Q3 2018 Quarterly Investment Review

City of Brockton Retirement System Quarterly Investment Review

This material represents performance related to City of Brockton Retirement System’s account with SEI and should not be deemed an offer to sell or a solicitation of an offer to buy shares of any SEI Fund named.

September 26, 2018

FOR INSTITUTIONAL INVESTOR FORUSE ONLY.INSTITUTIONAL NOT FOR INVESTOR PUBLIC DISTRIBUTION. USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 2 SEI’s research and perspectives

Research SEI Research Quarterly Market Commentary: Markets Cool Down The economic fundamentals that drive the stock market still appear solid. Read our full 2017 Poll: Multiemployer Pension Plans commentary.

The Market Plot Takes a New Twist We recently released our second-quarter Economic Outlook.

Commentary: Trade Tensions Escalate from Skirmish to War Chief Market Strategist Jim Solloway gives his view on the tariff tensions as heightened acceleration in the trade clash between the U.S. and its trading partners has investor concerns of an all-out trade war.

SEI in the News Poll results are in! We surveyed several Money Management Report: Taft-Hartleys turn to OCIOs, alts: SEI multiemployer plans to learn about some of the More aggressive asset allocations and investment outsourcing to help improve funding challenges they face. Full report on seic.com

SEI Adds $3.5 Billion in New OCIO Assets in Six Months We've added 14 new OCIO clients over the past two quarters. Our recent press release highlights some of the clients who have chosen us as their fiduciary partner. Q2 2018 Ranked among the nation’s best $91 billion $331 billion  SEI is the largest OCIO for Multiemployers* Institutional Total worldwide  SEI ranked in the top 10% of money managers AUM AUM by Pensions & Investments for the eighth year in a row.

Financials as of June 30, 2018. Top OCIO Provider at the Fund Intelligence 2017 Institutional Asset Management Awards as of November 2017. Pensions & Investments ranked SEI in the top 10% of money managers (59 out of 583) as of December 2017. Pensions & Investments ranked SEI as the fourth largest outsourcer based on worldwide institutional outsourced assets under management in 2017. *Distinction based on competitive research utilizing publicly available information as of 12/31/2016. Largest based on number of union multi-employer clients, and/or union multi-employer client AUM in SEI's OCIO program for which SEI has discretion for money manager hiring and replacement decisions on behalf of those clients.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION.. 3

Market performance overview

• Intensifying trade tensions, a stronger dollar, rising U.S. Financial Markets Review rate expectations, and subpar economic reports outside the U.S. were drags on the performance of most asset U.S. Large Cap classes. U.S. Small Cap • The U.S. economy continued to exhibit positive momentum, allowing U.S. equities (especially small caps) Developed Int'l Equity x US and high yield debt to buck the overall trend. Higher expected interest rates resulted in negative returns for Emerging Markets Equity U.S. investment-grade and long-duration fixed income, QTD (Aug-31) U.S. Investment-Grade Bonds however. Q2 2018

• Equity markets outside the U.S. struggled on soft Long Duration YTD (Aug-31) economic data, trade fears, and a stronger dollar. Emerging markets were also hit hard by currency High Yield Bonds weakness and political uncertainty in key countries. Emerging Markets Debt

• Inflation continued to return to more normal levels, Inflation-Linked providing a small tailwind to inflation-linked Treasurys.

Commodities • Commodities performed well early in the quarter supported by rising energy costs, but most of those gains -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 were lost on resurgent trade fears and dollar strength. Oil U.S. Large Cap = Russell 1000, U.S. Small Cap = Russell 2000, Developed International rebounded sharply and the dollar was slightly softer in Equity x U.S. = MSCI ACWI ex-US, Emerging Markets Equity = MSCI EFM (Emerging+Frontier Markets), U.S. Investment Grade Bonds = Bloomberg Barclays U.S. June, but these were offset by lower agricultural and Aggregate, High Yield = BofA ML Master II HY Constrained, Emerging Markets Debt = 50% precious metals prices, resulting in only a small gain for JPM EMBI GD / 50% GBI- EM GD Indexes, Long Duration = Bloomberg Barclays Long US Govt/Credit, Inflation Linked = Barclays 1-5 Year TIPS, Commodities = Bloomberg Commodity. the full quarter. Source: SEI. Past performance is no guarantee of future results. As of 7/31/18.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 4 Equity markets: Emerging markets falter on trade fears

14 US Equity (R300O Index) Sector YTD Total Returns 12 11.02 Telecomm Services -8.00 10 Russell 2000 Russell 1000 Consumer Staples -7.87 8 Industrials -3.74 6 4.50 Materials -2.87 4 Financials -2.82 Utilities 1.07 2 Real Estate 1.42 0 Health Care 3.82 -2 Energy 7.53 -4 Cons. Discretionary 10.14 -6 Information Tech 11.15 29-Dec 29-Jan 28-Feb 31-Mar 30-Apr 31-May 30-Jun -10.00 -5.00 -- 5.00 10.00 15.00 30 MSCI EFM Emerging + Frontier Markets • US equities performed well in the second quarter with small cap stocks 25 MSCI ACWI ex U.S. leading the way at 7.75%. Fiscal policy – tariffs and tax cuts – have assisted 22.61 in the deviation of performance between small caps and large cap securities Energy - WTI Crude Oil 20 this year. In the second quarter, small caps outperformed large caps by US Dollar - DXY Index 418bps. 15

10 • Dispersion among sectors within the US equity market continue to widen. Leadership changed in the second quarter as Energy (+14.4%), Real Estate 5 (+8.1%) and Consumer Discretionary (+8%) were the key drivers. 2.73 0 • Outside the US equities, returns were mixed. Strong performance in the UK was offset by weaker performance in emerging markets particularly Latin -5 -3.77 -6.75 America. A stronger US dollar, concerns about tariffs, and local geopolitical -10 concerns were more then enough to offset the positives coming from rising oil Dec '17 Jan '18 Feb '18 Mar '18 Apr '18 May '18 Jun '18 and commodity prices. Source: Top left: FactSet, SEI. Top right: SEI, Factset. Bottom: MSCI, SEI

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 5

Technology has propped up U.S. large cap stocks

• Resilient technology stocks that have been insensitive to trade risks have kept the U.S. large cap equity market above water

• The Russell 1000 Value Index has returned -1.69% YTD through 6/30/2018

• Amazon, whose 45% YTD return has contributed to about 34% of the S&P 2.62% total return this year

• The next top 4 stocks (also tech stocks) have been responsible for about 90% of the S&P 500 Index upside in 2018

• SEI’s domestic equity strategies are generally underweight technology; however, we believe this positioning is a prudent given the sector’s level of attractiveness versus other large cap stocks

Top 10 Performing Stocks in S&P 500 Index between Information Technology Sector 12/31/17 – 6/30/18 Relatively Expensive Total Avg. Market % of S&P 500 Ticker Company Return Cap Weight Index Return* Valuation Spread AMZN Amazon.com Inc. 45% 2.6% 34% (S&P 500 IT Sector vs. S&P 500) MSFT Microsoft Corp. 16% 3.1% 18% AAPL Apple Inc. 10% 3.89% 17% NFLX Netflix Inc. 106% 0.6% 14% FB Facebook Inc. 11% 1.9% 7% GOOGL Alphabet Inc. 7% 2.8% 7%

MA Mastercard Inc. 30% 0.7% 7% 5-Year Average Spread V Visa Inc. 17% 1.0% 6% ADBE Adobe Systems Inc. 39% 4.0% 6% NVDA NVIDIA Corp. 23% 0.6% 5% Top 10 Contributors 121% As of: 6/30/2018 Source: SEI, FactSet. Past performance is no guarantee of future results. *Percent of S&P 500 Index Returns were sourced from FactSet.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 6 Bond markets: Fed raising rates; inflation normalizing • US Treasury yields closed the quarter slightly higher from the first 4 U.S. Treasury Yield Curve quarter and the curve continued to move flatter 2.99 2.82 2.86 • The US Federal Reserve (FED) increased the federal funds rate in 2.74 3 2.62 June and suggested that it could hike rates by a total of four times in 2.53 2018 (up from an expected three rate hikes). 2.11

• Inflation pressures in the US and elsewhere has ticked higher, 2 Q2 driven by synchronized global growth, a tightening labor market and Q1 industrial capacity in the US, Germany, UK, etc. 1 Year Ago Yield Yield (%) 1 • Global bond yields moved higher in developed countries like Italy but much of the change occurred in emerging markets particularly Turkey and Argentina. Like equities, emerging markets bonds had a 0 6M 2Y 5Y 7Y 10Y 30Y difficult quarter, down 7% 6 106 206 306

2.5 15 5-Year Breakeven Inflation Rate 2.3 14 Ten Year Average 13 2.1 12 11 1.9 10 1.7 9 8 1.5 7 1.3 6 5 1.1 Percent per Annum perPercent 4

0.9

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Bloomberg Barclays Emerging-Markets Aggregate (U.S. Dollars) Yield-to-Worst Bloomberg Barclays Emerging-Markets Government (Local-Currency) Yield-to-Worst The breakeven inflation rate represents a measure of expected inflation derived from 5-Year Treasury Constant Maturity Securities and 5-Year Treasury Inflation-Indexed Constant Maturity Securities. The latest value implies what market participants expect inflation to be in the next 5 Top right chart: Bloomberg, SEI . Bottom left chart: Federal Reserve Bank of St. Louis, SEI; Bottom right chart: Bloomberg, SEI years, on average.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 7 Portfolio Summary and Performance

FOR INSTITUTIONAL INVESTOR FORUSE ONLY.INSTITUTIONAL NOT FOR INVESTOR PUBLIC DISTRIBUTION. USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 8 Important information: Asset valuation and portfolio returns

Inception date 8/1/2014. Historical Total Index can be provided upon request. The Portfolio Return and fund performance numbers are calculated using Gross Fund Performance, using a true time-weighted performance method (prior to 6/30/2012, the Modified Dietz method of calculation was used). Gross Fund Performance reflects the effective performance of the underlying mutual funds that are selected or recommended by SIMC to implement an institutional client’s investment strategy. Gross Fund Performance does not reflect the impact of fund level management fees, fund administration or shareholder servicing fees, all of which, if applicable, are used to offset the account level investment management fees the client pays to SIMC. Gross Fund Performance does reflect certain operational expenses charged by the funds and the reinvestment of dividends and other earnings. The inclusion of the fund level expenses that the client incurs but that are offset against the client’s account level investment management fees would reduce the Gross Fund Performance of the mutual funds. For additional information about how performance is calculated, please see your monthly performance report. If applicable, alternative, property and private assets performance and valuations may be reported on a monthly or quarterly lag. Alternative, property and private assets performance is calculated gross of investment management fees and net of administrative expenses and underlying fund expenses. However: Structured Credit Fund performance is calculated gross of investment management fees and net of administrative expenses; SEI Offshore Opportunity Fund II Ltd. Class A performance is calculated net of investment management and administrative expenses; and Energy Debt Fund performance is calculated net of management fees, performance fees, as applicable, and operating expenses. Net Portfolio Returns since 6/30/2012 reflect the deduction of SIMC’s investment management fee and the impact that fee had on the client’s portfolio performance. Prior to 6/30/2012, Net Portfolio Returns deduct a proxy annual fee for all periods to demonstrate the impact that SIMC’s investment management fee had on the portfolio performance. However, this is a hypothetical calculation, as it does not reflect the actual fees paid by the client during the period. Please see your client invoice for actual fees paid. Performance prior to client’s transition to SEI was provided to SEI by client’s previous provider (“Prior Performance”). Neither SEI nor its affiliates assumes any responsibility for the accuracy or completeness of the Prior Performance and such information has not been independently verified by SEI. Performance since client’s inception date with SEI is calculated by SEI and has been linked to the Prior Performance. All performance is gross of fees.

As of the close of business on 8/5/2014, the Total Index Composition is as follows: 100% PRIT Fund Index

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 9 City of Brockton Retirement System Asset summary at August 31, 2018

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 10 City of Brockton Retirement System – SEI Only Report Fund balances and performance at August 31, 2018

PRIT Returns are gross of fees, except for the returns of certain constituent portfolios, and were calculated by PERAC. Neither SEI nor its affiliates assumes any responsibility for the accuracy or completeness of the PRIT Returns and such information has not been independently verified by SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 11 City of Brockton Retirement System – SEI Only Report Fund balances and performance at August 31, 2018

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 12 City of Brockton Retirement System – Consolidated Report Fund balances and performance at August 31, 2018

13 City of Brockton Retirement System – Consolidated Report Fund balances and performance at August 31, 2018

14 City of Brockton Retirement System – Consolidated Report Fund balances and performance at August 31, 2018

15 Manager changes

Funds Manager Addition and Rationale Manager Termination and Rationale

SIIT Multi- Columbia Threadneedle Investments, LLC (May 2018) Asset Real CTI has been added as a global-commodities specialist to manage wholly-owned Return subsidiaries of the SIIT Multi-Asset Real Return Fund. CTI will provide diversification in Fund the commodity sleeve of the Funds. CTI utilizes a multi-faceted approach to investing in commodities. The portfolio is diversified across commodity sectors and seeks to add value through individual commodity over- and underweights. Supply and demand ultimately drive medium- and long-term portfolio positioning. The CTI team seeks to add value to its portfolio through curve positioning, which has been a consistent source of alpha for the strategy.

SIIT World Fiera Capital, Inc. (July 2018) Jackson Square Partners, LLC (July 2018) Select Fiera Capital, Inc. (Fiera) has been added as a sub-advisor for the SIIT World Select SEI has made the decision to remove Jackson Square Partners, LLC (JSP) from the SIIT Equity Fund Equity Fund. We believe that Fiera can deliver good implementation of the stability World Select Equity Fund. JSP’s investment strategy has not provided consistent alpha- alpha source. Fiera’s philosophy is longer-term-oriented and focused on purchasing source exposure in the Funds. Over time, JSP’s portfolio has had varying levels of high-quality businesses that can compound their returns on capital faster than the exposure to stability, momentum and value. There were also concerns with JSP’s sell market, thus generating strong returns. While other investment managers share this discipline. Fiera Capital Corporation will replace JSP in the SIIT World Select Equity philosophy, Fiera differentiates itself through a deeper focus on quality above standard Fund. balance-sheet ratios, and by its heavy scrutiny of a company’s position in the industry, resulting pricing power and management culture.

SIIT High T. Rowe Price Group, Inc. (May 2018) Yield Bond TRP’s experienced investment team and approach emphasizes fundamental credit Fund research and opportunistically accessing smaller, under-researched credit issuers. TRP's smaller team and asset size allows for efficient decision making, a higher degree of flexibility as it relates to credit quality and industry positioning and a relatively concentrated best-ideas portfolio. TRP focuses on fundamental, bottom-up security selection based on relative-value assessments within and across industries. A high- intensity selection process, combined with concentrated, conviction weighted positions, allows the portfolio to optimize relative value.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 16 SEI’s representative institutional investment strategies

Domestic Equity

SEI Extended Markets Index Strategy State Street Global Advisors – Passive

SEI S&P 500 Index Strategy State Street Global Advisors – Passive

International Equity

SEI World Select Equity Strategy AS Trigon – Emerging European Value Fiera Capital – Deep Quality/Stability Intech – Global Volatility Capture / Momentum LSV Asset Management* – U.S. Value Maj Invest. – Global Value/Stability Metropole – Pan European Value Rhicon –Currency Management / Volatility Capture SIMC – Global stable Momentum SNAM – Japan Value Towle – U.S. Value

Sub-Adviser Diversification as of June 30, 2018. The strategies above are not an exhaustive list, but represent those that are typically utilized by SEI Institutional clients. Certain strategies are currently available only in registered mutual fund products. References to specific SEI funds are designed to illustrate SEI’s manager selection process, which is implemented by SEI Investments Management Corporation (SIMC). The managers may be offered exclusively through mutual funds. References to specific securities do not constitute an offer or recommendation to buy, sell or hold such securities. *As of June 30, 2018, SEI Investments Company has a 38.9% minority ownership interest in LSV Asset Management.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 17 SEI’s representative institutional investment strategies (continued)

Fixed Income SEI U.S. Core Fixed Income Strategy Jennison Associates – Security Selector w/Corporate Bond Focus SEI Opportunistic Income Strategy Logan Circle Partners, L.P. – Core Fixed Income Ares Management – Bank Loans Metropolitan West Asset Management – Macro/Value-Oriented Manulife Asset Management – Multi-Sector LIBOR Plus Wells Capital Management – Security Selection Schroders Asset Management. – Enhanced Cash Western Asset Management – Macro/Sector Rotator Wellington Management Company – Enhanced Cash SEI Emerging Markets Debt Strategy Investec Asset Management – Security Selection SEI High Yield Bond Strategy Neuberger Berman – Macro Stone Harbor Investment Partners – Relative Value Ares Management – Opportunistic Benefit Street Partners – Relative Value Brigade Capital Management – Opportunistic J.P. Morgan Asset Management – Relative Value T. Rowe Price Associates – High Yield

SEI Dynamic Asset Allocation Strategy SEI Alternative Investments Other / Alternative Investments State Street Global Advisors Private Equity Strategies SEI Multi-Asset Real Return Strategy Structured Credit Strategies SEI Cash Management Strategies AllianceBernstein L.P. – Multi Asset Real Return Real Estate Strategies Money Market Funds Cohen & Steers, Inc. – Active Commodities Energy Debt Strategies Custom Separate Accounts Columbia Management Investments – Active Commodities QS Investors, LLC – Inflation Long/Short Equity Sub-Adviser Diversification as of June 30, 2018. The strategies above are not an exhaustive list, but represent those that are typically utilized by SEI Institutional clients. Certain strategies are currently available only in registered mutual fund products. References to specific SEI funds are designed to illustrate SEI’s manager selection process, which is implemented by SEI Investments Management Corporation (SIMC). The managers may be offered exclusively through mutual funds. References to specific securities do not constitute an offer or recommendation to buy, sell or hold such securities.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 18 Appendix

FOR INSTITUTIONAL INVESTOR FORUSE ONLY.INSTITUTIONAL NOT FOR INVESTOR PUBLIC DISTRIBUTION. USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 19 SIIT S&P 500 Index Fund

Performance Review • U.S. equities posted gains during the quarter. Contribution to Absolute Return By Sector (%) • Growth stocks beat value stocks. Information Technology (25.5%) 1.80 • Growth and momentum stocks outperformed as solid economic data helped equities rise amid rising tension from trade spats Financials (14.5%) -0.44 between the U.S. and other countries. Health Care (14%) 0.45 Positioning Review Consumer Discretionary (12.9%) 1.00 • The economic environment and earnings trends are favorable. • However, equity markets may face continued volatility due to high Industrials (9.9%) -0.32 valuations, rising interest rates and potential geopolitical events. Consumer Staples (6.9%) -0.19 • The high valuations are concentrated in a relatively narrow subset of the market. Energy (6.2%) 0.79

Utilities (2.8%) 0.10

Materials (2.8%) 0.09

Real Estate (2.7%) 0.17

Telecom Services (1.9%) -0.02

-1.0 -0.5 0.0 0.5 1.0 1.5 2.0 Source: FactSet. Quarter Figures in parenthesis are average weights over the quarter. Performance data quoted is past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 20 DataData as as of of 12/31/2015 6/30/2018 SIIT Extended Market Index Fund

Performance Review Contribution to Absolute Return By Sector(%) • U.S. equities posted gains during the quarter. • Growth stocks beat value stocks. Information Technology (20.1%) 1.07 • Growth and momentum stocks outperformed as solid economic data helped equities rise amid rising tension from trade spats Financials (16.4%) 0.12 between the U.S. and other countries. Consumer Discretionary (13.5%) 0.98

Positioning Review Industrials (14.3%) 0.22 • The economic environment and earnings trends are favorable. Health Care (11.1%) 1.18 • However, equity markets may face continued volatility due to high valuations, rising interest rates and potential geopolitical events. Real Estate (8.1%) 0.89

• The high valuations are concentrated in a relatively narrow subset Materials (5.4%) 0.15 of the market. Energy (4.5%) 0.83

Utilities (2.9%) 0.23

Consumer Staples (2.8%) 0.19

Telecom Services (0.9%) 0.03

0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4

Source: FactSet. Quarter Figures in parenthesis are average weights over the quarter. Performance data quoted is past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 21 DataData as as of of 12/31/2015 6/30/2018 SIIT Core Fixed Income Fund

Performance Review • The Fund performed modestly well during the quarter as a majority of spread sectors underperformed comparable Treasury bonds. The Fund’s duration, which moved to modestly long of the benchmark, had no material impact on performance. • A yield-curve-flattening bias contributed, with long-term yields essentially unchanged and short-term yields increasing. • An overweight to financials detracted; although financials did outperform industrials. • While housing prices, buffered by low inventories and advancing wages, advanced, non- agency mortgage bonds outperformed and the Fund’s allocation to these was additive. • Asset-backed securities (ABS) excess returns were modestly positive for the quarter and the Fund’s overweight helped performance. Commercial mortgage-backed security (CMBS) performance was in line with comparable Treasury bonds; the Fund’s higher- quality bias detracted, as lower-quality tranches outperformed. An overweight to agency MBS, which outperformed, added modestly. • An underweight to taxable municipal bonds held back returns as the sector outperformed due to reduced issuance. An overweight to BBB rated securities was beneficial. Metropolitan West Asset Management benefited from a move from neutral duration positioning to modestly positive. The manager’s more-conservative positioning and an underweight to corporate bonds was additive. An overweight to financials detracted, while exposure to non-agency debt was beneficial. • Jennison Associates benefited from an overweight to 30-year bonds versus 20-year bonds; the manager’s defensive corporate-bond positioning was also additive. • Wells Capital Management benefited from security selection within and an overweight to ABS (private and public student loans), a sector bolstered by a resilient consumer and improving wage gains. A slight overweight to CMBS also enhanced returns. • Western Asset Management Company struggled due to an overweight to the spread sectors, which underperformed comparable Treasury bonds. With yields rising, a longer duration posture detracted but was offset to a degree by a flattening yield curve.

(#) indicates the percent target allocation in the Fund excluding cash Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index. Source: SEI Data Portal with data from Fund sub-advisors. Performance data quoted is past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 22 Data as of 6/30/2018 SIIT Core Fixed Income Fund

Positioning Review • The Fund added duration modestly in mid-May as yields rose. It maintained a yield- curve-flattening bias, but has been gradually reducing that positioning as the curve flattened during 2017 and throughout 2018. • As the growth and inflationary outlook have increased and the market appears to have priced in additional interest rate hikes by the Federal Reserve, the Fund added duration in the middle portion of the yield curve; It maintained an overweight to the long end of the yield curve as inflationary pressures are likely to advance gradually and still face headwinds to a more-rapid increase. • A modestly overweight to neutral the corporate-bond sector remained while selectively trimming bonds that have exceeded valuation targets; a heavy new- issuance calendar may provide opportunities to add back risk at more- favorable levels as spreads have been widening. • Banking remained overweight bas capital positions are much stronger than they were pre-crisis. It is likely to add exposure selectively, especially with an improved outlook. We believe that rising yields should also support increased revenue. • The Fund was neutral to slightly underweight both the industrial and utility sectors. • Securitized overweights to ABS and CMBS remained as these bonds offer competitive yields, especially on a risk-adjusted basis. CMBS holdings were higher- quality, which should help with concerns about retail properties (big-box retailers). • The Fund maintained its allocation to non-agency mortgages as home prices continue to advance on a year-over-year basis, inventory remains low and demand for housing from historically low interest rates is high. • As managers have been trimming risk, the Fund added to agency mortgages and had a slight overweight; these serve as a high-quality alternative to Treasurys. • In general, the Fund’s managers remained in a gradual risk-reduction mode, waiting for an opportunity to add back risk at more-attractive valuations. Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index. Source: BlackRock Solutions based on data from SEI. Performance data quoted represents past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI. (#) indicates the relative weight to the benchmark on a contribution-to-duration basis; because of its different interest-rate sensitivities, Non-Agency MBS is shown on a market-value basis.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 23 Data as of 6/30/2018 SIIT Emerging Markets Debt

Performance Review • The Fund struggled during the quarter as both hard and local markets sold off, completely erasing all first-quarter gains. • An overweight to Argentina detracted; the country’s central bank had to go to extreme measures to stem a rout of its currency caused by higher-than-expected inflation and appreciation of the U.S. dollar. • Exposure to Turkey detracted, as the credibility of its central bank was in question; it sat relatively idle while the country's currency, the lira, hit new lows. As a result, S&P cut Turkey's sovereign credit rating to BB-. • An underweight to emerging European currencies, namely the Romanian leu and Hungarian forint, was the biggest contributor over the period; European currencies were hurt by the announced tariffs. • Cash holdings in the Fund (held in U.S. dollars) also contributed over the quarter as emerging currencies sold off heavily. • Investec Asset Management detracted due to an overweight to Argentina hard- currency debt, and selection in Brazil local debt. Underweights to Hungary and Romania local debt were positive. • Neuberger Berman Investment Advisers detracted due to overweights to Argentina, and Czech Republic local debt. Underweights to Lebanon and Ecuador were beneficial. • Stone Harbor Investment Partners detracted due to overweights to Argentina and Turkey local currency debt, while underweights to Hungary and Thailand were positive.

(#) indicates the percent target allocation in the Fund excluding cash Benchmark: 50% JPM EMBI Global Diversified / 50% JPM GBI-EM Global Diversified. Source: SEI Data Portal with data from Fund sub-advisors. Performance data quoted is past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 24 Data as of 6/30/2018 SIIT Emerging Markets Debt

Positioning Review SIIT Emerging Markets Debt Fund • The Fund remained underweight hard currency debt although the underweight Top and Bottom Country Relative Weights (%) was reduced somewhat amid spread widening during the quarter; this positioning was partially offset by corporate bond exposure and exaggerated United States by long emerging market (EM) currency exposure deflating hard currency Mexico debt’s actual weight and inflating local currency’s weight. Argentina • It was overweight emerging corporate bonds, which, when used in conjunction with hard-currency exposure, trade at spreads similar to external government Egypt debt; positions were generally concentrated in high-yield-rated companies that Turkey offered more-attractive return opportunities with lower interest-rate sensitivity. Panama • An overweight to local-currency debt remained as EM fundamentals have been improving with signs that this will continue (e.g. inflation, current account Taiwan (Republic of China) balances) despite recent volatility caused by global trade fears, rising U.S. interest rates, and the flight to quality seen during the quarter. Hungary • The Fund was overweight Argentina, which is well-positioned to continue Philippines improvement in fundamentals; continued improvement is expected, despite European Union recent setbacks regarding inflation. -8 -6 -4 -2 0 2 4 6 • The Fund significantly increased the underweight to Taiwan, as the nation’s central bank is expected to hold interest rates steady despite U.S. rate hikes; 3/31/2018 6/30/2018 the currency could be further hurt by Trump’s trade-war threats. • The Fund increased the overweight Mexico, as a selloff in assets created SIIT Emerging Markets Debt Fund attractive valuations. Currency Type Relative Weights (%) • In terms of currency exposure, the Fund was underweight the Taiwan dollar Local Currency and Hungarian forint, and overweight the Mexican peso. Hard Currency • It decreased the overweight to the Czech koruna, as the currency approached Cash managers' price targets and market conditions turned amid trade-war threats and investor flight to quality. -15 -10 -5 0 5 10 15 Benchmark: 50% JPM EMBI Global Diversified/50% JPM GBI-EM Global Diversified Index. 3/31/2018 6/30/2018 Source: SEI Data Warehouse

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 25 Data as of 6/30/2018 SIIT High Yield Bond

Performance Review • The Fund performed well during the quarter. • An off-benchmark allocation to collateralized loan obligations (CLOs) contributed. • Security selection within retail and an underweight to and selection within basic industry helped. • Selection within services and insurance and an underweight to and selection within healthcare detracted. • An underweight to BB rated bonds was beneficial. • An overweight to CCC rated bonds, which offer better total-return opportunity than BB/B rated bonds, enhanced returns. • An overweight to B rated bonds, which offer better total-return opportunities than BB bonds, was also beneficial. • Allocations to bank loans and cash detracted. • SEI Investments Management Company benefited from positioning within collateralized loan obligations (CLOs). • Brigade Capital Management’s overweight to and selection within retail and selection within telecommunications enhanced returns. • J.P. Morgan Investment Management benefited from an overweight to and selection within telecommunications, as well as from selection within retail. • There were no detractors at the manager level.

* T Rowe funded 04/30/18 (#) indicates the percent target allocation in the Fund excluding cash Benchmark: ICE BofA Merrill Lynch U.S. High Yield Constrained Index. Source: SEI Data Portal with data from sub-advisors. Performance data quoted is past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 26 Data as of 6/30/2018 SIIT High Yield Bond

Positioning Review SIIT High Yield Bond Fund • The Fund’s largest overweight was an off-benchmark allocation to CLOs, Credit Quality Relative Weights - Moody's (%) where we continue to see attractive opportunities. Ba3 and above • It was overweight media due to the sector’s consumer orientation, relatively stable cash flows, asset support (exclusive media content, vast B content libraries, cable infrastructure) and positive merger and Caa1 and below acquisition catalysts. No Rating • It was overweight retail as managers continued to find opportunities on a bottom-up basis given the significant negative sentiment toward the Cash sector. -30 -20 -10 0 10 20 • The Fund’s underweight to energy was primarily driven by gas 3/31/2018 6/30/2018 distribution and exploration & production; the Fund’s managers have found more-attractive opportunities elsewhere in the market.

• The Fund was underweight banking; high-yield banks are at a SIIT High Yield Bond Fund competitive disadvantage compared to higher-rated peers due to Sector Relative Weights( %) increased cost of funding and competition, which is putting pressure on Structured Credit fees and margins. Media • It was also underweight financial services for similar reasons. Retail • The Fund was underweight BB rated bonds and overweight CCC and B Financial Services rated bonds. Banking • The Fund had significant allocations to both cash and bank loans. Energy

-5 0 5 10 15 3/31/2018 6/30/2018

Source: BlackRock Solutions based on data from SEI. Benchmark: ICE BofA Merrill Lynch U.S. High Yield Constrained Index.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 27 Data as of 6/30/2018 SIIT Opportunistic Income Fund

Performance Review • The Fund performed well during the quarter, generating positive returns as SIIT Opportunistic Income Contribution to short-term yields initially advanced before declining on political concerns in Italy, Excess Return (%) and then moving higher as the Federal Reserve (Fed) raised interest rates 25 basis points in June. • The Fund’s allocations to the securitized sectors, which benefited from strengthening collateral as well as strong investor demand, enhanced returns. • Positions in non-agency mortgages, consumer-related asset-backed securities, asset-backed securities (ABS) (home equity loans) and senior commercial mortgage-backed securities (CMBS) contributed; while CMBS performance lagged, the Fund’s selection within tranches helped mitigate underperformance. • Collateralized loan obligations (CLOs) continued their strong performance as demand for financing remains robust. • Strong security selection within auto-loan securitizations added as the Fund has avoided some of the recent concerns about sub-prime auto loans. • The Fund’s allocation to institutional loans enhanced performance as strong economic growth and default rates enabled outperformance. • Ares Management benefited from exposure to bank loans. • Schroder Investment Management North America’s positive performance was driven by allocations to home-equity securitizations and CLOs; allocations to senior-tranche CMBS also contributed to performance. • Declaration Management & Research benefited from allocations to CLOs; exposure to non-agency mortgages, which performed well, also contributed.

(#) indicates the percent target allocation in the Fund excluding cash Benchmark: ICE BofA Merrill Lynch US Dollar Three-Month LIBOR Constant Maturity Index Source: FactSet Performance data quoted is past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 28 Data as of 6/30/2018 SIIT Opportunistic Income Fund

Positioning Review • The Fund continued to provide a yield advantage over the benchmark and maintained allocations to the non-Treasury sectors, especially bank loans, non-agency residential mortgage-backed securities (RMBS) and ABS. • While credit spreads have widened, remaining near historically tight levels, the Fund’s managers were conservative in their portfolio positioning, evidenced by slightly higher levels of cash, shifting to more-defensive sectors and avoiding high- beta issues that are punished during market weakness. • Managers continued to prefer the securitized sectors, such as non-agency RMBS, single-asset CMBS and select consumer ABS issues at the top of the capital structure, as well as higher-rated CLOs; managers, in general, felt more comfortable with the underlying collateral in these issues, which reflect the strength of a deleveraged consumer. • Despite this preference for securitized assets, the managers may take advantage of pricing opportunities as the result of increased volatility in the debt markets. • Some of the Fund’s mortgage holdings have been amortizing and refinanced as rates have moved lower and incomes have gradually improved; the Fund is looking for suitable alternatives with these proceeds. • If the institutional loan sector underperforms, managers may consider adding back some risk, but demand remains strong and new issuance has been pricing at tighter spreads. • The majority of the Fund’s holdings have floating-rate structures; we believe that yields should move higher in tandem with increases in the Federal Funds rate. (#) indicates the absolute weight . +Contribution from duration and yield curve positioning relative to the benchmark’s positioning. Benchmark: ICE BofA Merrill Lynch US Dollar Three-Month LIBOR Constant Maturity Index. Source: FactSet Performance data quoted is past performance, gross of fees. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 29 Data as of 6/30/2018 SIIT Multi-Asset Real Return Fund

Performance Review • The Fund performed well during the quarter, driven by the equity long/short strategy. • While the Fund focuses on sectors that have positive (longs) and negative (shorts) inflation sensitivity, it is indirectly long value-oriented sectors and short growth-oriented sectors. • Energy, one of the largest sector weights in the Fund, benefited from rising oil prices. However, this was largely offset by weakness in the agricultural and precious-metals sectors. • U.S. Treasury Inflation Protected Securities (TIPS) were modestly positive in the quarter; longer-dated issues outperformed shorter maturities.

Source: FactSet, Bloomberg *U.S. TIPS = Bloomberg Barclays U.S. Treasury TIPS 1-5 Years Index, Intermediate U.S. Corp Bonds = Bloomberg Barclays Intermediate U.S. Corporate Bond Index, Global Commodity Stocks = MSCI ACWI Commodity Producers Index, REITs = FTSE EPRA/NAREIT North America Index, Commodities = Dow Jones-UBS Commodity Index TR. Performance data quoted is past performance, gross of fees, and is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1.800.DIAL.SEI. Index returns are for illustrative purposes only and do not represent actual Fund performance.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 30 Data as of 6/30/2018 SIIT Multi-Asset Real Return Fund

Performance Review • While the Fund focuses on inflation-sensitive sectors, it tends to overweight value stocks versus growth stocks. • The Fund continued to maintain strategic positions in inflation-sensitive equity sectors as these are long-term, strategic positions. • It maintained full exposure to commodities with the view that the asset class has undergone a significant restructuring; supply/demand fundamentals have improved over the past few years and we expect the global growth outlook to be supportive in general to the asset class. • While inflation remains in check in most developed markets, we believe the potential for higher levels of inflation is greater now than it has been over the past several years.

* Relative to the Bloomberg Commodity Index Source: Bloomberg

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 31 Data as of 6/30/2018 SIIT Dynamic Asset Allocation: Themes and Our Perspective Large-Cap Value Stocks Appear Attractive Relative to Large-Cap Growth •We anticipate a tight labor market will eventually lead to an acceleration of wage growth, while the Federal Reserve stays the course with a patient removal of monetary accommodation. We also believe that the recent passage of the tax-reform package will broaden economic growth. Together, these developments should favor a rotation back into more cyclical names. •On a sector basis, technology accounts for a large portion of the Russell 1000 Growth Index, while the Russell 1000 Value Index is dominated by financial-services stocks. We believe the economic, interest-rate and regulatory environments will be favorable for financials. Additionally, the Russell 1000 Value Index looks more attractive than the Russell 1000 Growth Index on the basis of both forward valuations and dividend yield. International Developed Equities are More Attractive than U.S. Equities on a Hedged Basis •Japanese equity valuations remain attractive versus U.S. valuations. •Japan's central bank continues to engage in a particularly aggressive version of quantitative easing. Conversely, U.S. monetary policy is expected to continue tightening. Due to the possible currency implications of divergent monetary policies, we are hedging the currency positions inherent in these trades. •Additionally, technical factors favor Japanese equities, as the Bank of Japan and the Government Pension Investment Fund remain major equity buyers. Commodities are Attractive •We remain confident in the coordinated global economic expansion which, despite its later-stage nature in developed markets, should continue thanks to fiscal stimulus in the U.S. and continued easy monetary policies in Europe and Japan. Although emerging markets have lagged the developed world in this cycle, recoveries in those economies could also add to the current demand tailwind for commodities. On the supply side, capital investment has fallen notably in commodity-related sectors. We expect this dynamic of strong demand growth and constrained short-term supply across many commodities to continue in the near-to-intermediate term. .Geopolitical Risk and Global Trade Uncertainty •While we expect the global economy to continue expanding in a coordinated fashion, there are several risks to this view which have become increasingly evident in recent months which include real and rhetorical trade war concerns and a softening of economic data, particularly from Europe and China. •The yen represents a broad based, diversifying “risk-off” position in the portfolio given its historical flight-to-quality characteristics and highly favorable correlation profile to our other thematic exposures which are positioned for broad-based global growth.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 32 Data as of 6/30/2018 SIIT Dynamic Asset Allocation: Performance Attribution

0.75% 0.50% 2018 -Q2 YTD 0.27% 0.25% 0.00% 0.02%0.00% 0.00% 0.01% 0.00% -0.05% 0.00% -0.01% -0.02% -0.01% -0.25% -0.11% -0.11% -0.20% -0.35% -0.50% -0.39% -0.35% -0.52% -0.75% -0.66% -1.00% -1.06% -1.25% -1.20% -1.50%

-1.75%

-2.00%

-2.25%

-2.50% -2.36% INR/KRW INR/SGD & USD/SAR Japan Equity European R1000 SPX Call Bloomberg Long JPY/Short Attribution Total TWD (Hedged) / US Equity (Hedged) Value/Growth 4/20/2018 Commodity EUR Residual Equity / US Equity Index

Returns are estimated and do not fully account for intra-month cash flows. Performance is gross of fees, internally calculated by SEI. Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 33 Data as of 6/30/2018 SIIT Dynamic Asset Allocation: Standard performance

Performance Performance Performance Cumulative Total Return Annualized Total Return Calendar Year Return as of 06/30/2018 as of 06/30/2018 as of 12/31 Fund Since Inception 1 Mo 3 Mo Ytd Qtr 1 Yr 3 Yr 5 Yr 10 Yr Incept 2017 2016 2015 2014 2013

SIIT Dynamic Asset Allocation Fund (Net) 7/30/2010 -0.05 2.22 0.25 2.22 10.06 10.31 13.57 13.55 19.78 12.27 4.69 18.68 29.45 SIIT Dynamic Asset Allocation Fund (Gross) -0.05 2.23 0.28 2.23 10.12 10.38 13.63 13.73 19.85 12.34 4.76 18.75 29.53 S&P 500 Index (Gross) (USD) 0.62 3.43 2.65 3.43 14.37 11.92 13.41 13.45 21.83 11.96 1.38 13.69 31.04

Gross Fund Performance on this page only reflects the effective performance of the underlying mutual funds that are selected or recommended by SIMC to implement an institutional client's investment strategy. Gross Fund Performance does not reflect the impact of fund level management fees, fund administration or shareholder servicing fees, all of which, if applicable are used to offset the account level investment management fees the client pays to SIMC. Gross Fund Performance does reflect certain operational expenses charged by the funds and the reinvestment of dividends and other earnings. The inclusion of the fund level expenses that the client incurs but that are offset against the client's account level investment management fees would reduce the Gross Fund Performance shown. Performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost, and current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

34 SIIT World Select Equity Fund

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 35 Data as of 3/31/2018 Alpha source performance

Returns to SEI Factors: Global Equities • Escalating trade wars hit alpha sources across a broad

spectrum. With both value and momentum down, Premium Risk fundamental stability was the only mitigating driver. Cyclical Value

• Value suffered as investors favored expensive Stable Value higher-quality stocks, notably within information technology, healthcare and consumer discretionary sectors—and with the exception of cheaper energy Price Momentum (particularly oil & gas), which rallied on rising oil prices. Momentum

• Momentum had a good start of the quarter, but wiped Revisions

out all gains in the last two weeks after the fears of trade-war escalation became real. Fundamental Stability

Stability • Fundamental stability (associated with higher-quality,

higher-profitability companies) performed strongly, led Low Volatility

by a concentrated group of large-cap

technology-related stocks. In contrast, low volatility Bias lagged, only partially recovering its losses in the Large Size second half of June.

-6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% Source: SEI based on data from MSCI, FactSet, Axioma. Returns quoted in USD. Year Quarter The metrics are composites of underlying ratios that SEI has determined to be appropriate measures of each factor. Global equities are represented by the universe as defined by the union of constituents in the MSCI ACWI IMI and S&P Global Broad Market Indexes. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 36 Data as of 6/30/2018 SIIT World Select Equity Key performance drivers during quarter

Positioning Performance Effect Contributors Detractors by Scope

O/W Value Alpha Source Negative U/W Low Volatility U/W Fundamental Stability

O/W Financials Sectors Negative U/W Consumer Staples O/W Industrials

O/W Japan O/W Turkey Countries Mild Negative U/W Brazil O/W Italy U/W US

O/W USD vs EUR Currency Positive O/W GBP vs USD O/W USD vs JPY

Towle (autos) Selection Negative Maj Invest (u/w EM) INTECH (lack of revisions) Metropole (Italian banks)

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 37 Data as of 6/30/2018

SIIT World Select Equity Attribution by alpha source and manager

• Poor performance over the quarter was due to unfavorable Contribution to Excess Return by Manager (%) stock selection as well as overweighting value and stability. SEI Fund • Local managers generated significant losses due to their Global Mgrs (inc. ccy) value exposure. Local Managers SIMC (Global) • LSV was particularly weak, as trade tensions and a narrow Momentum rally in expensive tech names hurt undervalued securities. INTECH (Global) • Metropole’s losses from its value alpha source were further Rhicon (Currency) compounded by its bank holdings, which were negatively Jackson Square (US) impacted by Italian political developments. Stability Maj Invest (Global) • Global managers benefited from their exposure to momentum, which partially mitigated the Fund’s losses. Towle (US) • Rhicon gained on increased volatility and a major LSV (US) break-out in the euro versus US dollar. Metropole (Europe) Value • SIMC benefited from revisions and quality components of Trigon (Europe) its momentum model. SNAM (Japan) • INTECH disappointed due to insufficient upside participation in momentum outperformance in the first half -1.2 -0.8 -0.4 0.0 0.4 of the quarter. Quarter

Source: FactSet/SEI. Returns are gross of fees. Performance data quoted is past performance and is no guarantee of future results. The principal value and investment return of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original value. Current performance may be higher or lower. For performance data current to the most recent month end, please call 1-800-DIAL-SEI. The manager contribution to excess return is an estimation of each manager’s contribution, arrived at by calculating their weight in the Fund and their relative return against the manager’s respective benchmark. Benchmarks: MSCI ACWI (Net) for INTECH, SIMC, Maj Invest and Fund; MSCI Europe (Net) for Metropole and Trigon; MSCI Japan (Net) for Sompo Japan Nipponkoa Asset Management (“SNAM”); zero for Rhicon; MSCI US (Net) for LSV, Towle and Jackson Square. As the manager benchmarks vary, the sum of the relative returns may not add up to the Fund’s relative return against its benchmark, the MSCI ACWI (Net).

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 38 Data as of 6/30/2018 World Equity Strategies Outlook

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 39 Data as of 6/30/2018 World Equity Strategies: Economic outlook

70 PMIs – United States • Strong global economy 60

• Continuing economic growth 50 • Moderating pace of improvement for leading indicators 40 (PMIs) is not surprising given extremely high levels, but could lead to disappointments if valuations are overly optimistic 30 2006 2008 2010 2012 2014 2016 2018

70 PMIs - Eurozone 60

80 Global Earnings Growth % - Trailing vs. Estimates 50

60 40

40 30 2006 2008 2010 2012 2014 2016 2018 20 60 PMIs - Japan 0

-20 50 Difference -40 12-Month Trailing Earnings Growth % 40 12-Month Forecast Earnings Growth % -60 30

2006 2008 2010 2012 2014 2016 2018

1987 1990 1993 1996 1999 2002 2005 2008 2011 2014 2017 Source: SEI based on data from Datastream. With respect to PMI charts: an index reading of “50” or above generally is a sign of an expansionary economy. Data refers to past performance. Past performance is not a reliable indicator of future results. As of 6/30/2018.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 40 Data as of 6/30/2018 World Equity Strategies Value outlook

Valuation Dispersion – B/P – US Large Mid Cap 10.00 • Value remains attractive globally; a trade-war induced selloff 9.00

Value is more attractive further increased upside potential for the alpha source 8.00 • In the US, the increasingly narrowing tech rally further 7.00 contributed to dispersion widening 6.00 5.00 • In Europe, Italian politics further compounded global deterioration 4.00

3.00 Valuation DispersionValuation • Japan also remains attractive for value, where the wide 2.00 Value is less attractive spread is driven by excessive valuation of technology and 1.00 robotics stocks 1996 1999 2002 2005 2008 2011 2014 2017

Valuation Dispersion – B/P – Europe ex-UK Valuation Dispersion – B/P – Japan 10.00 6.00 5.50

9.00

Value is more attractive 5.00 Value is more attractive 8.00 4.50 7.00 4.00 6.00 3.50 5.00 3.00 4.00 2.50

3.00 DispersionValuation 2.00 Valuation DispersionValuation 2.00 1.50 Value is less attractive Value is less attractive 1.00 1.00 1996 1999 2002 2005 2008 2011 2014 2017 1996 1999 2002 2005 2008 2011 2014 2017

Indexes: S&P United States LargeMidCap Index, S&P Europe ex UK LargeMidCap Index, and S&P LargeMid Cap Japan Index. Valuation dispersion is measured by a ratio in median values of equally weighted 2nd and 9th deciles. The charts also show Average (dotted blue), +1 and -1 standard deviation (solid blue) lines on an expanding basis. Source: SEI based on data from FactSet, Axioma.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 41 Data as of 6/30/2018 World Equity Strategies Momentum outlook

Valuation of Momentum – Global Developed 1.50 • Outlook for momentum is neutral Momentum is less attractive

1.00

• Valuation of momentum has risen recently, as the positive trends have concentrated in the richly-valued information 0.50

technology sector and handful of mega-cap stocks. Value Score Value 0.00

• Dispersion indicators remained low, helped by investors’ Momentum is more attractive rotation into fresher trends in consumer discretionary -0.50 1996 1999 2002 2005 2008 2011 2014 2017

3.00 Momentum Dispersion - Global Developed 2.00 Momentum is less attractive

1.00

0.00 Score

- -1.00 Z

-2.00

-3.00 Momentum is more attractive -4.00 1999 2002 2005 2008 2011 2014 2017 Index: S&P Developed LargeMidCap Index. Valuation and Dispersion of Momentum are measured by a ratio in median values of equally weighted first and fourth quintiles. The top chart also shows Average (blue dotted), +1 and -1 standard deviation (solid blue) lines on an expanding basis. Source: SEI based on data from FactSet, Axioma.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 42 Data as of 6/30/2018 World Equity Strategies: Stability outlook

• Stability is mixed 1.00 Valuation of Fundamental Stability

0.80 Less attractive

• High-quality and high-profitability stocks extended their rally, and thus made valuations even further away from any 0.60 measure of historical norms 0.40 ValueScore • Valuation of price stability (low volatility) has moderated, as 0.20 classic defensives reacted negatively to rising interest rates More attractive and generally being shun by investors in strong economic 0.00 growth environment 1996 1999 2002 2005 2008 2011 2014 2017

1.00 Valuation of Low Volatility Less attractive

0.50

0.00 ValueScore -0.50

More attractive -1.00 1996 1999 2002 2005 2008 2011 2014 2017

Index: S&P Developed LargeMidCap Index. Valuation of Low Volatility and Fundamental Stability are measured by a ratio in median values of equally weighted first and fourth quintiles. The metrics are composites of underlying ratios that SEI has determined to be appropriate measures of each factor. The charts also show Average (blue dotted), +1 and -1 standard deviation (solid blue) lines on an expanding basis. Source: SEI based on data from FactSet, Axioma.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 43 Data as of 6/30/2018 Important Information

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 44 Data as of 6/30/2018

SIIT World Select Equity Positioning by manager and scope

Positioning Review Manager Allocation by Alpha Source (%)

• Our positioning remained stable over the quarter, with only 60.0 minor adjustments. 50.0 • We maintained an emphasis on value managers (Metropole, 40.0 LSV, SNAM, and Towle) on the basis of attractive valuation 30.0 spreads, a strong global economy, and expected upward- 20.0 moving interest-rate trajectory. 10.0 • We have been slightly reducing our momentum exposure 0.0 Value Stability Momentum (through reduction to INTECH) on the basis of increased valuations. Manager Weights (%) • We continued to underweight stability and low volatility, 25.0 relative to neutral (equal risk weighting) on high-valuation and 20.0 high-interest-rate-sensitivity grounds. 15.0

10.0

5.0

0.0

End of last quarter End of current quarter Manager weights are actuals, excluding cash. Value alpha source is implemented through SNAM in Japan, Metropole and Trigon in Europe, LSV and Towle in the U.S. and partially Maj Invest. Stability alpha source is implemented through Jackson Square, currency manager Rhicon and partially Maj Invest. Momentum alpha source is implemented through INTECH and SIMC. Maj Invest’s allocation is split two-thirds in value and one-third in stability.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 45 Data as of 6/30/2018 Important Information

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 46 Data as of 6/30/2018 Private Equity Fund

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 47 Data as of 3/31/2018 Market environment

• The second quarter saw generally positive activity in the various areas of the private-assets (PA) markets.

• Net asset values are expected to see the effect of higher mark-to-market comparables due to the recent performance in public equity markets. Company-level operations have remained steady thus far and should enhance this impact.

• The number and value of buyout transactions during the quarter were essentially equal to that of the prior quarter and in general saw a steady flow of deal activity; venture-capital deals, on the other hand, remained robust as both the number and value of transactions once again outpaced those in the prior quarter. Investments in China-based companies were a primary driver of the increase during this quarter, while at the same time, most new financings are getting completed at higher valuations.

• As evidenced by some of the large events that have taken place over the last several months, buyout exit markets remain open and active; the second quarter saw some of the highest levels in the last few years. The number of venture exits has been trending down for some time as companies stay private longer; however, the ultimate exit values have been steady and periodically see spikes when larger venture-backed companies are sold or launch initial public offerings. This was the case during the quarter, as the number of deals was roughly in line with the prior quarter, but the value of the exits was a record high.

• In aggregate, fundraising was down for both the number of funds having a final close and the total dollars raised relative to the first quarter. When looking through the different categories, infrastructure rebounded from the prior quarter, while natural-resources funds followed the recent trend of closing larger funds. Private equity funds, on the other hand, saw general declines in all areas on the heels of significant activity in prior quarters. Given the strong fundraising environment in 2017 across all strategies, it is not surprising to see things move around from quarter to quarter and the number of funds in market remains robust.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 48 Data as of 6/30/2018 unless otherwise noted Outlook

• Our outlook for the second half of 2018 remains constructive for the PA marketplace, as we expect steady activity in most areas.

• Net-asset-value changes are likely to remain muted following the equity-market volatility over the last few months. At the same time, strong company-level operating performance should provide additional support for higher valuations.

• Ongoing economic uncertainty and volatility in public investment markets have the potential to give general partners pause. However, we expect this to be offset by a desire for sellers to monetize gains. Also, structural needs—such as expiring investment periods, increased levels of available capital and funds reaching their contractual terms but still holding companies—should provide support for transaction levels.

• Fundraising conditions are expected to remain competitive. Investors continue to focus on limiting their number of relationships to fewer overall managers, while the number of managers trying to raise capital is still high. That said, investor surveys highlight interest in a variety of private-market strategies; managers appear to have been more successful over recent quarters. Additionally, given the high level of distributions resulting from strong exit activity over the last few years and a general search for potentially higher returns, many investors are likely to find themselves under-allocated to private markets and in a better position to make new commitments.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 49 Data as of 6/30/2018 unless otherwise noted Performance for periods of less than one year is cumulative. Past performance is no guarantee of future results. Performance is gross of investment management fees and net of administrative expenses and underlying fund expenses. Performance data quoted is past performance. Past performance is no guarantee of future results. The principal value and investment return of an SEI GPA III investment will fluctuate so that shares, when redeemed, may be worth more or less than their original value. Current performance may be higher or lower. For performance data current to the most Fund Overview recent month end, please call 1-800-DIAL-SEI. SEI GPA III is an approximately $275 million private-equity vehicle diversified over a variety of investment strategies, multiple geographies and several vintage years. SEI GPA III Diversification (as of 1Q18)

SEI GPA II Investor Overview Returned NAV Fund Time Period Vintage Years Committed ($M) Called ($M) ($M) ($M) SEI GPA III 1Q18 2015 275.3 131.8 $7.9 $167.8

SEI GPA III Investor Status DPI TVPI IRR Fund Time Period Funded (%) Total Value ($M) (X) (X) (%) SEI GPA III 1Q18 47.9 175.7 0.1 1.3 18.0 SEI GPA III 4Q17 37.9 165.7 0.0 1.3 16.5 Preqin Peer Group*** 4Q17 39.7 NA 0.1 1.2 n/m *Based on Commitments **Based on NAV ***Preqin Peer Group data is taken from the Preqin database for Vintage 2015 Fund of Funds from all geographies and metrics are for the Median. Data is through 4Q17 as of 07/11/18 With these parameters, the metrics above are based on a sample size of 29.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 50 Data as of 6/30/2018 unless otherwise noted Performance for periods of less than one year is cumulative. Past performance is no guarantee of future results. Performance is gross of investment management fees and net of administrative expenses and underlying fund expenses. Performance data quoted is past performance. Past performance is no guarantee of future results. The principal value and investment return of an SEI GPA III investment will fluctuate so that shares, when redeemed, may be worth more or less than their original value. Current performance may be higher or lower. For performance data current to the most Portfolio Overview recent month end, please call 1-800-DIAL-SEI.

Additional Percent Adjusted Commitment Funding Unfunded Distributions DPI TVPI IRR Asset Class Fees Funded Valuation ($M) ($M) ($M) ($M) (X) (X) (%) ($M) (%) ($M) Buyout 50.0 35.9 0.1 20.4 71.8 13.4 33.2 0.3 1.3 27.6 Debt 65.0 18.9 0.3 47.0 29.1 3.2 18.4 0.2 1.1 8.8 Real Assets 17.0 5.3 0.0 11.7 31.0 0.2 7.2 0.0 1.4 80.7 Real Estate 73.0 60.2 1.2 12.8 82.4 12.9 61.4 0.2 1.2 14.4 Venture Capital 45.0 38.4 0.5 11.2 85.4 10.6 48.4 0.3 1.5 27.1 Total: 250.0 158.7 2.1 103.2 63.5 40.2 168.6 0.3 1.3 20.8

*All chart and table information based on data as of 3/31/2018.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 51 Data as of 6/30/2018 unless otherwise noted Performance for periods of less than one year is cumulative. Past performance is no guarantee of future results. Performance is gross of investment management fees and net of administrative expenses and underlying fund expenses. Performance data quoted is past performance. Past performance is no guarantee of future results. The principal value and investment return of an SEI GPA III investment will fluctuate so that shares, when redeemed, may be worth more or less than their original value. Current performance may be higher or lower. For performance data current to the most Commentary recent month end, please call 1-800-DIAL-SEI.

Key Characteristics • SEI Global Private Assets Fund III had its final close in April 2015 and is diversified over a variety of investment strategies, multiple geographies and several vintage years. • As of 3/31/18, the Fund has made eleven commitments representing $250 million, or 91% of committable capital; any additional investments will be secondary purchases of partnership stakes alongside one of the existing managers. • Seven of the commitments are to managers pursuing a secondaries approach, and with eight of the managers, the Fund invested at a point where significant capital had been drawn and gains were already present in the portfolios. • Given the strategy and construction process, the Fund’s TVPI never dipped below 1.0X and currently sits at 1.3X. • Over the last three months, the Fund’s NAV increased by 6.3% and on a trailing 12-month basis has risen 18.7%. • The Fund is in the investing phase of its lifecycle, but given the nature of the underlying strategies, continues to receive sufficient distributions from investments to fund a portion of capital calls.

Portfolio Update and Outlook • On the performance front, the Fund’s real assets and buyout managers led the way with a quarterly return of 13.8% and 7.1%, respectively; debt managers lagged, but still generated a gain of 2.6% for the quarter. • The portfolio also saw cash investment activity continue to improve during the first quarter, with all five of the strategies calling a total of $8.9 million and four of the five also distributing a combined $8.5 million. • Among the more notable distributions from buyout and venture managers were the proceeds from the sale of all remaining shares of Mulesoft and realized proceeds from an investment in CutisPharma by NovaQuest Capital management. • The debt managers continued to draw capital to fund new loans and participate in distressed situations while at the same time provided distributions of income generated in line with the strategies. • The real estate managers distributed cash on the back of numerous property sales and income generated from rents while the real assets investments called capital to fund new secondary purchases.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 52 Data as of 6/30/2018 unless otherwise noted SEI GPA IV – Fund Overview

Key Characteristics • Final Close: January 31, 2018 • The Fund will be globally diversified and provide exposure to all of the major private market sub-classes. • At final close, the Fund has received commitments of ~$588 million. • As of June 30, 2018, the Fund has made eight commitments thus far, including three new relationships with premier venture capital firms based in Silicon Valley and three follow-up investments with the Fund’s managers. • We are actively working on additional investments, involving both new strategies and firms as well as new commitments to subsequent funds run by the Fund’s managers. • The Fund’s initial capital call occurred during the fourth quarter 2017 and future calls will be sporadic as investments are made. *All chart and table information is for illustration purposes only and subject to change. Fund Time Period Fund Size ($M) % Funded NAV ($M) TVPI (X)

SEI GPA IV 1Q18 588.5 5.8 34.9 1.0

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 53 Data as of 6/30/2018 unless otherwise noted Structured Credit Fund Quarterly Investment Review

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 54 Structured Credit Fund Return summary

Fund Size $1.96 billion Distinct Investors ~110

Since Annualized Performance as of 06/30/2018 2Q YTD 1-year 2-year 3-year 5-year 7-year Inception*

SEI Structured Credit Fund (Net**) 2.47% 5.77% 11.91% 17.75% 10.14% 8.73% 9.59% 12.32%

CLO Index*** 0.65% 1.34% 3.23% 4.55% 3.20% 2.91% 3.39% 3.79%

Excess 1.82% 4.43% 8.68% 13.20% 6.94% 5.82% 6.20% 8.53%

Credit Suisse Leveraged Loan Index 0.78% 2.38% 4.67% 6.07% 4.33% 4.24% 4.59% 4.57%

Merrill Lynch High Yield Index 1.00% 0.08% 2.54% 7.52% 5.56% 5.51% 6.22% 7.53%

S&P 500 Index 3.43% 2.65% 14.37% 16.12% 11.93% 13.42% 13.23% 8.19%

Bloomberg Barclays Aggregate Bond Index -0.16% -1.62% -0.40% -0.36% 1.72% 2.27% 2.57% 3.98%

JPM EMBI Global Diversified -3.54% -5.23% -1.60% 2.15% 4.63% 5.15% 5.21% 6.74%

*Inception: August 1, 2007 Sources: SEI Data Portal, Credit Suisse, Merrill Lynch, S&P, Bloomberg Barclays, J.P. Morgan, FactSet **Performance is gross of investment management fees and net of administrative expenses. Clients implemented via collective investment trusts incur product-level fees, including trustee and administrative fees, which will affect performance. *** CLO Index: CS Leveraged Loan Index from Inception through December 2011, JPM CLOIE from January 2012 to current. Performance data quoted is past performance. Past performance is no guarantee of future results. The principal value and investment return of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original value. Current performance may be higher or lower. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 55 Data as of 6/30/2018 Outlook

Higher ICE LIBOR and low expected default rates should position loans and CLOs to deliver attractive relative returns

Outlook Commentary

Trailing 12-month default rates fell slightly quarter over quarter and remain well below the long-term average. Corporate debt levels have Fundamentals Stable (unchanged) declined this year due to strong earnings growth. Expectations are for defaults to remain low for the remainder of 2018 and 2019.

2018 is shaping up to be one for the records books as collateralized loan obligation (CLO) new issuance saw another robust quarter. While Technicals Neutral (from Positive) demand for CLOs and other floating rate asses remains healthy, the magnitude of loan and CLO issuance has started to put pressure on the market.

CLO spreads across the capital structure reached post-crisis tights in the first quarter but widened in the second amid broad market volatility and robust supply. CLO spreads are attractive next to comparably-rated Valuation Positive (from Neutral) fixed income alternatives, such as loans, high yield, investment-grade corporates and most securitized products (i.e. credit card and student loan asset-backed securities). Higher Libor rates and expectations of several rate hikes in 2018 make all-in CLO yields attractive.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 56 Structured Credit Fund Collateral manager exposure

Top-10 Collateral Manager Exposure % of Fund

Benefit Street Partners 13.77%

Brigade 11.87%

Ivy Hill 8.81%

Newstar 8.14%

Neuberger Berman 5.00%

MJX 4.81%

Apex 4.32%

TCW 3.74%

BMO 3.67%

Carlson 3.54%

Remaining Collateral Manager Exposure 30.53%

Cash 1.79%

Total 100%

Source: SEI

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 57 Core Property Fund

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 58 Data as of 6/30/2018 U.S. property market landscape

NCREIF ODCE Vacancy Rate NPI Net Operating Income Growth

10% 8%

9% 6%

8% 4%

7% 2%

6% 0%

3Q14 3Q13 4Q13 1Q14 2Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18

1Q17 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 2Q17 3Q17 4Q17 1Q18 2Q18

Current Pricing Environment NPI Price Index 550 7% 500

6% 450

5% 400

350

2Q14 3Q13 4Q13 1Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18

3Q16 3Q13 4Q13 1Q14 2Q14 3Q14 4Q14 1Q15 2Q15 3Q15 4Q15 1Q16 2Q16 4Q16 1Q17 2Q17 3Q17 4Q17 1Q18 2Q18 Transaction Cap Rates Current Value Cap Rates

Sources: NCREIF ODCE Vacancy Rate is from the NCREIF ODCE Details spreadsheet and is calculated as 1 minus the Occupancy rate; NPI Net Operating Income Growth, Transaction Cap Rates, Current Value cap Rates, and NPI Price Index are from the NCREIF Trends Report and but the Index figures are 4- quarter rolling averages.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 59 Data as of 6/30/2018 U.S. property market returns

• It was another positive quarter for the U.S. property market, with U.S. Core Property Sector Returns both income and capital growth contributing to returns. • Strong operating fundamentals continued and supported higher 15% valuations, with appreciation contributing 1.0% of the ODCE’s 2.1% total return. 10% • All five sectors had gains; industrial and hotel led the way with 5% increases of 3.6% and 2.0% and were followed by office, multifamily and retail at 1.5%, 1.5% and 1.3%, respectively. 0% • Rounding out the real estate marketplace, the west and south 2Q18 1 Year 3 Year regions had the strongest performance (up 2.2% and 1.9%, respectively). Occupancy rates and current cap rates all remained Office Multi-Family Retail Industrial Hotel in line with the prior quarter. Same store net-operating-income growth rate increased relative to prior quarter. US Core Property Returns

15%

10% 5% 0% NPI ODCE NPI ODCE NPI ODCE 1.8% 2.1% 7.2% 8.4% 8.3% 9.4% 2Q18 1 Year 3 Year

Income Return Capital Growth

Source: NCREIF; NPI is a quarterly time series composite total rate of return measure of a very large pool of individual commercial real estate properties acquired in the private market for investment purposes only on an unlevered basis. The ODCE (Open-End Diversified Core Equity) is a Fund-level capitalization weighted, time-weighted return index and includes property investments at ownership share, cash balances and leverage Past performance does not guarantee future results. Performance for periods of less than one year is cumulative.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 60 Data as of 6/30/2018 Core Property Fund: Performance review

Contributors SEI CPF Performance • Of the nine underlying funds, seven exceeded the NPI benchmark of 15% 1.8% and five were ahead of the ODCE peer group of 2.1%. • Gains were broad based, as all four primary sectors posted strong, 10% positive returns. The three sector specialists again generated attractive income returns relative to the more diversified managers. 5% • The Fund’s overweight to industrial assets, as well as the non-core 0% exposure to self storage, both contributed on a comparative basis. CPF NPI ODCE CPF NPI ODCE CPF NPI ODCE Detractors 2.2% 1.8% 2.1% 8.7% 7.2% 8.4% 9.7% 8.3% 9.4% Overall, the managers generally performed well, with only one • 2Q18 1 Year 3 Year posting an absolute return lower than 1.4%. • The primary laggard was a diversified fund that is in the process of Income Return Capital Growth selling assets and returning capital; quarter to quarter volatility in the return of this manager is anticipated throughout the process. Morgan Stanley Prime SEI CPF Manager Allocation Property Fund (Based on NAV as of 6/30/18) Heitman American Real Estate Trust TH Real Estate U.S. Cities Fund 4.4% 9.8% Clarion Partners Lion 17.2% Properties Fund 7.9% Invesco Core Real Estate Sources: SEI and NCREIF 1.9% Performance for periods of less than one year is cumulative. Sentinel Real Estate Fund Performance is gross of investment management fees and net of administrative 18.0% expenses and underlying fund expenses. Clients implemented via collective Clarion Partners Lion investment trusts incur product-level fees, including trustee and administrative 20.4% Industrial Trust fees, which will affect performance. Harrison Street Core 2.4% Property Fund Performance data quoted is past performance. Past performance is no guarantee 17.9% of future results. The principal value and investment return of an investment will RREEF America REIT II fluctuate so that shares, when redeemed, may be worth more or less than their original value. Current performance may be higher or lower. For performance data current to the most recent month end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 61 Data as of 6/30/2018 Core Property Fund: Positioning and actions

Positioning SEI CPF Geographic Allocation • The Fund currently maintains overweights to the industrial and other sectors at the expense of office and retail. • Fund-level leverage stands at 23.6%, and occupancy is 93.7% for 36.8% the quarter; both of these are higher than the corresponding ODCE East figures by 2.5% and 0.9% , respectively. • The Fund remains well diversified through its nine managers, which 30.0% West in total provide exposure to more than 800 individual properties. South

Actions Midwest 22.4% • SEI CPF received additional commitments of ~$31 million for April 10.8% 1, 2018 and currently has no investment queue; Additionally, redemption requests totaled ~$11 million for June 30, 2018, with many of those due to rebalancing requests. • Current assets under management are ~$2.1 billion. SEI CPF Sector Allocation • For a variety of reasons, including both risk positioning and capacity addition, we are in the process of replacing one of the diversified Multi-Family managers; this exchange will reduce the Fund’s leverage ratio while Office also adding a manager with a larger portfolio of properties in an effort to lower individual property risk. Industrial

Retail SEI CPF Land/Other NPI

0% 10% 20% 30% 40% Percent Allocation (%)

Sources: SEI, NPI. Based on actual invested position of money drawn by managers and excluding cash; “Other” includes predominantly self-storage, hotel and land. As of 06/30/18.

FOR INSTITUTIONAL USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 62 Data as of 6/30/2018 Energy Debt Fund Quarterly Investment Review

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 63 Data as of 3/31/2018 Energy Debt Fund Performance recap

Since Inception Annualized Performance as of 06/30/2018 (%) 2Q YTD 1-year 2-year 3-year (7/1/2015)

SEI Energy Debt Fund (Net*) ESTIMATE 5.86% 5.09% 12.77% 14.34% 6.77% 6.77%

Merrill Lynch US High Yield Constrained Index 1.00% 0.08% 2.54% 7.52% 5.56% 5.56%

Merrill Lynch US High Yield Energy Index 2.37% 1.39% 8.10% 11.04% 3.39% 3.39%

S&P 500 3.43% 2.65% 14.37% 16.12% 11.93% 11.93%

XOP (S&P Oil and Gas ETF) 22.48% 16.24% 35.95% 12.12% -1.62% -1.62%

Merrill Lynch Monthly Net Merrill Lynch Energy Debt US High Yield Return US High Yield S&P 500 XOP Fund Constrained (% return) Energy Index Index

July 2017 1.68% 1.16% 1.89% 2.06% 1.88%

August 2017 -1.71% -0.03% -0.77% 0.31% -7.26%

September 2017 4.06% 0.90% 3.39% 2.06% 13.28%

October 2017 0.23% 0.39% 0.85% 2.33% 0.56% Data as of 6/30/2018. *Net return equals gross return less November 2017 0.75% -0.27% 0.31% 3.07% 4.20% management fee and operating expenses and is based on the December 2017 2.16% 0.29% 0.83% 1.11% 4.28% July 2015 series. Clients implemented via collective investment trusts incur product-level fees, including trustee January 2018 1.15% 0.64% 1.82% 5.73% -0.73% and administrative fees, which will affect performance. Sources: SEI Data Portal, Bank of America Merrill Lynch, February 2018 -1.53% -0.93% -1.88% -3.69% -10.43% FactSet, Benefit Street Partners Performance data quoted is past performance. Past March 2018 -0.33% -0.62% -0.86% -2.54% 6.73% performance is no guarantee of future results. The principal April 2018 2.08% 0.67% 1.26% 0.38% 11.81% value and investment return of an investment will fluctuate so that shares, when redeemed, may be worth more or less than May 2018 2.78% -0.01% 0.47% 2.41% 7.29% their original value. Current performance may be higher or lower. For performance data current to the most recent month June 2018 (EST) 0.89% 0.35% 0.63% 0.62% 2.10% end, please call 1-800-DIAL-SEI.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 64 Market recap

• Energy related corporate bonds and equities turned in strong performance in 2Q, with the Merrill Lynch High Yield Energy Index returning 2.37% and the S&P Oil & Gas E&P Select Industry Index returning 22.35%. In comparison, the U.S. High Yield market (as measured by the ICE BofA ML U.S. High Yield Constrained Index) and S&P 500 were up 1% and 3.4%, respectively.

• Front month oil prices rallied 14% in the quarter. OPEC production cuts have been effective in bringing global inventories down below the 5-year average. Demand growth remains solid and political disruptions continue to constrain supply in Venezuela, Libya, Nigeria and now Iran. However, forward prices still remain significantly below spot prices. It is our estimation that the market continues to overestimate the amount of supply that can be produced and delivered in short order to demand centers below 55 dollars a barrel. This is evidenced by the current issues in the Permian basin. Both oOil production and the associated gas that is produced from those wells is greater than the existing pipeline capacity to deliver those hydrocarbons to demand centers. Permian producers are realizing prices as much as $12.50 lower than WTI because the oil is trapped in basin. A similar dynamic exists in Canada where WCS prices have been at as much as 24 dollar (CAD) discount to benchmark prices. Lastly, OPEC met once again in June and agreed to curb production cuts to alleviate concerns that the world could be facing a significant shortage in oil in the near term. However, those adjustments were measured as OPEC either remains focused on higher prices or has less spare capacity than the market believes.

• Natural gas fell 7% for the quarter and is almost $1 below its 2017 high. Market consensus is quite bearish with expectations that supply will meaningfully outpace demand in 2018/2019 timeframe. While demand growth from exports, chemicals and power are all surprisingly strong, new supply has been even more significant. Unexpected areas of new supply have been in the form of associated gas coming from Permian oil wells and a rebirth of location-advantaged gas production in the Haynesville basin of Louisiana. Moreover, new with pipeline capacity has come on-line, allowing very low cost Marcellus gas from the Northeast to get to market, which further pressures natural gas prices regardless of demand growth and favorable weather.

Data as of 6/30/2018.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 65 Important information

This presentation is provided by SEI Investments Management Corporation (SIMC), a registered investment adviser and wholly owned subsidiary of SEI Investments Company. The material included herein is based on the views of SIMC. Statements that are not factual in nature, including opinions, projections and estimates, assume certain economic conditions and industry developments and constitute only current opinions that are subject to change without notice. Nothing herein is intended to be a forecast of future events, or a guarantee of future results. This presentation should not be relied upon by the reader as research or investment advice (unless SIMC has otherwise separately entered into a written agreement for the provision of investment advice). There are risks involved with investing including loss of principal. There is no assurance that the objectives of any strategy or fund will be achieved or will be successful. No investment strategy, including diversification, can protect against market risk or loss. Current and future portfolio holdings are subject to risk. Past performance does not guarantee future results. For those SEI funds which employ a “manager of managers” structure, SIMC is responsible for overseeing the sub-advisers and recommending their hiring, termination, and replacement. References to specific securities, if any, are provided solely to illustrate SIMC’s investment advisory services and do not constitute an offer or recommendation to buy, sell or hold such securities. Any presentation of gross mutual fund performance of underlying mutual fund investments or gross account level performance is only intended for one-on-one presentations with clients and may not be duplicated in any form by any means or redistributed without SIMC’s prior written consent. Through June 30, 2012, annual performance is calculated based on monthly return streams, geometrically linked. From June 30, 2012 onward, annual performance is based upon daily return streams, geometrically linked as of the specific month end. Performance results do not reflect the effect of certain account level advisory fees. The inclusion of such fees would reduce account level performance, particularly when compounded over a period of years. The following hypothetical illustration shows the compound effect fees have on investment return: For an account charged 1% with a stated annual return of 10%, the net total return before taxes would be reduced from 10% to 9%. A ten year investment of $100,000 at 10% would grow to $259,374, and at 9%, to $236,736 before taxes. For a complete description of all fees and expenses, please refer to SIMC’s Form ADV Part 2A, the investment management agreement between SIMC and each client, and quarterly client invoices. Certain economic and market information contained herein has been obtained from published sources prepared by other parties, which in certain cases have not been updated through the date hereof. While such sources are believed to be reliable, neither SEI nor its affiliates assumes any responsibility for the accuracy or completeness of such information and such information has not been independently verified by SEI. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index.

FOR INSTITUTIONAL INVESTOR USE ONLY. NOT FOR PUBLIC DISTRIBUTION. 66