Annual Presentation by Los Angeles Capital - Emerging Markets Equity Manager (May 13, 2015, Regular Retirement Board Meeting)

Item No. 19: Annual Presentation by Los Angeles Capital - Emerging Markets Equity Manager (May 13, 2015, Regular Retirement Board Meeting)

INVESTMENT MANAGER SUMMARY

Firm Name Los Angeles Capital Manager Tenure with Fund 2.5 Years Investment StrategyNehicle Emerging Markets Equity Contract Ex iration N/A

_:.-:-- ·--=-~ -~~- --~=-:-~=- ~~---- =--~ .. ;~ As of03/31/2015 Calendar 1-Year Inception Y-T-0 LA Capital Emerging Markets (gross) 1.95% 3.29% 2.76% LA Capital Emerging Markets (est. net) 1.82% 2.77% 2.15% MSCI Emerging Markets IMI ND 2.42% 0.53% 1.51% Difference (net of fees) -0.60% 2.24% 0.64%

19 LOS ANGELES DEPARTMENT OF WATER & POWER EMPLOYEES’ RETIREMENT PLAN AND RETIREE HEALTH BENEFITS FUND MAY 2015

LACM EMERGING MARKETS FUND L.P. This page has been intentionally left blank TABLE OF CONTENTS

I. Firm Overview

II. Investment Philosophy and Process

III. Market Overview

IV. Performance Review and Attribution

V. Portfolio Characteristics

VI. Appendix

. Holdings

. Biographies

2 This page has been intentionally left blank INTRODUCTION

LOS ANGELES CAPITAL MANAGEMENT

HAL W. REYNOLDS, CFA Chief Investment Officer and Principal

BBA University of Virginia, 1980 MBA University of Pittsburgh, 1982

1989 – 2002 Wilshire Associates 1982 – 1989 Mellon Bank

LAINA DRAEGER, CFA Portfolio Manager and Principal

BA Boston College, 2005 MBA University of San Francisco, 2007

2006 – 2007 First Republic Investment Management

4 FIRM OVERVIEW

LOS ANGELES CAPITAL MANAGEMENT Employee-owned institutional equity boutique

. DYNAMIC – Adaptive, forward looking investment process

. CONSISTENT – Superior performance across market cycles

. STABLE – Investment team built over twenty-seven years

. FOCUSED – Meeting client risk and return objectives

5 | FIRM OVERVIEW |

$19.2 BILLION IN ASSETS UNDER MANAGEMENT $5.4 BILLION IN EMERGING MARKETS STRATEGY March 31, 2015*

MANDATES CLIENT BASE

All Cap CUSTOMIZED MANDATES Small/Mid 10% * Global Cap . 53 Portfolios – 35 Clients 26% 4% . Average mandate > $300 mm

Large Cap 27% DIVERSIFIED BUSINESS Emerging . 75% Plan Sponsors* Markets 28% . 25% Fin’l Inst.– Sub advisory Long/Short & Active Ext* LA Fire & Police 7% Detroit Fire & Police DIVERSIFIED CLIENTS Christian Brothers State of Michigan . 60% U.S. State of Wisconsin . 40% Non-U.S. State of North Dakota LACM Emerging Markets Fund L.P Fund: $1.9b Wilshire DWP Retirement Plan: $227m, 12.0% Principal DWP Health Benefits Fund: $39m, 2.05% Vanguard

6 *Preliminary; Active Extension includes U.S. & EAFE applications; Plan Sponsors include: Public Plans, Corporate, Commingled Funds, Religious, Foundations, Endowments, and Taft Hartley; Clients of Los Angeles Capital or Los Angeles Capital sponsored funds | FIRM OVERVIEW |

FIRM AND INVESTMENT COMMITTEE Stable and Experienced Organization

. 64 employees .100% employee owned by 28 employees . Portfolio Managers average 22 years of experience .Long tenure at firm for senior professionals

NAME TITLE/RESPONSIBILITY YRS EXP EDUCATION PROFESSIONAL EXPERIENCE Thomas D. Stevens, CFA President, CEO, Chairman 39 BBA University of Wisconsin, 1974 Wilshire Associates 1980-2002 Portfolio Management MBA Finance University of Wisconsin, 1976 Nat'l Bank of Detroit 1976-1980 Hal W. Reynolds, CFA Chief Investment Officer 33 BA University of Virginia, 1980 Wilshire Associates 1989-2002 Portfolio Management/Research MBA University of Pittsburgh, 1982 Mellon Bank 1982-1989

Stuart K. Matsuda Director of Trading 28 BBA University of Hawaii, 1986 Wilshire Associates 1987 - 2002

Trading MBA California State University, 1990 Daniel E. Allen, CFA Director of Global Equities 32 BBA Pacific Lutheran University, 1982 Wilshire Associates 1993-2009, 1983-1989 Portfolio Management MBA University of Chicago, 1991 Asset Strategy Consulting 1991-1993 Christine M. Kugler Director of Implementation 22 BA University of California at SB, 1993 Wilshire Associates 1993 - 2002 Trading Dan M. Dement, CFA, CAIA Director 18 BBA Texas State University, 1996 First Quadrant 1999 - 2005 Research MBA USC, 2001 401(k) Investment Srvcs 1998-1999 Edward Rackham, Ph.D. Director of Portfolio Risk 10 MChem Oxford University, 2000 Wilshire Associates 2005-2011 Research Ph.D. (Chem) Oxford University, 2004 Bradford J. Rowe, CFA Director of Factor Research 14 BS NYU, 1999 Site Analytics 1999-2005 Research MBA University of Wisconsin, 2007 Charles Fann, CFA Director 12 BS UCLA, 2002 S1 Corporation 2002-2004 Research Fanesca Young, Ph.D., CFA Director of Statistical Research 10 M. Phil. (Stat.) Columbia University, 2005 Amgen 2005-2007

I N V E S T M E N T T E T C E E I TT S V M M O E M N N I Research Ph.D. (Stat.) Columbia University, 2005 Laina Draeger, CFA * Portfolio Manager 8 BA Boston College, 2005 Portfolio Management MBA University of San Francisco, 2007 Kristin Ceglar, CFA * Portfolio Manager 10 BA Harvard University, 2005 Portfolio Management Daniel Arche, CFA * Portfolio Manager 9 BA USC, 2006 City National Bank 2006-2007 Portfolio Management 7 All Investment Committee members listed above are principals of Los Angeles Capital As of 4/10/2015 | FIRM OVERVIEW |

ORGANIZATIONAL CHART April 2015 64 Employees

8 FIRM OVERVIEW

LOS ANGELES CAPITAL MANAGEMENT KEY CONTACTS

LAINA DRAEGER, CFA LARA L. CLARKE MATTHEW STEVENS Portfolio Manager and Principal Managing Director and Principal Portfolio Management Associate

Phone: (310) 914-3147 Phone: (310) 479-9967 Phone: (310) 477-4986 Email: [email protected] Email: [email protected] Email: [email protected]

THOMAS STEVENS, CFA Chairman & President and Principal (310) 479-9901 [email protected] HAL REYNOLDS, CFA CIO and Principal (310) 479-9847 [email protected] DANIEL ALLEN, CFA Director of Global Equities and Principal (310) 914-5178 [email protected]

For Cash Flow Activities Please Contact [email protected] [email protected]

9 | INVESTMENT PHILOSOPHY AND PROCESS |

INVESTOR PREFERENCE THEORY®

“We believe a stock’s expected return is a function of its risk characteristics and their expected returns in the current market environment.”

Modern Portfolio Theory Arbitrage Pricing Theory Behavioral Finance One Portfolio Maximizes Return Security Prices React to Explains Failure of Theory For any Given Level of Risk Unanticipated Events Investor Preference Theory® 1950 1975 1990 2000 2010 Capital Asset Pricing Model Adaptive Markets Expected Returns Equal Fama French Model Required Returns Beta, Size, and Style Hypothesis

“In contrast to peers, we believe that expected returns are shaped by current conditions, not past performance.”

10 | INVESTMENT PHILOSOPHY AND PROCESS |

INVESTMENT PROCESS OVERVIEW

DYNAMIC ALPHA STOCK SELECTION MODEL® 1 FACTOR Identify valuation, earnings, financial, and market factors that drive equity returns INPUTS Incorporate information from multiple high quality data sources

2 PRICE Apply performance attribution techniques to identify recent factor prices RISK Advanced statistical techniques to estimate expected factor return based on their level and stability

3 DEVELOP Estimate stock level alphas by summing the product of each stock’s risk exposures and their expected returns ALPHAS Develop 6000 alphas weekly, globally

DYNAMIC PORTFOLIO MANAGEMENT 4 CONSTRUCT Develop investment risk estimates, alpha uncertainties, and trading cost assumptions PORTFOLIO Optimize the portfolio to maximize returns subject to client guidelines, penalties for risks and trading execution considerations

5 EXECUTE Compare optimal portfolio to current portfolio to identify trade candidates TRADES Use proprietary trading process to minimize implementation shortfall

11 | INVESTMENT PHILOSOPHY AND PROCESS |

FACTOR INPUTS Los Angeles Capital’s Dynamic Alpha Stock Selection Model®

FACTOR RESEARCH QUALITY DATA . Include factors that market participants value . Extensive list of premier data providers . Add factors when incremental results verified . Proprietary data analysis and quality control

Company Fundamentals

Valuation Earnings Market Financial P/B Analyst Insight Size Leverage Yield Earnings Quality Momentum Distress Earnings Yield 3 Year Momentum Profit Margin Volatility ADR

Market Sectors (# of Companies)

Basic Materials (98) Finance (211) Technology (66) Consumer Discretionary (89) Health Care (30) Telecom (46) Consumer Staples (81) Industrials (112) Utilities (52) Energy (51) Regions/Countries (# of Companies)*

China (141) India (69) Russia (22) Latin America (37) South Korea (103) Brazil (74) South Africa (50) Asia (122) Taiwan (101) Mexico (30) Eastern Europe (29) Middle East/Africa (58)

Asia: Indonesia, Malaysia, Philippines, Thailand Latin America: Chile, Colombia, Peru Eastern Europe: Czech Republic, Hungary, Poland Middle East & Africa: Egypt , Greece, Turkey, UAE, Qatar 12 As of 09/15/2014 | INVESTMENT PHILOSOPHY AND PROCESS |

PORTFOLIO CONSTRUCTION

CLIENT INPUTS LOS ANGELES CAPITAL INPUTS Robust Portfolio Objectives Optimization Security Expectations . Benchmark . Alpha forecasts . Alpha Target Dynamic . Risk exposures . Risk Budget Risk . Risk forecasts . Unique Stock Restrictions Management . Correlations . Constraints:  Sector, Security, Beta

Dynamic Alpha Portfolio

Level of active risk should be proportional to expected return

INVESTMENT GUIDELINES FOR WPERP Performance Objective: 3% Risk Budget: 5% Country: +/-3% versus benchmark Sector: +/-3% versus benchmark Security: +/-1.5% versus benchmark Region: +/-2% versus benchmark Max 350 names No ex-benchmark Approx. 60-85% annual turnover 13 | INVESTMENT PHILOSOPHY AND PROCESS |

TRADING

Los Angeles Capital’s Dynamic Alpha Model®

Axioma Optimizations

Generates Portfolio Trade Lists Parameter Proprietary Algorithms and Pre-Trade TCA Trade List Capture Market Opportunities Verification Aggregate Analysis Liquidity Adjustment

Charles River OMS Order Management Compliance Monitoring

ITG Triton Live P&L ITG Global Analysis Wave Optimizer Triton EMS Intraday Proprietary Live Prices FIX Connectivity Aggregated Block Orders TCA Algorithm to Multiple Trade List Trading Verification Destinations

Post Trade Brokerage and Trade Strategy Review • ITG TCA • Portfolio Review Committee Internal Review

14 15 MARKET OVERVIEW – EMERGING MARKETS

Value has notably EMERGING MARKETS OVERVIEW underperformed Growth over the past year with a return difference of -6.6%

% MSCI EM Value vs Growth Performance 2.00 1.50 1.00 0.50 0.00 (0.50) (1.00) (1.50) (2.00) (2.50) (3.00)

% %

16 * Returns as of 3/31/2015 | MARKET OVERVIEW – EMERGING MARKETS |

EMERGING MARKETS FACTOR ANALYSIS – ALPHA DRIVERS Correlation Between Factors and Expected Returns* Change in Factor Exposures March 31, 2014 – March 31, 2015

Emerging Markets Emerging Markets Inc/Dec Mar-15 Mar-14 Analyst Insight 0.58 0.61  LEGEND Earnings Earnings Quality 0.36 0.37  + Market Cap -0.11 -0.05  1 Year Momentum 0.33 0.16 

3 Year Momentum 0.25 Market Volatility -0.54 0.39  Distress -0.42 -0.26  ADR -0.22 -0.01  Leverage -0.07 -0.11  Financial Net Profit Margin 0.02 0.33  _ Earnings Yield 0.15 0.20  B/P Ratio -0.19 -0.02 

Valuation Current Yield -0.07 0.16 

17 *Depicts a selection of Factors

PERFORMANCE REVIEW EMERGING MARKETS PORTFOLIO

. Portfolio is in compliance with the investment guidelines . Dynamic Alpha Model forecasts alpha for all MSCI EM stocks

. Performance Objective: 3% & Risk Budget: 5% . Transaction cost advantage versus larger funds

. Fee schedule: 65 bps . Low turnover (60-85% per year) . Low correlation versus other managers . Investment in all 23 EM countries (+-3% versus benchmark) . Primary driver of alpha is stock selection through . Broadly diversified by sector (+-3%) and security (+-1.5%) fundamental factors

Retirement Plan Health Benefits Initial Contribution (9/10/2012) $93,767,089.65 $32,626,860.00

Contribution - (10/1/2012) $102,342,121.47 Contribution - (09/30/2013) $13,621,790.54 $2,498,971.00 Total Contributions $115,963,912.01 $2,498,971.00

Withdrawals $ - $ - Total Withdrawals $ - $ -

Change in Market Value $16,811,910.45 $3,630,734.63

Market Value (3/31/2015): $226,542,912.11 $38,756,565.63

18 | PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND |

PERFORMANCE SUMMARY March 31, 2015

Portfolio Gross Portfolio Net DWP MSCI Emerging Markets Index (Net)

3.5% 3.28% 2.76% 3.0% 2.74% 2.31% 2.5% 2.24% 1.95% 1.82% 2.0%

1.5% 1.12% 1.0%

0.43% 0.5% 0.33%

0.0% -0.12% -0.5% -0.39%

-1.0% 1st Qtr. 2015 1 Year 2 Year Since Inception (9/30/2012)* EM Fund EM Fund Composite MSCI EM Index EM Fund Excess (Gross) (Net) (Net) (Net) Return (Net) 1Q15 1.95 1.82 1.49 2.24 -0.42 One Year 3.28 2.76 1.89 0.43 2.33 Two Year 0.33 -0.12 -0.78 -0.39 0.27 Since Inception * 2.74 2.31 1.72 1.12 1.19

19 *Inception Date is 9/7/2012 for partial month; first full month inception date is 9/30/2012

| PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND |

FACTOR BASED ATTRIBUTION: FUNDAMENTALS 3/31/2014 - 3/31/2015 (ANNUALIZED)*

Portfolio Benchmark Net Factor Mgmt Fundamental Factors: Exposure Exposure Exposure Return Cont Valuation Earnings Yield 1.02 0.51 0.50 0.58 0.59 Book To Price 0.21 0.15 0.06 2.42 0.25 Yield 0.46 0.22 0.24 0.47 (0.06) 0.77 Market Three Year Momentum 0.39 0.13 0.26 5.05 1.27 Volatility (0.29) (0.19) (0.10) (2.67) 0.51 Market Cap 1.51 1.43 0.08 1.16 0.12 One Year Momentum 0.36 0.16 0.21 (1.58) (0.64) 1.26 Earnings Analyst Insight 0.38 0.11 0.26 7.92 2.22 Earnings Quality 0.45 0.20 0.25 4.06 1.05 3.27 Financial Leverage 0.02 (0.05) 0.08 (0.52) (0.14) Profitability 0.65 0.46 0.19 (0.53) (0.15) ADR 0.21 0.24 (0.03) (4.66) (0.51) (0.80)

Total 4.51

20 * Attribution versus MSCI EM (Emerg Mkts) using m12eLGN. Linked monthly; USD | PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND |

FACTOR BASED ATTRIBUTION: SECTORS 3/31/2014 - 3/31/2015 (ANNUALIZED)*

Portfolio Benchmark Net Factor Mgmt Sector Factors: (%) (%) (%) Return Cont Health Care 3.34 2.02 1.32 21.12 0.25 Materials 5.56 8.25 (2.69) (7.82) 0.19 Energy 7.66 9.70 (2.04) (14.37) 0.12 Financials 29.29 27.83 1.45 1.74 0.09 Consumer Staples 5.89 8.30 (2.41) (0.77) 0.06 Information Technology 19.23 17.32 1.91 3.17 0.01 Industrials 7.96 6.59 1.38 (2.78) (0.08) Utilities 5.75 3.48 2.27 (0.97) (0.09) Consumer Discretionary 8.70 9.14 (0.44) (1.66) (0.09) Telecom Services 6.61 7.37 (0.76) 3.70 (0.13)

Total 0.35

21 * Attribution versus MSCI EM (Emerg Mkts) using m12eLGN. Linked monthly; USD | PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND |

FACTOR BASED ATTRIBUTION: COUNTRIES 3/31/2014 - 3/31/2015 (ANNUALIZED)*

Portfolio Benchmark Net Factor Mgmt Country Factors: (%) (%) (%) Return Cont Greece 0.28 0.60 (0.32) (52.42) 0.24 Colombia 0.30 0.94 (0.65) (24.56) 0.19 United Arab Emirates 0.04 0.50 (0.46) (25.73) 0.18 China 20.75 19.86 0.89 9.84 0.15 Qatar 0.01 0.56 (0.55) (11.32) 0.09 India 7.48 7.03 0.45 9.70 0.05 Turkey 1.97 1.70 0.27 1.68 0.04 Philippines 1.67 1.14 0.53 6.66 0.03 Thailand 2.23 2.32 (0.09) 2.72 0.03 Hungary 0.07 0.21 (0.14) 6.31 0.02 Russia 4.64 4.45 0.19 3.44 0.02 Malaysia 3.54 3.79 (0.24) (7.97) 0.02 Egypt 0.11 0.23 (0.12) (4.22) 0.01 Indonesia 2.76 2.64 0.12 6.64 0.01 South Korea 14.36 15.16 (0.80) (5.20) 0.01 Czech Republic 0.32 0.23 0.09 4.56 0.00 Ukraine 0.00 0.00 0.00 (8.71) 0.00 Hong Kong 0.00 0.01 (0.01) 0.00 0.00 South Africa 8.04 7.72 0.32 0.73 (0.01) Peru 0.21 0.44 (0.23) 11.85 (0.02) Taiwan 13.13 12.17 0.96 (1.17) (0.03) Brazil 10.81 10.14 0.66 (7.06) (0.04) Poland 2.10 1.64 0.46 (5.40) (0.04) Chile 0.45 1.47 (1.01) 4.41 (0.05) Mexico 4.75 5.08 (0.33) (2.07) (0.09)

Total 0.82

22 * Attribution versus MSCI EM (Emerg Mkts) using m12eLGN. Linked monthly; USD | PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND |

FACTOR BASED ATTRIBUTION: CURRENCIES 3/31/2014 - 3/31/2015 (ANNUALIZED)*

Portfolio Benchmark Net Factor Mgmt Currency Factors: (%) (%) (%) Return Cont Colombia 0.30 0.94 (0.65) (24.23) 0.15 Chile 0.45 1.47 (1.01) (11.66) 0.13 Euro 0.28 0.60 (0.32) (22.08) 0.08 South Korea 14.36 15.16 (0.80) (4.06) 0.05 Hungary 0.07 0.21 (0.14) (20.11) 0.04 Egypt 0.11 0.23 (0.12) (8.68) 0.01 Philippines 1.67 1.14 0.53 0.32 0.01 Thailand 2.23 2.32 (0.09) (0.31) 0.00 Qatar 0.01 0.56 (0.55) (0.03) 0.00 United States 0.58 1.44 (0.86) 0.00 0.00 United Arab Emirates 0.04 0.43 (0.39) 0.00 0.00 Hong Kong 20.73 19.83 0.90 0.05 0.00 India 7.48 7.03 0.45 (4.57) (0.02) Czech Republic 0.32 0.23 0.09 (22.43) (0.02) Indonesia 2.76 2.64 0.12 (13.12) (0.03) Taiwan 13.13 12.17 0.96 (2.68) (0.04) Mexico 4.75 5.08 (0.33) (14.35) (0.04) Turkey 1.97 1.70 0.27 (17.61) (0.05) South Africa 8.04 7.72 0.32 (13.19) (0.05) Malaysia 3.54 3.79 (0.24) (11.83) (0.06) Poland 2.10 1.64 0.46 (20.31) (0.13) Brazil 10.81 10.14 0.66 (29.40) (0.30) Russia 4.29 3.56 0.73 (39.55) (0.52)

Total (0.79)

23 * Attribution versus MSCI EM (Emerg Mkts) using m12eLGN. Linked monthly; USD | PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND | STOCK LEVEL CONTRIBUTION 3/31/2014 - 3/31/2015 (ANNUALIZED)* Base Currency : Dollar($) - United States EM Portfolio MSCI EM Index Average Net MSCI Company Name SEDOL Average Return Contrib Average Return Contrib Weight Contrib COUNTRY Weight (%) Weight (%) Diff. Top 10 TAIWN Pegatron Corporation B4PLX1 0.82 90.37 0.54 0.09 90.37 0.06 0.74 0.49 CHINA China Railway Group Lim B297KM 0.41 124.34 0.41 0.06 124.34 0.06 0.35 0.35 CHINA Bank Of China Ltd B15456 1.92 39.54 0.68 0.99 39.54 0.34 0.94 0.34 BRAZL Petroleo Brasileiro Sa 268453 0.49 (53.65) (0.06) 0.68 (53.65) (0.38) (0.18) 0.32 CHINA China Merchants Bank B1DYPZ 1.00 41.82 0.40 0.23 41.82 0.09 0.77 0.31 INDIA Sun Pharmaceuticals Ind 658248 0.75 70.32 0.42 0.23 70.32 0.13 0.52 0.30 CHINA Bank Of Communications B0B8Z2 0.70 37.96 0.30 0.17 39.40 0.06 0.53 0.24 RUSSI Sberbank Of Russia 476798 0.30 (24.39) (0.11) 0.48 (52.93) (0.34) (0.18) 0.23 PHILI Universal Robina Corp 691951 0.52 61.87 0.26 0.09 61.87 0.04 0.43 0.22 CHINA Guangdong Investment 691316 0.71 40.95 0.24 0.08 40.95 0.03 0.63 0.21

Bottom 10 CHINA China Mobile Ltd 607355 1.85 47.89 0.50 1.77 47.89 0.68 0.08 (0.18) CHINA Great Wall Motor Compan 671825 0.21 (7.73) (0.13) 0.12 46.33 0.06 0.09 (0.19) RUSSI Lukoil Oao B59SNS 1.07 (11.75) (0.28) 0.65 (11.75) (0.09) 0.42 (0.19) BRAZL Cia Energetica Minas Ge B1YBRG 0.38 (24.78) (0.24) 0.12 (24.78) (0.02) 0.26 (0.21) CHINA Ping An Insurance(Group B01FLR 0.02 13.83 0.01 0.49 47.12 0.24 (0.48) (0.23) CHINA Hanergy Thin Film Power BRJ8XY 0.02 1.43 0.00 0.09 480.09 0.24 (0.07) (0.24) SAFR Naspers 662269 0.68 40.24 0.21 1.24 40.24 0.46 (0.57) (0.24) INDIA Housing Development Fin 617190 0.66 44.23 0.25 (0.66) (0.25) CHINA China Life Insurance Co 671897 0.05 8.63 0.03 0.60 57.49 0.31 (0.55) (0.28) BRAZL Cia Brasileira Distr(Pa B5VGS7 0.66 (36.43) (0.43) 0.15 (31.59) (0.05) 0.51 (0.38)

24 | PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND |

PORTFOLIO CHARACTERISTICS March 31, 2015 Portfolio MSCI EM Index 36.0% 32.0% 28.0% 24.0% 20.0% 16.0% 12.0% 8.0% 4.0%

0.0%

Energy

Utilities

Services

Telecom

Staples

Materials

Financials

Consumer

Industrials

Health Care Health Technology

Consumer Information Discretionary 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0%

10.0%

0.0%

Asia

East. Europe East.

Latin America Latin Middle East & Africa & East Middle

5yr. EPS Mkt Cap 1 yr. P/E P/B Yield% Beta Growth% (millions) Momentum Portfolio 12.14 1.56 2.74 0.99 19.69 $45,116 27.02 MSCI EM Index 13.81 1.53 2.40 1.00 15.05 $40,048 20.33 25 | PORTFOLIO AND PERFORMANCE - LACM EMERGING MARKETS FUND |

ACTIVE FACTOR EXPOSURES* March 31, 2015 3/31/2015 12/31/2014 VALUATION MARKET 0.8 0.6 0.4 0.2 0.0 -0.2 -0.4 -0.6 -0.8 Book To Price Earnings Yield Yield Market Cap One Year Three Year Volatility Momentum Momentum

EARNINGS FINANCIAL 0.8 0.6 0.4 0.2 0.0 -0.2 -0.4 -0.6 -0.8 Analyst Insight Earnings Quality Leverage Profitability Distress

26 * Selected fundamental factors normalized, relative to MSCI EM (Emerg Mkts) | PORTFOLIO AND PERFORMANCE – DWP: LACM EMERGING MARKETS FUND |

RISK CHARACTERISTICS AND SECURITY WEIGHTS March 31, 2015 Predicted Excess Risk* Realized Risk 2.0% 3.0% 2.26% 2.24% 1.36% 2.5% 1.5% 2.06% 1.94% 1.02% 2.0% 1.0% 0.66% 0.54% 1.5% 0.5% 0.25% 0.18% 1.0% 0.5% 0.0% 0.0% Realized 1 Yr TE Realized 3 Yr TE Realized 5 Yr TE Realized SI TE

Company Name COUNTRY SECTOR Port Wt BM Wt 1 Samsung Electronics Co KOREA Information Technology 4.28 3.68 2 Taiwan Semiconductor Ma TAIWN Information Technology 3.3 2.93 3 China Mobile Ltd CHINA Telecom 3.01 2.05 4 China Construction Bank CHINA Finance 2.45 1.53 5 Bank Of China Ltd CHINA Finance 2.26 1.18 6 Industrial & Commercial CHINA FInance 2.12 1.39 7 Tencent Holdings Limite CHINA Information Technology 1.94 2.51 8 Samsung Electronics Co KOREA Information Technology 1.45 0.52 9 America Movil Sab De Cv MEXIC Telecom 1.42 0.88 10 Sk Hynix Inc KOREA Information Technology 1.4 0.61

27 * Predicted Risk based on Wilshire GR6 risk model against MSCI EM (Emerg Mkts) APPENDIX

28 Los Angeles Capital Management PORTFOLIO APPRAISAL LACM Emerging Markets Fund L.P. 31-Mar-15

Pct. Quantity Security Assets

457,000 Brf Sa 0.50 6,201,800 Alfa S.A.B. De C.V. 0.70 63,201 Banco De Credito E Inve 0.10 989,700 Vale S.A. 0.30 451,800 Fomento Economico Mexic 0.20 702,600 Vale S.A. 0.20 350,000 Centrais Eletr Bras Sa 0.00 531,900 Centrais Eletr Bras Sa 0.10 822,647 Aguas Andinas S.A. 0.00 717,200 Grupo Televisa Sab 0.30 394,100 Gruma Sab De Cv 0.30 315,400 Promotora Y Operadora D 0.20 504,400 Grupo Carso Sab De Cv 0.10 613,500 Cemex S.A.B. De C.V. 0.00 53,095 Industrias Penoles Sab 0.00 127,640 Gpo Aeroportuario Del S 0.10 214,500 Gerdau Sa 0.00 586,500 Metalurgica Gerdau 0.10 25,891,400 America Movil Sab De Cv 1.40 1,102,600 Petroleo Brasileiro Sa 0.20 1,215,500 Petroleo Brasileiro Sa 0.20 61,673 Sociedad Quimica Y Mine 0.10 261,770 S.A.C.I Falabella 0.10 277,000 Arca Continental Sab De 0.10 143,500 Cia Souza Cruz Ind E Co 0.10 29 Pct. Quantity Security Assets

948,900 Kroton Educacional Sa 0.20 110,200 Weg Sa 0.10 7,853 Komercni Banka 0.10 22,631 Mol Hungarian Oil & Gas 0.10 46,646 Kghm Polska Miedz 0.10 243,675 Cez 0.30 283,305 Polski Koncern Naftowy 0.20 4,650,000 Jiangsu Expressway Co 0.30 1,963,000 Acer Inc 0.10 1,061,440 Asustek Computer Inc 0.60 248,000 Realtek Semiconductor C 0.00 1,882,000 Advanced Semiconductor 0.10 1,117,750 Aboitiz Equity Venture 0.10 4,329,500 China Mobile Ltd 3.00 82,890 Bank Of The Philippine 0.00 208,811 Barloworld 0.10 6,645,800 Digi.Com.Berhad 0.60 6,506,000 Huaneng Power Internati 0.40 836,046 Bharat Petroleum Corp 0.60 306,657 Bidvest Group Ltd 0.40 46,166 Jsw Steel Ltd 0.00 790,000 Vanguard International 0.10 193,138 First Gulf Bank 0.00 1,235,106 Steinhoff International 0.40 12,560 Nestle India 0.10 155,380 Sesa Sterlite Ltd 0.00 548,000 Hengan International 0.30 4,337,500 Alliance Global Group 0.10 1,794 Hyundai Motor Co 0.00 12,348 Samsung Fire & Marine 0.20 130,903 Dongbu Insurance 0.30 30 Pct. Quantity Security Assets

18,660 Ooredoo 0.00 47,503 Coway Co Ltd 0.20 22,519 Kt&G Corporation 0.10 333,000 Catcher Technology 0.20 1,446,800 Chang Hwa Commercial Ba 0.00 9,850,044 China Steel Corp 0.40 302,000 China Motor Co 0.00 534,855 Infosys Ltd 1.00 457,327 Wipro 0.20 11,244,000 Lenovo Group Limited 0.90 27,722 Sk Telecom 0.40 161,209 Commercial Intl Bank(Eg 0.10 86,700 Rhb Capital Bhd 0.00 744,320 Daewoo Securities Co 0.50 1,714,000 Delta Electronic 0.60 1,234,306 Hindustan Unilever Ltd 0.90 9,548 Ncsoft Corpn 0.10 447,688 Gold Fields Ltd 0.10 5,141,000 Chunghwa Telecom 0.90 10,669,000 Au Optronics Corporatio 0.30 278,000 China Petroleum & Chemi 0.00 998,188 Hcl Technologies 0.80 234,636 Dabur India Ltd 0.10 18,196 Hero Motocorp Ltd 0.00 1,215,892 Berjaya Sports Toto Ber 0.10 844,000 Novatek Microelectronic 0.20 26,093 Lg Chemical 0.20 87,624 Shinhan Financial Group 0.20 97,869 Hyundai Merchant Marine 0.00 52,577 S-Oil Corp 0.20 45,065 Samsung Securities Co 0.10 31 Pct. Quantity Security Assets

67,907 Dr Reddys Laboratories 0.20 10,656,080 Fubon Financial Hldg Co 1.00 1,437,000 Hua Nan Financial Holdi 0.00 132,900 Ptt Public Company 0.10 6,384,725 Yuanta Financial Holdin 0.20 4,637,456 Cathay Financial Hldg C 0.40 1,583,500 Ytl Corp 0.00 89,500 Hong Leong Financi 0.00 6,460,160 Hon Hai Precision Indus 1.00 352,214 Bharti Airtel Ltd 0.10 11,492,000 Mega Financial Holding 0.50 9,592 Hyundai Heavy Industrie 0.10 21,682 Hyundai Mobis 0.30 638,554 Sk Hynix Inc 1.40 36,113 Hyundai Engineering&Con 0.10 2,747 Hyundai Motor Co 0.00 43,647 Hyundai Motor Co 0.40 4,642,000 Shin Kong Financial Hld 0.10 1,378,400 Ijm Corp Berhad 0.10 80,620 International Container 0.00 170,441 Hyundai Steel Company 0.60 205,260 Jollibee Foods Corp 0.10 219,810 Kia Motors Corp 0.50 9,159,600 Krung Thai Bank Public 0.30 512 Korea Zinc 0.00 260,058 Korea Electric Power Co 0.60 218,650 Hanwha Corporation 0.40 1,305,900 Metropolitan Bank & Tru 0.20 548,242 Liberty Hldgs 0.40 1,036,901 Lite-On Technology Corp 0.10 18,689,713 Sinopac Financial Hldgs 0.40 32 Pct. Quantity Security Assets

14,303,290 Ctbc Financial Holdings 0.50 263,500 Byd Co 0.10 889,700 Misc Berhad 0.10 6,664 Naver Corp 0.20 506,722 Mtn Group Ltd 0.50 405,056 Anglogold Ashanti Ltd 0.20 7,663,867 First Financial Holding 0.20 988,028 Sun Pharmaceuticals Ind 0.90 148,750 Merida Industry 0.10 3,149,494 Firstrand Limited 0.80 81,042 Naspers 0.70 61,393 Nedbank Group Limited 0.10 8,013,800 Bank Mandiri(Persero) 0.40 7,292 Industries Of Qatar 0.00 260,208 Kangwon Land Inc 0.40 3,490,160 Pou Chen 0.30 209,555 Aurobindo Pharma 0.20 274,400 Petronas Gas Berhad 0.10 665,000 President Chain Store C 0.30 2,388,000 Picc Property & Casualt 0.20 14,562,000 Bank Rakyat Indonesia 0.80 1,678,000 China Life Insurance Co 0.40 8,336,000 Zijin Mining Group Co.L 0.10 11,561,200 Pt Bank Negara Indonesi 0.30 910,700 Airports Of Thailand Pu 0.40 404,000 Weichai Power Co 0.10 394,700 British American Tobacc 0.40 72,907 Samsung C&T Corporation 0.20 61,753 Samsung Electronics Co 4.20 27,304 Samsung Electronics Co 1.40 250,286 Sasol 0.50 33 Pct. Quantity Security Assets

6,286,000 Sinopec Shanghai Petroc 0.10 158,568 Shoprite Holdings 0.10 2,365,000 Foxconn Tech Co 0.30 1,209,000 Siliconware Precision I 0.10 486,000 Shanghai Industrial Hld 0.10 338,796 Mr.Price Group 0.40 2,901,800 Telekom Malaysia Berhad 0.30 781,000 Synnex Technology Inter 0.10 2,391,000 Taiwan Cement 0.20 218,800 Kasikornbank Public Com 0.10 13,297,000 Taiwan Semiconductor Ma 3.30 1,902,500 Siam Commercial Bank 0.60 4,722,000 Tenaga Nasional Berhad 1.00 479,000 U-Ming Marine Transport 0.00 8,874,000 Guangdong Investment 0.60 2,259,770 Universal Robina Corp 0.60 10,870 Yuhan Corp 0.10 6,804,000 Zhejiang Expressway Co 0.50 13,975 Bank Zachodni Wbk 0.10 38,961 Jumbo Sa 0.00 242,320 Otp Bank Plc 0.20 250,000 Mobile Telesystems O 0.10 1,756,140 Banco Bradesco Sa 0.90 189,600 Banco Bradesco Sa 0.10 4,197,000 Cnooc Limited 0.30 48,878 Halla Visteon Climate C 0.10 3,492,000 Sino Biophamaceutical 0.20 2,031,900 Public Bank Berhad 0.50 3,526,400 Bank Central Asia 0.20 199,500 Ping An Insurance(Group 0.10 144,455 Hyundai Marine & Fire I 0.20 34 Pct. Quantity Security Assets

185,862 Tata Consultancy Servic 0.40 132,260 Lg Display Co Ltd 0.20 612,000 Beijing Enterprises Wat 0.00 11,919,000 Gome Electrical Applian 0.10 937,996 Standard Bank Group Lim 0.70 112,873 Ntpc Ltd 0.00 1,612,451 Itau Unibanco Holdings 0.90 38,369 Spar Group Limited 0.00 743,518 Enka Insaat 0.10 5,359,558 Eregli Demir Celik 0.40 186,596 Tofas(Turk Otomobil Fab 0.10 2,310,747 Turk Hava Yollari 0.40 154,400 Porto Seguro Sa 0.10 799,600 Zte Corporation 0.10 264,000 Fibria Celulose Sa 0.20 210,057 Sistema Jsfc 0.10 156,595 Sm Investments Corporat 0.20 890,887 Woolworths Hldgs 0.30 173,581 Imperial Holdings 0.10 661,500 China Shenhua Energy Co 0.10 689,137 Ambuja Cements Ltd 0.10 15,614,000 Innolux Corporation 0.40 152,300 Lojas Renner Sa 0.20 151,945 Tiger Brands 0.20 604,525 Itc 0.20 3,657,400 Sanlam 1.30 55,248,000 China Construction Bank 2.40 409,000 Shenzhou International 0.10 405,007 Mediclinic Internationa 0.20 15,642 Hana Financial Group In 0.00 13,932 Hyundai Glovis Co Ltd 0.20 35 Pct. Quantity Security Assets

240,600 Gpo Aeroportuario Del P 0.10 59,967 Samsung Life Insurance 0.30 73,429,000 Bank Of China Ltd 2.20 509 Amorepacific Corp(New) 0.10 419,200 Embraer Sa 0.20 797,866 Investec Limited 0.30 614,300 Cesp-Companhia Energeti 0.20 9,010,500 China Merchants Bank 1.20 53,950,000 Industrial & Commercial 2.10 972,054 Cairn India 0.20 58,733 Kumba Iron Ore Ltd 0.00 362,500 Odontoprev Sa 0.10 2,272,000 China Communications Co 0.20 224,000 Zhuzhou Csr Times Elect 0.10 202,807 Tav Havalimanlari Holdi 0.10 1,065,100 Jbs Sa 0.30 14,756,000 China Citic Bank Corpor 0.60 951,492 Cia Energetica Minas Ge 0.20 133,300 Cia Saneamento Basico D 0.00 1,175,000 Anta Sports Products 0.10 3,194,500 Fosun International 0.30 5,078,000 Aboitiz Power Corporati 0.30 2,848,949 Ecopetrol Sa 0.10 3,443 Cj Cheiljedang 0.10 3,926,000 Soho China Limited 0.10 1,514,800 Jasa Marga(Indonesia Hi 0.00 12,853,000 China Railway Group Lim 0.70 2,349,400 Axiata Group Bhd 0.20 1,243,000 Csr Corp Limited 0.10 136,990 Turk Telekomunikasyon A 0.00 21,722 Grupa Azoty Sa 0.00 36 Pct. Quantity Security Assets

68,583 Kb Financial Group Inc 0.10 2,939,800 Ohl Mexico Sab De Cv 0.30 216,052 Bnk Financial Group Inc 0.20 1,532,400 Sinopharm Group Co. Ltd 0.30 1,294,277 Life Healthcare Group H 0.20 1,309,500 Indofood Cbp Sukses Mak 0.10 210,100 Qualicorp Sa 0.10 6,757,000 Pegatron Corporation 1.00 973,992 Mmi Holdings Limited 0.10 10,764,000 Chongqing Rural Commerc 0.40 399,000 Banco Santander(Brazil) 0.10 1,461,942 Pge Polska Grupa Energe 0.40 468,600 Cetip Sa - Mercados Org 0.20 153,800 New China Life Insuranc 0.00 8,308,600 China Minsheng Banking 0.50 1,743,783 Tatneft 0.50 6,054,748 Gazprom 0.80 295,040 Uralkali Public Joint S 0.00 345,848 Lukoil Oao 0.90 518,340 Rosneft Ojsc 0.10 5,247 Jsc Mmc Norilsk Nickel 0.00 640,380 Severstal Public Joint 0.40 12,775,468 Surgutneftegaz 0.40 6,688,100 Surgutneftegaz 0.30 8,230,000 China Everbright Bank C 0.20 2,538,598 Tauron Polska Energia S 0.20 170,000 Tpk Holding Co Ltd 0.10 464,700 Cia Brasileira Distr(Pa 0.70 4,046,970 Bdo Unibank Inc 0.60 43,919,000 Agricultural Bank Of Ch 1.10 2,249,006 Tata Motors Limited 1.00 37 Pct. Quantity Security Assets

737,660 Cielo Sa 0.60 107,046 Powszechny Zaklad Ubezp 0.70 314,414 Vodacom Group Limited 0.20 29,429 Ff Group 0.00 2,877,600 Alrosa Zao 0.20 1,156,500 Central Pattana Public 0.10 15,827,900 Kalbe Farma 0.10 186,000 Ihh Healthcare Bhd 0.00 443,632 Barclays Africa Gr 0.40 85,449 Megafon-Reg S GDR 0.10 12,711,000 People''s Insurance Co 0.30 497,500 Shanghai Fosun Pharmace 0.10 823,150 Moscow Exchange Micex-R 0.10 416,498 Asian Paints Ltd 0.30 57,656,300 Telekomunikasi Indonesi 0.70 2,617,100 Ambev Sa 0.80 1,106,900 Gentera Sab De Cv 0.10 6,047,100 Bangkok Dusit Medical S 0.20 1,920,500 Tencent Holdings Limite 1.90 3,358,280 Redefine Properties Ltd 0.20 1,067,500 China Cnr Corp Ltd 0.10 891,333 State Bank Of India 0.20 775,700 Icici Bank Limited 0.20 435,200 Thai Union Frozen Produ 0.00 5,894,700 Wal-Mart De Mexico Sab 0.80 87,248 Tech Mahindra 0.00 112,873 NTPC LTD Bond 0.00

38 | BIO |

THOMAS D. STEVENS, CFA Chairman and Principal

BBA University of Wisconsin, 1974 MBA University of Wisconsin, 1976

1986 – 2002 Wilshire Asset Management 1980 – 1986 Wilshire Associates 1976 – 1980 National Bank of Detroit

As Los Angeles Capital’s Chairman and President, Mr. Stevens is responsible for setting the firm’s strategic goals and developing the firm’s research, portfolio management, trading, administrative, and client service resources. Mr. Stevens is a senior member of the Portfolio Management team and a member of the firm’s Investment Committee. Mr. Stevens also plays a lead role in developing and maintaining client relationships. Prior to co-founding Los Angeles Capital, Mr. Stevens was a senior managing director and principal at Wilshire Associates. He joined Wilshire in 1980 and for six years directed its Equity division, overseeing the delivery of the Equity and Index Fund Management Service and working on a retainer basis with over 120 investment organizations. In 1986, he assumed responsibility for Wilshire Asset Management and for the next 16 years headed that division.

Prior to joining Wilshire, Mr. Stevens worked for the National Bank of Detroit as a portfolio manager and was primarily responsible for major pension fund client relationships.

Mr. Stevens serves on the Board of Directors for the Los Angeles Capital Global Funds plc and is also on the Board for Special Olympics.

39 | BIO |

HAL W. REYNOLDS, CFA Chief Investment Officer and Principal

BA University of Virginia, 1980 MBA University of Pittsburgh, 1982

1998 – 2002 Wilshire Asset Management 1989 – 1998 Wilshire Associates 1982 – 1989 Mellon Bank

As Chief Investment Officer and Chairman of Los Angeles Capital’s Investment Committee, Mr. Reynolds oversees the firm’s investment process. He works closely with Research to enhance all elements of the stock selection, portfolio construction, and trading processes. Prior to co-founding Los Angeles Capital, Mr. Reynolds was a managing director and principal at Wilshire Associates. Mr. Reynolds joined the consulting division of Wilshire Associates in 1989 where he served as a senior consultant to large ERISA plans. He also designed Wilshire Compass, Wilshire’s asset allocation and manager optimization technology for plan sponsors. In 1996, Mr. Reynolds began consulting for Wilshire Asset Management where he helped develop the Dynamic Alpha Model , which developed into Los Angeles Capital’s Dynamic Alpha Stock Selection Model℠, and other quantitative long/short applications for Wilshire Asset Management. In 1998, he joined Wilshire Asset Management as Chief Investment Officer.

Prior to joining Wilshire, Mr. Reynolds was a vice president at Mellon Bank where he was responsible for the design and management of Mellon’s portfolio analysis product for plan sponsors.

40 | BIO |

DANIEL E. ALLEN, CFA Director of Global Equities and Principal

BBA Pacific Lutheran University, 1982 MBA University of Chicago Booth School of Business, 1991

1993 – 2009 Wilshire Associates 1991 – 1993 Asset Strategy Consulting 1983 – 1989 Wilshire Associates

As Director of Global Equities, Mr. Allen is responsible for developing global equity applications for clients and is a senior member of the Portfolio Management team and a member of the firm’s Investment Committee. Mr. Allen works with clients on managing their portfolios and assisting in setting the strategic direction for the firm. He also serves on the Board of Directors of Los Angeles Capital Global Funds plc.

Prior to joining Los Angeles Capital, Mr. Allen was a senior managing director and board member of Wilshire Associates. For more than twenty years, Mr. Allen held senior positions at Wilshire. Mr. Allen began in the Equity Management division and worked with several members of the Los Angeles Capital team. Mr. Allen assisted 100+ institutional money managers in applying risk models, performance attribution, and portfolio optimization techniques to their equity portfolios. Mr. Allen returned to Wilshire’s Consulting division to advise international investors and to head the firm’s international manager research. In 1998, Mr. Allen moved to Europe and spent the next decade leading Wilshire’s Private Markets group’s asset management activities in the region. In this capacity, he was responsible for sourcing and evaluating private equity opportunities while serving on the Global Investment Committee. Mr. Allen returned to Los Angeles in 2008 as a Management Committee member of the Private Markets group. Mr. Allen joined Los Angeles Capital in 2009.

41 BIO

LAINA DRAEGER Portfolio Manager and Principal

BA Boston College, 2005 MBA University of San Francisco, 2007

2006 – 2007 First Republic Investment Management

As Portfolio Manager, Mrs. Draeger is a senior member of the Portfolio Management team and a member of the firm’s Investment Committee. She is responsible for managing a set of accounts in accordance with Los Angeles Capital’s investment process and ensures that portfolios reflect factor/alpha forecasts and comply with all guidelines. She also recommends changes in process or portfolio parameters that will enhance return or better control risk. Mrs. Draeger is a co-chair of the Portfolio Review Committee, which meets monthly to review portfolio performance and compliance with guidelines. She also has direct client contact with assigned portfolio relationships.

After interning during the summer of 2006 and the completion of her MBA, Mrs. Draeger joined the firm as a full time member of the Portfolio Management team. Prior to joining Los Angeles Capital, Mrs. Draeger worked as a Research Assistant in the Investment Management Division of First Republic Bank.

42 | BIO |

LARA L. CLARKE Managing Director and Principal

BS Pennsylvania State University, 1999 MBA UCLA Anderson School of Management, 2012

2006 – 2008 StarMine Corporation 2005 – 2006 Tiburon Research Group 1999 – 2004 Thomson Financial

Ms. Clarke is a director of marketing and business development responsible for relationship management in the Western, Southern, and Midwest regions of the United States. She is responsible for business development with institutional investors including public and corporate pension plans, foundations, and endowments, as well as investment consultants.

Prior to joining Los Angeles Capital, Ms. Clarke was in sales and account management for StarMine Corporation, a quantitative equity analytics company. She was responsible for developing and growing the business to the investment management community on the West Coast. While at Thomson Financial (Baseline), Ms. Clarke was an account executive focusing on equity analytics and portfolio analysis for clients in NYC, Boston, and Europe.