59

0.9 3

0.8 8

0.40 79

Passive Funds

BlackRock S&P 500 Idx Fund (i)Callan Large Cap Core MFs

S&P 500 Index

8.5 32

8.5 32

40.7 60

40.8 58

18.7 29

18.7 29

17.6 31

17.6 31

1.0 32

1.0 32

0.03 99

BlackRock Russell 2500 Idx Fund (i)Callan SMID Broad MFs

Russell 2500 Index

5.4 48

5.4 48

57.6 28

57.8 28

15.2 49

15.2 48

16.3 51

16.3 51

0.6 57

0.6 57

0.07 100

BlackRock MSCI ACW ex US Idx Fund (i)Callan Non US Equity MFs

MSCI ACWI ex US

5.3 54

5.5 50

35.2 54

35.7 53

9.4 44

9.4 44

11.0 44

11.1 43

0.5 40

0.6 38

0.11 99

Fidelity US Bond Idx Fund (i)Callan Core Bond MFs

Blmbg Aggregate

1.8 67

1.8 72

-0.5 99

-0.3 99

5.4 89

5.3 90

3.0 97

3.0 93

0.5 96

0.5 90

0.03 98

Active Equity

J.P. Morgan Equity Income FundCallan Lg Cap Value MF

Russell 1000 Value Index

6.2 25

5.2 61

40.5 70

43.7 45

13.9 20

12.4 36

13.4 31

11.9 63

0.7 12

0.6 55

MFS Large Cap Growth FundCallan Large Cap Grwth MF

Russell 1000 Growth Index

8.8 90

11.9 42

39.3 56

42.5 33

23.0 69

25.1 28

21.0 81

23.7 41

1.1 50

1.2 35

0.37 96

GW&K Small/Mid Cap Equity FundCallan SMID Broad MFs

Russell 2500 Index

5.2 52

5.4 48

51.9 42

57.8 28

18.0 39

15.2 48

17.4 45

16.3 51

0.8 36

0.6 57

0.65 95

MFS Intl Diversification FundCallan Non US Equity MFs

MSCI ACWI ex US

5.0 56

5.5 50

31.2 82

35.7 53

11.7 34

9.4 44 11.1 43 0.6 38

0.75 73



24

(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.




Fixed Income

Met West Total Return FundCallan Core Plus MFs

Blmbg Aggregate

1.8 94

1.8 93

1.4 88

-0.3 100

6.2 50

5.3 90

3.7 70

3.0 98

0.7 40

0.5 89

0.38 87

Stable Value

Invesco Stable Value FundCallan Stable Value CT

3-month Treasury Bill

0.4 29

-0.0 99

1.8 7

0.1 99

2.2 1

1.3 96

2.1 8

1.2 97

5.7 24

0.0 97

0.36 60



25a

Ta

rge

t Da

te F

un

ds

Target Date Funds

Capital Research & MgmtTarget Date Glide Path Analysis as of June 30, 2021

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

Equity Rolldown Analysis

% P

ure

Eq

uity

0%

25%

50%

75%

100%

40 30 20 10 0Retirement

-10 -20Years Until Retirement

Callan Glide Path Universe (ALL)

Callan Consensus ALL Glidepath Capital Research & Mgmt

Macro-Level Asset Allocation Glide Path - Capital Research & Mgmt

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%

Years Until Retirement40 30 20 10 0

Retirement-10 -20

% W

eig

ht

Intl Fixed-IncDomestic FixedIntl EquityDomestic Broad Eq

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

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

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



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

Relative Macro Asset Allocation - Capital Research & Mgmt vs. Callan Consensus ALL Glidepa

% R

ela

tive

We

igh

ts

-10%

-5%

0%

5%

10%

15%

40 30 20 10 0Retirement

-10 -20Years Until Retirement

Domestic Broad EqIntl EquityDomestic FixedIntl Fixed-IncReal EstateCash EquivAbsolute Return/GTAA

Micro-Level Asset Allocation Glide Path - Capital Research & Mgmt

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

Sm Cap Dev ex-USEmerging Mkts DebtIntl Fixed-IncTIPSShort Term FixedCore BondHigh YieldEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq

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

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

Natural Resouces EqSm Cap Dev ex-USEmerging Mkts DebtCommoditiesCash EquivOtherIntl Fixed-IncTIPSShort Term FixedCore BondOther-Dom FixedHigh YieldOther-Real EstateEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq



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

Micro-Level Equity Allocation Glide Path - Capital Research & Mgmt

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

Sm Cap Dev ex-USEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq

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

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht Natural Resouces Eq

Sm Cap Dev ex-USCommoditiesReal EstateGlobal REITSDomestic REITEmerging MarketsNon-US DevelopedSmall/Mid Cap BroadLarge Cap Broad Eq

Micro-Level Non-Equity Allocation Glide Path - Capital Research & Mgmt

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

Emerging Mkts DebtIntl Fixed-IncTIPSShort Term FixedCore BondHigh Yield

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

0% 0%

25% 25%

50% 50%

75% 75%

100% 100%


Retirement-10 -20

% W

eig

ht

ST TIPSBank LoansEmerging Mkts DebtInt’l Fixed HedgedAbsolute Return/GTAACash EquivStable ValueIntl Fixed-IncTIPSShort Term FixedCore BondExtended MaturityHigh Yield


Equal-Weighted - Capital Research & MgmtTarget Date Fund Family Analysis as of June 30, 2021

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

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

Fund Family Allocation

Income8.3%

20158.3%

20208.3%

20258.3%

20308.3%

20358.3%2040

8.3%20458.3%

20508.3%

20558.3%

20608.3%

20658.3%

Equity Exposure

58%60%62%64%66%68%70%72%74%76%

(10)

(57)

10th Percentile 73.0525th Percentile 70.42

Median 67.3975th Percentile 64.0090th Percentile 61.09

CapitalResearch & Mgmt 73.07

Callan ConsensusALL Glidepath 66.51

Expense Ratio

0.25%0.30%0.35%0.40%0.45%0.50%0.55%0.60%0.65%0.70%0.75%

Non-PassiveOnly

(63)



CapitalResearch & Mgmt 0.47

Target Date Family Performance vs Peer Families

0%5%

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

Last Quarter Last Year Last 2 Years Last 3 Years Last 5 Years

(64)(55)

(62)(60)

(15)(62)(22)(57) (19)(53)

10th Percentile 6.03 31.37 17.13 13.32 12.6325th Percentile 5.85 29.97 16.46 12.97 12.29

Median 5.62 28.36 15.85 12.52 11.7875th Percentile 5.22 26.99 14.74 11.75 11.2790th Percentile 4.94 26.20 13.20 10.88 10.48

CapitalResearch & Mgmt 5.43 27.62 16.61 13.03 12.43

Callan ConsensusALL Glidepath 5.51 27.70 15.45 12.42 11.73

Target Date Family Glide Path Returns vs Peer Families

0%5%

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

Last Quarter Last Year Last 2 Years Last 3 Years Last 5 Years

(22)(49)

(17)(53)

(1)(43)(4)(35) (8)(44)



CapitalResearch & Mgmt 5.86 29.05 16.64 13.41 12.62

Callan ConsensusALL Glidepath 5.51 27.70 15.45 12.42 11.73

Fund years 2005 and prior are combined into the Income year.


American Funds TDF 2010 (RFTTX)Period Ended June 30, 2021

Investment PhilosophyCapital Group’s Target Date philosophy is distinguished by four key beliefs: 1) They believe that solid research isfundamental to sound investment decisions - their companies employ teams of analysts who regularly gather in-depth,first-hand information on markets and companies around the globe; 2) they believe that an investment decision should notbe made lightly - in addition to providing extensive research, their investment professionals go to great lengths to determinethe difference between the fundamental value of a company and its price in the marketplace; 3) they believe in a long-termapproach - investment professionals typically target a low turnover of portfolio holdings, and they are compensatedaccording to their investment results over time; and 4) they believe in the value of multiple perspectives - the assets ofeach fund or portfolio are divided among a number of portfolio managers.

Quarterly Summary and HighlightsAmerican Funds TDF 2010’s portfolio posted a 3.33% return for the quarter placing it in the 86 percentile of the CallanTarget Date 2010 group for the quarter and in the 29 percentile for the last year.

American Funds TDF 2010’s portfolio underperformed the AF Target Date 2010 Idx by 0.84% for the quarter andoutperformed the AF Target Date 2010 Idx for the year by 1.07%.

Performance vs Callan Target Date 2010 (Net)

0%

5%

10%

15%

20%

25%

Last Quarter Last Last 2 Years Last 3 Years Last 5 Years Last 7 YearsYear

(86)(6)

(29)(62)

(53)(20)

(46)(16)

(59)(22)

(36)(11)



AmericanFunds TDF 2010 3.33 15.38 9.85 8.74 7.53 6.19

AF TargetDate 2010 Idx 4.16 14.32 10.58 9.76 8.34 6.79

Relative Return vs AF Target Date 2010 Idx

Rela

tive

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

2018 2019 2020 2021

American Funds TDF 2010

Callan Target Date 2010 (Net)Annualized Five Year Risk vs Return

5 6 7 8 9 10 114.5%

5.0%

5.5%

6.0%

6.5%

7.0%

7.5%

8.0%

8.5%

9.0%

9.5%



Standard Deviation

Re

turn

s


American Funds TDF 2010Return Analysis Summary

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


(10%)

(5%)

0%

5%

10%

15%

20%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(17)(51)

(80)(27)

(67)(7)

(21)(22)

(46)(14)

(6)(48)

(52)(11)

10th Percentile 6.19 12.14 16.01 (2.18) 12.27 7.13 0.1825th Percentile 5.11 11.42 14.92 (2.97) 11.36 6.48 (0.25)

Median 4.26 10.78 14.43 (3.43) 10.20 5.77 (0.82)75th Percentile 3.85 10.24 13.54 (3.83) 9.41 5.16 (1.40)90th Percentile 3.39 8.31 12.77 (4.31) 8.34 4.86 (1.68)

AmericanFunds TDF 2010 5.52 9.25 13.88 (2.49) 10.41 7.45 (0.84)

AF TargetDate 2010 Idx 4.22 11.30 16.64 (2.84) 11.73 5.82 0.10

Cumulative and Quarterly Relative Return vs AF Target Date 2010 Idx

Re

lative

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

2018 2019 2020 2021

American Funds TDF 2010 Callan Target Date 2010

Risk Adjusted Return Measures vs AF Target Date 2010 IdxRankings Against Callan Target Date 2010 (Net)Three Years Ended June 30, 2021

(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5

Alpha Sharpe Excess ReturnRatio Ratio

(19)

(20)

(38)

10th Percentile (0.36) 0.88 0.1225th Percentile (0.71) 0.83 (0.40)

Median (1.35) 0.76 (0.88)75th Percentile (2.02) 0.70 (1.22)90th Percentile (2.51) 0.65 (1.71)

American Funds TDF 2010 (0.45) 0.86 (0.57)


American Funds TDF 2010Target Date Fund Asset Allocation as of June 30, 2021

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

Macro-Level Asset Allocation

0%

10%

20%

30%

40%

50%

60%

70%

80%

American Funds TDF 2010 - Target

30.2

9.6

56.2

4.0

Callan Tgt Dt Idx 2010

21.9

10.0

1.8

56.6

4.92.1 2.1 0.6

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

Micro-Level Asset Allocation

0%

10%

20%

30%

40%

50%


29.0

1.2

7.4

2.1

6.2

25.4

17.6

7.04.0


17.9

4.07.8

2.1 1.8 3.24.8

33.6

7.1 7.9

2.44.7

2.0 0.6 0.1 0.1

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate High Yield Other-Dom Fixed Core Bond

Short Term Fixed TIPS Intl Fixed-Inc Other Cash Equiv Real Assets Intl Equity Domestic Broad Eq

Macro Asset Allocation Rankings vs. Callan Target Date 2010

% W

eig

ht

(10%)0%

10%20%30%40%50%60%70%80%90%

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

(24)(47)

(61)(54)(26)

(71)(64)

(35)(22) (6) (7) (40)

10th Percentile 31.92 13.68 2.87 71.68 12.09 0.00 0.00 2.4025th Percentile 29.45 13.52 1.76 67.05 4.28 0.00 0.00 0.62

Median 20.28 10.74 0.00 61.00 1.46 0.00 0.00 0.0075th Percentile 18.92 9.30 0.00 52.30 0.00 0.00 0.00 0.0090th Percentile 17.77 7.88 0.00 39.91 0.00 0.00 0.00 0.00

American FundsTDF 2010 - Target 30.23 9.57 - 56.22 3.98 - - -

Callan TgtDt Idx 2010 21.95 10.01 1.75 56.57 4.92 2.10 2.14 0.57


American Funds TDF 2015 (RFJTX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%


(76)(19)

(51)(65)

(47)(28)

(45)(13)

(49)(29)

(32)(14)






Rela

tive

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

2018 2019 2020 2021



6 7 8 9 10 11 125%

6%

7%

8%

9%

10%

11%



Standard Deviation

Re

turn

s





(10%)

(5%)

0%

5%

10%

15%

20%

25%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(19)(69)

(79)(34)

(54)(6)

(15)(30)

(47)(25)

(7)(65)

(31)(10)



AmericanFunds TDF 2015 6.16 9.96 14.94 (2.72) 11.19 7.55 (0.62)

AF TargetDate 2015 Idx 4.76 11.93 17.44 (3.16) 12.32 6.00 0.18


Re

lative

Re

turn

s

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

2018 2019 2020 2021



(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(11)

(13)

(41)

10th Percentile (0.38) 0.85 0.1225th Percentile (0.86) 0.79 (0.27)







0%

10%

20%

30%

40%

50%

60%

70%


33.9

10.9

51.2

4.0


24.1

11.1

1.8

53.5

4.92.0 2.0 0.6



0%

10%

20%

30%

40%

50%


32.7

1.2

8.3

2.56.2

28.4

9.67.0

4.0


19.6

4.4

8.7

2.4 1.8 3.14.7

32.4

5.77.6

2.54.5

1.9 0.6 0.1 0.1




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%


(7)

(58)

(74)(69)(34)

(76)(65)

(31)(22) (9) (5) (41)




Callan TgtDt Idx 2015 24.06 11.13 1.84 53.49 4.85 1.99 2.05 0.58


American Funds TDF 2020 (RRCTX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%


(76)(28)

(61)(69)

(52)(49)(45)(27)

(50)(33)

(34)(25)






Rela

tive

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

2018 2019 2020 2021



5 6 7 8 9 10 11 12 134%

5%

6%

7%

8%

9%

10%

11%

12%



Standard Deviation

Re

turn

s





(10%)

(5%)

0%

5%

10%

15%

20%

25%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(33)(71)

(61)(44)(68)

(16)

(4)(18)

(45)(31)

(29)(57)

(11)(14)



AmericanFunds TDF 2020 6.38 10.99 15.59 (2.69) 12.87 7.05 0.19

AF TargetDate 2020 Idx 5.13 11.89 17.97 (3.43) 13.48 6.40 (0.01)


Re

lative

Re

turn

s

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

2018 2019 2020 2021



(3.5)

(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(7)

(7)

(54)

10th Percentile (0.40) 0.80 0.1925th Percentile (1.12) 0.75 0.01







0%

10%

20%

30%

40%

50%

60%

70%


36.0

10.4

49.7

4.0


27.0

12.7

1.9

49.3

4.51.8 2.2 0.6



0%

10%

20%

30%

40%

50%


34.8

1.2

7.8

2.65.9

27.6

9.17.0

4.0


21.8

5.0

9.9

2.7 1.9 3.0 4.4

30.7

4.46.8

2.24.5

1.7 0.6 0.1 0.1




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%


(14)

(58)

(81)(65)

(34)

(56)(56)

(33)(27) (14) (6) (39)




Callan TgtDt Idx 2020 26.95 12.73 1.92 49.35 4.47 1.81 2.17 0.60


American Funds TDF 2025 (RFDTX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%


(74)(27)

(61)(68)

(30)(48)(33)(30) (32)(32)

(12)(22)






Rela

tive

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2018 2019 2020 2021



6 8 10 12 14 164%

5%

6%

7%

8%

9%

10%

11%

12%

13%



Standard Deviation

Re

turn

s





(10%)

(5%)

0%

5%

10%

15%

20%

25%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(46)(64)

(25)(52)

(68)(13)

(3)(20)

(37)(34)

(38)(52)

(6)(16)

10th Percentile 8.14 14.98 20.30 (3.77) 16.77 8.34 (0.13)25th Percentile 7.39 13.70 19.39 (4.46) 15.89 7.73 (0.41)





Re

lative

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

2018 2019 2020 2021



(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(3)

(4)

(34)



American Funds TDF 2025 0.21 0.79 (0.09)





0%

10%

20%

30%

40%

50%

60%


42.6

15.0

37.7

4.7


32.9

16.1

2.0

41.4

4.01.2 2.0 0.6



0%

10%

20%

30%

40%

50%

60%


41.3

1.4

10.7

4.20.4

24.3

8.05.0 4.7


26.6

6.2

12.4

3.6 2.0 2.7 3.8

27.1

2.94.9

2.04.0

1.1 0.6 0.1 0.1




% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%


(16)

(65)

(79)(66)

(40)

(74)(59)

(29)(32) (9) (5) (30)




Callan TgtDt Idx 2025 32.86 16.08 2.03 41.36 3.98 1.16 1.98 0.55


American Funds TDF 2030 (RFETX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%

35%


(71)(26)

(63)(76)

(25)(51)(28)(29) (20)(27)

(11)(27)






Rela

tive

Re

turn

s

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2018 2019 2020 2021



8 10 12 14 16 186%

7%

8%

9%

10%

11%

12%

13%

14%



Standard Deviation

Re

turn

s





(15%)(10%)

(5%)0%5%

10%15%20%25%30%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(55)(64)

(18)(49)

(59)(18)

(5)(19)

(13)(20)

(44)(46)

(1)(30)






Re

lative

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

2018 2019 2020 2021



(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(5)

(4)

(27)



American Funds TDF 2030 0.20 0.74 0.05





0%

10%

20%

30%

40%

50%

60%

70%


48.9

18.6

27.7

4.8


39.2

19.7

2.1

32.4

3.30.9 1.8 0.6



0%

10%

20%

30%

40%

50%

60%


46.0

2.9

11.9

5.2

0.4

18.3

5.0 4.0 4.71.5 0.1


31.5

7.6

15.0

4.52.1 2.2 3.1

22.4

1.4 3.2 1.6 0.9 2.70.6 0.2 0.7 0.1


Short Term Fixed TIPS Intl Fixed-Inc Cash Equiv Other Real Assets Sm Cap Dev ex-US Emerging Mkts Debt Domestic Broad Eq


% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%


(15)

(60)

(78)(65)

(33)

(80)(55)

(27)(31) (15) (6) (31)




Callan TgtDt Idx 2030 39.23 19.67 2.11 32.36 3.32 0.94 1.77 0.60


American Funds TDF 2035 (RFFTX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%

35%

40%


(45)(17)

(43)(67)

(12)(41)

(10)(26) (7)(22)(1)(18)






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%

2018 2019 2020 2021



8 10 12 14 16 187%

8%

9%

10%

11%

12%

13%

14%

15%



Standard Deviation

Re

turn

s





(15%)(10%)

(5%)0%5%

10%15%20%25%30%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(43)(44)

(8)(69)

(20)(13)

(6)(24)

(5)(16)

(59)(48)

(1)(31)






Re

lative

Re

turn

s

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2018 2019 2020 2021



(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0


(5) (5)(1)

10th Percentile 0.21 0.67 0.3125th Percentile (0.29) 0.64 0.06







0%

10%

20%

30%

40%

50%

60%

70%

80%


57.9

24.4

15.9

1.8


46.0

23.6

2.3

22.8

2.5 0.7 1.6 0.6



0%

10%

20%

30%

40%

50%

60%

70%


53.2

4.6

14.3

7.1

0.4

12.9

0.6 2.0 1.5 3.00.3


36.8

9.1

17.8

5.42.3 1.8 2.1

16.2

0.8 1.8 1.1 0.7 2.3 0.6 0.3 0.6 0.1


Short Term Fixed TIPS Intl Fixed-Inc Cash Equiv Other Real Assets Sm Cap Dev ex-US Emerging Mkts Debt Domestic Broad Eq


% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%


(5)

(46)

(71)(73)

(43)

(85)(54)

(46)(31) (16) (5) (21)




Callan TgtDt Idx 2035 45.99 23.56 2.26 22.81 2.46 0.74 1.57 0.61


American Funds TDF 2040 (RFGTX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%

35%

40%

45%


(32)(16)

(49)(69)

(11)(41)

(8)(27) (6)(25)(1)(27)






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%

2018 2019 2020 2021



12 13 14 15 16 17 18 199%

10%

11%

12%

13%

14%

15%

16%



Standard Deviation

Re

turn

s





(15%)(10%)

(5%)0%5%

10%15%20%25%30%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(62)(52)

(6)(62)

(24)(15)

(5)(20)

(5)(22)

(54)(53)

(1)(31)






Re

lative

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2018 2019 2020 2021



(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(3) (3)(1)

10th Percentile 0.05 0.65 0.3325th Percentile (0.48) 0.62 0.06







0%

10%

20%

30%

40%

50%

60%

70%

80%


61.2

26.0

10.9

1.9


51.2

26.9

2.4

15.4

1.7 0.5 1.2 0.6



0%

10%

20%

30%

40%

50%

60%

70%

80%


56.0

5.2

14.7

7.8

0.4

9.9

0.6 1.5 3.50.4


40.8

10.3

20.1

6.42.4 1.5 2.3

11.2

0.6 0.8 0.5 1.8 0.6 0.4 0.4 0.1


Short Term Fixed Intl Fixed-Inc Cash Equiv Other Real Assets Sm Cap Dev ex-US Emerging Mkts Debt Domestic Broad Eq


% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%


(16)

(44)

(73)(59)

(42)(75)

(53)

(23)(27) (9) (6) (20)




Callan TgtDt Idx 2040 51.16 26.92 2.37 15.45 1.75 0.49 1.22 0.63


American Funds TDF 2045 (RFHTX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%

35%

40%

45%


(46)(24)

(74)(88)

(13)(57)

(9)(37) (7)(35)(1)(34)






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%

2018 2019 2020 2021



13 14 15 16 17 18 1910%

11%

12%

13%

14%

15%

16%



Standard Deviation

Re

turn

s





(15%)(10%)

(5%)0%5%

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

12/20- 6/21 2020 2019 2018 2017 2016 2015

(81)(80)

(6)(64)

(48)(27)

(4)(13)

(7)(38)

(61)(60)

(1)(28)






Re

lative

Re

turn

s

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2018 2019 2020 2021



(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(2) (2) (2)








0%

20%

40%

60%

80%

100%


62.4

26.5

9.4

1.7


54.6

29.4

2.4

10.3

1.1 0.4 1.1 0.6



0%

10%

20%

30%

40%

50%

60%

70%

80%


57.3

5.1

14.9

8.0

0.2

8.9

0.3 1.3 3.50.4


43.5

11.0

21.8

7.12.4 1.1 1.5

7.4

0.4 0.5 0.4 1.4 0.6 0.5 0.2 0.1


Short Term Fixed Intl Fixed-Inc Cash Equiv Other Real Assets Sm Cap Dev ex-US Emerging Mkts Debt Domestic Broad Eq


% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%


(17)(35)

(82)(50)

(43)(52)(38)

(14)(20) (10) (3) (17)




Callan TgtDt Idx 2045 54.63 29.44 2.40 10.32 1.06 0.43 1.08 0.64


American Funds TDF 2050 (RFITX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%

35%

40%

45%


(48)(24)

(85)(90)

(9)(58)

(7)(33) (5)(42)(1)(31)






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%

2018 2019 2020 2021



13 14 15 16 17 18 1911%

12%

13%

14%

15%

16%

17%



Standard Deviation

Re

turn

s





(15%)(10%)

(5%)0%5%

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

12/20- 6/21 2020 2019 2018 2017 2016 2015

(83)(81)

(7)(61)

(41)(26)

(3)(12)

(7)(39)

(57)(51)

(3)(33)






Re

lative

Re

turn

s

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2018 2019 2020 2021



(3.5)

(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(3) (3)(2)








0%

20%

40%

60%

80%

100%


64.4

26.2

7.71.7


56.2

30.6

2.48.0

0.8 0.3 0.6

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


0%

10%

20%

30%

40%

50%

60%

70%

80%


59.3

5.1

14.6

8.1 7.7

1.3 3.50.4


44.7

11.4

22.6

7.52.4 2.3

5.70.4 0.3 0.6 0.2 0.5 0.1 0.1

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Other-Dom Fixed Core Bond Intl Fixed-Inc

Cash Equiv Real Assets Other Sm Cap Dev ex-US Emerging Mkts Debt Domestic Broad Eq


% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%

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

(16)(35)

(81)(49)

(41)(65)(58)

(15)(30) (6) (19)

10th Percentile 65.17 38.26 5.45 15.42 1.92 0.00 4.9025th Percentile 62.00 36.00 4.50 12.00 0.95 0.00 0.00

Median 54.73 29.80 0.42 8.08 0.00 0.00 0.0075th Percentile 51.75 27.36 0.00 5.00 0.00 0.00 0.0090th Percentile 49.15 21.66 0.00 1.88 0.00 0.00 0.00

American FundsTDF 2050 - Target 64.41 26.18 - 7.72 1.68 - -

Callan TgtDt Idx 2050 56.21 30.65 2.41 8.01 0.81 0.30 0.63


American Funds TDF 2055 (RFKTX)Period Ended June 30, 2021





0%

5%

10%

15%

20%

25%

30%

35%

40%

45%


(43)(29)

(87)(93)

(10)(64)

(7)(36) (6)(46)(1)(39)






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%

2018 2019 2020 2021



13 14 15 16 17 18 19 2011%

12%

13%

14%

15%

16%

17%



Standard Deviation

Re

turn

s





(15%)(10%)

(5%)0%5%

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

12/20- 6/21 2020 2019 2018 2017 2016 2015

(82)(82)

(8)(68)

(45)(37)

(3)(10)

(8)(46)

(62)(53)

(1)(31)






Re

lative

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

2018 2019 2020 2021



(3.5)

(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(2) (2)(2)








0%

20%

40%

60%

80%

100%


64.4

26.2

7.71.7


56.8

31.1

2.47.0

0.7 0.3 0.6

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


0%

10%

20%

30%

40%

50%

60%

70%

80%


59.3

5.1

14.6

8.1 7.7

1.3 3.50.4


45.1

11.5

23.0

7.62.4 2.1

4.90.4 0.3 0.6 0.2 0.5 0.1 0.1

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Other-Dom Fixed Core Bond Intl Fixed-Inc

Cash Equiv Real Assets Other Sm Cap Dev ex-US Emerging Mkts Debt Domestic Broad Eq


% W

eig

ht

(10%)

0%

10%

20%

30%

40%

50%

60%

70%

80%

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

(22)(52)

(84)(51)

(48)(57)(59)

(12)(27) (7) (17)



American FundsTDF 2055 - Target 64.41 26.18 - 7.72 1.68 - -

Callan TgtDt Idx 2055 56.75 31.15 2.43 7.05 0.74 0.31 0.63


American Funds TDF 2060 (RFUTX)Period Ended June 30, 2021




0%

5%

10%

15%

20%

25%

30%

35%

40%

45%


(41)(30)

(89)(94)

(11)

(64)

(10)(40)

(6)(59)

(1)(42)






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%

2018 2019 2020 2021



13 14 15 16 17 18 19 208%

9%

10%

11%

12%

13%

14%

15%

16%

17%



Standard Deviation

Re

turn

s





(15%)(10%)

(5%)0%5%

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

12/20- 6/21 2020 2019 2018 2017 2016

(84)(82)

(7)(65)

(53)(43)

(3)(10)

(12)(48)

(63)(62)

10th Percentile 13.27 18.94 26.67 (6.95) 22.64 10.3925th Percentile 12.82 17.59 26.03 (7.69) 21.71 9.16

Median 12.24 15.87 25.08 (8.35) 21.15 8.8075th Percentile 11.52 13.75 24.34 (9.16) 20.30 7.9390th Percentile 10.70 11.56 22.94 (10.05) 19.26 7.40

AmericanFunds TDF 2060 11.12 19.44 25.01 (5.64) 22.49 8.41

AF TargetDate 2060 Idx 11.27 14.96 25.48 (6.95) 21.19 8.52


Re

lative

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

2018 2019 2020 2021



(3.5)

(3.0)

(2.5)

(2.0)

(1.5)

(1.0)

(0.5)

0.0

0.5

1.0

1.5


(4) (4)(2)





Pa

ssiv

e F

un

ds

Passive Funds

BlackRock S&P 500 Idx Fund (WFSPX)Period Ended June 30, 2021

Investment PhilosophyThe Equity Index Strategy was designed to provide the best possible tracking with minimal transaction costs.

Quarterly Summary and HighlightsBlackRock S&P 500 Idx Fund’s portfolio posted a 8.53% return for the quarter placing it in the 32 percentile of theCallan Large Cap Core Mutual Funds group for the quarter and in the 60 percentile for the last year.

BlackRock S&P 500 Idx Fund’s portfolio underperformed the S&P 500 Index by 0.02% for the quarter andunderperformed the S&P 500 Index for the year by 0.08%.

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

0%

10%

20%

30%

40%

50%

60%


(32)(32)

(60)(58)

(35)(35)

(29)(29)(31)(31)

(20)(20)



BlackRock S&P500 Idx Fund 8.53 40.71 23.01 18.66 17.62 14.07

S&P 500 Index 8.55 40.79 23.03 18.67 17.65 14.10

Portfolio Characteristics asa Percentage of the S&P 500 Index

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

Forecast Earnings Growth19.1

18.519.1

Yield1.4

1.21.4

Price/Book4.3

3.94.3

Forecast Price/Earnings21.5

19.821.5

Wght Median Market Cap188.3

151.3192.2

BlackRock S&P 500 Idx Fund Callan Large Cap Core Mutual Funds

S&P 500 Index

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

12 14 16 18 20 22 24 266%

8%

10%

12%

14%

16%

18%

20%

22%

24%

BlackRock S&P 500 Idx Fund

S&P 500 Index

Standard Deviation

Re

turn

s


BlackRock S&P 500 Idx FundReturn Analysis Summary


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

(20%)

(10%)

0%

10%

20%

30%

40%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(68)(68)(35)(35)

(28)(28)

(27)(27)

(44)(43)

(26)(25)

(37)(36)

10th Percentile 20.33 25.07 32.96 (1.82) 27.54 14.10 3.2825th Percentile 17.66 22.34 31.79 (4.21) 23.94 11.98 1.98

Median 16.18 14.87 29.58 (6.11) 21.29 9.86 0.7375th Percentile 14.71 11.31 27.17 (8.71) 19.06 8.34 (1.34)90th Percentile 13.61 6.01 23.12 (12.68) 16.67 2.97 (2.84)

BlackRock S&P500 Idx Fund 15.21 18.43 31.43 (4.38) 21.77 11.92 1.35

S&P 500 Index 15.25 18.40 31.49 (4.38) 21.83 11.96 1.38

Cumulative and Quarterly Relative Return vs S&P 500 Index

Re

lative

Re

turn

s

(7%)

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2018 2019 2020 2021

BlackRock S&P 500 Idx Fund Callan Large Cap Core MFs

Risk Adjusted Return Measures vs S&P 500 IndexRankings Against Callan Large Cap Core Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(8)

(6)

(4)

(2)

0

2

4

6


(36)(36)

(36)

10th Percentile 2.98 0.93 1.0125th Percentile 0.99 0.82 0.32


BlackRock S&P 500 Idx Fund 0.02 0.77 (0.20)


BlackRock Russell 2500 Idx Fund (BSMKX)Period Ended June 30, 2021

Investment PhilosophyOver three decades ago, through predecessor firm Barclays Global Investors (BGI), BlackRock pioneered an investmentphilosophy based on Total Performance Management. While seeking to achieve the benchmark return or better, we believerisks must be understood and adequately compensated, and transaction costs must be considered in all investmentdecisions. This three-pronged philosophy is utilized across all BlackRock’s Index Equity and Fixed Income strategies andhas served our clients well for over thirty years. We systematically analyze index composition, changes and transactioncosts through our Index Research and Trading Research groups and integrate those ideas into our portfolio constructionprocess.

Quarterly Summary and HighlightsBlackRock Russell 2500 Idx Fund’s portfolio posted a 5.42% return for the quarter placing it in the 48 percentile of theCallan Small/MidCap Broad Mutual Funds group for the quarter and in the 28 percentile for the last year.

BlackRock Russell 2500 Idx Fund’s portfolio underperformed the Russell 2500 Index by 0.03% for the quarter andunderperformed the Russell 2500 Index for the year by 0.22%.

Performance vs Callan Small/MidCap Broad Mutual Funds (Institutional Net)

0%

10%

20%

30%

40%

50%

60%

70%

80%

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

(48)(48)

(28)(28)

(38)(39)

(49)(48) (51)(51) (52)(52)



BlackRock Russell2500 Idx Fund 5.42 57.58 22.73 15.19 16.31 15.61

Russell 2500 Index 5.44 57.79 22.63 15.24 16.35 15.57

Portfolio Characteristics asa Percentage of the Russell 2500 Index

0% 50% 100% 150% 200%


18.615.9

Yield1.0

0.51.1

Price/Book2.8

4.12.8

Forecast Price/Earnings25.225.525.3

Wght Median Market Cap6.06.3

6.1

BlackRock Russell 2500 Idx Fund

Callan Small/MidCap Broad Mutual Funds Russell 2500 Index

Callan Small/MidCap Broad Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

16 18 20 22 24 26 28 30 325%

10%

15%

20%

25%

30%

BlackRock Russell 2500 Idx Fund

Russell 2500 Index

Standard Deviation

Re

turn

s


BlackRock Russell 2500 Idx FundReturn Analysis Summary



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

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

12/20- 6/21 2020 2019 2018 2017 2016

(39)(39) (55)(55)(64)(62)

(59)(58)

(51)(51) (33)(34)

10th Percentile 26.32 56.46 39.38 (1.83) 29.31 23.5425th Percentile 21.09 34.19 33.51 (4.95) 26.58 19.48

Median 14.55 24.00 29.40 (8.69) 17.14 13.8075th Percentile 8.31 5.00 25.71 (13.66) 12.47 5.2690th Percentile 6.77 2.71 21.40 (17.62) 9.57 2.79

BlackRock Russell2500 Idx Fund 16.90 20.26 27.66 (10.14) 16.75 17.94

Russell 2500 Index 16.97 19.99 27.77 (10.00) 16.81 17.59

Cumulative and Quarterly Relative Return vs Russell 2500 Index

Re

lative

Re

turn

s

(2%)

0%

2%

4%

6%

8%

10%

2018 2019 2020 2021

BlackRock Russell 2500 Idx Fund Callan SMID Broad MFs

Risk Adjusted Return Measures vs Russell 2500 IndexRankings Against Callan Small/MidCap Broad Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(10)

(5)

0

5

10

15


(55) (55) (62)


Median 1.04 0.46 (0.02)75th Percentile (3.25) 0.29 (0.52)90th Percentile (4.86) 0.23 (0.80)

BlackRock Russell 2500 Idx Fund (0.03) 0.43 (0.26)


BlackRock MSCI ACW ex US Idx Fund (BDOKX)Period Ended June 30, 2021

Investment PhilosophyThe objective of the ACWI ex-US Fund is to track the performance of its benchmark, the MSCI ACWI ex-US Index.BlackRock’s objective in managing the fund is to deliver a high quality and cost-effective index-based portfolio available toinstitutional investors.

Quarterly Summary and HighlightsBlackRock MSCI ACW ex US Idx Fund’s portfolio posted a 5.33% return for the quarter placing it in the 54 percentile ofthe Callan Non US Equity Mutual Funds group for the quarter and in the 54 percentile for the last year.

BlackRock MSCI ACW ex US Idx Fund’s portfolio underperformed the MSCI ACWI ex US by 0.14% for the quarter andunderperformed the MSCI ACWI ex US for the year by 0.49%.

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

0%

10%

20%

30%

40%

50%

60%


(54)(50)

(54)(53)

(55)(54)

(44)(44)(44)(43)

(53)(52)



BlackRock MSCIACW ex US Idx Fund 5.33 35.23 13.65 9.41 10.96 5.26

MSCI ACWI ex US 5.48 35.72 13.67 9.38 11.08 5.33

Portfolio Characteristics asa Percentage of the MSCI ACWI ex US

0% 20% 40% 60% 80% 100% 120% 140% 160%


15.415.7

Yield2.2

2.02.2

Price/Book1.9

2.41.9

Forecast Price/Earnings15.5

17.214.4

Wght Median Market Cap44.8

41.544.1

BlackRock MSCI ACW ex US Idx Fund

Callan Non US Equity Mutual Funds MSCI ACWI ex US

Callan Non US Equity Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

10 15 20 25 300%

5%

10%

15%

20%

25%

30%

MSCI ACWI ex US

BlackRock MSCI ACW ex US Idx Fund

Standard Deviation

Re

turn

s


BlackRock MSCI ACW ex US Idx FundReturn Analysis Summary



(30%)

(20%)

(10%)

0%

10%

20%

30%

40%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(47)(50) (52)(53)

(70)(67)

(27)(33)

(44)(47)

(16)(15)

(93)(93)

10th Percentile 13.99 27.31 29.86 (10.33) 32.71 5.78 4.8925th Percentile 10.56 17.00 28.07 (13.79) 30.00 2.66 2.35

Median 9.16 11.12 22.83 (15.04) 26.90 0.23 0.0275th Percentile 6.83 5.40 20.57 (17.67) 23.95 (2.25) (1.86)90th Percentile 6.37 1.05 15.53 (19.35) 22.13 (5.47) (3.96)

BlackRock MSCIACW ex US Idx Fund 9.22 10.76 21.22 (13.91) 27.62 4.37 (5.83)

MSCI ACWI ex US 9.16 10.65 21.51 (14.20) 27.19 4.50 (5.66)

Cumulative and Quarterly Relative Return vs MSCI ACWI ex US

Re

lative

Re

turn

s

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

2018 2019 2020 2021

BlackRock MSCI ACW ex US Idx Fund Callan Non US Equity MFs

Risk Adjusted Return Measures vs MSCI ACWI ex USRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(8)

(6)

(4)

(2)

0

2

4

6

8


(45) (45) (43)



BlackRock MSCIACW ex US Idx Fund (0.02) 0.35 0.05


Fidelity US Bond Idx Fund (FXNAX)Period Ended June 30, 2021

Investment PhilosophyFidelity utilizes a research-intensive process that applies external market data and benchmark index characteristics asinputs in the construction, evaluation, and monitoring of portfolios.

Quarterly Summary and HighlightsFidelity US Bond Idx Fund’s portfolio posted a 1.85% return for the quarter placing it in the 67 percentile of the CallanCore Bond Mutual Funds group for the quarter and in the 99 percentile for the last year.

Fidelity US Bond Idx Fund’s portfolio outperformed the Blmbg Aggregate by 0.02% for the quarter and underperformedthe Blmbg Aggregate for the year by 0.20%.

Performance vs Callan Core Bond Mutual Funds (Institutional Net)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

7%

8%


(67)(72)

(99)(99)

(100)(100)

(89)(90)

(97)(93)(82)(79)



Fidelity USBond Idx Fund 1.85 (0.53) 4.13 5.37 2.97 3.26

Blmbg Aggregate 1.83 (0.33) 4.10 5.34 3.03 3.28

Relative Return vs Blmbg Aggregate

Rela

tive

Re

turn

s

(0.30%)

(0.20%)

(0.10%)

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

2018 2019 2020 2021

Fidelity US Bond Idx Fund

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

3.0 3.5 4.0 4.5 5.02.8%

3.0%

3.2%

3.4%

3.6%

3.8%

4.0%

4.2%

4.4%

4.6%

4.8%

Fidelity US Bond Idx Fund

Blmbg Aggregate

Standard Deviation

Re

turn

s


Fidelity US Bond Idx FundReturn Analysis Summary


Performance vs Callan Core Bond Mutual Funds (Institutional Net)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(88)(86)

(88)(90)(68)(60)

(28)(28)

(63)(60)(83)(80)

(13)(17)

10th Percentile (0.27) 10.01 9.89 0.20 4.52 4.25 0.7725th Percentile (0.85) 9.47 9.72 0.09 4.28 3.70 0.45

Median (1.13) 8.65 9.17 (0.35) 3.71 3.03 0.1075th Percentile (1.43) 8.21 8.33 (0.49) 3.40 2.71 (0.45)90th Percentile (1.78) 7.49 8.04 (0.73) 3.25 2.31 (1.52)

Fidelity USBond Idx Fund (1.70) 7.80 8.48 0.01 3.50 2.52 0.63

Blmbg Aggregate (1.60) 7.51 8.72 0.01 3.54 2.65 0.55

Cumulative and Quarterly Relative Return vs Blmbg Aggregate

Re

lative

Re

turn

s

(3.0%)

(2.5%)

(2.0%)

(1.5%)

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2018 2019 2020 2021

Fidelity US Bond Idx Fund Callan Core Bond MFs

Risk Adjusted Return Measures vs Blmbg AggregateRankings Against Callan Core Bond Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(0.5)

0.0

0.5

1.0

1.5

2.0

2.5


(98)

(84)

(88)


Median 0.61 1.12 0.3175th Percentile 0.38 1.05 0.1690th Percentile 0.17 1.02 0.00

Fidelity US Bond Idx Fund (0.09) 1.04 0.07


Activ

e E

qu

ity F

un

ds

Active Equity Funds

J.P. Morgan Equity Income Fund (OIEJX)Period Ended June 30, 2021

Investment PhilosophyJP Morgan’s investment philosophy centers on the belief that companies and the management teams demonstrating anability to generate free cash flow on a consistent basis, coupled with superior expertise in capital allocation, will maximizeper share earnings growth over the long term.

Quarterly Summary and HighlightsJ.P. Morgan Equity Income Fund’s portfolio posted a 6.24% return for the quarter placing it in the 25 percentile of theCallan Large Cap Value Mutual Funds group for the quarter and in the 70 percentile for the last year.

J.P. Morgan Equity Income Fund’s portfolio outperformed the Russell 1000 Value Index by 1.03% for the quarter andunderperformed the Russell 1000 Value Index for the year by 3.17%.

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

0%

10%

20%

30%

40%

50%

60%


(25)(61)

(70)

(45)

(48)(54) (20)(36) (31)

(63) (17)(48)



J.P. MorganEquity Income Fund 6.24 40.51 15.03 13.92 13.43 11.00

Russell 1000Value Index 5.21 43.68 14.45 12.42 11.87 9.41

Relative Return vs Russell 1000 Value Index

Rela

tive

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2018 2019 2020 2021

J.P. Morgan Equity Income Fund

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

14 16 18 20 22 24 26 28 306%

8%

10%

12%

14%

16%

18%

20%

22%

24%

J.P. Morgan Equity Income Fund

Russell 1000 Value Index

Standard Deviation

Re

turn

s


J.P. Morgan Equity Income FundReturn Analysis Summary


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

(20%)

(10%)

0%

10%

20%

30%

40%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(61)(49)

(37)(46)

(45)(45)

(9)(48)

(40)(88) (29)(18)

(29)(54)


Median 16.88 2.65 26.01 (8.46) 16.78 14.01 (3.56)75th Percentile 15.20 0.08 22.64 (10.68) 14.57 11.27 (5.43)90th Percentile 13.48 (1.65) 20.46 (13.50) 13.50 9.54 (7.46)

J.P. MorganEquity Income Fund 16.40 3.88 26.60 (4.24) 17.84 15.17 (1.96)

Russell 1000Value Index 17.05 2.80 26.54 (8.27) 13.66 17.34 (3.83)

Cumulative and Quarterly Relative Return vs Russell 1000 Value Index

Re

lative

Re

turn

s

(5%)

0%

5%

10%

2018 2019 2020 2021

J.P. Morgan Equity Income Fund Callan Lg Cap Value MF

Risk Adjusted Return Measures vs Russell 1000 Value IndexRankings Against Callan Large Cap Value Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(5)

(4)

(3)

(2)

(1)

0

1

2

3

4

5


(13)

(11) (20)



J.P. Morgan Equity Income Fund 2.33 0.59 0.43


J.P. Morgan Equity Income 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 Callan Large Cap Value Mutual Fundsas of June 30, 2021

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

(29)

(51)

(15)(17)

(8)

(37)

(59)(59)

(32)

(56)

(45)(49)

10th Percentile 135.07 18.75 3.03 20.48 2.95 (0.58)25th Percentile 122.11 16.70 2.67 18.32 2.28 (0.73)

Median 77.66 15.41 2.50 15.57 1.95 (0.84)75th Percentile 52.54 14.08 2.18 12.59 1.69 (1.03)90th Percentile 39.76 13.14 2.08 11.19 1.51 (1.29)

J.P. MorganEquity Income Fund 109.90 17.52 3.05 14.68 2.17 (0.83)

Russell 1000 Value Index 75.53 17.30 2.57 14.57 1.90 (0.84)

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 AllocationJune 30, 2021

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

Financials

24.320.821.1

Industrials

15.211.8

13.3

Health Care

14.8

50

%M

gr

MV

50

%M

gr

MV

17.414.4

Information Technology

9.810.4

12.7

Consumer Staples

8.87.1

6.2

Consumer Discretionary

8.35.7

8.9

Energy

5.75.15.4

Utilities

4.04.8

3.3

Communication Services

3.68.5

6.6

Materials

3.23.8

4.8

Real Estate

2.34.6

3.3

J.P. Morgan Equity Income Fund Russell 1000 Value Index

Callan Lg Cap Value MF

Sector DiversificationManager 2.71 sectorsIndex 2.99 sectors

DiversificationJune 30, 2021

0

20

40

60

80

100

120

140

160

180

200

Number of IssueSecurities Diversification

(29)

(32)

10th Percentile 169 3625th Percentile 98 28

Median 64 1975th Percentile 47 1690th Percentile 38 13

J.P. MorganEquity Income Fund 90 25

Russell 1000Value Index 842 65

Diversification RatioManager 28%Index 8%Style Median 31%


MFS Large Cap Growth Fund (MIGNX)Period Ended June 30, 2021

Investment PhilosophyMFS Investment Management believes stock prices often over-react to shorter term, temporary events, providingopportunities for longer term investors. Their philosophy also adheres to the tenets that quality is underappreciated by themarket. Compounding free cash flow growth at above average rates is the key driver of increasing intrinsic value, and thatvaluation is a critical element of stock price performance.

Quarterly Summary and HighlightsMFS Large Cap Growth Fund’s portfolio posted a 8.76% return for the quarter placing it in the 90 percentile of theCallan Large Cap Growth Mutual Funds group for the quarter and in the 56 percentile for the last year.

MFS Large Cap Growth Fund’s portfolio underperformed the Russell 1000 Growth Index by 3.18% for the quarter andunderperformed the Russell 1000 Growth Index for the year by 3.16%.

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

0%

10%

20%

30%

40%

50%

60%


(90)

(42)

(56)

(33)

(90)

(30)

(69)(28)

(81)(41)

(77)(27)



MFS LargeCap Growth Fund 8.76 39.34 24.95 22.95 20.98 16.38

Russell 1000Growth Index 11.93 42.50 32.54 25.14 23.66 18.56

Relative Return vs Russell 1000 Growth Index

Rela

tive

Re

turn

s

(10%)

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

2018 2019 2020 2021

MFS Large Cap Growth Fund

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

14 16 18 20 22 24 2610%

15%

20%

25%

30%

35%

MFS Large Cap Growth Fund

Russell 1000 Growth Index

Standard Deviation

Re

turn

s


MFS Large Cap Growth FundReturn Analysis Summary


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

(20%)(10%)

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

12/20- 6/21 2020 2019 2018 2017 2016 2015

(53)(45)(92)

(41) (3)(27)

(30)(67)

(67)(57)

(11)(10)(89)

(56)


Median 12.75 37.35 33.54 (0.86) 31.46 1.20 6.5275th Percentile 11.17 32.57 31.32 (3.17) 27.98 (1.18) 3.5990th Percentile 9.75 27.23 29.41 (4.70) 24.73 (4.43) 0.20

MFS LargeCap Growth Fund 12.71 22.84 40.35 1.10 29.13 6.51 0.32

Russell 1000Growth Index 12.99 38.49 36.39 (1.51) 30.21 7.08 5.67

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%

12%

2018 2019 2020 2021

MFS Large Cap Growth Fund Callan Large Cap Grwth MF

Risk Adjusted Return Measures vs Russell 1000 Growth IndexRankings Against Callan Large Cap Growth Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(5)

(4)

(3)

(2)

(1)

0

1

2

3


(19) (24)

(50)



MFS Large Cap Growth Fund 0.90 0.98 (0.35)


MFS Large Cap Growth FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Large Cap Growth Mutual Fundsas of June 30, 2021

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(76)

(40)

(92)

(72)

(94)

(3)

(98)

(49)

(3)(10)

(97)

(60)



MFS LargeCap Growth Fund 134.17 26.41 6.77 18.58 0.89 0.31

Russell 1000 Growth Index 267.31 30.62 12.75 24.17 0.72 0.83



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


34.444.1

41.5

Health Care

15.8

50

%M

gr

MV

50

%M

gr

MV

9.113.0


12.812.7

13.8


11.918.4

15.5

Financials

8.02.33.1

Consumer Staples

7.03.9

2.6

Industrials

6.06.35.9

Real Estate

2.11.71.6

Materials

1.41.01.4

Utilities

0.6

0.5

Energy 0.31.0

MFS Large Cap Growth Fund Russell 1000 Growth Index

Callan Large Cap Grwth MF



0

50

100

150


(48)

(22)



MFS LargeCap Growth Fund 55 14

Russell 1000Growth Index 499 13



GW&K Small/Mid Cap Equity Fund (CIT)Period Ended June 30, 2021

Investment PhilosophyGW&K believes that a company’s ability to generate long-term sustainable earnings growth will drive enhanced stock priceperformance over time, due to both the higher level of future earnings and the higher valuation placed on these earnings bythe market. Given the tendency of money managers to focus on short-term fundamentals and stock price performance, thissustainability of earnings growth is often overlooked and not properly recognized by the market. The firm believes that thevalue-added is in their fundamental research process aimed at identifying preferred companies, and their disciplinedlong-term research focus that allows them to develop a deep understanding of the companies in which they invest.

Quarterly Summary and HighlightsGW&K Small/Mid Cap Equity Fund’s portfolio posted a 5.24% return for the quarter placing it in the 52 percentile of theCallan Small/MidCap Broad Mutual Funds group for the quarter and in the 42 percentile for the last year.

GW&K Small/Mid Cap Equity Fund’s portfolio underperformed the Russell 2500 Index by 0.20% for the quarter andunderperformed the Russell 2500 Index for the year by 5.93%.


0%

10%

20%

30%

40%

50%

60%

70%

80%


(52)(48)

(42)

(28)

(33)(39)

(39)(48)

(45)(51)(47)(52)



GW&K Small/MidCap Equity Fund 5.24 51.86 24.36 18.01 17.42 12.80

Russell 2500 Index 5.44 57.79 22.63 15.24 16.35 11.74

Relative Return vs Russell 2500 Index

Rela

tive

Re

turn

s

(8%)

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

2018 2019 2020 2021

GW&K Small/Mid Cap Equity Fund

Callan Small/MidCap Broad Mutual Funds (Institutional Net)Annualized Five Year Risk vs Return

16 18 20 22 24 26 28 30 325%

10%

15%

20%

25%

30%

GW&K Small/Mid Cap Equity Fund

Russell 2500 Index

Standard Deviation

Re

turn

s


GW&K Small/Mid Cap Equity FundReturn Analysis Summary



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

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

12/20- 6/21 2020 2019 2018 2017 2016 2015

(43)(39)(51)(55)

(38)(62)

(47)(58)

(51)(51) (42)(34)

(45)(51)



GW&K Small/MidCap Equity Fund 15.82 23.41 31.28 (7.69) 16.68 16.56 (2.32)

Russell 2500 Index 16.97 19.99 27.77 (10.00) 16.81 17.59 (2.90)

Cumulative and Quarterly Relative Return vs Russell 2500 Index

Re

lative

Re

turn

s

(10%)

(5%)

0%

5%

10%

15%

20%

2018 2019 2020 2021

GW&K Small/Mid Cap Equity Fund Callan SMID Broad MFs

Risk Adjusted Return Measures vs Russell 2500 IndexRankings Against Callan Small/MidCap Broad Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(10)

(5)

0

5

10

15


(37)

(30) (25)


Median 1.04 0.46 (0.02)75th Percentile (3.25) 0.29 (0.52)90th Percentile (4.86) 0.23 (0.80)

GW&K Small/Mid Cap Equity Fund 3.79 0.60 0.51


GW&K Small/Mid Cap Equity FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Small/MidCap Broad Mutual Fundsas of June 30, 2021

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(35)

(59)(54)

(50)

(59)(61)

(36)

(72)

(47)

(36)

(53)(58)


Median 6.29 25.53 4.06 18.62 0.48 0.2975th Percentile 5.25 15.96 2.19 15.50 0.27 (0.50)90th Percentile 3.74 14.50 1.89 11.13 0.15 (0.70)

GW&K Small/MidCap Equity Fund 8.09 23.86 3.42 21.53 0.81 0.22

Russell 2500 Index 6.07 25.26 2.79 15.92 1.06 (0.08)



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


18.916.6

25.1

Industrials

16.915.616.0

Health Care

15.9

50

%M

gr

MV

50

%M

gr

MV

15.820.2


13.812.7

14.0

Financials

12.513.8

7.1

Real Estate

7.18.2

2.3

Materials

6.55.2

3.7

Consumer Staples

4.03.13.0

Energy

2.63.5

2.9

Utilities

1.92.4

3.0

Communication Services 3.02.6

GW&K Small/Mid Cap Equity Fund Russell 2500 Index

Callan SMID Broad MFs



0

20

40

60

80

100

120

140

160

180


(43)

(42)



GW&K Small/MidCap Equity Fund 80 28

Russell 2500 Index 2489 368



MFS Intl Diversification Fund (MDIZX)Period Ended June 30, 2021

Investment PhilosophyThe MFS International Diversification Fund is a diversified portfolio of MFS international stock funds. The fund has a targetweighting of 100% international stocks, provides convenient access to five distinct international equity strategies in a singleinvestment, and is systematically rebalanced. The fund’s objective is capital appreciation.

Quarterly Summary and HighlightsMFS Intl Diversification Fund’s portfolio posted a 5.01% return for the quarter placing it in the 56 percentile of the CallanNon US Equity Mutual Funds group for the quarter and in the 82 percentile for the last year.

MFS Intl Diversification Fund’s portfolio underperformed the MSCI ACWI ex US by 0.47% for the quarter andunderperformed the MSCI ACWI ex US for the year by 4.49%.


0%

10%

20%

30%

40%

50%

60%

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

(56)(50)

(82)

(53)

(38)(54)

(34)(44)

(30)

(45)



MFS IntlDiversification Fund 5.01 31.23 15.52 11.66 10.63

MSCI ACWI ex US 5.48 35.72 13.67 9.38 7.75

Relative Return vs MSCI ACWI ex US

Rela

tive

Re

turn

s

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

2018 2019 2020 2021

MFS Intl Diversification Fund

Callan Non US Equity Mutual Funds (Institutional Net)Annualized Three and One-Quarter Year Risk vs Return

10 15 20 25 30 35 400%

5%

10%

15%

20%

25%


MSCI ACWI ex US

Standard Deviation

Re

turn

s


MFS Intl Diversification FundReturn Analysis Summary



(30%)

(20%)

(10%)

0%

10%

20%

30%

40%

12/20- 6/21 2020 2019 2018

(73)(50)(29)

(53)

(31)(67)

(15)(33)

10th Percentile 13.99 27.31 29.86 (10.33)25th Percentile 10.56 17.00 28.07 (13.79)

Median 9.16 11.12 22.83 (15.04)75th Percentile 6.83 5.40 20.57 (17.67)90th Percentile 6.37 1.05 15.53 (19.35)

MFS IntlDiversification Fund 6.94 15.43 26.09 (10.92)

MSCI ACWI ex US 9.16 10.65 21.51 (14.20)

Cumulative and Quarterly Relative Return vs MSCI ACWI ex US

Re

lative

Re

turn

s

(6%)

(4%)

(2%)

0%

2%

4%

6%

8%

10%

12%

14%

2018 2019 2020 2021

MFS Intl Diversification Fund Callan Non US Equity MFs

Risk Adjusted Return Measures vs MSCI ACWI ex USRankings Against Callan Non US Equity Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(8)

(6)

(4)

(2)

0

2

4

6

8


(32)

(27) (22)



MFS Intl Diversification Fund 2.56 0.49 0.64


MFS Intl Diversification FundEquity Characteristics Analysis Summary


Portfolio Characteristics Percentile RankingsRankings Against Callan Non US Equity Mutual Fundsas of June 30, 2021

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%


(72)

(43) (46)

(73)

(46)

(67)

(82)

(48)

(59)

(41)(45)

(53)


Median 41.54 17.15 2.42 15.42 1.98 0.0875th Percentile 31.55 14.17 1.65 13.48 1.35 (0.27)90th Percentile 18.00 12.26 1.28 10.72 1.07 (0.54)

MFS IntlDiversification Fund 32.55 18.38 2.54 12.72 1.80 0.16

MSCI ACWI ex USIndex (USD Net Div) 44.13 14.39 1.89 15.69 2.23 0.01

Sector WeightsThe graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across themembers of the peer group. The magnitude of sector weight differences from the index and the manager’s sectordiversification are also shown. 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%

Financials

15.418.6

16.0

Industrials

15.311.8

16.5


14.812.9

11.4

Consumer Staples

13.5

50

%M

gr

MV

50

%M

gr

MV

8.58.5


11.913.8

14.8

Materials

8.98.3

8.0

Health Care

7.49.3

11.6


6.36.7

5.7

Energy

2.34.5

3.0

Real Estate

2.02.5

2.0

Utilities

2.03.0

2.8

Miscellaneous

0.2


MSCI ACWI ex US Index (USD Net Div)

Callan Non US Equity MFs


Regional AllocationJune 30, 2021

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

Dev Europe/Mid East

48.7

40.1

57.3

Emerging Markets

24.55

0%

Mg

r M

V5

0%

Mgr

MV

31.3

11.3

Pacific Basin

19.9

21.5

21.9

North America

6.9

7.0

9.5


MSCI ACWI ex US Index (USD Net Div)

Callan Non US Equity MFs

Country DiversificationManager 4.56 countriesIndex 5.23 countries


Current Holdings Based Style AnalysisMFS Intl Diversification FundAs of June 30, 2021

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

Style Map vs Callan Non US Equity MFsHoldings as of June 30, 2021

Value Core Growth

Mega

Large

Mid

Small

Micro


MSCI ACWI ex US

Style Exposure MatrixHoldings as of June 30, 2021

8.1% (34) 19.1% (74) 19.0% (78) 46.2% (186)

0.4% (3) 2.3% (14) 4.2% (15) 6.9% (32)

3.6% (45) 7.8% (84) 10.3% (86) 21.6% (215)

4.5% (36) 10.2% (42) 10.6% (47) 25.3% (125)

16.5% (118) 39.4% (214) 44.1% (226) 100.0% (558)

12.3% (149) 13.2% (125) 14.2% (167) 39.7% (441)

1.9% (27) 2.8% (39) 2.4% (29) 7.1% (95)

7.4% (140) 6.3% (133) 8.4% (128) 22.1% (401)

7.1% (484) 10.0% (430) 13.9% (440) 31.1% (1354)

28.8% (800) 32.3% (727) 38.9% (764) 100.0% (2291)

Europe/Mid East

N. America

Pacific

Emerging/FM

Total

Value Core Growth Total

Combined Z-Score Style DistributionHoldings as of June 30, 2021

0%

10%

20%

30%

40%

50%

60%

70%

Value Core Growth

16.5%(118)

28.8%(800)

39.4%(214)

32.3%(727)

44.1%(226)

38.9%(764)

Bar #1=MFS Intl Diversification Fund (Combined Z: 0.16 Growth Z: -0.07 Value Z: -0.23)Bar #2=MSCI ACWI ex US (Combined Z: 0.01 Growth Z: -0.02 Value Z: -0.03)

Europe/Mid East

N. America

Pacific

Emerging/FM

Sector Weights DistributionHoldings as of June 30, 2021

0%

5%

10%

15%

20%

25%

COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

6.7 6.7

12.113.8 14.7

8.5

2.1

4.6

14.8

18.5

7.59.3

16.3

11.8

1.93.0

6.28.3

1.9 2.5

15.8

13.0

0.0 0.1

Bar #1=MFS Intl Diversification FundBar #2=MSCI ACWI ex US

Value

Core

Growth

85City of Norwalk

Fix

ed

Inco

me

Fixed Income

Met West Total Return Fund (MWTSX)Period Ended June 30, 2021

Investment PhilosophyTCW’s fixed income philosophy is predicated upon the following five tenets: (1) Strive to consistently outperform a client’sbenchmark while maintaining below-average volatility. (2) Employ a collaborative, team approach to the management offixed income assets. (3) Apply a long-term value discipline, emphasizing fundamental bottom-up research. (4) Control riskthrough diversification, duration constraints, and quantitative scenario analysis. (5) Utilize five value-enhancing strategiesto provide long-term outperformance and risk controls.

Quarterly Summary and HighlightsMet West Total Return Fund’s portfolio posted a 1.82% return for the quarter placing it in the 94 percentile of the CallanCore Plus Mutual Funds group for the quarter and in the 88 percentile for the last year.

Met West Total Return Fund’s portfolio underperformed the Blmbg Aggregate by 0.01% for the quarter andoutperformed the Blmbg Aggregate for the year by 1.69%.

Performance vs Callan Core Plus Mutual Funds (Institutional Net)

(2%)

(1%)

0%

1%

2%

3%

4%

5%

6%

7%

8%


(94)(93)(88)

(100)

(51)

(93)

(50)

(90)

(70)

(98)

(63)(91)



Met West TotalReturn Fund 1.82 1.36 5.20 6.20 3.72 3.62

Blmbg Aggregate 1.83 (0.33) 4.10 5.34 3.03 3.28

Portfolio Characteristics asa Percentage of the Blmbg Aggregate

0% 50% 100% 150% 200%

Duration

6.0

6.0

6.6

Wtd. Average Life

8.1

7.9

8.5

Effective Yield

1.9

2.3

1.5

Quality

AA

A+

AA+

Met West Total Return Fund Callan Core Plus Mutual Funds

Blmbg Aggregate

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

3 4 5 6 7 8 92.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%

Met West Total Return Fund

Blmbg Aggregate

Standard Deviation

Re

turn

s


Met West Total Return FundReturn Analysis Summary


Performance vs Callan Core Plus Mutual Funds (Institutional Net)

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

0%2%4%6%8%

10%12%14%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(80)(91)

(39)(81)

(69)(81)

(8)(12)

(79)(78)(91)(90)

(36)(14)

10th Percentile 0.37 11.67 11.02 0.17 6.88 8.11 0.7325th Percentile (0.19) 9.52 10.22 (0.29) 5.32 4.68 0.38

Median (0.65) 8.94 9.50 (0.68) 4.70 3.70 0.0275th Percentile (1.13) 7.85 9.00 (1.15) 3.83 3.14 (0.79)90th Percentile (1.50) 6.80 8.18 (2.07) 3.14 2.62 (2.62)

Met West TotalReturn Fund (1.14) 9.17 9.23 0.29 3.49 2.56 0.25

Blmbg Aggregate (1.60) 7.51 8.72 0.01 3.54 2.65 0.55

Cumulative and Quarterly Relative Return vs Blmbg Aggregate

Re

lative

Re

turn

s

(6%)

(5%)

(4%)

(3%)

(2%)

(1%)

0%

1%

2%

3%

4%

2018 2019 2020 2021

Met West Total Return Fund Callan Core Plus MFs

Risk Adjusted Return Measures vs Blmbg AggregateRankings Against Callan Core Plus Mutual Funds (Institutional Net)Three Years Ended June 30, 2021

(0.5)

0.0

0.5

1.0

1.5

2.0

2.5

3.0


(65)

(2)

(2)


Median 1.16 1.08 0.2875th Percentile 0.84 0.97 0.1790th Percentile 0.39 0.63 (0.02)

Met West Total Return Fund 0.98 1.33 0.84


Met West Total Return FundBond Characteristics Analysis Summary


Fixed Income Portfolio CharacteristicsRankings Against Callan Core Plus Fixed Incomeas of June 30, 2021

(2)

0

2

4

6

8

10

12

Average Effective Coupon OADuration Life Yield Rate Convexity

(51)(13)

(36)(24)

(81)(95)(91)(86)

(82)(55)


Median 6.05 7.89 2.15 3.18 0.3175th Percentile 5.49 7.14 1.92 2.91 0.0890th Percentile 4.59 5.90 1.72 2.24 (0.07)

Met West TotalReturn Fund 6.04 8.11 1.87 2.23 0.01

Blmbg Aggregate 6.58 8.53 1.50 2.55 0.28

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.


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

US Trsy

37.017.0

37.0

RMBS

31.0

50%

Mg

r M

V5

0%

Mg

r M

V

15.028.1

Corp (incl 144A)

23.248.7

25.6

Non-Agency RMBS

6.2

ABS

3.76.6

0.5

CMBS

2.06.1

1.8

Bk Ln

1.6

CMOs

0.80.7

Other0.1

Gov Related 4.77.0

Cash

(5.5 )1.2

Met West Total Return Fund Callan Core Plus Fixed Income

Blmbg Aggregate

Quality Ratingsvs Callan Core Plus Fixed Income

BBB+

A-

A

A+

AA-

AA

AA+

AAA

Trsy

Weighted AverageQuality Rating

(8)

(1)

10th Percentile AA-25th Percentile A

Median A75th Percentile A90th Percentile A-

Met West TotalReturn Fund AA

Blmbg Aggregate AA+


Met West Total Return FundPortfolio Characteristics SummaryAs of June 30, 2021

Portfolio Structure ComparisonThe charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatestinfluence on return. The first chart compares the two portfolios across sectors. The second chart compares the durationdistribution. The last chart compares the distribution across quality ratings.

Sector Distribution

(20%)

(10%)

0%

10%

20%

30%

40%

50%

USTrsy

37.0 37.0

RMBS

31.028.1

Corp(incl

144A)

23.225.6

Non-AgencyRMBS

6.2

ABS

3.70.5

CMBS

2.0 1.8

BkLn

1.6

CMOs

0.8

Other

0.1

GovRelated

7.0

Cash

(5.5 )Pe

rce

nt o

f P

ort

folio

Met West Total Return FundBlmbg Aggregate

Duration Distribution

0%

10%

20%

30%

40%

50%

<1

7.9

0.2

1-3

26.922.9

3-5

34.9 35.3

5-7

12.0

19.0

7-10

4.48.2

>10

13.9 14.4

Years Duration

Pe

rce

nt

of

Po

rtfo

lio

Weighted Average: Duration

Met West Total Return Fund:Blmbg Aggregate:

6.046.58

Quality Distribution

0%

20%

40%

60%

80%

100%

AAA

67.071.3

AA

4.1 4.1

A

7.8 10.7

BBB

15.0 13.9

BB

2.8

B

0.7

CCC

1.4

CC

1.0

C

0.1

N/R

0.2

Quality Rating

Pe

rce

nt

of

Po

rtfo

lio

Weighted Average: Quality

Met West Total Return Fund:Blmbg Aggregate:

AAAA+


Sta

ble

Va

lue

Stable Value

Invesco Stable Value Fund (CIT)Period Ended June 30, 2021

Investment PhilosophyInvesco’s "building block" approach for stable value portfolio construction uses a series of commingled fixed incomeportfolios wherever possible to build each stable value portfolio in order to deliver significant portfolio diversification (sector,subsector and individual security diversification), access to external managers with economies of scale, trading efficiencyand minimal cash drag.

Quarterly Summary and HighlightsInvesco Stable Value Fund’s portfolio posted a 0.38% return for the quarter placing it in the 29 percentile of the CallanStable Value CT group for the quarter and in the 7 percentile for the last year.

Invesco Stable Value Fund’s portfolio outperformed the 3-month Treasury Bill by 0.38% for the quarter andoutperformed the 3-month Treasury Bill for the year by 1.75%.

Performance vs Callan Stable Value CT (Institutional Net)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%


(29)

(99)

(7)

(99)

(4)

(99)

(1)

(96)

(8)

(97)

(22)

(100)



Invesco StableValue Fund 0.38 1.85 2.13 2.23 2.09 1.83

3-month Treasury Bill (0.00) 0.09 0.86 1.34 1.17 0.87

Relative Return vs 3-month Treasury Bill

Rela

tive

Re

turn

s

(0.10%)

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

2018 2019 2020 2021

Invesco Stable Value Fund

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

0.00 0.10 0.20 0.30 0.40 0.501.0%

1.2%

1.4%

1.6%

1.8%

2.0%

2.2%

2.4%

Invesco Stable Value Fund

3-month Treasury Bill

Standard Deviation

Re

turn

s


Invesco Stable Value FundReturn Analysis Summary


Performance vs Callan Stable Value CT (Institutional Net)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

12/20- 6/21 2020 2019 2018 2017 2016 2015

(26)

(99)

(4)

(99)

(3)(18) (10)

(47) (18)

(100)

(14)

(98)

(72)

(100)



Invesco StableValue Fund 0.82 2.19 2.48 2.29 1.83 1.70 1.07

3-month Treasury Bill 0.02 0.67 2.28 1.87 0.86 0.33 0.05

Cumulative and Quarterly Relative Return vs 3-month Treasury Bill

Re

lative

Re

turn

s

(1.0%)

(0.5%)

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

2018 2019 2020 2021

Invesco Stable Value Fund Callan Stable Value CT

Risk Adjusted Return Measures vs 3-month Treasury BillRankings Against Callan Stable Value CT (Institutional Net)Three Years Ended June 30, 2021

0

1

2

3

4

5

6

7

8


(1)

(17)

(6)


Median 0.49 3.12 1.1775th Percentile 0.34 2.19 0.8090th Percentile 0.19 1.36 0.44

Invesco Stable Value Fund 0.88 5.59 2.05


Invesco Stable Value FundStable Value Characteristics Analysis Summary

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

Portfolio Characteristics Percentile RankingsRankings Against Callan Stable Value CTas of June 30, 2021

Pe

rce

ntile

Ra

nkin

g

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

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

(33)

(100)

(78)

(100)

(67)

(100)(96)



Invesco StableValue Fund 3.18 102.00 1.43 0.91 - -

3-month Treasury Bill 0.15 - - - 0.00 0.00

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

Portfolio Wrap ExposureJune 30, 2021

Const Dur Synthetic97.09%

Cash2.91%

Wrap Contract DiversificationJune 30, 2021

0

5

10

15

Number ofWrap Providers

(67)



Invesco StableValue Fund 9.0

94City of Norwalk

Re

se

arc

h &

Dis

clo

su

res

Research & Disclosures

Quarterly Highlights

The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs

to enhance the knowledge of industry professionals. Visit www.callan.com/research-library to see all of our publications, and

www.callan.com/blog to view our blog. For more information contact Barb Gerraty at 415-274-3093 / [email protected].

New Research from Callan’s Experts

Research Cafe: Insurance | Callan’s Insurance Focus Leader

Sara Hakim discusses AM Best’s rating methodology and current

research indings with the irm’s associate director Fred Eslami.

They also discuss insurance assets and general insurance themes

in the marketplace.

Webinar: The Fed’s Not Concerned About Inflation. Should You

Be? | Inlation is top of mind and the fear around it sparks the ques-

tion of how to best structure a portfolio to protect it in an inlation-

ary environment. Callan specialists Jay Kloepfer and Jim Van Heuit

share their knowledge about the issue.

A Guide to Implementing a China A-Shares Allocation | Callan’s

Ho Hwang provides a detailed exploration on how institutional in-

vestors can implement an allocation to China A-shares, focusing on

manager search issues and benchmarking.

Research Cafe: Callan Institute’s ESG Interview Series | During

this interview, Tom Shingler of Callan discusses with Carol Jeppesen

from Principles for Responsible Investment its mission, and what it

means to be a PRI signatory for asset owners, asset managers, and

service providers like Callan.

Blog Highlights

Capital Markets Assumptions and the Future | The question

that we often get from clients is, “How have you done in the past

when predicting the future of the capital markets?” This blog post

provides the answer.

A JOLT of Inflation from the Labor Market? | Recent economic

reports have prompted fears that prices in the U.S. are about to take

off. While increasing costs have been widespread, the greatest op-

portunity for sustained price increases lies in the labor market.

When the Passive Index Is an Active Decision | At irst blush,

the two most prominent large cap indices, the S&P 500 and Russell

1000 Indices, do not seem all that different. But it turns out they can

be quite different, and choosing an index series for your passive

manager to track can indeed be an active decision.

Putting Values into Action: A Practical Guide for Institutional

Investors | Many institutional investors are becoming more active

in emphasizing values-oriented investments. This can take sev-

eral forms, but whatever the approach, it requires a deliberate and

thoughtful process for successful implementation.

Quarterly Periodicals

Private Equity Trends, 1Q21 | A high-level summary of private

equity activity in the quarter through all the investment stages

Active vs. Passive Charts, 1Q21 | A comparison of active man-

agers alongside relevant benchmarks over the long term

Market Pulse Flipbook, 1Q21 | A quarterly market reference

guide covering trends in the U.S. economy, developments for in-

stitutional investors, and the latest data on the capital markets

Capital Markets Review, 1Q21 | Analysis and a broad overview

of the economy and public and private market activity each quarter

across a wide range of asset classes

Hedge Fund Quarterly, 1Q21 | Commentary on developments for

hedge funds and multi-asset class (MAC) strategies

Real Assets Reporter, 1Q21 | A summary of market activity for

real assets and private real estate during the quarter

Education

2nd Quarter 2021

https://www.callan.com/blog

https://www.callan.com/research/callan-insurance-rc-2021/

https://www.callan.com/research/2021-inflation-webinar/

https://www.callan.com/research/2021-inflation-webinar/

https://www.callan.com/research/china-a-shares-implementation/

https://www.callan.com/research/callan-esg-rc-2021/

https://www.callan.com/blog-archive/capital-markets-assumptions-actual-returns/

https://www.callan.com/blog-archive/jolts-inflation/

https://www.callan.com/blog-archive/passive-index-decision/

https://www.callan.com/blog-archive/racial-equity/

https://www.callan.com/blog-archive/racial-equity/

https://www.callan.com/research/1q21-private-equity-trends/

https://www.callan.com/research/1st-quarter-2021-active-vs-passive-charts/

https://www.callan.com/research/market-pulse-flipbook-1st-quarter-2021/

https://www.callan.com/research/capital-markets-review-1q21/

https://www.callan.com/research/1q21-hedge-fund-quarterly/

https://www.callan.com/research/1q21-real-assets-reporter/

Events

Miss out on a Callan conference or workshop? Event summa-

ries and speakers’ presentations are available on our website:

callan.com/research-library

Please mark your calendar and look forward to upcoming invitations:

Regional Workshops

November 2, 2021, in Atlanta

November 5, 2021, in San Francisco

For more information about events, please contact Barb

Gerraty: 415-274-3093 / [email protected]

Education

Founded in 1994, the “Callan College” offers educational sessions

for industry professionals involved in the investment decision-mak-

ing process.

Introduction to Investments

August 17-19, 2021 - Virtual

October 6-7, 2021 - Chicago

October 26-28, 2021 - Virtual

This program familiarizes institutional investor trustees and staff

and asset management advisers with basic investment theory,

terminology, and practices. Our virtual session is held over three

days with virtual modules of 2.5-3 hours, while the in-person lasts

one-and-a-half days. This course is designed for individuals with

less than two years of experience with asset-management over-

sight and/or support responsibilities. Virtual tuition is $950 per

person and includes instruction and digital materials. In-person

tuition is $2,350 per person and includes instruction, all materials,

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

Additional information including registration can be found at:

callan.com/events-education

Alternative Investments

October 19-20, 2021 - Virtual

Alternative investments like private equity, hedge funds, and real estate can play a key role in any portfolio. In our “Callan College”

on Alternatives, you will learn about the importance of allocations to

alternatives, and how to consider integrating, evaluating, and moni-

toring them. Two morning “virtual” sessions will cover topics such

as: why invest in alternatives, risk/return characteristics, designing

and implementing a program, and trends and case studies.

Additional information including dates and registration can be

found at: callan.com/events/oct-alts-college/

Unique pieces of research the Institute generates each year50+

Total attendees of the “Callan

College” since 19943,700

Attendees (on average) of the

Institute’s annual National Conference525

Education: By the Numbers

@CallanLLC Callan

“Research is the foundation of all we do at Callan, and sharing our

best thinking with the investment community is our way of helping

to foster dialogue to raise the bar across the industry.”

Greg Allen, CEO and Chief Research Oficer

https://www.callan.com/research-library

https://www.callan.com/events-education/?pagination=1&events-type-of-events=Callan%20College

https://www.callan.com/events/oct-alts-college/

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 ongoing basis.

The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database, or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Please note that if an investment manager receives a product or service on a complimentary basis (e.g., attending an educational event), they are not included in the list below. Callan is committed to ensuring that we do not consider an investment manager’s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan’s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group, and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list.

Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan’s Compliance department.

Quarterly List as of June 30, 2021

June 30, 2021

Manager Name Aberdeen Standard Investments

Acadian Asset Management LLC

Adams Street Partners, LLC

AEGON USA Investment Management Inc.

AEW Capital Management

Alan Biller and Associates

AllianceBernstein

Allianz

American Century Investments

AQR Capital Management

Ares Management LLC

Ariel Investments, LLC

Aristotle Capital Management, LLC

Atlanta Capital Management Co., LLC

Aviva Investors

AXA Investment Managers

Baillie Gifford International, LLC

Baird Advisors

Manager Name Barings LLC

Baron Capital Management, Inc.

Barrow, Hanley, Mewhinney & Strauss, LLC

BlackRock

BMO Global Asset Management

BNP Paribas Asset Management

BNY Mellon Asset Management

Boston Partners

Brandes Investment Partners, L.P.

Brandywine Global Investment Management, LLC

Brown Brothers Harriman & Company

Cambiar Investors, LLC

Capital Group

Carillon Tower Advisers

CastleArk Management, LLC

Causeway Capital Management LLC

Chartwell Investment Partners

ClearBridge Investments, LLC

June 30, 2021 2

Manager Name Cohen & Steers Capital Management, Inc.

Columbia Threadneedle Investments North America

Credit Suisse Asset Management

Crescent Capital Group LP

D.E. Shaw Investment Management, LLC

DePrince, Race & Zollo, Inc.

Dimensional Fund Advisors LP

Doubleline

Duff & Phelps Investment Management Co.

DWS

EARNEST Partners, LLC

Eaton Vance Management

Epoch Investment Partners, Inc.

Fayez Sarofim & Company

Federated Hermes, Inc.

Fidelity Institutional Asset Management

Fiera Capital Corporation

First Hawaiian Bank Wealth Management Division

First Sentier Investors (formerly First State Investments)

Fisher Investments

Franklin Templeton

GAM (USA) Inc.

GCM Grosvenor

GlobeFlex Capital, L.P.

GoldenTree Asset Management, LP

Goldman Sachs

Guggenheim Investments

GW&K Investment Management

Harbor Capital Group Trust

Heitman LLC

Hotchkis & Wiley Capital Management, LLC

Income Research + Management, Inc.

Insight Investment

Intech Investment Management, LLC

Intercontinental Real Estate Corporation

Invesco

Ivy Investments

J.P. Morgan

Janus

Jennison Associates LLC

Manager Name Jobs Peak Advisors

J O Hambro Capital Management Limited

KeyCorp

Lazard Asset Management

LGIM America (formerly Legal & General Inv Mgmt America)

Lincoln National Corporation

Longview Partners

Loomis, Sayles & Company, L.P.

Lord Abbett & Company

LSV Asset Management

MacKay Shields LLC

Manning & Napier Advisors, LLC

Manulife Investment Management

McKinley Capital Management, LLC

Mellon

MetLife Investment Management

MFS Investment Management

MidFirst Bank

Mondrian Investment Partners Limited

Montag & Caldwell, LLC

Morgan Stanley Investment Management

MUFG Union Bank, N.A.

Natixis Investment Managers

Neuberger Berman

Newton Investment Management

Ninety One North America, Inc. (formerly Investec Asset Mgmt.)

North Star Investment Management Corporation

Northern Trust Asset Management

Nuveen

Pacific Investment Management Company

Parametric Portfolio Associates LLC

Partners Group (USA) Inc.

Pathway Capital Management

P/E Investments

Peregrine Capital Management, LLC

PFM Asset Management LLC

PGIM Fixed Income

PineBridge Investments

Polen Capital Management, LLC

Principal Global Investors

June 30, 2021 3

Manager Name Putnam Investments, LLC

QMA LLC

RBC Global Asset Management

Regions Financial Corporation

Richard Bernstein Advisors LLC

Robeco Institutional Asset Management, US Inc.

Rothschild & Co. Asset Management US

S&P Dow Jones Indices

Schroder Investment Management North America Inc.

SLC Management

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

Sprucegrove Investment Management Ltd.

State Street Global Advisors

Stone Harbor Investment Partners L.P.

StoneRidge Investment Partners, LLC

Strategic Global Advisors

T. Rowe Price Associates, Inc.

The TCW Group, Inc.

Manager Name Thompson, Siegel & Walmsley LLC

Thornburg Investment Management, Inc.

Tri-Star Trust Bank

VanEck

Versus Capital Group

Victory Capital Management Inc.

Virtus Investment Partners, Inc.

Vontobel Asset Management

Voya

Washington Capital Management

WCM Investment Management

WEDGE Capital Management

Wellington Management Company LLP

Wells Fargo Asset Management

Western Asset Management Company LLC

Westfield Capital Management Company, LP

William Blair & Company LLC

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